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
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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. | ||||||||||
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| Basket 1: | Brazilian Real (BRL), Argentine Peso (ARS) and Mexican Peso (MXN) | |||||||||
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| Basket 2: | Turkish Lira (TRY), Hungarian Forint (HUF), Israeli Shekel (ILS) and Russian Ruble (RUB) | |||||||||
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| Basket 3: | Indonesian Rupiah (IDR), Singapore Dollar (SGD), Malaysian Ringgit (MYR) and Indian Rupee (INR) | |||||||||
Reference Exchange |
| 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 | ||||||||||
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| 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 |
| For each Reference Currency in each Basket n: | ||||||||||
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| Weighting * | { | Initial Reference Currency Rate – Settlement Rate | } | |||||||
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| 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: | ||||||||||
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| Basket n |
| Reference |
| Initial Reference |
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| ||||
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|
|
| 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% | ||||
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|
|
| HUF |
| 173.38 |
| 25% | ||||
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|
|
| ILS |
| 3.9350 |
| 25% | ||||
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|
|
| RUB |
| 24.6209 |
| 25% | ||||
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| Basket 3 |
| IDR |
| 9179 |
| 25% | ||||
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|
|
| SGD |
| 1.4513 |
| 25% | ||||
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|
|
| MYR |
| 3.3544 |
| 25% | ||||
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|
|
| INR |
| 39.29 |
| 25% | ||||
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| 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 |
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| |
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| Currency |
| Screen Reference |
| Valuation Business Day | |
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| BRL |
| BRFR |
| Brazilia, Rio de Janiero or São Paulo; and New York | |
|
| ARS** |
| ARS= |
| Buenos Aires and New | |
|
| MXN |
| MEX01 |
| Mexico City and New York | |
|
| TRY |
| The EUR/TRY rate on ECB37 |
| TARGET and New York | |
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| 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 | |
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| IDR |
| ABSIRFIX01 |
| Singapore and New York | |
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| SGD |
| ABSIRFIX01 |
| Singapore and New York | |
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| MYR |
| ABSIRFIX01 |
| Singapore and New York | |
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| INR |
| RBIB |
| Mumbai and New York | |
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| 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. | |||||
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| ** 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 |
| 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: | |||||
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| • | 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 | ||||
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| • | 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; | ||||
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| 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 | |||||
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| 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). | ||||||
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| A “Disruption Event” means any of the following events with respect to a Reference Currency, as determined in good faith by the Calculation Agent: | ||||||
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| (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; | |||||
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| (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 | |||||
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| (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. | |||||
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| 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 | ||||||
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| 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.
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| 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 |
|
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|
|
|
|
|
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|
|
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%.
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 |
�� |
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|
|
|
|
|
|
|
|
| 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 |