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Lehman to price spread daily accrual notes linked to CMS rates
By Angela McDaniels
Seattle, June 29 - Lehman Brothers Holdings Inc. plans to price principal-protected callable spread daily accrual notes due July 31, 2022 linked to the 30-year and two-year Constant Maturity Swap (CMS) rates, according to an FWP filing with the Securities and Exchange Commission.
The notes are expected to price on July 25 and settle on July 31.
Interest will be payable and reset quarterly and will equal the base interest rate multiplied by the proportion of days on which the spread of the 30-year CMS rate over the two-year CMS rate is zero or greater. The base interest rate is expected to be 7.7% to 8.2% and will be determined at pricing.
The payout at maturity will be par.
The notes will be callable at par on each interest payment date beginning July 31, 2008.
UBS Financial Services Inc. and Lehman Brothers Inc. will be the underwriters.
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