Lehman to price 13% reverse convertibles linked to Southwest

By Susanna Moon

Chicago, July 31 - Lehman Brothers Holdings Inc. plans to price 13% annualized reverse convertible notes due Nov. 13, 2008 linked to the common stock of Southwest Airlines Co., according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

Payout at maturity will be par unless Southwest stock falls by more than 25% during the life of the notes and the final share price is less than the initial share price, in which case the payout will be a number of Southwest shares equal to $1,000 divided by the initial share price or, at Lehman's option, the equivalent cash value.

The notes are expected to price on Aug. 8 and settle on Aug. 13.

Lehman Brothers Inc. will be the underwriter.

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