New Issue: Lehman prices $1.32 million single barrier notes linked to crude oil

By E. Janene Geiss

Philadelphia, March 5 - Lehman Brothers Holdings Inc. priced a $1.32 million it issue of 0% single-barrier synthetic bearish reverse convertible notes due Sept. 12, 2007 linked to 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 5.5%. If the price of crude oil increases above the upper barrier price during the life of the notes, the payout will be par plus 5.5% minus the increase.

The barrier price is $86.296, which is 140% of the initial crude oil price of $61.640

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Single-barrier synthetic bearish reverse convertible notes
Underlying asset:	Light sweet crude oil
Amount:	$1.32 million
Maturity:	Sept. 12, 2007
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 5.5%; if crude oil stays below the upper barrier, investors will receive par plus 5.5% minus the increase
Initial crude oil price:	$61.640
Barrier price:	$86.296, 140% of initial price
Pricing date:	March 2
Settlement date:	March 9
Underwriter:	Lehman Brothers Inc.

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