Document:

LEHMAN BROTHERS HOLDINGS INC.

          Contingently Principal Protected Notes Due November 15, 2008,
                    Linked to a Basket of Four Stock Indices

Number R-1                                                          $10,124,000
ISIN US 524908NZ97                                              CUSIP 524908NZ9

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, on the Stated Maturity Date, 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. THE SECURITIES REPRESENTED HEREBY SHALL NOT BEAR ANY INTEREST.

         Any amount payable on the Stated Maturity Date hereon will be paid only
upon presentation and surrender of this Security.

                                                                               2

         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.

         Each Component Index is a trademark of the sponsor of such Component
Index and has been licensed for use by Lehman Brothers Holdings Inc. The
Securities, linked to the performance of the Component Indices, are not
sponsored, endorsed, sold or promoted by the sponsors of the Component Indices
and the sponsors of the Component Indices make no representation regarding the
advisability of investing in the Securities.

         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.

                                                                               3

         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: November 15, 2005             LEHMAN BROTHERS HOLDINGS INC.

                                     By: /s/ James J. Killerlane III
                                         ------------------------------------
                                         James J. Killerlane III
                                         Vice President

                                     Attest: /s/ Jin Lee
                                             --------------------------------
                                             Jin Lee
                                             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:  November 15, 2005

CITIBANK, N.A.
  as Trustee

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

                                                                               4

                               Reverse of Security

         This Security is one of a duly authorized series of Securities of the
Company designated as Contingently Principal Protected Notes Due November 15,
2008, Linked to a Basket of Four Stock Indices (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, at the request of the Trustee, 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.

         If an Event of Default with respect to the Securities shall occur and
be continuing, the amounts payable on all of the Securities may be declared due
and payable in the manner and with the effect provided in the Indenture. The
amount payable to the Holder hereof upon any acceleration permitted under the
Indenture will be equal to the Maturity Payment Amount calculated as though the
date of acceleration was the Stated Maturity Date and the date three Business
Days prior thereto was the Valuation 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, if any, or reduce any premium
payable on redemption, or make the principal thereof, or premium, if any, or
interest thereon, if any, payable in any coin or currency other than that
hereinabove provided, without the consent of

                                                                               5

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, 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 whole
multiples of $1,000.

         The Company, the Trustee, and any agent of the Company or of the
Trustee may deem and treat the registered holder (the "Holder") hereof as the
absolute owner of this Security (whether or not this Security shall be overdue
and notwithstanding any notation of ownership or other writing hereon), for the
purpose of receiving payment hereof, or on account hereof, and for all other
purposes and neither the Company nor the Trustee nor any agent of the Company or
of the Trustee shall be affected by any notice to the contrary. All such
payments made to or upon the order of such registered holder shall, to the
extent of the sum or sums paid, effectually satisfy and discharge liability for
moneys payable on this Security.

         No recourse for the payment of the principal of, premium, if any, or
interest on this Security, or for any claim based hereon or otherwise in respect
hereof, and no recourse under or upon any obligation, covenant or agreement of
the Company in the Indenture or any indenture supplemental thereto or in any
Security, or because of the creation of any indebtedness represented thereby,
shall be had against any incorporator, stockholder, officer or director, as
such, past, present or future, of the Company or of any successor corporation,
either directly or through the Company or any successor corporation, whether by
virtue of any constitution, statute or rule of law or by the enforcement of any
assessment or penalty or otherwise, all such liability being, by the acceptance
hereof and as part of the consideration for the issue hereof, expressly waived
and released.

         As provided in the Indenture and subject to certain limitations therein
set forth, the transfer of this Security is registrable in the Security
Register, upon surrender of this Security for registration of transfer at the
Corporate Trust Office or agency in a Place of Payment for this Security, duly
endorsed by, or accompanied by a written instrument of transfer in form

                                                                               6

satisfactory to the Company and the Security Registrar duly executed by, the
Holder hereof or such Holder's attorney duly authorized in writing, and
thereupon one or more new Securities of this series or of like tenor and of
authorized denominations and for the same aggregate principal amount, will be
issued to the designated transferee or transferees.

