-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MjnXUGDMVlA4JUER5Xzbyp+bk4tthPhr51oUpgyeduggo7c4q/9UWJIxrdpe4dat 0S3uQiFRSKYtClxZhNNMzg== 0001104659-07-014537.txt : 20070228 0001104659-07-014537.hdr.sgml : 20070228 20070227210417 ACCESSION NUMBER: 0001104659-07-014537 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 3 FILED AS OF DATE: 20070228 DATE AS OF CHANGE: 20070227 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-134553 FILM NUMBER: 07655014 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FWP 1 a07-3297_37fwp.htm FWP

Filed Pursuant to Rule 433
Registration No. 333-134553

100% Principal Protected Lehman
Crude Oil-Linked Single Barrier Notes

Lehman Brothers Holdings Inc. has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus dated May 30, 2006, the prospectus supplement dated May 30, 2006 for its Medium Term Notes, Series I, and other documents Lehman Brothers Holdings Inc. has filed with the SEC for more complete information about Lehman Brothers Holdings Inc. and this offering.  Buyers should rely upon the prospectus, prospectus supplement and any relevant free writing prospectus for complete details.  You may get these documents and other documents Lehman Brothers Holdings Inc. has filed for free by searching the SEC online database (EDGAR®) at www.sec.gov, with “Lehman Brothers Holdings Inc.” as a search term.  Alternatively, Lehman Brothers Inc. or any other dealer participating in the offering will arrange to send you the prospectus, prospectus supplement and final pricing supplement (when completed) if you request it by calling your Lehman Brothers sales representative, such other dealer or 1-888-603-5847.

Issuer:

Lehman Brothers Holdings Inc. (A1/A+/A+)

 

 

Issue Size:

$500,000

 

 

CUSIP:

52517PU90

Trade Date:

 

 

February 26, 2007

Issue Date:

March 9, 2007

 

 

Valuation Date:

5 Exchange Business Days prior to the Maturity Date; provided that, if a Disruption Event is in effect on the scheduled Valuation Date, the Valuation Date may be postponed (as described below under “Disruption Events”)

 

 

Maturity Date:

April 15, 2008, or if such date is not a Business Day, subject to adjustment in accordance with the Business Day Convention

 

 

Issue Price:

100.0%

 

 

Crude Oil:

Light sweet crude oil

 

 

Crude Oil Contract:

The first nearby month futures contract (or, in the case of the last trading day of the first nearby month contract, the second nearby month contract) for Crude Oil traded on the Relevant Exchange.

 

 

Crude Oil Price:

The official settlement price of the Crude Oil Contract, expressed as the U.S. dollar price per barrel of Crude Oil, as made public by the Relevant Exchange (subject to the occurrence of a Disruption Event).

 

 

Redemption Amount:

A single U.S. dollar payment on the Maturity Date equal to the principal amount of the notes plus the Supplemental Redemption Amount, if any

 

 

Supplemental Redemption Amount:

A single U.S. dollar payment equal to the principal amount of the notes multiplied by:

 

 

 

The greater of (a) the Crude Oil Return multiplied by the Participation Rate; and (b) 0%

If Crude OilREF is less than the Upper Barrier on each Exchange Business Day during the Observation Period

 

1



 

 

 

0%

If Crude OilREF is equal to or greater than the Upper Barrier on any Exchange Business Day during the Observation Period

 

 

Participation Rate:

70%

 

 

Observation Period:

From and including the Trade Date to and including the Valuation Date.

 

 

Crude OilREF:

For any Exchange Business Day within the Observation Period, the Crude Oil Price on such Exchange Business Day. Crude OilREF on the Valuation Date shall equal the Final Crude Oil Price.

