Document:

Exhibit 4.01

                          CALCULATION AGENCY AGREEMENT

            CALCULATION AGENCY AGREEMENT, dated as of December 21, 2006 (this
"Agreement"), between Lehman Brothers Holdings Inc. (the "Company") and Lehman
Brothers Inc., as Calculation Agent.

            WHEREAS, the Company proposes to issue and sell from time to time
its Medium-Term Notes, Series I, due three months or more from the date of issue
(the "Notes"), issued under Registration Statement no. 333-134553 on Form S-3
(the "Registration Statement"), as filed with the Securities and Exchange
Commission under the Securities Act of 1933, as amended;

            WHEREAS, the terms of each series of the Notes will be described in
a pricing supplement or free writing prospectus (in connection with the
performance by the Calculation Agent of its services hereunder with respect to a
particular series of the Notes, the pricing supplement or free writing
prospectus relating to such particular series of the Notes is referred to herein
as the "relevant Pricing Supplement"), an underlying supplement (in connection
with the performance by the Calculation Agent of its services hereunder with
respect to a particular series of the Notes, the underlying supplement to such
particular series of the Notes is referred to herein as the "relevant Underlying
Supplement") and a product supplement (in connection with the performance by the
Calculation Agent of its services hereunder with respect to a particular series
of the Notes, the product supplement relating to such particular series of the
Notes is referred to herein as the "relevant Product Supplement") to the
prospectus dated May 30, 2006, as supplemented by a prospectus supplement dated
May 30, 2006;

            WHEREAS, the Notes 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 each series of the Notes
(in connection with the performance by the Calculation Agent of its services
hereunder with respect to a particular series of the Notes, such particular
series of the Notes is referred to herein as the "relevant Notes");

            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 for the Notes, upon the terms and subject to
the conditions herein set forth, and Lehman Brothers Inc. hereby accepts such
appointment. The Calculation Agent shall act as an agent of the Company for the
purpose of making any calculations, determinations or adjustments specified as
being made by the Calculation Agent in this Agreement, the relevant

Product Supplement, the relevant Underlying Supplement, the relevant Pricing
Supplement or the relevant Notes.

            2.    Calculations, Determinations, Adjustments and Information
Provided. The Company shall notify the Calculation Agent of the issuance of the
Notes and, at the time of such issuance, shall deliver to the Calculation Agent
all information in the possession of the Company for any calculations,
determinations or adjustments made thereunder. The Calculation Agent shall make
any calculations, determinations or adjustments specified as being made by the
Calculation Agent pursuant to Section 1 in accordance with the terms of the
relevant Notes, the Indenture, the relevant Pricing Supplement, the relevant
Product Supplement, the relevant Underlying Supplement and the provisions of
this Agreement. In addition, the Calculation Agent shall maintain, or cause to
be maintained, records permitting it to calculate any amounts due (as set forth
in the relevant Notes) or make any other determinations or adjustments. The
Calculation Agent shall notify the Trustee of all such calculations,
determinations and adjustments.

            3.    Calculations. Any calculations, determinations or adjustments
by the Calculation Agent pursuant hereto shall be made at the sole discretion of
the Calculation Agent and shall (in the absence of manifest error) be final and
binding. Any calculations, determinations or adjustments 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 and reimbursement of expenses, including reasonable
counsel fees, incurred by the Calculation Agent, in each case in connection with
its duties hereunder.

            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 and not as an agent 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 Notes;

            (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 Notes 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.    Reference Treasury Dealers. The Calculation Agent may, in its
sole discretion, designate one or more reference treasury dealers (each a
"Reference Treasury Dealer") for purposes of quoting rates or yields in
accordance with the terms of the Notes. Forthwith upon such initial designation
or any change in the identity of any Reference Treasury Dealer, the Calculation
Agent shall notify the Company and the Trustee of such designation or change.
The Calculation Agent shall not be responsible to the Company or any third party
for any failure of any Reference Treasury Dealer to fulfill its duties or meet
its obligations as a Reference Treasury Dealer or as a result of the Calculation
Agent's having acted (except in the event of negligence or willful misconduct)
on any quotation or other information given by any Reference Treasury Dealer
that subsequently may be found to be incorrect.

            7.    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.

            (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.

            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 745 Seventh Avenue, New York, New York 10019 (facsimile: (646)
758-3204) (telephone: (212) 526-7000), Attention: Treasurer, with a copy to 399
Park Avenue, New York, New York 10022 (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: 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
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 Agreement has been entered into as of the
day and year first above written.

                                     LEHMAN BROTHERS HOLDINGS INC.

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

                                     LEHMAN BROTHERS INC.,
                                       as Calculation Agent

                                     By: /s/ James J. Killerlane III
                                         ---------------------------------
                                         Name: James J. Killerlane III
                                         Title: Vice PresidentExhibit 4.02

                          LEHMAN BROTHERS HOLDINGS INC.

