FWP 1 a07-15674_3fwp.htm FWP

Filed Pursuant to Rule 433
Registration No. 333-134553

15YR NC 1YR Lehman Steepener

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. You may also access the prospectus and Series I MTN prospectus supplement on the SEC web site as follows:

Series I MTN prospectus supplement dated May 30, 2006:
http://www.sec.gov/Archives/edgar/data/806085/000104746906007785/a2170815z424b2.htm

Prospectus dated May 30, 2006:
http://www.sec.gov/Archives/edgar/data/806085/000104746906007771/a2165526zs-3asr.htm

Alternatively, Lehman Brothers Inc. will arrange to send you the prospectus, Series I MTN 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 Inc.

 

 

 

 

 

 

Ratings:

 

Moody’s A1/ S&P A+/ Fitch A+

 

 

 

 

 

 

Issue Size:

 

$9,000,000

 

 

 

 

 

 

Issue Price:

 

100.0%

 

 

 

 

 

 

Redemption Price:

 

100.0%

 

 

 

 

 

 

CUSIP:

 

52517P2N0

 

 

 

 

 

 

Trade Date

 

May 23, 2007

 

 

 

 

 

 

Settlement Date:

 

June 20, 2007

 

 

 

 

 

 

Maturity Date:

 

June 20, 2022, subject to Optional Redemption

 

 

 

 

 

 

Interest Rate:

 

From and including the Settlement Date to but excluding June 20, 2008:  10.00%

 

 

 

 

 

From and including June 20, 2008, to but excluding the Maturity Date:

 

 

 

 

 

50 * (30yr CMS Rate — 10yr CMS Rate), subject to a minimum of 0%

 

 

 

 

 

 

Day Count Basis:

 

30/360

 

 

 

 

 

 

Interest Payment Dates:

 

Quarterly on the 20th of March, June, September and December, commencing September 20, 2007, subject to Optional Redemption

 

 

 

 

 

 

Interest Reset Dates:

 

Quarterly on the 20th of March, June, September and December, commencing June 20, 2008, 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 Dates:

 

Two Business Days prior to the related Interest Reset Date

 

 

 

 

 

 

30yr CMS Rate

 

For any Interest Reset Date, the rate for U.S. Dollar swaps with a maturity of 30 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.

 

 

 

 

 

 

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.

 

 

 

 

 

If the 30yr CMS Rate or the 10yr 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 and London

 

 

 

 

 

 

Optional Redemption:

 

The Issuer has the right on every Interest Payment Date commencing on or after June 20, 2008, provided that the Issuer gives 5 Business Days notice to the investor, to call the Notes in whole or in part at the Redemption Price.  All amounts that may otherwise be payable following the call date shall cease to be payable. Notwithstanding the above, all payments due on the call date shall be made in full regardless of any calling of the Note by the Issuer.

 

 

 

 

 

 

Business Day Convention:

 

Modified following, unadjusted

 

 

 

 

 

 

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 30yr CMS Rate and 10yr CMS Rate

The following shows the 30yr CMS Rate and the 10yr CMS Rate in effect on the Trade Date and on the hypothetical Interest Reset Dates listed below. The historical experience of the 30yr CMS Rate and 10yr CMS Rate should not be taken as an indication of the future performance of the 30yr CMS Rate and 10yr CMS Rate during the term of the Notes.  Fluctuations in the level of the 30yr CMS Rate and 10yr CMS Rate make the Notes’ effective interest rate after June 20, 2008, 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

 

30yr CMS Rate
(in %)

 

10yr CMS Rate
(in %)

 

30yr CMS Rate–
10yr CMS Rate
(in %)

 

5/23/2007

 

5.582

 

5.403

 

0.179

 

3/20/2007

 

5.259

 

5.08

 

0.179

 

12/21/2006

 

5.196

 

5.039

 

0.157

 

9/20/2006

 

5.377

 

5.276

 

0.101

 

6/20/2006

 

5.804

 

5.728

 

