Exhibit 4.02


 


CALCULATION
AGENCY AGREEMENT


 


CALCULATION AGENCY AGREEMENT, dated as of January 12,
2006 (this “Agreement”), between Lehman Brothers Holdings Inc. (the “Company”)
and Lehman Brothers Inc., as Calculation Agent (the “Calculation Agent”).


 


WHEREAS, the Company proposes to issue and sell its FX
Dual Currency Notes (the “Notes”)
from time to time;


 


WHEREAS, the terms of the Notes are described in a
pricing supplement, dated January 5, 2006 (in connection with the
performance by the Calculation Agent of its services hereunder with respect to
the Notes, the pricing supplement relating to the Notes is referred to herein
as the “relevant Pricing Supplement”), to the prospectus supplement
dated May 18, 2005 and the prospectus dated May 18, 2005;


 


WHEREAS, the Notes will be issued under an Indenture,
dated as of September 1, 1987, between the Company and Citibank, N.A., as
Trustee (the “Trustee”), as supplemented and amended by supplemental
indentures dated as of November 25, 1987, November 27, 1990, September 13,
1991, October 4, 1993, October 1, 1995, and June 26, 1997, and
incorporating Standard Multiple Series Indenture Provisions dated July 30,
1987, as amended November 16, 1987 (collectively, the “Indenture”);
and


 


WHEREAS, the Company requests the Calculation Agent to
perform certain services described herein in connection with the Notes;


 


NOW THEREFORE, the Company and the Calculation Agent
agree as follows:


 


1.                                       Appointment
of Agent.  The Company hereby
appoints Lehman Brothers Inc. as Calculation Agent and Lehman Brothers Inc.
hereby accepts such appointment as the Company’s agent for the purpose of
performing the services hereinafter described upon the terms and subject to the
conditions hereinafter mentioned.


 


2.                                       Calculations
and Information Provided.  In
response to a request made by the Trustee for a determination of the Redemption
Amount with respect to any series of the Notes, the Calculation Agent shall
determine the Redemption Amount (as set forth below) on the Valuation Date (as
defined below) in accordance with the terms of the Notes and this Agreement and
notify the Trustee of its determination. 
In addition, the Calculation Agent shall also be responsible for
determining each of the following items for the Notes, to the extent
applicable:


 


(a)                                  whether
a Disruption Event (as defined below) has occurred;


 


(b)                                 whether
a Price Source Unavailability Event (as defined below) has occurred; and


 


(c)                                  any
other calculation, determination or adjustment specified as being made by the
Calculation Agent in this Agreement, the relevant Pricing Supplement or the
Notes.


 





















 


3.                                       Calculations.  Any calculation or determination by the
Calculation Agent pursuant hereto shall be made at the sole discretion of the
Calculation Agent and shall (in the absence of manifest error) be final and
binding.  Any calculation made by the
Calculation Agent hereunder shall, at the Trustee’s request, be made available
at the Corporate Trust Office. The procedures the Calculation Agent will use to
determine the information described herein with respect to the Notes is set
forth as follows:


 


(a)                                  On the Valuation Date, the
Calculation Agent shall calculate the Redemption Amount for the Notes. The
Redemption Amount is the amount equal to the product of (A) the sum of the
principal amount of the Notes plus the Interest Amount times (B) the Conversion Rate, divided by the Settlement Rate.


 


(i)                                     The “Valuation
Date” is April 5, 2006, or if such day is not a Valuation Business Day,
the next succeeding Valuation Business Day.


 


a.               A “Valuation
Business Day”, with respect to the Reference Currency, is  any day,
other than a Saturday or Sunday, that is neither a legal holiday nor a day on
which commercial banks are authorized or required by law, regulation or
executive order to close (including for dealings in foreign exchange in
accordance with the practice of the foreign exchange market) in Sao Paolo,
Brasilia or Rio de Janeiro.


 


(ii)                                  The “Interest Amount”
is the product of the principal amount of the Notes times
16.00% per annum times the Day Count Fraction.


