Filed Pursuant to Rule 433
Registration No: 333-134553
FX Basket-Linked Note | |||||
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| Final Terms and Conditions | |||
“BRICK Leveraged Appreciation Basket” |
| November 28, 2007 | |||
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| 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 | ||||
| Issuer |
| Lehman Brothers Holdings Inc. (A1, A+, AA–) | ||
| Issue Size |
| USD 500,000 (increasing the total offering size to USD 2,136,000) | ||
| Issue Price |
| 100% | ||
| Principal Protection |
| 100% at the Maturity Date | ||
| Upsize Trade Date: |
| November 28, 2007 | ||
| Original Trade Date |
| November 27, 2007 | ||
| Issue Date |
| November 30, 2007 | ||
| Valuation Date |
| November 23, 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 30, 2009 | ||
| Reference Currencies |
| Brazilian Real (BRL), Russian Ruble (RUB), Indian Rupee (INR), Chinese Renminbi (CNY) and South Korean Won (KRW) | ||
| Reference Exchange |
| For each Reference Currency, the spot exchange rate for that Reference Currency quoted against | ||
Rates |
| the U.S. dollar expressed as number of units of the Reference Currency per USD 1. | ||||||||
Leverage |
| 250% | ||||||||
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: | ||||||||
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| Leverage * Basket Return | ||||||||
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| 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 | } |
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| Initial Reference Currency Rate |
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Weightings and Initial Reference Currency Rates |
| The Weighting and Initial Reference Currency Rate for each Reference Currency is as set forth below: | ||||||||
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| Reference Currency | Weighting | Initial Reference Currency Rate | ||||||
|
| BRL | 20% | 1.8501 | ||||||
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| RUB | 20% | 24.3242 | ||||||
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| INR | 20% | 39.85 | ||||||
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| CNY | 20% | 7.3872 | ||||||
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| KRW | 20% | 928.20 | ||||||
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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 Original Trade Date. | ||||||||
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: | ||||||||
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| 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 | ||||||
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| RUB | EMTA | Moscow | ||||||
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| INR | RBIB | Mumbai | ||||||
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| CNY | SAEC | Beijing | ||||||
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| KRW | KFTC18 | Seoul | ||||||
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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. | ||||||||
Business Day |
| New York | ||||||||
Business Day |
| Following | ||||||||
Convention |
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| ||||||
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: | ||||||
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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; | |||||
|
| 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). | ||||||
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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 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: US5252M0AH0 | ||||||
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| CUSIP: 5252M0AH0 | ||||||
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 |
| $22.5 |
| $977.50 | |
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| Total (3) | $500,000 |
| $11,250 |
| $488,750 | |
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| (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 such 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. | |||||
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| (2) | Lehman Brothers Inc. will receive commissions of up to $22.50 per $1,000 principal amount, or of up to 2.25%, | |||||
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| 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 |
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| (3) | The notes will be issued in an aggregate principal amount of $500,000 and will form a single tranche with the $1,636,000 aggregate principal amount of Medium-Term Notes, Series I, due November 30, 2009, that Lehman Brothers Holdings will issue on November 30, 2007. The notes will have the same CUSIP and ISIN numbers as the other notes of this tranche and will settle on the same date as, and trade interchangeably with, the other notes of this tranche. The issuance of the notes will increase the aggregate principal amount of this tranche to $2,136,000. |
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 November 21, 2004 through the week ending November 25, 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 November 21, 2007 through the week ending November 25, 2007, and through the Original Trade Date, 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 the Original Trade Date based upon the Initial 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.
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 the Leverage of 250% and the Initial Reference Currency Rates (each of which were determined on the Original Trade Date), as well as hypothetical values for the Settlement Rates (which will be determined on the Valuation Date), and the resulting hypothetical Basket Return.
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, RUB, INR, CNY and KRW each appreciate relative to its Initial Currency Rate, resulting in a Basket Return of 0.0720 (7.20%). The Additional Amount is therefore 18.00%, and the Redemption Amount is equal to the product of 118.00%, times the principal amount of the notes.
Because the Basket Return is 0.0720, the Redemption Amount payable at maturity is equal to $1,180.00 per $1,000 note (reflecting an Additional Amount of $180.00 per note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 250% * 0.0720) = $1,180.00.
