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                                                                    EXHIBIT 4.12

                   [Form of Senior Debt Security--Index Note]

                          LEHMAN BROTHERS HOLDINGS INC.

                               [Title of Security]

Number R-1                                                        $
                                                                   CUSIP

See Reverse for Certain Definitions

         THIS SECURITY IS A GLOBAL SECURITY WITHIN THE MEANING OF THE INDENTURE
HEREINAFTER REFERRED TO AND IS REGISTERED IN THE NAME OF A DEPOSITORY OR A
NOMINEE THEREOF. UNLESS AND UNTIL IT IS EXCHANGED IN WHOLE OR IN PART FOR
SECURITIES IN CERTIFICATED FORM, THIS SECURITY MAY NOT BE TRANSFERRED EXCEPT AS
A WHOLE BY THE DEPOSITORY TO A NOMINEE OF THE DEPOSITORY OR BY A NOMINEE OF THE
DEPOSITORY TO SUCH DEPOSITORY OR ANOTHER NOMINEE OF THE DEPOSITORY OR BY THE
DEPOSITORY OR ANY SUCH NOMINEE TO A SUCCESSOR DEPOSITORY OR A NOMINEE OF SUCH
SUCCESSOR DEPOSITORY. UNLESS THIS SECURITY IS PRESENTED BY AN AUTHORIZED
REPRESENTATIVE OF THE DEPOSITORY TO LEHMAN BROTHERS HOLDINGS INC. OR ITS AGENT
FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY SECURITY ISSUED IS
REGISTERED IN THE NAME OF CEDE & CO. OR IN SUCH OTHER NAME AS REQUESTED BY AN
AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY (AND ANY PAYMENT IS MADE TO CEDE &
CO. OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF
THE DEPOSITORY), ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE
BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE &
CO., HAS AN INTEREST HEREIN.

         LEHMAN BROTHERS HOLDINGS INC., a corporation duly organized and
existing under the laws of the State of Delaware (hereinafter called the
"Company"), for value received, HEREBY PROMISES TO PAY to CEDE & CO. or
registered assigns, at the office or agency of the Company in the Borough of
Manhattan, The City of New York, on , , or if a Market Disruption Event occurs,
Business Days after the Payment Determination Date (the "Stated Maturity"), in
such coin or currency of the United States of America at the time of payment
shall be legal tender for the payment of public and private debts, for each
$1,000 principal amount of the Securities represented hereby, an amount equal to
(the "Maturity Payment Amount").

         Any amount payable at Stated Maturity hereon will be paid only upon
presentation and surrender of this Security.

         REFERENCE IS HEREBY MADE TO THE FURTHER PROVISIONS OF THIS SECURITY SET
FORTH ON THE REVERSE HEREOF WHICH FURTHER PROVISIONS
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SHALL FOR ALL PURPOSES HAVE THE SAME EFFECT AS IF SET FORTH AT THIS PLACE.

         This Security shall not be valid or become obligatory for any purpose
until the certificate of authentication hereon shall have been signed by the
Trustee under the Indenture referred to on the reverse hereof.

         IN WITNESS WHEREOF, LEHMAN BROTHERS HOLDINGS INC. has caused this
instrument to be signed by its Chairman of the Board, its Vice Chairman, its
President, its Chief Financial Officer, one of its Vice Presidents or its
Treasurer, by manual or facsimile signature under its corporate seal, attested
by its Secretary or one of its Assistant Secretaries by manual or facsimile
signature.

Dated:                                     LEHMAN BROTHERS HOLDINGS INC.



                                           By:
                                              ----------------------------------
                                              Name:
                                              Title:


                                           Attest:
                                                  ------------------------------
                                                  Name:
                                                  Title:


                     TRUSTEE'S CERTIFICATE OF AUTHENTICATION

         This is one of the Securities of the series designated therein referred
to in the within-mentioned Indenture.

Dated:

CITIBANK, N.A.
  as Trustee

By:
    --------------------------------------------
    Name:
    Title: Authorized Signatory


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                              (Reverse of Security)

         This Security is one of a duly authorized series of Securities of the
Company designated as Due , (herein called the "Securities"). The Company may,
without the consent of the holders of the Securities, create and issue
additional notes ranking equally with the Securities and otherwise similar in
all respects so that such further notes shall be consolidated and form a single
series with the Securities; provided that no additional notes can be issued if
an Event of Default has occurred with respect to the Securities. This series of
Securities is one of an indefinite number of series of debt securities of the
Company, issued and to be issued under an indenture, dated as of , as amended
and supplemented (herein called the "Indenture"), duly executed and delivered by
the Company and , as trustee (herein called the "Trustee", which term includes
any successor trustee under the Indenture), to which Indenture and all
indentures supplemental thereto reference is hereby made for a description of
the rights, limitations of rights, obligations, duties and immunities thereunder
of the Company, the Trustee and the Holders of the Securities.

