Document:

Exhibit 4.01

CUSIP
NO. 52517P3S8

ISIN NO. US52517P3S87

REGISTERED                                                                                         PRINCIPAL
AMOUNT: $500,000

No. R-1

LEHMAN BROTHERS HOLDINGS INC.

MEDIUM-TERM NOTE, SERIES I

FX BASKET-LINKED NOTE
 DUE JANUARY 30, 2009

THIS
NOTE IS A GLOBAL SECURITY WITHIN THE MEANING OF THE INDENTURE HEREINAFTER
REFERRED TO AND IS REGISTERED IN THE NAME OF THE DEPOSITORY OR A NOMINEE OF THE
DEPOSITORY.  UNLESS THIS CERTIFICATE IS
PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY (55
WATER STREET, NEW YORK, NEW YORK) TO THE COMPANY (AS DEFINED BELOW) OR ITS
AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY CERTIFICATE
ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER NAME AS
REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY AND
ANY PAYMENT IS MADE TO CEDE & CO., ANY TRANSFER, PLEDGE OR OTHER USE HEREOF
FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED OWNER
HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.

UNLESS
AND UNTIL IT IS EXCHANGED IN WHOLE OR IN PART FOR NOTES IN CERTIFICATED FORM (A
“CERTIFICATED NOTE”), THIS GLOBAL SECURITY MAY NOT BE TRANSFERRED EXCEPT AS A
WHOLE BY THE DEPOSITORY TO A NOMINEE OF THE DEPOSITORY OR BY A NOMINEE OF THE
DEPOSITORY TO THE DEPOSITORY OR ANOTHER NOMINEE OF THE DEPOSITORY OR BY THE
DEPOSITORY OR ANY SUCH NOMINEE TO A SUCCESSOR DEPOSITORY OR A NOMINEE OF SUCH
SUCCESSOR DEPOSITORY.

 2

LEHMAN BROTHERS HOLDINGS
INC., a corporation duly organized and existing under the laws of the State of
Delaware (herein called the “Company,” which term includes any successor
corporation under the Indenture referred to on the reverse hereof), for value
received, hereby promises to pay to CEDE & Co., or registered assigns, on
the Maturity Date, an amount
equal to the Redemption Amount.

The “Maturity Date” is January 30, 2009, or if such day is not a
Business Day, on the next following Business Day.

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

The “Additional Amount” is a single U.S.
dollar amount per $1,000 Note equal the greater of (a) zero and (b) the product
of $1,000 times the Basket Return times the Participation Rate.

The “Participation Rate” is 250%.

The “Basket” is the Indonesian rupiah (IDR),
Indian rupee (INR), Malaysian ringgit (MYR) and Singapore dollar (SGD) (each a “Basket
Currency” and, collectively, the “Basket Currencies”).

The
“Basket Return” is a percentage equal to a quotient, the numerator of which is
the difference of the Basket Ending Level minus the Basket Starting Level and
the denominator of which is the Basket Starting Level.

The
“Basket Starting Level” was set to 100 on the Trade Date.

The
“Basket Ending Level” is the Basket closing level on the Valuation Date, which
is equal to the product of 100 times the sum of 1 plus the sum of the Weighted
Currency Returns.

The “Weighted
Currency Return” for each Basket Currency is the product of the Basket Currency
Weighting for such Basket Currency times the Currency Return for such Basket
Currency.

The “Basket
Currency Weighting” for each Basket Currency is as follows:

	
  Basket 

  Currency

  	
  Basket 

  Currency

  Weighting

  
	
  MYR

  	
  25%

  
	
  IDR

  	
  25%

  
	
  INR

  	
  25%

  
	
  SGD

  	
  25%

  

 

The “Currency
Return” for each Basket Currency is a quotient, the numerator of which is the
difference of the Initial Spot Rate for such Basket Currency minus the Final
Spot Rate for such Basket Currency and the denominator of which is the Final
Spot Rate for such Basket Currency.

 3

The “Final Spot Rate” is, for each Basket Currency, the
Reference Exchange Rate for that Basket Currency on the Valuation Date,
determined by the Calculation Agent in accordance with the Spot Rate Source
(subject to the occurrence of a Disruption Event).

The “Initial Spot Rate” is, for each Basket Currency, the
Reference Exchange Rate for that Basket Currency determined by the Calculation
Agent on the Trade Date as set forth below:

	
  Basket 

  Currency

  	
  Initial Spot

  Rate

  
	
  MYR

  	
  3.4390

  
	
  IDR

  	
  9,138

  
	
  INR

  	
  40.24

  
	
  SGD

  	
  1.5135

  

 

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

The “Valuation Date” is January 26, 2009; provided that, upon the
occurrence of a Disruption Event with respect to a Basket Currency, the
Valuation Date for the affected Basket Currency may be postponed (as described
in “Disruption Events” below).

The “Trade Date” is July 26, 2007.

The “Issue Date” is July 31, 2007.

If the Calculation Agent determines that a Disruption Event
relating to one or more of the Basket Currencies is in effect on the scheduled
Valuation Date, the Calculation Agent will determine the Basket Return using:

·                                          for each Basket Currency
that did not suffer a Disruption Event on the scheduled Valuation Date, the
Final Spot Rate on the scheduled Valuation Date, and

·                                          for each Basket Currency
that did suffer a Disruption Event on the scheduled Valuation Date, the Final
Spot Rate on the immediately succeeding scheduled Valuation Business Day for
such Basket Currency on which no Disruption Event occurs or is continuing with
respect to such Basket Currency;

provided, however, that if a
Disruption Event has occurred or is continuing with respect to a Basket
Currency on each of the three scheduled Valuation Business Days following the
scheduled Valuation Date, then (a) such third scheduled Valuation Business Day
shall be deemed the Valuation Date for the affected Basket Currency; and (b)
the Calculation Agent will determine the Final Spot Rate for the affected
Basket Currency on such day in accordance with Fallback Rate Observation
Methodology.

