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                                                                    Exhibit 4.01


                          LEHMAN BROTHERS HOLDINGS INC.

                               PORTFOLIO RANGERSSM

            PORTFOLIO Risk AdjustiNG Equity Range SecuritiesSM Notes

                               Due August 21, 2003

Number R-1                                                          $10,100,000
                                                              CUSIP: 524908 DS 6

See Reverse for Certain Definitions

      THIS SECURITY (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, at 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 on the Stated Maturity Date 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 SHALL FOR ALL PURPOSES HAVE
THE SAME EFFECT AS IF SET FORTH AT THIS PLACE.


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                                                                               2


            "RANGERS" and "Risk AdjustiNG Equity Range Securities" are
servicemarks of Lehman Brothers Inc.

            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.



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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 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:  August 21, 2001                    LEHMAN BROTHERS HOLDINGS INC.



                                           By:      /s/ Oliver Budde
                                                    Name:    Oliver Budde
                                                    Title:   Vice President





                                           Attest:  /s/ Eileen Bannon
                                                    Name:    Eileen Bannon
                                                    Title:   Assistant Secretary





                     TRUSTEE'S CERTIFICATE OF AUTHENTICATION

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

Dated:  August 21, 2001

CITIBANK, N.A.,
  as Trustee



By: /s/ Wafaa Orfy
    Name:    Wafaa Orfy
    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 PORTFOLIO RANGERSSM, PORTFOLIO Risk AdjustiNG Equity
Range SecuritiesSM Notes Due August 21, 2003 (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 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", 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.

            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 Date.

            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 Date and the date three Business
Days prior thereto was the Calculation 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
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


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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 Company intends to treat and, by purchasing this Security, the
Holder hereof agrees to treat, for all tax purposes, this Security as a
financial contract for cash settlement, rather than as a debt instrument.

            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.

            "AMEX" shall mean the American Stock Exchange.

            "ADJUSTED VALUE" shall mean, with respect to each Underlying Equity
Security:

            (a)   if the Ending Price is greater than or equal to the Starting
                  Price, the lesser of: ;

                        (i)   $175; and

                        (ii)  the product obtained by multiplying (A) $100 by
                              (B) the quotient obtained by dividing the Ending
                              Price by the Starting Price by (C) the quotient
                              obtained by dividing the Ending Multiplier by the
                              Starting Multiplier;

            or

            (b)   if the Ending Price is less than the Starting Price, the
                  lesser of:

                        (i)   $100; and

                        (ii)  the product obtained by multiplying (A) $100 by
                              (B) the quotient obtained by dividing the Ending
                              Price by 75% of the Starting Price by (C) the
                              quotient obtained by dividing the Ending
                              Multiplier by the Starting Multiplier.

            "AVERAGE EXECUTION PRICE" shall mean, for a security or other
property, the average execution price that an affiliate of the Company receives
or pays for such security or property, as the case may be, to hedge the
Company's obligations under the Securities.

            "BASKET" shall mean the basket composed of the Underlying Equity
Securities.

            "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 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 August 21, 2001, 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


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Amount, which term shall, unless the context otherwise requires, include its
successors and assigns. The initial Calculation Agent shall be Lehman Brothers
Inc.

            "CALCULATION DATE" shall mean five Business Days prior to the Stated
Maturity Date; PROVIDED that if a Market Disruption Event occurs on such date,
the Calculation Date shall be the previous Business Day on which there was not a
Market Disruption Event.

            "CLOSE OF TRADING" shall mean 4:00 p.m., New York City time.

            "COMPANY" shall have the meaning set forth on the face of this
Security.

            "ENDING MULTIPLIER" shall mean, for each Underlying Equity Security,
the Starting Multiplier for such Underlying Equity Security adjusted from time
to time for the occurrence, prior to the Close of Trading on the Calculation
Date, of any of the extraordinary corporate transactions described in Section 4
of Annex A of the Calculation Agency Agreement.

            "ENDING PRICE" shall mean, for each Underlying Equity Security, as
determined by the Calculation Agent based on information reasonably available to
it, subject to any Ending Price Adjustment:

            (i) If the Underlying Equity Security is listed on a United States
      national securities exchange or trading system or is a Nasdaq security,
      the last reported sale price at the Close of Trading, regular way, on such
      day, on the primary securities exchange registered under the Securities
      Exchange Act of 1934 on which such Underlying Equity Security is listed or
      admitted to trading or on Nasdaq, as the case may be.

            (ii) If the Underlying Equity Security is listed on a non-United
      States securities exchange, trading system (other than a bulletin board)
      or market, the last reported sale price at the Close of Trading, regular
      way, on such day, on the primary exchange, trading system or market on
      which such Underlying Equity Security is listed or admitted to trading, as
      the case may be. The Ending Price shall then be converted into U.S.
      dollars using the Official W.M. Reuters Spot Closing Rate.

            (iii) If the Underlying Equity Security is not listed on a national
      securities exchange or trading system or is not a Nasdaq security, and is
      listed or traded on a bulletin board, the Average Execution Price of the
      Underlying Equity Security. If such Underlying Equity Security is listed
      or traded on a non-United States bulletin board, the Ending Price will
      then be converted into U.S. dollars using the Official W.M. Reuters Spot
      Closing Rate.

            (iv) If a Market Disruption Event has occurred for an Underlying
      Equity Security on a day on which the Ending Price for such Underlying
      Equity Security is to be calculated, the Ending Price for such Underlying
      Equity Security shall initially be determined using the Ending Price for
      such Underlying Equity Security on the next preceding Trading Day on which
      a Market Disruption Event did not occur. Once the Market Disruption Event
      has ceased, the Ending Price of such Underlying Equity Security shall then
      be adjusted to equal the Average Execution Price of the Underlying Equity
      Security.


