424B5 1 file001.htm FORM 424B5



THE INFORMATION IN THIS PROSPECTUS SUPPLEMENT IS NOT COMPLETE AND MAY BE
CHANGED. THIS PROSPECTUS SUPPLEMENT AND THE ACCOMPANYING PROSPECTUS ARE NOT AN
OFFER TO SELL THESE SECURITIES AND WE ARE NOT SOLICITING AN OFFER TO BUY THESE
SECURITIES IN ANY JURISDICTION WHERE THE OFFER OR SALE IS NOT PERMITTED.


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

                 SUBJECT TO COMPLETION, DATED FEBRUARY 21, 2006

PRELIMINARY PRICING SUPPLEMENT No. 12
to Prospectus Supplement dated May 18, 2005
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

                                [     ] YEELDS(R)
                          LEHMAN BROTHERS HOLDINGS INC.
                           MEDIUM-TERM NOTES, SERIES H
     5.50% Yield Enhanced Equity Linked Debt Securities Due August 28, 2006
            Performance Linked to TIME WARNER INC. (TWX) Common Stock
Because these notes are part of a series of Lehman Brothers Holdings' debt
securities called Medium-Term Notes, Series H, this preliminary 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: Time Warner Inc. Time Warner Inc. 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: August 28, 2006, subject to postponement if the
         valuation date is postponed.

    o    VALUATION DATE: August 21, 2006, 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: 5.50% per annum.

    o    COUPON PAYMENT DATES: The 28th calendar day of each month, commencing
         on March 28, 2006.

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

    o    PRINCIPAL AMOUNT: An amount per YEELDS equal to the initial value, and
         in aggregate, $[     ].

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

    o    EQUITY CAP PRICE: 105.0% of the initial value.

    o    INITIAL VALUE: The average execution price per share for the index
         stock that an affiliate of Lehman Brothers Holdings will pay to hedge
         Lehman Brothers Holdings' obligations under the notes.

    o    TRIGGER PRICE: 85.0% of the initial value.

    o    DENOMINATIONS: An amount equal to the initial value 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) the equity cap price

    provided that, if the adjusted intraday price of the index stock multiplied
    by the multiplier then in effect is at or above the trigger price on all
    scheduled trading days during the measurement period and the settlement
    value is less than the initial value, Lehman Brothers Holdings will pay you
    the initial value per YEELDS.

    The adjusted intraday price of the index stock on any scheduled trading day
    will equal the then-current intraday price of the index stock, plus the
    dividend adjustment amount in effect on such scheduled trading day. The
    measurement period will begin on the date of the pricing supplement and end
    on the valuation date.

    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 preliminary pricing supplement under "Settlement Value
    Based Upon Adjusted Closing Price".

    o    STOCK SETTLEMENT OPTION: None.

 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
preliminary 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.............................     $             $
Underwriting discount.............................     $             $
Proceeds to Lehman Brothers Holdings..............     $             $

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional [     ] 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 28, 2006.

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

                                 LEHMAN BROTHERS

February         , 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 Time
Warner Inc. 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 Time Warner Inc. 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 the pricing supplement to
the valuation date, holders of record of shares of common stock of Time Warner
Inc. 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 Time Warner Inc. and the amount of the cash dividend is less than the base
dividend (as described below) per share of common stock, including if Time
Warner Inc. 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 Time Warner Inc. 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 $0.05, the amount of the quarterly
dividend per share of common stock most recently paid by Time Warner Inc. prior
to the date of the pricing supplement. The base dividend is subject to
adjustment in the event of certain events affecting the shares of common stock
of Time Warner Inc. 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 Time Warner Inc. 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 April 13,
2006 and the valuation date, as applicable.

If, during the period from, but excluding, the date of the pricing supplement to
the valuation date, holders of record of Time Warner Inc. 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 Time
Warner Inc. 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 Time Warner
Inc., 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 Time Warner Inc. does not
change the amount of cash dividends that it pays on its shares of common stock
during the term of the YEELDS. In each of these examples, it is assumed that the
initial value is $17.678, the equity cap price is $18.5619 and the trigger price
is $15.0263.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $16.00 AND THE ADJUSTED INTRADAY
PRICE OF THE INDEX STOCK MULTIPLIED BY THE MULTIPLIER THEN IN EFFECT WAS AT OR
ABOVE THE TRIGGER PRICE ON ALL SCHEDULED TRADING DAYS DURING THE MEASUREMENT
PERIOD:

As a result, because (i) the settlement value of $16.00 is less than $17.678 and
(ii) the adjusted intraday price of the index stock multiplied by the multiplier
then in effect was at or above $15.0263 on all scheduled trading days during the
measurement period, on the stated maturity date, you would receive $17.678 per
YEELDS, plus accrued but unpaid coupon payments.

