-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UtwUXws8O/G6qGWy9HTIs3q2fw+Ih9lWE4OWDdXF7tENCn5PAFLq/pTWPOk3aZ/S +RS+E/yj1RpQ+Ghx50K2/w== 0001104659-07-071831.txt : 20070928 0001104659-07-071831.hdr.sgml : 20070928 20070927215259 ACCESSION NUMBER: 0001104659-07-071831 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 13 FILED AS OF DATE: 20070928 DATE AS OF CHANGE: 20070927 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-134553 FILM NUMBER: 071140549 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FWP 1 a07-23122_76fwp.htm FWP

Filed Pursuant to Rule 433
Registration No: 333-134553

 

FX Basket-Linked Note

 

“High Yield Digital Basket”


Final Terms and Conditions

September 27, 2007

 

 

Contact: + 1 212 526 2237

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.

 

Summary Description

 

This note allows an investor to hold via a single basket a long position in the Brazilian Real (BRL), Hungarian Forint (HUF), Indian Rupee (INR), Indonesian Rupiah (IDR), Mexican Peso (MXN) and Turkish Lira (TRY) (collectively, the Reference Currencies), in each case relative to the U.S. Dollar (USD).  If the Basket Return on the Valuation Date is greater than zero (that is, if the Reference Currencies have in aggregate appreciated relative to the USD on the Valuation Date), the investor will receive a single payment at maturity equal to the principal amount of the notes plus an Additional Amount equal to 10.00% multiplied by that principal amount..  If the Basket Return on the Valuation Date is less than or equal to zero (that is, if the Reference Currencies have in aggregate depreciated or not appreciated relative to the USD on the Valuation Date), then the investor will receive at maturity only the principal amount of the notes, with no additional return.  The notes do not bear interest and are 100% principal protected if held to maturity.

 

Issuer

Lehman Brothers Holdings Inc. (A1, A+, AA-)

Issue Size

USD 2,200,000

Issue Price

100%

Principal Protection

100%

Trade Date

September 27, 2007

Issue Date

October 3, 2007

Valuation Date

October 27, 2008; provided that, upon the occurrence of a Disruption Event with respect to a Reference Currency, the Valuation Date for the affected Reference Currency may be postponed (as described under “Disruption Events” below)

Maturity Date

October 31, 2008

 



 

 

Reference Currencies

Brazilian Real (BRL), Hungarian Forint (HUF), Indian Rupee (INR), Indonesian Rupiah (IDR), Mexican Peso (MXN), and Turkish Lira (TRY)

Reference Exchange Rate

For each Reference Currency, the spot exchange rate for that the Reference Currency quoted against the U.S. dollar expressed as number of units of the Reference Currency per USD 1.

Settlement Rate

For each Reference Currency, the Reference Exchange Rate on the Valuation Date, determined in accordance with the applicable Settlement Rate Option (subject to the occurrence of a Disruption Event).

Redemption Amount

A single U.S. dollar payment on the Maturity Date equal to the principal amount of each note plus the Additional Amount, if any.

Additional Amount

A single USD payment on the Maturity Date equal to the principal amount of each note multiplied by:

 

 

 

0.00%

If the Basket Return is less than or equal to 0.00

 

10.00%

if the Basket Return is greater than 0.00

 

Basket Return

The sum of the Weighted Currency Returns.

 

Weighted Currency Returns


For each Reference Currency:

 

Weighting *

{

Initial Reference Currency Rate —  Settlement Rate

}

Initial Reference Currency Rate

 

 

Weightings and Initial Reference Currency Rates

The Weighting and Initial Reference Currency Rate for each Reference Currency is as set forth below:

 

 

 

Reference Currency

 

          Weighting          

 

Initial Reference Currency Rates

 

BRL

 

16.67%

 

1.8409

 

HUF

 

16.67%

 

176.40

 

IDR

 

16.67%

 

9140

 

INR

 

16.67%

 

39.75

 

MXN

 

16.66%

 

10.9438

 

TRY

 

16.66%

 

1.2157

 

 

 

The Initial Currency Rate for each Reference Currency is the Reference Exchange Rate for that Reference Currency determined by the Calculation Agent on the Trade Date in accordance with the applicable Settlement Rate Option.

