424B5 1 file001.htm DEFINITIVE MATERIALS

PRICING SUPPLEMENT No. 2 Filed Pursuant to Rule 424(b)(5)
to Prospectus Supplement dated May 18, 2005 Registration No. 333-121067
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

$10,000,000
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES H
0.25% Notes Due June 29, 2012
Performance Linked to the Common Stock of International Paper Company (IP)

Because these notes are part of a series of Lehman Brothers Holdings' debt
securities called Medium-Term Notes, Series H, this pricing supplement and the
accompanying prospectus supplement, dated May 18, 2005 (the "synthetic
convertible prospectus supplement") should also be read with the accompanying
prospectus supplement, dated May 18, 2005 (the "MTN prospectus supplement") and
the accompanying prospectus dated May 18, 2005 (the "base prospectus"). Terms
used here have the meanings given them in the synthetic convertible prospectus
supplement, the MTN prospectus supplement or the base prospectus, unless the
context requires otherwise.

o REFERENCE EQUITY: The common stock of International Paper Company ("IP").
IP is not involved in this offering and has no obligation with respect to
the notes.

o STATED MATURITY DATE: June 29, 2012, subject to postponement if a market
disruption event occurs on the valuation date.

o INTEREST RATE: 0.25% per annum.

o INTEREST PAYMENT DATES: June 29 and December 29 of each year, beginning on
December 29, 2005.

o INTEREST PAYMENT RECORD DATES: 15 calendar days prior to each interest
payment date.

o THRESHOLD VALUE: $36.23112, which represents approximately 107.01% of
$33.8577, which is the average execution price per share of common stock of
IP that an affiliate of Lehman Brothers Holdings has paid to hedge Lehman
Brothers Holdings' obligations under the notes.

o EARLIEST REDEMPTION DATE: June 22, 2008.

o REDEMPTION NOTICE PERIOD: 30 calendar days.

o OPTIONAL REPURCHASE NOTICE PERIOD: Eight business days.

o DETERMINATION PERIOD: Three business days.

o MULTIPLIER: The initial multiplier for the shares of common stock of IP is
1.0. The multiplier is subject to adjustment under various circumstances,
as described under the caption "Description of the Notes--Adjustments to
multipliers and to securities included in the calculation of the settlement
value" on page SS-16 of the synthetic convertible prospectus supplement,
including if IP pays a quarterly dividend of more or less than the base
dividend of $0.25 per share on its shares of common stock. If IP fails to
declare or make a quarterly dividend payment, the effective adjustment date
for adjusting the multiplier will be the first business day immediately
following the 3rd day of each of January, April, July or October and the
valuation date, as applicable.

o STOCK SETTLEMENT: Yes, upon exercise by the holder of the repurchase option
and at the option of Lehman Brothers Holdings at maturity, all as described
under the caption "Description of the Notes--Stock settlement" on page
SS-21 of the synthetic convertible prospectus supplement.

o LISTING: The notes will not be listed on any exchange.

Investing in the notes involves risks. Risk Factors begin on page SS-7 of the
synthetic convertible prospectus supplement.

Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined if this
pricing supplement, any accompanying prospectus supplement or any accompanying
prospectus is truthful or complete. Any representation to the contrary is a
criminal offense.

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Per Note Total
----------- -----------
Public offering price.............................. 100.00% $10,000,000
Underwriting discount.............................. 0.25% $25,000
Proceeds to Lehman Brothers Holdings............... 99.75% $9,975,000

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Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $1,500,000
aggregate principal amount of notes on the same terms and conditions set forth
above solely to cover over-allotments, if any.

The notes are expected to be ready for delivery in book-entry form only through
The Depository Trust Company on or about June 29, 2005.

----------------------

LEHMAN BROTHERS
June 22, 2005

EXAMPLES OF AMOUNT PAYABLE AT MATURITY OR UPON REDEMPTION OR REPURCHASE

Here are two examples of hypothetical alternative redemption amount
calculations. In each of these examples it is assumed that IP does not change
the amount of the quarterly dividends that it pays on its shares of common stock
during the term of the notes.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $25.00:

Alternative redemption amount per $1,000 note =

$25.00
$1,000 x --------------- = $690.01
$36.23112

As a result, on the maturity date or upon redemption, you would receive $1,000
per $1,000 note because $1,000 is greater than $690.01.

