Document:

<PAGE>

                                                                    EXHIBIT 4.01

                          LEHMAN BROTHERS HOLDINGS INC.

                            S&P 500(R) Index SUNS(R)

              Stock Upside Note Securities(R) Due December 26, 2006

Number R-1                                                           $17,000,000
ISIN US524908 DW 76                                            CUSIP 524908 DW 7

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 at Stated Maturity hereon will be paid only upon
presentation and surrender of this Security.

<PAGE>

     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.

     "Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500,"
and "500" are trademarks of McGraw-Hill, Inc. and have been licensed for use by
Lehman Brothers Holdings Inc. This security is not sponsored, endorsed, sold or
promoted by Standard & Poor's and Standard & Poor's makes no representation
regarding the advisability of investing in the notes.

     "Stock Upside Note Securities" and "SUNS" are trademarks 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.

<PAGE>

     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:  December 26, 2001                LEHMAN BROTHERS HOLDINGS INC.

                                         By:     /s/ Barrett S. DiPaolo
                                                --------------------------------
                                                Name:  Barrett S. DiPaolo
                                                Title: Vice President

                                         Attest: /s/ Cindy S. Gregoire
                                                --------------------------------
                                                Name:  Cindy S. Gregoire
                                                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:  December 26, 2001

CITIBANK, N.A.
  as Trustee

By: /s/ Wafaa Orfy
   ---------------------------------
   Name: Wafaa Orfy
   Title: Authorized Signatory

<PAGE>

                              (Reverse of Security)

     This Security is one of a duly authorized series of Securities of the
Company designated as S&P 500(R) Index SUNS(R), Stock Upside Note Securities Due
December 26, 2006 (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.

     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 and the date three Business Days prior
thereto was the Final 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

<PAGE>

                                                                               2

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.

     For United States federal income tax purposes, the Securities will be
governed by the contingent payment debt regulations under Treas. Reg. (Section)
1.1275-4. The Company has determined the "Comparable Yield" to be 5.75% per
annum, compounded semi-annually, and the projected payment schedule per note to
be $1,320.70due at Stated Maturity.

     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

<PAGE>

                                                                               3

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.

<PAGE>

     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.

     "Alternative Redemption Amount" shall mean, with respect to each $1,000
principal amount of Securities, the product of:

          (i)  $1,000; and

                      (                 Final Index         Initial Index  )
                      (                     Level      -       Level       )
          (ii)  1  +  ( 0.66 x        ------------------------------------ )
                      (                         Initial Index Level        )

     "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 December 26, 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 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 three Business Days prior to December 26,
2006; provided, that if a Market Disruption Event occurs on such day, then the
Calculation Date shall be the next following Business Day on which no Market
Disruption Event occurs.

     "Close of Trading" shall mean 4:00 p.m., New York City time.

     "Closing Level" shall mean the last reported level of the Index or the
Successor Index, as the case may be, at 4:00 p.m., New York City time, as
reported by S&P or the publisher of the Successor Index, as the case may be.

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

     "Final Index Level" shall equal the Closing Level of the Index or a
Successor Index, as the case may be, on the Calculation Day.

     "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.

     "Index" shall mean the S&P 500(R) Index, as calculated by S&P.

<PAGE>

                                                                               2

     "Initial Index Level" shall mean 1,139.93, the Closing Level of the Index
on December 20, 2001.

     "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 20% of
     more of the underlying stocks which then comprise the Index or any
     Successor Index, as the case may be, 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 such stocks are traded or, in the case of a common
     stock 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 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 4:00 p.m., New York City time.

         (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 the Index or any Successor Index, as the case may be, 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
     20% or more of the underlying stocks which then comprise the Index or any
     Successor Index, as the case may be, or in respect of options contracts
     related to the Index or any Successor Index, as the case may be, 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;

         (ii) any suspension in trading in an options contract on the Index or
     any Successor Index, as the case may be, 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

<PAGE>

                                                                               3

     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", for each $1,000 principal amount of Securities,
shall equal the greater of (a) $1,000 and (b) the Alternative Redemption Amount.

     "Nasdaq" shall mean The Nasdaq Stock Market, Inc. "NYSE" shall mean the New
York Stock Exchange.

     "S&P" shall mean Standard & Poor's, a division of McGraw-Hill, Inc.