 4

For purposes of the above, “scheduled Valuation Business
Day” means a day that is or, in the judgment of the Calculation Agent, should
have been, a Valuation Business Day for the affected Basket Currency.

A “Disruption Event” means any of the following events as determined in
good faith by the Calculation Agent:

(A)                              the occurrence and/or existence of an event on any day that has the
effect of preventing or making impossible (x) the delivery of USD from accounts
inside the country for which a Basket Currency is the lawful currency (such
jurisdiction with respect to such Basket Currency, the “Basket Currency
Jurisdiction”) for that Basket Currency to accounts outside that Basket
Currency Jurisdiction; or (y) for SGD only, the conversion of the Basket
Currency into USD through customary legal channels;

(B)                                the occurrence of any event causing the Reference
Exchange Rate for the Basket Currency to be split into dual or multiple
currency exchange rates; or

(C)                                the Final Spot Rate being unavailable for the Basket Currency, or the
occurrence of an event (i) in the Basket Currency Jurisdiction for that Basket
Currency that materially disrupts the market for the Basket Currency or (ii)
that generally makes it impossible to obtain the Final Spot Rate for the Basket
Currency, on the Valuation Date.

A “Valuation
Business Day” means, with respect to each Basket Currency, any day, other than
a Saturday or Sunday, that is neither a legal holiday nor a day on which
commercial banks are authorized or required by law, regulation or executive
order to close (including for dealings in foreign exchange in accordance with
the practice of the foreign exchange market) in the city or jurisdiction
indicated in the table below:

	
  Basket 

  Currency

  	
  Screen Reference

  	
  Valuation Business Day

  
	
  MYR

  	
  ABSIRFIX01

  	
  Singapore

  
	
  IDR

  	
  ABSIRFIX01

  	
  Singapore

  
	
  INR

  	
  RBIB

  	
  Mumbai

  
	
  SGD

  	
  ABSIRFIX01

  	
  Singapore

  

The “Spot Rate Source” for
the IDR is the Indonesian Rupiah/U.S. Dollar spot rate at 11:00 a.m., Singapore
time, expressed as the amount of Indonesian Rupiah per one U.S. Dollar, for
settlement in two Business Days, reported by the Association of Banks in
Singapore which appears on the Reuters Page ABSIRFIX01 to the right of the
caption “Spot” under the column “IDR” at approximately 11:30 a.m., Singapore
time, on the Valuation Date or such other relevant date.  The “Spot Rate Source” for the INR is the
Indian Rupee/U.S. dollar reference rate, expressed as the amount of Indian
Rupee per one U.S. dollar, for settlement in two Business Days reported by the
Reserve Bank of India which appears on the Reuters Screen RBIB Page at
approximately 2:30 p.m., Mumbai time, or as soon thereafter as practicable on
the on the Valuation Date or such other relevant date.  The “Spot
Rate Source” for the MYR is the Malaysian Ringgit/U.S. dollar spot rate,
expressed as the amount of Malaysian Ringgit per one U.S. dollar, for
settlement in two Business Days reported by the Association of Banks in

 5

Singapore, which appears on the Reuters Page ABSIRFIX01 to the right of
the caption “Spot” under the column “MYR” at approximately 11:30 a.m. Singapore
time on the Valuation Date or such other relevant date.  The
“Spot Rate Source” for the SGD
is the Singapore Dollar/U.S. dollar spot rate at 11:00 a.m., Singapore time,
expressed as the amount of Singapore Dollar per one U.S. dollar, for settlement
in two Business Days, reported by the Association of Banks in Singapore which
appears on the Reuters Page ABSIRFIX01 to the right of the caption “Spot” under
the column “SGD” at approximately 11:30 a.m., Singapore time, on the Valuation
Date or such other relevant date.

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

The “Fallback Rate Observation Methodology” means that the reference exchange rate, Final Spot
Rate or other rate, as specified in the applicable pricing supplement, in respect
of a Basket Currency will equal the noon buying rate in New York for cable
transfers in foreign currencies as announced by the Federal Reserve Bank of New
York for customs purposes (the “Noon Buying Rate”) on the relevant Valuation
Date or such other date specified in the applicable pricing supplement. If the
Noon Buying Rate is not announced on that date, the Reference Exchange Rate,
Final Spot Rate or other rate for such Basket Currency will be calculated on
the basis of the arithmetic mean of the applicable spot quotations received by
the Calculation Agent at approximately 10:00 a.m., New York City time, on
the Valuation Business Day next succeeding the Valuation Date or such other
date specified in the applicable pricing supplement, for the purchase or sale
for deposits in the Basket Currency by the New York offices of three leading
banks engaged in the interbank market (selected in the sole discretion of the
Calculation Agent) (the “Reference Banks”). If fewer than three Reference Banks
provide spot quotations, then the Reference Exchange Rate, Final Spot Rate or
other rate, as applicable, will be calculated on the basis of the arithmetic
mean of the applicable spot quotations received by the Calculation Agent at
approximately 10:00 a.m., New York City time, on the relevant date from
two Reference Banks (selected in the sole discretion of the Calculation Agent),
for the purchase or sale for deposits in the Basket Currency. If these spot
quotations are available from only one Reference Bank, then the Calculation
Agent, in its sole discretion, will determine whether that quotation is
reasonable to be used. If no spot quotation is available, then the Reference
Exchange Rate, Final Spot Rate or other rate, as applicable, for such Basket
Currency will be determined by the Calculation Agent in good faith and in a
commercially reasonable manner.