 



 

 

Settlement Rate Option and Valuation Business Day:

 

For each Reference Currency as set forth below:

 

 

Reference
Currency

 

Screen Reference

 

Valuation Business Day

 

 

Brazilian Real (BRL)

 

BRFR

 

Brazilia, Rio de Janiero or São Paulo; and New York

 

 

Hungarian Forint (HUF)

 

The EUR/HUF fixing rate on ECB37 divided by the EUR/USD fixing rate on ECB37

 

TARGET

 

 

Indian Rupee (INR)

 

RBIB

 

Mumbai

 

 

Indonesian Rupiah (IDR)

 

ABSIRFIX01

 

Singapore

 

 

Mexican Peso (MXN)

 

USDMXNFIX=

 

Mexico City

 

 

Turkish Lira (TRY)

 

The EUR/TRY fixing rate on ECB37 divided by the EUR/USD fixing rate on ECB37

 

TARGET

 

 

For further information concerning the Settlement Rate Option and Valuation Business Day, see “Description of the Notes—Currency-Indexed Notes” in, and Appendix A to, the Series I MTN prospectus supplement

Business Day

 

New York

Business Day Convention

 

Following

Disruption Events

 

If a Disruption Event relating to one or more Reference Currencies is in effect on the scheduled Valuation Date, the Calculation Agent will calculate the Basket Return using:

 

 

·

 

for each Reference Currency that did not suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the scheduled Valuation Date, and

 

 

·

 

for each Reference Currency that did suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the immediately succeeding scheduled Valuation Business Day for such Reference Currency on which no Disruption Event occurs or is continuing with respect to such Reference Currency;

 

 

provided however that if a Disruption Event has occurred or is continuing with respect to a Reference Currency on each of the three scheduled Valuation Business Days following the scheduled Valuation Date, then (a) such third scheduled Valuation Business Day shall be deemed the Valuation Date for the affected Reference Currency; and (b) the Calculation Agent will determine the Settlement Rate for the affected Reference Currency on such day in accordance with “Fallback Rate Observation Methodology” (as defined under “Description of the Notes—Currency-Indexed Notes” in the Series I MTN prospectus supplement).

 

 

A “Disruption Event” means any of the following events with respect to a Reference Currency, as determined in good faith by the Calculation Agent:

 

 

(A)

 

the occurrence and/or existence of an event on any day that has the effect of preventing or making impossible (x) the delivery of USD from accounts inside the Reference Currency Jurisdiction for that Reference Currency to accounts outside that Reference Currency Jurisdiction; or (y) for MXN and TRY only , the conversion of the Reference Currency into USD through customary legal channels;

 

 

(B)

 

the occurrence of any event causing the Reference Exchange Rate for the Reference Currency to be split into dual or multiple currency exchange rates; or

 



 

 

(C)

 

the Settlement Rate being unavailable for the Reference Currency, or the occurrence of an event (i) in the Reference Currency Jurisdiction for that Reference Currency that materially disrupts the market for the Reference Currency or (ii) that generally makes it impossible to obtain the Settlement Rate for the Reference Currency, on the Valuation Date.

 

 

For purposes of the above, “scheduled Valuation Business Day” means a day that is or, in the judgment of the Calculation Agent, should have been, a Valuation Business Day for the affected Reference Currency.

Calculation Agent

 

Lehman Brothers Inc.

Underwriter

 

Lehman Brothers Inc.

Identifier

 

CUSIP: 52517P6D8

 

 

ISIN: US52517P6D81

Settlement System

 

DTC

Denominations

 

USD 1,000 and whole multiples of USD 1,000

Issue Type

 

US MTN

Fees

 

 

 

Price to Public (1)

 

Fees (2)

 

Proceeds to the Issuer

 

 

Per note

 

$1,000

 

$10.00

 

$990

 

 

Total

 

$ 2,200,000

 

$ 22,000

 

$2,178,000

 

 

(1)

 

The price to public includes the Lehman Brothers Holdings Inc.’s cost of hedging its obligations under the notes through one or more of its affiliates, which includes the Issuer’s affiliates expected cost of providing such hedge as well as the profit these affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.

