-----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, CW2DI07SwgC23Nacsj4Qf6A53lv+P2wx2ev/f4BTM/TLLnta3UuAtLvPgkmw15Mv 3eYpH1IPd2UPts8UkMmV4A== 0000950136-06-000608.txt : 20060131 0000950136-06-000608.hdr.sgml : 20060131 20060131165149 ACCESSION NUMBER: 0000950136-06-000608 CONFORMED SUBMISSION TYPE: 424B5 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20060131 DATE AS OF CHANGE: 20060131 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: 06566548 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. 11
to Prospectus Supplement dated May 18, 2005
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

99,565 YEELDS(R)
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES H
9.0% Yield Enhanced Equity Linked Debt Securities Due February 4, 2007
Performance Linked to ConocoPhillips (COP) Common Stock
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 "YEELDS 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 YEELDS prospectus supplement, the MTN prospectus
supplement or the base prospectus, unless the context requires otherwise.

o INDEX STOCK ISSUER: ConocoPhillips. ConocoPhillips is not involved in
this offering and has no obligation with respect to the notes.

o INDEX STOCK: The common stock of the index stock issuer.

o STATED MATURITY DATE: February 4, 2007, subject to postponement if the
valuation date is postponed.

o VALUATION DATE: January 29, 2007, subject to postponement if a market
disruption event occurs or if such day is not a scheduled trading day, as
described under the caption "Description of the Notes--Settlement value" on
page SS-12 of the YEELDS prospectus supplement.

o DETERMINATION PERIOD: Five business days.

o COUPON RATE: 9.0% per annum.

o COUPON PAYMENT DATES: Quarterly on the 4th day of each February, May,
August and November, starting May 4, 2006.

o COUPON RECORD DATES: 15 calendar days prior to each coupon payment date.

o PRINCIPAL AMOUNT: $65.284 per YEELDS, and, in the aggregate,
$6,500,001.46.

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

o EQUITY CAP PRICE: $75.0766, which represents 115% of the initial value.

o INITIAL VALUE: $65.284, which is the average execution price per share
for the index stock that an affiliate of Lehman Brothers Holdings has paid
to hedge Lehman Brothers Holdings' obligations under the notes.

o DENOMINATIONS: $65.284 and integral multiples thereof.

o PAYMENT AT MATURITY: On the stated maturity date, Lehman Brothers
Holdings will pay you, per YEELDS, the lesser of:
(1) the alternative redemption amount; and
(2) $75.0766

Because the principal amount is equal to the initial value, the alternative
redemption amount per YEELDS will equal the settlement value.

The settlement value will be based upon the adjusted closing price of the
index stock on the valuation date, and shall generally be equal to the
adjusted closing price multiplied by the multiplier, as described beginning
on page PS-2 of this pricing supplement under "Settlement Value Based Upon
Adjusted Closing Price".

o STOCK SETTLEMENT OPTION: Yes, at the option of Lehman Brothers Holdings
at maturity, as described under the caption "Description of the Notes--
Stock Settlement" on page SS-16 of the YEELDS prospectus supplement. Lehman
Brothers Holdings will provide the trustee with prior written notice no
later than the valuation date if it elects the stock settlement option.

o CUSIP NUMBER: 52520W879

o ISIN NUMBER: US52520W8799

Investing in the notes involves risks. Risk Factors begin on page SS-6 of the
YEELDS 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 YEELDS prospectus supplement or any
accompanying prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.

Per YEELDS Total
----------------- ----------------
Public offering price..................... $ 65.28400 $6,500,001.46000
Underwriting discount..................... $ 0.16321 $ 16,250.00365
Proceeds to Lehman Brothers Holdings...... $ 65.12079 $6,483,751.45635

----------------------
Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional 14,934 YEELDS 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 February 3, 2006.
----------------------
LEHMAN BROTHERS
January 27, 2006
"YEELDS" is a registered trademark of Lehman Brothers Inc.