     "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.

     "Stated Maturity" shall mean December 26, 2006; provided, that if the
Calculation Date is delayed as a result of the occurrence of a Market Disruption
Event, the Stated Maturity shall be the third Business Day following the
Calculation Date.

     "Successor Index" shall mean such substitute index as the Calculation Agent
may select pursuant to the Calculation Agency Agreement upon discontinuance of
the Index.

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

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

<PAGE>
                        --------------------------------

     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>
<CAPTION>

<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.<PAGE>

                                                                    EXHIBIT 4.02

                          CALCULATION AGENCY AGREEMENT

     CALCULATION AGENCY AGREEMENT, dated as of December 26, 2001 (the
"Agreement"), between Lehman Brothers Holdings Inc. (the "Company") and Lehman
Brothers Inc., as Calculation Agent.

     WHEREAS, the Company has authorized the issuance of up to $19,550,000
aggregate principal amount of S&P 500(R) Index SUNS(R), Stock Upside Note
Securities(R) Due December 26, 2006 (the "Securities")*;

     WHEREAS, the Securities will be issued under an Indenture, dated as of
September 1, 1987, between the Company and Citibank, N.A., as Trustee (the
"Trustee"), as supplemented and amended by supplemental indentures dated as of
November 25, 1987, November 27, 1990, September 13, 1991, October 4, 1993,
October 1, 1995, and June 26, 1997, and incorporating Standard Multiple Series
Indenture Provisions dated July 30, 1987, as amended November 16, 1987
(collectively, the "Indenture"); and

     WHEREAS, the Company requests the Calculation Agent to perform certain
services described herein in connection with the Securities;

     NOW THEREFORE, the Company and the Calculation Agent agree as follows:

     1. Appointment of Agent. The Company hereby appoints Lehman Brothers Inc.
as Calculation Agent and Lehman Brothers Inc. hereby accepts such appointment as
the Company's agent for the purpose of performing the services hereinafter
described upon the terms and subject to the conditions hereinafter mentioned.

     2. Calculations and Information Provided. In response to a request made by
the Trustee for a determination of the Maturity Payment Amount due at Stated
Maturity of the Securities, the Calculation Agent shall determine such Maturity
Payment Amount and notify the Trustee of its determination. The Calculation
Agent shall also be responsible for (a) the determination of the Maturity
Payment Amount, (b) whether adjustments to the Equity Return should be made, (c)
the Successor Index if publication of the Index is discontinued and (d) whether
a Market Disruption Event has occurred. The Calculation Agent shall notify the
Trustee of any such adjustment or any such Successor Index, or if a Market
Disruption Event has occurred. Annex A hereto sets forth the procedures the
Calculation Agent will use to determine the information described in this
Section 2.

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

*    "Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500,"
     and "500" are trademarks of McGraw-Hill, Inc. and have been licensed for
     use by Lehman Brothers Holdings Inc. The notes, based on the performance of
     the S&P 500(R) Index, are not sponsored, endorsed, sold or promoted by
     Standard & Poor's and Standard & Poor's makes no representation regarding
     the advisability of investing in the notes.

     "Stock Upside Note Securities" and "SUNS" are trademarks of Lehman Brothers
     Inc.

<PAGE>
                                                                               2

     3. Calculations. Any calculation or determination by the Calculation Agent
pursuant hereto shall (in the absence of manifest error) be final and binding.
Any calculation made by the Calculation Agent hereunder shall, at the Trustee's
request, be made available at the Corporate Trust Office.

     4. Fees and Expenses. The Calculation Agent shall be entitled to reasonable
compensation for all services rendered by it as agreed to between the
Calculation Agent and the Company.

     5. Terms and Conditions. The Calculation Agent accepts its obligations
herein set out upon the terms and conditions hereof, including the following, to
all of which the Company agrees:

         (a) in acting under this Agreement, the Calculation Agent is acting
     solely as an independent expert of the Company and does not assume any
     obligation toward, or any relationship of agency or trust for or with, any
     of the holders of the Securities;

         (b) unless otherwise specifically provided herein, any order,
     certificate, notice, request, direction or other communication from the
     Company or the Trustee made or given under any provision of this Agreement
     shall be sufficient if signed by any person who the Calculation Agent
     reasonably believes to be a duly authorized officer or attorney-in-fact of
     the Company or the Trustee, as the case may be;

         (c) the Calculation Agent shall be obliged to perform only such duties
     as are set out specifically herein and any duties necessarily incidental
     thereto;

         (d) the Calculation Agent, whether acting for itself or in any other
     capacity, may become the owner or pledgee of Securities with the same
     rights as it would have had if it were not acting hereunder as Calculation
     Agent; and

         (e) the Calculation Agent shall incur no liability hereunder except for
     loss sustained by reason of its gross negligence or wilful misconduct.

