-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PZgWk4JZDTB24z9JL59QLb+mDOgK0Mw2TJd4ZRgo2DXWXQXTluvYA3zNRs5J2cUk FuuwoAp59+hBJaPfAU8dwA== 0000950136-05-004177.txt : 20050718 0000950136-05-004177.hdr.sgml : 20050718 20050718172122 ACCESSION NUMBER: 0000950136-05-004177 CONFORMED SUBMISSION TYPE: 424B5 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20050718 DATE AS OF CHANGE: 20050718 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: 424B5 SEC ACT: 1933 Act SEC FILE NUMBER: 333-121067 FILM NUMBER: 05960087 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 424B5 1 file001.htm FORM 424B5

Filed Pursuant to Rule 424(b)(5)
Registration No. 333-121067

PRICING SUPPLEMENT No. 3
to Prospectus Supplement dated May 18, 2005
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

$15,300,000
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES H
1.00% Notes Due July 21, 2009
Performance Linked to a Basket of Ten Stocks

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: An equal-dollar weighted basket of common stocks of the
following ten companies: The Allstate Corporation, Applied Materials, Inc.,
Bed Bath & Beyond Inc., Dell Inc., Dow Jones & Company, Inc., Freddie Mac,
Microsoft Corporation, Pfizer Inc., Phelps Dodge Corporation and Wal-Mart
Stores, Inc. These companies are not involved in this offering and have no
obligation with respect to the notes.

o STATED MATURITY DATE: July 21, 2009, subject to postponement if a market
disruption event occurs on the valuation date.

o INTEREST RATE: 1.00% per annum.

o INTEREST PAYMENT DATES: January 21 and July 21 of each year, beginning on
January 21, 2006.

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

o THRESHOLD VALUE: $108.75, which represents 108.75% of $100.00. $100.00 is the
initial level of the basket.

o EARLIEST REDEMPTION DATE: July 14, 2008.

o REDEMPTION NOTICE PERIOD: 30 calendar days.

o OPTIONAL REPURCHASE NOTICE PERIOD: Eight business days.

o DETERMINATION PERIOD: Five business days.

o MULTIPLIERS: The initial multiplier is 0.16231 for the Allstate common stock,
0.57803 for the Applied Materials common stock, 0.22477 for the Bed Bath &
Beyond common stock, 0.24631 for the Dell common stock, 0.27196 for the Dow
Jones common stock, 0.15053 for the Freddie Mac common stock, 0.38521 for the
Microsoft common stock, 0.36390 for the Pfizer common stock, 0.10051 for the
Phelps Dodge common stock and 0.19849 for the Wal-Mart common stock. The
multipliers are subject to adjustment under various circumstances, as
described under the caption "Description of the Notes--Adjustments to
multipliers and securities included in the calculation of the settlement
value" on page SS-16 of the synthetic convertible prospectus supplement. See
also "Initial Multipliers; Base Dividends and Adjustments to the Multipliers"
on page PS-2 of this pricing supplement.

o STOCK SETTLEMENT: None.

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

Investing in the notes involves risks. Risk Factors begin on pages PS-2 of this
pricing supplement and 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.
----------------------
Per Note Total
-------- -----------
Public offering price............................... 100.00% $15,300,000
Underwriting discount............................... 0.25% $38,250
Proceeds to Lehman Brothers Holdings................ 99.75% $15,261,750

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

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $2,295,000
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 July 21, 2005.

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

LEHMAN BROTHERS
July 14, 2005

ADDITIONAL RISK FACTOR

CHANGES IN THE VALUE OF ONE OR MORE OF THE COMMON STOCKS COMPRISING THE BASKET
MAY OFFSET EACH OTHER.

Price movements in the common stocks comprising the basket may not correlate
with each other. At a time when the value of one or more of the common stocks
included in the basket increases, the value of one or more of the other common
stocks included in the basket may not increase as much or may even decline in
value. Therefore, in calculating the closing level of the basket on the
valuation date, increases in the value of one or more of the common stocks
included in the basket may be moderated, or wholly offset, by lesser increases
or declines in the value of one or more of the other common stocks included in
the basket. You can review the historical prices of each of the common stocks in
the basket for each fiscal quarter in the period from January 1, 2002 through
July 14, 2005 in this pricing supplement under "The Basket--Historical
information about the common stocks included in the basket." It is impossible to
predict the future performance of any of the common stocks comprising the basket
or of the basket as a whole, or whether increases in the prices of any of the
common stocks comprising the basket will be offset by decreases in the prices of
other common stocks comprising the basket, based on historical performance. In
addition, there can be no assurance that the closing level of the basket will be
higher than the initial level of the basket so that you will receive at maturity
an amount in excess of the price at which the notes are initially being sold to
the public.

