By Angela McDaniels
Seattle, Jan. 16 - Lehman Brothers Holdings Inc. priced a $5 million issue of 0% single-barrier synthetic reverse convertible notes due April 17, 2007 linked to the price of light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus a fixed return of 2.8125%. If the price of crude oil falls below the barrier price during the life of the notes and finishes below the initial price, investors will receive par plus 2.8125% minus the loss.
The barrier price is $41.504, which is 80% of the initial crude oil price of $51.88.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Single-barrier synthetic reverse convertible notes
|
| Underlying asset: | Light sweet crude oil
|
| Amount: | $5 million
|
| Maturity: | April 17, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 2.8125%; if crude oil falls below the lower barrier and ends below the initial price, investors will receive par plus 2.8125% minus the loss
|
| Initial crude oil price: | $51.88
|
| Barrier price: | $41.504, 80% of initial price
|
| Pricing date: | Jan. 11
|
| Settlement date: | Jan. 17
|
| Underwriter: | Lehman Brothers Inc.
|
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