CALCULATION AGENCY AGREEMENT


                  CALCULATION AGENCY AGREEMENT, dated as of January 26, 2006
(the "Agreement"), between Lehman Brothers Holdings Inc. (the "Company") and
Lehman Brothers Inc., as Calculation Agent.

                  WHEREAS, the Company has authorized the issuance of up to
$8,895,250 aggregate principal amount of Limited Principal Protection Notes Due
January 26, 2009, Linked to a Basket of Six Stock Indices (the "Securities")*;

                  WHEREAS, the Securities 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 Securities;

                  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 Maturity Payment Amount
due on the Stated Maturity Date of the Securities, the Calculation Agent shall
determine such Maturity Payment Amount and notify the Trustee of its
determination. The Calculation Agent shall also determine (a) the Successor
Index if publication of a Component Index is discontinued, (b) the Multiplier
and Weight of each remaining Component Index if no Successor Index is available
or if the publisher of such Component Index or Successor Index, as the case may
be, fails to calculate and publish a Closing Index Level on any date, (c)
adjustments to a Component Index, the Successor Index or the Closing Index Level
thereof if the method of calculating any of these items changes in a material
respect or if a Component Index or Successor Index is in any other way modified
so that

---------------------------

         *        Each Component Index is a trademark of the sponsor of such
                  Component Index and has been licensed for use by Lehman
                  Brothers Holdings Inc. The Securities, linked to the
                  performance of the Component Indices, are not sponsored,
                  endorsed, sold or promoted by the sponsors of the Component
                  Indices and the sponsors of the Component Indices make no
                  representation regarding the advisability of investing in the
                  Securities.


                                                                               2

it does not, in the opinion of the Calculation Agent, fairly represent the level
of such Component Index, or Successor Index, as the case may be, had such
changes or modifications not been made, (d) adjustments to the Threshold Level,
if required in order to reflect adjustments made in a Component Index or
Successor Index and (e) whether a Market Disruption Event has occurred. The
Calculation Agent shall notify the Trustee of all such adjustments or any such
Successor Index, or if a Market Disruption Event has occurred. Annex A hereto
sets forth the procedures the Calculation Agent will use to determine the
information described in this Section 2.

                  3. Calculations. Any calculation or determination by the
Calculation Agent pursuant hereto 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.

                  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 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 Securities;

                  (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 whom 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 Securities 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 willful
         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




                                                                               3

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.

                  (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. Terms not otherwise defined herein or
in Annex A hereto are used herein as defined in the Indenture or the Securities.

                  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




                                                                               4


negligence or willful 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 1301
Avenue of the Americas, New York, New York 10019 (facsimile: (212) 526-0357)
(telephone: (212) 526-7000), Attention: Corporate Secretary, (b) in the case of
the Calculation Agent, to it at 745 Seventh Avenue, New York, New York 10019
(facsimile: (646) 758-4942) (telephone: (212) 526-7000), Attention: Equity
Derivatives Trading and (c) in the case of the Trustee, to it at 388 Greenwich
Street, 14th Floor, New York, New York 10013 (facsimile: (212) 816-5527)
(telephone: (212) 816-5773), Attention: Agency and Trust, 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
construed 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.






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

                                      LEHMAN BROTHERS HOLDINGS INC.

                                      By:  /s/ James J. Killerlane III
                                         ---------------------------------------
                                           James J. Killerlane III
                                           Vice President


                                      LEHMAN BROTHERS INC.,
                                        as Calculation Agent

                                      By:  /s/ James J. Killerlane III
                                         ---------------------------------------
                                           James J. Killerlane III
                                           Vice President







                                     ANNEX A
                                     -------

     1.           The Basket and the Component Indices.
                  ------------------------------------

                  The basket (the "Basket") shall initially be composed of the
following indices: the S&P(R)/ASX 200 Index, as calculated, published and
disseminated by the Standard & Poor's Australian Index Committee, the AMEX Hong
Kong 30 Index, as calculated, published and disseminated by the American Stock
Exchange, Inc., the MSCI Singapore Free Index, as calculated, published and
disseminated by Morgan Stanley Capital International Inc., the Korea Stock Price
Index 200, as calculated, published and disseminated by the Korea Stock
Exchange, the MSCI Taiwan Index, as calculated, published and disseminated by
Morgan Stanley Capital International Inc. and the FTSE/Xinhua China 25 Index, as
calculated, published and disseminated by FTSE/Xinhua Index Limited (each, a
"Component Index" and, collectively, the "Component Indices").