         The Maturity Payment Amount shall be determined by the Calculation
Agent pursuant to the Calculation Agency Agreement.

         All percentages resulting from any calculation with respect to the
Securities will be rounded at the Calculation Agent's discretion, except that
any calculation with respect to the interest rate, if any, of the Securities
shall be rounded upwards or downward, as appropriate, to the next higher or
lower one-hundred thousandth of a percentage point.

         The Trustee shall fully rely on the determination by the Calculation
Agent of the Maturity Payment Amount and shall have no duty to make any such
determination.

         This Security is not subject to any sinking fund and is not redeemable
prior to its Stated Maturity.

         If an Event of Default with respect to the Securities shall occur and
be continuing, the amounts payable on all of the Securities may be declared due
and payable in the manner and with the effect provided in the Indenture. The
amount payable to the Holder hereof upon any acceleration permitted under the
Indenture will be equal to the Maturity Payment Amount calculated as though the
date of acceleration was the Stated Maturity and the date Business Days prior
thereto was the Payment Determination Date.

         The Indenture contains provisions permitting the Company and the
Trustee, with the consent of the holders of not less than 66 2/3% in aggregate
principal amount of each series of Securities at the time Outstanding to be
affected (each series voting as a class), evidenced as in the Indenture
provided, to execute supplemental indentures adding any provisions to, or
changing in any manner or eliminating any of the provisions of the Indenture or
of any supplemental indenture or modifying in any manner the rights of the
holders of the Securities of all such series; PROVIDED, HOWEVER, that no such
supplemental indenture shall, among other things, (i) change the fixed maturity
of any Security, or reduce the principal amount thereof, or reduce the rate or
extend the time of payment of interest thereon or reduce any premium payable on
redemption, or make the principal thereof, or premium, if any, or interest
therein payable in any coin or currency other than that hereinabove provided,
without the consent of the holder of each Security so affected, or (ii) change
the place of payment on any Security, or impair the right to institute suit for
payment on any Security, or reduce the aforesaid percentage of Securities, the

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holders of which are required to consent to any such supplemental indenture,
without the consent of the holders of each Security so affected. It is also
provided in the Indenture that, prior to any declaration accelerating the
maturity of any series of Securities, the holders of a majority in aggregate
principal amount of the Securities of such series Outstanding may on behalf of
the holders of all the Securities of such series waive any past default or Event
of Default under the Indenture with respect to such series and its consequences,
except a default in the payment of interest, if any or the principal of, or
premium if any, on any of the Securities of such series, or in the payment of
any sinking fund installment or analogous obligation with respect to Securities
of such series. Any such consent or waiver by the Holder of this Security shall
be conclusive and binding upon such Holder and upon all future holders and
owners of this Security and any Securities which may be issued in exchange or
substitution hereof, irrespective of whether or not any notation thereof is made
upon this Security or such other Securities.

         No reference herein to the Indenture and no provision of this Security
or of the Indenture shall alter or impair the obligation of the Company, which
is absolute and unconditional, to pay the principal amount with respect to this
Security.

         The Securities are issuable in denominations of $1,000 and any integral
multiples of $1,000.

         The Company, the Trustee, and any agent of the Company or of the
Trustee may deem and treat the registered holder (the "Holder") hereof as the
absolute owner of this Security (whether or not this Security shall be overdue
and notwithstanding any notation of ownership or other writing hereon), for the
purpose of receiving payment hereof, or on account hereof, and for all other
purposes and neither the Company nor the Trustee nor any agent of the Company or
of the Trustee shall be affected by any notice to the contrary. All such
payments made to or upon the order of such registered holder shall, to the
extent of the sum or sums paid, effectually satisfy and discharge liability for
moneys payable on this Security.

         No recourse for the payment of the principal of, premium, if any, or
interest on this Security, or for any claim based hereon or otherwise in respect
hereof, and no recourse under or upon any obligation, covenant or agreement of
the Company in the Indenture or any indenture supplemental thereto or in any
Security, or because of the creation of any indebtedness represented thereby,
shall be had against any incorporator, stockholder, officer or director, as
such, past, present or future, of the Company or of any successor corporation,
either directly or through the Company or any successor corporation, whether by
virtue of any constitution, statute or rule of law or by the enforcement of any
assessment or penalty or otherwise, all such liability being, by the acceptance
hereof and as part of the consideration for the issue hereof, expressly waived
and released.

         As provided in the Indenture and subject to certain limitations therein
set forth, the transfer of this Security is registrable in the Security
Register, upon surrender of this Security for registration of transfer at the
Corporate Trust Office or agency in a Place of Payment for this Security, duly
endorsed by, or accompanied by a written instrument of transfer in form
satisfactory to the Company and the Security Registrar duly executed by, the
Holder hereof or such Holder's attorney duly authorized in writing, and
thereupon one or more new Securities of this series or of like tenor and of
authorized denominations and for the same aggregate principal amount, will be
issued to the designated transferee or transferees.