INITIAL MULTIPLIERS; ADJUSTMENTS TO THE MULTIPLIERS; BASE DIVIDENDS

The initial multiplier is 0.16231 for the Allstate common stock, 0.57803 for the
Applied Materials common stock, 0.22477 for the Bed Bath & Beyond common stock,
0.24631 for the Dell common stock, 0.27196 for the Dow Jones common stock,
0.15053 for the Freddie Mac common stock, 0.38521 for the Microsoft common
stock, 0.36390 for the Pfizer common stock, 0.10051 for the Phelps Dodge common
stock and 0.19849 for the Wal-Mart common stock.

The multipliers are subject to adjustment under certain circumstances, including
if, during the period from the date of this pricing supplement to the valuation
date, holders of record of shares of common stock of any of the ten companies
whose common stock is included in the basket are entitled to receive a cash
dividend (other than an extraordinary dividend) from such company and the amount
of such dividend is more or less than the "base dividend" specified below. See
"Description of the Notes--Adjustments to multipliers and securities included in
the calculation of the settlement value" on page SS-16 of the synthetic
convertible prospectus supplement.

The "base dividend" shall be $0.320 for the Allstate common stock, $0.030 for
Applied Materials, $0.00 for Bed Bath & Beyond, $0.00 for Dell, $0.250 for Dow
Jones, $0.350 for Freddie Mac, $0.080 for Microsoft, $0.190 for Pfizer, $0. 375
for Phelps Dodge and $0.150 for Wal-Mart, the amount of the respective dividend
per share of common stock most recently paid by such company prior to the date
of this pricing supplement, subject to adjustment in the event of certain events
affecting the applicable shares of common stock of any such company, such as
share splits, reverse share splits or reclassifications, as determined by the
calculation agent, in its good faith judgment.

If the calculation agent determines in its sole and absolute discretion that any
such company has failed to declare or make a dividend payment, the effective
adjustment date for adjusting the applicable multiplier will be (a) in the case
of the Allstate common stock, the first business day immediately following the
11th day of each January, April, July or October and the valuation date, as
applicable, (b) in the case of Applied Materials common stock, the first
business day immediately following the 1st day of each January, April, July or
October and the valuation date, as applicable, (c) in the case of the Dow Jones
common stock, the first business day immediately following the 13th day of each
March, June, September or December and the valuation date, as applicable, (d) in
the case of the Freddie Mac common stock, the first business day immediately
following the 25th day of each January, April, July or October and the valuation
date, as applicable, (e) in the case of the Microsoft common stock, the first
business day immediately following the 1st day of each January, April, July or
October and the valuation date, as applicable, (f) in the case of the Pfizer
common stock, the first business day immediately following the 26th day of each
March, June, September and December and the valuation date, as applicable, (g)
in the case of the Phelps

PS-2

Dodge common stock, the first business day immediately following the 27th day of
each January, March, June or September and the valuation date, as applicable,
and (h) in the case of the Wal-Mart common stock, the first business day
immediately following the 3rd day of each January, April, July or October and
the valuation date, as applicable.

EXAMPLES OF AMOUNT PAYABLE AT MATURITY

Here are two examples of hypothetical alternative redemption amount
calculations. In each of these examples it is assumed that during the term of
the notes Allstate, Applied Materials, Dow Jones, Freddie Mac, Microsoft,
Pfizer, Phelps Dodge and Wal-Mart do not change the amount of the dividends that
they pay on their common stock and that Bed Bath & Beyond and Dell do not pay
any dividends on their common stock:

EXAMPLE 1. ASSUMING THE CLOSING LEVEL OF THE BASKET IS $90.00:

Alternative redemption amount per $1,000 note =

$90.00
$1,000 x -------------- = $827.59
$108.75

As a result, on the maturity date or upon redemption, you would receive $1,000,
plus accrued but unpaid interest, per $1,000 note because $1,000 is greater than
$827.59. If you require Lehman Brothers Holdings to repurchase your notes, you
would only receive $827.59, plus accrued but unpaid interest, per $1,000 note.

