Exhibit 4.02


 


CALCULATION
AGENCY AGREEMENT


 


CALCULATION AGENCY
AGREEMENT, dated as of January 19, 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 Range Resetting Notes (the “Notes”) from time
to time;


 


WHEREAS, the terms
of the Notes are described in a pricing supplement, dated January 11, 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 any Interest Amount with respect to any series of the
Notes, the Calculation Agent shall determine the Interest Amount (as set forth
below) on the applicable Interest Payment 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 o


f 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
applicable Interest Payment Date, the Calculation Agent shall calculate the
Interest Amount for the Notes. The Interest Amount is a single U.S. Dollar
payment calculated by the Calculation Agent on each corresponding Interest
Payment Date equal to the principal amount of the Notes multiplied by (subject
to the occurrence of a Disruption Event):


 


(A) 2.7%, if the Reference Exchange Rate has
traded strictly within the applicable Reference Range (or on either of the
applicable Range Boundaries) on every day from and including the applicable
Start Date at 10:00 p.m. EST, to but excluding the applicable End Date at
10:00 p.m. EST, of the applicable Reference Range period, as observed on
the continuous trading EBS (Electronic Broking Service) Spot Dealing System; or


 


(B) 0%, if the Reference Exchange Rate trades
outside the applicable Reference Range on any day from and including the
applicable Start Date at 10:00 p.m. EST, to but excluding the applicable
End Date at 10:00 p.m. EST, as observed on the continuous trading EBS Spot
Dealing System.


 


(i)            The
“Interest Payment Dates” are April 20, 2006, July 18, 2006, October 18,
2006 and January 19, 2007.


 


(ii)           Each
“Reference Range”, which corresponds to a particular Reference Range period, is
as follows: 


 


	
  Range

  Period

  	
   

  	
  Start
  Date

  	
   

  	
  End
  Date

  	
   

  	
  Range
  Midpoint

  (RMi)

  	
   

  	
  Range
  Lower

  Boundary

  	
   

  	
  Range
  Upper

  Boundary

  	
   

  
	
  1

  	
   

  	
  January 11, 2006

  	
   

  	
  April 11, 2006

  	
   

  	
  1.2113

  	
   

  	
  1.1613

  	
   

  	
  1.2613

  	
   

  
	
  2

  	
   

  	
  April 11,
  2006

  	
   

  	
  July 11,
  2006

  	
   

  	
  RM2

  	
   

  	
  RM2-0.05

  	
   

  	
  RM2+0.05

  	
   

  
	
  3

  	
   

  	
  July 11,
  2006

  	
   

  	
  October 11,
  2006

  	
   

  	
  RM3

  	
   

  	
  RM3-0.05

  	
   

  	
  RM3+0.05

  	
   

  
	
  4

  	
   

  	
  October 11,
  2006

  	
   

  	
  January 11,
  2007

  	
   

  	
  RM4

  	
   

  	
  RM4-0.05

  	
   

  	
  RM4+0.05

  	
   

  



 


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If any Start Date or End Date
is not a Valuation Business Day, such Start Date or End Date shall be the next
succeeding Valuation Business Day.


 


(iii)          The
“Range Midpoint” is the Reference Exchange Rate observed on the Valuation Date
observed in accordance with the Settlement Rate Option (subject to the
occurrence of a Price Source Unavailability Event).


 


(iv)          The “Valuation
Date” for each Reference Range period, is the Start Date for such period.


 


(v)           A
“Valuation Business Day” means 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 the city indicated in the Settlement Rate Option.


 


(vi)          The
“Reference Exchange Rate” is the spot exchange rate for the Reference Currency
quoted against the U.S. Dollar expressed as the number of U.S. Dollars per unit
of the Reference Currency.


 


(vii)         The
“Reference Currency” is the Euro (EUR).


 


(viii)        The
“Settlement Rate Option” is the U.S. Dollar/Euro official fixing rate,
expressed as the amount of U.S. Dollars per one Euro, for settlement in two
Business Days reported by the Federal Reserve Bank of New York which appears on
Reuters Screen 1FED to the right of the caption “EUR” at approximately 10.00 a.m.,
New York time, on the relevant 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
Interest Amount payable on each Interest Payment Date following the date on
which the Disruption Event occurred 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 conversion of the
Reference Currency into USD through customary legal channels;


 


(B)           the
occurrence of any event causing the Reference Exchange Rate to be split into
dual or multiple currency exchange rates; or


 


(C)           the occurrence and/or existence of any event (other than those set
forth in (A) or (B) above or those constituting a Price Source
Unavailability Event) with respect to the Reference


 


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Currency that prevents or makes impossible (x) the
Calculation Agent’s ability to calculate the Interest 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.


 


(c) Upon
the occurrence of a Price Source Unavailability Event on any day in any
Reference Range period or on the Valuation Date, as applicable, and in respect
of any Price Source Unavailability Event other than with respect to the
determination of any Range Midpoint, for so long as such Price Source
Unavailability Event is continuing, the Reference Exchange 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 Reference Exchange Rate being unavailable, or the occurrence of an event
(other than an event constituting a Disruption Event) that generally makes it
impossible to obtain the Reference Exchange Rate, (a) for
purposes of determining any related Range Midpoint, on the relevant Valuation Date, in accordance with
the Settlement Rate Option, or (b) on any day in any
Reference Range period other than for purposes of determining any Range
Midpoint, on the EBS (Electronic Broking Service) Spot Dealing System.


 


(ii)           The “Fallback
Rate Observation Methodology” means that, in respect of a Price Source Unavailability Event occurring on any
day in any Reference Range period (other than for purposes
of determining any Range Midpoint on the relevant Valuation Date), the
Reference Exchange Rate will be determined on a daily basis in accordance with
the Settlement Rate Option on that day. 
If the Reference Exchange Rate is not available in accordance with the
Settlement Rate Option on such day, or on the Valuation Date for the purposes
of determining any Range Midpoint, the Reference Exchange 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 that day for
the purchase or sale for deposits in the Reference Currency by the Reference
Banks.  If fewer than three Reference Banks
provide spot quotations, then the Reference Exchange 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 relevant date from two Reference Banks (selected in the sole discretion of
the Calculation Agent), for the purchase or sale for deposits in the Reference
Currency.  If these spot quotations are
available from only one Reference Bank, then the Calculation Agent, in its sole
discretion, will determine which quotation is available and reasonable to be
used.  If no spot quotation is available,
then the Reference Exchange 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.


 


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(d) The Calculation Agent shall notify the
Trustee of all such calculations, determinations and adjustments 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 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.


 


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(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.


 


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)


 


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(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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