A “Business Day”,
notwithstanding any provision in the Indenture, is any day that is not is not a
Saturday or Sunday and that is not a day on which banking institutions in New
York City generally are authorized or obligated by law or executive order to be
closed.

The “Calculation Agent” means
Lehman Brothers Inc.

Except as provided below,
the Redemption Amount may, at the option of the Company, be made by check
mailed to the person entitled thereto at such person’s address as it appears on
the registry books of the Company.

Payment of the Redemption
Amount will be made in immediately available funds in accordance with the
normal procedures of the Trustee (or any duly appointed Paying Agent).

 6

The Company will pay any
administrative costs imposed by banks in making payments in immediately
available funds, but any tax, assessment or governmental charge imposed upon
payments hereunder, including, without limitation, any withholding tax, will be
borne by the Holder hereof.

References herein to “U.S. dollars” or “U.S.$” or “$”
or “USD” are to the coin or currency of the United States as at the time of
payment is legal tender for the payment of public and private debts.

Reference is hereby made to
the further provisions of this Note set forth on the reverse hereof.  Such further provisions shall for all
purposes have the same effect as if set forth at this place.

This Note shall not be valid or become obligatory for any purpose until
the certificate of authentication hereon shall have been signed by the Trustee
under the Indenture.

 7

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:  July 31, 2007

	
  [SEAL]

  	
  LEHMAN BROTHERS HOLDINGS INC.

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  By:

  	
   

  	
   

  
	
   

  	
   

  	
  Name: Andrew Yeung

  
	
   

  	
   

  	
  Title:   Vice President

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  Attest: 

  	
   

  	
   

  
	
   

  	
   

  	
  Name: Cindy Buckholz

  
	
   

  	
   

  	
  Title:   Assistant Secretary

  

 

TRUSTEE’S
CERTIFICATE OF AUTHENTICATION

This is one of the
Securities of the series designated herein referred to in the within-mentioned
Indenture.

CITIBANK, N.A.

  as Trustee

	
  By:

  	
   

  	
   

  
	
   

  	
  Authorized Officer

  

 

[REVERSE
OF NOTE]

LEHMAN BROTHERS
HOLDINGS INC.

MEDIUM-TERM NOTES,
SERIES I

FX BASKET-LINKED NOTE
 DUE JANUARY 30, 2009

Section 1.  General.  This Note is one of a duly authorized series
of Notes of the Company designated as the Medium-Term Notes, Series I, FX Basket-Linked Note (herein called
the “Notes”).  The Notes are one of an indefinite
number of series of debt securities of the Company (collectively, the “Securities”)
issued or issuable under and pursuant to an indenture dated as of September 1,
1987, as amended and supplemented (the “Indenture”), duly executed and
delivered by the Company and Citibank, N.A., as Trustee (herein called the “Trustee”),
to which Indenture and all indentures supplemental thereto reference is hereby
made for a description of the rights, limitations of rights, obligations,
duties and immunities thereunder of the Trustee, the Company and the holders of
the Securities.  The separate series of
Securities may be issued in various aggregate principal amounts, may mature at
different times, may bear interest (if any) at different rates, may be subject
to different redemption provisions or repurchase rights (if any), may be
subject to different sinking, purchase or analogous funds (if any), may be
subject to different covenants and Events of Default and may otherwise vary as
in the Indenture provided.

Section 2.  Principal
Amount for Indenture Purposes.  For
the purpose of determining whether Holders of the requisite amount of Notes of
this series outstanding under the Indenture have made a demand, given a notice
or waiver or taken any other action, the principal amount of this Note will be
deemed to be the principal amount of this Note then outstanding.

Section 3.  Modification
and Waivers.  The Indenture contains
provisions permitting the Company and the Trustee, with the consent of the
Holders of not less than 66-2/3% in aggregate principal amount of each series
of the Securities at the time Outstanding to be affected, evidenced as in the
Indenture provided, to execute supplemental indentures adding any provisions to
or changing in any manner or eliminating any of the provisions of the Indenture
or of any supplemental indenture or modifying in any manner the rights of the
holders of the Securities of all such series; provided, however, that no such
supplemental indenture shall, among other things, (i) change the fixed maturity
of any Security, or reduce the Additional Amount or the principal amount
thereof, or reduce the rate or extend the time of payment of interest thereon
or reduce any premium or other amount payable on redemption, or make the
Additional Amount or the principal amount thereof, premium or other amount
payable, if any, or interest thereon payable in any coin or currency other than
that herein above provided, without the consent of the Holder of each Security
so affected, or (ii) change the place of payment on any Security, or impair the
right to institute suit for payment on any Security, or reduce the aforesaid
percentage of Securities, the holders of which are required to consent to any
such supplemental indenture, without the consent of the holders of each
Security so affected.  It is also
provided in the Indenture that, prior to any declaration accelerating the
maturity of any series of Securities, the holders of a majority in aggregate
principal amount of the Securities of such series Outstanding may on behalf of
the holders of all the Securities of such series waive any past

default
or Event of Default under the Indenture with respect to such series and its
consequences, except a default in the payment of interest, if any, on the
Additional Amount or the principal amount, or premium, if any, on any of the
Securities of such series, or in the payment of any sinking fund installment or
analogous obligation with respect to Securities of such series.  Any such consent or waiver by the Holder of
this Note shall be conclusive and binding upon such Holder and upon all future
holders and owners of this Note and any Notes of this series which may be
issued in exchange or substitution herefor, irrespective of whether or not any
notation thereof is made upon this Note or such other Notes of this series.

