Lehman to price two-year spread range accrual notes linked to CMS rates

By E. Janene Geiss

Philadelphia, June 19 - Lehman Brothers Holdings Inc. plans to price an offering of two-year CMS (constant maturity swap) spread daily accrual notes due 2009, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price in June.

The notes will pay a percentage expected to be 7.75%, multiplied by an interest accrual factor equal to the proportion of days on which the spread of the 10-year CMS rate over the two-year CMS rate is greater than or equal to 0.25%.

Interest will be payable quarterly.

Lehman Brothers Inc. is an agent.

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