     6. Resignation; Removal; Successor. (a) The Calculation Agent may at any
time resign by giving written notice to the Company of such intention on its
part, specifying the date on which its desired resignation shall become
effective, subject to the appointment of a successor Calculation Agent and
acceptance of such appointment by such successor Calculation Agent, as
hereinafter provided. The Calculation Agent hereunder may be removed at any time
by the filing with it of an instrument in writing signed by or on behalf of the
Company and specifying such removal and the date when it shall become effective.
Such resignation or removal shall take effect upon the appointment by the
Company, as hereinafter provided, of a successor Calculation Agent and the
acceptance of such appointment by such successor Calculation Agent. In the event
a successor Calculation Agent has not been appointed and has not accepted its
duties within 90 days of the Calculation Agent's notice of resignation, the
Calculation Agent may apply to any court of competent jurisdiction for the
designation of a successor Calculation Agent.

<PAGE>

                                                                               3

     (b) In case at any time the Calculation Agent shall resign, or shall be
removed, or shall become incapable of acting, or shall be adjudged bankrupt or
insolvent, or make an assignment for the benefit of its creditors or consent to
the appointment of a receiver or custodian of all or any substantial part of its
property, or shall admit in writing its inability to pay or meet its debts as
they mature, or if a receiver or custodian of it or all or any substantial part
of its property shall be appointed, or if any public officer shall have taken
charge or control of the Calculation Agent or of its property or affairs, for
the purpose of rehabilitation, conservation or liquidation, a successor
Calculation Agent shall be appointed by the Company by an instrument in writing,
filed with the successor Calculation Agent. Upon the appointment as aforesaid of
a successor Calculation Agent and acceptance by the latter of such appointment,
the Calculation Agent so superseded shall cease to be Calculation Agent
hereunder.

     (c) Any successor Calculation Agent appointed hereunder shall execute,
acknowledge and deliver to its predecessor, to the Company and to the Trustee an
instrument accepting such appointment hereunder and agreeing to be bound by the
terms hereof, and thereupon such successor Calculation Agent, without any
further act, deed or conveyance, shall become vested with all the authority,
rights, powers, trusts, immunities, duties and obligations of such predecessor
with like effect as if originally named as Calculation Agent hereunder, and such
predecessor, upon payment of its charges and disbursements then unpaid, shall
thereupon become obligated to transfer, deliver and pay over, and such successor
Calculation Agent shall be entitled to receive, all moneys, securities and other
property on deposit with or held by such predecessor, as Calculation Agent
hereunder.

     (d) Any corporation into which the Calculation Agent hereunder may be
merged or converted or any corporation with which the Calculation Agent may be
consolidated, or any corporation resulting from any merger, conversion or
consolidation to which the Calculation Agent shall be a party, or any
corporation to which the Calculation Agent shall sell or otherwise transfer all
or substantially all of the assets and business of the Calculation Agent shall
be the successor Calculation Agent under this Agreement without the execution or
filing of any paper or any further act on the part of any of the parties hereto.

     7. Certain Definitions. Terms not otherwise defined herein or in Annex A
hereto are used herein as defined in the Indenture or the Securities.

     8. Indemnification. The Company will indemnify the Calculation Agent
against any losses or liability which it may incur or sustain in connection with
its appointment or the exercise of its powers and duties hereunder except such
as may result from the gross negligence or wilful misconduct of the Calculation
Agent or any of its agents or employees. The Calculation Agent shall incur no
liability and shall be indemnified and held harmless by the Company for or in
respect of any action taken or suffered to be taken in good faith by the
Calculation Agent in reliance upon written instructions from the Company.

