-----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, CFkKguTrsPCZtBv4g98p65QR2qcwOW7jpyxt3ZrL+G8ngE9quoF+ncXnzJ68XNIG 4w9G6fi6bC48Gx/JEr1Ebg== 0000950136-06-005116.txt : 20060620 0000950136-06-005116.hdr.sgml : 20060620 20060620163443 ACCESSION NUMBER: 0000950136-06-005116 CONFORMED SUBMISSION TYPE: 424B5 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20060620 DATE AS OF CHANGE: 20060620 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: 333-134553 FILM NUMBER: 06915560 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 file1.htm

Filed Pursuant to Rule 424(b)(5)
Registration File No.: 333-134553

PRICING SUPPLEMENT NO. 2
to Prospectus Supplement dated May 30, 2006
to Prospectus Supplement dated May 30, 2006
and Prospectus dated May 30, 2006

$15,500,000
LEHMAN BROTHERS HOLDINGS INC.
MEDIUM-TERM NOTES, SERIES I
0.25% Notes Due June 23, 2011
Performance Linked to a Basket of Ten Semiconductor Stocks

Because these notes are part of a series of Lehman Brothers Holdings' debt
securities called Medium-Term Notes, Series I, this pricing supplement and the
accompanying prospectus supplement, dated May 30, 2006 (the "synthetic
convertible prospectus supplement") should also be read with the accompanying
prospectus supplement, dated May 30, 2006 (the "MTN prospectus supplement") and
the accompanying prospectus dated May 30, 2006 (the "base prospectus"). Terms
used here have the meanings given them in the synthetic convertible prospectus
supplement, the MTN prospectus supplement or the base prospectus, unless the
context requires otherwise.

o REFERENCE EQUITY: A basket of common stocks of the following ten companies:
Analog Devices, Inc., Applied Materials, Inc., Broadcom Corporation, Intel
Corporation, Linear Technology Corporation, Marvell Technology Group Ltd.,
Maxim Integrated Products, Inc., Motorola, Inc., STMicroelectronics N.V.
and Texas Instruments Incorporated. These companies are not involved in
this offering and have no obligation with respect to the notes.

o PRINCIPAL AMOUNT: $1,000 per note and, in the aggregate, $15,500,000.

o STATED MATURITY DATE: June 23, 2011, subject to postponement if the
valuation date is postponed.

o VALUATION DATE RELATED TO THE STATED MATURITY DATE: June 16, 2011, 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-18 of the synthetic convertible
prospectus supplement.

o INTEREST RATE: 0.25% per annum.

o INTEREST PAYMENT DATES: June 23 and December 23 of each year, beginning on
December 23, 2006.

o INTEREST PAYMENT RECORD DATES: 15 calendar days prior to each interest
payment date.

o THRESHOLD VALUE: $112.89, which is 112.89% of $100.000. $100.000 is the
initial level of the basket.

o EARLIEST REDEMPTION DATE: June 16, 2008.

o REDEMPTION NOTICE PERIOD: 30 calendar days.

o OPTIONAL REPURCHASE NOTICE PERIOD: Eight business days.

o DETERMINATION PERIOD: Five business days.

o MULTIPLIERS: The initial multiplier is 0.20407 for the Analog Devices, Inc.
common stock, 0.91718 for the Applied Materials, Inc. common stock, 0.22445
for the Broadcom Corporation common stock, 0.68199 for the Intel
Corporation common stock, 0.17075 for the Linear Technology Corporation
common stock, 0.14821 for the Marvell Technology Group Ltd. common stock,
0.17936 for the Maxim Integrated Products, Inc. common stock, 0.75929 for
the Motorola, Inc. common stock, 0.50262 for the STMicroelectronics N.V.
common stock and 0.52731 for the Texas Instruments Incorporated common
stock. The multipliers are subject to adjustment under various
circumstances, as described under the caption "Description of the
Notes-Adjustments to multipliers and securities included in the
calculation of the settlement value" on page SS-19 of the synthetic
convertible prospectus supplement. See also "Initial Multipliers; Base
Dividends and Adjustments to the Multipliers" on page PS-2 of this pricing
supplement.

o DENOMINATIONS: $1,000 and whole multiples of $1,000.

o STOCK SETTLEMENT: None.