 

 

Upper Barrier:

$85.95 (equal to the Crude Oil Strike * 140%)

 

 

Crude Oil Strike

$61.39 (equal to the Crude Oil Price on the Trade Date)

 

 

Final Crude Oil Price:

The Crude Oil Price on the Valuation Date

 

 

Crude Oil Return:

Final Crude Oil Price - Crude Oil Strike

 

 

Crude Oil Strike

 

 

 

 

 

Relevant Exchange

The NYMEX Division, or its successor, of the New York Mercantile Exchange, Inc., or its successor; or, if NYMEX is no longer the principal exchange or trading market for Crude Oil options or futures contracts, such other exchange or principal trading market for Crude Oil as determined in good faith by the Calculation Agent which serves as the source of prices for Crude Oil, and any principal exchanges where options or futures contracts on Crude Oil are traded.

 

 

Disruption Events:

If Crude OilREF is less than the Upper Barrier on each Exchange Business Day during the Observation Period and, on the scheduled Valuation Date, a Disruption Event identified in clauses (A), (B) or (C) below has occurred or is in effect, the Valuation Date will be postponed to, and the Calculation Agent will determine the Final Crude Oil Price on, the first Exchange Business Day succeeding the scheduled Valuation Date on which no Disruption Event is occurring; provided that if a Disruption Event is occurring on each of the three scheduled Exchange Business Days succeeding the scheduled Valuation Date, such third scheduled Exchange Business Day shall be deemed the Valuation Date and the Calculation Agent will determine the Final Crude Oil Price on such day in its sole and absolute discretion, taking into account the latest available quotation for the settlement price of the Crude Oil Contract and any other information that in good faith it deems relevant.If Crude OilREF is less than the Upper Barrier on each Exchange Business Day during the Observation Period and, on the scheduled Valuation Date, a Disruption Event identified in clauses (D) or (E) below is in effect, the Calculation Agent will determine the Final Crude Oil Price on the scheduled Valuation Date in its sole and absolute discretion taking into account the latest available quotation for the Crude Oil Price and any other information that in good faith it deems relevant.

If a Disruption Event identified in clauses (A), (B) or (C) below has occurred or is in effect on any Exchange Business Day during the Observation Period, Crude OilREF for such Exchange Business Day will be the Crude Oil Price on the immediately preceding Exchange Business Day on which such Disruption Event was not in effect; provided that, if the Disruption Event is continuing for five or more consecutive Exchange Business Days (measured from and including the first Exchange Business Day on which the Disruption Event occurred or was in effect), the Calculation Agent will determine Crude OilREF on the sixth consecutive Exchange Business Day, and for each consecutive Exchange Business Day thereafter, in its sole and absolute discretion taking into account the latest available quotation for the Crude Oil Price and any other information that in good faith it deems relevant. If a Disruption Event identified in clauses (D) or (E) below has occurred or is in

 

2



 

effect on any Exchange Business Day during the Observation Period, the Calculation Agent will determine Crude OilREF for such Exchange Business Day in its sole and absolute discretion taking into account the latest available quotation for the Crude Oil Price and any other information that in good faith it deems relevant.

 

A “Disruption Event” means any of the following events, as determined in good faith by the Calculation Agent:

 

(A)    the suspension of or material limitation on trading in the Crude Oil Contract or Crude Oil, or futures contracts or options related to the Crude Oil Contract or Crude Oil, on the Relevant Exchange;

 

(B)     either (i) the failure of trading to commence, or permanent discontinuance of trading, in the Crude Oil Contract or Crude Oil, or futures contracts or options related to the Crude Oil Contract or Crude Oil, on the Relevant Exchange, or (ii) the disappearance of, or of trading in, Crude Oil;

 

(C)     the failure of the Relevant Exchange to publish the official daily settlement price for that day for the Crude Oil Contract (or the information necessary for determining the settlement price);

 

(D)     the occurrence since the Trade Date of a material change in the content, composition, or constitution of Crude Oil or the Crude Oil Contract; or

 

(E)     the occurrence since the Trade Date of a material change in the formula for or the method of calculating the settlement price of the Crude Oil Contract.

