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                                                                    EXHIBIT 4.11

                [FORM OF SENIOR DEBT SECURITY--ZERO COUPON NOTE]

                           [FORM OF FACE OF SECURITY]

FOR PURPOSES OF SECTIONS 1272 AND 1273 OF THE INTERNAL REVENUE CODE OF 1986, AS
AMENDED, THE ISSUE PRICE OF THIS NOTE IS $   PER $1,000.00 OF FACE AMOUNT, THE
AMOUNT OF ORIGINAL ISSUE DISCOUNT ON THIS NOTE IS $   PER $1,000 OF FACE AMOUNT,
THE ISSUE DATE IS   ,   , AND THE YIELD TO MATURITY IS   %.

NUMBER

$                                                          CUSIP

                          LEHMAN BROTHERS HOLDINGS INC.

                          ZERO COUPON NOTE DUE

         LEHMAN BROTHERS HOLDINGS INC., a corporation duly organized and
existing under the laws of the State of Delaware (herein referred to as the
"Company"), for value received, hereby promises to pay to
or registered assigns, at the office or agency of the Company in the Borough of
Manhattan, The City of New York, the principal sum of                   DOLLARS,
which amount includes accrued amortization of the original Issue discount,
on    in such coin or currently of the United States of America as at the time
of payment shall be legal tender for the payment of public and private debts.
There is no periodic payment of interest on this Note.

         REFERENCE IS MADE TO THE FURTHER PROVISIONS OF THIS NOTE SET FORTH ON
THE REVERSE HEREOF. SUCH FURTHER PROVISIONS SHALL FOR ALL PURPOSES HAVE THE SAME
EFFECT AS THOUGH FULLY SET FORTH AT THIS PLACE.

         This Note 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.
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         IN WITNESS WHEREOF, LEHMAN BROTHERS HOLDINGS INC. has caused this
instrument to be signed by its Chairman of the Board, its President, its Chief
Financial Officer 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:    ________________________
                                                       Title:


                                                Attest:________________________
                                                       Title:


                     TRUSTEE'S CERTIFICATE OF AUTHENTICATION

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

CITIBANK, N.A.
  as Trustee


By:_________________________
   Title:


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                          [FORM OF REVERSE OF SECURITY]

                          LEHMAN BROTHERS HOLDINGS INC.

                              ZERO COUPON NOTE DUE

         This note is one of a duly authorized series of Notes of the Company
designated as the Zero Coupon Senior Notes Due        of the Company (herein
called the "Notes"), limited (except as otherwise provided in the Indenture
referred to below) in aggregate principal amount to $     . The Notes are one of
an indefinite number of series of debt securities of the Company (herein
collectively called the "Securities") issued or issuable under and pursuant to
an Indenture dated as of September 1, 1987, as amended (herein called the
"Indenture"), duly executed and delivered by the Company and Citibank, N.A., as
Trustee (herein called the "Trustee"), 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
Trustee, the Company and the holders of the Securities. The separate series of
Securities may be issued in various aggregate principal amounts, may mature at
different times, may bear interest (if any) at different rates, may be subject
to different redemption provisions or repayment or repurchase rights (if any),
may be subject to different sinking, purchase or analogous funds (if any), may
be subject to different covenants and Events of Default and may otherwise vary
as in the Indenture provided.

         [Prior to maturity the Company may, at its option, redeem the Notes,]
either as a whole or from time to time in part, at the redemption price of 100%
of the principal amount at Stated Maturity of the Notes being redeemed.]

         [As provided in the Indenture, notice of redemption to the holders of]
Notes to be redeemed as a whole, or in part shall be given by mailing a notice
of redemption not less than 30 nor more than 60 days prior to the date fixed for
redemption to their last addresses as they appear on the registry books of the
Company. If fewer than all of the Notes are to be redeemed, the Company may
specify the maturity or maturities of the Notes to be redeemed.]

         The Notes are not entitled to any sinking fund.

         In case an Event of Default with respect to the Notes, as defined in
the Indenture, shall have occurred and be continuing, an amount equal to the sum
of (i) the issue price of the Notes plus (ii) the accrued amortization of
original issue discount attributable on a ratable basis from the date of
issuance to the date of declaration, may be declared, and upon such declaration
shall become, due and payable, in the manner, with the effect and subject to the
conditions provided in the Indenture.

         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 the 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


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things, (i) extend 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 thereon payable in any coin or currency
other than as 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 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 the consequences, except a default in the payment of interest,
if any, on 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 Note shall be conclusive and binding upon such holder and
upon all future holders and owners of this Note and any Notes which may be
issued in exchange or substitution herefor, irrespective of whether or not any
notation thereof is made upon this Note or such other Notes.

         No reference herein to the Indenture and no provisions of this Note or
of the Indenture shall alter or impair the obligation of the Company, which is
absolute and unconditional, to pay the principal of this Note at the place, at
the time and in the coin or currency herein prescribed.

         The Notes are issuable in registered form without coupons in
denominations of $1,000 and any multiple of $1,000. At the option of the holders
thereof, either at the office or agency to be designated and maintained by the
Company for such purpose in the Borough of Manhattan, The City of New York,
pursuant to the provisions of the Indenture or at any of such other offices or
agencies as may be designated and maintained by the Company for such purpose
pursuant to the provisions of the Indenture, and in the manner and subject to
the limitations provided in the Indenture, but without the payment of any
service charge, except for any tax or other governmental charges imposed in
connection therewith, Notes may be exchanged for an equal aggregate principal
amount of Notes of other authorized denominations.

         The Company, the Trustee, and any agent of the Company or of the
Trustee may deem and treat the registered holder hereof as the absolute owner of
this Note (whether or not this Note 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 Note.

         No recourse for the payment of the principal of this Note, 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 Note, 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


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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 Note is registrable in the Security Register,
upon surrender of this Note for registration of transfer at the office or agency
of the Company in any place where the principal of this Note is payable, 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 his attorney duly authorized in writing, and thereupon one or
more new Notes of this series of like tenor or authorized denominations and for
the same aggregate principal amount will be issued to the designated transferee
or transferees.

         The Indenture and the Notes shall be governed by and construed in
accordance with the laws of the State of New York.

         All terms used in this Note which are defined in the Indenture shall
have the meanings assigned to them in the Indenture.


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