Lehman to price callable daily range accrual notes linked to CMT rates

By Jennifer Chiou

New York, April 30 - Lehman Brothers Holdings Inc. plans to price 100% principal-protected callable daily range accrual notes due May 31, 2009 linked to the 10-year Constant Maturity Treasury (CMT) rate, according to an FWP filing with the Securities and Exchange Commission.

The notes will price on May 23 and settle on May 31.

The notes will pay interest equal to the base rate of 6.125% to 6.625%, a percentage to be determined at pricing, on the proportion of days on which the 10-year CMT rate is within the accrual range of 4.15% to 5.05%.

Interest will be payable quarterly.

If the notes are held until maturity, investors will receive par plus accrued interest.

The notes will be callable at par on any interest payment date beginning Nov. 30, 2007.

UBS Financial Services Inc. and Lehman Brothers Inc. are the agents.

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