 


a.               The “Day Count
Fraction” is computed on the basis of a 360-day year and the actual number of
days elapsed.


 


(iii)                               The “Conversion Rate” is
2.2710.


 


(iv)                              The “Settlement Rate” is
the Reference Exchange Rate on the Valuation Date, observed as per the
Settlement Rate Option, provided that the Settlement Rate shall not be lower
than the Settlement Rate Floor.


 


a.               The “Settlement
Rate Floor” is 2.1900.


 


b.              The “Reference
Exchange Rate” is the spot exchange rate for the Reference Currency expressed
as the number of units of Reference Currency per 1 U.S. Dollar (USD).


 


i.                  The “Reference Currency” is the
Brazilian Real (BRL).


 


c.               The “Settlement
Rate Option” is the Brazilian Real/U.S. Dollar offered rate for U.S. Dollars,
expressed as the amount of Brazilian Reals per one U.S. Dollar, for settlement
in two Business Days reported by the Banco Central do Brasil on SISBACEN Data
System under transaction code PTAX-800 (“Consulta de Cambio” or Exchange Rate
Inquiry), Option 5 (“Cotacoes para


 


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Contabilidade” or Rates for Accounting Purposes), which appears on
Reuters Screen BRFR Page under the caption “Dolar PTAX” at approximately
6:30 pm Sao Paolo time on the Valuation Date.


 


(b)                                 Upon the occurrence of a
Disruption Event with respect to the Reference Currency on any day during the
term of the Notes, the Calculation Agent shall determine the Redemption Amount
payable on the Maturity Date in good faith and in a commercially reasonable
manner.


 


(i)                                     A “Disruption
Event” means any of the following events (other than a Price Source
Unavailability Event), as determined in good faith by the Calculation Agent:


 


a.               the occurrence
and/or existence of an event on any day that has the effect of preventing or
making impossible the delivery of USD from accounts inside Brazil to accounts
outside Brazil; or


 


b.              the occurrence and/or existence of any event (other than those set
forth in (A) above or those constituting a Price Source Unavailability
Event) with respect to the Reference Currency that
prevents or makes impossible (x) the Calculation Agent’s ability to calculate
the Redemption Amount, (y) the Company’s fulfillment of its obligations under
the notes, or (z) the ability of the Company or any of its affiliates through
which it hedges its position under the Notes to hedge such position or to
unwind all or a material portion of such
hedge.


 


(ii)                                  The “Maturity Date”
is April 12, 2006, or if such day is not a Business Day, on the next
following Business Day.


 


a.               A “Business Day”,
notwithstanding any provision in the Indenture, is any day that is not is not a
Saturday or Sunday and that is not a day on which banking institutions in New
York City generally are authorized or obligated by law or executive order to be
closed.


 


(c)                                  Upon the occurrence of a Price
Source Unavailability Event, the Settlement Rate will be determined in
accordance with the Fallback Rate Observation Methodology.


 


(i)                                     A
“Price Source Unavailability Event” means, as determined in good faith by the
Calculation Agent, the Settlement Rate being unavailable for the Reference
Currency, or the occurrence of an event
(other than an event constituting a Disruption Event) that generally makes it
impossible to obtain the Settlement Rate, on the Valuation Date.


 


(ii)                                  The “Fallback
Rate Observation Methodology” means that the Settlement Rate will be calculated
on the basis of the arithmetic mean of the applicable spot quotations received
by the Calculation Agent at approximately 10:00 a.m., New York City time,
on the Valuation Business Day next succeeding the Valuation Date for the
purchase or sale for deposits in the Reference Currency by the Reference
Banks.  If


 


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fewer than
three Reference Banks provide spot quotations then the Settlement Rate will be
determined by the Calculation Agent in good faith and in a commercially
reasonable manner.


 


a.               The “Reference
Banks” means the New York offices of three leading banks engaged in the
interbank market selected in the sole discretion of the Calculation Agent.