EXAMPLE 2. ASSUMING THE CLOSING LEVEL OF THE BASKET IS $120.00:

Alternative redemption amount per $1,000 note =

$120.00
$1,000 x -------------- = $1,103.45
$108.75

As a result, on the maturity date or upon redemption, you would receive
$1,103.45, plus accrued but unpaid interest, per $1,000 note because $1,103.45
is greater than $1,000. If you require Lehman Brothers Holdings to repurchase
your notes, you would also receive $1,103.45, plus accrued but unpaid interest,
per $1,000 note.

To the extent the actual closing level of the basket differs from the levels
assumed above or that either Allstate, Applied Materials, Dow Jones, Freddie
Mac, Microsoft, Pfizer, Phelps Dodge or Wal-Mart changes the amount of the
dividends it pays or that either Bed Bath & Beyond or Dell pays any dividends,
the results indicated above would be different.

THE BASKET

THE TEN COMMON STOCKS COMPRISING THE BASKET

The basket will initially represent an equal-dollar weighted portfolio of the
ten common stocks in the basket. The level of the basket will increase or
decrease by the performance of the common stocks that make up the basket. The
following table presents information with respect to: the ten issuers whose
common stocks are included in the basket, the exchange on which the common stock
of each trades, the stock symbols, the starting stock prices, the initial
multiplier for each common stock and the starting value for each stock.

PS-3

<TABLE>

INITIAL
STARTING MULTIPLIER
STOCK STOCK PRICE (NUMBER OF STARTING
ISSUER OF THE COMMON STOCK EXCHANGE SYMBOL PER SHARE SHARES) VALUE
- ----------------------------------- -------- ------ ----------- ---------- --------

The Allstate Corporation .......... NYSE ALL $ 61.61 0.16231 $ 10.00
Applied Materials, Inc............. NASDAQ AMAT 17.30 0.57803 10.00
Bed Bath & Beyond Inc.............. NASDAQ BBBY 44.49 0.22477 10.00
Dell Inc........................... NASDAQ DELL 40.60 0.24631 10.00
Dow Jones & Company, Inc........... NYSE DJ 36.77 0.27196 10.00
Freddie Mac........................ NYSE FRE 66.43 0.15053 10.00
Microsoft Corporation.............. NASD MSFT 25.96 0.38521 10.00
Pfizer Inc. ....................... NYSE PFE 27.48 0.36390 10.00
Phelps Dodge Corporation........... NYSE PD 99.49 0.10051 10.00
Wal-Mart Stores, Inc. ............. NYSE WMT 50.38 0.19849 10.00
-------
$100.00
=======
</TABLE>

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

Lehman Brothers Holdings has obtained the following information from the
respective companies' reports and other documents filed with the SEC:

The Allstate Corporation

The Allstate Corporation is engaged in the personal property and casualty
insurance business and the life insurance, retirement and investment products
business. Widely known through the "You're In Good Hands With Allstate(R)"
slogan, the company provides insurance products to more than 16 million
households and has approximately 13,600 exclusive agencies and exclusive
financial specialists in the United States and Canada.

Applied Materials, Inc.

Applied Materials, Inc. manufactures, markets and services integrated circuit
fabrication equipment for the worldwide semiconductor industry. Customers for
these products include semiconductor wafer manufacturers and semiconductor
integrated circuit (or chip) manufacturers, who either use the semiconductors
they manufacture in their own products or sell them to other companies for use
in advanced electronic components.

Bed Bath & Beyond, Inc.

Bed Bath & Beyond Inc. operates specialty retail stores nationwide, including
stores of Bed Bath & Beyond, Harmon Stores, Inc. and Christmas Tree Shops, Inc.

Dell Inc.

Dell Inc., with fiscal 2005 net revenue of $49.2 billion, is a premier provider
of products and services worldwide that enable customers to build their
information-technology and Internet infrastructures. The company offers a broad
range of enterprise systems (servers, storage, workstations, and networking
products), client systems (notebook and desktop computer systems), printing and
imaging systems, software and peripherals, and global services.

Dow Jones & Company, Inc.

