By Angela McDaniels
Seattle, Oct. 13 - Lehman Brothers Holdings Inc. priced a $30 million issue of 0% "Wedding Cake" Foreign Exchange Tiered Range Notes due April 18, 2007 linked to the euro/dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity will be determined based on the performance of the euro/dollar spot exchange rate:
• If the exchange rate remains within reference range 1 during the life of the notes, the payout at maturity will be 107% of par. Reference range 1 is 1.224 to 1.284 dollars per euro;
• If the exchange rate trades outside reference range 1 but remains within reference range 2, payout will be 105% of par. Reference range 2 is 1.204 to 1.304 dollars per euro;
• If the exchange rate trades outside of reference ranges 1 and 2 but remains within reference range 3, payout will be 103% of par. Reference range 3 is 1.184 to 1.324 dollars per euro.
• If the exchange rate trades outside of all three reference ranges, payout will be par.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange Tiered Range Notes
|
| Underlying exchange rate: | Euro/dollar
|
| Amount: | $30 million
|
| Maturity: | April 18, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | 107% of par if the exchange rate remains within reference range 1; 105% of par is the exchange rate trades outside reference range 1 but within reference range 2; 103% of par if the exchange rate trades outside of reference ranges 1 and 2 but within reference range 3; otherwise par
|
| Initial exchange rate: | 1.254 dollars per euro
|
| Reference range 1: | 1.224 to 1.284 dollars per euro
|
| Reference range 2: | 1.204 to 1.304 dollars per euro
|
| Reference range 3: | 1.184 to 1.324 dollars per euro
|
| Pricing date: | Oct. 12
|
| Settlement date: | Oct. 18
|
| Underwriter: | Lehman Brothers Inc.
|
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