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


PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED MAY 30, 2006)

                                  $3,350,000
                         LEHMAN BROTHERS HOLDINGS INC.
                         Limited Principal Protection
                                   RAPIDS(SM)
       Return Accelerated PortfolIo Debt Securities Due January 26, 2008
                    Linked to the Nikkei 225(SM) Index (NKY)
                               ----------------

General:

o    Senior unsecured debt securities of Lehman Brothers Holdings.

o    Linked to the Nikkei 225 Index, as published by Nihon Keizai Shimbun, Inc.

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

o    Minimum initial investment: $10,000.

o    Stated maturity date: January 26, 2008, and if such a date is not a
     business day, then the following business day, subject to postponement if
     the valuation date is postponed.

o    Valuation date: January 23, 2008, subject to postponement if such day is
     not an exchange business day or if a market disruption event occurs.

o    Threshold level: 13339.13, which is 90% of the initial index level.

o    The notes will not be listed on any exchange.

Payments:

o    No interest or other payments prior to maturity.

o    On the stated maturity date, Lehman Brothers Holdings will pay to you, per
     $1,000 note, an amount equal to:

     --   If the final index return is greater than or equal to zero, the lesser
          of:

        (a)        $1,260; and

        (b)        $1,000 + ($2,000 x the final index return).

     --   If the final index return is less than zero and the final index level
          is equal to or greater than the threshold level, $1,000.

     --   If the final index return is less than zero and the final index level
          is less than the threshold level:

                         final index level
                $1,000 x ------------------
                          threshold level

    The final index return will equal:

              final index level - initial index level
              ---------------------------------------
                         initial index level

The initial index level is 14821.26, which is the closing index level on the
date of this prospectus supplement. The final index level will be the closing
index level on the valuation date, which will be the third business day before
the stated maturity date. The closing index level on any particular day will
generally be the closing index level of the Nikkei 225 Index on such day.

    Investing in the notes involves risks. Risk Factors begin on page S-6.

Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined that
this prospectus supplement or the accompanying prospectus is truthful or
complete. Any representation to the contrary is a criminal offense.

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


                                    PER NOTE        TOTAL
                                                  ----------   -------------

Public offering price .........................       100%      $3,350,000
Underwriting discount .........................         2%      $   67,000
Proceeds to Lehman Brothers Holdings ..........        98%      $3,283,000


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

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $502,500 aggregate
principal amount of notes on the same terms and conditions as 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 July 26, 2006.

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

Lehman Brothers Inc., a wholly-owned subsidiary of Lehman Brothers Holdings,
makes a market in Lehman Brothers Holdings' securities. It may act as principal
or agent in, and this prospectus supplement and the accompanying prospectus may
be used in connection with, those transactions. Any such sales will be made at
varying prices related to prevailing market prices at the time of sale.

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

                               LEHMAN BROTHERS

July 21, 2006

"RAPIDS" is a service mark of Lehman Brothers Inc. "Nikkei" and "Nikkei 225"
are the service marks of Nihon Keizai Shimbun, Inc. ("NKS") and will be
licensed for use by Lehman Brothers Holdings Inc. The notes, linked to the
performance of the Nikkei 225 Index, are not sponsored, endorsed, sold or
promoted by NKS, and NKS makes no representation regarding the advisability of
investing in the notes.

YOU SHOULD RELY ONLY ON THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE
IN THIS PROSPECTUS SUPPLEMENT, THE ACCOMPANYING PROSPECTUS AND ANY RELEVANT FREE
WRITING PROSPECTUS. ANY FREE WRITING PROSPECTUS SHOULD BE READ IN CONNECTION
WITH THIS PROSPECTUS SUPPLEMENT, THE ACCOMPANYING PROSPECTUS AND ANY OTHER
PROSPECTUS SUPPLEMENT REFERRED TO THEREIN. WE HAVE NOT, AND THE AGENT HAS NOT,
AUTHORIZED ANY OTHER PERSON TO PROVIDE YOU WITH DIFFERENT INFORMATION. IF ANYONE
PROVIDES YOU WITH DIFFERENT OR INCONSISTENT INFORMATION, YOU SHOULD NOT RELY ON
IT. WE ARE NOT MAKING AN OFFER TO SELL THESE SECURITIES IN ANY JURISDICTION
WHERE THE OFFER OR SALE IS NOT PERMITTED. YOU SHOULD ASSUME THAT THE INFORMATION
APPEARING IN THIS PROSPECTUS SUPPLEMENT, THE ACCOMPANYING PROSPECTUS AND ANY
RELEVANT FREE WRITING PROSPECTUS, AS WELL AS INFORMATION WE HAVE FILED OR WILL
FILE WITH THE SECURITIES AND EXCHANGE COMMISSION AND INCORPORATED BY REFERENCE,
IS ACCURATE AS OF THE DATE OF THE APPLICABLE DOCUMENT OR OTHER DATE REFERRED TO
IN THE DOCUMENT. OUR BUSINESS, FINANCIAL CONDITION, RESULTS OF OPERATIONS AND
PROSPECTS MAY HAVE CHANGED SINCE THAT DATE.

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

                                TABLE OF CONTENTS

                                                                            PAGE
                                                                            ----

                              PROSPECTUS SUPPLEMENT

SUMMARY INFORMATION - Q&A....................................................S-3
RISK FACTORS.................................................................S-6
USE OF PROCEEDS AND HEDGING.................................................S-11
RATIO OF EARNINGS TO FIXED CHARGES..........................................S-12
DESCRIPTION OF THE NOTES....................................................S-13
THE NIKKEI 225 INDEX........................................................S-18
UNITED STATES FEDERAL INCOME TAX CONSEQUENCES...............................S-22
CERTAIN ERISA CONSIDERATIONS................................................S-25
BOOK-ENTRY ISSUANCE.........................................................S-26
UNDERWRITING................................................................S-28

