By Jennifer Chiou
New York, Nov. 1 - Lehman Brothers Holdings Inc. priced a $4.35 million issue of 0% Range Notes due Feb. 7, 2007 linked to the price of light sweet crude oil, according to an FWP filing with the Securities and Exchange Commission.
Payout at maturity will be 102% of par if the price of crude oil, expressed as dollars per barrel, remains within the reference range during the life of the notes. If crude oil falls outside the reference, payout at maturity will be par.
The reference range will be $52.2697 to $65.1903 per barrel, which is 88% to 111%, inclusive, of the price of the first nearby month futures contract of crude oil on the pricing date.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Range Notes
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Underlying commodity: | Light sweet crude oil
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Amount: | $4.35 million
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Maturity: | Feb. 7, 2007
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | 102% of par if the price of crude oil remains within the reference range of $52.2697 to $65.1903 per barrel; otherwise par
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Initial strike price: | $58.73 per barrel
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Pricing date: | Oct. 31
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Settlement date: | Nov. 7
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Underwriter: | Lehman Brothers Inc.
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