Section 4.  Obligations
Unconditional.  No reference herein
to the Indenture and no provisions of this Note or of the Indenture shall alter
or impair the obligation of the Company, which is absolute and unconditional,
to pay the Additional Amount or the principal amount on this Note at the place,
at the respective times, at the rate, and in the coin or currency herein
prescribed.

Section 5.  Defeasance.  The Indenture contains provisions for the
discharge of the Indenture and defeasance at any time of the indebtedness on
this Note upon compliance by the Company with certain conditions set forth
therein, which provisions apply to this Note.

Section 6.  Authorized
Form and Denominations.  The Notes of
this series are issuable in registered form, without coupons.  Each Note will be issued initially as either
a Global Security or a Certificated Note, at the option of the Company, in denominations
of $1,000 or whole multiples of $1,000, either at the office or agency to be
designated and maintained by the Company for such purpose in the Borough of
Manhattan, New York City, pursuant to the provisions of the Indenture or at any
of such other offices or agencies as may be designated and maintained by the
Company for such purpose pursuant to the provisions of the Indenture, and in
the manner and subject to the limitations provided in the Indenture, but
without the payment of any service charge, except for any tax or other
governmental charges imposed in connection therewith.  Notes of this series are exchangeable for a
like aggregate principal amount of Notes of this series of a different
authorized denomination, except that Global Securities will not be exchangeable
for Certificated Notes of this series.

Section 7.  Registration
of Transfer.  As provided in the
Indenture and subject to certain limitations as therein set forth, the transfer
of this Note is registrable in the Security Register, upon surrender of this
Note for registration of transfer, at the Corporate Trust Office or agency in a
Place of Payment for this Note, duly endorsed by, or accompanied by a written
instrument of transfer in form satisfactory to the Company and the Security Registrar
requiring such written instrument of transfer duly executed by, the Holder
hereof or his attorney duly authorized in writing, and thereupon one or more
new Notes of this series, of authorized denominations and for the same
aggregate principal amount, will be issued to the designated transferee or
transferees.

If at any time the Depository notifies the Company
that it is unwilling or unable to continue as Depository or if at any time the
Depository shall no longer be eligible under the Indenture, the Company shall
appoint a successor Depository.  If a
successor Depository for the Notes of this series is not appointed by the
Company within 90 days after the Company receives such notice or becomes aware
of such ineligibility, the Company will issue, and the Trustee will

authenticate
and deliver, Notes of this series in definitive form in an aggregate principal
amount equal to the principal amount of this Note.

No service charge shall
be made for any such registration of transfer or exchange, but the Company may
require payment of a sum sufficient to cover any tax or other governmental
charge that may be imposed in connection therewith.

Prior to due presentment of this Note for registration
of transfer, the Company, the Trustee and any agent of the Company or the
Trustee may treat the person in whose name this Note is registered as the owner
hereof for all purposes, and neither the Company nor the Trustee nor any agent
of the Company or of the Trustee shall be affected by any notice to the
contrary.

Section 8.  Events
of Default.  If an Event of Default
with respect to Notes of this series shall occur and be continuing, the amount
that may be declared due and payable upon any acceleration of the notes will be
determined by the Calculation Agent for the period from and including the Issue
Date to but excluding the date of early repayment and will equal, for each
note, the Redemption Amount, calculated as the date of early repayment were the
Maturity Date. If a bankruptcy proceeding is commenced in respect of Lehman
Brothers Holdings, the claim of the beneficial owner of a note for the period
from and including the Issue Date to but excluding the date of early repayment
will be capped at the Redemption Amount, calculated as though the date of the
commencement of the proceeding were the Maturity Date.

Section 9.  No
Recourse Against Certain Persons.  No
recourse for the payment of the Additional Amount or for any claim based hereon
or otherwise in respect hereof, and no recourse under or upon any obligation,
covenant or agreement of the Company in the Indenture or any Indenture
supplemental thereto or in any Note, or because of the creation of any
indebtedness represented thereby, shall be had against any incorporator,
stockholder, officer or director, as such, past, present or future, of the
Company or of any successor corporation, either directly or through the Company
or any successor corporation, whether by virtue of any constitution, statute or
rule of law or by the enforcement of any assessment or penalty or otherwise,
all such liability being, by the acceptance hereof and as part of the
consideration for the issue hereof, expressly waived and released.

Section 10.  Defined
Terms.  All terms used but not
defined in this Note are used herein as defined in the Indenture.

Section 11.  Governing Law.  This
Note shall be governed by and construed in accordance with the laws of the
State of New York.Exhibit 4.02

CUSIP
NO. 52517P3T6

ISIN NO. US52517P3T60

REGISTERED                                                                                         PRINCIPAL
AMOUNT: $692,000

No. R-1

LEHMAN BROTHERS HOLDINGS INC.

MEDIUM-TERM NOTE, SERIES I

COMMODITY BASKET-LINKED NOTE
 DUE JULY 30, 2010

THIS
NOTE IS A GLOBAL SECURITY WITHIN THE MEANING OF THE INDENTURE HEREINAFTER
REFERRED TO AND IS REGISTERED IN THE NAME OF THE DEPOSITORY OR A NOMINEE OF THE
DEPOSITORY.  UNLESS THIS CERTIFICATE IS
PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY (55
WATER STREET, NEW YORK, NEW YORK) TO THE COMPANY (AS DEFINED BELOW) OR ITS
AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT AND ANY CERTIFICATE
ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR SUCH OTHER NAME AS
REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF THE DEPOSITORY TRUST COMPANY AND
ANY PAYMENT IS MADE TO CEDE & CO., ANY TRANSFER, PLEDGE OR OTHER USE HEREOF
FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL SINCE THE REGISTERED
OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.