In the case of stock settlement in this example, you would receive, for each
$1,000 note, 40 shares of common stock of IP at maturity, or 27 shares of common
stock of IP plus $15.01 in cash upon repurchase.

EXAMPLE 2. ASSUMING THE SETTLEMENT VALUE IS $45.00:

Alternative redemption amount per $1,000 note =

$45.00
$1,000 x --------------- = $1,242.03
$36.23112

As a result, on the maturity date or upon redemption, you would receive
$1,242.03 per $1,000 note because $1,242.03 is greater than $1,000.

In the case of stock settlement in this example, you would receive, for each
$1,000 note, 27 shares of common stock of IP plus $27.03 in cash at maturity or
upon repurchase.

To the extent the actual settlement value differs from the levels assumed above
or that IP changes the amount of the dividends it pays, the results indicated
above would be different.

PS-2

THE INDEX STOCK

INTERNATIONAL PAPER COMPANY

Lehman Brothers Holdings has obtained the following information regarding
International Paper Company from International Paper Company's reports filed
with the SEC.

International Paper Company is a global forest products, paper and packaging
company that is complemented by an extensive North American merchant
distribution system, with primary markets and manufacturing operation in the
United States, Europe, the Pacific Rim and South America. The company began in
1898 and was incorporated in 1941 in New York.

The business is separated into six segments: Printing Papers, Industrial and
Consumer Packaging, Distribution, Forest Products, Carter Holt Harvey and
Arizona Chemical.

o PRINTING PAPERS. In this segment, the company produces uncoated and coated
papers, market pulp and bristols.

o INDUSTRIAL AND CONSUMER PACKAGING.

o INDUSTRIAL PACKAGING. In this segment, the company produces
containerboard, both specialty grades and corrugated boxes and other
packaging.

o CONSUMER PACKAGING. In this segment, the company produces solid
bleached sulfate packaging board.

o DISTRIBUTION. In this segment, through xpedx, the company's North American
merchant distribution business, the company services the commercial
printing market.

o FOREST PRODUCTS.

o FOREST RESOURCES. In this segment, the company owns or manages
approximately 6.8 million acres of forestlands in the United States.

o WOOD PRODUCTS. In this segment, the company produces lumber, plywood,
engineered wood products and utility poles.

o CARTER HOLT HARVEY. In this segment, the company owns 50.5% of Carter Holt
Harvey, a large forest products company with operations in New Zealand,
Australia and Asia.

o ARIZONA CHEMICAL. In this segment, the company produces oleo chemicals and
specialty resins based on crude tall oil, byproducts of the wood pulping
process.

The index stock is registered under the Securities Exchange Act of 1934.
Companies with securities registered under that Act are required to file
periodically certain financial and other information specified by the SEC.
Information provided to or filed with the SEC can be inspected and copied at the
public reference facilities maintained by the SEC or through the SEC's website
described under "Where You Can Find More Information" on page 58 of the
accompanying base prospectus. In addition, information regarding the index stock
issuer may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

HISTORICAL INFORMATION ABOUT THE SHARES OF COMMON STOCK OF IP

The shares of common stock of IP are quoted on The New York Stock Exchange under
the symbol "IP."

The following table presents the high and low closing prices for the shares of
common stock of IP, as reported on The New York Stock Exchange during each
fiscal quarter in 2002, 2003, 2004 and 2005 (through the date of this pricing
supplement), and the closing price at the end of each quarter in 2002, 2003,
2004 and 2005 (through the date of this pricing supplement).

It is impossible to predict whether the price of the index stock will rise or
fall. The historical prices of the index stock are not indications of future
performance. Lehman Brothers Holdings cannot assure you that the prices of the
index stock will not fall below the threshold value or will increase enough so
that the alternative redemption amount will be greater than or equal to $1,000.
The historical prices below have been adjusted to reflect any stock splits or
reverse stock splits.

All information in the table that follows was obtained from Bloomberg L.P.,
without independent verification.