The table below illustrates how the Basket Return in the above example was calculated:
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| Initial Reference |
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| Currency Rate |
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| Hypothetical |
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|
Reference |
| (on Original Trade |
|
|
| Settlement Rate |
| Weighted Currency |
|
Currency |
| Date) |
| Weighting |
| (on Valuation Date) |
| Return |
|
BRL |
| 1.8501 |
| 20% |
| 1.7206 |
| 0.0140 |
|
RUB |
| 24.3242 |
| 20% |
| 22.3783 |
| 0.0160 |
|
INR |
| 39.85 |
| 20% |
| 35.47 |
| 0.0220 |
|
CNY |
| 7.3872 |
| 20% |
| 6.9440 |
| 0.0120 |
|
KRW |
| 928.20 |
| 20% |
| 891.07 |
| 0.0080 |
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|
|
|
|
|
| Basket Return = |
| 0.0720 |
|
Example 2: BRL, RUB, INR, CNY and KRW each depreciate relative to its Initial Currency Rate, resulting in a Basket Return of –0.0456 (–04.56%). 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 –0.0456, 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 repayment of principal invested, with no additional return.
The table below illustrates how the Basket Return in the above example was calculated:
|
| Initial Reference |
|
|
|
|
|
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|
|
| Currency Rate |
|
|
| Hypothetical |
|
|
|
Reference |
| (on Original Trade |
|
|
| Settlement Rate |
| Weighted Currency |
|
Currency |
| Date) |
| Weighting |
| (on Valuation Date) |
| Return |
|
BRL |
| 1.8501 |
| 20% |
| 1.9278 |
| –0.0084 |
|
RUB |
| 24.3242 |
| 20% |
| 24.8350 |
| –0.0042 |
|
INR |
| 39.85 |
| 20% |
| 42.08 |
| –0.0112 |
|
CNY |
| 7.3872 |
| 20% |
| 7.9708 |
| –0.0158 |
|
KRW |
| 928.20 |
| 20% |
| 956.05 |
| –0.0060 |
|
|
|
|
|
|
| Basket Return = |
| –0.0456 |
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Example 3: BRL, RUB and KRW each appreciate relative to its Initial Reference Currency Rate, while INR and CNY each depreciate relative to its Initial Currency Rate, resulting in a Basket Return of 0.0310 (3.10%). The Additional Amount is therefore 7.75%, and the Redemption Amount is equal to the product of 107.75%, times the principal amount of the notes.
Because the Basket Return is 0.0310, the Redemption Amount payable at maturity is equal to $1,077.50 per $1,000 note (reflecting an Additional Amount of $77.50 per note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 250% * 0.0310) = $1,077.50.
The table below illustrates how the Basket Return in the above example was calculated:
|
| Initial Reference |
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|
|
|
|
|
|
| Currency Rate |
|
|
| Hypothetical |
|
|
|
Reference |
| (on Original Trade |
|
|
| Settlement Rate |
| Weighted Currency |
|
Currency |
| Date) |
| Weighting |
| (on Valuation Date) |
| Return |
|
BRL |
| 1.8501 |
| 20% |
| 1.6614 |
| 0.0204 |
|
RUB |
| 24.3242 |
| 20% |
| 22.2810 |
| 0.0168 |
|
INR |
| 39.85 |
| 20% |
| 40.81 |
| –0.0048 |
|
CNY |
| 7.3872 |
| 20% |
| 7.6605 |
| –0.0074 |
|
KRW |
| 928.20 |
| 20% |
| 900.35 |
| 0.0060 |
|
|
|
|
|
|
| Basket Return = |
| 0.0310 |
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Example 4: BRL, INR and KRW each depreciate relative to its Initial Reference Currency Rate while RUB and CNY each appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of –0.0272 (–2.72%). The Additional Amount is therefore equal to 0%, and the Redemption Amount is equal to the product of 100%, times the principal amount of the notes.
Because the Basket Return is –0.0272, 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 repayment of principal invested, with no additional return.
The table below illustrates how the Basket Return in the above example was calculated:
|
| Initial Reference |
|
|
|
|
|
|
|
|
| Currency Rate |
|
|
| Hypothetical |
|
|
|
Reference |
| (on Original Trade |
|
|
| Settlement Rate |
| Weighted Currency |
|
Currency |
| Date) |
| Weighting |
| (on Valuation Date) |
| Return |
|
BRL |
| 1.8501 |
| 20% |
| 2.1147 |
| –0.0286 |
|
RUB |
| 24.3242 |
| 20% |
| 23.5458 |
| 0.0064 |
|
INR |
| 39.85 |
| 20% |
| 45.95 |
| –0.0306 |
|
CNY |
| 7.3872 |
| 20% |
| 6.2200 |
| 0.0316 |
|
KRW |
| 928.20 |
| 20% |
| 956.05 |
| –0.0060 |
|
|
|
|
|
|
| Basket Return = |
| –0.0272 |
|