UNLESS
AND UNTIL IT IS EXCHANGED IN WHOLE OR IN PART FOR NOTES IN CERTIFICATED FORM (A
“CERTIFICATED NOTE”), THIS GLOBAL SECURITY MAY NOT BE TRANSFERRED EXCEPT AS A
WHOLE BY THE DEPOSITORY TO A NOMINEE OF THE DEPOSITORY OR BY A NOMINEE OF THE
DEPOSITORY TO THE DEPOSITORY OR ANOTHER NOMINEE OF THE DEPOSITORY OR BY THE
DEPOSITORY OR ANY SUCH NOMINEE TO A SUCCESSOR DEPOSITORY OR A NOMINEE OF SUCH
SUCCESSOR DEPOSITORY.

 2

LEHMAN BROTHERS HOLDINGS
INC., a corporation duly organized and existing under the laws of the State of
Delaware (herein called the “Company,” which term includes any successor
corporation under the Indenture referred to on the reverse hereof), for value
received, hereby promises to pay to CEDE & Co., or registered assigns, on
the Maturity Date, an amount
equal to the Redemption Amount.

The “Maturity Date” is July 30, 2010, or if such day is not a Business
Day, on the next following Business Day.

The “Redemption Amount” is a single U.S.
dollar amount per $1,000 Note equal to (i) the sum of $1,000 plus the product
of $1,000 times the Basket Return times the Participation Rate, if the Final
Basket Level is greater than the Initial Basket Level, or (ii) $1,000, if the
Final Basket Level is equal to or less than the Initial Basket Level.

The “Participation Rate” is 125%.

The “Basket” is as follows:

	
  Component 

  Commodity

  	
  Description

  
	
  Crude Oil

  	
  Light
  sweet crude oil

  
	
  Heating Oil

  	
  No.
  2 fuel heating oil

  
	
  Copper

  	
  Copper
  – Grade A

  
	
  Nickel

  	
  Primary
  Nickel

  
	
  Zinc

  	
  Special
  High Grade Zinc

  
	
  Gold

  	
  Gold

  
	
  Platinum

  	
  Platinum

  
	
  Corn

  	
  Number
  2 yellow corn

  
	
  Wheat

  	
  Number 2 wheat

  

 

The
“Basket Return” is a percentage equal to a quotient, the numerator of which is
the difference of the Final Basket Level minus the Initial Basket Level and the
denominator of which is the Initial Basket Level.

The
“Initial Basket Level” was set to 100 on the Trade Date.

The
“Final Basket Level” is the Basket closing level on the Valuation Date, which
is equal to the product of 100 times the sum of 1 plus the sum of the Weighted
Component Commodity Returns.

The “Weighted
Component Commodity Return” for each Component Commodity is the product of the
Component Commodity Weighting for such Component Commodity times the Component
Commodity Return for such Component Commodity.

The “Component
Commodity Weighting” for each Component Commodity is as follows:

	
  Component 

  Commodity

  	
  Component

  Commodity

  Weighting

  

 

 3

 

	
  Crude Oil

  	
  20%

  
	
  Heating Oil

  	
  10%

  
	
  Copper

  	
  10%

  
	
  Nickel

  	
  10%

  
	
  Zinc

  	
  10%

  
	
  Gold

  	
  10%

  
	
  Platinum

  	
  10%

  
	
  Corn

  	
  10%

  
	
  Wheat

  	
  10%

  

 

The “Component
Commodity Return” for each Component Commodity is a quotient, the numerator of
which is the difference of the Final Commodity Price for such Component
Commodity minus the Initial Commodity Price for such Component Commodity and
the denominator of which is the Initial Commodity Price for such Component
Commodity.

The “Final Commodity Price” is, for each Component Commodity, the Commodity Price for that Component Commodity on the Valuation Date.

The “Initial Commodity Price” is, for each Component
Commodity, the Reference Exchange Rate for that Component Commodity determined
by the Calculation Agent on the Trade Date as set forth below:

	
  Component

  Commodity

  	
  Initial 

  Commodity

  Price

  
	
  Crude Oil

  	
  74.95

  
	
  Heating Oil

  	
  2.0328

  
	
  Copper

  	
  7,906.00

  
	
  Nickel

  	
  31,275.00

  
	
  Zinc

  	
  3,665.00

  
	
  Gold

  	
  670.00

  
	
  Platinum

  	
  1,314.00

  
	
  Corn

  	
  317.50

  
	
  Wheat

  	
  651.00

  

 

The Commodity Prices are as follows:

	
  Component

  Commodity

  	
  Commodity Price

  
	
  Crude Oil 

  Heating Oil

  	
  For each of Crude Oil
  and Heating Oil, the official settlement price of the first nearby month
  futures contract (or, in the case of the last trading day of the first nearby
  month contract, the second nearby month contract) for that Component
  Commodity, expressed (a) in the case of Crude Oil, as the U.S. dollar price
  per barrel, and (b) in the case of Heating Oil, as the U.S. dollar price per
  gallon, in each case as made public by the Relevant Exchange for that
  Component Commodity (subject to the occurrence of a Disruption Event).

  

 

 4

 

	
  Copper

  Nickel 

  Zinc

  	
  For each of Copper,
  Nickel and Zinc, the official settlement price of that Component Commodity
  for cash delivery, expressed as the U.S. dollar price per metric ton of the
  Component Commodity, as made public by the Relevant Exchange for that Component
  Commodity (subject to the occurrence of a Disruption Event).

