Exhibit 4.02


CUSIP NO. 52517PY39

ISIN NO. US52517PY396


	
  REGISTERED

  	
   

  	
  PRINCIPAL AMOUNT: $3,000,000

  
	
  No. R-1

  	
   

  	
   

  



 


LEHMAN BROTHERS HOLDINGS INC.


MEDIUM-TERM NOTE, SERIES I


DOUBLE CONDITIONAL RANGE NOTE
 DUE AUGUST 24, 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 “Maturity Date” is August 24, 2007, or if such day is not a
Business Day, on the next following Business Day.


The “Redemption Amount” is the amount equal to the sum of the principal
amount of the Notes plus the Additional Amount, if any.


The “Additional Amount” is a single U.S. dollar payment calculated by
the Calculation Agent equal to the principal amount of the Notes multiplied by:


(A) 1.875%, if, at all times during the Observation Period, both (a)
the Continuously Observed GBP Rate has traded strictly within the GBP Reference
Range and (b) the Continuously Observed CAD Rate has traded strictly within the
CAD Reference Range; or


(B) 0%, if, at any time during the Observation Period, either (a) the
Continuously Observed GBP Rate trades outside the GBP Reference Range (or on
either the GBP Range Lower Boundary or the GBP Range Upper Boundary) or (b) the
Continuously Observed CAD Rate trades outside the CAD Reference Range (or on
either the CAD Range Lower Boundary or the CAD Range Upper Boundary).


The “Start Date” is May 18, 2007.


The “End Date” is August 20, 2007.


The “Issue Date” is May 24, 2007.


The “Observation Period” is the period from and including 10:00 am EST
on the Start Date to but excluding 10:00 am EST on the End Date.


The “Reference Currencies” are the British Pound (GBP) and the Canadian
Dollar (CAD).


The “GBP Reference Exchange Rate” is the spot exchange rate for the
British Pound quoted against the U.S. dollar expressed as the number of U.S.
dollars per one British Pound.


The “Continuously Observed GBP Rate” is, at any time on any day during
the Observation Period, the most recent traded GBP Reference Exchange Rate
observed on the continuous trading EBS (Electronic Broking Service) Spot
Dealing System (subject to the occurrence of a Disruption Event or a Continuous
Observation Unavailability Event).


The “GBP Reference Range” is
the range from (but excluding) the GBP Range Lower Boundary to (but excluding)
the GBP Range Upper Boundary.



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The “GBP Range Lower
Boundary” is 1.8867, equal to the GBP Initial Fixing minus 0.0850.


The “GBP Range Upper
Boundary” is 2.0467, equal to the Range Initial Fixing plus 0.0750.


The “GBP Initial Fixing” is
1.9717, which is the GBP Reference Exchange Rate observed by on the Start Date
in accordance with the Settlement Rate Option.


The “CAD Reference Exchange
Rate” is the spot exchange rate for the Canadian Dollar quoted against the U.S.
dollar expressed as the number of Canadian Dollars per one U.S. dollar.


The “Continuously Observed
CAD Rate” is, at any time on any day during the Observation Period, the most
recent traded CAD Reference Exchange Rate observed on the continuous trading
Reuters DealingLink Spot Dealing System (subject to the occurrence of a
Disruption Event or a Continuous Observation Unavailability Event).


The “CAD Reference Range” is
the range from (but excluding) the CAD Range Lower Boundary to (but excluding)
the CAD Range Upper Boundary.


The “CAD Range Lower
Boundary” is 1.0451, equal to the CAD Initial Fixing minus 0.0475.


The “CAD Range Upper
Boundary” is 1.1401, equal to the CAD Initial Fixing plus 00.0475.


The “CAD Initial Fixing” is
1.0926, which is the CAD Reference Exchange Rate observed by on the Start Date
in accordance with the Settlement Rate Option.


If a Disruption Event occurs with respect to a Reference
Currency on any day during the Observation Period to but excluding the earlier
of (a) 10:00 a.m. EST on the End Date and (b) the time on any day at which
either the Continuously Observed GBP Rate first trades outside the GBP
Reference Range (or on either the GBP Range Lower Boundary or GBP Range Upper
Boundary) or the Continuously Observed CAD Rate first trades outside the CAD
Reference Range (or on either the CAD Range Lower Boundary or CAD Range Upper
Boundary), and for so long as such Disruption Event is continuing, the
Continuously Observed GBP Rate or Continuously Observed CAD Rate, as
applicable, for the affected Reference Currency for each such day will be a
single GBP Reference Exchange Rate or CAD Reference Exchange Rate, as
applicable, determined by the Calculation Agent in accordance with the Fallback
Rate Observation Methodology.


A “Disruption Event” means any of the following events 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 either of the Reference Currencies into
  U.S. dollars through customary legal channels; or

  



 



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(B)   the occurrence of any
event causing either the GBP Reference Exchange Rate or the CAD Reference
Exchange Rate to be split into dual or multiple currency exchange rates.