 

 

(2)

 

Lehman Brothers Inc. will receive commissions of $10.00 per $1,000 principal amount, or 1.00%, and may use all or a portion of these commissions to pay selling concessions or fees to other dealers. Lehman Brothers Inc. and/or an affiliate may earn additional income as a result of payments pursuant to any hedges.

 

Risk Factors

 

An investment in the notes entails certain risks not associated with an investment in conventional floating rate or fixed rate medium-term notes.  See “Risk Factors” generally, and “Risk Factors—Risks Relating to Currency-Indexed Notes” specifically, in the Series I MTN prospectus supplement.

 

Certain United States Federal Income Tax Consequences

 

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 Series I MTN prospectus supplement.



Historical Exchange Rates

The following charts show the spot exchange rates for each Reference Currency at the end of each week in the period from the week ending September 19, 2004 through the week ending September 23, 2007 using historical data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The spot exchange rates are expressed as the amount of U.S. dollars per Reference Currency to show the appreciation or depreciation, as the case may be, of the Reference Currency against the U.S. dollar. The spot exchange rates used to calculate the Basket Return are expressed as the amount of Reference Currency per U.S. dollar, which are the inverse of the spot exchange rates presented in the following charts.  The historical data on each Reference Currency is not necessarily indicative of the future performance of the Reference Currencies, the Basket Return or what the value of the notes may be. Fluctuations in exchange rates make it difficult to predict whether the Additional Amount will be payable at maturity, or what that Additional Amount, if any, may be.  Historical exchange rate fluctuations may be greater or lesser than those experienced by the holders of the notes.





 



Hypothetical Historical Basket Return

The following chart shows the hypothetical Basket Return at the end of each week in the period from the week ending September 19, 2004 through the week ending September 23, 2007 and the date hereof, based on the hypothetical composite performance of the Reference Currencies using data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The Basket Return was indexed to a level of 0.0 based upon the Reference Exchange Rates determined on the date hereof.  The composite value of the Reference Currencies on any prior day was obtained by using the calculation of the Basket Return described above. Spot exchange rates used in this determination are expressed as the number of units of Reference Currency per U.S. dollar.



Hypothetical Redemption Amount Payment Examples

The following payment examples for this note shows scenarios for the Redemption Amount payable at maturity of the notes, including scenarios under which Additional Amount will or will not be payable, based on the values for the Initial Reference Currency Rates (which were determined on the Trade Date) and hypothetical values for the Settlement Rates (which will be determined on the Valuation Date), and consequently of the Basket Return.  The Additional Amount (of 10.00% times the principal amount of the notes) payable on the Maturity Date (provided that the Basket Return is greater than zero on the Valuation Date) was set on the Trade Date.

The Settlement Rate values for the Reference Currencies have been chosen arbitrarily for the purpose of these examples, are not associated with Lehman Brothers Research forecasts for any Reference Currency/USD exchange rates and should not be taken as indicative of the future performance of any Reference Currency/USD exchange rate.



Example 1: BRL, HUF, IDR, INR, MXN and TRY each appreciate relative to their Initial Reference Currency Rates, resulting in a Basket Return of 0.1316.  The Additional Amount is therefore equal to 10.00%, and the Redemption Amount is equal to 110.00%, times the principal amount of the notes.

Because the Basket Return is 0.1316, the Redemption Amount payable at maturity is equal to $1,100.00 per $1,000 note (reflecting an Additional Amount of $100 per note), calculated as follows:

Redemption Amount = $1,000 + ($1,000 * 10%) = $1,100.00.