                                   PROSPECTUS

PROSPECTUS SUMMARY.............................................................1
GENERAL INFORMATION............................................................6
CAUTIONARY STATEMENT REGARDING FORWARD LOOKING STATEMENTS......................6
USE OF PROCEEDS................................................................7
RATIO OF EARNINGS TO FIXED CHARGES AND OF EARNINGS TO COMBINED
    FIXED CHARGES AND PREFERRED STOCK DIVIDENDS................................7
DESCRIPTION OF DEBT SECURITIES.................................................8
DESCRIPTION OF WARRANTS.......................................................19
DESCRIPTION OF PURCHASE CONTRACTS.............................................23
DESCRIPTION OF PREFERRED STOCK................................................27
DESCRIPTION OF DEPOSITARY SHARES..............................................30
DESCRIPTION OF COMMON STOCK...................................................32
DESCRIPTION OF UNITS..........................................................34
FORM, EXCHANGE AND TRANSFER...................................................37
BOOK-ENTRY PROCEDURES AND SETTLEMENT..........................................38
UNITED STATES FEDERAL INCOME TAX CONSEQUENCES.................................40
PLAN OF DISTRIBUTION..........................................................54
CERTAIN ERISA CONSIDERATIONS..................................................58
WHERE YOU CAN FIND MORE INFORMATION...........................................58
LEGAL MATTERS.................................................................59
EXPERTS ......................................................................59


                                       S-2



                            SUMMARY INFORMATION - Q&A

This summary highlights selected information from the prospectus supplement and
the accompanying prospectus to help you understand the notes. You should
carefully read this prospectus supplement and the accompanying prospectus to
understand fully the terms of the notes and the tax and other considerations
that are important to you in making a decision about whether to invest in the
notes. You should pay special attention to the "Risk Factors" section beginning
on page S-6 to determine whether an investment in the notes is appropriate for
you.

WHAT ARE THE NOTES?

The notes are a series of senior debt of Lehman Brothers Holdings Inc. ("Lehman
Brothers Holdings") whose value is linked to the performance of the Nikkei 225
Index. See "The Nikkei 225 Index." The notes will rank equally with all other
unsecured debt of Lehman Brothers Holdings, except subordinated debt, and will
mature on January 26, 2008, subject to postponement if the valuation date is
postponed.

WHO PUBLISHES THE NIKKEI 225 INDEX AND WHAT DOES THE NIKKEI 225 INDEX MEASURE?

The Nikkei 225 Index is a stock index published by Nihon Keizai Shimbun, Inc.
("NKS") that measures the composite price performance of selected Japanese
stocks. The Nikkei 225 Index is currently based on 225 stocks traded on the
Tokyo Stock Exchange (the "TSE") and represents a broad cross section of
Japanese industry. All underlying stocks are stocks listed in the First Section
of the TSE and are, therefore, among the most actively traded stocks on the TSE.
The Nikkei 225 Index is a modified, price-weighted index, which means an
underlying stock's weight in the Nikkei 225 Index is based on its price per
share rather than the total market capitalization of the issuer of the
underlying stock.

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

Please note that an investment in the notes does not entitle you to any
ownership or other interest in the securities underlying the Nikkei 225 Index.

WHAT PAYMENTS WILL I RECEIVE ON THE NOTES BEFORE MATURITY?

None. No interest or other payments will be made on the notes before maturity.

WHAT WILL I RECEIVE IF I HOLD THE NOTES UNTIL THE STATED MATURITY DATE?

On the stated maturity date, Lehman Brothers Holdings will pay to you, per
$1,000 note, an amount equal to:

o   If the final index return is greater than or equal to zero, the lesser of:

    (a) $1,260; and

    (b) $1,000 + ($2,000 x the final index return).

o   If the final index return is less than zero and the final index level is
    equal to or greater than the threshold level, $1,000.

o   If the final index return is less than zero and the final index level is
    less than the threshold level:

                             final index level
                   $1,000 x  -----------------
                              threshold level

The final index return will equal:

               final index level - initial index level
               ---------------------------------------
                         initial index level

The threshold level is 13339.13, which is 90% of the initial index level
(subject to appropriate adjustment by the calculation agent to reflect
adjustments in the Nikkei 225 Index, if applicable).

The initial index level is 14821.26, which is the closing index level on the
date of this prospectus supplement. The final index level will be the closing
index level on the valuation date, which will be the third business day before
the stated maturity date. The closing index level on any particular day will
generally be the closing level of the Nikkei 225 on such day.

If the third business day before the stated maturity date is not a scheduled
trading day or the calculation agent determines that one or more market
disruption events have occurred on that day, the calculation agent will,


                                       S-3



subject to certain limitations, determine the final index level by reference to
the closing index level on the next scheduled trading day on which there is not
a market disruption event. Any such postponement of the date that would
otherwise be the valuation date will cause the stated maturity date to be
postponed until three business days after the date that the final index level is
determined. In limited circumstances, the closing index level may be adjusted.
See "Description of the Notes-Discontinuance of the Nikkei 225 Index;
Alteration of method of calculation."

As a result, on the stated maturity date you will only receive $1,000 or more
than $1,000 per $1,000 note if the final index level on the valuation date is
equal to or greater than the threshold level. If the final index level on the
valuation date is less than the threshold level, you will receive less than
$1,000 per $1,000 note on the stated maturity date. The maximum amount you will
receive on the stated maturity date per $1,000 note will be $1,260.

AMOUNT PAYABLE ON THE STATED MATURITY DATE-EXAMPLES

Here are four examples of hypothetical calculations of the amount payable per
$1,000 note on the stated maturity date.

EXAMPLE 1. ASSUMING THAT THE FINAL INDEX LEVEL OF THE NIKKEI 225 INDEX ON THE
VALUATION DATE IS 19267.64, RESULTING IN A FINAL INDEX RETURN OF 30%:

Because the final index return is greater than zero, the appropriate formula for
calculating the amount payable on the stated maturity date per $1,000 note is:

                        $1,000 + ($2,000 x 30%) = $1,600

As a result, on the stated maturity date, you would receive $1,260 per $1,000
note, because the final index return is greater than zero and $1,260 is less
than $1,600.

