Lehman to price synthetic bearish reverse convertibles linked to oil

By Angela McDaniels

Seattle, June 14 - Lehman Brothers Holdings Inc. plans to price a $5 million offering of 0% single-barrier synthetic bearish reverse convertible notes linked to the price of light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.

The notes will mature three months after issue.

The payout at maturity will be par plus a fixed return that is expected to be 2.5% and will be determined at pricing.

If the settlement price of the first nearby month crude oil future contract increases by 25% or more during the life of the notes, the payout will be adjusted downward by 1% for each 1% gain in the crude oil price on the final valuation date.

Lehman Brothers Inc. will be the underwriter.

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