FWP 1 a07-1018_56fwp.htm FWP

Filed Pursuant to Rule 433
Registration No. 333-134553

 

10YR Curve Trade

Final Terms and Conditions

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. 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 or 1-888-603-5847.

 

 

 

Issuer:

 

Lehman Brothers Holdings

 

 

 

Ratings:

 

Moody’s A1/ S&P A+/ Fitch A+

 

 

 

Issue Size:

 

$200,000,000

 

 

 

Issue Price:

 

97.10%

 

 

 

CUSIP:

 

52517PS93

 

 

 

Trade Date

 

January 26, 2007

 

 

 

Settlement Date:

 

February 5, 2007

 

 

 

Maturity Date:

 

February 5, 2017

 

 

 

Interest Rate:

 

From and including the Settlement Date to but excluding August 5, 2007:
6.00% 

 

 

 

 

 

From and including August 5, 2007, to but excluding the Maturity Date:
2.51% + 8 * (10yr CMS Rate – 2yr CMS Rate), subject to a minimum of 0%

 

 

 

Day Count Basis:

 

30/360

 

 

 

Interest Payment Dates:

 

Quarterly on the 5th of February, May, August and November commencing May 5, 2007

 

 

 

Interest Reset Date:

 

Quarterly on the 5th of February, May, August, November commencing August 5, 2007, for the period commencing on and including such Interest Reset Date to but excluding the next succeeding Interest Payment Date, determined on the related Interest Determination Date

 

 

 

Interest Determination Date

 

Two Business Days prior to the related Interest Reset Date

 



 

10yr CMS Rate

 

For any Interest Reset Date, the rate for U.S. Dollar swaps with a maturity of 10 years, expressed as a percentage, which appears on Reuters Screen ISDAFIX1 as of 11:00 a.m., New York City time, on the related Interest Determination Date.

 

 

 

2yr CMS Rate

 

For any Interest Reset Date, the rate for U.S. Dollar swaps with a maturity of 2 years, expressed as a percentage, which appears on Reuters Screen ISDAFIX1 as of 11:00 a.m., New York City time, on the related Interest Determination Date.

 

 

 

 

 

If the 10yr CMS Rate or the 2yr CMS Rate does not appear on Reuters Screen ISDAFIX1 on any Interest Determination Date, the rate for the related Interest Reset Date shall be determined on such Interest Determination Date as if the parties had specified “USD-CMS-Reference Banks” as the applicable rate, as described under “Description of the Notes—Floating Rate Notes—CMS Rate Notes” in the prospectus supplement dated May 30, 2006.

 

 

 

Business Days:

 

New York

 

 

 

Business Day Convention:

 

Modified following Business Day convention with no adjustment for period end dates.

 

 

 

Denominations:

 

$1,000 / $1,000

 

 

 

Calculation Agent:

 

Lehman Brothers Special Financing Inc.

 

 

 

Underwriter:

 

Lehman Brothers Inc.

 

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.

Historical Levels of the 10yr CMS Rate and 2yr CMS Rate

The following shows the 10yr CMS Rate and the 2yr CMS Rate in effect on the Trade Date and on the hypothetical Interest Reset Dates listed below. The historical experience of the 10yr CMS Rate and 2yr CMS Rate should not be taken as an indication of the future performance of the 10yr CMS Rate and 2yr CMS Rate during the term of the Notes.  Fluctuations in the level of the 10yr CMS Rate and 2yr CMS Rate make the Notes’ effective interest rate after August 5, 2007, difficult to predict and can result in effective interest rates to investors that are lower than anticipated. In addition, historical interest rates are not necessarily indicative of future interest rates. Fluctuations in interest rates and interest rate trends that have occurred in the past are not necessarily indicative of fluctuations that may occur in the future, which may be wider or narrower than those that have occurred historically.



Hypothetical
Interest Reset
Dates

 

10yr CMS Rate
(in %)

 

2yr CMS Rate
(in %)

 

10yr CMS Rate — 2yr
CMS Rate 
(in %)

 

1/26/07

 

5.402

 

5.354

 

0.048

 

11/6/2006

 

5.242

 

5.205

 

0.037

 

8/7/2006

 

5.473

 

5.387

 

0.086

 

5/5/2006

 

5.631

 

5.392

 

0.239

 

2/6/2006

 

5.059

 

5.022

 

0.037

 

11/7/2005

 

5.186

 

4.915

 

0.271

 

8/5/2005

 

4.847

 

4.492

 

0.355

 

5/5/2005

 

4.600

 

3.927

 

0.673

 

2/7/2005

 

4.436

 

3.659

 

0.777

 

11/5/2004

 

4.624

 

3.162

 

1.462

 

8/5/2004

 

4.885

 

3.036

 

1.849

 

5/5/2004

 

5.086

 