EXAMPLE 2. ASSUMING THAT THE FINAL INDEX LEVEL OF THE NIKKEI 225 INDEX ON THE
VALUATION DATE IS 15562.32, RESULTING IN A FINAL INDEX RETURN OF 5%:

Because the final index return is greater than zero, the appropriate formula for
calculating the amount payable on the stated maturity date per $1,000 note is:

                        $1,000 + ($2,000 x 5%) = $1,100

As a result, on the stated maturity date, you would receive $1,100 per $1,000
note, because the final index return is greater than zero and $1,100 is less
than $1,260.

EXAMPLE 3. ASSUMING THAT THE FINAL INDEX LEVEL OF THE NIKKEI 225 INDEX ON THE
VALUATION DATE IS 14080.20, RESULTING IN A FINAL INDEX RETURN OF -5%:

Because the final index return is less than zero and the final index level is
greater than the threshold level, on the stated maturity date, you would receive
$1,000 per $1,000 note.

EXAMPLE 4. ASSUMING THAT THE FINAL INDEX LEVEL OF THE NIKKEI 225 INDEX ON THE
VALUATION DATE IS 10374.88, RESULTING IN A FINAL INDEX RETURN OF -30%:

Because the final index return is less than zero and the final index level is
less than the threshold level, the appropriate formula for calculating the
amount payable on the stated maturity date per $1,000 note is:

                                10374.88
                    $1,000  x   --------   =  $777.78
                                13339.13

As a result, on the stated maturity date, you would receive $777.78 per $1,000
note.

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

To the extent the final index level on the valuation date differs from those
assumed above, the results indicated above would be different.

HOW HAS THE NIKKEI 225 INDEX PERFORMED HISTORICALLY?

Lehman Brothers Holdings has provided a table, on page S-20, showing the
performance of the Nikkei 225 Index from January 1, 2001 through July 21, 2006.
Lehman Brothers Holdings has provided this historical information to help you
evaluate the behavior of the Nikkei 225 Index so that you can make an informed
decision with respect to an investment in the notes. You should realize,
however, that past performance is not necessarily indicative of how the Nikkei
225 Index or the notes will perform in the future.

HOW WILL I BE ABLE TO FIND THE INDEX LEVEL OF THE NIKKEI 225 INDEX AT ANY POINT
IN TIME?

You can obtain the level of the Nikkei 225 Index at any time from the
Bloomberg(R) service under the

                                       S-4




symbol "NKY", from Reuters service under the symbol "NKX.TK" or from the Nikkei
website, at www.nni.nikkei.co.jp/.

ARE THERE ANY RISKS ASSOCIATED WITH MY INVESTMENT?

Yes, the notes are subject to a number of risks. See "Risk Factors" beginning on
page S-6.

WHAT ABOUT TAXES?

No statutory, judicial or administrative authority directly addresses the
characterization of the notes or instruments similar to the notes for United
States federal income tax purposes. Although the issue is not free from doubt,
Lehman Brothers Holdings intends to treat, and by purchasing the notes, for all
tax purposes you will agree to treat a note as a cash-settled financial contract
giving rise to capital gain or loss. As a result, upon a sale, exchange or other
disposition of a note or upon cash settlement at maturity, you will recognize
capital gain or loss equal to the difference between the amount of cash received
and your basis in the note. See "United States Federal Income Tax Consequences."

WHO IS LEHMAN BROTHERS HOLDINGS?

Lehman Brothers Holdings, an innovator in global finance, serves the financial
needs of corporations, governments and municipalities, institutional clients and
individuals worldwide. Lehman Brothers Holdings provides a full array of
equities and fixed income sales, trading and research, investment banking
services and investment management and advisory services. Lehman Brothers
Holdings' global headquarters in New York and regional headquarters in London
and Tokyo are complemented by offices in additional locations in North America,
Europe, the Middle East, Latin America and the Asia Pacific region. See
"Prospectus Summary-Lehman Brothers Holdings Inc." and "Where You Can Find More
Information" on pages 1 to 2 and pages 58 to 59, respectively, of the
accompanying prospectus.

You may request a copy of any document Lehman Brothers Holdings Inc. files with
the Securities and Exchange Commission, or the SEC, pursuant to the Securities
Exchange Act of 1934, at no cost, by writing or telephoning Lehman Brothers
Holdings at the address provided in the accompanying prospectus.

Lehman Brothers Holdings' principal executive offices are located at the address
provided in the accompanying prospectus.

WHAT IS THE ROLE OF LEHMAN BROTHERS INC.?

Lehman Brothers Inc., a subsidiary of Lehman Brothers Holdings, is the
underwriter for the offering and sale of the notes. Lehman Brothers Inc. will
also be the calculation agent for purposes of calculating the amount payable to
you at maturity. Potential conflicts of interest may exist between Lehman
Brothers Inc. and you as a beneficial owner of the notes. See "Risk
Factors-Potential conflicts of interest exist because Lehman Brothers Holdings
controls Lehman Brothers Inc., which will act as the calculation agent" and
"Description of the Notes-Calculation agent."

After the initial offering, Lehman Brothers Inc. intends to buy and sell the
notes to create a secondary market in the notes and may stabilize or maintain
the market price of the notes during the initial distribution of the notes.
However, Lehman Brothers Inc. will not be obligated to engage in any of these
market activities or to continue them once they have begun.

IN WHAT FORM WILL THE NOTES BE ISSUED?

The notes will be represented by one or more global securities that will be
deposited with and registered in the name of The Depository Trust Company
("DTC") or its nominee. Except in very limited circumstances, you will not
receive a certificate for your notes.

WILL THE NOTES BE LISTED ON A STOCK EXCHANGE?

No, the notes will not be listed on any exchange.


                                       S-5



                                  RISK FACTORS

You should carefully consider the risk factors provided below as well as the
other information contained in this prospectus supplement, the accompanying
prospectus and the documents incorporated in this document by reference. As
described in more detail below, the trading price of the notes may vary
considerably before the stated maturity date due, among other things, to
fluctuations in the prices of the securities underlying the Nikkei 225 Index and
other events that are difficult to predict and beyond Lehman Brothers Holdings'
control.