Dow Jones & Company, Inc. is a provider of global business and financial news
and information through newspapers, newswires, magazines, internet, indexes,
television and radio. In addition to The Wall Street Journal and its
international and online editions, the company publishes Barron's, Dow Jones
Newswires and Dow Jones Indexes. The company also provides news and information
of general interest to local communities through its Ottaway group of community
newspapers throughout the U.S. The company is a co-owner with Reuters Group of
Factiva, with Hearst of SmartMoney and with NBC Universal of the CNBC television
operations throughout Asia and Europe. The company also provides news content to
CNBC and radio stations in the U.S.

PS-4

Freddie Mac

Freddie Mac is a stockholder-owned financial services company chartered by
Congress on July 24, 1970 under the Federal Home Loan Mortgage Corporation Act,
as amended, which is referred to as the company's charter. At December 31, 2004,
the company had total assets of $795.3 billion, total liabilities and minority
interests of $763.9 billion, and total stockholders' equity of $31.4 billion. At
May 13, 2005, the company had 5,064 fulltime and 153 part time employees. The
company fulfills the requirements of its charter by purchasing residential
mortgage loans and mortgage-related securities from mortgage lenders and
securities dealers and by providing its credit guarantee of payment of principal
and interest for residential mortgages originated by mortgage lenders.

Through the company's credit guarantee activities, it securitizes mortgage loans
by issuing undivided interests in pools of purchased mortgages, which are called
Mortgage Participation Certificates to third-party investors. The company also
resecuritizes mortgage related securities that it issues or that are issued by
the Government National Mortgage Association, or Ginnie Mae, as well as
non-agency entities.

The residential mortgage market consists of a primary mortgage market that links
homebuyers and lenders and a secondary mortgage market that links lenders and
investors. The company purchases mortgage loans that finance homes in every
geographic region of the U.S., including U.S. territories (Puerto Rico, Guam,
U.S. Virgin Islands).

The Microsoft Corporation

The Microsoft Corporation's mission is to enable people and businesses
throughout the world to realize their full potential, and the company's vision
is empowering people through great software--any time, any place, and on any
device. The company develops, manufactures, licenses, and supports a wide range
of software products for a multitude of computing devices. The company's
software products include scalable operating systems for servers, personal
computers, and intelligent devices; server applications for client/server
environments; information worker productivity applications; business solutions
applications; and software development tools. The company provides consulting
services and product support services and trains and certifies system
integrators and developers. The company sells the Xbox video game console, along
with games and peripherals. The company's online businesses include MSN
subscriptions and the MSN network of Internet products and services.

Pfizer Inc.

Pfizer, Inc. is a research-based, global pharmaceutical company that discovers,
develops, manufactures and markets leading prescription medicines for humans and
animals as well as many of the world's best-known consumer healthcare products.

Phelps Dodge Corporation

Phelps Dodge Corporation is one of the world's leading producers of copper and
molybdenum, the largest producer of molybdenum-based chemicals and
continuous-cast copper rod, and among the leading producers of magnet wire and
carbon black.

Wal-Mart Stores, Inc.

Wal-Mart Stores, Inc. operates retail stores in various formats around the
world. The company provides a broad assortment of quality merchandise and
services at everyday low prices ("EDLP") while fostering a culture that rewards
and embraces mutual respect, integrity and diversity. EDLP is the company's
pricing philosophy under which the company prices items at a low price every day
so that its customers trust that its prices will not change erratically under
frequent promotional activity. The company's fiscal year ends on January 31.
During the fiscal year ended January 31, 2005, the company had net sales of
$285.2 billion.

--------
Each company's common 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 companies
may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

PS-5

HISTORICAL INFORMATION ABOUT THE COMMON STOCKS INCLUDED IN THE BASKET

The following table presents the high and low per share closing prices for each
of the common stocks included in the basket, as reported on the primary exchange
on which such common stock trades 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 prices of these common stocks will rise
or fall. The historical prices of these common stocks are not indications of
future performance. Lehman Brothers Holdings cannot assure you that the prices
of these common stocks included in the basket will increase enough so that the
alternative redemption amount will be greater than $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-6

THE ALLSTATE CORPORATION

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $37.77 $31.56 $37.77
Second Quarter............................. 41.06 36.39 36.98
Third Quarter.............................. 38.74 33.77 35.55
Fourth Quarter............................. 41.32 33.41 36.99

