Exhibit 4.01


	
  CUSIP NO. 52517PH79

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
  REGISTERED

  	
   

  	
  PRINCIPAL AMOUNT: $10,000,000

  
	
  No. R-1

  	
   

  	
   

  



 


LEHMAN BROTHERS HOLDINGS INC.


MEDIUM-TERM NOTE, SERIES H


PRINCIPAL PROTECTED USD-ASIAN BASKET
FX-LINKED NOTE
DUE NOVEMBER 19, 2007


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 Maturity Date, an amount equal to the Redemption Amount. The Notes do
not bear interest. No payments on the Notes will be made until the Maturity
Date.


The “Maturity Date” is November 19,
2007, or if such day is not a Business Day, on the next following Business Day.


The Redemption Amount,
for each $1 principal amount of the Notes represented hereby, is the amount
equal to the sum of (a) $1 plus (b) the
Additional Amount.


The “Additional Amount”,
for each $1 principal amount of the Notes represented hereby will be (subject
to the occurrence of a Disruption Event) the greater of (i) zero and (ii) 130%
times the Basket Value.


The “Reference Currencies”
are the Chinese Renminbi (CNY), Indonesian Rupiah (IDR), Korean Won (KRW),
Malaysian Ringgit (MYR), Singapore Dollar (SGD), Taiwanese Dollar (TWD) and the
U.S. Dollar (USD).


The “Basket Value” equals
the sum of:


(i) a quotient, the numerator of which
is 1.33383 and the denominator of which is the
Settlement Rate for CNY plus


(ii) a quotient, the numerator of which
is 1515.83333 and the denominator of which is the
Settlement Rate for IDR plus


(iii) a quotient, the numerator of which
is 157.23333 and the denominator of which is the
Settlement Rate for KRW plus


(iv) a quotient, the numerator of which
is 0.60167 and the denominator of which is the
Settlement Rate for MYR plus


(v) a quotient, the numerator of which
is 0.26367 and the denominator of which is the
Settlement Rate for SGD plus


(vii) a quotient, the numerator of which
is 5.26500 and the denominator of which is the Settlement
Rate for TWD plus


(viii) a quotient, the numerator of
which is -1.0000 and the denominator of which is the
Settlement Rate for USD.


The “Settlement Rate” for
each Reference Currency is the Reference Exchange Rate on the Valuation Date,
observed as per the Settlement Rate Option (subject to the occurrence of a
Price Source Unavailability Event).


The “Reference
Exchange Rates” are the spot exchange rates for each of the Reference
Currencies quoted against the U.S. dollar expressed as number of currency
units per USD 1.



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The “Settlement
Rate Option” for each Reference Currency (other than USD) is as follows:


	
  Reference Currency

  	
   

  	
  

  	
  Settlement Rate Option

  	
   

  
	
  CNY

  	
   

  	
  The Chinese
  Renminbi/U.S. Dollar official fixing rate, expressed as the amount of Chinese
  Renminbi per one U.S. Dollar, for settlement in two business days reported by
  The State Administration of Foreign Exchange of the People’s Republic of
  China, Beijing, which appears on the Reuters Screen SAEC Page opposite
  the symbol “USDCNY=“ at approximately 5:00 p.m., Beijing time, on the
  Valuation Date.

  
	
   

  	
   

  	
   

  
	
  IDR

  	
   

  	
  The Indonesian
  Rupiah/U.S. Dollar spot rate at 11:00 a.m., Singapore time, expressed as
  the amount of Indonesian Rupiah per one U.S. Dollar, for settlement in two
  business days, reported by the Association of Banks in Singapore which
  appears on the Telerate Page 50157 to the right of the caption “Spot”
  under the column “IDR” at approximately 11:30 a.m., Singapore time, on
  the Valuation Date.

  
	
   

  	
   

  	
   

  
	
  KRW

  	
   

  	
  The Korean Won/U.S.
  Dollar market average rate, expressed as the amount of Korean Won per one
  U.S. Dollar, for settlement in two business days reported by the Korea
  Financial Telecommunications and Clearing Corporation which appears on the
  Reuters Screen KFTC18 Page to the right of the caption “USD Today” that
  is available at approximately 5:30 p.m., Seoul time, on the Valuation
  Date or as soon thereafter as practicable, but in no event later than
  9:00 a.m., Seoul time, on the first business day following the Valuation
  Date.

  
	
   

  	
   

  	
   

  
	
  MYR

  	
   

  	
  The Malaysian
  Ringgit/U.S. Dollar spot rate at 11:00 a.m., Singapore time, expressed
  as the amount of Malaysian Ringgit per one U.S. Dollar, for settlement in two
  business days, reported by the Association of Banks in Singapore, which
  appears on the Telerate Page 50157 to the right of the caption “Spot”
  under the column “MYR” at approximately 11:30 a.m., Singapore time, on
  the Valuation Date.

