By E. Janene Geiss
Philadelphia, Jan. 25 - Lehman Brothers Holdings Inc. priced $15 million of range accrual notes linked to the Sifma index and Libor due Feb. 12, 2038, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay an interest rate of 9.30% through Aug. 12, 2008. After that the rate will be Libor plus 640 basis points multiplied by the proportion of days on which three-month Libor is 3% or less or the Sifma to Libor ratio is 77% or less. Interest is capped at the lesser of 17% and 1.9 multiplied by three-month Libor plus 200 bps.
Interest is payable quarterly.
Lehman Brothers Inc. is the underwriter.
| Issuer: | Lehman Brothers Holdings Inc.
|
| Issue: | Range accrual notes
|
| Underlying indexes: | Sifma, Libor
|
| Amount: | $15 million
|
| Maturity: | Feb. 12, 2038
|
| Coupon: | 9.30% up to Aug. 12, 2008; after that Libor plus 640 bps multiplied by the proportion of days on which three-month Libor is 3% or less or the Sifma to Libor ratio is 77% or less; capped at the lower of 17% and 1.9 times Libor plus 200 bps
|
| Interest rate cap: | Lesser of 17% and 1.9 multiplied by three-month Libor plus 200 bps
|
| Price: | Par
|
| Payout at maturity: | Par plus accrued interest
|
| Pricing date: | Jan. 24
|
| Settlement date: | Feb. 12
|
| Underwriter: | Lehman Brothers Inc.
|
| Fees: | 0%
|
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