      Principal Protected Notes Linked to the Nikkei 225(SM) Index Due December
21, 2011

Number R-1                                                            $4,000,000
ISIN US 524908UH17                                               CUSIP 524908UH1

            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 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 Payment at Maturity. THE
SECURITIES REPRESENTED HEREBY SHALL NOT BEAR ANY INTEREST.

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

            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.

                                                                               2

            "Nikkei" and "Nikkei 225" are the service marks of Nihon Keizai
Shimbun, Inc. and have been licensed for use by the Company. The Securities,
linked to the performance of the Nikkei 225 Index, are not sponsored, endorsed,
sold or promoted by Nihon Keizai Shimbun, Inc. and Nihon Keizai Shimbun, Inc.
makes 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 President, its Vice
Chairman, its Chief Financial Officer, one of its Vice Presidents or its
Treasurer, by manual or facsimile signature under its corporate seal, attested
by its Secretary or one of its Assistant Secretaries by manual or facsimile
signature.

Dated: December 21, 2006                 LEHMAN BROTHERS HOLDINGS INC.

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

                                         Attest: /s/ 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.

CITIBANK, N.A.
as Trustee

By: /s/ Wafaa Orfy
    -------------------------------
    Title: Authorized Officer

                               Reverse of Security

            This Security is one of a duly authorized series of Securities of
the Company designated as Principal Protected Notes Linked to the Nikkei 225(SM)
Index Due December 21, 2011 (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 Payment at Maturity, at the request of the Trustee, shall be
determined by the Calculation Agent pursuant to the Calculation Agency
Agreement. The Trustee shall fully rely on the determination by the Calculation
Agent of the Payment at Maturity and shall have no duty to make any such
determination. The Calculation Agent will provide written notice to the Trustee
at its New York office, on which notice the Trustee may conclusively rely, of
the Payment at Maturity on or prior to 11:00 a.m. on the Business Day preceding
the Maturity Date.

            All calculations with respect to the Initial Index Level, the Ending
Index Level, the Index Return or any Index Closing Level will be rounded to the
nearest one hundred-thousandth, with five one-millionths rounded upward (e.g.,
..876545 would be rounded to .87655); all dollar amounts related to determination
of the Additional Amount payable at maturity, if any, per $1,000 principal
amount note will be rounded to the nearest ten-thousandth, with five one
hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655);
and all dollar amounts paid on the aggregate principal amount of Notes per
Holder will be rounded to the nearest cent, with one-half cent rounded upward.

            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 Payment at Maturity calculated as though the date
of acceleration were the Observation Date. If the maturity of the Notes is
accelerated because of an Event of Default, the Company shall, or shall cause
the Calculation Agent to, provide written notice to the Trustee at its New York
office, on which notice the Trustee may conclusively rely, and to The Depository
Trust Company of the cash amount due with respect to the Notes as promptly as
possible and in no event later than two Business Days after the date of
acceleration.

            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

                                                                               2

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 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.

                                                                               3

            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 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 agrees, and by acceptance of beneficial ownership
interest in the Notes of this series, each Holder of such Notes will be deemed
to have agreed, for United States federal income tax purposes, (i) to treat the
Notes of this series as indebtedness that is subject to Treas. Reg. Sec.
1.1275-4 (the "Contingent Payment Regulations") and (ii) to be bound by the
Company's determination of the "comparable yield" and "projected payment
schedule," within the meaning of the Contingent Payment Regulations, with
respect to the Notes of this series. The Company agrees to provide promptly to
Holders, upon written request, the amount of "original issue discount," "issue
date," "yield to maturity," "comparable yield" and "projected payment schedule."
Any such written request should be sent to the Company at the following address:
Controller's Office, Lehman Brothers Holdings Inc., 745 Seventh Avenue, New
York, New York 10019.

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

DEFINITIONS

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

            "Additional Amount", as calculated by the Calculation Agent, per
$1,000 principal amount note paid at maturity shall equal $1,000 x the Index
Return x the Upside Participation Rate; provided that the Additional Amount will
not be less than zero.

            "Business Day", notwithstanding any provision in the Indenture,
shall mean any day that is not a Saturday or Sunday and that is not a day on
which banking institutions in the City of New York are authorized or obligated
by law to close.

            "Calculation Agency Agreement" shall mean the Calculation Agency
Agreement, dated as of December 21, 2006 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 Payment at Maturity, which term shall, unless the context otherwise
requires, include its successors and assigns. The initial Calculation Agent
shall be Lehman Brothers Inc.