PS-3

HIGH LOW PERIOD END
--------- --------- -----------
2002
First Quarter ........................... $46.05 $38.22 $43.01
Second Quarter .......................... 44.99 39.15 43.58
Third Quarter ........................... 43.90 31.94 33.39
Fourth Quarter .......................... 39.25 31.45 34.97

2003
First Quarter ........................... $38.40 $33.59 $33.80
Second Quarter .......................... 38.90 33.44 35.73
Third Quarter ........................... 41.44 36.07 39.02
Fourth Quarter .......................... 43.12 36.86 43.11

2004
First Quarter ........................... $44.98 $39.96 $42.26
Second Quarter .......................... 44.70 38.41 44.70
Third Quarter ........................... 44.01 38.60 40.41
Fourth Quarter .......................... 42.40 37.80 42.00

2005
First Quarter ........................... $42.01 $35.74 $36.79
Second Quarter (through the date of
this pricing supplement) .............. 37.62 31.65 33.63

PS-4

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical settlement values
calculated on the valuation date:

o the hypothetical alternative redemption amount per $1,000 note;

o the percentage change from the principal amount to the hypothetical
alternative redemption amount;

o the hypothetical total amount payable at stated maturity per $1,000 note;

o the hypothetical total rate of return;

o the hypothetical annualized pre-tax rate of return;

o the hypothetical total rate of return; and

o the hypothetical annualized pre-tax rate of return.

<TABLE>

PERCENTAGE
CHANGE OF
HYPOTHETICAL HYPOTHETICAL
HYPOTHETICAL ALTERNATIVE TOTAL AMOUNT HYPOTHETICAL HYPOTHETICAL
HYPOTHETICAL ALTERNATIVE REDEMPTION PAYABLE AT ANNUALIZED ANNUALIZED
SETTLEMENT REDEMPTION AMOUNT OVER STATED HYPOTHETICAL PRE-TAX HYPOTHETICAL PRE-TAX
LEVEL ON THE AMOUNT PER THE PRINCIPAL MATURITY PER TOTAL RATE RATE OF TOTAL RATE RATE OF
VALUATION DATE $1,000 NOTE AMOUNT $1,000 NOTE OF RETURN RETURN OF RETURN RETURN
--------------- ----------- ------------- ------------ ------------ ------------ ------------- -------------

$15.00 $414.01 -58.60% $1,000.00 0.00% 0.00% 1.75% 0.25%
20.00 552.01 -44.80 1,000.00 0.00 0.00 1.75 0.25
25.00 690.01 -31.00 1,000.00 0.00 0.00 1.75 0.25
30.00 828.02 -17.20 1,000.00 0.00 0.00 1.75 0.25
36.23112 1,000.00 0.00 1,000.00 0.00 0.00 1.75 0.25
40.00 1,104.02 10.40 1,104.02 10.40 1.42 12.15 1.65
45.00 1,242.03 24.20 1,242.03 24.20 3.14 25.95 3.35
50.00 1,380.03 38.00 1,380.03 38.00 4.71 39.75 4.90
</TABLE>

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For purposes of this table, it is assumed that IP does not change the amount of
the quarterly dividends that it pays on its shares of common stock during the
term of the notes.

The above figures are for purposes of illustration only. The actual amount
received by investors and the resulting total and pre-tax rates of return will
depend entirely on the actual settlement value determined by the calculation
agent. In particular, the actual settlement value could be lower or higher than
those reflected in the table.

The table above only provides hypothetical return information with regard to
notes held to maturity. It is not applicable in the case of notes repurchased or
redeemed prior to the stated maturity date.

You should compare the features of the notes to other available investments
before deciding to purchase the notes. Due to the uncertainty as to whether the
alternative redemption amount, at stated maturity or in connection with a
repurchase or redemption, will be greater than $1,000 per $1,000 note or whether
the notes will be redeemed prior to the stated maturity date, the return on
investment with respect to the notes may be higher or lower than the return
available on other securities issued by Lehman Brothers Holdings or by others
and available through Lehman Brothers Inc. You should reach an investment
decision only after carefully considering the suitability of the notes in light
of your particular circumstances.