The table below illustrates how the Basket Return in the above example was calculated:

Basket
Currency

 

Initial Reference
Currency Rate

 

Weighting

 

Hypothetical
Settlement Rate
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

1.8409

 

16.67%

 

1.5563

 

0.0258

 

HUF

 

176.40

 

16.67%

 

149.30

 

0.0256

 

IDR

 

9140

 

16.67%

 

8597

 

0.0099

 

INR

 

39.75

 

16.67%

 

36.61

 

0.0132

 

MXN

 

10.9438

 

16.66%

 

9.2672

 

0.0255

 

TRY

 

1.2157

 

16.66%

 

0.9851

 

0.0316

 

 

Basket Return = Sum of Weighted Currency Returns =

 

0.1316

 

 

Example 2: BRL, HUF, IDR, INR, MXN and TRY each depreciate relative to their Initial Reference Currency Rates, resulting in a Basket Return of –0.0479.  The Additional Amount is therefore equal to 0.00%, and the Redemption Amount is equal to 100.00%, times the principal amount of the notes.

Because the Basket Return is –0.0479, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of 0.00% per note).

The table below illustrates how the Basket Return in the above example was calculated:

Basket
Currency

 

Initial Reference
Currency Rate

 

Weighting

 

Hypothetical
Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

1.8409

 

16.67%

 

1.9044

 

–0.0058

 

HUF

 

176.40

 

16.67%

 

186.73

 

–0.0098

 

IDR

 

9140

 

16.67%

 

9254

 

–0.0021

 

INR

 

39.75

 

16.67%

 

40.68

 

–0.0039

 

MXN

 

10.9438

 

16.66%

 

11.2973

 

–0.0054

 

TRY

 

1.2157

 

16.66%

 

1.3686

 

–0.0210

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

–0.0479

 

 



Example 3: BRL, HUF, IDR each depreciate relative to their Initial Reference Currency Rates while INR, TRY and MXN each appreciate relative to their Initial Reference Currency Rates, resulting in a Basket Return of 0.0268.  The Additional Amount is therefore equal to 10.00%, and the Redemption Amount is equal to 110.00%, times the principal amount of the notes.

Because the Basket Return is 0.0268, the Redemption Amount payable at maturity is equal to $1,100.00 per $1,000 note (reflecting an Additional Amount of $100 per note), calculated as follows:

Redemption Amount = $1,000 + ($1,000 * 10%) = $1,100.00.

The table below illustrates how the Basket Return in the above example was calculated:

Basket
Currency

 

Initial Reference
Currency Rate

 

Weighting

 

Hypothetical
Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

1.8409

 

16.67%

 

1.8689

 

–0.0025

 

HUF

 

176.40

 

16.67%

 

193.68

 

–0.0163

 

IDR

 

9140

 

16.67%

 

9277

 

–0.0025

 

INR

 

39.75

 

16.67%

 

36.74

 

0.0126

 

MXN

 

10.9438

 

16.66%

 

9.9873

 

0.0146

 

TRY

 

1.2157

 

16.66%

 

1.0628

 

0.0210

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0268

 

 

Example 4: IDR and INR each appreciate relative to their Initial Reference Currency Rates while BRL, HUF, MXN and TRY each depreciate relative to their Initial Reference Currency Rates, resulting in a Basket Return of —0.0448.  The Additional Amount is therefore equal to 0.00%, and the Redemption Amount is equal to 100.00%, times the principal amount of the notes.

Because the Basket Return is –0.0448, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of 0.00% per note), calculated as follows:

The table below illustrates how the Basket Return in the above example was calculated:

Basket
Currency

 

Initial Reference
Currency Rate

 

Weighting

 

Hypothetical
Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

1.8409

 

16.67%

 

2.0802

 

–0.0217

 

HUF

 

176.40

 

16.67%

 

201.44

 

–0.0237

 

IDR

 

9140

 

16.67%

 

7814

 

0.0242

 

INR

 

39.75

 

16.67%

 

34.78

 

0.0208

 

MXN

 

10.9438

 

16.66%

 

12.8918

 

–0.0297

 

TRY

 

1.2157

 

16.66%

 

1.3239

 

–0.0148

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

–0.0448

 

 


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