     2.           Determination of the Maturity Payment Amount.
                  --------------------------------------------

                  The Calculation Agent shall, at the request of the Trustee,
determine the amount payable on the Stated Maturity Date for each $1,000
principal amount of Securities (the "Maturity Payment Amount").

                  The Maturity Payment Amount shall be the following:

                  o If the Final Basket Level is greater than or equal to the
                    Initial Basket Level:

                                    Final Basket Level
                           $1,000 x ------------------
                                    Initial Basket Level

                  o If the Final Basket Level is less than the Initial Basket
                    Level but equal to or greater than the Threshold Level,
                    $1,000.

                  o If the Final Basket Level is less than the Threshold Level:


                                       Final Basket Level
                         $1,000  x  ( -------------------- + 20%)
                                      Initial Basket Level

     3.           Discontinuance of the Index.
                  ---------------------------

     (a) If a publisher of a Component Index discontinues publication of such
Component Index and such publisher or another entity publishes a successor or
substitute index (a "Successor Index") that the Calculation Agent determines, in
its sole discretion exercised in good faith, to be comparable to the
discontinued Component Index, then the Calculation Agent shall determine each
subsequent Closing Basket Level to be used in computing the Maturity Payment
Amount by reference to the Closing Index Level of such Successor Index on the
applicable date.

     (b) Upon any selection by the Calculation Agent of a Successor Index, the
Company shall promptly give notice to the holders of the Securities.



                                                                              2

     (c) If a publisher of a Component Index discontinues publication of such
Component Index and the Calculation Agent determines that no Successor Index is
available at such time, or if such publisher (or the publisher of any Successor
Index to such Component Index) fails to calculate and publish a Closing Index
Level for such Component Index (or a Successor Index) on any date when it would
ordinarily do so in accordance with its customary practice, the Component Index
(or Successor Index) shall be removed from the Basket as of the close of
business on the last day on which its Closing Index Level was published by its
publisher and the Weight of each remaining Component Index (or Successor Index)
shall simultaneously be increased (by adjusting the respective Multipliers) by
an amount determined by the Calculation Agent such as to result in both (a) the
relative Weights of remaining Component Indices on such day and (b) the Closing
Basket Level on such day remaining unchanged. In addition, the Calculation Agent
shall make such other adjustments to the terms of the Securities as may be
required to account for such discontinued Component Index.

     4.           Alteration of Method of Calculation.
                  -----------------------------------

                  If at any time the method of calculating a Component Index,
any Successor Index, or the Closing Index Level thereof on any particular day is
changed in a material respect, or if a Component Index or any Successor Index is
in any other way modified so that such index does not, in the opinion of the
Calculation Agent, fairly represent the level of such Component Index or such
Successor Index had such changes or modifications not been made, then, from and
after such time, the Calculation Agent shall, at the Close of Trading of the
Relevant Exchanges on which the securities comprising such Component Index or
such Successor Index traded on any date the Closing Index Level thereof is to be
determined, make such calculations and adjustments as, in the good faith
judgment of the Calculation Agent, may be necessary in order to arrive at a
level of a stock index comparable to such Component Index or such Successor
Index, as the case may be, as if such changes or modifications had not been
made. The Calculation Agent shall calculate the Closing Index Level of a
Component Index on any particular day and the Maturity Payment Amount with
reference to such Component Index or such Successor Index, as adjusted.

                  Accordingly, if the method of calculating a Component Index or
a Successor Index is modified so that the level of such index is a fraction of
what it would have been if it had not been modified, then the Calculation Agent
shall adjust such index in order to arrive at a level of such Component Index or
such Successor Index as if it had not been modified.

     5.           Definitions.
                  -----------

                  Set forth below are the terms used in the Agreement and in
this Annex A.

                  "Agreement" shall have the meaning set forth in the preamble
to this Agreement.

                  "AMEX" shall mean the American Stock Exchange LLC.