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

o CUSIP NO.: 52520WAG6

o ISIN NO.: US52520WAG69

Investing in the notes involves risks. Risk Factors begin on page SS-7 of
the synthetic convertible 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 prospectus supplement or any accompanying
prospectus is truthful or complete. Any representation to the contrary is a
criminal offense.

----------------------
Per Note Total
-------- -----
Public offering price............................. 100.00% $15,500,000
Underwriting discount............................. 0.25% $ 38,750
Proceeds to Lehman Brothers Holdings.............. 99.75% $15,461,250

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

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $2,325,000
aggregate principal amount of notes 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 June 23, 2006.

LEHMAN BROTHERS
June 16, 2006

INITIAL MULTIPLIERS; ADJUSTMENTS TO THE MULTIPLIERS; BASE DIVIDENDS

The initial multiplier is:

o 0.20407 for the Analog Devices, Inc. common stock;
o 0.91718 for the Applied Materials, Inc. common stock;
o 0.22445 for the Broadcom Corporation common stock;
o 0.68199 for the Intel Corporation common stock;
o 0.17075 for the Linear Technology Corporation common stock;
o 0.14821 for the Marvell Technology Group Ltd. common stock;
o 0.17936 for the Maxim Integrated Products, Inc. common stock;
o 0.75929 for the Motorola, Inc. common stock;
o 0.50262 for the STMicroelectronics N.V. common stock; and
o 0.52731 for the Texas Instruments Incorporated common stock.

The multipliers are subject to adjustment under certain circumstances, including
if, during the period from the date of this pricing supplement to the valuation
date, holders of record of shares of common stock of any of the ten companies
whose common stock is included in the basket are entitled to receive a cash
dividend (other than an extraordinary dividend) from such company and the amount
of such dividend is more or less than the "base dividend" specified below. See
"Description of the Notes-Adjustments to multipliers and securities included in
the calculation of the settlement value" on page SS-19 of the synthetic
convertible prospectus supplement.

The "base dividend" shall be:

o $0.160 for the Analog Devices, Inc. common stock;
o $0.050 for the Applied Materials, Inc. common stock;
o $0.000 for the Broadcom Corporation common stock;
o $0.100 for the Intel Corporation common stock;
o $0.150 for the Linear Technology Corporation common stock;
o $0.000 for the Marvell Technology Group Ltd. common stock;
o $0.125 for the Maxim Integrated Products, Inc. common stock;
o $0.050 for the Motorola, Inc. common stock;
o $0.090 for the STMicroelectronics N.V. common stock; and
o $0.030 for the Texas Instruments Incorporated common stock;

which is the amount of the respective dividend per share of common stock most
recently paid by such company prior to the date of this pricing supplement,
subject to adjustment in the event of certain events affecting the applicable
shares of common stock of any such company, 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 any
such company has failed to declare or make a dividend payment, the effective
adjustment date for adjusting the applicable multiplier will be:

o in the case of the Analog Devices, Inc. common stock, the first business
day immediately following the 9th day of each January, April, July or
October and the valuation date, as applicable;
o in the case of Applied Materials, Inc. common stock, the first business day
immediately following the 30th day of each March, June, September or
December and the valuation date, as applicable;
o in the case of the Broadcom Corporation common stock, the first business
day immediately following the 16th day of each March, June, September or
December and the valuation date, as applicable;
o in the case of the Intel Corporation common stock, the first business day
immediately following the 18th day of each March, June, September or
December and the valuation date, as applicable;
o in the case of the Linear Technology Corporation common stock, the first
business day immediately following the 10th day of each March, June,
September or

PS-2

December and the valuation date, as applicable;

o in the case of the Marvell Technology Group Ltd. common stock, the first
business day immediately following the 16th day of each March, June,
September or December and the valuation date, as applicable;
o in the case of the Maxim Integrated Products, Inc. common stock, the first
business day immediately following the 26th day of each March, June,
September or December and the valuation date, as applicable;
o in the case of the Motorola, Inc. common stock, the first business day
immediately following the 29th day of each January, April, July or October
and the valuation date, as applicable.
o in the case of the STMicroelectronics N.V. common stock, the first business
day immediately following the 7th day of each July and the valuation date,
as applicable; and
o in the case of the Texas Instruments Incorporated common stock, the first
business day immediately following the 11th day of each March, June,
September or December and the valuation date, as applicable.

