Lehman plans 23% reverse exchangeables tied to worst-performing of three credit card stocks

By Jennifer Chiou

New York, May 7 - Lehman Brothers Holdings Inc. plans to price 23% annualized reverse exchangeable notes due Nov. 30, 2008 linked to the worst-performing stock in a basket of common stocks, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes Visa Inc., MasterCard Inc. and American Express Co.

Interest is payable monthly.

If any stock in the basket falls below its trigger price - 75% of its initial share price - during the life of the notes and any stock finishes below its initial share price, the payout at maturity will be a number of shares of the worst-performing stock equal to $1,000 divided by that stock's initial share price.

Otherwise, investors will receive par.

The notes will price on May 27 and settle on May 30.

Lehman Brothers Inc. is the underwriter.

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