By E. Janene Geiss
Philadelphia, May 21 - Lehman Brothers Holdings Inc. priced a $3 million issue of three-month Double Conditional Range Notes due Aug. 24, 2007 linked to the British pound /dollar spot exchange rate and the Canadian dollar/U.S. dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be par plus a fixed return of 1.875% (7.5% annual equivalent) if both exchange rates trade strictly within their respective reference ranges. If either exchange rate trades outside of its reference range, the payout at maturity will be par.
The reference range for the sterling/dollar spot exchange rate, 1.8867 to 2.0467, expressed as the number of dollars per pound sterling, is 8.5 cents higher and 7.5 cents lower than the initial spot exchange rate of 1.9717.
The reference range for the Canadian dollar/U.S. dollar spot exchange rate, 1.0451 to 1.1401, is 4.75 Canadian cents more or less than the initial spot exchange rate of 1.0926.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Double Conditional Range Notes
|
| Underlying exchange rates: | British pound /dollar, Canadian dollar/U.S. dollar spot exchange rate
|
| Amount: | $3 million
|
| Maturity: | Aug. 24, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 1.875% (7.5% annual equivalent) if both exchange rates have traded strictly within their respective reference ranges; otherwise par
|
| Initial exchange rates: | 1.9717 dollars per pound sterling, 1.0926 dollars per Canadian dollar
|
| Reference ranges: | 1.8867 to 2.0467 dollars per pound sterling, 1.0451 to 1.1401 dollars per Canadian dollar
|
| Pricing date: | May 18
|
| Settlement date: | May 24
|
| Underwriter: | Lehman Brothers Inc.
|
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