Exhibit 23.03

                         Consent of Independent Auditors

We consent to the reference to our firm as experts under the caption "Experts"
in this Registration Statement on Form S-3 and related Prospectuses of Lehman
Brothers Holdings Inc. (the "Company") and Lehman Brothers Holdings Capital
Trust III, Lehman Brothers Holdings Capital Trust IV, Lehman Brothers Holdings
Capital Trust V, and Lehman Brothers Holdings Capital Trust VI (collectively,
the "LBH Trusts") for the registration of $25,000,000,000 of Common Stock of the
Company, Debt Securities of the Company, Preferred Stock of the Company,
Depositary Shares of the Company, Preferred Securities of the LBH Trusts, and
Guarantees of Preferred Securities of the LBH Trusts and certain back-up
obligations, and to the incorporation by reference therein of our report dated
January 4, 2001 with respect to the consolidated financial statements and
financial statement schedule of the Company included in its Annual Report on
Form 10-K for the year ended November 30, 2000, filed with the Securities and
Exchange Commission.


                                                /s/ Ernst & Young LLP
                                                ERNST & YOUNG LLP

New York, New York
May 8, 2001