EXAMPLES OF AMOUNT PAYABLE AT MATURITY OR UPON REDEMPTION OR REPURCHASE

Here are two examples of hypothetical alternative redemption amount
calculations. In each of these examples it is assumed that during the term of
the notes the issuers of the common stocks included in the basket do not change
the amount of the cash dividends that they pay on their shares of common stock.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $100.00:

Alternative redemption amount per $1,000 note =

$100
$1,000 x ---- = $885.82
$112.89

As a result, on the maturity date or upon redemption, you would receive $1,000,
plus accrued but unpaid interest, per $1,000 note because $1,000 is greater than
$885.82. If you require Lehman Brothers Holdings to repurchase your notes, you
would only receive $885.82, plus accrued but unpaid interest, per $1,000 note.

EXAMPLE 2. ASSUMING THE SETTLEMENT VALUE IS $120:

Alternative redemption amount per $1,000 note =

$120
$1,000 x ---- = $1,062.98
$112.89

As a result, on the maturity date or upon redemption, you would receive
$1,062.98, plus accrued but unpaid interest, per $1,000 note because $1,062.98
is greater than $1,000. If you require Lehman Brothers Holdings to repurchase
your notes, you would also receive $1,062.98, plus accrued but unpaid interest,
per $1,000 note.

To the extent the actual settlement value differs from the values assumed above
or that any of the issuers of the common stocks included in the basket changes
the amount of the cash dividends it pays on its shares of common stock, the
results indicated above would be different.

PS-3

THE BASKET

THE TEN COMMON STOCKS COMPRISING THE BASKET

The basket will represent a portfolio of the ten common stocks in the basket.
The level of the basket will increase or decrease by the performance of the
common stocks that make up the basket. The following table presents information
with respect to the ten issuers whose common stocks are included in the basket,
including with respect to each issuer: primary exchange on which the common
stock trades and the stock symbol, stock price on the date of this pricing
supplement, initial multiplier and the starting value for each of the common
stocks included in the basket.

INITIAL
STARTING MULTIPLIER
STOCK STOCK PRICE (NUMBER STARTING
ISSUER OF THE COMMON STOCK EXCHANGE SYMBOL PER SHARE OF SHARES) VALUE
- -------------------------- -------- ------ --------- ------- -----

Analog Devices, Inc. NYSE ADI $33.200 0.20407 $ 6.775
Applied Materials, Inc. NASDAQ AMAT 16.760 0.91718 15.372
Broadcom Corporation NASDAQ BRCM 32.020 0.22445 7.187
Intel Corporation NASDAQ INTC 18.160 0.68199 12.385
Linear Technology Corporation NASDAQ LLTC 34.600 0.17075 5.908
Marvell Technology Group Ltd. NASDAQ MRVL 51.610 0.14821 7.649
Maxim Integrated Products, Inc. NASDAQ MXIM 32.030 0.17936 5.745
Motorola, Inc. NYSE MOT 20.120 0.75929 15.277
STMicroelectronics N.V. NYSE STM 15.620 0.50262 7.851
Texas Instruments Incorporated NYSE TXN 30.060 0.52731 15.851
--------
$100.000
========

All information in the table above was obtained from Bloomberg L.P., without
independent verification.

PS-4

Lehman Brothers Holdings has obtained the following information from the
respective companies' reports and other documents filed with the SEC:

ANALOG DEVICES, INC.

Analog Devices, Inc. is a world leader in the design, manufacture and marketing
of high-performance analog, mixed-signal and digital signal processing
integrated circuits used in signal processing for industrial, communication,
computer and consumer applications. Analog Devices, Inc. focuses on solving the
engineering challenges associated with signal processing in electronic
equipment. Analog Devices, Inc. produces a wide range of products that are
designed to meet the signal processing technology needs of a broad base of
customers.