         The Company intends to treat, and by purchasing this Security, the
holder agrees to treat, for all tax purposes, this Security as a cash-settled
financial contract giving rise to capital gain or loss, rather than as a debt
instrument.

         THE INDENTURE AND THIS SECURITY SHALL BE GOVERNED BY AND CONSTRUED IN
ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK.

         Set forth below are definitions of the terms used in this Security.

         "AMEX" shall mean the American Stock Exchange LLC.

         "Basket" shall mean the basket initially composed of the Component
Indices.

         "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 November 15, 2005, between the Company and the
Calculation Agent, as amended from time to time, or any successor calculation
agency agreement.

         "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.

         "Close of Trading" shall mean, in respect of any Relevant Exchange, the
scheduled weekday closing time on a day on which the Relevant Exchange is
scheduled to be open for trading for its respective regular trading session,
without regard to after hours or any other trading outside of the regular
trading session hours.

         "Closing Basket Level" shall mean, with respect to any day, the sum of
the products of the Closing Index Level of each Component Index on that day and
the applicable Multiplier for such Component Index.

         "Closing Index Level" shall mean, with respect to any day, in the case
of any Component Index or any Successor Index, the closing level of such
Component Index or Successor Index, as the case may be, as reported by the
publisher of such Component Index or Successor Index, as the case may be, on
such day or as determined by the Calculation Agent pursuant to the Calculation
Agency Agreement.

                                                                               7

         "Component Index" shall initially mean any one of the Dow Jones EURO
STOXX 50(SM) Index, as calculated, published and disseminated by STOXX Limited,
the FTSE 100 Index(TM), as calculated, published and disseminated by FTSE
International Limited, the Nikkei 225(SM) Index, as calculated, published and
disseminated by Nihon Keizai Shimbun, Inc., and the S&P(R)/ASX 200 Index, as
calculated, published and disseminated by the Standard & Poor's Australian Index
Committee and "Component Indices" shall have the correlative meaning.

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

         "Final Basket Level" shall equal the Closing Basket Level on the
Valuation Date.

         "Final Basket Return" shall equal the following:

                    Final Basket Level - Initial Basket Level
                    -----------------------------------------
                              Initial Basket Level

         "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.

         "Initial Basket Level" shall equal 1000.

         "Market Disruption Event", with respect to any Component Index or any
Successor Index shall mean any of the following events has occurred on any day
as determined by the Calculation Agent in its sole discretion:

         (1) A material suspension of or limitation imposed on trading relating
         to the securities that then comprise 20% or more of such Component
         Index or Successor Index, by the Relevant Exchanges on which those
         securities are traded, at any time during the one-hour period that ends
         at the Close of Trading on such day, whether by reason of movements in
         price exceeding limits permitted by that Relevant Exchange or
         otherwise.

         (2) A material suspension of, or limitation imposed on, trading in
         futures or options contracts relating to such Component Index or
         Successor Index by the primary exchange or quotation system on which
         those futures or options contracts are traded, at any time during the
         one-hour period that ends at the Close of Trading on such day, whether
         by reason of movements in price exceeding limits permitted by the
         exchanges or otherwise.

         (3) Any event, other than an early closure, that disrupts or impairs
         the ability of market participants in general to effect transactions
         in, or obtain market values for, the securities that then comprise 20%
         or more of such Component Index or Successor Index on the Relevant
         Exchanges on which those securities are traded, at any time during the
         one-hour period that ends at the Close of Trading on that day.

         (4) Any event, other than an early closure, that disrupts or impairs
         the ability of market participants in general to effect transactions
         in, or obtain market values for, the

                                                                               8

         futures or options contracts relating to such Component Index or
         Successor Index on the primary exchange or quotation system on which
         those futures or options contracts are traded at any time during the
         one-hour period that ends at the Close of Trading on that day.

