-----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, Jbz+DekZmODr3CfuqwgmEv/v9MR87XTDoEhJxCKDDpPD3XsIvfBv7Lgukf0m1DJu 9c6LiDReVr3jntkAJL4Tsw== 0001104659-07-072503.txt : 20071002 0001104659-07-072503.hdr.sgml : 20071002 20071001214134 ACCESSION NUMBER: 0001104659-07-072503 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 10 FILED AS OF DATE: 20071002 DATE AS OF CHANGE: 20071001 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: 071147403 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 a07-25006_6fwp.htm FWP

Filed Pursuant to Rule 433
Registration No: 333-134553

 

FX Basket-Linked Note

 

“Asian Appreciation Basket”


Preliminary Terms and Conditions

October 1, 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 Chinese Renminbi (CNY), Indonesian Rupiah (IDR), Indian Rupee (INR) and Philippine Peso (PHP) (collectively, the Reference Currencies) relative to the U.S. dollar (USD).  If, as of the Valuation Date, the Basket Return 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 return equal to the principal amount of the notes multiplied by the product of [220%] (the Leverage) and the Basket Return.  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 [TBD]

Issue Price

 

100%

Principal Protection

 

100% at the Maturity Date

Trade Date

 

[October 26, 2007]

Issue Date

 

[October 31, 2007]

Valuation Date

 

[October 26, 2009]; 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 in “Disruption Events” below).

Maturity Date

 

[October 30, 2009]

Reference Currencies

 

Chinese Renminbi (CNY), Indonesian Rupiah (IDR), Indian Rupee (INR) and Philippine Peso (PHP)

Reference Exchange Rates

 

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

 



 

 

 

Leverage

 

[220%]

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 U.S. dollar amount equal to the principal amount of each note multiplied by:

 

 

Leverage * Basket Return

 

 

provided that the minimum Additional Amount payable on the notes shall be zero.

Basket Return

 

The sum of the Weighted Currency Returns for the Reference Currencies

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 Rate

 

 

CNY

 

25%

 

TBD

 

 

IDR

 

25%

 

TBD

 

 

INR

 

25%

 

TBD

 

 

PHP

 

25%

 

TBD

 

 

 

 

 

The Initial Reference 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

 

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).

Settlement Rate Option and Valuation Business Day:

 

For each Reference Currency as set forth below:

 

 

Reference Currency

 

Screen Reference

 

Valuation Business Day

 

 

CNY

 

SAEC

 

Beijing

 

 

IDR

 

ABSIRFIX01

 

Singapore

 

 

INR

 

RBIB

 

Mumbai

 

 

PHP

 

PSDPESO

 

Manila

 

 

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 the delivery of USD from accounts inside the Reference Currency Jurisdiction for that Reference Currency to accounts outside that Reference Currency Jurisdiction;

 

 

(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

 

ISIN: US52517P6U07

 

 

CUSIP: 52517P6U0

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

 

$[22.50]

 

$[977.50]

 

 

Total

 

$

 

 

 

 

 

 

(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 up to $22.50 per $1,000 principal amount, or of up to 2.25%, 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.

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 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 26, 2004 through the week ending September 30, 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 charts show the hypothetical Basket Return at the end of each week in the period from the week ending September 26, 2004 through the week ending September 30, 2007, 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 on September 30, 2007 based upon the Reference Exchange Rates determined on that day.  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.  For purposes of the notes and the determination of the Additional Amount, the Basket Return will be indexed to 0.0 on the Trade Date.



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 an Additional Amount will or will not be payable, based on the hypothetical values for the Leverage of 220%, and for the Initial Reference Currency Rates (each of which will be determined on the Trade Date), as well as for the Settlement Rates (which will be determined on the Valuation Date) and the resulting Basket Return.

The Initial Reference Currency Rate and 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: CNY, IDR, INR and PHP each appreciate relative to its Reference Currency Rate, resulting in a Basket Return of 0.0800.  The Additional Amount is therefore equal to 17.60%, and the Redemption Amount is equal to 117.60%, times the principal amount of the notes.

 

Because the Basket Return is 0.0800, the Redemption Amount payable at maturity is equal to $1,176.00 per $1,000 note (reflecting an Additional Amount of $176 per note), calculated as follows:

 

Redemption Amount = $1,000 + ($1,000 * 220% * 0.0800) = $1,176.00.

 

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

Reference
Currency

 

Initial Reference
Currency Rate
(on Trade Date)

 

Weighting

 

Settlement Rate
(on Valuation Date)

 

Weighted Currency
Return

 

CNY

 

7.5045

 

25%

 

6.9792

 

0.0175

 

IDR

 

9080

 

25%

 

8354

 

0.0200

 

INR

 

39.87

 

25%

 

35.48

 

0.0275

 

PHP

 

44.70

 

25%

 

42.02

 

0.0150

 

Basket Return =Sum of Weighted Currency Returns =

 

0.0800

 

 



 

Example 2: CNY, IDR, INR and PHP each depreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of –0.0495, which is less than zero.  The Additional Amount is therefore 0%, and the Redemption Amount is equal to the product of 100% times the principal amount of the notes.

 

Because the Basket Return is –0.0495, which is less than zero, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of $0 per note).

 

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

Reference
Currency

 

Initial Reference
Currency Rate
(on Trade Date)

 

Weighting

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

CNY

 

7.5045

 

25%

 

7.8197

 

–0.0105

 

IDR

 

9080

 

25%

 

9271

 

–0.0052

 

INR

 

39.87

 

25%

 

42.10

 

–0.0140

 

PHP

 

44.70

 

25%

 

48.23

 

–0.0198

 

Basket Return = Sum of Weighted Currency Returns =

 

–0.0495

 

 

Example 3: CNY and IDR each appreciate relative to its Initial Reference Currency Rate while INR and PHP each depreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0313.  The Additional Amount is therefore equal to 6.87%, and the Redemption Amount is equal to 106.87%, times the principal amount of the notes.

 

Because the Basket Return is 0.0313, the Redemption Amount payable at maturity is equal to $1,068.86 per $1,000 note (reflecting an Additional Amount of $68.86 per note), calculated as follows:

 

Redemption Amount = $1,000 + ($1,000 * 220% * 0.0313) = $1,068.86.

 

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

 

Reference
Currency

 

Initial Reference
Currency Rate 
(on Trade Date)

 

Weighting

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

CNY

 

7.5045

 

25%

 

6.7390

 

0.0255

 

IDR

 

9080

 

25%

 

8317

 

0.0210

 

INR

 

39.87

 

25%

 

40.83

 

–0.0060

 

PHP

 

44.70

 

25%

 

46.35

 

–0.0092

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0313

 

 



 

Example 4: CNY and INR each depreciate relative to its Initial Reference Currency Rate while IDR and PHP each appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of –0.0265.  The Additional Amount is therefore equal to 0%, and the Redemption Amount is equal to 100%, times the principal amount of the notes.

Because the Basket Return is –0.0265, which is less than zero, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of $0 per note).

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

Reference
Currency

 

Initial Reference
Currency Rate 
(on Trade Date)

 

Weighting

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

CNY

 

7.5045

 

25%

 

8.5776

 

–0.0358

 

IDR

 

9080

 

25%

 

8789

 

0.0080

 

INR

 

39.87

 

25%

 

45.97

 

–0.0383

 

PHP

 

44.70

 

25%

 

37.64

 

0.0395

 

Basket Return = Sum of Weighted Currency Returns =

 

–0.0265

 

 


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