Exhibit 4.02


CUSIP NO. 52517PH95


	
  REGISTERED

  	
   

  	
  PRINCIPAL AMOUNT: $2,000,000

  
	
  No. R-1

  	
   

  	
   

  



 


LEHMAN BROTHERS HOLDINGS INC.


MEDIUM-TERM NOTE, SERIES H


FX RANGE RESETTING NOTE
DUE NOVEMBER 27, 2006


THIS NOTE IS A GLOBAL SECURITY WITHIN THE MEANING OF
THE INDENTURE HEREINAFTER REFERRED TO AND IS REGISTERED IN THE NAME OF THE
DEPOSITORY OR A NOMINEE OF THE DEPOSITORY. UNLESS THIS CERTIFICATE IS PRESENTED
BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY (55 WATER
STREET, NEW YORK, NEW YORK) TO THE COMPANY (AS DEFINED BELOW) OR ITS AGENT FOR
REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY CERTIFICATE ISSUED IS
REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER NAME AS REQUESTED
BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY AND ANY PAYMENT
IS MADE TO CEDE & CO., ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR
VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER
HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.


UNLESS AND UNTIL IT IS EXCHANGED IN WHOLE OR IN PART
FOR NOTES IN CERTIFICATED FORM (A “CERTIFICATED NOTE”), THIS GLOBAL 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 THE 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.









 



 


LEHMAN BROTHERS HOLDINGS
INC., a corporation duly organized and existing under the laws of the State of
Delaware (herein called the “Company,” which term includes any successor
corporation under the Indenture referred to on the reverse hereof), for value
received, hereby promises to pay to CEDE & Co., or registered assigns,
on the applicable Interest Payment Date, an amount equal to the Interest Amount
and, on the Maturity Date, 100% of the principal amount of the Notes.


The “Maturity Date” is November 27,
2006, or if such day is not a Business Day, on the next following Business Day.


The
“Interest Payment Dates” are August 24, 2006 and November 27, 2006, or
if such day is not a Business Day, on the next following Business Day.


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) 2.5%, 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 10:00 a.m.
EST on the applicable Start Date to but excluding 10:00 a.m. EST on the
applicable End Date, 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 10:00 a.m.
EST on the applicable Start Date to but excluding 10:00 a.m. EST on the
applicable End Date, as observed on the continuous trading EBS Spot Dealing
System.


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

  	
   

  	
  May 22, 2006

  	
   

  	
  August 22, 2006

  	
   

  	
  1.2792

  	
   

  	
  1.2292

  	
   

  	
  1.3292

  
	
  2

  	
   

  	
  August 22, 2006

  	
   

  	
  November 22, 2006

  	
   

  	
  RM­2

  	
   

  	
  RM­2-0.05

  	
   

  	
  RM2+ 0.05

  



 


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


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).


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


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



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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.


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.


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


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.


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.


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 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.


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.


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



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any Reference Range period other
than for purposes of determining any Range Midpoint, on the EBS (Electronic
Broking Service) Spot Dealing System.


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.


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.


A “Business Day”, notwithstanding any provision in the Indenture, is
any day that is not is not a Saturday or Sunday and that is not a day on which
banking institutions in New York City generally are authorized or obligated by
law or executive order to be closed.


Except as provided below, an Interest Amount may, at the option of the
Company, be made by check mailed to the person entitled thereto at such person’s
address as it appears on the registry books of the Company.


Payment of the Interest Amount will be made in immediately available
funds in accordance with the normal procedures of the Trustee (or any duly
appointed Paying Agent).


The Company will pay any administrative costs imposed by banks in
making payments in immediately available funds, but any tax, assessment or
governmental charge imposed upon payments hereunder, including, without
limitation, any withholding tax, will be borne by the Holder hereof.


References herein to “U.S. dollars” or “U.S.$” or “$” or “USD” are to
the coin or currency of the United States as at the time of payment is legal
tender for the payment of public and private debts.


REFERENCE IS HEREBY 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 IF 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.



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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 Vice
Chairman, 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:  May 26, 2006


 


	
  [SEAL]

  	
   

  	
  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 herein referred to in the within-mentioned
Indenture.


	
  CITIBANK, N.A.

  	
   

  
	
   as Trustee

  	
   

  
	
   

  	
   

  
	
   

  	
   

  
	
  By:

  	
   

  	
   

  	 

	
   

  	
  Authorized Officer

  	
   

  	 




 



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[REVERSE
OF NOTE]


LEHMAN BROTHERS
HOLDINGS INC.


MEDIUM-TERM NOTES,
SERIES H


FX RANGE RESETTING NOTE
DUE NOVEMBER 27, 2006


Section 1. General. This Note is one of a
duly authorized series of Notes of the Company designated as the Medium-Term
Notes, Series H, FX Range Resetting Note (herein called the “Notes”). The Notes are one of an indefinite
number of series of debt securities of the Company (collectively, the “Securities”)
issued or issuable under and pursuant to an indenture dated as of September 1,
1987, as amended and supplemented (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 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.