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         THE INDENTURE AND THIS SECURITY SHALL BE GOVERNED BY AND CONSTRUED IN
ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK.

         Set forth below are definitions of the terms used in this Security.

         "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 or is
not open 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 Agency Agreement" shall mean the Calculation Agency
Agreement, dated as of , , between the Company and the Calculation Agent, as
amended from time to time.

         "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.

         "Calculation Day" shall mean Business Days prior to , .

         "Close of Trading" shall mean 4:00 p.m., New York City time.

         "Closing Level" shall mean the last reported level of the Index or the
Successor Index, as the case may be, at 4:00 p.m., New York City time, as
reported by or the publisher of the Successor Index, as the case may be.

         "Index" shall mean , as calculated by .

         "Market Disruption Event", on any day, shall mean any of the following
events as determined by the Calculation Agent:

                  (i) A suspension, absence or material limitation of trading in
         20% of more of the underlying stocks which then comprise the Index or
         any Successor Index, as the case may be, has occurred on that day, in
         each case, for more than two hours of trading or during the one-half
         hour period preceding the Close of Trading on the primary organized
         U.S. exchange or trading system on which such stocks are traded or, in
         the case of a common stock not listed or quoted in the United States,
         on the primary exchange, trading system or market for that security.
         Limitations on trading during significant market fluctuations imposed
         pursuant to NYSE Rule 80B or any applicable rule or regulation enacted
         or promulgated by the NYSE, any other exchange, trading system or
         market, any other self regulatory organization or the SEC of similar
         scope or as a replacement for Rule 80B, may be considered material.
         Notwithstanding the first sentence of this paragraph, a Market
         Disruption Event for a security traded on a bulletin board means a
         suspension, absence or material limitation of trading of that security
         for more than two hours or during the one hour period preceding 4:00
         p.m., New York City time.

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                  (ii) A suspension, absence or material limitation has occurred
         on that day, in each case, for more than two hours of trading or during
         the one-half hour period preceding the Close of Trading in options
         contracts related to the Index or any Successor Index, as the case may
         be, whether by reason of movements in price exceeding levels permitted
         by an exchange, trading system or market on which such options
         contracts are traded or otherwise.

                  (iii) Information is unavailable on that date, through a
         recognized system of public dissemination of transaction information,
         for more than two hours of trading or during the one-half hour period
         preceding the Close of Trading, of accurate price, volume or related
         information in respect of 20% or more of the underlying stocks which
         then comprise the Index or any Successor Index, as the case may be, or
         in respect of options contracts related to the Index or any Successor
         Index, as the case may be, in each case traded on any major U.S.
         exchange or trading system or in the case of securities of a non-U.S.
         issuer, traded on the primary non-U.S. exchange, trading system or
         market.

         For purposes of determining whether a Market Disruption Event has
occurred:

                  (i) a limitation on the hours or number of days of trading
         shall not constitute a Market Disruption Event if it results from an
         announced change in the regular business hours of the relevant
         exchange, trading system or market;

                  (ii) any suspension in trading in an options contract on the
         Index or any Successor Index, as the case may be, by a major securities
         exchange, trading system or market by reason of (a) a price change
         violating limits set by such securities market, (b) an imbalance of
         orders relating to those contracts, or (c) a disparity in bid and ask
         quotes relating to those contracts, shall constitute a Market
         Disruption Event notwithstanding that the suspension or material
         limitation is less than two hours;

                  (iii) a suspension or material limitation on an exchange,
         trading system or in a market shall include a suspension or material
         limitation of trading by one class of investors provided that the
         suspension continues for more than two hours of trading or during the
         last one-half hour period preceding the Close of Trading on the
         relevant exchange, trading system or market but shall not include any
         time when the relevant exchange, trading system or market is closed for
         trading as part of that exchange's, trading system's or market's
         regularly scheduled business hours; and

                  (iv)     "Trading systems" include bulletin board services.

          "NYSE" shall mean the New York Stock Exchange.

         "Payment Determination Date" shall mean the Calculation Day; unless a
Market Disruption Event occurs on the Calculation Day, in which case the first
Business Day after the Calculation Day on which a Market Disruption Event does
not occur.

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         "Stated Maturity" shall mean , , or (i) if , , is not a Business Day,
the next Business Day, or (ii) if a Market Disruption Event occurs on the
Calculation Day, Business Days after the Payment Determination Date on which has
been determined.

         "Successor Index" shall mean such substitute index as the Calculation
Agent may select pursuant to the Calculation Agency Agreement upon
discontinuance of the Index.

         All terms used but not defined in this Security are used herein as
defined in the Indenture.



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