FWP 1 a07-28123_15fwp.htm FWP

Filed Pursuant to Rule 433

Registration No: 333-134553

 

FX Best-of-Basket Linked Note

 

 

“Best of 3 Currency Baskets”

 

Final Terms and Conditions

 

 

November 6, 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 a long position in three currency Baskets, with each Basket representing a long position in the Reference Currencies in that Basket relative to the U.S. dollar (USD) (with each Reference Currency in the applicable Basket assigned the Weighting specified below).  Basket 1 is composed of a long position in the Mexican Peso (MXN), the Argentine Peso (ARS), and the Brazilian Real (BRL).  Basket 2 is composed of a long position in the Israeli Shekel (ILS), the Hungarian Forint (HUF), the Turkish Lira (TRY), and the Russian Ruble (RUB).  Basket 3 is composed of a long position in the Indonesian Rupiah (IDR), the Indian Rupee (INR), the Malaysian Ringgit (MYR), and the Singapore Dollar (SGD). If one or more of the Basket Returns for the three Baskets is positive (that is, if the Reference Currencies in such Basket 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 the Leverage (145%) and the greatest  of the three Basket Returns (that is, the largest percentage by which any Basket Return exceeds zero).  If no Basket Return is greater than zero  (that is, if the Reference Currencies in each Basket have in aggregate depreciated 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 principal protected only if held to maturity.

Issuer

 

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

Issue Size

 

USD 3,000,000

Issue Price

 

100%

Principal Protection

 

100% at the Maturity Date

Trade Date

 

November 6, 2007

Issue Date

 

November 13, 2007

Valuation Date

 

November 6, 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

 

November 13, 2009

 


 

 

Baskets and Reference Currencies

 

Each Basket n is composed of the Reference Currencies identified below, with each Reference Currency in such Basket n having the respective Weighting specified in “Weightings and Initial Reference Currency Rates” below.

 

 

Basket 1:

Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN)

 

 

Basket 2:

Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB)

 

 

Basket 3:

Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and  Indian Rupee (INR)

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

 

145%

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 * the greatest of the Basket Returns of (a) Basket 1, (b) Basket 2, or (c) Basket 3

 

 

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

Basket Return

 

For each Basket n  the sum of the Weighted Currency Returns for the Reference Currencies in that Basket n.

Weighted Currency
Returns

 

For each Reference Currency in each Basket n:

 

 

Weighting *

{

Initial Reference Currency Rate – Settlement Rate

}

 

 

Settlement Rate

Weightings and Initial Reference Currency Rates

 

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

 

 

Basket n

 

Reference

 

Initial Reference

 

 

 

 

 

 

Currency

 

Currency Rate

 

Weighting

 

 

Basket 1

 

BRL

 

1.7325

 

33.34%

 

 

 

 

ARS

 

3.1335

 

33.33%

 

 

 

 

MXN

 

10.6639

 

33.33%

 

 

Basket 2

 

TRY

 

1.1727

 

25%

 

 

 

 

HUF

 

173.38

 

25%

 

 

 

 

ILS

 

3.9350

 

25%

 

 

 

 

RUB

 

24.6209

 

25%

 

 

Basket 3

 

IDR

 

9179

 

25%

 

 

 

 

SGD

 

1.4513

 

25%

 

 

 

 

MYR

 

3.3544

 

25%

 

 

 

 

INR

 

39.29

 

25%

 

 

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

 

For each Reference Currency as set forth below:

Business Day:

 

Reference

 

 

 

 

 

 

Currency

 

Screen Reference

 

Valuation Business Day

 

 

BRL

 

BRFR

 

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

 

 

ARS**

 

ARS=

 

Buenos Aires and New
York

 

 

MXN

 

MEX01

 

Mexico City and New York

 

 

TRY

 

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

 

TARGET and New York

 

 

HUF

 

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

 

TARGET and New York

 

 

ILS

 

FXIL

 

Tel Aviv and New York

 

 

RUB

 

EMTA

 

Moscow and New York

 

 

IDR

 

ABSIRFIX01

 

Singapore and New York

 

 

SGD

 

ABSIRFIX01

 

Singapore and New York

 

 

MYR

 

ABSIRFIX01

 

Singapore and New York

 

 

INR

 

RBIB

 

Mumbai and New York

 

 

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.