SETTLEMENT VALUE BASED UPON ADJUSTED CLOSING PRICE

Notwithstanding the statement in the YEELDS prospectus supplement in the first
sentence under "Description of Notes--Settlement value" that the settlement
value will be based upon the closing price of the index stock, in the case of
the YEELDS offered hereby, the settlement value will be based upon the adjusted
closing price of the index stock on the valuation date, and shall generally be
equal to such adjusted closing price multiplied by the multiplier then in
effect. Adjustments to the closing price will occur, as described below, if
ConocoPhillips changes the per share amount of cash dividends it pays on its
shares of common stock during the term of the YEELDS.

The adjusted closing price of ConocoPhillips common stock on any scheduled
trading day will equal the closing price of such common stock on such scheduled
trading day, plus the dividend adjustment amount (which may be a negative
number) in effect on such scheduled trading day. The dividend adjustment amount
shall initially be zero.

If, during the period from, but excluding, the date of this pricing supplement
to the valuation date, holders of record of shares of common stock of
ConocoPhillips are entitled to receive a cash dividend (other than an
extraordinary cash dividend, as determined by the calculation agent in its good
faith judgment) from ConocoPhillips and the amount of the cash dividend is less
than the base dividend (as described below) per share of common stock, including
if ConocoPhillips fails to declare or make the cash dividend payments described
below in the description of "base dividend" (as determined by the calculation
agent in its sole and absolute discretion), the dividend adjustment amount then
in effect shall be reduced on the ex-dividend date for the ConocoPhillips
dividend (any such day, an "effective adjustment date") by an amount equal to
the difference between the base dividend and the new dividend. Any such downward
adjustment of the dividend adjustment amount may decrease the amount you receive
upon maturity. The "base dividend" shall be $0.31, the amount of the quarterly
dividend per share of common stock most recently paid by ConocoPhillips prior to
the date of this pricing supplement. The base dividend is subject to adjustment
in the event of certain events affecting the shares of common stock of
ConocoPhillips 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
ConocoPhillips has failed to declare or make a quarterly dividend payment, the
effective adjustment date for adjusting the dividend adjustment amount will be
the first business day immediately following March 12, 2006, June 12, 2006,
September 12, 2006 and the valuation date, as applicable.

If, during the period from, but excluding, the date of this pricing supplement
to the valuation date, holders of record of ConocoPhillips common stock are
entitled to receive a cash dividend (other than an extraordinary cash dividend,
as determined by the calculation agent in its good faith judgment) from
ConocoPhillips and the amount of the dividend is more than the base dividend per
share, the dividend adjustment amount then in effect shall be increased on the
effective adjustment date by an amount equal to the excess of the new dividend
over the base dividend. Any such upward adjustment to the dividend adjustment
amount may increase the amount you receive upon maturity.

The dividend adjustment amount in effect at any time shall be adjusted in the
event of certain events affecting the shares of common stock of ConocoPhillips,
such as share splits, reverse share splits or reclassifications, as determined
by the calculation agent, in its good faith judgment.

You may call Lehman Brothers Inc. at 212-526-0905 to obtain the current value of
the dividend adjustment amount.

PS-2

EXAMPLES OF AMOUNT PAYABLE AT MATURITY

Here are three examples of the amount that may be payable on the stated maturity
date. In each of these examples it is assumed that ConocoPhillips does not
change the amount of cash dividends that it pays on its shares of common stock
during the term of the YEELDS.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $50.00:

As a result, because the settlement value of $50.00 is less than $75.0766, on
the stated maturity date, you would receive $50.00 per YEELDS, plus accrued but
unpaid coupon payments.

In the case of stock settlement in this example, you would receive on the stated
maturity date the number of shares of the index stock and cash having a value on
the valuation date equal to $50.00 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, one share of index stock, plus accrued but unpaid coupon payments.

EXAMPLE 2. ASSUMING THE SETTLEMENT VALUE IS $70.00:

As a result, because the settlement value of $70.00 is less than $75.0766, on
the stated maturity date, you would receive $70.00 per YEELDS, plus accrued but
unpaid coupon payments.