2003
First Quarter.............................. $38.49 $30.68 $33.17
Second Quarter............................. 38.41 34.19 35.65
Third Quarter.............................. 39.29 35.51 36.53
Fourth Quarter............................. 43.03 37.30 43.02

2004
First Quarter ............................. $47.04 $42.71 $45.46
Second Quarter............................. 47.85 43.22 46.55
Third Quarter.............................. 49.08 45.82 47.99
Fourth Quarter............................. 51.76 46.34 51.72

2005
First Quarter.............................. $54.75 $49.67 $54.06
Second Quarter............................. 60.36 52.72 59.75
Third Quarter (through the date of this
pricing supplement) ..................... 61.65 59.85 61.65

APPLIED MATERIALS, INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $27.14 $19.75 $27.14
Second Quarter............................. 27.76 18.76 19.02
Third Quarter.............................. 19.93 11.20 11.55
Fourth Quarter............................. 17.49 10.35 13.03

2003
First Quarter.............................. $15.70 $11.60 $12.58
Second Quarter............................. 16.87 12.76 15.84
Third Quarter.............................. 22.22 16.01 18.13
Fourth Quarter............................. 25.61 18.55 22.44

2004
First Quarter ............................. $24.63 $20.20 $21.33
Second Quarter............................. 22.84 18.03 19.62
Third Quarter.............................. 19.00 15.61 16.49
Fourth Quarter............................. 17.89 15.69 17.10

2005
First Quarter.............................. $17.92 $15.17 $16.25
Second Quarter............................. 17.40 14.50 16.18
Third Quarter (through the date of this
pricing supplement) ..................... 17.39 16.12 17.39

PS-7

BED BATH & BEYOND INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $35.22 $30.90 $33.75
Second Quarter............................. 37.74 31.45 37.74
Third Quarter.............................. 37.70 26.95 32.57
Fourth Quarter............................. 37.29 30.16 34.53

2003
First Quarter.............................. $37.02 $30.30 $34.54
Second Quarter............................. 43.80 34.23 38.82
Third Quarter.............................. 43.36 37.10 38.27
Fourth Quarter............................. 43.35 39.00 43.35

2004
First Quarter ............................. $42.57 $37.94 $41.90
Second Quarter............................. 40.56 35.39 38.45
Third Quarter.............................. 39.89 33.89 37.11
Fourth Quarter............................. 44.09 38.15 39.83

2005
First Quarter.............................. $41.58 $35.57 $36.54
Second Quarter ............................ 44.37 36.40 41.78
Third Quarter (through the date of this
pricing supplement) ..................... 44.62 41.41 44.62

DELL INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $29.64 $23.76 $26.11
Second Quarter............................. 27.95 22.33 26.14
Third Quarter.............................. 28.43 22.61 23.51
Fourth Quarter............................. 30.94 24.64 26.74

2003
First Quarter.............................. $28.78 $22.86 $27.31
Second Quarter............................. 32.46 27.21 31.84
Third Quarter.............................. 34.94 30.94 33.42
Fourth Quarter............................. 36.98 32.65 33.98

2004
First Quarter ............................. $35.97 $31.20 $33.62
Second Quarter............................. 36.66 34.03 35.82
Third Quarter.............................. 36.18 33.12 35.60
Fourth Quarter............................. 42.38 34.25 42.14

2005
First Quarter.............................. $41.79 $38.04 $38.42
Second Quarter ............................ 40.77 34.83 39.46
Third Quarter (through the date of this
pricing supplement)...................... 40.73 39.34 40.73

PS-8

DOW JONES & COMPANY, INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $58.22 $50.33 $58.22
Second Quarter............................. 60.03 47.60 48.45
Third Quarter.............................. 48.75 36.23 38.41
Fourth Quarter............................. 43.96 31.05 43.23

2003
First Quarter.............................. $45.90 $33.75 $35.44
Second Quarter............................. 47.74 35.45 43.03
Third Quarter.............................. 48.58 38.92 47.35
Fourth Quarter............................. 53.03 46.61 49.85

2004
First Quarter ............................. $52.65 $45.52 $47.91
Second Quarter............................. 49.43 44.68 45.10
Third Quarter.............................. 44.70 39.96 40.61
Fourth Quarter............................. 45.12 40.49 43.06