 

 

** The Settlement Rate Option for ARS is the Argentine Peso/U.S. dollar official fixing rate, expressed as the amount of Argentine Pesos per one U.S. dollar for settlement on the same day (or, if that day is not a business day in Buenos Aires and New York, for settlement on the first succeeding day that is a business day in both Buenos Aires and New York) which appears on the Reuters Screen ARS= page at the close of business in Buenos Aires on that Valuation Date.

Business Day

 

New York

Business Day
Convention

 

Following

Disruption Events

 

If a Disruption Event relating to one or more Reference Currencies in any Basket n is in effect on the scheduled Valuation Date, the Calculation Agent will calculate the Basket Return for that Basket n 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) for any Reference Currency other than ARS, IDR, INR or MYR, the conversion of the Reference Currency into USD through customary legal channels; or (y) for any Reference Currency other than ARS, IDR, INR or MYR, 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:  US5252M0AN70

 

 

CUSIP: 5252M0AN7

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

 

$12.00

 

$988

 

 

Total

$3,000,000

 

$36,000

 

$2,964,000

 

 

(1)

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

 

 

(2)

Lehman Brothers Inc. will receive commissions equal to $12.00 per $1,000 principal amount, or 1.20%, 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 October 31, 2004 through the week ending November 4, 2007 and the date hereof 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 Returns 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 Returns 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 for each of the Baskets at the end of each week in the period from the week ending October 31, 2004 through the week ending November 4, 2007 and the date hereof, based on the hypothetical composite performance of the Reference Currencies in that Basket 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 for each Basket was indexed to a level of 0.0 on the date hereof based upon the Reference Exchange Rates determined on that day.  The composite value of the Reference Currencies in each Basket 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.

 

Basket 1

 

 

 


 

Basket 2

 

 

Basket 3

 

 

 

 


 

Hypothetical Redemption Amount Payment Examples

The following payment examples for this note show scenarios for the Redemption Amount and the Additional Amount payable at maturity per $1,000 principal amount of notes based on values for the Leverage of 145% and scenarios for the Basket Returns of each Basket.  Also included below are further examples illustrating how the hypothetical Basket Returns for Basket 3 in the below scenarios are calculated, using values for the Initial Reference Currency Rates for the Reference Currencies in Basket 3 (which were determined on the Trade Date), and their hypothetical Settlement Rates (which will be determined on the Valuation Date).  The following results are based solely on the hypothetical examples cited; the Settlement Rate values for the Reference Currencies and related Basket Returns, 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.  Numbers in the examples have been rounded for ease of analysis.

 

 

 

Basket

 

Basket

 

Basket

 

Greatest

 

Additional Amount =

 

 

 

 

Return

 

Return

 

Return

 

of the

 

Principal Amount *

 

Redemption Amount =

 

 

for

 

for

 

for

 

Basket

 

Leverage * Greatest of

 

Principal Amount +

Scenario

 

Basket 1

 

Basket 2

 

Basket 3

 

Returns

 

the Basket Returns

 

Additional Amount

 

 

 

 

 

 

 

 

 

 

 

 

 

1

 

  5%

 

  7%

 

  8.83%

 

8.83%

 

12.80%

 

$1,128

2

 

–2%

 

  8%

 

  1.42%

 

8%

 

11.60%

 

$1,116

3

 

  7%

 

–4%

 

  1.08%

 

7%

 

10.15%

 

$1,102

4

 

  8%

 

  5%

 

  0.75%

 

8%

 

11.60%

 

$1,116

5

 

–4%

 

–3%

 

–3.61%

 

0%

 

0.00%

 

$1,000

 

As described above, the Basket Return for each Basketn is equal to the sum of the Weighted Currency Returns for the Reference Currencies in that Basketn.  The examples below illustrate how the Basket Return for Basket 1 is calculated.