APPLIED MATERIALS, INC.

Applied Materials, Inc. develops, manufactures, markets and services integrated
circuit fabrication equipment for the worldwide semiconductor and
semiconductor-related industry. Customers for these products include
semiconductor wafer manufacturers and integrated circuit manufacturers
(including those that produce chips and flat panel displays), which either use
the integrated circuits they manufacture in their own products or sell them to
other companies for use in advanced electronic components.

BROADCOM CORPORATION

Broadcom Corporation is a global leader in semiconductors for wired and wireless
communications. Broadcom Corporation's products enable the delivery of voice,
video, data and multimedia to and throughout the home, the office and the mobile
environment. Broadcom Corporation provides the industry's broadest portfolio of
state-of-the-art system-on-a-chip and software solutions to manufacturers of
computing and networking equipment, digital entertainment and broadband access
products, and mobile devices. Broadcom Corporation's diverse product portfolio
includes solutions for digital cable, satellite and Internet Protocol set-top
boxes and media servers; high definition television; high definition DVD players
and personal video recording devices; cable and DSL modems and residential
gateways; high-speed transmission and switching for local, metropolitan, wide
area and storage networking; System I/ OTM server solutions; broadband network
and security processors; wireless and personal area networking; cellular and
terrestrial wireless communications; and Voice over Internet Protocol gateway
and telephony systems.

INTEL CORPORATION

Intel Corporation is the world's largest semiconductor chip maker, developing
advanced integrated digital technology platforms for the computing and
communications industries. Intel Corporation offers products at various levels
of integration, allowing its customers flexibility to create advanced computing
and communications systems and products. Intel Corporation's products include
chips, boards and other semiconductor components that are the building blocks
integral to computers, servers, and networking and communications products.
Intel Corporation's component-level products consist of integrated circuits used
to process information. Intel Corporation's integrated circuits are silicon
chips, known as semiconductors, etched with interconnected electronic switches.

LINEAR TECHNOLOGY CORPORATION

Linear Technology Corporation designs, manufactures and markets a broad line of
standard high performance linear integrated circuits. Applications for Linear
Technology Corporation's products include telecommunications, cellular
telephones, networking products, notebook computers, computer peripherals,
video/multimedia, industrial instrumentation, security monitoring devices,
high-end consumer products such as digital cameras and MP3 players, complex
medical devices, automotive electronics, factory automation, process control,
and military and space systems.

MARVELL TECHNOLOGY GROUP LTD.

Marvell Technology Group Ltd. is a leading global semiconductor provider of
high-performance analog, mixed-signal, digital signal processing and embedded
microprocessor integrated circuits. Marvell Technology Group Ltd.'s product
portfolio includes switching, transceiver, wireless, PC connectivity, gateways,
communications controller, storage and power management solutions that serve
diverse applications used in business enterprise, consumer electronics and
emerging markets. Marvell Technology Group Ltd.'s wireless technology has a
variety of uses in emerging consumer electronic devices, including enabling
applications such as

PS-5

wireless connectivity, ad-hoc gaming, streaming audio or video and voice over
Internet applications for products offered by companies such as Microsoft,
Motorola, PalmOne and Sony Corporation. Marvell Technology Group Ltd. also
applied its technology by introducing integrated circuits and modules that
provide power management broadly to electronic devices.

MAXIM INTEGRATED PRODUCTS, INC.

Maxim Integrated Products, Inc. designs, develops, manufactures, and markets a
broad range of linear and mixed-signal integrated circuits, commonly referred to
as analog circuits. Maxim Integrated Products, Inc. also provides a range of
high-frequency design processes and capabilities that can be used in custom
designs. Maxim Integrated Products, Inc. objective is to develop and market both
proprietary and industry-standard analog integrated circuits that meet the
increasingly stringent quality standards demanded by customers.

MOTOROLA, INC.

Motorola, Inc. is a communications company providing end-to-end seamless
mobility products. Motorola, Inc. builds, markets and sells products, services
and applications that enable telephony, data and video to be experienced across
multiple domains including home, enterprise, auto and "mobile-me". Motorola,
Inc. is known around the world for innovation and leadership in wireless,
broadband and automotive communications.

