Exhibit 4.04
CUSIP NO. 52517PS85
ISIN NO. US52517PS851
REGISTERED
PRINCIPAL AMOUNT: $1,780,000
No. R-1
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTE, SERIES I
CRUDE OIL-LINKED SINGLE BARRIER SYNTHETIC REVERSE CONVERTIBLE
NOTE
DUE MAY 2, 2007
THIS NOTE IS A GLOBAL SECURITY
WITHIN THE MEANING OF THE INDENTURE HEREINAFTER REFERRED TO AND IS
REGISTERED IN THE NAME OF THE DEPOSITORY OR A NOMINEE OF THE
DEPOSITORY. UNLESS THIS CERTIFICATE IS PRESENTED BY AN
AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY (55 WATER
STREET, NEW YORK, NEW YORK) TO THE COMPANY (AS DEFINED BELOW) OR
ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY
CERTIFICATE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR
SUCH OTHER NAME AS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF THE
DEPOSITORY TRUST COMPANY AND ANY PAYMENT IS MADE TO CEDE & CO.,
ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY
OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER HEREOF,
CEDE & CO., HAS AN INTEREST HEREIN.
UNLESS AND UNTIL IT IS EXCHANGED
IN WHOLE OR IN PART FOR NOTES IN CERTIFICATED FORM (A
“CERTIFICATED NOTE”), THIS GLOBAL SECURITY MAY NOT BE
TRANSFERRED EXCEPT AS A WHOLE BY THE DEPOSITORY TO A NOMINEE OF THE
DEPOSITORY OR BY A NOMINEE OF THE DEPOSITORY TO THE DEPOSITORY OR
ANOTHER NOMINEE OF THE DEPOSITORY OR BY THE DEPOSITORY OR ANY SUCH
NOMINEE TO A SUCCESSOR DEPOSITORY OR A NOMINEE OF SUCH SUCCESSOR
DEPOSITORY.
LEHMAN BROTHERS HOLDINGS INC., a
corporation duly organized and existing under the laws of the State
of Delaware (herein called the “Company,” which term
includes any successor corporation under the Indenture referred to
on the reverse hereof), for value received, hereby promises to pay
to CEDE & Co., or registered assigns, on the Maturity Date, an
amount equal to the Redemption Amount.
The “Maturity Date” is
May 2, 2007, or if such day is not a Business Day, on the next
following Business Day.
The “Redemption Amount”
is the amount equal to the sum of (a) the principal amount of the
Notes plus (b) the Fixed Return plus (c) if Crude Oil
REF is equal to or less than the Lower Barrier
on any Exchange Business Day during the Observation Period, the
Principal Adjustment Amount.
The “Fixed Return” is an
amount equal to the principal amount of the Notes multiplied by
2.16%, rounded to the nearest whole cent.
The “Principal Adjustment
Amount” is an amount equal to the principal amount of the
Notes multiplied by the lesser of (a) the Crude Oil Return, and (b)
0%, rounded to the nearest whole cent.
The “Observation Period”
is the period from and including the Trade Date to and including
the Valuation Date.
The “Trade Date” is
January 25, 2007.
The “Valuation Date” is
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).
“Crude Oil REF ”
is, for any Exchange Business Day within the Observation Period,
the Crude Oil Price on such Exchange Business Day. Crude
Oil REF on the Valuation Date shall equal the
Final Crude Oil Price.
“Crude Oil” is light
sweet crude oil.
The “Crude Oil Price” is
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).
The “Crude Oil Contract”
is the first nearby month Crude Oil futures contract (or, in the
case of the last trading day of the first nearby month contract,
the second nearby month contract) traded on the Relevant
Exchange.
The “Lower Barrier” is
$43.384, equal to the Crude Oil Strike multiplied by
80%.
The “Crude Oil Strike”
is $54.23, equal to the Crude Oil Price on the Trade
Date.
The “Final Crude Oil
Price” is the Crude Oil Price on the Valuation
Date.
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The “Crude Oil Return”
is a quotient, (x) the numerator of which is the Final Crude Oil
Price minus the Crude Oil Strike and (y) the denominator of which
is the Crude Oil Strike.
The “Relevant Exchange”
is 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.
An “Exchange Business
Day” is 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).
If a Disruption Event identified in
clauses (A), (B) or (C) below is in effect on any Exchange Business
Day during the Observation Period to but excluding the earlier of
(i) the Valuation Date and (ii) the Exchange Business Day on which
Crude Oil REF
was first equal to or less
than the Lower Barrier, the Calculation Agent will determine Crude
Oil REF applicable to such Exchange Business Day
in accordance with the Fallback Price Determination below. If
a Disruption Event identified in clauses (D) or (E) below is in
effect on any such Exchange Business Day, the Calculation Agent
will determine Crude Oil REF applicable to 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.
If Crude Oil REF was equal to or less than the Lower
Barrier on any Exchange Business Day during the Observation Period
and, on the Valuation Date, a Disruption Event identified in
clauses (A), (B) or (C) below 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
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 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 third scheduled Exchange Business Day
succeeding the Valuation Date in accordance with the Fallback Price
Determination below. If Crude Oil REF was less than or equal to the Lower
Barrier on any Exchange Business Day during the Observation Period
and, on the 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 Valuation Date 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.
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;
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(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.
In the event that the “
Fallback Price Determination ” is invoked, the
Calculation Agent will determine Crude Oil REF applicable to the relevant Exchange
Business Day, o
