Lehman plans to price index spread notes linked to Libor, BMA rate

By E. Janene Geiss

Philadelphia, Aug. 14 ? Lehman Brothers Holdings Inc. plans to price an issue of index spread notes due Aug. 21, 2037 linked to Libor and the BMA municipal swap rate, according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price Aug. 17 and settle Aug. 22.

The notes will pay 10.83% until Aug. 21, 2008. After that, the notes will pay three-month Libor plus 560 basis points plus eight times the difference between 65% of three month Libor and the average BMA municipal swap index. The interest rate is capped at 1.9 times three months Libor plus 75 basis points, with a maximum of 17%.

Interest will be payable quarterly.

Lehman Brothers Inc. is the underwriter.

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