  
	
   

  	
   

  	
   

  
	
  SGD

  	
   

  	
  The Singapore
  Dollar/U.S. Dollar spot rate at 11:00 a.m., Singapore time, expressed as
  the amount of Singapore Dollar per one U.S. Dollar, for settlement in two
  business days, reported by the Association of Banks in Singapore which
  appears on the Reuters Page ABSIRFIX01 to the right of the caption
  “Spot” under the column “SGD” at approximately 11:30 a.m., Singapore
  time, on the Valuation Date.

  
	
   

  	
   

  	
   

  
	
  TWD

  	
   

  	
  The Taiwanese Dollar/U.S. Dollar spot rate,
  expressed as the amount of Taiwanese Dollars per one U.S. Dollar, for
  settlement in two business days, reported by the Taipei Forex Inc. which
  appears on the Reuters Screen TAIFX1 Page under the heading “Spot” as of
  11:00 a.m. Taipei time, on the Valuation Date, or if no rate appears as
  of 11:00 a.m., Taipei time, the rate that first appears in any of the
  next succeeding 15 minute intervals after such time, up to and including
  12:00 noon, Taipei time on the Valuation Date.

  



 


The screen or time of
observation indicated in relation to any Settlement Rate Option above shall be
deemed to refer to such screen or time of observation as modified or amended
from time to time, or to any substitute screen thereto.


The “Valuation Date” is November 13,
2007 or, if such day is not a Valuation Business Day, the immediately preceding
Valuation Business day.


A “Valuation Business Day”
means, with respect to each Reference Currency, 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 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 or jurisdiction indicated in the
Settlement Rate Option for that Reference Currency.


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.



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Upon
the occurrence of a Disruption Event with respect to any Reference Currency on
any day during the term of the notes, the Calculation Agent shall determine the
Additional Amount payable on the Maturity Date 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 delivery of USD from accounts inside the country for which a
Reference Currency is the lawful currency (such jurisdiction with respect to
such Reference Currency, the “Reference Currency Jurisdiction”) to accounts
outside that Reference Currency Jurisdiction;


(B)                                the occurrence of any
event causing the Reference Exchange Rate for any Reference Currency 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 any
Reference Currency that prevents or makes impossible (x) the Calculation
Agent’s ability to calculate the Additional Amount, (y) the fulfilment of
the Company’s obligations under the notes, or (z) the ability of the
Company or any of its affiliates through which the Company 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 with respect to a
Reference Currency, the Settlement Rate for the affected Reference Currency
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 Settlement Rate being unavailable for a Reference Currency, or the
occurrence of an event (other
than an event constituting a Disruption Event) that generally makes it
impossible to obtain the Settlement Rate for a Reference Currency, on the
relevant Valuation Date.


The “Fallback Rate
Observation Methodology” means that the Settlement Rate for a Reference
Currency 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 the Valuation Date
for the purchase or sale for deposits in the Reference Currency by the New York
offices of three leading banks engaged in the interbank market (selected in the
sole discretion of the Calculation Agent) (the “Reference Banks”). If fewer
than three Reference Banks provide spot quotations then the Settlement Rate for
such Reference Currency will be determined by the Calculation Agent in good
faith and in a commercially reasonable manner.


Except as provided below, the Redemption
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 Redemption
Amount will be made in immediately available funds upon surrender of this Note
at the corporate
trust office or agency of the Trustee (or any duly appointed Paying Agent)
maintained for that purpose in the Borough of Manhattan, New York 



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City
(the “Corporate Trust Office”), provided that this Note is presented to the
Trustee (or any such Paying Agent) in time for the Trustee (or any such Paying
Agent) to make such payments in such funds in accordance with its normal
procedures.


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 “USD”,
“U.S. dollars” or “U.S.$” or “$” 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 19, 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


PRINCIPAL PROTECTED USD-ASIAN BASKET FX-LINKED NOTE
DUE NOVEMBER 19, 2007


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, Principal Protected USD-Asian Basket FX-Linked 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
Redemption 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 Redemption 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 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 



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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
Redemption 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 Redemption 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.



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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 declared due and payable upon any acceleration of the Notes will be
determined by the Calculation Agent and will equal the Redemption Amount
calculated as though the maturity of the Notes were the date of early repayment
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 Redemption Amount calculated as though the date to which the
maturity has been accelerated were the Maturity Date as determined by the
Calculation Agent.


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