By Angela McDaniels
Seattle, Sept. 28 - Lehman Brothers Holdings Inc. priced $3 million of CMS spread range accrual notes due Oct. 17, 2022, according to an FWP filing with the Securities and Exchange Commission.
Interest is payable quarterly and equals 9%, multiplied by the proportion of days on which the spread of the 30-year Constant Maturity Swap (CMS) rate over the two-year CMS rate is greater than or equal to 0.1%. Interest for each quarter will be at least 0%.
The notes are callable at par on any interest payment date beginning Jan. 17, 2008.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | Spread range accrual notes
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Amount: | $3 million
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Maturity: | Oct. 17, 2022
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Coupon: | 9% multiplied by the proportion of days on which the spread of the 30-year CMS rate over the 10-year CMS rate is at least 0.1%; payable quarterly with a floor of 0%
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Price: | Par
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Payout at maturity: | Par
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Call: | At par on interest payment dates beginning Jan. 17, 2008
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Pricing date: | Sept. 27
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Settlement date: | Oct. 17
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Underwriter: | Lehman Brothers Inc.
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Fees: | 2.1%
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