 

For the purpose of determining whether a Disruption Event has occurred:

 

(1)      a limitation on the hours in a trading day and/or number of days of trading will not constitute a Disruption Event if it results from an announced change in the regular business hours of the Relevant Exchange;

 

(2)      a suspension in trading on the Relevant Exchange (without taking into account any extended or after-hours trading session), in the Crude Oil Contract, by reason of a price change reflecting the maximum permitted price change from the previous trading day’s settlement price will constitute a Disruption Event; and

 

(3)      a suspension of or material limitation on trading on the Relevant Exchange will not include any time when the Relevant Exchange is closed for trading under ordinary circumstances.

 

 

Exchange Business Day

A day, as determined by the Calculation Agent, on which the Relevant Exchange is scheduled to be (or, but for the occurrence of a Disruption Event, would have been) open for trading during its regular trading session (notwithstanding the Relevant Exchange closing prior to its scheduled closing time).

 

 

Business Days

New York

 

 

Business Day Convention

Following

 

 

Underwriter:

Lehman Brothers Inc.

 

 

Calculation Agent

Lehman Brothers Commodity Services Inc.

 

 

Denomination:

US$1,000 and integral multiples of US$1,000

 

 

Issue Type:

US MTN

 

3



Risk Factors

An investment in the notes is subject to risks associated with the performance of the price of light sweet crude oil

The return on the notes at maturity is entirely dependent on the performance of Crude Oil.  Because the notes do not bear interest, your return on the notes will depend solely on the Supplemental Redemption Amount, if any, paid on the Maturity Date. If Crude OilREF is greater than or equal to the Upper Barrier (meaning that, because the Upper Barrier is equal to 140% of the Crude Oil Strike, that the Crude Oil Price has appreciated by more than 40.0% relative to the Crude Oil Strike) on any Exchange Business Day during the Observation Period, your Supplemental Redemption Amount will be zero, and you will not receive at maturity any return on the notes in excess of the principal invested.  In addition, if Crude OilREF is less than the Upper Barrier on each Exchange Business Day during the Observation Period but the Final Crude Oil Price is equal to or less than the Crude Oil Strike, the Supplemental Redemption Amount will also be zero, resulting in a payment at maturity equal to the principal invested, with no additional return.   Finally, because the Participation Rate is 70%, if the Crude Oil Return is between 0% and 40% — meaning that the Final Crude Oil Price has appreciated by more than 0% but less than 40.0% relative to the Crude Oil Strike —  andCrude OilREF never equalled or exceeded the Upper Barrier during the Observation Period, the Supplemental Redemption Amount will equal your principal amount of the notes times the product of 70% and that percentage appreciation (that is, the Crude Oil Return multiplied by the Participation Rate).

Because the notes are linked solely to the Crude Oil Contract, an investment in the notes will be less diversified than other notes linked to a broader range of commodities or products, and therefore could experience greater volatility and may carry risks similar to a concentrated securities or other investment in Crude Oil. The price of Crude Oil is primarily affected by the global demand for and supply of Crude Oil. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of Crude Oil. Crude Oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for Crude Oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for Crude Oil may increase or decrease depending on many factors. These include production decisions by the Organization of Oil and Petroleum Exporting Countries and other Crude Oil producers. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities. A decrease in the price of any of these commodities may have a material adverse effect on the price of Crude Oil and the return on an investment in the notes.

Many factors affect the market value of the notes; these factors interrelate in complex ways and the effect of any one factor may offset or magnify the effect of another factor

The market value of the notes will be affected by factors that interrelate in complex ways. The effect of one factor may offset the increase in the market value of the notes caused by another factor and the effect of one factor may exacerbate the decrease in the market value of the notes caused by another factor.  For example, the market value of the notes will be affected by changes in the level of interest rates, the time to maturity of the notes (and any associated “time premium”) and the credit ratings of Lehman Brothers Holdings Inc.  In addition, the market value of the notes will also be affected by certain specific factors, which are described in the following paragraphs (along with the expected impact on the market value of the notes given a change in that specific factor, assuming all other conditions remain constant).

