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PRICING SUPPLEMENT NUMBER 21                             Filed Under Rule
(To Prospectus dated October 4, 1993 and                 424(b)(2)
   Prospectus Supplement dated October 4, 1993)          File No. 33-65674

                                  $100,000,000
 
                         LEHMAN BROTHERS HOLDINGS INC.
         FLOATING RATE MEDIUM-TERM NOTES, SERIES E DUE JANUARY 12, 1999
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     Lehman Brothers Inc., as underwriter ("Lehman Brothers"), has agreed to
purchase an aggregate principal amount of $100,000,000 of Constant Maturity
Treasury Floating Rate Medium-Term Notes, Series E (the "CMT Notes") to be
issued in book-entry form on January 12, 1994. The following description of the
particular terms of the CMT Notes supplements, and to the extent inconsistent
with replaces the description of Notes set forth in the Prospectus and the
Prospectus Supplement to which this Pricing Supplement relates.
 
     The CMT Notes will bear interest at a rate equal to the CMT Rate (as
hereinafter described) plus 0.15% from January 12, 1994 or from the most recent
interest payment date to which interest has been paid or provided for, payable
quarterly on January 12, April 12, July 12 and October 12 of each year and at
the Maturity Date (as hereinafter defined), commencing April 12, 1994 to January
12, 1999 (the "Maturity Date"). The Initial Interest Rate is 4.43% and the
interest rate will reset on January 12, April 12, July 12 and October 12 of each
year, commencing April 12, 1994 (each a "Reset Date"). The initial Interest
Determination Date for the Initial Interest Rate is January 4, 1994. The
interest factor used to calculate accrued interest from the Issue Date or from
and excluding the last date to which interest has been paid, as the case may be,
is calculated on the basis of a 365-day year and the actual number of days
elapsed during the applicable period for which interest is calculated.
 
     The Constant Maturity Treasury Rate (the "CMT Rate") for a Reset Date is
the rate displayed on Telerate Page 7059 (as hereinafter defined) for "Daily
Treasury Constant Maturities and Money Markets...Federal Reserve Board Release
H.15...Mondays approximately 3:45 p.m. EDT," under the heading "2 Year" for the
last Business Day in the "Current Week" section as of the applicable CMT
Interest Determination Date (as hereinafter defined) or such other page as may
replace that page on such service for the purpose of displaying rates or prices
comparable to the CMT Rate, as determined by Lehman Brothers Special Financing
Inc. (the "Calculation Agent"). If the CMT Rate is no longer so displayed on a
CMT Interest Determination Date, then the CMT Rate for the applicable Reset Date
will be determined to be the 2-year Constant Maturity Treasury rate (or such
other 2-year United States Treasury rate) on the CMT Interest Determination Date
with respect to such Reset Date as may then be published by either the Board of
Governors of the Federal Reserve System or the United States Department of the
Treasury which the Calculation Agent determines to be comparable to the rate
formerly displayed on Telerate Page 7059 and published in H.15(519). If no such
comparable information is available, then the CMT Rate for the Reset Date will
be determined by the Calculation Agent and will be a yield to maturity based on
the arithmetic mean of the secondary market closing bid side prices (as of
approximately 3:30 p.m. New York City time on the CMT Interest Determination
Date) reported, according to the written records, by three leading United States
primary government securities dealers (each, a "Reference Dealer") in The City
of New York (from five such Reference Dealers selected by the Calculation Agent
and eliminating the highest quotation (or, in the event of equality, one of the
highest) and the lowest quotation (or in the event of equality, one of the
lowest)), for the most recently issued direct noncallable fixed rate obligations
of the United States with an original maturity of two years; provided, however,
in the event three or four (and not five) of such Reference Dealers are so
quoting, then the CMT Rate will be based on the arithmetic mean of all the bid
prices obtained. In the event that fewer than three Reference Dealers selected
by the Calculation Agent are so quoting, the CMT Rate will be the CMT Rate in
effect on the immediately preceding Reset Date.
 
     The term "Telerate Page 7059" means the display designated as page "7059"
on the Telerate Service, or such other page as may replace the 7059 page on that
service or such other service or services as may be nominated by the Board of
Governors of the Federal Reserve System or the United States Department of the
Treasury for the purpose of displaying the "Daily Treasury Constant Maturities".
 
     The term "CMT Interest Determination Date" shall mean the day that is two
(2) Business Days prior to the Reset Date.
 
     The CMT Notes will be purchased by Lehman Brothers at 99.50% of their
principal amount constituting a discount of 0.50% and will be reoffered to the
public initially at par and may thereafter offer the CMT Notes at varying prices
to be determined from time to time. The net proceeds to the Company are
$99,500,000, and the total underwriting discount is $500,000. The CMT Notes are
not subject to redemption or repayment prior to the Maturity Date and are not
subject to any sinking fund.
 
     The Company has been advised that Lehman Brothers proposes to offer the CMT
Notes to certain dealers at par less a concession not in excess of .30% of the
principal amount. Lehman Brothers may allow and such dealers may reallow a
concession not in excess of .25% of the principal amount to certain other
dealers. After the initial public offering, the public offering price and such
concessions may be changed.
 
                                LEHMAN BROTHERS
January 4, 1994
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     No dealer, salesman or other person has been authorized to give any
information or to make any representations other than those contained in this
Pricing Supplement and the accompanying Prospectus and Prospectus Supplement
and, if given or made, such information or representations must not be relied
upon as having been authorized. Neither the delivery of this Pricing Supplement
and the accompanying Prospectus and Prospectus Supplement nor any sale made
hereunder or thereunder shall under any circumstances create an implication that
there has been no change in the affairs of the Company since the date hereof.
Neither this Pricing Supplement nor the accompanying Prospectus and Prospectus
Supplement constitutes an offer or solicitation by anyone in any jurisdiction in
which such offer or solicitation is not authorized or in which the person making
such offer or solicitation is not qualified to do so or to anyone to whom it is
unlawful to make such offer or solicitation.
 
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                                  $100,000,000
 
                                LEHMAN BROTHERS
                                 HOLDINGS INC.
                           Floating Rate Medium-Term
                                Notes, Series E
                              Due January 12, 1999
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                               PRICING SUPPLEMENT
                                     Dated
                                January 4, 1994
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                                LEHMAN BROTHERS
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