You should reach an investment decision only after you have carefully considered
with your advisors the suitability of an investment in the notes in light of
your particular circumstances.

THESE NOTES ARE DIFFERENT FROM CONVENTIONAL DEBT SECURITIES OF LEHMAN BROTHERS
HOLDINGS IN SEVERAL WAYS.

o   THE PAYMENT YOU RECEIVE ON THE STATED MATURITY DATE MAY BE LESS THAN THE
    PRICE AT WHICH THE NOTES ARE INITIALLY BEING SOLD TO THE PUBLIC. If the
    final index level of the Nikkei 225 Index on the valuation date is less than
    the threshold level, Lehman Brothers Holdings will pay you less than $1,000
    per $1,000 note. You will not receive any payment on the stated maturity
    date if the final index level is zero.

o   THE PAYMENT YOU RECEIVE ON THE STATED MATURITY DATE MAY BE LESS THAN THE
    YIELD ON A CONVENTIONAL DEBT SECURITY OF COMPARABLE MATURITY. The amount
    Lehman Brothers Holdings pays you on the stated maturity date may be less
    than the return you could earn on other investments. Because the amount you
    receive on the stated maturity date may be less than, equal to or only
    slightly greater than the price at which the notes are initially being sold
    to the public, the effective yield to maturity on the notes may be less than
    that which would be payable on a conventional fixed-rate, non-callable debt
    security of Lehman Brothers Holdings. In addition, any return on the notes
    may not fully compensate you for any opportunity cost to you of investing in
    the notes when you take into account inflation and other factors relating to
    the time value of money.

o   NO INTEREST OR OTHER PAYMENTS WILL BE PAID ON THE NOTES PRIOR TO MATURITY.

YOUR RETURN ON THE NOTES COULD BE LESS THAN IF YOU OWNED THE SECURITIES
UNDERLYING THE NIKKEI 225 INDEX.

o   YOUR POTENTIAL RETURN ON YOUR PRINCIPAL INVESTMENT IS LIMITED. The notes
    provide less opportunity for equity appreciation than a direct investment in
    each of the securities underlying the Nikkei 225 Index because the return
    you realize on the stated maturity date will be limited to 26% of the
    principal amount. If the level of the Nikkei 225 Index increases by more
    than 26% during the term of the notes, your return on the notes will be less
    than your return had you owned each of the securities underlying the Nikkei
    225 Index.

o   YOUR RETURN WILL NOT REFLECT DIVIDENDS ON SECURITIES UNDERLYING THE NIKKEI
    225 INDEX. Your return on the notes will not reflect the return you would
    realize if you actually owned the securities underlying the Nikkei 225 Index
    and received the dividends paid on those securities. This is because the
    calculation agent will calculate the amount payable to you by reference to
    the closing level of the Nikkei 225 Index without taking into consideration
    the value of dividends paid on those securities.

o   YOUR RETURN WILL NOT BE ADJUSTED FOR CHANGES IN CURRENCY EXCHANGE RATES.
    Although the securities underlying the Nikkei 225 Index are traded in
    Japanese yen and the notes are denominated in U.S. dollars, the amount
    payable on the stated maturity date will not be adjusted for the currency
    exchange rates in effect on the stated maturity date. Any amount in addition
    to the principal amount of each note payable to you on the stated maturity
    date is based solely upon a decrease of less than 10% or a percentage
    increase, as the case may be, in the Nikkei 225 Index. Changes in exchange
    rates, however, may reflect changes in the Japanese economy, which in turn
    may affect the level of the Nikkei 225 Index and the value of the notes.

HISTORICAL LEVELS OF THE NIKKEI 225 INDEX SHOULD NOT BE TAKEN AS AN INDICATION
OF THE FUTURE PERFORMANCE

                                       S-6



OF THE NIKKEI 225 INDEX DURING THE TERM OF THE NOTES.

The trading prices of the securities underlying the Nikkei 225 Index will
determine the index level. You should realize, however, that past performance is
not necessarily indicative of how the Nikkei 225 Index or the notes will perform
in the future. Trading prices of the securities underlying the Nikkei 225 Index
will be influenced by complex and interrelated political, economic, financial
and other factors that can affect the markets in which those securities are
traded and the values of the underlying securities themselves.

THE INCLUSION OF COMMISSIONS AND PROJECTED PROFIT FROM HEDGING IN THE PUBLIC
OFFERING PRICE IS LIKELY TO ADVERSELY AFFECT SECONDARY MARKET PRICES.

Assuming no change in market conditions or any other relevant factors, the
price, if any, at which Lehman Brothers Inc. is willing to purchase the notes in
secondary market transactions will likely be lower than the public offering
price, since the public offering price included, and secondary market prices are
likely to exclude, commissions paid with respect to the notes, as well as the
projected profit included in the cost of hedging our obligations under the
notes. In addition, any such prices may differ from values determined by pricing
models used by Lehman Brothers Inc., as a result of dealer discounts, mark-ups
or other transaction costs.

THE NOTES MAY NOT BE ACTIVELY TRADED.

There may be little or no secondary market for the notes. The notes will not be
listed on any exchange. Even if there is a secondary market, it may not provide
significant liquidity. Lehman Brothers Inc. currently intends to act as a market
maker for the notes, but it is not required to do so.

THE TRADING PRICE OF THE NOTES WILL BE AFFECTED BY NUMEROUS FACTORS, SOME OF
WHICH ARE RELATED IN COMPLEX WAYS.

