Filed Pursuant to Rule 433
Registration No: 333-134553
FX Basket-Linked Note |
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“BRICK Bull-Bear Note” |
| Final Terms and Conditions |
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| February 26, 2008 |
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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
This note allows an investor to hold via single basket simultaneous long and short positions in the Brazilian Real (BRL), Russian Ruble (RUB), Indian Rupee (INR), Chinese Renminbi (CNY), and South Korean Won (KRW) (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 appreciated in aggregate 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 Upside Leverage (100%) 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 depreciated in aggregate relative to USD on the Valuation Date), then the investor will receive at maturity the principal amount of the notes multiplied by the product of the Downside Return Rate (60%) and the absolute value of the Basket Return (that is, negative one times the Basket Return). Furthermore, if the Basket Return is exactly equal to zero on the Valuation Date (that is, the Reference Currencies have neither appreciated nor depreciated in aggregate relative to the USD on the Valuation Date), the investor will receive at maturity only the repayment of the principal invested, with no additional return. The notes do not bear interest and are 100% principal protected if held to maturity.
Issuer |
| Lehman Brothers Holdings Inc. |
Ratings |
| (A1, A+, AA—)(1) |
Issue Size |
| USD 2,223,000 |
Issue Price |
| 100% |
Principal Protection |
| 100% at the Maturity Date |
Trade Date |
| February 26, 2008 |
Issue Date |
| February 29, 2008 |
Valuation Date |
| February 23, 2011; 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). |
1. Lehman Brothers Holdings Inc. is rated A+ by Standard & Poor’s, A1 by Moody’s and AA- 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.
Maturity Date |
| February 28, 2011 | |
Reference Currencies |
| Brazilian Real (BRL), Russian Ruble (RUB), Indian Rupee (INR), Chinese Renminbi (CNY) and the South Korean Won (KRW) | |
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 one USD. | |
Upside Leverage |
| 100% | |
Downside Return Rate |
| 60% | |
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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| Upside Leverage x Basket Return | If the Basket return is greater than zero |
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| Downside Return Rate x (-1 x Basket Return) | If the Basket return is less or equal to zero |
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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: | |
Settlement Rate Option |
| For each Reference Currency as set forth below: | ||
and Valuation Business |
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Day: |
| Reference | Screen Reference | Valuation Business Day |
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| BRL | BRFR | Brazilia, Rio de Janiero or São Paulo |
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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 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: | ||
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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 | |
· | 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: | ||||
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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: US5252M0DA23 | |||||||
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| CUSIP: 5252M0DA2 | |||||||
Settlement System |
| DTC | |||||||
Denominations |
| USD 1,000 and whole multiples of USD 1,000 | |||||||
Issue Type |
| US MTN | |||||||
Fees |
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| Price to Public(1) |
| Fees(2) |
| Proceeds to the Issuer | |
Per note |
| $1,000 |
| $25.00 |
| $975.00 | |||
Total |
| $2,223,000 |
| $55,575 |
| $2,167,425 | |||
(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 these affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. | ||||||||
(2) | Lehman Brothers Inc. will receive commissions of $25.00 per $1,000 principal amount, or of 2.50%, 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 February 27, 2005, through the week ending February 24, 2008, 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 Reference Currency per U.S. dollar to show the appreciation or depreciation, as the case may be, of the U.S. dollar relative to the Reference Currency. 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 Basket Return will be greater than, less than or equal to zero and, consequently, the Additional Amount payable at maturity. 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 February 27, 2005 through the week ending February 24, 2008, and February 26, 2008, 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 February 26, 2008, 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 was 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 for the Additional Amounts payable if the Basket Return is greater or less than zero, based on the values for the Upside Leverage (100%), the Downside Return Rate (60%) and the Initial Reference Currency Rates (each of which were determined on the Trade Date), as well hypothetical values for the Settlement Rates (which will be determined on the Valuation Date), and the resulting 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 appreciate relative to their respective Initial Reference Currency Rates, resulting in a Basket Return of 0.0720. The Additional Amount is therefore equal to $72.00 or 7.20%, and the Redemption Amount is equal to the product of 107.20% times the principal amount of the notes.