The price of Crude Oil will affect the market value of the notes. It is expected that the market value of the notes will depend on where the Crude Oil Price is trading relative to the Crude Oil Strike and the Upper Barrier.  Although the notes are principal-protected if held to maturity, if you choose to sell your notes when the Crude Oil Price is trading at a level blow the Crude Oil Strike or, in certain circumstances, above the Upper Barrier, or when the market perceives an increased risk of either of these occurring, the trading price of the notes may be adversely affected, and you may receive substantially less than the principal amount of the notes sold.

Suspension or disruptions of market trading in the commodity markets may adversely affect the value of the notes. The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. These circumstances could adversely affect the price of Crude Oil and, therefore, the value of your notes.

4



 

Changes in the volatility of Crude Oil and the Crude Oil Contract are expected to affect the market value of the notes. Volatility is the term used to describe the size and frequency of price and/or market fluctuations. If the volatility of Crude Oil or the Crude Oil Contract increases or decreases, the market value of the notes may be adversely affected. The volatility of Crude Oil and the Crude Oil Contract is affected by a variety of factors, including weather, governmental programs and policies, national and international political and economic events (including terrorist attacks and wars), changes in interest and exchange rates and trading activity in Crude Oil and futures contracts, including the Crude Oil Contract.

Active trading in crude oil options, futures contracts, options on futures contracts and underlying commodities may adversely affect the value of the notes.  Lehman Brothers Commodity Services Inc. and certain other affiliates of Lehman Brothers Holdings Inc. actively trade the Crude Oil Contract, Crude Oil and various commodities derived from crude oil on a spot and forward basis and other contracts and products in or related to crude oil (including the Crude Oil Contract) and such related commodities (including futures contracts, options on futures contracts and options and swaps on the underlying commodities).  Lehman Brothers Holdings Inc., Lehman Brothers Inc., Lehman Brothers Commodity Services Inc. or their affiliates may also issue or underwrite other financial instruments with returns indexed to the prices of crude oil or futures contracts on crude oil and derivative commodities. These trading and underwriting activities by Lehman Brothers Holdings Inc., Lehman Brothers Inc., Lehman Brothers Commodity Services Inc. or their affiliates, or by unaffiliated third parties, could adversely affect the value of the Crude Oil Contract, which could in turn affect the return on and the value of the notes.

Membership on NYMEX.  Lehman Brothers Commodity Services Inc. is a member of NYMEX and, from time to time, employees of Lehman Brothers Commodity Services Inc. may serve on the NYMEX settlement committee and other committees. These activities could affect the settlement price of the Crude Oil Contract.

The inclusion in the original issue price of the broker’s fee and Lehman Brothers Holdings Inc.’s cost of hedging its obligations under the notes through one or more of its affiliates is likely to adversely affect the value of the notes prior to maturity.

The original issue price of the notes includes the broker’s fee and Lehman Brothers Holdings Inc.’s cost of hedging its obligations under the notes through one or more of its affiliates.  Such cost includes such affiliates’ expected cost of providing this hedge, as well as the profit these affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.  As a result, assuming no change in market conditions or any other relevant factors, the price, if any, at which a broker will be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower than the original issue price.  In addition, any such prices may differ from values determined by pricing models used by a broker, as a result of such compensation or other transaction costs.

The return on your notes may not reflect all developments in the Crude Oil Price.

Because the Supplemental Redemption Amount will be based on the Crude Oil Return, which in turn is calculated based on the Final Crude Oil Price on the Valuation Date, which is a single Exchange Business Day near the end of the term of the notes, the Crude Oil Price at other times during the term of the notes or at the Maturity Date could be higher than the Final Crude Oil Price.  This difference could be particularly large if there is a significant decrease in the Crude Oil Price during the latter portion of the term of the notes or if there is significant volatility in the Crude Oil Price during the term of the notes, especially on dates near the Valuation Date.

