By E. Janene Geiss
Philadelphia, Jan. 29 - Lehman Brothers Holdings Inc. increased to $1.78 million it issue of 0% single-barrier synthetic reverse convertible notes due May 2, 2007 linked to light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.
The issue was upsized from $1.58 million.
The payout at maturity will be par plus a fixed return of 2.16%. If the price of crude oil falls below the barrier price during the life of the notes, the payout will be par plus 2.16% minus the decline.
The barrier price is $43.384, which is 80% of the initial crude oil price of $54.23.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Single-barrier synthetic reverse convertible notes
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| Underlying asset: | Light sweet crude oil
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| Amount: | $1.78 million
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| Maturity: | May 2, 2007
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 2.16%; if crude oil falls below the lower barrier, investors will receive par plus 2.16% minus the loss
|
| Initial crude oil price: | $54.23
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| Barrier price: | $43.384, 80% of initial price
|
| Pricing date: | Jan. 25
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| Settlement date: | Feb. 1
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| Underwriter: | Lehman Brothers Inc
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