                  "Basket" shall have the meaning set forth in Section 1 of this
Annex A.

                  "Business Day", notwithstanding any provision in the
Indenture, shall mean any day that is not a Saturday, a Sunday or a day on which
the NYSE, Nasdaq or AMEX is not open





                                                                               3

for trading or banking institutions or trust companies in the City of New York
are authorized or obligated by law or executive order to close.

                  "Calculation Agent" shall mean the person that has entered
into an agreement with the Company providing for, among other things, the
determination of the Maturity Payment Amount, which term shall, unless the
context otherwise requires, include its successors and assigns. The initial
Calculation Agent shall be Lehman Brothers Inc.

                  "Close of Trading" shall mean, in respect of any Relevant
Exchange, the scheduled weekday closing time on a day on which the Relevant
Exchange is scheduled to be open for trading for its respective regular trading
session, without regard to after hours or any other trading outside of the
regular trading session hours.

                  "Closing Basket Level" shall mean, with respect to any day,
the sum of the products of the Closing Index Level of each Component Index on
that day and the applicable Multiplier for such Component Index.

                  "Closing Index Level" shall mean, with respect to any day, in
the case of any Component Index or any Successor Index, the closing level of
such Component Index or Successor Index, as the case may be, as reported by the
publisher of such Component Index or Successor Index, as the case may be, on
such day or as determined by the Calculation Agent pursuant to this Agreement.

                  "Company" shall have the meaning set forth in the preamble to
this Agreement.

                  "Component Index" shall have the meaning set forth in Section
1 of this Annex A and "Component Indices" shall have the correlative meaning.

                  "Final Basket Level" shall equal the Closing Basket Level on
the Valuation Date.

                   "Indenture" shall have the meaning set forth in the preamble
to this Agreement.

                  "Initial Basket Level" shall equal 1000.

                  "Market Disruption Event", with respect to any Component Index
or any Successor Index shall mean any of the following events has occurred on
any day as determined by the Calculation Agent in its sole discretion:

         (1) A material suspension of or limitation imposed on trading relating
         to the securities that then comprise 20% or more of such Component
         Index or Successor Index, by the Relevant Exchanges on which those
         securities are traded, at any time during the one-hour period that ends
         at the Close of Trading on such day, whether by reason of movements in
         price exceeding limits permitted by that Relevant Exchange or
         otherwise.

         (2) A material suspension of, or limitation imposed on, trading in
         futures or options contracts relating to such Component Index or
         Successor Index by the primary exchange or quotation system on which
         those futures or options contracts are traded, at any time



                                                                               4
         during the one-hour period that ends at the Close of Trading on such
         day, whether by reason of movements in price exceeding limits permitted
         by the exchanges or otherwise.

         (3) Any event, other than an early closure, that disrupts or impairs
         the ability of market participants in general to effect transactions
         in, or obtain market values for, the securities that then comprise 20%
         or more of such Component Index or Successor Index on the Relevant
         Exchanges on which those securities are traded, at any time during the
         one-hour period that ends at the Close of Trading on that day.

         (4) Any event, other than an early closure, that disrupts or impairs
         the ability of market participants in general to effect transactions
         in, or obtain market values for, the futures or options contracts
         relating to such Component Index or Successor Index on the primary
         exchange or quotation system on which those futures or options
         contracts are traded at any time during the one-hour period that ends
         at the Close of Trading on that day.

         (5) The closure of the Relevant Exchanges on which securities that then
         comprise 20% or more of such Component Index or Successor Index are
         traded or on which futures or options contracts relating to such
         Component Index or Successor Index are traded prior to its scheduled
         closing time unless the earlier closing time is announced by the
         Relevant Exchanges at least one hour prior to the earlier of (i) the
         actual closing time for the regular trading session on the Relevant
         Exchanges and (ii) the submission deadline for orders to be entered
         into the Relevant Exchanges for execution at the Close of Trading on
         that day.

For purposes of determining whether a Market Disruption Event has occurred, the
relevant percentage contribution of a security to the level of a Component Index
or Successor Index will be based on a comparison of (x) the portion of the level
of such Component Index or Successor Index attributable to that security and (y)
the overall level of such Component Index or Successor Index, in each case
immediately before the occurrence of the Market Disruption Event.