EXAMPLE 3. ASSUMING THE SETTLEMENT VALUE IS $90.00:

As a result, because $75.0766 is less than the settlement value of $90.00, on
the stated maturity date, you would receive $75.0766 per YEELDS, plus accrued
but unpaid coupon payments.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $75.0766 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, $75.0766 in cash, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS, basis. For example, if you held 99,565 YEELDS, you would receive on the
stated maturity date in total, 83,055 shares of index stock and $51.67 in cash,
plus accrued but unpaid coupon payments.

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

PS-3

INDEX STOCK ISSUER AND INDEX STOCK

CONOCOPHILLIPS

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

ConocoPhillips is an international, integrated energy company. The company was
incorporated in the state of Delaware on November 16, 2001, in connection with,
and in anticipation of, the merger between Conoco Inc. (Conoco) and Phillips
Petroleum Company (Phillips). The merger between Conoco and Phillips (the
merger) was consummated on August 30, 2002, at which time Conoco and Phillips
combined their businesses by merging with separate acquisition subsidiaries of
the company. As a result of the merger, Conoco and Phillips each became wholly
owned subsidiaries of the company. ConocoPhillips is organized into six
operating segments:

o EXPLORATION AND PRODUCTION. This segment primarily explores for, produces
and markets crude oil, natural gas, and natural gas liquids on a worldwide
basis.

o MIDSTREAM. This segment gathers and processes natural gas produced by the
company and others, and fractionates and markets natural gas liquids,
primarily in the United States, Canada and Trinidad. This includes the
company's 30.3% equity investment in Duke Energy Field Services, LLC, a
joint venture with Duke Energy.

o REFINING AND MARKETING. This segment purchases, refines, markets and
transports crude oil and petroleum products, mainly in the United States,
Europe and Asia.

o LUKOIL INVESTMENT. This segment consists of the company's equity investment
in the ordinary shares of LUKOIL, an international, integrated oil and gas
company headquartered in Russia. The company investment was 10% at December
31, 2004.

o CHEMICALS. This segment manufactures and markets petrochemicals and
plastics on a worldwide basis and consists of the company's 50% equity
investment in Chevron Phillips Chemical Company LLC, a joint venture with
ChevronTexaco Corporation.

o EMERGING BUSINESSES. This segment encompasses the development of new
businesses beyond the company's traditional operations, including new
technologies related to natural gas conversion into clean fuels and related
products (e.g., gas-to-liquids), technology solutions, power generation,
and emerging technologies.

HISTORICAL INFORMATION ABOUT THE INDEX STOCK

The shares of common stock of ConocoPhillips are listed on The New York Stock
Exchange under the symbol "COP".

The following table presents the high and low closing prices for the shares of
common stock of ConocoPhillips, as reported on The New York Stock Exchange
during each fiscal quarter in 2003, 2004, 2005 and 2006 (through the date of
this pricing supplement), and the closing price at the end of each quarter in
2003, 2004, 2005 and 2006 (through the date of this pricing supplement).

The historical prices of the index stock are not necessarily indicative of
future performance. Lehman Brothers Holdings cannot assure you that the prices
of the index stock will remain at, or increase above, the initial value;
accordingly, there can be no assurance that the payment you receive at maturity
will equal or exceed the principal amount. 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-4

HIGH LOW PERIOD END
---------- -------- ------------
2003
First Quarter .............................. $26.80 $22.66 $26.80
Second Quarter.............................. 27.73 25.03 27.40
Third Quarter............................... 28.54 25.98 27.38
Fourth Quarter.............................. 32.79 27.70 32.79

2004
First Quarter .............................. $35.32 $32.39 $34.91
Second Quarter.............................. 39.32 34.35 38.15
Third Quarter............................... 41.61 36.03 41.43
Fourth Quarter.............................. 45.50 41.00 43.42

2005
First Quarter .............................. $56.16 $41.78 $53.92
Second Quarter ............................. 60.68 48.39 57.49
Third Quarter .............................. 70.91 59.10 69.91
Fourth Quarter.............................. 68.96 57.35 58.18

