These trust preferred shares are secured with a debenture (bond) that goes with the holding company (LEH). LEH can sell off some assets but the proceeds will go back to the holding company and the preferreds have a claim against them.
LEH could sell all the assets and have expenses that take up all the proceeds from the sales leaving the company nothing to pay back the unsecured creditors, the trust preferreds holders being one of them.
Buying the preferred is a bet that there WILL BE something left.
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