Section 2. Principal Amount for Indenture
Purposes. For the purpose of determining whether Holders of the requisite
amount of Notes of this series outstanding under the Indenture have made a
demand, given a notice or waiver or taken any other action, the principal
amount of this Note will be deemed to be the principal amount of this Note then
outstanding.


Section 3. Modification and Waivers. 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,
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
Interest Amount or the principal amount thereof, or reduce the rate or extend
the time of payment of interest thereon or reduce any premium or other amount
payable on redemption, or make the Interest Amount or the principal amount
thereof, premium or other amount payable, if any, or interest thereon payable
in any coin or currency other than that herein above 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



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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, on the Interest Amount or the principal amount, 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 of this series 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 of this series.


Section 4. Obligations Unconditional. 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 Interest Amount or the principal amount
on this Note at the place, at the respective times, at the rate, and in the
coin or currency herein prescribed.


Section 5. Defeasance. The Indenture
contains provisions for the discharge of the Indenture and defeasance at any
time of the indebtedness on this Note upon compliance by the Company with
certain conditions set forth therein, which provisions apply to this Note.


Section 6. Authorized Form and
Denominations. The Notes of this series are issuable in registered form,
without coupons. Each Note will be issued initially as either a Global Security
or a Certificated Note, at the option of the Company, in denominations of
$1,000 or whole multiples of $1,000, either at the office or agency to be
designated and maintained by the Company for such purpose in the Borough of
Manhattan, New York City, 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 of this series are
exchangeable for a like aggregate principal amount of Notes of this series of a
different authorized denomination, except that Global Securities will not be
exchangeable for Certificated Notes of this series.


Section 7. Registration of Transfer. As
provided in the Indenture and subject to certain limitations as 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
Corporate Trust Office or agency in a Place of Payment for this Note, duly
endorsed by, or accompanied by a written instrument of transfer in form
satisfactory to the Company and the Security Registrar requiring such written
instrument of transfer duly executed by, the Holder hereof or his attorney duly
authorized in writing, and thereupon one or more new Notes of this series, of
authorized denominations and for the same aggregate principal amount, will be
issued to the designated transferee or transferees.


If at any time the Depository notifies the Company
that it is unwilling or unable to continue as Depository or if at any time the
Depository shall no longer be eligible under the Indenture, the Company
shall appoint a successor Depository. If a successor Depository for the Notes
of this series is not appointed by the Company within 90 days after the Company
receives such notice or becomes aware of such ineligibility, the Company will
issue, and the Trustee will authenticate and deliver, Notes of this series in
definitive form in an aggregate principal amount equal to the principal amount
of this Note.


No service charge shall be made for any such
registration of transfer or exchange, but the Company may require payment of a
sum sufficient to cover any tax or other governmental charge that may be
imposed in connection therewith.


Prior to due presentment of this Note for registration
of transfer, the Company, the Trustee and any agent of the Company or the
Trustee may treat the person in whose name this Note is registered as
the owner hereof for all 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.


Section 8. Events of Default. If an Event
of Default with respect to Notes of this series shall occur and be continuing,
the amount that may be declared due and payable upon any acceleration of the
Notes will be determined by the calculation agent and will equal, for each
Note, the principal amount plus the Interest Amount, if any, payable in respect
of the Reference Range period during which the event of default
occurred, which Interest Amount shall equal the portion of the Interest
Amount deemed to have accrued for such Reference Range period from and
including the Start Date for such Reference Range period to but excluding the
date of early repayment calculated on the basis of a 360-day year
consisting of 12 months of 30 days each, and, in the case of an incomplete
month, the number of days elapsed. If a bankruptcy proceeding is commenced in
respect of the Company, the claim of the beneficial owner of a Note will be
capped at the principal amount plus the Interest Amount, if any, payable in
respect of the Reference Range period during which the date of the commencement
of the proceeding occurred, which Interest Amount shall equal the portion of
the Interest Amount deemed to have accrued for such Reference Range period from
and including the Start Date for such Reference Range period to but excluding
the date of early repayment calculated on the basis of a 360-day year
consisting of 12 months of 30 days each, and, in the case of an incomplete
month, the number of days elapsed. For purposes of determining whether any
Interest Amount is payable in respect of any Reference Range period during
which an event of default occurred or a bankruptcy proceeding was commenced,
the End Date for such Reference Range period shall be deemed to be the date on
which such event of default occurred or such proceeding commenced,
respectively.


Section 9. No Recourse Against Certain
Persons. No recourse for the payment of the Interest Amount 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 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.


Section 10. Defined Terms. All terms used
but not defined in this Note are used herein as defined in the Indenture.


Section 11. GOVERNING
LAW. THIS NOTE SHALL BE
GOVERNED BY AND CONSTRUED IN ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK.



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