By Jennifer Chiou
New York, May 3 - Lehman Brothers Holdings Inc. priced $3 million of 15-year Constant Maturity Swap (CMS) spread range accrual notes due May 23, 2022, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay an interest rate of 8.5%, 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%.
Interest is payable quarterly.
The notes will be callable at par on any interest payment date beginning May 23, 2008.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Spread range accrual notes
|
| Amount: | $3 million
|
| Maturity: | May 23, 2022
|
| Coupon: | 8.5% multiplied by an interest accrual factor equal to the proportion of days on which the spread of the 30-year CMS rate over the 10-year CMS rate is greater than or equal to 0%; payable quarterly
|
| Price: | Par
|
| Call: | At par on any interest payment date beginning May 23, 2008
|
| Payout at maturity: | Par plus accrued interest
|
| Pricing date: | May 3
|
| Settlement date: | May 23
|
| Underwriter: | Lehman Brothers Inc.
|
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