By E. Janene Geiss
Philadelphia, Nov. 28 - Lehman Brothers Holdings Inc. priced a $12.02 million issue of 100% principal protected Foreign Exchange Range Notes due March 1, 2007 linked to the euro/dollar spot exchange rate, according to a 424B3 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus 3.125% - equivalent to a 12.5% annual return - if the euro/dollar spot exchange rate remains within the reference range of 1.266 dollars per euro to 1.3560 dollars per euro during the life of the notes.
If the euro/dollar spot exchange rate falls outside the reference range during the life of the notes, payout at maturity will be par.
| Issuer: | Lehman Brothers Holdings Inc.
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| Issue: | Foreign Exchange Range Notes
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| Underlying exchange rate: | Euro/dollar
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| Amount: | $12.02 million
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| Maturity: | March 1, 2007
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 3.125% if the exchange rate remains within the reference range; otherwise par
|
| Initial exchange rate: | 1.311 dollars per euro
|
| Reference range: | 1.266 dollars per euro to 1.3560 dollars per euro
|
| Pricing date: | Nov. 27
|
| Settlement date: | Dec. 1
|
| Underwriter: | Lehman Brothers Inc.
|
| Underwriting discount: | None
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