Exhibit 4.01
CUSIP NO. 52517PV32
ISIN NO. US52517PV327
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REGISTERED
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PRINCIPAL AMOUNT: $600,000
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No. R-1
LEHMAN BROTHERS HOLDINGS
INC.
MEDIUM-TERM NOTE, SERIES
I
CRUDE OIL-LINKED SINGLE BARRIER SYNTHETIC
BEARISH REVERSE CONVERTIBLE
NOTE
DUE SEPTEMBER 10, 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
September 10, 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, minus (c) if Crude Oil
REF is equal to or greater than the Upper
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
6.6%, rounded to the nearest whole cent.
The “Principal Adjustment
Amount” is an amount equal to the principal amount of the
Notes multiplied by the greater 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
February 28, 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 “Upper Barrier” is
$86.506, equal to the Crude Oil Strike multiplied by
140%.
The “Crude Oil Strike”
is $61.790, equal to the Crude Oil Price on the Trade
Date.
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The “Final Crude Oil
Price” is the Crude Oil Price on the Valuation
Date.
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 Crude Oil REF is greater than the Upper Barrier on any
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 Oil REF is greater than the Upper Barrier on any
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
Oil REF 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 Oil
REF 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 effect on any Exchange Business Day during the
Observation Period, the Calculation Agent will determine Crude
Oil REF for such Exchange
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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) &