            "Closing Price" of a security, on any particular day, means the last
reported sales price for that security on the Relevant Exchange at the scheduled
weekday closing time of the

                                                                               4

regular trading session of the Relevant Exchange. If, however, the security is
not listed or traded on a bulletin board, then the Closing Price of the security
will be determined using the average execution price per share that an affiliate
of the Company pays or receives upon the purchase or sale of the security used
to hedge the Company's obligations under the Notes.

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

            "Ending Index Level" shall equal the Index Closing Level on the
Observation Date.

            "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 Nikkei 225(SM) Index, as calculated,
published and disseminated by NKS.

            "Index Closing Level", as determined by the Calculation Agent, shall
mean, with respect to any Trading Day, the closing level of the Index or the
Successor Index, as the case may be, at the regular official weekday close of
the principal trading session of the Relevant Exchange or market for the Index
or the Successor Index, as the case may be, on such day, or as determined by the
Calculation Agent pursuant to the Calculation Agency Agreement as described
below under "Discontinuation of the Index; Alteration of Method of Calculation."

            "Index Return", as calculated by the Calculation Agent, is
calculated as follows:

                    Ending Index Level - Initial Index Level
                    ----------------------------------------
                               Initial Index Level

            "Initial Index Level" shall equal 16962.11, the Index Closing Level
on December 18, 2006.

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

            (1)   a suspension, absence or material limitation of trading of
stocks then constituting 20% or more of the level of the Index (or the relevant
Successor Index) on the Relevant Exchanges for such securities at any time
during the one hour period preceding the close of the principal trading session
on such Relevant Exchange;

            (2)   a breakdown or failure in the price and trade reporting
systems of any Relevant Exchange as a result of which the reported trading
prices for stocks then constituting 20% or more of the level of the Index (or
the relevant Successor Index) at any time during the one hour period preceding
the close of the principal trading session on such Relevant Exchange are
materially inaccurate;

            (3)   a suspension, absence or material limitation of trading on any
major securities exchange for trading in futures or options contracts or
exchange traded funds related to

                                                                               5

the Index (or the relevant Successor Index) at any time during the one hour
period preceding the close of the principal trading session on such exchange; or

            (4)   a decision to permanently discontinue trading in the relevant
futures or options contracts or exchange traded funds.

            For the purpose of determining whether a Market Disruption Event
exists at any time, if trading in a security included in the Index is materially
suspended or materially limited at that time, then the relevant percentage
contribution of that security to the level of the Index shall be based on a
comparison of:

            (1)   the portion of the level of the Index attributable to that
security relative to

            (2)   the overall level of the Index,

in each case immediately before that suspension or limitation.

            For purposes of determining whether a Market Disruption Event has
occurred:

            (1)   a limitation on the hours or number of days of trading will
not constitute a Market Disruption Event if it results from an announced change
in the regular business hours of the Relevant Exchange or market;

            (2)   limitations pursuant to the rules of any Relevant Exchange
similar to NYSE Rule 80B (or any applicable rule or regulation enacted or
promulgated by any other self-regulatory organization or any government agency
of scope similar to NYSE Rule 80B as determined by the Calculation Agent in its
sole discretion) on trading during significant market fluctuations will
constitute a suspension, absence or material limitation of trading;

            (3)   a suspension of trading in futures or options contracts on the
Index by the primary securities market trading in such contracts by reason of
(i) a price change exceeding limits set by such exchange or market, (ii) an
imbalance of orders relating to such contracts, or (iii) a disparity in bid and
ask quotes relating to such contracts, will, in each such case, constitute a
suspension, absence or material limitation of trading in futures or options
contracts related to the Index; and

            (4)   a suspension, absence or material limitation of trading on any
Relevant Exchange or on the primary market on which futures or options contracts
related to the Index are traded will not include any time when such market is
itself closed for trading under ordinary circumstances.

                                                                               6

            "Maturity Date" shall mean December 21, 2011, unless that day is not
a Business Day, in which case the amount equal to the Payment at Maturity will
be made on the next succeeding Business Day following December 21, 2011);
provided, that if due to a non-Trading Day or a Market Disruption Event, the
Observation Date is postponed so that it falls less than three Business Days
prior to the scheduled Maturity Date, the Maturity Date will be the third
Business Day following the Observation Date, as postponed.

            "NKS" shall mean Nihon Keizai Shimbun, Inc.

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

            "Observation Date" shall mean December 16, 2011; provided, that if
an Observation Date is not a Trading Day or if there is a Market Disruption
Event on such day, the applicable Observation Date shall be postponed to the
immediately succeeding Trading Day during which no Market Disruption Event shall
have occurred or is continuing; provided, however, that the Index Closing Level
for the Observation Date shall not be determined on a date later than the eighth
scheduled Trading Day after the originally scheduled Observation Date, and if
such day is not a Trading Day, or if there is a Market Disruption Event on such
date, the Calculation Agent shall determine the Index Closing Level for the
Observation Date on such date in accordance with the formula for and method of
calculating the Index Closing Level last in effect prior to commencement of the
Market Disruption Event (or prior to the non-Trading Day), using the Closing
Price (or, if trading in the relevant securities has been materially suspended
or materially limited, the Calculation Agent's good faith estimate of the
Closing Price that would have prevailed but for such suspension or limitation or
non-Trading Day) on such eighth scheduled Trading Day of each security most
recently constituting the Index.