EXAMPLE 2. ASSUMING THE SETTLEMENT VALUE IS $16.00 AND THE ADJUSTED INTRADAY
PRICE OF THE INDEX STOCK MULTIPLIED BY THE MULTIPLIER THEN IN EFFECT FELL BELOW
THE TRIGGER PRICE ON A SCHEDULED TRADING DAY DURING THE MEASUREMENT PERIOD:

As a result, because (i) the settlement value of $16.00 is less than $17.678 and
(ii) the adjusted intraday price of the index stock multiplied by the multiplier
then in effect fell below $15.0263 on a scheduled trading day during the
measurement period, on the stated maturity date, you would receive $16.00 per
YEELDS, plus accrued but unpaid coupon payments.

EXAMPLE 3. ASSUMING THE SETTLEMENT VALUE IS $22.00:

As a result, because $18.5619 is less than the settlement value of $22.00, on
the stated maturity date, you would receive $18.5619 per YEELDS, plus accrued
but unpaid coupon payments.

To the extent the actual settlement value, initial value, equity cap price or
trigger price differs from the values assumed above or that Time Warner Inc.
changes the amount of the cash dividends it pays, the results indicated above
would be different.










                                      PS-3





                       INDEX STOCK ISSUER AND INDEX STOCK


TIME WARNER INC.

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

Time Warner Inc. is a leading media and entertainment company. The company was
formed in connection with the merger of America Online, Inc. and Time Warner
Inc., which was consummated on January 11, 2001.

The Company classifies its businesses into the following fundamental areas:
America Online, Cable, Filmed Entertainment, Networks and Publishing.

         o  America Online. This area is a subscription-based service with over
            26.2 million total AOL brand subscribers in the U.S. and Europe at
            September 30, 2005, that provides members with access to the
            Internet and a global, interactive community offering a wide variety
            of content, features and tools.

         o  Cable. This area consists of Time Warner Cable Inc. and its
            subsidiaries and is the second largest operator of cable systems in
            the U.S. in terms of subscribers served.

         o  Filmed Entertainment. This area produces and distributes theatrical
            motion pictures, television shows, animation and other programming.

         o  Networks. This area consists principally of domestic and
            international basic cable networks, pay television programming
            services and a broadcast television network.

         o  Publishing. This area consists principally of magazine and book
            publishing that are conducted primarily by the company's
            subsidiaries. In addition, Time Inc. operates certain direct
            marketing businesses.

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 INDEX STOCK

The shares of common stock of Time Warner Inc. are listed on The New York Stock
Exchange under the symbol "TWX".

The following table presents the high and low closing prices for the shares of
common stock of Time Warner Inc., as quoted on The New York Stock Exchange
during each fiscal quarter in 2003, 2004, 2005 and 2006 (through the date of
this preliminary pricing supplement), and the closing price at the end of each
quarter in 2003, 2004, 2005 and 2006 (through the date of this preliminary
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.......................    $  15.35     $  10.06   $  10.86
     Second Quarter......................       16.18        10.91      16.09
     Third Quarter.......................       16.85        14.85      15.11
     Fourth Quarter......................       18.10        14.85      17.99
2004
     First Quarter.......................    $  19.07     $  16.22   $  16.86
     Second Quarter......................       17.69        16.25      17.58
     Third Quarter.......................       17.54        15.60      16.14
     Fourth Quarter......................       19.55        16.23      19.45
2005
     First Quarter.......................    $  19.41     $  17.14   $  17.55
     Second Quarter......................       17.97        16.66      16.71
     Third Quarter.......................       18.90        16.25      18.11
     Fourth Quarter......................       18.33        17.23      17.44
2006
     First Quarter (through 02/21/06)....    $  18.57     $  17.07   $  17.64


















                                      PS-5








                              HYPOTHETICAL RETURNS


The tables below illustrate, 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,
(b) Time Warner Inc. does not change the amount of the cash dividends that it
pays on its shares of common stock during the term of the YEELDS, (c) the
initial value is $17.678, (d) the equity cap price is $18.5619 and (e) the
trigger price is $15.0263:

         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.

The hypothetical results illustrated in the first table assume that the adjusted
intraday price of the index stock multiplied by the multiplier then in effect is
at or above the trigger price on all scheduled trading days during the
measurement period. Those in the second table assume that the adjusted intraday
price of the index stock multiplied by the multiplier then in effect has fallen
below the trigger price on any scheduled trading day during the measurement
period.


TABLE 1: ADJUSTED INTRADAY PRICE MULTIPLIED BY THE MULTIPLIER THEN IN EFFECT IS
AT OR ABOVE THE TRIGGER PRICE ON ALL SCHEDULED TRADING DAYS DURING THE
MEASUREMENT PERIOD.





