By Jennifer Chiou
New York, Jan. 11 - Lehman Brothers Holdings Inc. upsized its issue of CMS spread range accrual notes due Jan. 24, 2023 to $8 million, according to an FWP filing with the Securities and Exchange Commission.
On Jan. 4, $5 million of the notes were priced.
Interest is payable quarterly and equals 8% 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%. Interest for each quarter will be at least 0%.
The notes are callable at par on any interest payment date beginning July 24, 2008.
Lehman Brothers Inc. is the underwriter.
Issuer: | Lehman Brothers Holdings Inc.
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Issue: | CMS spread range accrual notes
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Amount: | $8 million (upsized from $5 million)
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Maturity: | Jan. 24, 2023
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Coupon: | 8% 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%; 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 July 24, 2008
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Pricing date: | Jan. 4 for $5 million; Jan. 11 for $3 million
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Settlement date: | Jan. 24
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Underwriter: | Lehman Brothers Inc.
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Fees: | 1.2%
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