The trading price of the notes in the secondary market will be affected by
supply and demand of the notes, the index level at that time and a number of
other factors, some of which are interrelated in complex ways. As a result, the
effect of any one factor may be offset or magnified by the effect of another
factor. The price at which you will be able to sell the notes before the stated
maturity date may be at a discount, which could be substantial, from the price
at which the notes are initially being sold to the public, depending, at that
time, on the index level and where it is in relationship to the initial index
level and the threshold level. A change in a specific factor could have the
following impacts on the trading price of the notes, assuming all other
conditions remain constant.

o   INDEX. Lehman Brothers Holdings expects that the trading price of the notes
    will depend substantially on the performance of the index at any given point
    in time. If you decide to sell your notes prior to the stated maturity date
    when the index level is greater than or equal to the initial index level,
    you may nonetheless receive substantially less than the amount that would be
    payable on the stated maturity date based on the index level on the date you
    sell your notes because of expectations that the index level will continue
    to fluctuate until the amount payable on the stated maturity date is
    determined. If you decide to sell your notes when the index level is below
    the threshold level, you can expect to receive less than the price at which
    the notes are initially being sold to the public. Political, economic and
    other developments that affect the outlook for securities underlying the
    Nikkei 225 Index are likely to directly affect the index level of the Nikkei
    225 and could indirectly affect the trading price of the notes.

o   INTEREST RATES. The trading price of the notes may be affected by changes in
    interest rates. In general, if U.S. or Japanese interest rates change, the
    trading price of the notes may be adversely affected.

o   VOLATILITY OF THE NIKKEI 225 INDEX. Volatility is the term used to describe
    the size and frequency of market fluctuations. If the volatility of the
    level of the Nikkei 225 Index changes, the trading price of the notes may be
    adversely affected. Lehman Brothers Holdings is unable to predict the effect
    of these events on the future level or volatility of the Nikkei 225 Index.

o   VOLATILITY OF THE JAPANESE YEN/U.S. DOLLAR EXCHANGE RATE. The Japanese
    yen/U.S. dollar rate is a foreign exchange spot rate that measures the
    relative values of two currencies, the Japanese yen and the U.S. dollar (the
    "JPY/USD Rate"). The JPY/USD Rate is expressed as a rate that reflects


                                       S-7






    the amount of Japanese yen that can be purchased for one U.S. dollar. The
    JPY/USD Rate increases when the U.S. dollar appreciates relative to the
    Japanese yen and decreases when the U.S. dollar depreciates relative to the
    Japanese yen. Volatility is the term used to describe the size and
    frequency of price and/or market fluctuations. If the volatility of the
    JPY/USD Rate changes, the trading value of the notes may be adversely
    affected.

o   CORRELATION BETWEEN THE JPY/USD RATE AND THE NIKKEI 225 INDEX. Correlation
    is the term used to describe the relationship between the percentage changes
    in the JPY/USD Rate and the percentage changes in the Nikkei 225 Index. If
    the correlation between the JPY/USD Rate and the Nikkei 225 Index changes,
    the trading value of the notes may be adversely affected.

o   MERGER AND ACQUISITION TRANSACTIONS. Some of the securities underlying the
    Nikkei 225 Index may be affected by mergers and acquisitions, which can
    contribute to volatility of the Nikkei 225 Index. Additionally, as a result
    of a merger or acquisition, one or more securities underlying the Nikkei 225
    Index may be replaced with a surviving or acquiring entity's securities. The
    surviving or acquiring entity's securities may not have the same
    characteristics as the securities originally underlying the Nikkei 225
    Index.

o   TIME REMAINING TO MATURITY. The trading price of the notes may be affected
    by the time remaining to maturity. As the time remaining to the maturity of
    the notes decreases, this time value may decrease, adversely affecting the
    trading price of the notes.

o   DIVIDEND YIELDS. If dividend yields on the securities underlying the Nikkei
    225 Index increase, the trading price of the notes may be adversely affected
    because the Nikkei 225 Index does not incorporate the value of those
    payments.

o   LEHMAN BROTHERS HOLDINGS' CREDIT RATINGS, FINANCIAL CONDITION AND RESULTS.
    Actual or anticipated changes in Lehman Brothers Holdings' credit ratings,
    financial condition or results may affect the trading price of the notes.

o   ECONOMIC CONDITIONS AND EARNINGS PERFORMANCE OF THE UNDERLYING COMPANIES.
    General economic conditions and earnings results of the companies whose
    securities underlie the Nikkei 225 Index and real or anticipated changes in
    those conditions or results may affect the trading price of the notes.

You should understand that the impact of one of the factors specified above,
such as an increase in interest rates, may offset some or all of any change in
the trading price of the notes attributable to another factor, such as an
increase in the index level. In general, assuming all relevant factors are held
constant, the effect on the trading price of the notes of a given change in most
of the factors listed above will be less if it occurs later than if it occurs
earlier in the term of the notes.

AN INVESTMENT IN THE NOTES IS SUBJECT TO RISKS ASSOCIATED WITH THE JAPANESE
SECURITIES MARKETS.

The securities included in the Nikkei 225 Index are issued by Japanese companies
and are denominated in Japanese yen. You should be aware that investments in
securities linked to the value of Japanese equity securities involve particular
risks. The Japanese securities markets may be more volatile than U.S. securities
markets, and market developments may affect Japanese markets differently from
U.S. or other securities markets. Direct or indirect government intervention to
stabilize the Japanese securities markets, as well as cross-shareholdings in
Japanese companies, may affect trading prices and volume in those markets. Also,
there is generally less publicly available information about Japanese companies
that are not subject to the reporting requirements of the SEC, and Japanese
companies are subject to accounting, auditing and financial reporting standards
and requirements that differ from those applicable to U.S. reporting companies.

Securities prices in Japan are subject to political, economic, financial and
social factors that apply in Japan. These factors, which could negatively affect
Japanese securities markets, include the possibility of changes in the Japanese
government's economic and fiscal policies, the possible imposition of, or
changes in, currency exchange laws or other laws or restrictions applicable to
Japanese companies or investments in Japanese equity securities and the
possibility of fluctuations in the rate of exchange between currencies.
Moreover, the Japanese economy may

                                       S-8




differ favorably or unfavorably from the U.S. economy in different respects,
such as growth of gross national product, rate of inflation, capital
reinvestment, resources and self-sufficiency.

TIME DIFFERENCE BETWEEN TOKYO AND NEW YORK CITY MAY CREATE DISCREPANCIES IN
TRADING LEVELS.

As a result of the time difference between Tokyo (where the securities
underlying the Nikkei 225 Index trade) and New York City (where the notes may
trade), there may be discrepancies between the level of the Nikkei 225 Index and
the trading prices of the notes. In addition, there may be periods when the
Japanese securities markets are closed for trading (for example during holidays
in Japan), as a result of which the level of the Nikkei 225 Index remains
unchanged for multiple trading days in New York City.