            "Payment at Maturity", as calculated by the Calculation Agent, shall
equal a cash payment per $1,000 principal amount note of $1,000 plus the
Additional Amount (which may be zero).

            "Place of Payment" shall mean the place or places where the Payment
at Maturity on the Securities is payable.

            "Relevant Exchange" shall mean, for any security (or any combination
thereof) then included in the 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.

            "Successor Index" shall have the meaning specified under
"Discontinuation of the Index; Alteration of Method of Calculation."

            "Trading Day" means a day, as determined by the Calculation Agent,
on which trading is generally conducted on (i) the Relevant Exchanges for
securities underlying the Index and (ii) the exchanges on which futures or
options contracts related to the Index are traded, other than a day on which
trading on such Relevant Exchange or exchange on which such securities,

                                                                               7

futures or options contracts are traded is scheduled to close prior to its
scheduled weekday closing time.

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

            "Upside Participation Rate" shall mean 132.00%.

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

CALCULATION AGENT

            The Calculation Agent will determine, among other things, the
Initial Index Level, the Ending Index Level, the Index Return, the Additional
Amount (which may be zero) and the Payment at Maturity. In addition, the
Calculation Agent will determine whether there has been a Market Disruption
Event or a discontinuation of the Index, and whether there has been a material
change in the method of calculation of the Index. All calculations,
determinations or adjustments made by the Calculation Agent will be at the sole
discretion of the Calculation Agent and will, in the absence of manifest error,
be conclusive for all purposes and binding on Holders and on the Company. The
Company may appoint a different Calculation Agent from time to time after the
date of the original issue of the Notes without the Holders' consent and without
notifying Holders.

DISCONTINUATION OF THE INDEX; ALTERATION OF METHOD OF CALCULATION

            If NKS discontinues publication of the Index and NKS or another
entity publishes a successor or substitute index that the Calculation Agent
determines to be comparable to the discontinued Index (a "Successor Index"),
then any Index Closing Level will be determined by reference to the level of
such Successor Index at the close of trading on the TSE (2nd session) or the
Relevant Exchange or market for the Successor Index on the Observation Date.
Upon any selection by the Calculation Agent of a Successor Index, the
Calculation Agent will cause written notice thereof to be promptly furnished to
the Trustee, to the Company and to the Holders.

            If NKS discontinues publication of the Index prior to, and such
discontinuation is continuing on, the Observation Date and the Calculation Agent
determines that no Successor Index is available at such time, or the Calculation
Agent has previously selected a Successor Index and publication of such
Successor Index is discontinued prior to, and such discontinuation is continuing
on, the Observation Date, or if NKS (or the publisher of any Successor Index)
fails to calculate and publish an Index Closing Level for the Index (or any
Successor Index) on any date when it would ordinarily do so in accordance with
its customary practice, then the Calculation Agent will determine the Index
Closing Level for such date. The Index Closing Level will be computed by the
Calculation Agent in accordance with the formula for and method of calculating
the Index or Successor Index, as applicable, last in effect prior to such
discontinuation or failure to calculate or publish an Index Closing Level for
the Index or Successor Index, as applicable, using the Closing Price (or, if
trading in the relevant securities has been materially suspended or materially
limited, its good faith estimate of the Closing Price that would have prevailed
but for such suspension or limitation) at the close of the principal

                                                                               8

trading session on such date of each security most recently composing the Index
or Successor Index, as applicable.

            If at any time the method of calculating the Index or a Successor
Index, or the level thereof, is changed in a material respect, or if the Index
or a Successor Index is in any other way modified so that the Index or such
Successor Index does not, in the opinion of the Calculation Agent, fairly
represent the level of the Index or such Successor Index had such changes or
modifications not been made, then the Calculation Agent will, at the close of
business in New York City on each date on which the Index Closing Level 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 the Index or such Successor Index, as the
case may be, as if such changes or modifications had not been made, and the
Calculation Agent will calculate the Index Closing Level 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 the
Index or such Successor Index is a fraction of what it would have been if there
had been no such modification (e.g., due to a split in the Index), then the
Calculation Agent will adjust its calculation of the Index or such Successor
Index in order to arrive at a level of the Index or such Successor Index as if
there had been no such modification (e.g., as if such split had not occurred).

                                                                               9

            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

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

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

--------------------------------------------------------------------------------
(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.

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