If a Continuous Observation Unavailability Event occurs
with respect to a Reference Currency on any day during the Observation Period
to but excluding the earlier of (a) 10:00 a.m. EST on the End Date and (b) the
time on any day at which the Continuously Observed GBP Rate first trades
outside the GBP Reference Range (or on either the GBP Range Lower Boundary or
GBP Range Upper Boundary) or the Continuously Observed CAD Rate first trades
outside the CAD Reference Range (or on either the CAD Range Lower Boundary or
CAD Range Upper Boundary), and for so long as such Continuous Observation Unavailability
Event is continuing, the Continuously Observed GBP Rate or the Continuously
Observed CAD Rate, as applicable, for the affected Reference Currency for each
such day will be a single daily GBP Reference Exchange Rate or CAD Reference
Exchange Rate, as applicable, determined by the Calculation Agent in accordance
with the Settlement Rate Option on that day (subject to the occurrence of a
Settlement Rate Option Unavailability Event).


A “Continuous Observation Unavailability Event”
means, as determined in good faith by the Calculation Agent, (a) with respect
to GBP, the Continuously Observed GBP 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 Continuously Observed GBP Rate, on
the EBS Spot Dealing System; and (b) with respect to CAD, the Continuously
Observed CAD 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 Continuously Observed CAD Rate, on the Reuters DealingLink Spot
Dealing System.


If a
Settlement Rate Option Unavailability Event is in effect on any day during the
Observation Period on which the GBP Reference Exchange Rate or CAD Reference
Exchange Rate is to be observed in accordance with the Settlement Rate Option
pursuant to a Continuous Observation Unavailability Event, as described above,
the Calculation Agent will determine the GBP Reference Exchange Rate or CAD
Reference Exchange Rate, as applicable, in accordance with the Fallback Rate
Observation Methodology.


A “Settlement
Rate Option Unavailability Event” means, as determined in good faith by the
Calculation Agent, the GBP Reference Exchange Rate or the CAD Reference
Exchange Rate, as applicable, being unavailable, or the occurrence of an event
(other than an event constituting a Disruption Event) that generally makes it
impossible to obtain the GBP Reference Exchange Rate or the CAD Reference
Exchange Rate, as applicable, in accordance with the Settlement Rate Option on
such day.


A “Valuation Business Day,” with 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 law, regulation or executive
order to close (including for dealings in foreign exchange in accordance with
the practice of the foreign exchange market) in New York.


The “Settlement Rate Option” for the GBP Reference Exchange
Rate is the U.S. dollar/British Pound official fixing rate, expressed as the
amount of U.S. dollars per one British Pound, for settlement in two business
days reported by the Federal Reserve Bank of New York 



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which
appears on Reuters Screen 1FED to the right of the caption “GBP” at
approximately 10:00 a.m. New York time, on the Start Date or such other
relevant date.


The “Settlement Rate Option” for the CAD Reference Exchange
Rate is the Canadian Dollar/U.S. dollar official fixing rate, expressed as the
amount of Canadian Dollars per one U.S. dollar, for settlement in one business
days reported by the Federal Reserve Bank of New York which appears on Reuters
Screen 1FED to the right of the caption “CAD” at approximately 10:00 a.m. New
York time, on the Start Date or such other
relevant date.


The “Fallback Rate Observation Methodology” means that the Reference Exchange Rate, Settlement
Rate or other rate, as specified in the applicable pricing supplement, in
respect of a reference currency will equal the noon buying rate in New York for
cable transfers in foreign currencies as announced by the Federal Reserve Bank
of New York for customs purposes (the “Noon Buying Rate”) on the relevant
Valuation Date or such other date specified in the applicable pricing
supplement. If the Noon Buying Rate is not announced on that date, the
Reference Exchange Rate, Settlement Rate or other rate for such 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 or such other date specified in the applicable
pricing supplement, 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 Reference Exchange Rate, Settlement Rate or other rate, as
applicable, 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 whether that quotation is reasonable
to be used. If no spot quotation is available, then the Reference Exchange
Rate, Settlement Rate or other rate, as applicable, for such Reference Currency
will be determined by the Calculation Agent in good faith and in a commercially
reasonable manner.


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.


The “Calculation Agent” means
Lehman Brothers Inc.


Except as provided below, the
Additional Amount, if any, 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 any Additional
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 



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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 24, 2007


 


	
  [SEAL]

  	
  LEHMAN BROTHERS HOLDINGS INC.

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
   

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Barrett S. DiPaolo

  
	
   

  	
   

  	
  Title:

  	
  Vice President

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  Attest:

  	
   

  	
   

  
	
   

  	
   

  	
  Name:

  	
  Cindy Buckholz

  
	
   

  	
   

  	
  Title:

  	
  Assistant Secretary

  
						



 


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 I
 DOUBLE CONDITIONAL RANGE NOTE
 DUE AUGUST 24, 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 I, Double
Conditional Range 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 Additional 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
Additional 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 













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 Additional 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 Additional 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 for the period from and including the Issue
Date to but excluding the date of early repayment and will equal, for each
note, the Redemption Amount, calculated as the date of early repayment were the
Maturity Date. If a bankruptcy proceeding is commenced in respect of Lehman
Brothers Holdings, the claim of the beneficial owner of a note for the period
from and including the Issue Date to but excluding the date of early repayment
will be capped at the Redemption Amount, calculated as though the date of the
commencement of the proceeding were the Maturity Date.


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