Exhibit 4.02
CALCULATION AGENCY AGREEMENT
CALCULATION AGENCY AGREEMENT, dated
as of August 31, 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 125% times 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 7.8570 and the denominator of which is the Final Currency Value
for Indian Rupee (“ INR ”)
plus
b.
a quotient, the numerator of which
is 19.8000 and the denominator of which is the Final Currency Value
for Japanese Yen (“ JPY ”)
plus
c.
a quotient, the numerator of which
is 185.1300 and the denominator of which is the Final Currency
Value for Korean Won (“ KRW ”)
plus
d.
a quotient, the numerator of which
is 7.3746 and the denominator of which is the Final Currency Value
for Thai Baht (“ TWD ”) plus
e.
a quotient, the numerator of which
is 5.7852 and the denominator of which is the Final Currency Value
for Taiwanese Dollar (“ TWD ”)
plus
f.
a quotient, the numerator of which
is 0.810120 and the denominator of which is the Final Currency
Value for Chinese Yuan (“ CNY ”).
(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:
2
|
Basket
Currency
|
|
Reuters Page
|
|
Rate
|
|
Applicable
Currency
Business Day
|
|
INR
|
|
RBIB
|
|
Daily spot rate reported as
Reference Rate 1USD = RS
|
|
Bombay
|
|
JPY
|
|
JPNU
|
|
Average of the bid and ask spot
rates reported under the heading “DLR” at
3:00 p.m., Tokyo time
|
|
Tokyo
|
|
KRW
|
|
KFTC01
|
|
Daily spot rate reported under the
heading “MAR”
|
|
Seoul
|
|
THB
|
|
ABSIRFIX01
|
|
Daily spot rate reported under the
heading “THB”
|
|
Singapore
|
|
TWD
|
|
TAIFX1
|
|
Reported under the heading
“Spot” as of 11:00 a.m., Taipei time
|
|
Taipei
|
|
CNY
|
|
SAEC
|
|
Daily spot rate reported under the
heading “USDCNY”
|
|
Beijing
|
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 August 31, 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 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 listed above under “Applicable
Currency Business Day” for that Basket Currency.
A “ Business Day
”, notwithstanding any provision in the Indenture, is any day
that is not is no
