Lehman to issue 11% reverse exchangeables linked to the least performer in a basket of common stocks

By E. Janene Geiss

Philadelphia, Jan. 8 - Lehman Brothers Holdings Inc. plans to price an issue of 11% annualized reverse exchangeable notes due July 31, 2008 linked to the least performing component of a basket of five common stocks, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the common stocks of Johnson & Johnson, Coca-Cola Co., Procter & Gamble Co., McDonald's Corp. and General Electric Co.

If any stock in the basket falls below its trigger price during the life of the notes and any stock in the basket finishes below its initial price, the payout will be a number of shares of the worst-performing stock equal to par divided by that stock's initial price.

Otherwise, the payout will be par.

The trigger price of each stock will be 80% of its initial price.

The notes are expected to price Jan. 28 and settle Jan. 31.

Lehman Brothers Inc. is the agent.

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