Exhibit 4.02
CALCULATION AGENCY
AGREEMENT
CALCULATION AGENCY AGREEMENT, dated
as of June 27, 2005 (this “ Agreement ”),
between Lehman Brothers Holdings Inc. (the “ Company
”) and Lehman Brothers International (Europe), as Calculation
Agent.
WHEREAS
, the Company proposes to issue and
sell its Principal Protected USD-Asian Basket FX-Linked Notes (the
“ Notes ”) from time to time;
WHEREAS
, the terms of the Notes are
described in a pricing supplement (in connection with the
performance by the Calculation Agent of its services hereunder with
respect to the Notes, the pricing supplement relating to the Notes
is referred to herein as the “ relevant Pricing
Supplement ”) to the prospectus supplement dated May 18,
2005 and the prospectus dated May 18, 2005;
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 the Notes;
Now
Therefore , the Company and
the Calculation Agent agree as follows:
1.
Appointment of Agent . The Company hereby appoints
Lehman Brothers International (Europe) as Calculation Agent and
Lehman Brothers International (Europe) 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 Repayment
Amount with respect to any series of the Notes, the Calculation
Agent shall determine the Repayment Amount (as set forth below) on
the Valuation Date (as defined below) in accordance with the terms
of the Notes and this Agreement and notify the Trustee of its
determination. In addition, the Calculation Agent shall also
be responsible for determining each of the following items for the
Notes, to the extent applicable:
(a)
whether a Market Disruption Event (as defined below) has
occurred;
(b)
the applicable Valuation Date for any Basket Currency;
and
(c)
any other calculation, determination or adjustment specified as
being made by the Calculation Agent in this Agreement, the relevant
Pricing Supplement or the Notes.
3.
Calculations . Any calculation or determination 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 calculation made by
the Calculation Agent hereunder shall, at the Trustee’s
request, be made available at the Corporate Trust Office. The
procedures the Calculation Agent will use to determine the
information described herein with respect to the Notes is set forth
as follows:
(a)
On the Valuation Date, the Calculation Agent shall calculate the
Repayment Amount for the Notes. The Repayment Amount, for each $1
principal amount of the Notes, is the amount equal to the sum of
(a) $1 plus (b) the Additional Amount.
(i)
The “ Additional Amount ”, for each $1 principal
amount of the Notes, equals the greater of (i) zero and (ii) the
difference between the Final Basket Value minus the Initial Basket
Value.
(ii)
The “ Initial Basket Value ” equals
$1.
(iii)
The “ Final Basket Value ” equals the sum
of:
a.
a quotient, the numerator of which
is 13.4450000 and the denominator of which is the Final Currency
Value for Japanese Yen (“ JPY ”)
plus
b.
a quotient, the numerator of which
is 1.034562500 and the denominator of which is the Final Currency
Value for Chinese Yuan (“ CNY ”)
plus
c.
a quotient, the numerator of which
is 0.20797500 and the denominator of which is the Final Currency
Value for Singaporean Dollar (“ SGD ”)
plus
d.
a quotient, the numerator of which
is 3.91125000 and the denominator of which is the Final Currency
Value for Taiwanese Dollar (“ TWD ”)
plus
e.
a quotient, the numerator of which
is 125.37500 and the denominator of which is the Final Currency
Value for Korean Won (“ KRW ”)
plus
f.
a quotient, the numerator of which
is 5.0837500 and the denominator of which is the Final Currency
Value for Thai Baht (“ THB ”)
plus
g.
a quotient, the numerator of which
is 0.16297500 and the denominator of which is the Final Currency
Value for Australian Dollar (“ AUD ”)
plus
h.
a quotient, the numerator of which
is 1202.250 and the denominator of which is the Final Currency
Value for Indonesian Rupiah (“ IDR
”).
2
(iv)
The “ Final Currency Value ” equals the value of
each Basket Currency represented by the spot exchange rate between
the applicable Basket Currency and the U.S. Dollar expressed as the
amount of Basket Currency per U.S. Dollar for customary settlement
in the interbank market for each Basket Currency on the Valuation
Date, as reported by Reuters on the applicable page, or any
substitute page, and at the approximate time set forth in the
following table:
|
Basket
Currency
|
|
Reuters Page
|
|
Rate
|
|
Applicable
Currency
Business Day
|
|
JPY
|
|
JPNU
|
|
Average of the bid and ask spot
rates reported under the heading “DLR” at 3:00 p.m.,
Tokyo time
|
|
Tokyo
|
|
|
|
|
|
|
|
|
|
CNY
|
|
SAEC
|
|
Daily spot rate reported under the
heading “USDCNY”
|
|
Beijing
|
|
|
|
|
|
|
|
|
|
SGD
|
|
ABSIRFIX01
|
|
Daily spot rate reported under the
heading “SGD”
|
|
Singapore
|
|
|
|
|
|
|
|
|
|
TWD
|
|
TAIFX1
|
|
Reported under the heading
“Spot” as of 11:00 a.m., Taipei time
|
|
Taipei
|
|
|
|
|
|
|
|
|
|
KRW
|
|
KFTC01
|
|
Daily spot rate reported under the
heading “MAR”
|
|
Seoul
|
|
|
|
|
|
|
|
|
|
THB
|
|
ABSIRFIX01
|
|
Daily spot rate reported under the
heading “THB”
|
|
Singapore
|
|
|
|
|
|
|
|
|
|
AUD
|
|
JPNU
|
|
Quotient, the numerator of which is
the average of the bid and ask spot rates reported under the
heading “DLR” at 3:00 p.m., Tokyo time and the
denominator of which is the average of the bid and ask spot rates
reported under the heading “AUD” at 3:00 p.m., Tokyo
time
|
|
Tokyo
|
|
|
|
|
|
|
|
|
|
IDR
|
|
ABSIRFIX01
|
|
Daily spot rate reported under the
heading “IDR”
|
|
Singapore
|
The “ Valuation Date
” is, with respect to any Basket Currency, the latest
Currency Business Day for that Basket Currency that is at least two
Business Days prior to March 27, 2007, subject to postponement in
the event of a Market Disruption Event.
A “ Currency Business
Day ” is, with respect to any Basket Currency, any day,
other than a Saturday or Sunday, that is neither a l