     9. Notices. Any notice required to be given hereunder shall be delivered in
person, sent (unless otherwise specified in this Agreement) by letter, telex or
facsimile transmission or communicated by telephone (confirmed in a writing
dispatched within two Business Days), (a) in the case of the Company, to it at
Three World Financial Center, New York, New York 10285 (facsimile: (212)
526-7603) (telephone: (212) 526-0511), Attention: Treasurer, with copies to (i)
101 Hudson Street, Jersey City, New Jersey 07302 (facsimile: (201)

<PAGE>
                                                                               4

524-5451) (telephone: (201) 524-4174), Attention: Treasurer, (ii) One World
Financial Center, New York, New York 10281 (facsimile: (646) 836-0627)
(telephone: (646) 836-2150), Attention: Corporate Secretary and (iii) 101 Hudson
Street, Jersey City, New Jersey 07302 (facsimile: (201) 524-4940) (telephone:
(201) 524-5640), Attention: Corporate Secretary, (b) in the case of the
Calculation Agent, to it at Three World Financial Center, 200 Vesey Street, New
York, New York 10285-0600 (facsimile: (212) 526-2755) (telephone: (212)
526-0900), Attention: Equity Derivatives Trading, with a copy to 101 Hudson
Street, Jersey City, New Jersey 07302 (facsimile: (201) 524-5451) (telephone:
(201) 524-2000), Attention: Equity Derivatives Trading and (c) in the case of
the Trustee, to it at 111 Wall Street, 5th Floor, New York, New York 10043
(facsimile: (212) 657-3836) (telephone: (212) 657-7805), Attention: Corporate
Trust Department or, in any case, to any other address or number of which the
party receiving notice shall have notified the party giving such notice in
writing. Any notice hereunder given by telex, facsimile or letter shall be
deemed to be served when in the ordinary course of transmission or post, as the
case may be, it would be received.

     10. Governing Law. This Agreement shall be governed by and continued in
accordance with the laws of the State of New York.

     11. Counterparts. This Agreement may be executed in any number of
counterparts, each of which when so executed shall be deemed to be an original
and all of which taken together shall constitute one and the same agreement.

     12. Benefit of Agreement. This Agreement is solely for the benefit of the
parties hereto and their successors and assigns, and no other person shall
acquire or have any rights under or by virtue hereof.

<PAGE>

                                                                               5

     IN WITNESS WHEREOF, this Agreement has been entered into as of the day and
year first above written.

                                       LEHMAN BROTHERS HOLDINGS INC.

                                       By: /s/ Barrett S. DiPaolo
                                          ------------------------------------
                                          Name:  Barrett S. DiPaolo
                                          Title: Vice President

                                       LEHMAN BROTHERS INC.,
                                         as Calculation Agent

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

<PAGE>

                                     ANNEX A

     1. The Index.

     The Index is the S&P 500(R) Index, as calculated by S&P (the "Index").

     2. Determination of the Maturity Payment Amount.

     The Calculation Agent shall determine the amount payable at Stated Maturity
for each $1,000 principal amount of Securities (the "Maturity Payment Amount").
The Maturity Payment Amount shall equal the greater of (a) $1,000 and (b) the
Alternative Redemption Amount.

     3. Discontinuance of the Index.

     (a) If S&P discontinues publication of the Index and S&P or another entity
publishes a successor or substitute index (the "Successor Index") that the
Calculation Agent determines, in its sole discretion, to be comparable to the
discontinued Index, then the Calculation Agent shall calculate the Maturity
Payment Amount pursuant to Section 2 hereof by reference to the index level of
such Successor Index at the Close of Trading on the NYSE, AMEX, Nasdaq or the
relevant exchange or market for the Successor Index on the Final Calculation
Date.

     (b) Upon any selection by the Calculation Agent of a Successor Index, the
Company shall promptly give notice to the holders of the Securities.

     (c) If S&P discontinues publication of the Index prior to, and such
discontinuance is continuing on, the Calculation Date and the Calculation Agent
determines that no Successor Index is available at such time, then, on such
date, the Calculation Agent shall determine the index to be used in computing
the Maturity Payment Amount. The Maturity Payment Amount shall be computed by
the Calculation Agent in accordance with the formula for and method of
calculating the Index last in effect prior to such discontinuance, using the
Closing Level (or, if trading in the relevant securities has been materially
suspended or materially limited, its good faith estimate of the Closing Level
that would have prevailed but for such suspension or limitation) at the close of
the principal trading session on such date of each security most recently
comprising the Index on the primary organized U.S. exchange or trading system.