Example 1: IDR, SGD, MYR and INR each appreciate relative to their Initial Reference Currency Rate, resulting in a Basket Return of 0.0883, or 8.83%.

 

 

Initial Reference

 

 

 

 

 

 

Reference

 

Currency Rate

 

 

 

Settlement Rate

 

Weighted Currency

Currency

 

(on Trade Date)

 

Weighting

 

(on Valuation Date)

 

Return

IDR

 

9179

 

25%

 

8628

 

0.0160

SGD

 

1.4513

 

25%

 

1.3497

 

0.0188

MYR

 

3.3544

 

25%

 

3.0525

 

0.0247

INR

 

39.29

 

25%

 

35.23

 

0.0288

 

 

 

 

 

 

 

 

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0883

 

Example 2: SGD and MYR depreciate and IDR and INR appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0142, or 1.42%.

 

 

 

Initial Reference

 

 

 

 

 

 

Reference

 

Currency Rate

 

 

 

Settlement Rate

 

Weighted Currency

Currency

 

(on Trade Date)

 

Weighting

 

(on Valuation Date)

 

Return

IDR

 

9179

 

25%

 

7986

 

  0.0374

SGD

 

1.4513

 

25%

 

1.5674

 

–0.0185

MYR

 

3.3544

 

25%

 

3.6563

 

–0.0206

INR

 

39.29

 

25%

 

36.93

 

  0.0160

 

 

 

 

 

 

 

 

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

  0.0142

 

Example 3: IDR and SGD appreciate and MYR and INR depreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0108, or 1.08%.

 

 

Initial Reference

 

 

 

 

 

 

Reference

 

Currency Rate

 

 

 

Settlement Rate

 

Weighted Currency

Currency

 

(on Trade Date)

 

Weighting

 

(on Valuation Date)

 

Return

IDR

 

9179

 

25%

 

8812

 

   0.0104

SGD

 

1.4513

 

25%

 

1.4078

 

   0.0077

MYR

 

3.3544

 

25%

 

3.4215

 

–0.0049

INR

 

39.29

 

25%

 

39.68

 

–0.0025

 

 

 

 

 

 

 

 

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

   0.0108


Example 4: IDR and INR  depreciate and SGD and MYR appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of 0.0075, or 0.75%.

 

 

Initial Reference

 

 

 

 

 

 

Reference

 

Currency Rate

 

 

 

Settlement Rate

 

Weighted Currency

Currency

 

(on Trade Date)

 

Weighting

 

(on Valuation Date)

 

Return

IDR

 

9179

 

25%

 

10097

 

–0.0227

SGD

 

1.4513

 

25%

 

1.3062

 

  0.0278

MYR

 

3.3544

 

25%

 

3.1196

 

  0.0188

INR

 

39.29

 

25%

 

42.04

 

–0.0164

 

 

 

 

 

 

 

 

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

  0.0075

 

Example 5: IDR, SGD, MYR and INR each depreciate relative to their Initial Reference Currency Rate, resulting in a Basket Return of –0.0361, or –3.61%.

 

 

Initial Reference

 

 

 

 

 

 

Reference

 

Currency Rate

 

 

 

Settlement Rate

 

Weighted Currency

Currency

 

(on Trade Date)

 

Weighting

 

(on Valuation Date)

 

Return

IDR

 

9179

 

25%

 

9546

 

–0.0096

SGD

 

1.4513

 

25%

 

1.5239

 

–0.0119

MYR

 

3.3544

 

25%

 

3.4550

 

–0.0073

INR

 

39.29

 

25%

 

40.47

 

–0.0073

 

 

 

 

 

 

 

 

 

 

 

Basket Return = Sum of Weighted Currency Returns =

 

–0.0361