FWP 1 a08-15739_17fwp.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+)(1)

Issue Size:

 

$25,000,000

Issue Price:

 

100.0%

Redemption Price:

 

100.0%

CUSIP:

 

5252M0GN1

Trade Date:

 

June 17, 2008

Issue Date:

 

June 26, 2008

Maturity Date:

 

June 26, 2023, subject to Issuer’s Call Option

Interest Rate:

 

From and including the Issue Date to but excluding June 26, 2009:
14.00% per annum

From and including June 26, 2009 to but excluding the Maturity Date:

20 * (30yr CMS Rate – 2yr CMS Rate), subject to a minimum annual Interest Rate of 0.00% and a maximum annual Interest Rate of 20.00%

Day Count Basis:

 

30/360

 

(1) Lehman Brothers Holdings Inc. is rated A1 by Moody’s, A by Standard & Poor’s and A+ by Fitch. A credit rating reflects the creditworthiness of Lehman Brothers Holdings Inc. and is not a recommendation to buy, sell or hold securities, and it may be subject to revision or withdrawal at any time by the assigning rating organization. Each rating should be evaluated independently of any other rating.

 


 

 

Interest Period:

 

Quarterly from and including each Interest Payment Date (or the Issue Date, in the case of the first Interest Period) to but excluding the next succeeding Interest Payment Date (or the Maturity Date, in the case of the final Interest Period)

Interest Payment Dates:

 

Quarterly on the 26th of each March, June, September and December, commencing September 26, 2008, subject to Issuer’s Call Option

Interest Reset Dates:

 

Quarterly on the 26th of each March, June, September and December, commencing June 26, 2009, 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 New York 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. 

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 30yr 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 Series I MTN prospectus supplement.

Business Days:

 

New York and London

Issuer’s Call Option:

 

The Issuer has the right on every Interest Payment Date, commencing on or after June 26, 2009, to call the notes in whole or in part at the Redemption Price, provided that the Issuer gives 5 Business Days notice to the investor.  All amounts that may otherwise be payable following the call date shall cease to be payable.

Business Day Convention:

 

Modified following, unadjusted

Denominations:

 

$1,000 / $1,000

Calculation Agent:

 

Lehman Brothers Special Financing Inc.

Underwriter:

 

Lehman Brothers Inc.

 


 

 

Fees:

 

 

 

Price to Public (1)

 

Fees(2)

 

Proceeds to the Issuer 

 

 

Per note

 

$1,000

 

$6.00

 

$994.00

 

 

 

Total

 

$25,000,000

 

$150,000

 

$24,850,000

 

 

 

 

 

 

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

 

 

 

 

 

(2) Lehman Brothers Inc. will receive commissions of $6.00 per $1,000 principal amount, or 0.60%, 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” 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.

 

Based on the current interest rate environment, Lehman Brothers Holdings Inc. estimates that the comparable yield of the notes would be an annual rate of approximately 8.30%, compounded semi-annually.  Lehman Brothers Holdings Inc. will not determine the actual comparable yield of the notes, however, until the notes are issued.

 

You can obtain the comparable yield and projected payment schedule by submitting a written request to Lehman Brothers Holdings Inc. at the following address:

 

Controller’s Office

Lehman Brothers Holdings Inc.

745 Seventh Avenue

New York, New York 10019

(212) 526-7000

 


 

 

Historical Levels of the 30yr CMS Rate and 2yr CMS Rate

 

The following shows the 30yr 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 30yr CMS Rate and 2yr CMS Rate should not be taken as an indication of the future performance of the 30yr CMS Rate and 2yr CMS Rate during the term of the notes.  Fluctuations in the level of the 30yr CMS Rate and 2yr CMS Rate make the notes’ effective interest rate after June 26, 2009, 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 %)

 

2yr CMS Rate (in %)

 

30yr CMS Rate – 2yr CMS
Rate (in %)

6/17/2008

 

5.211

 

3.922

 

1.289

3/26/2008

 

4.621

 

2.534

 

2.087

12/26/2007

 

5.173

 

4.011

 

1.162

9/26/2007

 

5.533

 

4.692

 

0.841

6/26/2007

 

5.872

 

5.373

 

0.499

3/26/2007

 

5.314

 

4.956

 

0.358

12/26/2006

 

5.233

 

5.061

 

0.172

9/26/2006

 

5.225

 

5.072

 

0.153

6/26/2006

 

5.887

 

5.728

 

0.159

3/27/2006

 

5.3

 

5.149

 

0.151

12/27/2005

 

5.073

 

4.828

 

0.245

9/26/2005

 

5.001

 

4.456

 

0.545

6/27/2005

 

4.616

 

3.922

 

0.694

3/28/2005

 

5.375

 

4.304

 

1.071

12/27/2004

 

5.312

 

3.453

 

1.859

9/27/2004

 

5.105

 

2.89

 

2.215

6/28/2004

 

5.78

 

3.247

 

2.533

3/26/2004

 

5.034

 

1.82

 

3.214

12/26/2003

 

5.295

 

2.127

 

3.168

9/26/2003

 

5.27

 

1.879

 

3.391

6/26/2003

 

4.776

 

1.545

 

3.231

3/26/2003

 

5.221

 

1.955

 

3.266

12/26/2002

 

5.252

 

2.03

 

3.222

9/26/2002

 

5.22

 

2.38

 

2.84

6/26/2002

 

5.856

 

3.109

 

2.747

3/26/2002

 

6.32

 

4.114

 

2.206

12/27/2001

 

6.279

 

3.695

 

2.584

9/26/2001

 

6.026

 

3.404

 

2.622

6/26/2001

 

6.367

 

4.537

 

1.83

3/26/2001

 

6.1625

 

4.84307

 

1.31943

12/27/2000

 

6.248

 

5.865

 

0.383

9/26/2000

 

7.019

 

6.762

 

0.257

6/26/2000

 

7.368

 

7.292

 

0.076

 


 

 

3/27/2000

 

7.29

 

7.247

 

0.043

12/27/1999

 

7.321

 

6.776

 

0.545

9/27/1999

 

6.976

 

6.14

 

0.836

6/28/1999

 

6.879

 

6.129

 

0.75

3/26/1999

 

6.254

 

5.435

 

0.819

12/28/1998

 

5.852

 

5.259

 

0.593