                                                                                                                   HYPOTHETICAL
                       PERCENTAGE CHANGE         TOTAL COUPON                              HYPOTHETICAL TOTAL         TOTAL
                      FROM $17.678 TO THE       PAYMENTS PAID OR     HYPOTHETICAL AMOUNT     ANUALIZED YIELD        ANNUALIZED
   HYPOTHETICAL           HYPOTHETICAL        PAYABLE ON OR BEFORE     PAYABLE ON THE         ON THE NOTES AT        YIELD FROM
SETTLEMENT VALUE ON     SETTLEMENT VALUE       THE STATED MATURITY     STATED MATURITY         THE STATED       DIRECT OWNERSHIP OF
THE VALUATION DATE    ON THE VALUATION DATE       DATE PER YEELD      DATE PER YEELDS(1)     MATURITY DATE(2)     COMMON STOCKS

    $15.0263                 -15%                   $0.4807             $17.6780                 5.6%                -27.0%
    $15.9102                 -10%                   $0.4807             $17.6780                 5.6%                -18.2%
    $17.6780                   0%                   $0.4807             $17.6780                 5.6%                  1.1%
    $18.0316                   2%                   $0.4807             $18.0316                 9.8%                  5.3%
    $18.5619                   5%                   $0.4807             $18.5619                16.2%                 11.6%
    $19.4458                  10%                   $0.4807             $18.5619                16.2%                 22.5%
    $21.2136                  20%                   $0.4807             $18.5619                16.2%                 46.0%


---------------------
(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.


                                      PS-6






TABLE 2: ADJUSTED INTRADAY PRICE MULTIPLIED BY THE MULTIPLIER THEN IN EFFECT HAS
FALLEN BELOW THE TRIGGER PRICE ON ANY SCHEDULED TRADING DAY DURING THE
MEASUREMENT PERIOD.






                                                                                                                   HYPOTHETICAL
                       PERCENTAGE CHANGE         TOTAL COUPON                               HYPOTHETICAL TOTAL        TOTAL
                      FROM $17.678 TO THE       PAYMENTS PAID OR     HYPOTHETICAL AMOUNT     ANUALIZED YIELD        ANNUALIZED
   HYPOTHETICAL           HYPOTHETICAL        PAYABLE ON OR BEFORE     PAYABLE ON THE         ON THE NOTES AT        YIELD FROM
SETTLEMENT VALUE ON     SETTLEMENT VALUE       THE STATED MATURITY      STATED MATURITY         THE STATED       DIRECT OWNERSHIP OF
THE VALUATION DATE    ON THE VALUATION DATE       DATE PER YEELD      DATE PER YEELDS(1)     MATURITY DATE(2)     COMMON STOCKS

    $10.6068                 -40%                   $0.4807                $10.6068               -61.0%                -63.7%
    $12.3746                 -30%                   $0.4807                $12.3746               -47.4%                -50.6%
    $14.1424                 -20%                   $0.4807                $14.1424               -31.7%                -35.4%
    $15.9102                 -10%                   $0.4807                $15.9102               -14.1%                -18.2%
    $17.6780                   0%                   $0.4807                $17.6780                 5.6%                  1.1%
    $18.0316                   2%                   $0.4807                $18.0316                 9.8%                  5.3%
    $18.5619                   5%                   $0.4807                $18.5619                16.2%                 11.6%
    $19.4458                  10%                   $0.4807                $18.5619                16.2%                 22.5%
    $21.2136                  20%                   $0.4807                $18.5619                16.2%                 46.0%



---------------------
(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 tables.


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-7






                        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 the 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 the 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 [   ] 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 $[   ], $[   ]
and $[   ], respectively.

Lehman Brothers Holdings expects to deliver the YEELDS against payment on or
about February 28, 2006, which is the fifth business day following the date of
the 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 the 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 the 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 will enter into a swap transaction in
connection with the notes and will receive customary compensation for that
transaction.
















                                      PS-8







                               [     ] YEELDS(R)


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


     5.50% YIELD ENHANCED EQUITY LINKED DEBT SECURITIES DUE AUGUST 28, 2006
            PERFORMANCE LINKED TO TIME WARNER INC. (TWX) COMMON STOCK



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


                         PRELIMINARY PRICING SUPPLEMENT
                                FEBRUARY 21, 2006

                        (INCLUDING PROSPECTUS SUPPLEMENT
                               DATED MAY 18, 2005,

                              PROSPECTUS SUPPLEMENT
                             DATED MAY 18, 2005 AND

                                   PROSPECTUS
                               DATED MAY 18, 2005)

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


                                 LEHMAN BROTHERS