Lack of regulation by the CFTC.

The notes are debt securities that are direct obligations of Lehman Brothers Holdings Inc. The net proceeds to be received by Lehman Brothers Holdings Inc. from the sale of the notes will not be used to purchase or sell Crude Oil Contracts on the Relevant Exchange for the benefit of holders of the notes. The notes are not themselves Crude Oil Contracts, and an investment in the notes does not constitute either an investment in Crude Oil Contracts or in a collective investment vehicle that trades in Crude Oil Contracts or Crude Oil.

Unlike an investment in the notes, an investment in a collective investment vehicle that invests in commodities on behalf of its participants may be regulated as a commodity pool and its operator may be required to be registered with and regulated by the Commodity Futures Trading Commission (“CFTC”) as a “commodity pool operator” (“CPO”). Because the notes are not interests in a commodity pool, the notes will not be regulated by the CFTC as a commodity pool, Lehman Brothers Holdings Inc. will not be registered with the CFTC as a CPO, and you will not benefit from the CFTC’s or any non-U.S. regulatory authority’s regulatory protections afforded to persons who trade in commodities or who invest in regulated commodity pools.

5



 

The notes do not constitute investments by you in futures contracts traded on regulated futures exchanges.  Accordingly, you will not benefit from the CFTC’s or any other regulatory authority’s regulatory protections afforded to persons who trade in futures contracts on a regulated futures exchange.

Suspension or disruption of market trading in the Crude Oil Contract or Crude Oil and certain other events may require a postponement in the Valuation Date for the notes, and may adversely affect the value of the notes.

Certain events, including events involving the suspension or disruption of market trading in the Crude Oil Contract or Crude Oil, constitute Disruption Events under the terms of the notes.  For further information on these events, see “Disruption Events” above.  To the extent any of these events occurs and remains in effect on the scheduled Valuation Date for the notes, the Valuation Date may be postponed until the Disruption Event ceases to be in effect or, if the Disruption Event remains in effect for three scheduled Exchange Business Days after the scheduled Valuation Date, the Final Crude Oil Price will be determined by the Calculation Agent in its sole discretion based on the latest available quotation for the settlement price of the Crude Oil Contract and any other information that in good faith it deems relevant.  In the event the scheduled Valuation Date is postponed, the Final Crude Oil Price may be lower and, to the extent that Crude OilREF has remained below the Upper Barrier during the Observation Period, could result in the Supplemental Redemption Amount being lower, than what you may have anticipated based on the last available closing price of the Crude Oil Contract as of the scheduled Valuation Date.

You must rely on your own evaluation of the merits of an investment linked to Crude Oil or the Crude Oil Contract.

In the ordinary course of their businesses, affiliates of Lehman Brothers Holdings Inc. may from time to time express views on expected movements in the price of Crude Oil. These views are sometimes communicated to clients who participate in Crude Oil or natural resource markets. However, these views, depending upon world-wide economic, political and other developments, may vary over differing time horizons and are subject to change. Moreover, other professionals who deal in Crude Oil or natural resource markets may at any time have significantly different views from those of Lehman Brothers Holdings Inc. or its affiliates.  In connection with your purchase of the notes, you should investigate Crude Oil or natural resource markets and not rely on views which may be expressed by Lehman Brothers Holdings Inc. or its affiliates in the ordinary course of their businesses with respect to future Crude Oil price movements.

You should make such investigation as you deem appropriate as to the merits of an investment linked to Crude Oil or the Crude Oil Contract. Neither the offering of the notes nor any views which may from time to time be expressed by Lehman Brothers Holdings Inc. or its affiliates in the ordinary course of their businesses with respect to future Crude Oil price movements constitutes a recommendation as to the merits of an investment in the notes.