2005
First Quarter.............................. $43.03 $37.02 $37.37
Second Quarter ............................ 38.33 32.20 35.45
Third Quarter (through the date of this
pricing supplement)...................... 37.64 36.48 36.86

FREDDIE MAC

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $68.60 $61.00 $63.37
Second Quarter............................. 67.66 60.42 61.20
Third Quarter.............................. 64.85 54.67 55.90
Fourth Quarter............................. 63.50 53.98 59.05

2003
First Quarter.............................. $64.73 $50.80 $53.10
Second Quarter............................. 61.32 47.35 50.77
Third Quarter.............................. 55.71 48.10 52.35
Fourth Quarter............................. 59.07 53.28 58.32

2004
First Quarter ............................. $65.00 $58.22 $59.06
Second Quarter............................. 63.30 56.93 63.30
Third Quarter.............................. 69.00 62.60 65.24
Fourth Quarter............................. 73.70 64.60 73.70

2005
First Quarter.............................. $72.99 $60.11 $63.20
Second Quarter............................. 67.23 60.05 65.23
Third Quarter (through the date of this
pricing supplement)...................... 66.65 65.00 66.65

PS-9

MICROSOFT CORPORATION

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $34.93 $29.00 $30.16
Second Quarter............................. 30.19 24.31 27.35
Third Quarter.............................. 27.43 21.42 21.87
Fourth Quarter............................. 29.12 21.89 25.85

2003
First Quarter.............................. $28.49 $22.79 $24.21
Second Quarter............................. 26.38 23.67 25.64
Third Quarter.............................. 29.96 25.54 27.80
Fourth Quarter............................. 29.35 25.10 27.37

2004
First Quarter ............................. $28.80 $24.15 $24.93
Second Quarter............................. 28.57 25.08 28.56
Third Quarter.............................. 29.00 26.88 27.65
Fourth Quarter............................. 29.98 26.53 26.72

2005
First Quarter.............................. $26.84 $23.92 $24.17
Second Quarter............................. 26.07 24.12 24.84
Third Quarter (through the date of this
pricing supplement)...................... 25.97 24.65 25.97

PFIZER INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter.............................. $42.15 $39.40 $39.74
Second Quarter............................. 40.11 33.43 35.00
Third Quarter.............................. 34.92 25.92 29.02
Fourth Quarter............................. 33.87 28.30 30.57

2003
First Quarter.............................. $32.00 $28.56 $31.16
Second Quarter............................. 36.18 30.37 34.15
Third Quarter.............................. 34.65 29.55 30.38
Fourth Quarter............................. 35.33 30.56 35.33

2004
First Quarter ............................. $38.85 $33.70 $35.05
Second Quarter............................. 37.62 33.82 34.28
Third Quarter.............................. 34.16 29.62 30.60
Fourth Quarter............................. 31.30 24.29 26.89

2005
First Quarter.............................. $27.18 $23.86 $26.27
Second Quarter............................. 28.90 25.93 27.58
Third Quarter (through the date of this
pricing supplement)...................... 27.60 26.75 27.60

PS-10

PHELPS DODGE CORPORATION

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter............................... $42.32 $30.87 $42.10
Second Quarter.............................. 41.82 35.14 41.20
Third Quarter............................... 41.83 24.93 25.63
Fourth Quarter.............................. 33.60 23.09 31.65

2003
First Quarter............................... $36.51 $30.66 $32.48
Second Quarter.............................. 39.54 30.94 38.34
Third Quarter............................... 50.21 37.29 46.80
Fourth Quarter.............................. 79.40 48.49 76.09

2004
First Quarter .............................. $89.81 $70.93 $81.66
Second Quarter.............................. 84.60 60.60 77.51
Third Quarter............................... 93.60 72.05 92.03
Fourth Quarter.............................. 101.55 81.06 98.92

2005
First Quarter............................... 108.47 $90.37 $101.73
Second Quarter.............................. 102.78 79.91 92.50
Third Quarter (through the date of this
pricing supplement)....................... 99.93 93.24 98.32

WAL-MART STORES, INC.

