New Issue: Lehman prices $1 million 0% notes linked to crude oil

By Angela McDaniels

Seattle, Nov. 15 - Lehman Brothers Holdings Inc. priced a $1 million issue of single-barrier synthetic reverse convertible notes due Nov. 23, 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 9.05%. If the price of crude oil falls to or below the lower barrier during the life of the notes and finishes below the initial price, a percentage equal to the final decline in the crude oil price will be subtracted from the payout.

Issuer:	Lehman Brothers Holdings Inc.
Issue:	Single-barrier synthetic reverse convertible notes
Underlying asset:	Light sweet crude oil
Amount:	$1 million
Maturity:	Nov. 23, 2007
Coupon:	0%
Price:	Par
Payout at maturity:	109.5% of par; if crude oil drops to or below the lower barrier and ends below the initial price, investors will share in any losses
Initial crude oil price:	$66.47
Protection price:	$49.8525, 75% of initial price
Pricing date:	Nov. 14
Settlement date:	Nov. 21
Underwriter:	Lehman Brothers Inc.

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