-----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, FY0z/f62KyTENO2CWqfacRJSCMWsXhYPIIMi+U3VRhX8VSBp3ns6vCdjgQuJQOyZ Vu81e1pCgV+v/2Plb/lP9A== 0000950136-06-001560.txt : 20060302 0000950136-06-001560.hdr.sgml : 20060302 20060302164327 ACCESSION NUMBER: 0000950136-06-001560 CONFORMED SUBMISSION TYPE: 424B5 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20060302 DATE AS OF CHANGE: 20060302 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: 06660393 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 424(B)(5)

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

PRICING SUPPLEMENT No. 15
to Prospectus Supplement dated May 18, 2005
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

561,787 YEELDS(R)
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES H
3.30% Yield Enhanced Equity Linked Debt Securities Due March 8, 2007
Performance Linked to Starbucks Corporation (SBUX) 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: Starbucks Corporation. Starbucks Corporation 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: March 8, 2007, subject to postponement if the valuation
date is postponed.

o VALUATION DATE: March 1, 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: 3.30% per annum.

o COUPON PAYMENT DATES: The 8th day of each March, June, September and December,
commencing on June 8, 2006.

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

o PRINCIPAL AMOUNT: $35.6007 per YEELDS, and, in the aggregate, $20,000,010.45.

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

o EQUITY CAP PRICE: Approximately $42.7208, which is 120% of the initial value.

o INITIAL VALUE: $35.6007, 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: $35.6007 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) $42.7208

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: 52520W820

o ISIN NUMBER: US52520W8203

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............................. $35.600700 $20,000,010.45
Underwriting discount............................. $ 0.089002 $ 50,000.17
Proceeds to Lehman Brothers Holdings.............. $35.511698 $19,950,010.28

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

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional 84,268 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 March 7, 2006.

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

LEHMAN BROTHERS

February 28, 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
Starbucks Corporation pays dividends on its shares of common stock during the
term of the YEELDS.

The adjusted closing price of Starbucks Corporation 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.

The "base dividend" shall be $0.00, the amount of the dividend per share of
common stock most recently paid by Starbucks Corporation 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 Starbucks Corporation
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 Starbucks Corporation 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 July 16, 2006, October 16, 2006, January 16, 2007 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 Starbucks Corporation 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 Starbucks Corporation, the dividend adjustment amount then in effect shall
be increased on the effective adjustment date by an amount equal to the new
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 Starbucks
Corporation, 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 Starbucks Corporation does
not pay any cash dividends on its shares of common stock during the term of the
YEELDS.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $30.00:

As a result, because the settlement value of $30.00 is less than $42.7208, on
the stated maturity date, you would receive $30.00 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 $30.00 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 $40.00:

As a result, because the settlement value of $40.00 is less than $42.7208, on
the stated maturity date, you would receive $40.00 per YEELDS, plus accrued but
unpaid coupon payments.

EXAMPLE 3. ASSUMING THE SETTLEMENT VALUE IS $50.00:

As a result, because $42.7208 is less than the settlement value of $50.00, on
the stated maturity date, you would receive $42.7208 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 $42.7208 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date if you held
one YEELDS, $42.7208 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 561,787 YEELDS, you would receive on the
stated maturity date in total, 479,999 shares of index stock and $40.06 in cash,
plus accrued but unpaid coupon payments.

To the extent the actual settlement value differs from the values assumed above
or that Starbucks Corporation begins to pay cash dividends, the results
indicated above would be different.

PS-3

INDEX STOCK ISSUER AND INDEX STOCK

STARBUCKS CORPORATION

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

Starbucks Corporation purchases and roasts high-quality whole bean coffees and
sells them, along with fresh, rich-brewed coffees, Italian-style espresso
beverages, cold blended beverages, a variety of complementary food items,
coffee-related accessories and equipment, a selection of premium teas and a line
of compact discs, primarily through Company-operated retail stores. Starbucks
Corporation also sells coffee and tea products and licenses its trademark
through other channels and, through certain of its equity investees, Starbucks
Corporation produces and sells bottled Frappuccino(R) coffee drinks and
Starbucks DoubleShot(R) espresso drink and a line of superpremium ice creams.

HISTORICAL INFORMATION ABOUT THE INDEX STOCK

The shares of common stock of Starbucks Corporation are quoted on The NASDAQ
Stock Market under the symbol "SBUX".

The following table presents the high and low closing prices for the shares of
common stock of Starbucks Corporation, as reported on The NASDAQ Stock Market
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).

It is impossible to predict whether the price of the index stock will rise or
fall. The historical prices of the index stock are not 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 ........................... $13.18 $9.90 $12.88
Second Quarter........................... 13.37 11.45 12.28
Third Quarter............................ 15.10 12.67 14.40
Fourth Quarter........................... 16.58 14.65 16.58

2004
First Quarter ........................... $19.48 $16.46 $18.94
Second Quarter........................... 22.09 18.62 21.75
Third Quarter............................ 23.94 21.29 22.73
Fourth Quarter........................... 31.94 23.53 31.18

2005
First Quarter ........................... $30.80 $24.79 $25.83
Second Quarter .......................... 28.13 22.78 25.83
Third Quarter ........................... 26.35 23.08 25.05
Fourth Quarter........................... 31.96 24.91 30.01

2006
First Quarter (through the date of this
pricing supplement).................... $36.70 $30.24 $36.32

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) Starbucks Corporation does not pay any cash dividends 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
CHANGE FROM THE TOTAL COUPON HYPOTHETICAL
ISSUE PRICE TO PAYMENTS PAID OR HYPOTHETICAL TOTAL ANNUALIZED HYPOTHETICAL
HYPOTHETICAL THE HYPOTHETICAL PAYABLE ON OR AMOUNT PAYABLE YIELD ON THE TOTAL ANNUALIZED
SETTLEMENT VALUE SETTLEMENT VALUE BEFORE THE ON THE STATED NOTES YIELD FROM
ON THE VALUATION ON THE VALUATION STATED MATURITY MATURITY DATE ON THE STATED DIRECT OWNERSHIP
DATE DATE DATE PER YEELDS PER YEELDS (1) MATURITY DATE (2) OF COMMON STOCKS
---------------- ---------------- --------------- -------------- ----------------- -----------------

$21.3604 -40% $1.1781 $21.3604 -37.12% -39.92%
28.4806 -20 1.1781 28.4806 -16.87 -19.95
32.0406 -10 1.1781 32.0406 -6.76 -9.97
35.6007 0 1.1781 35.6007 3.34 0.00
39.1608 10 1.1781 39.1608 13.43 9.97
42.7208 20 1.1781 42.7208 23.52 19.94
49.8410 40 1.1781 42.7208 23.52 39.87
56.9611 60 1.1781 42.7208 23.52 59.79
64.0813 80 1.1781 42.7208 23.52 79.71
71.2014 100 1.1781 42.7208 23.52 99.60

- -----------------------
(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 84,268 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 $23,000,010,
$57,500 and $22,942,510, respectively.

Lehman Brothers Holdings expects to deliver the YEELDS against payment on or
about March 7, 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

561,787 YEELDS(R)

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

3.30% YIELD ENHANCED EQUITY LINKED DEBT SECURITIES DUE MARCH 8, 2007
PERFORMANCE LINKED TO STARBUCKS CORPORATION (SBUX) COMMON STOCK

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

PRICING SUPPLEMENT
FEBRUARY 28, 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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