By Jennifer Chiou
New York, May 25 - Lehman Brothers Holdings Inc. priced $3.233 million of 100% principal-protected callable daily range accrual notes due May 31, 2009 linked to the 10-year Constant Maturity Treasury (CMT) rate, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay interest equal to the base rate of 6.8% multiplied by 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 underwriters.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | 100% principal-protected callable daily range accrual notes
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Amount: | $3.233 million
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Maturity: | May 31, 2009
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Coupon: | 6.8% multiplied by the proportion of days on which the 10-year CMT rate is within the accrual range of 4.15% to 5.05%; payable quarterly
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Price: | Par
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Payout at maturity: | Par plus accrued interest
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Call: | At par on any interest payment date beginning Nov. 30, 2007
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Pricing date: | May 23
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Settlement date: | May 31
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Underwriters: | UBS Financial Services Inc., Lehman Brothers Inc.
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Fees: | 1.25%
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