     4. Alteration of Method of Calculation.

     If at any time the method of calculating the Index or a Successor Index, or
the Closing Level thereof, is changed in a material respect, or if the Index or
a Successor Index is in any other way modified so that such Index does not, in
the opinion of the Calculation Agent, fairly represent the value of the Index or
such Successor Index had such changes or modifications not been made, then, from
and after such time, the Calculation Agent will, at the Close of Trading in New
York City on the Calculation Date, make such calculations and adjustments as, in
the good faith judgment of the Calculation Agent, may be necessary in order to
arrive at a level of a stock index comparable to the Index or such Successor
Index, as the case may be, as if such changes or modifications had not been
made, and calculate the Maturity Payment Amount with reference to the Index or
such Successor Index, as adjusted. Accordingly, if the method of calculating the
Index or a Successor Index is modified so that the level of such index is a
fraction of what it would have been if it had not been modified (for example,
due to a

<PAGE>

                                                                               2

split in the index), then the Calculation Agent shall adjust such index in order
to arrive at a level of the Index or such Successor Index as if it had not been
modified (for example, if such split had not occurred).

     5. Definitions.

     Set forth below are the terms used in the Agreement and in this Annex A.

     "Agreement" shall have the meaning set forth in the preamble to this
Agreement.

     "AMEX" shall mean the American Stock Exchange.

     "Alternative Redemption Amount" shall mean, with respect to each $1,000
principal amount of Securities, the product of:

          (i)  $1,000; and

                      (              Final Index         Initial Index     )
                      (                 Level       -        Level         )
          (ii)  1  +  (0.66  x      -----------------------------------    )
                      (                      Initial Index Level           ).

     "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 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 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 three Business Days prior to December 26,
2006; provided, that if a Market Disruption Event occurs on such day, then the
Calculation Date shall be the next following Business Day on which no Market
Disruption Event occurs.

     "Close of Trading" shall mean 4:00 p.m., New York City time.

     "Closing Level" shall mean the last reported level of the Index or the
Successor Index, as the case may be, at 4:00 p.m., New York City time, as
reported by S&P or the publisher of the Successor Index, as the case may be.

     "Company" shall have the meaning set forth in the preamble to this
Agreement.

     "Final Index Level" shall equal the Closing Level of the Index or a
Successor Index, as the case may be, on the Calculation Day.

     "Indenture" shall have the meaning set forth in the preamble to this
Agreement.

     "Index" shall have the meaning set forth in Section 1 of this Annex A.

     "Initial Index Level" shall mean 1,139.93, the Closing Level of the Index
on December 20, 2001.

<PAGE>

                                                                               3

     "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 20% of
     more of the underlying stocks which then comprise the Index or any
     Successor Index, as the case may be, 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 such stocks are traded or, in the case of a common
     stock 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 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 4:00 p.m., New York City time.

         (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 the Index or any Successor Index, as the case may be, 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
     20% or more of the underlying stocks which then comprise the Index or any
     Successor Index, as the case may be, or in respect of options contracts
     related to the Index or any Successor Index, as the case may be, 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;

         (ii) any suspension in trading in an options contract on the Index or
     any Successor Index, as the case may be, 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

<PAGE>
                                                                               4

     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 have the meaning set forth in Section 2 of
this Annex A.

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

     "NYSE" shall mean the New York Stock Exchange.

     "S&P" shall mean Standard & Poor's, a division of McGraw-Hill, Inc.

     "Stated Maturity" shall mean December 26, 2006; provided, that if the
Calculation Date is delayed as a result of the occurrence of the Market
Disruption Event, the Stated Maturity shall be the third Business Day following
the Calculation Date.

     "Successor Index" shall have the meaning set forth in Section 3(a) of this
Annex A.

     "Trustee" shall have the meaning set forth in the preamble to this
Agreement.

Source: [{"source": "alea-institute/alea-institute/kl3m-data-edgar-agreements/train-00032-of-00352.parquet"}, [{"source": "alea-institute/alea-institute/kl3m-data-edgar-agreements/train-00032-of-00352.parquet"}]]