         (5) The closure of the Relevant Exchanges on which securities that then
         comprise 20% or more of such Component Index or Successor Index are
         traded or on which futures or options contracts relating to such
         Component Index or Successor Index are traded prior to its scheduled
         closing time unless the earlier closing time is announced by the
         Relevant Exchanges at least one hour prior to the earlier of (i) the
         actual closing time for the regular trading session on the Relevant
         Exchanges and (ii) the submission deadline for orders to be entered
         into the Relevant Exchanges for execution at the Close of Trading on
         that day.

For purposes of determining whether a Market Disruption Event has occurred, the
relevant percentage contribution of a security to the level of a Component Index
or Successor Index will be based on a comparison of (x) the portion of the level
of such Component Index or Successor Index attributable to that security and (y)
the overall level of such Component Index or Successor Index, in each case
immediately before the occurrence of the Market Disruption Event.

         "Maturity Payment Amount" for each $1,000 principal amount of
Securities, shall equal:

          o    If the Final Basket Return is greater than or equal to zero,
               $1,000 + ($1,000 x the Upside Participation Rate x the Final
               Basket Return).

          o    If the Final Basket Return is less than zero and the Final Basket
               Level is equal to or greater than the Threshold Level, $1,000.

          o    If the Final Basket Return is less than zero and the Final Basket
               Level is less than the Threshold Level:

                           $1,000 x Final Index Level
                                    -----------------
                                     Threshold Level

If requested by the Trustee, the Maturity Payment Amount shall be determined by
the Calculation Agent pursuant to the Calculation Agency Agreement.

         "Measurement Day" shall mean (1) with respect to each of the Dow Jones
EURO STOXX 50 Index, the FTSE 100 Index and the S&P/ASX 200 Index (and any
Successor Indices), any day on which such index (or any Successor Index) is
published by its publisher or is otherwise determined by the Calculation Agent
pursuant to the Calculation Agency Agreement and (2) with respect to the Nikkei
225 Index, any day on which both the Tokyo Stock Exchange and the Osaka
Securities Exchange are scheduled to be open for trading for their respective
regular trading sessions.

                                                                               9

         "Multiplier" of each Component Index shall initially be as follows:

            Component Index                         Initial Multiplier
            ---------------                         ------------------

            The Dow Jones EURO STOXX 50 Index                 0.098183
            The FTSE 100 Index                                0.059002
            The Nikkei 225 Index                              0.017754
            The S&P/ASX 200 Index                             0.022008

The Multipliers shall be subject to adjustment by the Calculation Agent pursuant
to the Calculation Agency Agreement.

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

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

         "Place of Payment" shall mean the place or places where the principal
of (and premium, if any) and interest, if any, on the Securities are payable.

         "Relevant Exchange" shall mean, for any security (or any combination
thereof then underlying any Component Index or any Successor Index), the primary
exchange, quotation system (which includes bulletin board services) or other
market of trading for such security.

         "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 Date" shall mean November 15, 2008 (or if November 15,
2008 is not a Business Day, on the next Business Day); provided, that if the
Valuation Date is postponed, the Stated Maturity Date shall be the third
Business Day following the date that the Final Basket Level on the postponed
Valuation Date is determined.

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

         "Threshold Level" shall mean 800, as it may be adjusted from time to
time by the Calculation Agent to the extent it believes appropriate, in a manner
consistent with the adjustments to the method of calculation of a Component
Index or a Successor Index described in the Calculation Agency Agreement.

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

         "Upside Participation Rate" shall mean 130%.