2.695

 

2.391

 

2/5/2004

 

4.578

 

2.190

 

2.388

 

11/5/2003

 

4.769

 

2.265

 

2.504

 

8/5/2003

 

5.012

 

2.192

 

2.820

 

5/5/2003

 

4.253

 

1.763

 

2.490

 

2/5/2003

 

4.442

 

2.007

 

2.435

 

11/5/2002

 

4.624

 

2.185

 

2.439

 

8/5/2002

 

4.869

 

2.370

 

2.499

 

5/6/2002

 

5.634

 

3.605

 

2.029

 

2/5/2002

 

5.639

 

3.388

 

2.251

 

11/5/2001

 

4.948

 

2.893

 

2.055

 

8/6/2001

 

5.962

 

4.391

 

1.571

 

5/7/2001

 

5.996

 

4.679

 

1.317

 

2/5/2001

 

6.011

 

5.319

 

0.692

 

11/6/2000

 

6.959

 

6.682

 

0.277

 

8/7/2000

 

7.107

 

6.981

 

0.126

 

5/5/2000

 

7.809

 

7.578

 

0.231

 

2/7/2000

 

7.506

 

7.234

 

0.272

 

11/5/1999

 

6.744

 

6.225

 

0.519

 

8/5/1999

 

6.981

 

6.271

 

0.710

 

5/5/1999

 

6.069

 

5.524

 

0.545

 

2/5/1999

 

5.690

 

5.310

 

0.380

 

11/5/1998

 

5.602

 

4.997

 

0.605

 

8/5/1998

 

5.998

 

5.815

 

0.183

 

5/5/1998

 

6.191

 

5.988

 

0.203

 

2/5/1998

 

6.074

 

5.678

 

0.396

 

11/5/1997

 

6.433

 

6.077

 

0.356

 

8/5/1997

 

6.626

 

6.211

 

0.415

 

5/5/1997

 

7.032

 

6.501

 

0.531

 

2/5/1997

 

6.780

 

6.078

 

0.702

 

11/5/1996

 

6.611

 

5.911

 

0.700

 

8/5/1996

 

6.880

 

6.118

 

0.762

 

5/6/1996

 

7.278

 

6.366

 

0.912

 

2/5/1996

 

6.074

 

5.068

 

1.006

 

11/6/1995

 

6.338

 

5.696

 

0.642

 

8/7/1995

 

6.844

 

6.088

 

0.756

 

5/5/1995

 

7.022

 

6.340

 

0.682

 

 



 

Hypothetical
Interest Reset
Dates

 

10yr CMS Rate
(in %)

 

2yr CMS Rate
(in %)

 

10yr CMS Rate — 2yr
CMS Rate 
(in %)

 

2/6/1995

 

7.918

 

7.521

 

0.397

 

11/7/1994

 

8.413

 

7.383

 

1.030

 

8/5/1994

 

7.626

 

6.444

 

1.182

 

5/5/1994

 

7.503

 

6.129

 

1.374

 

2/7/1994

 

6.239

 

4.620

 

1.619

 

11/5/1993

 

6.039

 

4.270

 

1.769

 

8/5/1993

 

6.173

 

4.293

 

1.880

 

5/5/1993

 

6.267

 

3.969

 

2.298

 

2/5/1993

 

6.635

 

4.288

 

2.347

 

11/5/1992

 

7.253

 

4.750

 

2.503

 

8/5/1992

 

6.983

 

4.489

 

2.494

 

5/5/1992

 

7.855

 

5.490

 

2.365

 

2/5/1992

 

7.760

 

5.440

 

2.320

 

11/5/1991

 

8.130

 

6.000

 

2.130

 

8/5/1991

 

8.590

 

7.100

 

1.490

 

5/6/1991

 

8.740

 

7.350

 

1.390

 

2/5/1991

 

8.620

 

7.340

 

1.280

 

11/5/1990

 

9.200

 

8.220

 

0.980

 

8/6/1990

 

9.500

 

8.440

 

1.060

 

5/7/1990

 

9.720

 

9.300

 

0.420

 

2/5/1990

 

9.420

 

8.930

 

0.490

 

11/6/1989

 

8.890

 

8.590

 

0.300

 

8/7/1989

 

8.980

 

8.670

 

0.310

 

5/5/1989

 

9.760

 

9.820

 

-0.060

 

2/6/1989

 

9.670

 

9.880

 

-0.210

 

11/7/1988

 

9.660

 

9.120

 

0.540

 

8/5/1988

 

9.910

 

9.210

 

0.700

 

5/5/1988

 

9.790

 

8.540

 

1.250

 

2/5/1988

 

9.060

 

7.750

 

1.310

 

11/5/1987

 

9.840

 

8.450

 

1.390

 

8/5/1987

 

9.740

 

8.380

 

1.360