  
	
  Gold

  	
  For Gold, the official
  afternoon fixing price, stated in U.S. dollars per troy ounce, as calculated
  and quoted by the Relevant Exchange (subject to the occurrence of a
  Disruption Event).

  
	
  Platinum

  	
  For Platinum, the
  official afternoon fixing price, stated in U.S. dollars per troy ounce, as
  calculated and quoted by the Relevant Exchange (subject to the occurrence of
  a Disruption Event).

  
	
  Corn 

  Wheat

  	
  For each of Corn and
  Wheat, the official settlement price of the relevant contract, determined to
  be the contract with the next succeeding Notice Date (as defined below),
  stated in U.S. dollars, per bushel, as made public by the Relevant Exchange
  for that Component Commodity (subject to the occurrence of a Disruption
  Event).

  

 

The “Relevant Exchange” is, for each Component Commodity,
the exchange set forth opposite such Component Commodity below, or its
successor, or if the exchange set forth below is no longer the principal
exchange or trading market for a Component Commodity or options or futures
contracts for such Component Commodity, such other exchange or principal
trading market for the relevant Component Commodity as determined in good faith
by the Calculation Agent which serves as the source of prices for that
Component Commodity, and any principal exchanges where options or futures
contracts on that Component Commodity are traded.

	
  Component

  Commodity

  	
  Commodity Price

  
	
  Crude Oil

  	
  The NYMEX Division, or
  its successor, of the New York Mercantile 

  Exchange, Inc. (“NYMEX”)

  
	
  Heating Oil

  	
  NYMEX

  
	
  Copper

  	
  London Metals Exchange
  (“LME”)

  
	
  Nickel

  	
  LME

  
	
  Zinc

  	
  LME

  
	
  Gold

  	
  London Bullion Market
  Association (the “LBMA”)

  
	
  Platinum

  	
  London Platinum &
  Palladium Market (the “LPPM”)

  
	
  Corn

  	
  Chicago Board of Trade
  (“CBOT”)

  
	
  Wheat

  	
  CBOT

  

 

 5

The “Valuation Date” is July 23, 2010; provided that, upon the
occurrence of a Disruption Event with respect to a Component Commodity, the
Valuation Date for the affected Component Commodity may be postponed (as
described in “Disruption Events” below).

The “Trade Date” is July 26, 2007.

The “Issue Date” is July 31, 2007.

If the Calculation Agent determines that a Disruption Event
identified in clauses A, B or C below relating to one or more of the Component
Commodities is in effect on the scheduled Valuation Date, the Calculation Agent
will determine the Final Basket Level using:

·                                          for each Component
Commodity that did not suffer a Disruption Event on the scheduled Valuation
Date, the Final Commodity Price on the scheduled Valuation Date, and

·                                          for each Componenet
Commodity that did suffer a Disruption Event on the scheduled Valuation Date,
the Final Commodity Price on the immediately succeeding trading day for such
Component Commodity on which no Disruption Event occurs or is continuing with
respect to such Component Commodity;

provided, however, that if a
Disruption Event has occurred or is continuing with respect to a Component
Commodity on each of the three scheduled trading days following the scheduled
Valuation Date, then (a) such third scheduled trading day shall be deemed the
Valuation Date for the affected Component Commodity; and (b) the Calculation
Agent will determine the Final Commodity Price for the affected Component
Commodity on such day in its sole and absolute discretion taking into account
the latest available quotation for the Commodity Price for the affected
Component Commodity and any other information that in good faith it deems
relevant.

For purposes of the above, “scheduled Valuation Business
Day” means a day that is or, in the judgment of the Calculation Agent, should
have been, a Valuation Business Day for the affected Component Commodity.

If a Disruption Event identified in clauses (D) or (E)
below relating to one or more Component Commodities (other than Gold or
Platinum) is in effect on the Valuation Date, the Calculation Agent will
determine the Final Commodity Price for the affected Component Commodity on the
scheduled Valuation Date in its sole and absolute discretion taking into
account the latest available quotation for the Commodity Price for the affected
Component Commodity and any other information that in good faith it deems
relevant.

A “Disruption Event” for a Component Commodity, in each
case as determined in good
faith by the Calculation Agent, constitutes:

(A)                              the suspension of or material limitation on trading in the Component
Commodity or futures contracts or options related to the Component Commodity,
on the Relevant Exchange for that Component Commodity;

 6

(B)                               either (i) the failure of trading to commence, or
permanent discontinuance of trading, in the Component Commodity, or futures
contracts or options related to the Component Commodity, on the Relevant
Exchange for that Component Commodity, or (ii) the disappearance of, or of
trading in, the Component Commodity;

(C)                               the failure of the
Relevant Exchange for the Component Commodity to publish the official daily
settlement price of the Component Commodity for that day (or the information
necessary for determining the settlement price); and

(D)                              solely with respect to
Component Commodities other than Gold or Platinum, the occurrence since the
Trade Date of a material change in the content, composition, or constitution of
the Component Commodity; or

(E)                                solely with respect to
Component Commodities other than Gold or Platinum, the occurrence since the
Trade Date of a material change in the formula for or the method of calculating
the settlement price of the Component Commodity.

For
the purpose of determining whether a Disruption Event for a Component Commodity
has occurred:

(1)                                 a limitation on the hours in a trading day and/or
number of days of trading will not constitute a Disruption Event if it results
from an announced change in the regular business hours of the Relevant Exchange
for the Component Commodity;

(2)                                 a suspension in trading in a Component Commodity on
the Relevant Exchange for that Component Commodity (without taking into account
any extended or after-hours trading session), by reason of a price change
reflecting the maximum permitted price change from the previous trading day’s
settlement price will constitute a Disruption Event; and

(3)                                 a suspension of or material limitation on trading on
a Relevant Exchange for a Component Commodity will not include any time when
the Relevant Exchange for that Component Commodity is closed for trading under
ordinary circumstances.