0.076

 

3/20/2006

 

5.279

 

5.187

 

0.092

 

12/20/2005

 

5.186

 

5.012

 

0.174

 

9/20/2005

 

4.968

 

4.691

 

0.277

 

6/20/2005

 

4.811

 

4.506

 

0.305

 

3/21/2005

 

5.319

 

4.965

 

0.354

 

12/20/2004

 

5.214

 

4.601

 

0.613

 

9/20/2004

 

5.201

 

4.478

 

0.723

 

6/21/2004

 

5.768

 

5.179

 

0.589

 

3/22/2004

 

4.961

 

4.089

 

0.872

 

12/22/2003

 

5.294

 

4.554

 

0.74

 

9/22/2003

 

5.46

 

4.662

 

0.798

 

6/20/2003

 

4.751

 

3.767

 

0.984

 

3/20/2003

 

5.279

 

4.476

 

0.803

 

12/20/2002

 

5.258

 

4.396

 

0.862

 

9/20/2002

 

5.166

 

4.369

 

0.797

 

6/20/2002

 

5.942

 

5.346

 

0.596

 

3/20/2002

 

6.416

 

6.069

 

0.347

 

12/20/2001

 

6.184

 

5.852

 

0.332

 

9/20/2001

 

6.118

 

5.458

 

0.66

 

6/20/2001

 

6.433

 

6.071

 

0.362

 

3/20/2001

 

6.072

 

5.726

 

0.346

 

12/20/2000

 

6.242

 

6.075

 

0.167

 

9/20/2000

 

7.135

 

7.076

 

0.059

 

 



 

Hypothetical
Interest Reset
Dates

 

30yr CMS Rate
(in %)

 

10yr CMS Rate
(in %)

 

30yr CMS Rate–
10yr CMS Rate
(in %)

 

6/20/2000

 

7.269

 

7.254

 

0.015

 

3/20/2000

 

7.246

 

7.301

 

-0.055

 

12/20/1999

 

7.333

 

7.201

 

0.132

 

9/20/1999

 

7.063

 

6.858

 

0.205

 

6/21/1999

 

6.754

 

6.685

 

0.069

 

3/22/1999

 

6.226

 

5.985

 

0.241

 

12/21/1998

 

5.777

 

5.487

 

0.29

 

9/21/1998

 

5.928

 

5.526

 

0.402

 

6/22/1998

 

6.105

 

6.006

 

0.099

 

3/20/1998

 

6.275

 

6.056

 

0.219

 

12/22/1997

 

6.286

 

6.182

 

0.104

 

9/22/1997

 

6.689

 

6.484

 

0.205

 

6/20/1997

 

6.982

 

6.746

 

0.236

 

3/20/1997

 

7.295

 

7.097

 

0.198

 

12/20/1996

 

6.938

 

6.67

 

0.268

 

9/20/1996

 

7.443

 

7.186

 

0.257

 

6/20/1996

 

7.527

 

7.349

 

0.178

 

3/20/1996

 

7.074

 

6.761

 

0.313

 

12/20/1995

 

6.491

 

6.143

 

0.348

 

9/20/1995

 

6.881

 

6.501

 

0.38

 

6/20/1995

 

7.022

 

6.567

 

0.455

 

3/20/1995

 

7.868

 

7.5

 

0.368

 

12/20/1994

 

8.373

 

8.182

 

0.191

 

9/20/1994

 

8.33

 

7.87

 

0.46

 

6/20/1994

 

8.049

 

7.525

 

0.524

 

3/21/1994

 

7.521

 

6.952

 

0.569

 

12/20/1993

 

6.964

 

6.154

 

0.81

 

9/20/1993

 

6.711

 

5.734

 

0.977

 

6/21/1993

 

7.445

 

6.255

 

1.19

 

3/22/1993

 

7.605

 

6.299

 

1.306

 

12/21/1992

 

7.752

 

7.068

 

0.684

 

9/21/1992

 

7.681

 

6.738

 

0.943