                  "Maturity Payment Amount" shall have the meaning set forth in
Section 2 of this Annex A.

                  "Measurement Day" shall mean any day on which a Component
Index (or any Successor Index) is published by its publisher or is otherwise
determined by the Calculation Agent pursuant to this Agreement.

                  "Multiplier" of each Component Index shall initially be as
follows:

                           Component Index                    Initial Multiplier
                           ---------------                    ------------------

                           The S&P/ASX 200 Index                   0.0346349
                           The AMEX Hong Kong 30 Index             0.2158056
                           The MSCI Singapore Free Index           0.5948982
                           The Korea Stock Price Index 200         0.9918273





                                                                               5

                           The MSCI Taiwan Index                   0.6157105
                           The FTSE/Xinhua China 25 Index          0.0164059

The Multipliers shall be subject to adjustment by the Calculation Agent pursuant
to this Agreement.

                  "Nasdaq" shall mean The Nasdaq Stock Market, Inc.

                  "NYSE" shall mean The New York Stock Exchange, Inc.

                  "Relevant Exchange" shall mean, for any security (or any
combination thereof then underlying any Component Index or any Successor Index),
the primary exchange, quotation system (which includes bulletin board services)
or other market of trading for such security.

                  "Securities" shall have the meaning set forth in the preamble
to this Agreement.

                  "Stated Maturity Date" shall mean January 26, 2009 (or if
January 26, 2009 is not a Business Day, on the next Business Day); provided,
that if the Valuation Date is postponed, the Stated Maturity Date shall be the
third Business Day following the date that the Final Basket Level on the
postponed Valuation Date is determined.

                  "Successor Index" shall have the meaning set forth in Section
3(a) of this Annex A.

                  "Threshold Level" shall mean 800, as it may be adjusted from
time to time by the Calculation Agent to the extent it believes appropriate, in
a manner consistent with the adjustments to the method of calculation of a
Component Index or a Successor Index described in Sections 3 and 4 of this Annex
A and under the circumstances described in Sections 3 and 4 of this Annex A.

                  "Trustee" shall have the meaning set forth in the preamble to
this Agreement.

                   "Valuation Date" shall mean January 21, 2009; provided, that
if such day is not a Measurement Day with respect to a Component Index or a
Successor Index or if a Market Disruption Event occurs with respect to a
Component Index or a Successor Index on such day, then: (1) with respect to each
Component Index and Successor Index for which such day is a Measurement Day and
for which a Market Disruption event has not occurred, such day shall be the date
on which the Calculation Agent determines the Closing Index Level of such
Component Index or Successor Index for use in calculating the Final Basket
Level; (2) with respect to each Component Index and Successor Index for which
such day is not a Measurement Day or for which a Market Disruption Event has
occurred, the date on which the Calculation Agent determines the Closing Index
Level of such Component Index or Successor Index for use in calculating the
Final Basket Level shall be the next following Measurement Day on which no
Market Disruption Event occurs; provided, however, if a Market Disruption Event
with respect to the Component Index or Successor Index occurs on each of the
eight Measurement Days following the originally scheduled Valuation Date, then
the Calculation Agent shall determine the Closing Index Level of that Component
Index or Successor Index for use in calculating the Final Basket Level based
upon its good faith estimate of the level of the Component Index or



                                                                               6


Successor Index on that eighth Measurement Day; and (3) the day on which the
Closing Index Level of the last remaining Component Index or Successor Index is
determined for purposes of calculating the Final Basket Level shall be deemed
the Valuation Date.

                  "Weight" of each Component Index shall initially be as
follows:

                                                           Initial Weight in
                           Component Index                    the Basket
                           ---------------                    ----------

                           The S&P/ASX 200 Index               166.6667
                           The AMEX Hong Kong 30 Index         166.6667
                           The MSCI Singapore Free Index       166.6667
                           The Korea Stock Price Index 200     166.6667
                           The MSCI Taiwan Index               166.6667
                           The FTSE/Xinhua China 25 Index      166.6667


The Weights shall be subject to adjustment by the Calculation Agent pursuant to
this Agreement.