For
purposes of calculating the Final Basket Level in the event of a Disruption
Event relating to one or more Component Commodities in accordance with the
above, “trading day” means a day, as determined in good faith by the
Calculation Agent, on which trading is generally conducted on the Relevant
Exchange applicable to the affected Component Commodity.

A “Valuation
Business Day” means, with respect to each Component Commodity, a day, as
determined in good faith by the Calculation Agent, on which the Relevant
Exchange for each Component Commodity is scheduled to be (or, but for the
occurrence of a Disruption Event, would have been) open for trading during its
regular trading session (notwithstanding the

 7

Relevant Exchange or organized
exchange or market, as applicable, closing prior to its scheduled closing
time).

A “Business Day”,
notwithstanding any provision in the Indenture, is any day that is not is not a
Saturday or Sunday and that is not a day on which banking institutions in New
York City generally are authorized or obligated by law or executive order to be
closed.

The “Calculation Agent” means
Lehman Brothers Commodity Services Inc.

Except as provided below,
the Redemption Amount may, at the option of the Company, be made by check
mailed to the person entitled thereto at such person’s address as it appears on
the registry books of the Company.

Payment of the Redemption
Amount will be made in immediately available funds in accordance with the
normal procedures of the Trustee (or any duly appointed Paying Agent).

The Company will pay any
administrative costs imposed by banks in making payments in immediately
available funds, but any tax, assessment or governmental charge imposed upon
payments hereunder, including, without limitation, any withholding tax, will be
borne by the Holder hereof.

References herein to “U.S.
dollars” or “U.S.$” or “$” or “USD” are to the coin or currency of the United
States as at the time of payment is legal tender for the payment of public and
private debts.

Reference is hereby made to
the further provisions of this Note set forth on the reverse hereof.  Such further provisions shall for all
purposes have the same effect as if set forth at this place.

This Note shall not be valid or become obligatory for any purpose until
the certificate of authentication hereon shall have been signed by the Trustee
under the Indenture.

 8

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:  July 31, 2007

	
  [SEAL]

  	
  LEHMAN BROTHERS HOLDINGS INC.

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  By:

  	
   

  	
   

  
	
   

  	
   

  	
  Name: Andrew Yeung

  
	
   

  	
   

  	
  Title:   Vice President

  
	
   

  	
   

  	
   

  
	
   

  	
   

  	
   

  
	
   

  	
  Attest: 

  	
   

  	
   

  
	
   

  	
   

  	
  Name: Cindy Buckholz

  
	
   

  	
   

  	
  Title:   Assistant Secretary

  

 

TRUSTEE’S
CERTIFICATE OF AUTHENTICATION

This is one of the
Securities of the series designated herein referred to in the within-mentioned
Indenture.

CITIBANK, N.A.

  as Trustee

	
  By:

  	
   

  	
   

  
	
   

  	
  Authorized Officer

  

 

[REVERSE
OF NOTE]

LEHMAN BROTHERS
HOLDINGS INC.

MEDIUM-TERM NOTES,
SERIES I

COMMODITY BASKET-LINKED NOTE
 DUE JULY 30, 2010

Section 1.  General.  This Note is one of a duly authorized series
of Notes of the Company designated as the Medium-Term Notes, Series I, Commodity Basket-Linked Note (herein
called the “Notes”).  The Notes are one of an indefinite
number of series of debt securities of the Company (collectively, the “Securities”)
issued or issuable under and pursuant to an indenture dated as of September 1,
1987, as amended and supplemented (the “Indenture”), duly executed and
delivered by the Company and Citibank, N.A., as Trustee (herein called the “Trustee”),
to which Indenture and all indentures supplemental thereto reference is hereby
made for a description of the rights, limitations of rights, obligations,
duties and immunities thereunder of the Trustee, the Company and the holders of
the Securities.  The separate series of
Securities may be issued in various aggregate principal amounts, may mature at
different times, may bear interest (if any) at different rates, may be subject
to different redemption provisions or repurchase rights (if any), may be
subject to different sinking, purchase or analogous funds (if any), may be
subject to different covenants and Events of Default and may otherwise vary as
in the Indenture provided.

Section 2.  Principal
Amount for Indenture Purposes.  For
the purpose of determining whether Holders of the requisite amount of Notes of
this series outstanding under the Indenture have made a demand, given a notice
or waiver or taken any other action, the principal amount of this Note will be
deemed to be the principal amount of this Note then outstanding.

Section 3.  Modification
and Waivers.  The Indenture contains
provisions permitting the Company and the Trustee, with the consent of the
Holders of not less than 66-2/3% in aggregate principal amount of each series
of the Securities at the time Outstanding to be affected, evidenced as in the
Indenture provided, to execute supplemental indentures adding any provisions to
or changing in any manner or eliminating any of the provisions of the Indenture
or of any supplemental indenture or modifying in any manner the rights of the
holders of the Securities of all such series; provided, however, that no such
supplemental indenture shall, among other things, (i) change the fixed maturity
of any Security, or reduce the Redemption Amount or the principal amount
thereof, or reduce the rate or extend the time of payment of interest thereon
or reduce any premium or other amount payable on redemption, or make the
Redemption Amount or the principal amount thereof, premium or other amount
payable, if any, or interest thereon payable in any coin or currency other than
that herein above provided, without the consent of the Holder of each Security
so affected, or (ii) change the place of payment on any Security, or impair the
right to institute suit for payment on any Security, or reduce the aforesaid
percentage of Securities, the holders of which are required to consent to any
such supplemental indenture, without the consent of the holders of each
Security so affected.  It is also
provided in the Indenture that, prior to any declaration accelerating the maturity
of any series of Securities, the holders of a majority in aggregate principal
amount of the Securities of such series

