CALCULATION AGENCY AGREEMENT

                                                                    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