Because the Basket Return is 0.0720, the Redemption Amount payable at maturity is equal to $1,072.00 per $1,000 note (reflecting an Additional Amount of $72.00 per $1,000 note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 100% * 0.0720) = $1,072.00
The table below illustrates how the Basket Return in the above example was calculated:
Reference Currency |
| Initial Reference Currency Rate |
| Hypothetical Settlement Rate |
| Weighting |
| Weighted Currency Return |
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BRL |
| 1.6882 |
| 1.5700 |
| 20% |
| 0.0140 |
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RUB |
| 24.4305 |
| 22.4761 |
| 20% |
| 0.0160 |
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INR |
| 39.91 |
| 35.52 |
| 20% |
| 0.0220 |
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CNY |
| 7.1505 |
| 6.7215 |
| 20% |
| 0.0120 |
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KRW |
| 947.40 |
| 909.50 |
| 20% |
| 0.0080 |
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| Basket Return = |
| 0.0720 |
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Example 2: BRL, RUB, INR, CNY and KRW depreciate relative to their respective Initial Reference Currency Rates, resulting in a Basket Return of —0.0456. Because the Basket Return is less than zero, the Additional Amount is equal to $27.36 or 2.736%, and the Redemption Amount is equal to 102.736%, times the principal amount of the notes.
Because the Basket Return is —0.0456, the Redemption Amount payable at maturity is equal to $1,027.36 per $1,000 note (reflecting an Additional Amount of $27.36 per $1,000 note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 60% * [ - -1 * -0.0456] ) = $1,027.36
The table below illustrates how the Basket Return in the above example was calculated:
Reference |
| Initial Reference Currency Rate |
| Hypothetical Settlement Rate(on Valuation Date) |
| Weighting |
| Weighted Currency Return |
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BRL |
| 1.6882 |
| 1.7591 |
| 20% |
| –0.0084 |
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RUB |
| 24.4305 |
| 24.9435 |
| 20% |
| –0.0042 |
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INR |
| 39.91 |
| 42.14 |
| 20% |
| –0.0112 |
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CNY |
| 7.1505 |
| 7.7154 |
| 20% |
| –0.0158 |
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KRW |
| 947.40 |
| 975.82 |
| 20% |
| –0.0060 |
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| Basket Return = |
| –0.0456 |
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Example 3: BRL, RUB and KRW appreciate relative to their respective Initial Reference Currency Rates, while INR and CNY depreciate relative to their respective Initial Currency Rates, resulting in a Basket Return of 0.0310. The Additional Amount is therefore $31.00 or 3.10%, and the Redemption Amount is equal to the product of 103.10% times the principal amount of the notes.
Because the Basket Return is 0.0310, the Redemption Amount payable at maturity is equal to $1,031.00 per $1,000 note (reflecting an Additional Amount of $31.00 per $1,000 note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 100% * 0.0310) = $1,031.00
The table below illustrates how the Basket Return in the above example was calculated:
Reference |
| Initial Reference Currency Rate (on Trade Date) |
| Hypothetical Settlement Rate (on Valuation Date) |
| Weighting |
| Weighted Currency Return |
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BRL |
| 1.6882 |
| 1.5160 |
| 20% |
| 0.0204 |
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RUB |
| 24.4305 |
| 22.3783 |
| 20% |
| 0.0168 |
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INR |
| 39.91 |
| 40.87 |
| 20% |
| –0.0048 |
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CNY |
| 7.1505 |
| 7.4151 |
| 20% |
| –0.0074 |
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KRW |
| 947.40 |
| 918.98 |
| 20% |
| 0.0060 |
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| Basket Return = |
| 0.0310 |
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Example 4: BRL, INR and KRW depreciate relative to their respective Initial Reference Currency Rates, while RUB and CNY appreciate relative to their respective Initial Reference Currency Rates, resulting in a Basket Return of
–0.0272. The Additional Amount is therefore equal to $16.32 or 1.632%, and the Redemption Amount is equal to the product of 101.632% times the principal amount of the notes.
Because the Basket Return is —0.0272, the Redemption Amount payable at maturity is equal to $1,016.32 per $1,000 note (reflecting an Additional Amount of $16.32 per $1,000 note), calculated as follows:
Redemption Amount = $1,000 + ($1,000 * 60% * [ - -1* -0.0272] ) = $1,016.32
The table below illustrates how the Basket Return in the above example was calculated:
Reference |
| Initial Reference Currency Rate (on Trade Date) |
| Hypothetical Settlement Rate (on Valuation Date) |
| Weighting |
| Weighted Currency Return |
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BRL |
| 1.6882 |
| 1.9296 |
| 20% |
| –0.0286 |
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RUB |
| 24.4305 |
| 23.6487 |
| 20% |
| 0.0064 |
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INR |
| 39.91 |
| 46.02 |
| 20% |
| –0.0306 |
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CNY |
| 7.1505 |
| 6.0207 |
| 20% |
| 0.0316 |
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KRW |
| 947.40 |
| 975.82 |
| 20% |
| –0.0060 |
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| Basket Return = |
| –0.0272 |
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