         "Valuation Date" shall mean November 12, 2008; provided, that if such
day is not a Measurement Day with respect to a Component Index or a Successor
Index or if a Market

                                                                              10

Disruption Event occurs with respect to a Component Index or a Successor Index
on such day, then: (1) with respect to each Component Index and Successor Index
for which such day is a Measurement Day and for which a Market Disruption event
has not occurred, such day shall be the date on which the Calculation Agent
determines the Closing Index Level of such Component Index or Successor Index
for use in calculating the Final Basket Level; (2) with respect to each
Component Index and Successor Index for which such day is not a Measurement Day
or for which a Market Disruption Event has occurred, the date on which the
Calculation Agent determines the Closing Index Level of such Component Index or
Successor Index for use in calculating the Final Basket Level shall be the next
following Measurement Day on which no Market Disruption Event occurs; provided,
however, if a Market Disruption Event with respect to the Component Index or
Successor Index occurs on each of the eight Measurement Days following the
originally scheduled Valuation Date, then the Calculation Agent shall determine
the Closing Index Level of that Component Index or Successor Index for use in
calculating the Final Basket Level based upon its good faith estimate of the
level of the Component Index or Successor Index on that eighth Measurement Day;
and (3) the day on which the Closing Index Level of the last remaining Component
Index or Successor Index is determined for purposes of calculating the Final
Basket Level shall be deemed the Valuation Date.

         "Weight" of each Component Index shall initially be as follows:

                                                      Initial Weight in
              Component Index                           the Basket
              ---------------                           ----------

              The Dow Jones EURO STOXX 50 Index             330
              The FTSE 100 Index                            320
              The Nikkei 225 Index                          250
              The S&P/ASX 200 Index                         100

The Weights shall be subject to adjustment by the Calculation Agent pursuant to
the Calculation Agency Agreement.

         All terms used but not defined in this Security are used herein as
defined in the Calculation Agency Agreement or the Indenture.

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

         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:

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 tenants in                        ( State)
                 common

         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

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

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

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

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

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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.CALCULATION AGENCY AGREEMENT

         CALCULATION AGENCY AGREEMENT, dated as of November 15, 2005 (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 $11,642,600
aggregate principal amount of Contingently Principal Protected Notes Due
November 15, 2008, Linked to a Basket of Four Stock Indices (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 on the
Stated Maturity Date of the Securities, the Calculation Agent shall determine
such Maturity Payment Amount and notify the Trustee of its determination. The
Calculation Agent shall also determine (a) the Successor Index if publication of
a Component Index is discontinued, (b) the Multiplier and Weight of each
remaining Component Index if no Successor Index is available or if the publisher
of such Component Index or Successor Index, as the case may be, fails to
calculate and publish a Closing Index Level on any date, (c) adjustments to a
Component Index, the Successor Index or the Closing Index Level thereof if the
method of calculating any of these items changes in a material respect or if a
Component Index or Successor Index is in any other way modified so that

-----------------
*   Each Component Index is a trademark of the sponsor of such Component
    Index and has been licensed for use by Lehman Brothers Holdings Inc.
    The Securities, linked to the performance of the Component Indices, are
    not sponsored, endorsed, sold or promoted by the sponsors of the
    Component Indices and the sponsors of the Component Indices make no
    representation regarding the advisability of investing in the
    Securities.

                                                                               2

it does not, in the opinion of the Calculation Agent, fairly represent the level
of such Component Index, or Successor Index, as the case may be, had such
changes or modifications not been made, (d) adjustments to the Threshold Level,
if required in order to reflect adjustments made in a Component Index or
Successor Index and (e) whether a Market Disruption Event has occurred. The
Calculation Agent shall notify the Trustee of all such adjustments 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.

         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 whom 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 willful
         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

                                                                               3

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.

         (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

                                                                               4

negligence or willful 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 745 Seventh Avenue, New York, New York 10019 (facsimile: (646)
758-3204) (telephone: (212) 526-7000), Attention: Treasurer, with a copy to 1301
Avenue of the Americas, New York, New York 10019 (facsimile: (212) 526-0357)
(telephone: (212) 526-7000), Attention: Corporate Secretary, (b) in the case of
the Calculation Agent, to it at 745 Seventh Avenue, New York, New York 10019
(facsimile: (646) 758-4942) (telephone: (212) 526-7000), Attention: Equity
Derivatives Trading and (c) in the case of the Trustee, to it at 388 Greenwich
Street, 14th Floor, New York, New York 10013 (facsimile: (212) 816-5527)
(telephone: (212) 816-5773), Attention: Agency and Trust, 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 construed
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.