ADJUSTMENTS TO THE NIKKEI 225 INDEX COULD ADVERSELY AFFECT THE TRADING PRICE OF
THE NOTES.

The policies of NKS concerning additions, deletions and substitutions of the
securities underlying the Nikkei 225 Index and the manner in which NKS takes
account of certain changes affecting such underlying securities may affect the
level of the Nikkei 225 Index. The policies of NKS with respect to the
calculation of the Nikkei 225 Index could also affect the level of the Nikkei
225. NKS may discontinue or suspend calculation or dissemination of the Nikkei
225 Index or materially alter the methodology by which it calculates the Nikkei
225 Index. Any such actions could affect the trading price of the notes. See
"Description of the Notes-Discontinuance of the Nikkei 225 Index; Alteration of
method of calculation" and "The Nikkei 225 Index."

LEHMAN BROTHERS HOLDINGS CANNOT CONTROL ACTIONS BY THE COMPANIES WHOSE
SECURITIES UNDERLIE THE NIKKEI 225 INDEX.

Actions by these companies may have an adverse effect on the price of the
securities underlying the Nikkei 225 Index, the Nikkei 225 Index and the notes.
In addition, these companies are not involved in this offering of notes and have
no obligations with respect to the notes, including any obligation to take
Lehman Brothers Holdings' or your interests into consideration for any reason.
These companies will not receive any of the proceeds of this offering of notes
and are not responsible for, and have not participated in, the determination of
the timing of, prices for, or quantities of, the notes to be issued. These
companies are not involved with the administration, marketing or trading of the
notes and have no obligations with respect to the amount to be paid to you on
the stated maturity date.

LEHMAN BROTHERS HOLDINGS AND ITS AFFILIATES HAVE NO AFFILIATION WITH NKS AND ARE
NOT RESPONSIBLE FOR ITS PUBLIC DISCLOSURE OF INFORMATION.

NKS provides and services the Nikkei 225 Index. Lehman Brothers Holdings and its
affiliates are not affiliated with NKS in any way (except for licensing
arrangements discussed below in "The Nikkei 225 Index") and have no ability to
control or predict its actions, including any errors in or discontinuation of
disclosure regarding its methods or policies relating to the calculation of the
Nikkei 225 Index. See "Description of the Notes-Market disruption events" and
"Description of the Notes-Discontinuance of the Nikkei 225 Index; Alteration of
method of calculation." NKS is not involved in this offering of notes in any way
and has no obligation to consider your interests as an owner of the notes in
taking any actions that might affect the value of your notes.

Neither Lehman Brothers Holdings nor any of its affiliates assumes any
responsibility for the adequacy or accuracy of the information about the Nikkei
225 Index or NKS contained in this prospectus supplement or any public
disclosure of information by NKS. You, as an investor in the notes, should make
your own investigation into the Nikkei 225 Index and NKS.

POTENTIAL CONFLICTS OF INTEREST EXIST BECAUSE LEHMAN BROTHERS HOLDINGS CONTROLS
LEHMAN BROTHERS INC., WHICH WILL ACT AS THE CALCULATION AGENT.

Lehman Brothers Inc. will act as the calculation agent, which determines the
amount you will receive on the notes on the stated maturity date, whether
adjustments should be made to the index level or threshold level and whether a
market disruption event has occurred. As a result, potential conflicts of
interest may exist between Lehman Brothers Inc. and you. See "Description of the
Notes-Payment on the stated maturity date," "Description of the
Notes-Discontinuance of the Nikkei 225 Index; Alteration of method of
calculation" and "Description of the Notes-Market disruption events."

PURCHASES AND SALES OF SECURITIES UNDERLYING


                                       S-9




THE NIKKEI 225 INDEX BY LEHMAN BROTHERS HOLDINGS AND ITS AFFILIATES COULD AFFECT
THE PRICES OF THOSE SECURITIES OR THE LEVEL OF THE NIKKEI 225 INDEX.

Lehman Brothers Holdings and its affiliates, including Lehman Brothers Inc., may
from time to time buy or sell securities underlying the Nikkei 225 Index or
derivative instruments related to those securities for their own accounts in
connection with their normal business practices or in connection with hedging of
Lehman Brothers Holdings' obligations under the notes. These transactions could
affect the prices of those securities or the level of the Nikkei 225 Index. See
"Use of Proceeds and Hedging."

YOU HAVE NO SHAREHOLDER RIGHTS.

Investing in the notes is not equivalent to investing in the securities
underlying the Nikkei 225 Index. As an investor in the notes, you will not have
voting rights or rights to receive dividends or other distributions or any other
rights with respect to the securities that underlie the Nikkei 225 Index.

THE TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN.

Investors should consider the tax consequences of investing in the notes. No
statutory, judicial or administrative authority directly addresses the
characterization of the notes or instruments similar to the notes for United
States federal income tax purposes. As a result, significant aspects of the
United States federal income tax consequences of an investment in the notes are
not certain. Lehman Brothers Holdings is not requesting any ruling from the
Internal Revenue Service with respect to the notes and cannot assure you that
the Internal Revenue Service will agree with the treatment described in this
document. Although the issue is not free from doubt, Lehman Brothers Holdings
intends to treat, and by purchasing a note, for all tax purposes you agree to
treat a note as a cash-settled financial contract giving rise to capital gain or
loss. See "United States Federal Income Tax Consequences."


                                      S-10



                           USE OF PROCEEDS AND HEDGING

All or a portion of the proceeds to be received by Lehman Brothers Holdings from
the sale of the notes may be used by Lehman Brothers Holdings or one or more of
its subsidiaries before and following the initial offering of the notes to
acquire securities underlying the Nikkei 225 Index as well as to acquire futures
contracts or listed or over-the-counter options contracts in, or other
derivative or synthetic instruments related to, the Nikkei 225 Index or those
securities underlying the Nikkei 225 Index, to hedge Lehman Brothers Holdings'
obligations under the notes. The balance of the proceeds will be used for
general corporate purposes. These hedging techniques will result in nominal
transaction costs to Lehman Brothers Holdings. See "Use of Proceeds" on page 7
of the accompanying prospectus.