 


(d)                                 The Calculation Agent shall
notify the Trustee of all such calculations, determinations and adjustment or
if a Disruption Event or a Price Source Unavailability Event with respect to a series of
Notes has occurred.


 


4.                                       Fees
and Expenses.  The Calculation Agent
shall be entitled to reasonable compensation for all services rendered by it as
agreed to between the Calculation Agent and the Company.


 


5.                                       Terms
and Conditions.  The Calculation
Agent accepts its obligations herein set out upon the terms and conditions
hereof, including the following, to all of which the Company agrees:


 


(a)                                  in
acting under this Agreement, the Calculation Agent is acting solely as an
independent expert and not as an agent of the Company and does not assume any
obligation toward, or any relationship of agency or trust for or with, any of
the holders of the Notes;


 


(b)                                 unless
otherwise specifically provided herein, any order, certificate, notice,
request, direction or other communication from the Company or the Trustee made
or given under any provision of this Agreement shall be sufficient if signed by
any person who the Calculation Agent reasonably believes to be a duly
authorized officer or attorney-in-fact of the Company or the Trustee, as the
case may be;


 


(c)                                  the
Calculation Agent shall be obliged to perform only such duties as are set out
specifically herein and any duties necessarily incidental thereto;


 


(d)                                 the
Calculation Agent, whether acting for itself or in any other capacity, may become
the owner or pledgee of Notes with the same rights as it would have had if it
were not acting hereunder as Calculation Agent; and


 


(e)                                  the
Calculation Agent shall incur no liability hereunder except for loss sustained
by reason of its gross negligence or wilful misconduct.


 


6.                                       Resignation;
Removal; Successor.  (a)  The
Calculation Agent may at any time resign by giving written notice to the
Company of such intention on its part, specifying the date on which its desired
resignation shall become effective, subject to the appointment of a successor
Calculation Agent and acceptance of such appointment by such successor
Calculation Agent, as hereinafter provided. 
The Calculation Agent hereunder may be removed at any time by the filing
with it of an instrument in writing signed by or on behalf of the Company and
specifying such removal and the date when it shall become effective.  Such resignation or removal shall take effect
upon the appointment by the Company, as hereinafter provided, of a


 


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successor Calculation Agent and the acceptance of such
appointment by such successor Calculation Agent.  In the event a successor Calculation Agent
has not been appointed and has not accepted its duties within 90 days of the
Calculation Agent’s notice of resignation, the Calculation Agent may apply to
any court of competent jurisdiction for the designation of a successor
Calculation Agent.


 


(b)                                 In
case at any time the Calculation Agent shall resign, or shall be removed, or
shall become incapable of acting, or shall be adjudged bankrupt or insolvent,
or make an assignment for the benefit of its creditors or consent to the
appointment of a receiver or custodian of all or any substantial part of its
property, or shall admit in writing its inability to pay or meet its debts as
they mature, or if a receiver or custodian of it or all or any substantial part
of its property shall be appointed, or if any public officer shall have taken
charge or control of the Calculation Agent or of its property or affairs, for
the purpose of rehabilitation, conservation or liquidation, a successor
Calculation Agent shall be appointed by the Company by an instrument in
writing, filed with the successor Calculation Agent.  Upon the appointment as aforesaid of a
successor Calculation Agent and acceptance by the latter of such appointment,
the Calculation Agent so superseded shall cease to be Calculation Agent
hereunder.


 


(c)                                  Any
successor Calculation Agent appointed hereunder shall execute, acknowledge and
deliver to its predecessor, to the Company and to the Trustee an instrument
accepting such appointment hereunder and agreeing to be bound by the terms
hereof, and thereupon such successor Calculation Agent, without any further
act, deed or conveyance, shall become vested with all the authority, rights,
powers, trusts, immunities, duties and obligations of such predecessor with
like effect as if originally named as Calculation Agent hereunder, and such
predecessor, upon payment of its charges and disbursements then unpaid, shall
thereupon become obligated to transfer, deliver and pay over, and such
successor Calculation Agent shall be entitled to receive, all moneys,
securities and other property on deposit with or held by such predecessor, as
Calculation Agent hereunder.