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

                                    LEHMAN BROTHERS HOLDINGS INC.

                                    By: /s/ James J. Killerlane III
                                        ---------------------------------------
                                        James J. Killerlane III
                                        Vice President

                                    LEHMAN BROTHERS INC.,
                                      as Calculation Agent

                                    By: /s/ James J. Killerlane III
                                        ---------------------------------------
                                        James J. Killerlane III
                                        Vice President

                                     ANNEX A

1.   The Basket and the Component Indices.

     The basket (the "Basket") shall initially be composed of the following
indices: the Dow Jones EURO STOXX 50(SM) Index, as calculated, published and
disseminated by STOXX Limited, the FTSE 100 Index(TM), as calculated, published
and disseminated by FTSE International Limited, the Nikkei 225(SM) Index, as
calculated, published and disseminated by Nihon Keizai Shimbun, Inc., and the
S&P(R)/ASX 200 Index, as calculated, published and disseminated by the Standard
& Poor's Australian Index Committee (each, a "Component Index" and,
collectively, the "Component Indices").

2.   Determination of the Maturity Payment Amount.

     The Calculation Agent shall, at the request of the Trustee, determine the
amount payable on the Stated Maturity Date for each $1,000 principal amount of
Securities (the "Maturity Payment Amount").

     The Maturity Payment Amount shall be the following:

     o    If the Final Basket Return is greater than or equal to zero, $1,000 +
          ($1,000 x the Upside Participation Rate x the Final Basket Return).

     o    If the Final Basket Return is less than zero and the Final Basket
          Level is equal to or greater than the Threshold Level, $1,000.

     o    If the Final Basket Return is less than zero and the Final Basket
          Level is less than the Threshold Level:

                           $1,000 x Final Index Level
                                    -----------------
                                     Threshold Level

3.   Discontinuance of the Index.

     (a) If a publisher of a Component Index discontinues publication of such
Component Index and such publisher or another entity publishes a successor or
substitute index (a "Successor Index") that the Calculation Agent determines, in
its sole discretion exercised in good faith, to be comparable to the
discontinued Component Index, then the Calculation Agent shall determine each
subsequent Closing Basket Value to be used in computing the Maturity Payment
Amount by reference to the Closing Index Level of such Successor Index on the
applicable 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 a publisher of a Component Index discontinues publication of such
Component Index and the Calculation Agent determines that no Successor Index is
available at such time, or if such publisher (or the publisher of any Successor
Index to such Component Index) fails to calculate and publish a Closing Index
Level for such Component Index (or a Successor Index) on

                                                                               2

any date when it would ordinarily do so in accordance with its customary
practice, the Component Index (or Successor Index) shall be removed from the
Basket as of the close of business on the last day on which its Closing Index
Level was published by its publisher and the Weight of each remaining Component
Index (or Successor Index) shall simultaneously be increased (by adjusting the
respective Multipliers) by an amount determined by the Calculation Agent such as
to result in both (a) the relative Weights of remaining Component Indices on
such day and (b) the Closing Basket Level on such day remaining unchanged. In
addition, the Calculation Agent shall make such other adjustments to the terms
of the Securities as may be required to account for such discontinued Component
Index.

4.   Alteration of Method of Calculation.

     If at any time the method of calculating a Component Index, any Successor
Index, or the Closing Index Level thereof on any particular day, is changed in a
material respect, or if a Component Index or any Successor Index is in any other
way modified so that such index does not, in the opinion of the Calculation
Agent, fairly represent the level of such Component Index or such Successor
Index had such changes or modifications not been made, then, from and after such
time, the Calculation Agent shall, at the Close of Trading of the Relevant
Exchanges on which the securities comprising such Component Index or such
Successor Index traded on any date the Closing Index Level thereof is to be
determined, 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 such Component Index or such Successor
Index, as the case may be, as if such changes or modifications had not been
made. The Calculation Agent shall calculate the Closing Index Level of a
Component Index on any particular day and the Maturity Payment Amount with
reference to such Component Index or such Successor Index, as adjusted.

