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):
                                 MARCH 31, 2006

                          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 executive offices)               (Zip Code)

               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 Absolute Buffer Notes Due
       March 31, 2009, Linked to the Nikkei 225(SM) Index (filed herewith)

4.02   Calculation Agency Agreement between the Registrant and Lehman Brothers
       Inc., as calculation agent, relating to the Registrant's Absolute Buffer
       Notes Due March 31, 2009, Linked to the Nikkei 225(SM) Index
       (filed herewith)


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                                    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: March 31, 2006


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                                  EXHIBIT INDEX

Exhibit No.   Exhibit
-----------   -------
4.01          Global Security representing the Registrant's Absolute Buffer
              Notes Due March 31, 2009, Linked to the Nikkei 225(SM) Index

4.02          Calculation Agency Agreement between the Registrant and Lehman
              Brothers Inc., as calculation agent, relating to the Registrant's
              Absolute Buffer Notes Due March 31, 2009, Linked to the Nikkei
              225(SM) Index


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