From time to time after the initial offering and before the maturity of the
notes, depending on market conditions, including the market price of the
securities underlying the Nikkei 225 Index, Lehman Brothers Holdings expects
that it or one or more of its subsidiaries will increase or decrease their
initial hedging positions using dynamic hedging techniques. Lehman Brothers
Holdings or one or more of its subsidiaries may take long or short positions in
those securities or in the futures contracts or in listed or over-the-counter
options contracts or other derivative or synthetic instruments related to those
securities. In addition, Lehman Brothers Holdings or one or more of its
subsidiaries may purchase or otherwise acquire a long or short position in notes
from time to time and may, in their sole discretion, hold or resell those notes.
Lehman Brothers Holdings or one or more of its subsidiaries may also take
positions in other types of appropriate financial instruments that may become
available in the future.

To the extent that Lehman Brothers Holdings or one or more of its subsidiaries
has a long hedge position in any of the securities underlying the Nikkei 225
Index, or futures or options contracts or other derivative or synthetic
instruments related to those securities, Lehman Brothers Holdings or one or more
of its subsidiaries may liquidate a portion of their holdings at or about the
time of the maturity of the notes or at or about the time of a change in the
securities underlying the Nikkei 225 Index. Depending, among other things, on
future market conditions, the aggregate amount and the composition of the
positions are likely to vary over time. Profits or losses from any of those
positions cannot be ascertained until the position is closed out and any
offsetting position or positions are taken into account. Certain activity by
Lehman Brothers Holdings or one or more of its subsidiaries described above can
potentially increase or decrease the prices of the securities underlying the
Nikkei 225 Index and, accordingly, increase or decrease the level of the Nikkei
225 Index. Although Lehman Brothers Holdings has no reason to believe that any
of those activities will have a material impact on the price of the securities
underlying the Nikkei 225 Index, these activities could have such an effect.


                                      S-11



                       RATIO OF EARNINGS TO FIXED CHARGES

                YEAR ENDED NOVEMBER 30,                            SIX
- --------------------------------------------------------       MONTHS ENDED
 2001         2002         2003        2004        2005       JUNE 30, 2006
- ------       ------       ------      ------      ------      -------------
 1.11         1.13         1.29        1.36        1.28           1.23


                                      S-12



                            DESCRIPTION OF THE NOTES

GENERAL

You will find information about the notes in two separate documents that
progressively provide more detail:

o   the accompanying prospectus; and

o   this prospectus supplement.

Because the terms of the notes may differ from the general information Lehman
Brothers Holdings has provided in the prospectus, in all cases you should rely
on information in this prospectus supplement over different information in the
prospectus. The notes are to be issued as a series of debt securities under the
senior indenture, which is more fully described in the prospectus. For a
description of the rights attaching to different series of debt securities under
the senior indenture, you should refer to the section "Description of Debt
Securities" beginning on page 8 of the accompanying prospectus. The notes are
Senior Debt as described in the accompanying prospectus. Citibank, N.A. is
trustee under the senior indenture.

Lehman Brothers Holdings may initially issue up to $3,350,000 ($3,852,500 if the
underwriter's over-allotment option is exercised in full) aggregate principal
amount of notes. Lehman Brothers Holdings may, without the consent of the
holders of the notes, create and issue additional notes ranking equally with the
notes and otherwise similar in all respects so that such further notes shall be
consolidated and form a single series with the notes. No additional notes can be
issued if an event of default has occurred with respect to the notes.

The notes will be issued in denominations of $1,000 and whole multiples of
$1,000. The minimum initial investment will be $10,000.

INTEREST

None. No interest or other payments will be made on the notes before maturity.

PAYMENT ON THE STATED MATURITY DATE

The notes will mature on January 26, 2008, and if such a date is not a business
day, then the following business day, subject to postponement if the valuation
date is postponed.

On the stated maturity date, Lehman Brothers Holdings will pay to you, per
$1,000 note, an amount equal to:

o   If the final index return is greater than or equal to zero, the lesser of:

    (a) $1,260; and

    (b) $1,000 + ($2,000 x the final index return).

o   If the final index return is less than zero and the final index level is
    equal to or greater than the threshold level, $1,000.

o   If the final index return is less than zero and the final index level is
    less than the threshold level:

                            final index level
                  $1,000 x  -----------------
                             threshold level

The final index return will equal:

                     final index level - initial index level
                     ---------------------------------------
                               initial index level

The threshold level is 13339.13, which is 90% of the initial index level
(subject to appropriate adjustment by the calculation agent to reflect
adjustments in the Nikkei 225 Index, if applicable).

The initial index level is 14821.26, which is the closing index level on the
date of this prospectus supplement. The final index level will be the closing
index level on the valuation date, which will be the third business day before
the stated maturity date. However, if that day is not a scheduled trading day or
the calculation agent determines that one or more market disruption events have
occurred on that day, the calculation agent will determine the final index level
by reference to the closing index level on the next scheduled trading day on
which there is not a market disruption event; provided, however, if a market
disruption event occurs on each of the eight scheduled trading days following
the originally scheduled valuation date, then (a) that eighth scheduled trading


                                      S-13




day shall be deemed the valuation date and (b) the calculation agent shall
determine the final index level based upon its good faith estimate of the level
of the index on that eighth scheduled trading day. Any postponement of the date
that would otherwise be the valuation date will cause the stated maturity date
to be postponed until three business days after the date that the final index
level is determined.

As a result, on the stated maturity date you will only receive $1,000 or more
than $1,000 per $1,000 note if the final index level on the valuation date is
equal to or greater than the threshold level. If the final index level on the
valuation date is less than the threshold level, you will receive less than
$1,000 per $1,000 note on the stated maturity date. The maximum amount you will
receive on the stated maturity date per $1,000 note will be $1,260.