United States Federal Income Tax Treatment

Lehman Brothers Holdings Inc. intends to treat the notes as contingent payment debt instruments, as described under “Supplemental United States Federal Income Tax Consequences—Contingent Payment Debt Instruments” in the prospectus supplement dated May 30, 2006 for its Medium Term Notes, Series I.

Information on the Crude Oil Contract

The Futures Markets

An exchange-traded futures contract, such as the Crude Oil Contract, provides for the future purchase and sale of a specified type and quantity of a commodity. The contract provides for a specified settlement month in which the commodity is to be delivered by the seller. Rather than settlement by physical delivery of the commodity, futures contracts may be settled for the cash value of the right to receive or sell the specified commodity on the specified date.

Futures contracts are traded on organized exchanges such as NYMEX, known as “contract markets”, through the facilities of a centralized clearing house and a brokerage firm which is a member of the clearing house.  The clearing house guarantees the performance of each clearing member which is a party to a futures contract by, in effect, taking the opposite side of the transaction.  U.S. futures markets, as well as brokers and market participants, are subject to regulation by the CFTC.  Because the notes do not constitute futures contracts or commodity options subject to the Commodity Exchange Act, noteholders will not benefit from the aforementioned clearing house guarantees or the regulatory protections of the CFTC.

6



 

The Crude Oil Contract

The Supplemental Redemption Amount, if any, will be determined by reference to the price of the Crude Oil Contract traded on NYMEX.  Lehman Brothers Holdings Inc. has derived all information regarding the Crude Oil Contract and NYMEX from publicly available sources. Such information reflects the policies of, and is subject to change without notice by, NYMEX.  Neither Lehman Brothers Holdings Inc. nor Lehman Brothers Inc. makes any representation or warranty as to the accuracy or completeness of such information.

The Crude Oil Contract trades in units of 1,000 barrels and the delivery point is Cushing, Oklahoma. The Crude Oil Contract provides for delivery of several grades of domestic and internationally traded foreign crude oils. It may be settled by delivery of West Texas Intermediate, Low Sweet Mix, New Mexican Sweet, North Texas Sweet, Oklahoma Sweet or South Texas Sweet.

A “first nearby month” contract is the contract next scheduled for settlement. For example, as of February 20, 2007, the front-month light, sweet crude oil futures contract is the April 2007 futures contract, which is a contract for delivery of light, sweet crude oil in April 2007.

The following summarizes selected specifications relating to the Crude Oil Contract traded on the NYMEX:

Trading Unit:  1,000 U.S. barrels (42,000 gallons)

Price Quotation:  U.S. dollars and cents per barrel

Minimum Price Fluctuation:  $.01 per barrel ($10.00 per contract)

Maximum Daily Price Fluctuation: $10.00 per barrel ($10,000 per contract). If any contract is traded, bid, or offered at the limit for five minutes, trading is halted for five minutes. When trading resumes, the limit is expanded by $10.00 per barrel in either direction. If another halt were triggered, the market would continue to be expanded by $10.00 per barrel in either direction after each successive five-minute trading halt. There is no maximum price fluctuation limit during any one trading session.

Last Trading Day: Trading terminates at the close of business on the third business day prior to the 25th calendar day of the month preceding the delivery month. If the 25th calendar day of the month is a non-business day, trading shall cease on the third business day prior to the business day preceding the 25th calendar day. For example, trading for the March 2007 futures contract, which is a contract for delivery of light, sweet crude oil in March 2007, ended on February 20, 2007.

Deliverable Grades: Specific domestic crudes with 0.42% sulfur by weight or less, not less than 37(degree) API gravity nor more than 42(degree) API gravity. The following domestic crude streams are deliverable: West Texas Intermediate, Low Sweet Mix, New Mexican Sweet, North Texas Sweet, Oklahoma Sweet, South Texas Sweet. Specific foreign crudes of not less than 34(degree) API nor more than 42(degree) API. The following foreign streams are deliverable: U.K. Brent and Forties, for which the seller shall receive a $.30 per barrel discount below the final settlement price; Norwegian Oseberg Blend is delivered at a $.55-per-barrel discount; Nigerian Bonny Light, Qua Iboe, and Colombian Cusiana are delivered at $.15 premiums.