STMICROELECTRONICS N.V.

STMicroelectronics N.V is a global independent semiconductor company that
designs, develops, manufactures and markets a broad range of semiconductor
products used in a wide variety of microelectronic applications, including
automotive products, computer peripherals, telecommunications systems, consumer
products, industrial automation and control systems.

TEXAS INSTRUMENTS INCORPORATED

Texas Instruments Incorporated makes, markets and sells high-technology
components to more than 50,000 customers all over the world. Texas Instruments
Incorporated has two separate business segments: Semiconductor and Educational &
Productivity Solutions. In the Semiconductor segment, Texas Instruments
Incorporated focuses primarily on technologies that make it possible for a
variety of consumer and industrial electronic equipment to process both analog
and digital signals in real time. The Educational & Productivity Solutions
segment is a leading supplier of graphing handheld calculators. It also provides
customers with business and scientific calculators and a wide range of advanced
classroom tools and professional development that enables students and teachers
to interactively explore math and science.

Each company's common 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 companies
may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

HISTORICAL INFORMATION ABOUT THE COMMON STOCKS INCLUDED IN THE BASKET

The following table presents the high and low per share closing prices for each
of the common stocks included in the basket, as reported on the primary exchange
on which such common stock trades 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 these common stocks are not necessarily indicative of
future performance. Lehman Brothers Holdings cannot assure you that the prices
of these common stocks included in the basket will increase enough so that the
alternative redemption amount will be greater than $1,000. 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-6

ANALOG DEVICES, INC.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $30.87 $23.04 $27.50
Second Quarter.............................. 39.50 26.92 34.82
Third Quarter............................... 42.74 35.25 38.02
Fourth Quarter.............................. 49.80 39.30 45.65

2004
First Quarter .............................. $51.39 $44.89 $48.01
Second Quarter.............................. 50.73 42.30 47.08
Third Quarter............................... 44.85 33.57 38.78
Fourth Quarter.............................. 41.34 36.08 36.92

2005
First Quarter............................... $38.05 $34.05 $36.14
Second Quarter.............................. 38.64 32.84 37.31
Third Quarter............................... 41.32 35.54 37.14
Fourth Quarter.............................. 39.74 32.48 35.87

2006
First Quarter............................... $40.91 $36.70 $38.29
Second Quarter (through the date of this
pricing supplement)....................... 39.23 32.00 32.99

APPLIED MATERIALS, INC.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $15.70 $11.60 $12.58
Second Quarter.............................. 16.87 12.76 15.84
Third Quarter............................... 22.22 16.01 18.13
Fourth Quarter.............................. 25.61 18.55 22.44

2004
First Quarter .............................. $24.63 $20.20 $21.33
Second Quarter.............................. 22.84 18.03 19.62
Third Quarter............................... 19.00 15.61 16.49
Fourth Quarter.............................. 17.89 15.69 17.10

2005
First Quarter............................... $17.92 $15.17 $16.25
Second Quarter.............................. 17.40 14.50 16.18
Third Quarter............................... 18.58 16.12 16.96
Fourth Quarter.............................. 19.20 16.03 17.94

2006
First Quarter............................... $20.82 $17.41 $17.51
Second Quarter (through the date of this
pricing supplement)....................... 19.05 16.14 16.30

PS-7

BROADCOM CORPORATION

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $13.25 $8.23 $8.23
Second Quarter.............................. 17.85 8.27 16.61
Third Quarter............................... 19.68 13.34 17.77
Fourth Quarter.............................. 24.88 17.85 22.68

2004
First Quarter .............................. $28.31 $22.94 $26.01
Second Quarter.............................. 31.07 24.67 31.07
Third Quarter............................... 29.88 17.01 18.19
Fourth Quarter.............................. 22.41 17.34 21.52

2005
First Quarter............................... $22.40 $19.54 $19.95
Second Quarter.............................. 24.85 18.32 23.69
Third Quarter............................... 31.28 24.07 31.28
Fourth Quarter.............................. 33.00 27.54 31.43

2006
First Quarter............................... $48.84 $32.37 $43.16
Second Quarter (through the date of this
pricing supplement)....................... 46.64 29.33 32.15

