By Jennifer Chiou
New York, Jan. 31 - Lehman Brothers Holdings Inc. priced a further $3 million of its issue of Range Notes due Feb. 15, 2022 linked to the three-month Libor, according to an FWP filing with the Securities and Exchange Commission. The total size is now $6 million.
Interest will be payable quarterly. The coupon amount for each quarter up to but excluding Feb. 15, 2012 will be 7% multiplied by the interest accrual factor, which equals the number of days during that quarter that the three-month Libor was greater than or equal to the lower Libor barrier and less than or equal to the upper Libor barrier divided by the total number of days in that quarter. Thereafter until maturity, the coupon amount for each quarter will be 10% multiplied by the interest accrual factor.
The upper Libor barrier is 7% and the lower Libor barrier is 0%.
The payout at maturity will be par. The notes are callable at par on each interest payment date beginning May 15, 2007.
Issuer: | Lehman Brothers Holdings Inc.
|
Issue: | Range Notes
|
Underlying interest rate: | Three-month Libor
|
Amount: | $3 million
|
Maturity: | Feb. 15, 2022
|
Coupon: | 7% multiplied by the interest accrual factor up to but excluding Feb. 15, 2012; 10% multiplied by the interest accrual factor thereafter
|
Interest accrual factor: | Percentage of days in each quarter that the three-month Libor remained within the upper and lower Libor barriers
|
Upper Libor barrier: | 7%
|
Lower Libor boundary: | 0%
|
Price: | Variable price reoffer
|
Payout at maturity: | Par
|
Call: | On interest payment dates starting May 15, 2007 at par
|
Pricing date: | Jan. 30
|
Settlement date: | Feb. 15
|
Underwriter: | Lehman Brothers Inc.
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.