Historical Prices

The following chart shows the daily closing price for the Crude Oil Contract on NYMEX from January 1, 2001 through February 23, 2007, using historical data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of these prices.  The historical data on Crude Oil Contract prices is not necessarily indicative of the future performance of the Crude Oil Price, the Final Crude Oil Price or what the value of the notes may be.  Fluctuations in the Crude Oil Price make it difficult to predict whether any Supplemental Redemption Amount will be payable at maturity or what that Supplemental Redemption Amount may be.  Historical fluctuations in the Crude Oil Price may be greater or lesser than fluctuations in the Crude Oil Price experienced by the holders of the notes.

7



 

Hypothetical Redemption Amount Payment Examples

If Crude OilREF equals or exceeds the Upper Barrier on any Exchange Business Day during the Observation Period, the Supplemental Redemption Amount payable on the notes will be zero, and you will not receive at maturity any return on the notes in excess of the principal invested.  If, however, Crude OilREF remains below the Upper Barrier on each Exchange Business Day during the Observation Period, the Supplemental Redemption Amount payable on the notes will equal (a) if the Final Crude Oil Price has appreciated relative to the Crude Oil Strike, the percentage increase times the Participation Rate of 70%, or (b) if the Final Crude Oil Price has depreciated or remained unchanged relative to the Crude Oil Strike, zero.  The Crude Oil Strike of $61.39 was determined on the Trade Date, as was the Upper Barrier of $85.95 (equal to the Crude Oil Strike * 140%) and the Participation Rate of 70%.

The table below illustrates the hypothetical Redemption Amount at maturity (including the payment of the applicable Supplemental Redemption Amount, if any) per $1,000 in principal amount of notes, whether Crude OilREF hypothetically equalled or exceeded the Upper Barrier during the Observation Period, as well as on a hypothetical range of performance for the Crude Oil Return from -50% to +50%.  The following results are based solely on the hypothetical examples cited; the Final Crude Oil Price and whether or not Crude OilREF equalled or exceeded the Upper Barrier have been chosen arbitrarily for the purpose of these examples and should not be taken as indicative of the future performance of the Crude Oil Price.

8



 

High 
Crude OilREF
during
Observation
Period

 

Crude OilREF
Equalled or
Exceeded
Upper Barrier
during
Observation
Period?

 

Final Crude
Oil Price
(on the 
Valuation
Date)

 

Crude Oil
Return

 

Crude Oil
Return *
Participation
Rate

 

Supplemental
Redemption
Amount

 

Principal

 

Redemption
Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$90.00

 

Yes

 

$30.70

 

-50%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$86.00

 

Yes

 

$49.11

 

-20%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$88.50

 

Yes

 

$55.25

 

-10%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$91.00

 

Yes

 

$61.39

 

0%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$87.50

 

Yes

 

$67.53

 

+10%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$86.00

 

Yes

 

$70.60

 

+15%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$89.50

 

Yes

 

$73.67

 

+20%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$91.00

 

Yes

 

$79.81

 

+30%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$95.50

 

Yes

 

$85.95

 

+40%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$94.00

 

Yes

 

$92.09

 

+50%

 

N/A

 

$0

+

$1,000

=

$1,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$83.00

 

No

 

$82.88

 

+35%

 

24.5%

 

$245

+

$1,000

=

$1,245

 

$84.50

 

No

 

$79.81

 

+30%

 

21.0%

 

$210

+

$1,000

=

$1,210

 

$78.00

 

No

 

$76.74

 

+25%

 

17.5%

 

$175

+

$1,000

=

$1,175

 

$76.50

 