INTEL CORPORATION

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $18.90 $15.05 $16.28
Second Quarter.............................. 22.14 16.42 20.81
Third Quarter............................... 29.18 21.41 27.52
Fourth Quarter.............................. 34.12 28.62 32.05

2004
First Quarter .............................. $34.24 $26.16 $27.20
Second Quarter.............................. 28.99 25.73 27.60
Third Quarter............................... 27.02 19.68 20.06
Fourth Quarter.............................. 24.80 20.28 23.39

2005
First Quarter............................... $25.11 $21.99 $23.23
Second Quarter.............................. 27.70 22.12 26.02
Third Quarter............................... 28.71 23.83 24.65
Fourth Quarter.............................. 27.43 22.65 24.96

2006
First Quarter............................... $26.47 $19.46 $19.46
Second Quarter (through the date of this
pricing supplement)....................... 20.11 16.86 18.30

PS-8

LINEAR TECHNOLOGY CORPORATION

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $34.91 $25.95 $30.87
Second Quarter.............................. 36.77 30.48 32.38
Third Quarter............................... 41.94 33.04 35.93
Fourth Quarter.............................. 44.33 37.05 42.07

2004
First Quarter .............................. $44.95 $35.88 $37.09
Second Quarter.............................. 39.78 35.37 39.47
Third Quarter............................... 39.74 34.42 36.24
Fourth Quarter.............................. 40.04 36.09 38.76

2005
First Quarter............................... $40.31 $36.15 $38.31
Second Quarter.............................. 39.21 35.43 36.69
Third Quarter............................... 41.54 36.09 37.59
Fourth Quarter.............................. 39.26 32.90 36.07

2006
First Quarter............................... $39.25 $34.63 $35.08
Second Quarter (through the date of this
pricing supplement)....................... 36.76 33.06 34.32

MARVELL TECHNOLOGY GROUP LTD.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $11.68 $8.63 $10.60
Second Quarter.............................. 17.18 10.00 17.18
Third Quarter............................... 21.56 16.29 18.89
Fourth Quarter.............................. 22.81 18.06 18.97

2004
First Quarter .............................. $22.88 $18.95 $22.48
Second Quarter.............................. 26.70 19.03 26.70
Third Quarter............................... 27.25 19.77 26.13
Fourth Quarter.............................. 35.54 26.92 35.47

2005
First Quarter............................... $38.34 $31.37 $38.34
Second Quarter.............................. 41.48 32.92 37.97
Third Quarter............................... 47.91 38.00 46.11
Fourth Quarter.............................. 59.95 42.06 56.09

2006
First Quarter............................... $70.64 $54.10 $54.10
Second Quarter (through the date of this
pricing supplement)....................... 60.99 46.81 52.63

PS-9

MAXIM INTEGRATED PRODUCTS, INC.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $40.51 $30.14 $36.12
Second Quarter.............................. 41.15 33.85 34.10
Third Quarter............................... 45.55 34.65 39.39
Fourth Quarter.............................. 53.31 40.83 49.58

2004
First Quarter .............................. $55.99 $44.38 $46.97
Second Quarter.............................. 52.42 45.25 52.42
Third Quarter............................... 50.14 39.27 42.29
Fourth Quarter.............................. 44.70 40.87 42.39

2005
First Quarter............................... $44.40 $38.17 $40.87
Second Quarter.............................. 41.86 36.60 38.22
Third Quarter............................... 45.65 38.14 42.65
Fourth Quarter.............................. 43.09 34.60 36.24

2006
First Quarter............................... $42.26 $35.76 $37.15
Second Quarter (through the date of this
pricing supplement)....................... 37.94 30.31 32.16

MOTOROLA, INC.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $8.89 $6.90 $7.39
Second Quarter.............................. 8.71 7.01 8.44
Third Quarter............................... 11.22 7.80 10.70
Fourth Quarter.............................. 12.70 10.86 12.53

2004
First Quarter .............................. $16.88 $12.98 $15.75
Second Quarter.............................. 18.55 14.52 16.33
Third Quarter............................... 16.27 12.64 16.15
Fourth Quarter.............................. 18.30 14.82 17.20

2005
First Quarter............................... $17.43 $14.72 $14.97
Second Quarter.............................. 18.87 14.61 18.26
Third Quarter............................... 23.87 18.27 22.03
Fourth Quarter.............................. 24.77 19.77 22.59

2006
First Quarter............................... $24.53 $20.53 $22.91
Second Quarter (through the date of this
pricing supplement)....................... 24.08 19.73 20.08

PS-10

STMICROELECTRONICS N.V.