2006
First Quarter (through the date of this
pricing supplement) ...................... $65.08 $59.53 $65.08

PS-5

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical settlement values on
the valuation date, in each case assuming that (a) the investment is held from
the date on which the YEELDS are first issued until the stated maturity date and
(b) ConocoPhillips does not change the amount of the cash dividends that it pays
on its shares of common stock during the term of the YEELDS:

o the percentage change from the issue price to the hypothetical settlement
value on the valuation date;

o the total coupon payments paid or payable on or before the stated maturity
date per YEELDS;

o the hypothetical total amount payable per YEELDS on the stated maturity
date;

o the hypothetical total annualized yield on the YEELDS on the stated
maturity date; and

o the hypothetical total annualized yield from direct ownership of the index
stock.

PERCENTAGE TOTAL COUPON HYPOTHETICAL
CHANGE FROM THE PAYMENTS PAID OR HYPOTHETICAL TOTAL ANNUALIZED
ISSUE PRICE TO PAYABLE ON OR AMOUNT PAYABLE YIELD ON THE HYPOTHETICAL
HYPOTHETICAL THE HYPOTHETICAL BEFORE THE PER YEELDS ON NOTES TOTAL ANNUALIZED
SETTLEMENT VALUE SETTLEMENT VALUE STATED MATURITY THE STATED ON THE STATED YIELD FROM
ON THE VALUATION ON THE VALUATION DATE MATURITY MATURITY DATE DIRECT OWNERSHIP
DATE DATE PER YEELDS DATE (1) PER YEELDS (2) OF INDEX STOCK
- ------------------ ------------------- ----------------- ------------------ ------------------ --------------------

$ 39.170 -40% $5.8919 $39.1704 -32.08% -38.01%
52.227 -20 5.8919 52.2272 -11.34 -18.05
58.756 -10 5.8919 58.7556 -1.01 -8.07
65.284 0 5.8919 65.2840 9.31 1.90
71.812 10 5.8919 71.8124 19.61 11.87
78.341 20 5.8919 75.0766 24.75 21.84
91.398 40 5.8919 75.0766 24.75 41.77
104.454 60 5.8919 75.0766 24.75 61.69
117.511 80 5.8919 75.0766 24.75 81.60
130.568 100 5.8919 75.0766 24.75 101.50

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

(1) Excludes accrued but unpaid coupon payments payable on the stated maturity
date.
(2) The hypothetical total annualized yield on the stated maturity date
represents the coupon rate per year used in determining the present values,
discounted to the original issue date (computed on the basis of a 360-day
year of twelve 30-day months compounded annually), of all payments made or
to be made on the YEELDS, including the amount payable on the stated
maturity date and all coupon payments through the stated maturity date, the
sum of these present values being equal to the original issue price.

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.

You should compare the features of the YEELDS to other available investments
before deciding to purchase the YEELDS. Due to the uncertainty concerning the
settlement value on the valuation date, the return on investment with respect to
the YEELDS may be higher or lower than the return available on other securities
issued by Lehman Brothers Holdings or by others. You should reach an investment
decision only after carefully considering the suitability of the YEELDS in light
of your particular circumstances.

PS-6

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 YEELDS 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 YEELDS 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 YEELDS, up
to 14,934 additional YEELDS 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 YEELDS. If this option is
exercised in full, the total public offering price, the underwriting discount
and proceeds to Lehman Brothers Holdings would be approximately $7,474,953,
$18,687 and $7,456,266, respectively.

Lehman Brothers Holdings expects to deliver the YEELDS against payment on or
about February 3, 2006, 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 YEELDS on the date of this pricing supplement, it will be required, by
virtue of the fact that the YEELDS 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 YEELDS and has received customary compensation for that
transaction.

PS-7

99,565 YEELDS(R)

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

9.0% YIELD ENHANCED EQUITY LINKED DEBT SECURITIES DUE FEBRUARY 4, 2007
PERFORMANCE LINKED TO CONOCOPHILLIPS (COP) COMMON STOCK

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

PRICING SUPPLEMENT
JANUARY 27, 2006

(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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