HIGH LOW PERIOD END
---------- ---------- ----------
2002
First Quarter............................... $63.75 $55.76 $61.30
Second Quarter.............................. 61.23 53.15 55.01
Third Quarter............................... 56.00 44.60 49.24
Fourth Quarter.............................. 57.33 49.16 50.51

2003
First Quarter............................... $54.67 $46.74 $52.03
Second Quarter.............................. 56.70 52.00 53.67
Third Quarter............................... 60.08 54.35 55.85
Fourth Quarter.............................. 59.39 50.74 53.05

2004
First Quarter .............................. $61.05 $52.12 $59.69
Second Quarter.............................. 59.02 51.98 52.76
Third Quarter............................... 54.97 51.33 53.20
Fourth Quarter.............................. 57.70 51.99 52.82

2005
First Quarter............................... $54.49 $50.11 $50.11
Second Quarter.............................. 49.85 46.81 48.20
Third Quarter (through the date of this
pricing supplement)....................... 50.51 48.28 50.51

PS-11

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical closing levels of the
basket, 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 per $1,000 note (without interest);

o the hypothetical total rate of return (without interest);

o the hypothetical annualized pre-tax rate of return (without interest);

o the hypothetical total rate of return (including interest); and

o the hypothetical annualized pre-tax rate of return (including interest).

<TABLE>

PERCENTAGE HYPOTHETICAL
CHANGE OF TOTAL AMOUNT HYPOTHETICAL
HYPOTHETICAL PAYABLE AT HYPOTHETICAL ANNUALIZED
HYPOTHETICAL HYPOTHETICAL ALTERNATIVE STATED HYPOTHETICAL ANNUALIZED HYPOTHETICAL PRE-TAX
CLOSING LEVEL ALTERNATIVE REDEMPTION MATURITY PER TOTAL RATE PRE-TAX RATE TOTAL RATE RATE OF
OF THE BASKET REDEMPTION AMOUNT OVER $1,000 NOTE OF RETURN OF RETURN OF RETURN RETURN
ON THE AMOUNT PER THE PRINCIPAL (WITHOUT (WITHOUT (WITHOUT (WITH (WITH
VALUATION DATE $1,000 NOTE AMOUNT INTEREST) INTEREST) INTEREST) INTEREST) INTEREST)
- -------------- ----------- ------------- ------------ ------------ ------------ ------------ ------------

$ 70.00 $ 643.68 -35.63% $1,000.00 0.00% 0.00% 4.00% 0.99%
80.00 735.63 -26.44 1,000.00 0.00 0.00 4.00 0.99
90.00 827.59 -17.24 1,000.00 0.00 0.00 4.00 0.99
100.00 919.54 -8.05 1,000.00 0.00 0.00 4.00 0.99
108.75 1,000.00 0.00 1,000.00 0.00 0.00 4.00 0.99
110.00 1,011.49 1.15 1,011.49 1.15 0.29 5.15 1.26
120.00 1,103.45 10.34 1,103.45 10.34 2.49 14.34 3.41
130.00 1,195.40 19.54 1,195.40 19.54 4.56 23.54 5.43
140.00 1,287.36 28.74 1,287.36 28.74 6.52 32.74 7.34
</TABLE>

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

For purposes of this table, it is assumed that during the term of the notes
Allstate, Applied Materials, Dow Jones, Freddie Mac, Microsoft, Pfizer, Phelps
Dodge and Wal-Mart do not change the amount of the dividends that they pay on
their common stock and that Bed Bath & Beyond and Dell do not pay any dividends
on their common stock.

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 closing level of the basket 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-12

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 4.463%,
compounded semi-annually. Based on the comparable yield, the projected payment
schedule per $1,000 note is $5.00 semi-annually and $1,154.81 due at maturity,
which includes the final interest payment. 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 the underwriter an option to purchase,
at any time within 13 days of the original issuance of the notes, up to
$2,295,000 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 approximately $17,595,000, $43,988 and $17,551,012, respectively.

Lehman Brothers Holdings expects to deliver the notes against payment on or
about July 21, 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-13

$15,300,000

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

1.00% NOTES DUE JULY 21, 2009
PERFORMANCE LINKED TO A BASKET OF TEN STOCKS

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

PRICING SUPPLEMENT
JULY 14, 2005

(INCLUDING PROSPECTUS SUPPLEMENT
DATED MAY, 18, 2005

PROSPECTUS SUPPLEMENT
DATED MAY, 18, 2005 AND

PROSPECTUS
DATED MAY, 18, 2005)

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

LEHMAN BROTHERS

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