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $22.40 $16.85 $18.90
Second Quarter.............................. 23.44 18.43 20.79
Third Quarter............................... 27.15 20.34 24.05
Fourth Quarter.............................. 28.63 24.69 27.01

2004
First Quarter .............................. $29.90 $22.58 $23.60
Second Quarter.............................. 24.75 20.43 22.01
Third Quarter............................... 21.58 16.42 17.28
Fourth Quarter.............................. 21.06 17.14 19.32

2005
First Quarter............................... $19.09 $16.22 $16.66
Second Quarter.............................. 16.57 14.03 15.94
Third Quarter............................... 18.29 15.84 17.28
Fourth Quarter.............................. 18.78 16.12 18.00

2006
First Quarter............................... $19.87 $16.69 $18.39
Second Quarter (through the date of this
pricing supplement)....................... 19.60 14.83 15.48

TEXAS INSTRUMENTS INCORPORATED

HIGH LOW PERIOD END
---- --- ----------

2003
First Quarter............................... $18.67 $14.15 $16.37
Second Quarter.............................. 21.10 16.23 17.60
Third Quarter............................... 26.03 17.62 22.80
Fourth Quarter.............................. 30.92 23.25 29.38

2004
First Quarter .............................. $33.65 $27.15 $29.22
Second Quarter.............................. 30.94 23.00 24.18
Third Quarter............................... 23.54 18.40 21.28
Fourth Quarter.............................. 25.36 21.09 24.62

2005
First Quarter............................... $27.37 $20.77 $25.49
Second Quarter.............................. 28.34 22.76 28.07
Third Quarter............................... 33.96 28.03 33.90
Fourth Quarter.............................. 34.11 27.47 32.07

2006
First Quarter............................... $34.45 $29.23 $32.47
Second Quarter (through the date of this
pricing supplement)....................... 35.56 28.90 29.56

PS-11

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 notes are first issued until the stated maturity date and
(b) the issuers of the common stocks included in the basket do not change the
amount of the cash dividends that they pay on their shares of common stock:

o the hypothetical alternative redemption amount per $1,000 note;

o the percentage change from the principal amount to the hypothetical
alternative redemption amount;

o the hypothetical total amount payable on the stated maturity date per
$1,000 note (without interest);

o the hypothetical total rate of return (without interest);

o the hypothetical annualized pre-tax rate of return (without interest);

o the hypothetical total rate of return (including interest); and

o the hypothetical annualized pre-tax rate of return (including interest).

PERCENTAGE HYPOTHETICAL
CHANGE FROM TOTAL
THE AMOUNT
PRINCIPAL PAYABLE ON HYPOTHETICAL
AMOUNT TO THE STATED HYPOTHETICAL ANNUALIZED
HYPOTHETICAL THE MATURITY HYPOTHETICAL ANNUALIZED HYPOTHETICAL PRE-TAX
HYPOTHETICAL ALTERNATIVE HYPOTHETICAL DATE PER TOTAL RATE PRE-TAX RATE TOTAL RATE RATE OF
SETTLEMENT REDEMPTION ALTERNATIVE $1,000 NOTE OF RETURN OF RETURN OF RETURN RETURN
VALUE ON THE AMOUNT PER REDEMPTION (WITHOUT (WITHOUT (WITHOUT (INCLUDING (INCLUDING
VALUATION DATE $1,000 NOTE AMOUNT INTEREST) INTEREST) INTEREST) INTEREST) INTEREST)
- ---------------------------------------------------------------------------------------------------------------------------

