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Credit Linked Notes
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| Credit linked notes are funded assets issued
by Lehman or another issuer, which have credit risk to a second issuer
(the "Reference Issuer"). These notes pay an enhanced coupon to the
investor for taking on the added credit risk of the second Reference
Issuer. If the Reference Issuer defaults then the noteholders receive
the recovery price of the Reference Security. The most common forms
of credit linked notes are repackagings or medium-term notes with
embedded default swaps. |
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| Example: Automaker Credit Linked Note
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Investor gets a Fed Funds + 0.25%
coupon investment at par. In the credit linked note above, the investor gets a L+ 0.30% coupon for taking on the default risk of FMCC in an asset backed trust. * RACERS - Restructured Asset Certificates with Enhanced ReturnS  This material is being provided for informational purposes only and should not be regarded as an offer to sell or a solicitation of an offer to buy any product. Structured products are not appropriate for all investors. Clients are advised to make an independent review and reach their own conclusions regarding the economic risks and benefits of any structured transaction and the legal, credit, tax, accounting and other aspects of such transaction in relation to their particular circumstances. The examples provided are based on certain assumptions that may or may not reflect all potential variables that could effect the value of a structured product. This information has been obtained from various sources. Lehman Brothers does not warrant the accuracy, completeness, timeliness, reliability, fitness for a particular purpose or merchantability of this information. |
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