PS-5

SUPPLEMENTAL UNITED STATES FEDERAL INCOME TAX CONSEQUENCES

Lehman Brothers Holdings is required to provide the comparable yield to you and,
solely for tax purposes, is also required to provide a projected payment
schedule that includes the actual interest payments on the notes and estimates
the amount and timing of contingent payments on the notes. Lehman Brothers
Holdings has determined that the comparable yield is an annual rate of 4.435%
compounded semi-annually. Based on the comparable yield, the projected payment
schedule per $1,000 note is $1.25 semi-annually and $1,340.36 due at maturity.
Lehman Brothers Holdings agrees and, by purchasing a note, you agree, for United
States federal income tax purposes, to be bound by Lehman Brothers Holdings'
determination of the comparable yield and projected payment schedule. As a
consequence, for United States federal income tax purposes, you must use the
comparable yield determined by Lehman Brothers Holdings and the projected
payments set forth in the projected payment schedule prepared by Lehman Brothers
Holdings in determining your interest accruals, and the adjustments thereto, in
respect of the notes.

Because there is no statutory, judicial, or administrative authority directly
addressing the characterization of notes with terms such as the notes for United
States federal income tax purposes, it is possible that the Internal Revenue
Service could assert characterizations other than those described in the
accompanying synthetic convertible prospectus supplement that could affect the
timing, amount and character of income, gain, loss or deduction. You should
consult your own tax advisors concerning the federal income tax consequences of
the notes in light of your particular situation. See "United States Federal
Income Tax Consequences" in the accompanying synthetic convertible prospectus
supplement.

SUPPLEMENTAL PLAN OF DISTRIBUTION

Lehman Brothers Holdings has agreed to sell to Lehman Brothers Inc. and Lehman
Brothers Inc. has agreed to purchase, all of the notes at the price indicated on
the cover of this pricing supplement.

Lehman Brothers Holdings has agreed to indemnify Lehman Brothers Inc. against
liabilities, including liabilities under the Securities Act of 1933, as amended,
or to contribute to payments that Lehman Brothers Inc. may be required to make
relating to these liabilities as described in the MTN prospectus supplement and
the base prospectus.

Lehman Brothers Inc. will offer the notes initially at a public offering price
equal to the issue price set forth on the cover of this pricing supplement.
After the initial public offering, the public offering price may from time to
time be varied by Lehman Brothers Inc.

Lehman Brothers Holdings has granted to Lehman Brothers Inc. an option to
purchase, at any time within 13 days of the original issuance of the notes, up
to $1,500,000 additional aggregate principal amount of notes solely to cover
over-allotments. To the extent that the option is exercised, Lehman Brothers
Inc. will be committed, subject to certain conditions, to purchase the
additional notes. If this option is exercised in full, the total public offering
price, the underwriting discount and proceeds to Lehman Brothers Holdings would
be $11,500,000, $28,750 and $11,471,250, respectively.

Lehman Brothers Holdings expects to deliver the notes against payment on or
about June 29, 2005, which is the fifth business day following the date of this
pricing supplement.

Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally
are required to settle in three business days, unless the parties to any such
trade expressly agree otherwise. Accordingly, if any purchaser wishes to trade
the notes on the date of this pricing supplement, it will be required, by virtue
of the fact that the notes initially will settle on the fifth business day
following the date of this pricing supplement, to specify an alternate
settlement cycle at the time of any such trade to prevent a failed settlement.

An affiliate of Lehman Brothers Holdings has entered into a swap transaction in
connection with the notes and has received customary compensation for that
transaction.

PS-6

$10,000,000

LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES H

0.25% NOTES DUE JUNE 29, 2012
PERFORMANCE LINKED TO THE
COMMON STOCK OF INTERNATIONAL PAPER COMPANY (IP)

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PRICING SUPPLEMENT
JUNE 22, 2005

(INCLUDING PROSPECTUS SUPPLEMENT
DATED MAY 18, 2005,

PROSPECTUS SUPPLEMENT
DATED MAY 18, 2005 AND

PROSPECTUS
DATED MAY 18, 2005)

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LEHMAN BROTHERS