No

 

$73.67

 

+20%

 

14.0%

 

$140

+

$1,000

=

$1,140

 

$75.00

 

No

 

$70.60

 

+15%

 

10.5%

 

$105

+

$1,000

=

$1,105

 

$71.50

 

No

 

$67.53

 

+10%

 

7.0%

 

$70

+

$1,000

=

$1,070

 

$70.00

 

No

 

$61.39

 

0%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$63.00

 

No

 

$55.25

 

-10%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$62.00

 

No

 

$49.11

 

-20%

 

N/A

 

$0

+

$1,000

=

$1,000

 

$63.50

 

No

 

$30.70

 

-50%

 

N/A

 

$0

+

$1,000

=

$1,000

 

The following examples illustrate how the total returns set forth in the table above are calculated.

Example 1:  Crude OilREF  reached a high of $86.00 and therefore equalled or exceeded the Upper Barrier during the Observation Period, and the Final Crude Oil Price is 20% lower than the Crude Oil Strike.  Because Crude OilREF  equalled or exceeded the Upper Barrier during the Observation Period, the Supplemental Redemption Amount is zero irrespective of the fact that the Final Crude Oil Price depreciated relative to the Crude Oil Strike, and the Redemption Amount payable at maturity is equal to the principal amount of $1,000.

Example 2:  Crude OilREF  reached a high of $89.50 and therefore equalled or exceeded the Upper Barrier during the Observation Period, and the Final Crude Oil Price is 20% higher than the Crude Oil Strike.   Because Crude OilREF equalled or exceeded the Upper Barrier during the Observation Period, the Supplemental Redemption Amount is equal to zero irrespective of the amount by which the Final Crude Oil Price appreciated relative to the Crude Oil Strike, and the Redemption Amount payable at maturity is equal to the principal amount of $1,000.

 

9



 

Example 3:  Crude OilREF  reached a high of $62.00 and therefore remained below the Upper Barrier throughout the Observation Period, and the Final Crude Oil Price is 20% lower than the Crude Oil Strike.  Because the Final Crude Oil Price depreciated relative to the Crude Oil Strike, the Supplemental Redemption Amount is zero even though Crude OilREF did not equal or exceed the Upper Barrier during the Observation Period, and the Redemption Amount payable at maturity is equal to the principal amount of $1,000.

Example 4:  Crude OilREF  reached a high of $$78.00 and therefore remained below the Upper Barrier throughout the Observation Period, and the Final Crude Oil Price is 25% higher than the Crude Oil Strike.  Because the Final Crude Oil Price appreciated by 25% relative to the Crude Oil Strike but Crude OilREF did not equal or exceed the Upper Barrier during the Observation Period, the Supplemental Redemption Amount is equal to the percentage appreciation in the Final Crude Oil Price multiplied by the Participation Rate of 70%.  Accordingly, in this example the Supplemental Redemption Amount is $175 and the Redemption Amount payable at maturity is equal to $1,175, calculated as follows:

Redemption Amount = $1,000 + { $1,000 * 70% * [ (76.74 - 61.39 ) / 61.39 ] } = $1,175

Example 5:  Crude OilREF  reached a high of $71.50 and therefore remained below the Upper Barrier throughout the Observation Period and the Final Crude Oil Price is 10% higher than the Crude Oil Strike.  Because the Final Crude Oil Price appreciated by 10% relative to the Crude Oil Strike but Crude OilREF did not equal or exceed the Upper Barrier during the Observation Period, the Supplemental Redemption Amount is equal to the percentage appreciation in the Final Crude Oil Price multiplied by the Participation Rate of 70%.  Accordingly, in this example the Supplemental Redemption Amount is $70 and the Redemption Amount payable at maturity is equal to $1,070, calculated as follows:

Redemption Amount = $1,000 + { $1,000 * 70% *  [ (67.53 - 61.39) / 61.39  ] } = $1,070

10


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