$90.00 $797.24 -20.28% $1,000.00 0.00% 0.00% 1.25% 0.25%
$95.00 $841.53 -15.85% $1,000.00 0.00% 0.00% 1.25% 0.25%
$100.00 $885.82 -11.42% $1,000.00 0.00% 0.00% 1.25% 0.25%
$105.00 $930.11 -6.99% $1,000.00 0.00% 0.00% 1.25% 0.25%
$112.89(1) $1,000.00 0.00% $1,000.00 0.00% 0.00% 1.25% 0.25%
$115.00 $1,018.69 1.87% $1,018.69 1.87% 0.37% 3.12% 0.62%
$120.00 $1,062.98 6.30% $1,062.98 6.30% 1.23% 7.55% 1.47%
$125.00 $1,107.27 10.73% $1,107.27 10.73% 2.06% 11.98% 2.29%
$130.00 $1,151.56 15.16% $1,151.56 15.16% 2.86% 16.41% 3.08%

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

(1) This figure represents the threshold level.

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.

The table above only provides hypothetical return information with regard to
notes held to maturity. It is not applicable in the case of notes repurchased or
redeemed prior to the stated maturity date.

You should compare the features of the notes to other available investments
before deciding to purchase the notes. Due to the uncertainty as to whether the
alternative redemption amount, at stated maturity or in connection with a
repurchase or redemption, will be greater than $1,000 per $1,000 note or whether
the notes will be redeemed prior to the stated maturity date, the return on
investment with respect to the notes may be higher or lower than the return
available on other securities issued by Lehman Brothers Holdings or by others
and available through Lehman Brothers Inc. You should reach an investment
decision only after carefully considering the suitability of the notes in light
of your particular circumstances.

PS-12

SUPPLEMENTAL UNITED STATES FEDERAL INCOME TAX CONSEQUENCES

Lehman Brothers Holdings is required to provide the comparable yield to you and,
solely for tax purposes, is also required to provide a projected payment
schedule that includes the actual interest payments on the notes and estimates
the amount and timing of contingent payments on the notes. Lehman Brothers
Holdings will not determine the actual comparable yield of the notes until they
are issued. You can obtain the comparable yield of the notes and the projected
payment schedule by submitting a written request for them to Lehman Brothers
Holdings at the following address:

Controller's Office
Lehman Brothers Holdings Inc.
745 Seventh Avenue
New York, New York 10019
(212) 526-7000

Lehman Brothers Holdings agrees and, by purchasing a note, you agree, for United
States federal income tax purposes, to be bound by Lehman Brothers Holdings'
determination of the comparable yield and projected payment schedule. As a
consequence, for United States federal income tax purposes, you must use the
comparable yield determined by Lehman Brothers Holdings and the projected
payments set forth in the projected payment schedule prepared by Lehman Brothers
Holdings in determining your interest accruals, and the adjustments thereto, in
respect of the notes.

PS-13

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 notes 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 notes 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 notes, up
to $2,325,000 additional aggregate principal amount of notes 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 notes. If this option is exercised in full, the total public offering
price, the underwriting discount and proceeds to Lehman Brothers Holdings would
be $17,825,000, $44,562 and $17,780,438, respectively.

Lehman Brothers Holdings expects to deliver the notes against payment on or
about June 23, 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 notes on the date of this pricing supplement, it will be required, by virtue
of the fact that the notes 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.

Lehman Brothers Holdings or an affiliate has entered into swap agreements or
related hedge transactions with one of Lehman Brothers Holdings' other
affiliates or unaffiliated counterparties in connection with the sale of the
notes and Lehman Brothers Inc. and/or an affiliate has earned additional income
as a result of payments pursuant to the swap, or related hedge transactions.

PS-14

$15,500,000

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

0.25% NOTES DUE JUNE 23, 2011
PERFORMANCE LINKED TO A BASKET OF TEN SEMICONDUCTOR STOCKS

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

PRICING SUPPLEMENT
JUNE 16, 2006

(INCLUDING PROSPECTUS SUPPLEMENT
DATED MAY 30, 2006,

PROSPECTUS SUPPLEMENT
DATED MAY 30, 2006 AND

PROSPECTUS
DATED MAY 30, 2006)

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

LEHMAN BROTHERS

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