     Accordingly, if the method of calculating a Component 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, then the Calculation Agent shall adjust
such index in order to arrive at a level of such Component Index or such
Successor Index as if it had not been modified.

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 LLC.

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

     "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.

                                                                               3

     "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.

     "Close of Trading" shall mean, in respect of any Relevant Exchange, the
scheduled weekday closing time on a day on which the Relevant Exchange is
scheduled to be open for trading for its respective regular trading session,
without regard to after hours or any other trading outside of the regular
trading session hours.

     "Closing Basket Level" shall mean, with respect to any day, the sum of the
products of the Closing Index Level of each Component Index on that day and the
applicable Multiplier for such Component Index.

     "Closing Index Level" shall mean, with respect to any day, in the case of
any Component Index or any Successor Index, the closing level of such Component
Index or Successor Index, as the case may be, as reported by the publisher of
such Component Index or Successor Index, as the case may be, on such day or as
determined by the Calculation Agent pursuant to this Agreement.

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

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

     "Final Basket Level" shall equal the Closing Basket Level on the Valuation
Date.

     "Final Basket Return" shall equal the following:

                    Final Basket Level - Initial Basket Level
                    -----------------------------------------
                              Initial Basket Level

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

     "Initial Basket Level" shall equal 1000.

     "Market Disruption Event", with respect to any Component Index or any
Successor Index shall mean any of the following events has occurred on any day
as determined by the Calculation Agent in its sole discretion:

     (1) A material suspension of or limitation imposed on trading relating to
     the securities that then comprise 20% or more of such Component Index or
     Successor Index, by the Relevant Exchanges on which those securities are
     traded, at any time during the one-hour period that ends at the Close of
     Trading on such day, whether by reason of movements in price exceeding
     limits permitted by that Relevant Exchange or otherwise.

     (2) A material suspension of, or limitation imposed on, trading in futures
     or options contracts relating to such Component Index or Successor Index by
     the primary exchange or quotation system on which those futures or options
     contracts are traded, at any time

                                                                               4

     during the one-hour period that ends at the Close of Trading on such day,
     whether by reason of movements in price exceeding limits permitted by the
     exchanges or otherwise.

     (3) Any event, other than an early closure, that disrupts or impairs the
     ability of market participants in general to effect transactions in, or
     obtain market values for, the securities that then comprise 20% or more of
     such Component Index or Successor Index on the Relevant Exchanges on which
     those securities are traded, at any time during the one-hour period that
     ends at the Close of Trading on that day.

     (4) Any event, other than an early closure, that disrupts or impairs the
     ability of market participants in general to effect transactions in, or
     obtain market values for, the futures or options contracts relating to such
     Component Index or Successor Index on the primary exchange or quotation
     system on which those futures or options contracts are traded at any time
     during the one-hour period that ends at the Close of Trading on that day.

     (5) The closure of the Relevant Exchanges on which securities that then
     comprise 20% or more of such Component Index or Successor Index are traded
     or on which futures or options contracts relating to such Component Index
     or Successor Index are traded prior to its scheduled closing time unless
     the earlier closing time is announced by the Relevant Exchanges at least
     one hour prior to the earlier of (i) the actual closing time for the
     regular trading session on the Relevant Exchanges and (ii) the submission
     deadline for orders to be entered into the Relevant Exchanges for execution
     at the Close of Trading on that day.

For purposes of determining whether a Market Disruption Event has occurred, the
relevant percentage contribution of a security to the level of a Component Index
or Successor Index will be based on a comparison of (x) the portion of the level
of such Component Index or Successor Index attributable to that security and (y)
the overall level of such Component Index or Successor Index, in each case
immediately before the occurrence of the Market Disruption Event.

