CALCULATION AGENCY AGREEMENT


                  CALCULATION AGENCY AGREEMENT, dated as of March 10, 2006 (the
"Agreement"), between Lehman Brothers Holdings Inc. (the "Company") and Lehman
Brothers Inc., as Calculation Agent.

                  WHEREAS, the Company has authorized the issuance of up to
$3,041,750 aggregate principal amount of Limited Principal Protection Notes Due
March 10, 2009, Linked to a Basket of Four Stock Indices (the "Securities")*;

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

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

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

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

                  2. Calculations and Information Provided. In response to a
request made by the Trustee for a determination of the Maturity Payment Amount
due on the Stated Maturity Date of the Securities, the Calculation Agent shall
determine such Maturity Payment Amount and notify the Trustee of its
determination. The Calculation Agent shall also determine (a) the Successor
Index if publication of a Component Index is discontinued, (b) the Multiplier
and Weight of each remaining Component Index if no Successor Index is available
or if the publisher of such Component Index or Successor Index, as the case may
be, fails to calculate and publish a Closing Index Level on any date, (c)
adjustments to a Component Index, the Successor Index or the Closing Index Level
thereof if the method of calculating any of these items changes in a


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



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material respect or if a Component Index or Successor Index is in any other way
modified so that it does not, in the opinion of the Calculation Agent, fairly
represent the level of such Component Index, or Successor Index, as the case may
be, had such changes or modifications not been made, (d) adjustments to the
Threshold Level, if required in order to reflect adjustments made in a Component
Index or Successor Index and (e) whether a Market Disruption Event has occurred.
The Calculation Agent shall notify the Trustee of all such adjustments or any
such Successor Index, or if a Market Disruption Event has occurred. Annex A
hereto sets forth the procedures the Calculation Agent will use to determine the
information described in this Section 2.

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

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

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

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

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

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

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

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

                  6. Resignation; Removal; Successor. (a) The Calculation Agent
may at any time resign by giving written notice to the Company of such intention
on its part, specifying the date on which its desired resignation shall become
effective, subject to the appointment of a successor Calculation



                                                                               3


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.

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

                  8. Indemnification. The Company will indemnify the Calculation
Agent against any losses or liability which it may incur or sustain in
connection with its appointment or




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the exercise of its powers and duties hereunder except such as may result from
the gross negligence or willful misconduct of the Calculation Agent or any of
its agents or employees. The Calculation Agent shall incur no liability and
shall be indemnified and held harmless by the Company for, or in respect of, any
action taken or suffered to be taken in good faith by the Calculation Agent in
reliance upon written instructions from the Company.

                  9. Notices. Any notice required to be given hereunder shall be
delivered in person, sent (unless otherwise specified in this Agreement) by
letter, telex or facsimile transmission or communicated by telephone (confirmed
in a writing dispatched within two Business Days), (a) in the case of the
Company, to it at 745 Seventh Avenue, New York, New York 10019 (facsimile: (646)
758-3204) (telephone: (212) 526-7000), Attention: Treasurer, with a copy to 1301
Avenue of the Americas, New York, New York 10019 (facsimile: (212) 526-0357)
(telephone: (212) 526-7000), Attention: Corporate Secretary, (b) in the case of
the Calculation Agent, to it at 745 Seventh Avenue, New York, New York 10019
(facsimile: (646) 758-4942) (telephone: (212) 526-7000), Attention: Equity
Derivatives Trading and (c) in the case of the Trustee, to it at 388 Greenwich
Street, 14th Floor, New York, New York 10013 (facsimile: (212) 816-5527)
(telephone: (212) 816-5773), Attention: Agency and Trust, or in any case, to any
other address or number of which the party receiving notice shall have notified
the party giving such notice in writing. Any notice hereunder given by telex,
facsimile or letter shall be deemed to be served when in the ordinary course of
transmission or post, as the case may be, it would be received.

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

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

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




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

                                             LEHMAN BROTHERS HOLDINGS INC.

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


                                             LEHMAN BROTHERS INC.,
                                               as Calculation Agent

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








                                     ANNEX A
                                     -------

         1. The Basket and the Component Indices.

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

         2. Determination of the Maturity Payment Amount.

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

            The Maturity Payment Amount shall be the following:

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

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

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

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

         3. Discontinuance of the Index.

         (a) If a publisher of a Component Index discontinues publication of
such Component Index and such publisher or another entity publishes a successor
or substitute index (a "Successor Index") that the Calculation Agent determines,
in its sole discretion exercised in good faith, to be comparable to the
discontinued Component Index, then the Calculation Agent shall determine each
subsequent Closing Basket Value to be used in computing the Maturity Payment
Amount by reference to the Closing Index Level of such Successor Index on the
applicable date.

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

         (c) If a publisher of a Component Index discontinues publication of
such Component Index and the Calculation Agent determines that no Successor
Index is available at such time, or if such publisher (or the publisher of any
Successor Index to such Component Index) fails to calculate and publish a
Closing Index Level for such Component Index (or a Successor Index) on






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

         4. Alteration of Method of Calculation.

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

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

         5. Definitions.

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

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

            "AMEX" shall mean the American Stock Exchange LLC.

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

            "Business Day", notwithstanding any provision in the Indenture,
shall mean any day that is not a Saturday, a Sunday or a day on which the NYSE,
Nasdaq or AMEX is not open for trading or banking institutions or trust
companies in the City of New York are authorized or obligated by law or
executive order to close.



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            "Calculation Agent" shall mean the person that has entered into an
agreement with the Company providing for, among other things, the determination
of the Maturity Payment Amount, which term shall, unless the context otherwise
requires, include its successors and assigns. The initial Calculation Agent
shall be Lehman Brothers Inc.

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

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

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

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

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

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

            "Final Basket Return" shall equal the following:

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

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

            "Initial Basket Level" shall equal 1000.

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

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

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




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

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

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

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

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

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

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




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

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

                    The Dow Jones EURO STOXX 50 Index                   0.088113
                    The FTSE 100 Index                                  0.054632
                    The Nikkei 225 Index                                0.015897
                    The S&P/ASX 200 Index                               0.020493

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

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

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

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

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

            "Stated Maturity Date" shall mean March 10, 2009 (or if March 10,
2009 is not a Business Day, on the next Business Day); provided, that if the
Valuation Date is postponed, the Stated Maturity Date shall be the third
Business Day following the date that the Final Basket Level on the postponed
Valuation Date is determined.

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

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

            "Upside Participation Rate" shall mean 130%.

            "Valuation Date" shall mean March 5, 2009; provided, that if such
day is not a Measurement Day with respect to a Component Index or a Successor
Index or if a Market Disruption Event occurs with respect to a Component Index
or a Successor Index on such day, then: (1) with respect to each Component Index
and Successor Index for which such day is a Measurement Day and for which a
Market Disruption event has not occurred, such day shall be the date on which
the Calculation Agent determines the Closing Index Level of such Component Index
or Successor Index for use in calculating the Final Basket Level; (2) with
respect to each Component Index and Successor Index for which such day is not a
Measurement Day or for




                                                                               6


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

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

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

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

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