By Jennifer Chiou
New York, March 13 - Lehman Brothers Holdings Inc. priced a $3 million offering of CMS (constant maturity swap) spread range accrual notes due March 28, 2022, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay 9% multiplied by an interest accrual factor equal to the proportion of days on which the spread of the 30-year CMS rate over the two-year CMS rate is greater than or equal to 0.1%.
Interest will be payable quarterly.
The notes will be callable at par on any interest payment date beginning June 28, 2007.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | CMS spread range accrual notes
|
| Amount: | $3 million
|
| Maturity: | March 28, 2022
|
| Interest rate: | 9% multiplied by an interest accrual factor equal to the proportion of days on which the spread of the 30-year CMS rate over the two-year CMS rate is 0.1% or greater
|
| Price: | Par
|
| Call: | On interest payment dates beginning June 28, 2007 at par
|
| Payout at maturity: | Par plus accrued interest
|
| Pricing date: | March 12
|
| Settlement date: | March 28
|
| Underwriter: | Lehman Brothers Inc.
|
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