     "Maturity Payment Amount" shall have the meaning set forth in Section 2 of
this Annex A.

     "Measurement Day" shall mean (1) with respect to each of the Dow Jones EURO
STOXX 50 Index, the FTSE 100 Index and the S&P/ASX 200 Index (and any Successor
Indices), any day on which such index (or any Successor Index) is published by
its publisher or is otherwise determined by the Calculation Agent pursuant to
this Agreement and (2) with respect to the Nikkei 225 Index, any day on which
both the Tokyo Stock Exchange and the Osaka Securities Exchange are scheduled to
be open for trading for their respective regular trading sessions.

                                                                               5

     "Multiplier" of each Component Index shall initially be as follows:

          Component Index                        Initial Multiplier
          ---------------                        ------------------

          The Dow Jones EURO STOXX 50 Index                0.098183
          The FTSE 100 Index                               0.059002
          The Nikkei 225 Index                             0.017754
          The S&P/ASX 200 Index                            0.022008

The Multipliers shall be subject to adjustment by the Calculation Agent pursuant
to this Agreement.

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

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

     "Relevant Exchange" shall mean, for any security (or any combination
thereof then underlying any Component Index or any Successor Index), the primary
exchange, quotation system (which includes bulletin board services) or other
market of trading for such security.

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

     "Stated Maturity Date" shall mean November 15, 2008 (or if November 15,
2008 is not a Business Day, on the next Business Day); provided, that if the
Valuation Date is postponed, the Stated Maturity Date shall be the third
Business Day following the date that the Final Basket Level on the postponed
Valuation Date is determined.

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

     "Threshold Level" shall mean 800, as it may be adjusted from time to time
by the Calculation Agent to the extent it believes appropriate, in a manner
consistent with the adjustments to the method of calculation of a Component
Index or a Successor Index described in Sections 3 and 4 of this Annex A and
under the circumstances described in Sections 3 and 4 of this Annex A.

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

     "Upside Participation Rate" shall mean 130%.

     "Valuation Date" shall mean November 12, 2008; provided, that if such day
is not a Measurement Day with respect to a Component Index or a Successor Index
or if a Market Disruption Event occurs with respect to a Component Index or a
Successor Index on such day, then: (1) with respect to each Component Index and
Successor Index for which such day is a Measurement Day and for which a Market
Disruption event has not occurred, such day shall be the date on which the
Calculation Agent determines the Closing Index Level of such Component Index or
Successor Index for use in calculating the Final Basket Level; (2) with respect
to each Component Index and Successor Index for which such day is not a
Measurement Day or for

                                                                               6

which a Market Disruption Event has occurred, the date on which the Calculation
Agent determines the Closing Index Level of such Component Index or Successor
Index for use in calculating the Final Basket Level shall be the next following
Measurement Day on which no Market Disruption Event occurs; provided, however,
if a Market Disruption Event with respect to the Component Index or Successor
Index occurs on each of the eight Measurement Days following the originally
scheduled Valuation Date, then the Calculation Agent shall determine the Closing
Index Level of that Component Index or Successor Index for use in calculating
the Final Basket Level based upon its good faith estimate of the level of the
Component Index or Successor Index on that eighth Measurement Day; and (3) the
day on which the Closing Index Level of the last remaining Component Index or
Successor Index is determined for purposes of calculating the Final Basket Level
shall be deemed the Valuation Date.

     "Weight" of each Component Index shall initially be as follows:

                                                      Initial Weight in
            Component Index                              the Basket
            ---------------                              ----------

            The Dow Jones EURO STOXX 50 Index                330
            The FTSE 100 Index                               320
            The Nikkei 225 Index                             250
            The S&P/ASX 200 Index                            100

The Weights shall be subject to adjustment by the Calculation Agent pursuant to
this Agreement.

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