UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549


                                    FORM 8-K


                                 CURRENT REPORT
                       PURSUANT TO SECTION 13 OR 15(D) OF
                       THE SECURITIES EXCHANGE ACT OF 1934


                Date of Report (date of earliest event reported):
                               SEPTEMBER 29, 2005


                          LEHMAN BROTHERS HOLDINGS INC.
             (Exact name of registrant as specified in its charter)

                                    DELAWARE
                 (State or other jurisdiction of incorporation)


          1-9466                                           13-3216325
 (Commission File Number)                      (IRS Employer Identification No.)

    745 SEVENTH AVENUE
    NEW YORK, NEW YORK                                       10019
   (Address of principal                                   (Zip Code)
    executive offices)

              Registrant's telephone number, including area code:
                                 (212) 526-7000

                                 Not Applicable
          (Former name or former address, if changed since last report)

Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions:

[ ]  Written communications pursuant to Rule 425 under the Securities Act (17
     CFR 230.425)

[ ]  Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR
     240.14a-12)

[ ]  Pre-commencement communications pursuant to Rule 14d-2(b) under the
     Exchange Act (17 CFR 240.14d-2(b))

[ ]  Pre-commencement communications pursuant to Rule 13e-4(c) under the
     Exchange Act (17 CFR 240.13e-4(c))







Item 9.01  Financial Statements and Exhibits

           (c)  Exhibits

     The following Exhibits are incorporated by reference into Registration
Statement on Form S-3 No. 333-121067 as exhibits thereto and are filed as part
of this Report.

4.01     Global Security representing the Registrant's Contingently Principal
         Protected Notes Due September 29, 2008, Linked to the Nikkei 225(SM)
         Index (NKY) (filed herewith)

4.02     Calculation Agency Agreement between the Registrant and Lehman Brothers
         Inc., as calculation agent, relating to the Registrant's Contingently
         Principal Protected Notes Due September 29, 2008, Linked to the Nikkei
         225(SM) Index (NKY) (filed herewith)



                                       2



                                    SIGNATURE


         Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this Report to be signed on its behalf by the
undersigned hereunto duly authorized.



                                            LEHMAN BROTHERS HOLDINGS INC.
                                                  (Registrant)


                                            By:  /s/ James J. Killerlane III
                                                 ---------------------------
                                                 James J. Killerlane III
                                                 Vice President


Date: September 29, 2005



                                       3





                                  EXHIBIT INDEX



Exhibit No.       Exhibit
-----------       -------
4.01              Global Security representing the Registrant's Contingently
                  Principal Protected Notes Due September 29, 2008, Linked to
                  the Nikkei 225(SM) Index (NKY)

4.02              Calculation Agency Agreement between the Registrant and Lehman
                  Brothers Inc., as calculation agent, relating to the
                  Registrant's Contingently Principal Protected Notes Due
                  September 29, 2008, Linked to the Nikkei 225(SM) Index (NKY)



                                       4