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            "ENDING PRICE ADJUSTMENT" shall mean an adjustment made by the
Calculation Agent to an Underlying Equity Security's initial Ending Price due to
the occurrence of a Market Disruption Event five Business Days prior to the
Stated Maturity Date. An Ending Price Adjustment shall adjust such initial
Ending Price, once such Market Disruption Event ceases to exist, to equal the
Average Execution Price received upon the sale of that Underlying Equity
Security.

            "HOLDER" shall have the meaning set forth on the reverse of this
Security.

            "INDENTURE" shall have the meaning set forth on the reverse of this
Security.

            "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 an
      Underlying Equity Security 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 that security is traded or, in the case of an
      Underlying Equity Security 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 the rules of any primary organized U.S. exchange or trading
      system similar 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 Securities and
      Exchange Commission 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 the Close of Trading.

            (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 an Underlying Equity Security, 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 an Underlying Equity Security or in respect of options
      contracts related to an Underlying Equity Security, 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;


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            (ii) any suspension in trading in an options contract on an
      Underlying Equity Security 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.

            "MATURITY PAYMENT AMOUNT" shall equal, for each $1,000 principal
amount of Securities, the sum of the Adjusted Values of each Underlying Equity
Security. In the event that the Calculation Agent makes an Ending Price
Adjustment due to the occurrence of a Market Disruption Event, the payment by
the Company of the Maturity Payment Amount will be postponed until the date
three Business Days after the date of determination of any such Ending Price
Adjustment.

            "MULTIPLIER" shall mean the number of shares, or fraction of a
share, of each Underlying Equity Security included in the Basket.

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

            "NYSE" shall mean the New York Stock Exchange.

            "OFFICIAL W.M. REUTERS SPOT CLOSING RATE" shall mean the
closing spot rate published on Reuters page "WMRA" relevant for an Underlying
Equity Security.

            "PROSPECTUS SUPPLEMENT" shall mean the prospectus supplement,
dated August 14, 2001, issued by the Company relating to $10,100,000 aggregate
principal amount of the Securities.

            "SECURITIES" shall have the meaning set forth on the reverse
of this Security.

            "SECURITY" shall have the meaning set forth on the face of
this Security.

            "STARTING MULTIPLIER" shall mean, for each Underlying Equity
Security, the Multiplier required so that such Underlying Equity Security
represented on August 14, 2001 approximately 10.0% of the Basket on a U.S.
dollar weighted basis, which Multiplier shall be the Multiplier set forth
opposite the name of such Underlying Equity Security in the table under the
caption "The Basket" on page S-18 of the Prospectus Supplement.

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            "STARTING PRICE" shall mean, for each Underlying Equity
Security, the price set forth opposite the name of such Underlying Equity
Security in the table under the caption "The Basket" on page S-18 of the
Prospectus Supplement.

            "STATED MATURITY DATE" shall mean August 21, 2003.

            "TRADING DAY" shall mean a day on which trading generally is
conducted on the NYSE, AMEX and Nasdaq and in the over-the-counter market for
equity securities, as determined by the Calculation Agent.

            "TRUSTEE" shall have the meaning set forth on the reverse of
this Security.

            "UNDERLYING EQUITY SECURITIES" shall mean the securities included in
the Basket from time to time and shall initially be the following 10 common
stocks: Amgen Inc., Cisco Systems, Inc., Dell Computer Corporation, Gemstar--TV
Guide International, Inc., Intel Corporation, Maxim Integrated Products, Inc.,
Microsoft Corporation, Oracle Corporation, QUALCOMM Incorporated and Sun
Microsystems, Inc. The Underlying Equity Securities shall only be adjusted by
the Calculation Agent pursuant to the Calculation Agency Agreement for certain
extraordinary transactions.

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



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

            The following abbreviations, when used in the inscription on the
face of the within Security, shall be construed as though they were written out
in full according to applicable laws or regulations:

<Table>
<S>                                       <C>
TEN COM - as tenants in common             UNIF GIFT MIN ACT - _____ Custodian ________
                                                               (Cust)          (Minor)
TEN ENT - as tenants by the entireties     under Uniform Gifts to Minors
JT TEN  - as joint tenants with right of   Act _________________________
          Survivorship and not as                     (State)
          tenants in common
</Table>

     Additional abbreviations may also be used though not in the above list.

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

  FOR VALUE RECEIVED, the undersigned hereby sells, assigns and transfers unto

PLEASE INSERT SOCIAL SECURITY OR OTHER
IDENTIFYING NUMBER OF ASSIGNEE

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

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

-------------------------------------------------------------------------------
(Name and Address of Assignee, including zip code, must be printed or
typewritten.)

-------------------------------------------------------------------------------
the within Security, and all rights thereunder, hereby irrevocably constituting
and appointing

-------------------------------------------------------------------------------
to transfer the said Security on the books of the Company, with full power of
substitution in the premises.

         Dated:

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

         NOTICE: The signature to this assignment must correspond with the name
as it appears upon the face of the within Security in every particular, without
alteration or enlargement or any change whatever.

Signature(s) Guaranteed:





---------------------------
THE SIGNATURE(S) SHOULD BE GUARANTEED BY AN ELIGIBLE GUARANTOR INSTITUTION
(BANKS, STOCKBROKERS, SAVINGS AND LOAN ASSOCIATIONS AND CREDIT UNIONS WITH
MEMBERSHIP IN AN APPROVED MEDALLION SIGNATURE GUARANTEE PROGRAM), PURSUANT TO
S.E.C. RULE 17Ad-15.