By Jennifer Chiou
New York, Dec. 21 - Lehman Brothers Holdings Inc. priced a $3 million issue of Double Conditional Range Notes due June 27, 2007 linked to the euro/dollar spot exchange rate and the Mexican peso/dollar spot exchange rate, according to an FWP filing with the Securities and Exchange Commission.
The payout at maturity is par plus a fixed return of 7.5% if both exchange rates have traded strictly within their respective reference ranges. If either exchange rate trades outside of its reference range, the payout at maturity is par.
The reference range for the euro/dollar spot exchange rate, 1.245 to 1.395, expressed as the number of dollars per euro, is 7.5 cents higher and lower than the initial spot exchange rate.
The upper boundary of the reference range for the Mexican peso/dollar spot exchange rate, 10.2502 to 11.3002, expressed as the number of dollars per Mexican peso, is 50 cents more than the initial spot exchange rate, and the lower boundary is 55 cents less than the initial spot exchange rate.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Foreign Exchange Range Notes
|
| Underlying exchange rates: | Euro/dollar, Mexican peso/dollar spot exchange rate
|
| Amount: | $3 million
|
| Maturity: | June 27, 2007
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 7.5% if both exchange rates have traded strictly within their respective reference ranges; otherwise par
|
| Initial exchange rates: | 1.32 dollars per euro, 10.8002 dollars per euro
|
| Reference ranges: | 1.245 to 1.395 dollars per euro, 10.2502 to 11.3002 dollars per peso
|
| Pricing date: | Dec. 20
|
| Settlement date: | Dec. 27
|
| Underwriter: | Lehman Brothers Inc.
|
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