 


(d)                                 Any
corporation into which the Calculation Agent hereunder may be merged or
converted or any corporation with which the Calculation Agent may be
consolidated, or any corporation resulting from any merger, conversion or
consolidation to which the Calculation Agent shall be a party, or any
corporation to which the Calculation Agent shall sell or otherwise transfer all
or substantially all of the assets and business of the Calculation Agent shall
be the successor Calculation Agent under this Agreement without the execution
or filing of any paper or any further act on the part of any of the parties
hereto.


 


7.                                       Certain
Definitions.  Capitalized terms not
otherwise defined herein are used herein as defined in the Notes or, if not
defined in the Notes, as defined in the Indenture.


 


8.                                       Indemnification.  The Company will indemnify the Calculation
Agent against any losses or liability which it may incur or sustain in
connection with its appointment or the exercise of its powers and duties hereunder
except such as may result from the gross negligence or wilful misconduct of the
Calculation Agent or any of its agents or employees.  The Calculation Agent shall incur no
liability and shall be indemnified and held harmless by the Company for or in
respect of any action taken or suffered to be taken in good faith by the
Calculation Agent in reliance upon written instructions from the Company.


 


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9.                                       Notices.  Any notice required to be given hereunder
shall be delivered in person, sent (unless otherwise specified in this
Agreement) by letter, telex or facsimile transmission or communicated by
telephone (confirmed in a writing dispatched within two Business Days), (a) in
the case of the Company, to it at 745 Seventh Avenue, New York, New York 10019
(facsimile: (646) 758-3204) (telephone: (212) 526-7000), Attention: Treasurer,
with a copy to 399 Park Avenue, New York, New York 10022 (facsimile: (212) 526-0357)
(telephone: (212) 526-7000), Attention: Corporate Secretary, (b) in the
case of the Calculation Agent, to it at Lehman Brothers Inc., 745 Seventh Avenue, New York, NY 10019
(facsimile: (646) 758-3204) (telephone: (212) 526-7000), Attention: Treasurer
and (c) in the case of the Trustee, to it at 111 Wall Street, 5th Floor,
New York, New York 10043 (facsimile: (212) 657-3836) (telephone:  (212) 657-7805), Attention: Corporate Trust
Department or, in any case, to any other address or number of which the party
receiving notice shall have notified the party giving such notice in
writing.  Any notice hereunder given by
telex, facsimile or letter shall be deemed to be served when in the ordinary
course of transmission or post, as the case may be, it would be received.


 


10.                                 GOVERNING
LAW.  THIS AGREEMENT SHALL BE GOVERNED
BY AND CONTINUED IN ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK.


 


11.                                 Counterparts.  This Agreement may be executed in any number
of counterparts, each of which when so executed shall be deemed to be an
original and all of which taken together shall constitute one and the same
agreement.


 


12.                                 Benefit
of Agreement.  This Agreement is
solely for the benefit of the parties hereto and their successors and assigns,
and no other person shall acquire or have any rights under or by virtue hereof.


 


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IN WITNESS WHEREOF, this Agreement has been entered
into as of the day and year first above written.


 


 


	
   

  	
  LEHMAN BROTHERS HOLDINGS INC.

  
	
   

  	
   

  	
   

  
	
   

  	
  By:

  	
   

  	
   

  
	
   

  	
   

  	
  Name:

  
	
   

  	
   

  	
  Title:

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  LEHMAN BROTHERS INC.,

  
	
   

  	
    as
  Calculation Agent

  
	
   

  	
   

  	
   

  
	
   

  	
  By:

  	
   

  	
   

  
	
   

  	
   

  	
  Name:

  
	
   

  	
   

  	
  Title:

  



 


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