Outstanding
may on behalf of the holders of all the Securities of such series waive any
past default or Event of Default under the Indenture with respect to such
series and its consequences, except a default in the payment of interest, if
any, on the Redemption Amount or the principal amount, or premium, if any, on
any of the Securities of such series, or in the payment of any sinking fund
installment or analogous obligation with respect to Securities of such
series.  Any such consent or waiver by
the Holder of this Note shall be conclusive and binding upon such Holder and
upon all future holders and owners of this Note and any Notes of this series
which may be issued in exchange or substitution herefor, irrespective of
whether or not any notation thereof is made upon this Note or such other Notes
of this series.

Section 4.  Obligations
Unconditional.  No reference herein
to the Indenture and no provisions of this Note or of the Indenture shall alter
or impair the obligation of the Company, which is absolute and unconditional,
to pay the Redemption Amount or the principal amount on this Note at the place,
at the respective times, at the rate, and in the coin or currency herein prescribed.

Section 5.  Defeasance.  The Indenture contains provisions for the
discharge of the Indenture and defeasance at any time of the indebtedness on
this Note upon compliance by the Company with certain conditions set forth
therein, which provisions apply to this Note.

Section 6.  Authorized
Form and Denominations.  The Notes of
this series are issuable in registered form, without coupons.  Each Note will be issued initially as either
a Global Security or a Certificated Note, at the option of the Company, in
denominations of $1,000 or whole multiples of $1,000, either at the office or
agency to be designated and maintained by the Company for such purpose in the
Borough of Manhattan, New York City, pursuant to the provisions of the
Indenture or at any of such other offices or agencies as may be designated and
maintained by the Company for such purpose pursuant to the provisions of the
Indenture, and in the manner and subject to the limitations provided in the
Indenture, but without the payment of any service charge, except for any tax or
other governmental charges imposed in connection therewith.  Notes of this series are exchangeable for a
like aggregate principal amount of Notes of this series of a different authorized
denomination, except that Global Securities will not be exchangeable for
Certificated Notes of this series.

Section 7.  Registration
of Transfer.  As provided in the
Indenture and subject to certain limitations as therein set forth, the transfer
of this Note is registrable in the Security Register, upon surrender of this
Note for registration of transfer, at the Corporate Trust Office or agency in a
Place of Payment for this Note, duly endorsed by, or accompanied by a written
instrument of transfer in form satisfactory to the Company and the Security
Registrar requiring such written instrument of transfer duly executed by, the
Holder hereof or his attorney duly authorized in writing, and thereupon one or
more new Notes of this series, of authorized denominations and for the same
aggregate principal amount, will be issued to the designated transferee or
transferees.

If at any time the Depository notifies the Company
that it is unwilling or unable to continue as Depository or if at any time the
Depository shall no longer be eligible under the Indenture, the Company shall
appoint a successor Depository.  If a
successor Depository for the Notes of this series is not appointed by the
Company within 90 days after the Company receives such notice or becomes aware
of such ineligibility, the Company will issue, and the Trustee will

authenticate
and deliver, Notes of this series in definitive form in an aggregate principal
amount equal to the principal amount of this Note.

No service charge shall
be made for any such registration of transfer or exchange, but the Company may
require payment of a sum sufficient to cover any tax or other governmental
charge that may be imposed in connection therewith.

Prior to due presentment of this Note for registration
of transfer, the Company, the Trustee and any agent of the Company or the
Trustee may treat the person in whose name this Note is registered as the owner
hereof for all purposes, and neither the Company nor the Trustee nor any agent
of the Company or of the Trustee shall be affected by any notice to the contrary.

Section 8.  Events
of Default.  If an Event of Default
with respect to Notes of this series shall occur and be continuing, the amount
that may be declared due and payable upon any acceleration of the notes will be
determined by the Calculation Agent for the period from and including the Issue
Date to but excluding the date of early repayment and will equal, for each
note, the Redemption Amount, calculated as the date of early repayment were the
Maturity Date. If a bankruptcy proceeding is commenced in respect of Lehman
Brothers Holdings, the claim of the beneficial owner of a note for the period
from and including the Issue Date to but excluding the date of early repayment
will be capped at the Redemption Amount, calculated as though the date of the commencement
of the proceeding were the Maturity Date.

Section 9.  No
Recourse Against Certain Persons.  No
recourse for the payment of the Redemption Amount or for any claim based hereon
or otherwise in respect hereof, and no recourse under or upon any obligation,
covenant or agreement of the Company in the Indenture or any Indenture
supplemental thereto or in any Note, or because of the creation of any
indebtedness represented thereby, shall be had against any incorporator,
stockholder, officer or director, as such, past, present or future, of the
Company or of any successor corporation, either directly or through the Company
or any successor corporation, whether by virtue of any constitution, statute or
rule of law or by the enforcement of any assessment or penalty or otherwise,
all such liability being, by the acceptance hereof and as part of the
consideration for the issue hereof, expressly waived and released.

Section 10.  Defined
Terms.  All terms used but not
defined in this Note are used herein as defined in the Indenture.

Section 11.  Governing Law.  This
Note shall be governed by and construed in accordance with the laws of the
State of New York.

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