The "closing index level" of the Nikkei 225 Index (or any successor index) on
any particular day means the closing level of the Nikkei 225 Index as reported
by NKS (or of any successor index, as reported by the publisher of such
successor index), on such day or as determined by the calculation agent as
described in the following section.

A "scheduled trading day" means any day on which both the TSE and the Osaka
Securities Exchange are scheduled to be open for trading for their respective
regular trading sessions.

DISCONTINUANCE OF THE NIKKEI 225 INDEX; ALTERATION OF METHOD OF CALCULATION

If NKS discontinues publication of the Nikkei 225 Index and NKS or another
entity publishes a successor or substitute index that the calculation agent
determines, in its sole discretion exercised in good faith, to be comparable to
the discontinued Nikkei 225 Index, then the calculation agent shall determine
each subsequent closing index level to be used in computing the amount payable
on the stated maturity date by reference to the closing index level of such
successor index on the applicable date.

Upon any selection by the calculation agent of a successor index, Lehman
Brothers Holdings will promptly give notice to the holders of the notes.

If NKS discontinues publication of the Nikkei 225 Index and the calculation
agent determines that no successor index is available at such time or if NKS (or
the publisher of any successor index) fails to calculate and publish a closing
index level for the Nikkei 225 Index (or a successor index) on any date when it
would ordinarily do so in accordance with its customary practice, the
calculation agent will determine the closing index level to be used for purposes
of computing the amount payable on the stated maturity date. In such
circumstances, the closing index level will be computed by the calculation agent
in accordance with the formula for and method of calculating the Nikkei 225
Index (or any successor index) last in effect prior to such discontinuance or
failure to publish, using the closing price (or, if trading in any of the
relevant securities has been materially suspended or materially limited, its
good faith estimate of the closing price that would have prevailed but for such
suspension or limitation) at the close of the principal trading session on such
date of each security most recently comprising the Nikkei 225 Index (or any
successor index) on the relevant exchange on which such security trades.
Notwithstanding these alternative arrangements, discontinuance of the
publication of the Nikkei 225 Index may adversely affect the trading price of
the notes. As used herein, "closing price" of a security, on any particular day,
means the last reported sales price for that security on the relevant exchange
at the scheduled weekday closing time of the regular trading session of the
relevant exchange. If, however, the security is not listed or traded on a
bulletin board, then the closing price of the security will be determined using
the average execution price per share that an affiliate of Lehman Brothers
Holdings pays or receives upon the purchase or sale of the security used to
hedge Lehman Brothers Holdings' obligations under the notes. The "relevant
exchange" for any security (or any combination thereof then underlying the
Nikkei 225 Index or any successor index) means the primary exchange, quotation
system (which includes bulletin board services) or other market of trading for
such security.

If at any time the method of calculating the Nikkei 225 Index, any successor
index or the closing level thereof on any particular day is changed in a
material respect, or if the Nikkei 225 Index or a successor index is in any
other way modified so that such index does not, in the opinion of the
calculation agent, fairly represent the level of the Nikkei 225 Index or such
successor index had such changes or modifications not been


                                      S-14




made, then, from and after such time, the calculation agent will, at the close
of trading of the relevant exchanges on which the securities comprising the
Nikkei 225 Index or such successor index traded on any date the closing index
level is to be determined, make such calculations and adjustments as, in its
good faith judgment, may be necessary in order to arrive at a level of a stock
index comparable to the Nikkei 225 Index or such successor index, as the case
may be, as if such changes or modifications had not been made. The calculation
agent will calculate the closing index level on any particular day and the
amount payable on the stated maturity date with reference to the Nikkei 225
Index or such successor index, as adjusted. Accordingly, if the method of
calculating the Nikkei 225 Index or a successor index is modified so that the
level of such index is a fraction of what it would have been if it had not been
modified, then the calculation agent will adjust such index in order to arrive
at a level of the Nikkei 225 Index or such successor index as if it had not been
modified.

MARKET DISRUPTION EVENTS

A market disruption event with respect to the Nikkei 225 Index (or any successor
index) will occur on any day if the calculation agent determines in its sole
discretion that any of the following events has occurred:

o   A material suspension of or limitation imposed on trading relating to the
    securities that then comprise 20% or more of the Nikkei 225 Index or any
    successor index, by the relevant exchanges on which those securities are
    traded, at any time during the one-hour period that ends at the close of
    trading on such day, whether by reason of movements in price exceeding
    limits permitted by that relevant exchange or otherwise.

o   A material suspension of, or limitation imposed on, trading in futures or
    options contracts relating to the Nikkei 225 Index or any successor index by
    the primary exchange or quotation system on which those futures or options
    contracts are traded, at any time during the one-hour period that ends at
    the close of trading on such day, whether by reason of movements in price
    exceeding limits permitted by the exchanges or otherwise.

o   Any event, other than an early closure, that disrupts or impairs the ability
    of market participants in general to effect transactions in, or obtain
    market values for the securities that then comprise 20% or more of the
    Nikkei 225 Index or any successor index on the relevant exchanges on which
    those securities are traded, at any time during the one hour period that
    ends at the close of trading on that day.

o   Any event, other than an early closure, that disrupts or impairs the ability
    of market participants in general to effect transactions in, or obtain
    market values for, the futures or options contracts relating to the Nikkei
    225 Index or any successor index on the primary exchange or quotation system
    on which those futures or options contracts are traded at any time during
    the one-hour period that ends at the close of trading on that day.

o   The closure of the relevant exchanges on which the securities that then
    comprise 20% or more of the Nikkei 225 Index or any successor index are
    traded or on which futures or options contracts relating to the Nikkei 225
    Index or any successor index are traded prior to its scheduled closing time
    unless the earlier closing time is announced by the relevant exchanges at
    least one hour prior to the earlier of (1) the actual closing time for the
    regular trading session on the relevant exchanges and (2) the submission
    deadline for orders to be entered into the relevant exchanges for execution
    at the close of trading on that day.

For purposes of determining whether a market disruption event has occurred:

o   the relevant percentage contribution of a security to the level of the
    Nikkei 225 Index or any successor index will be based on a comparison of (x)
    the portion of the level of the Nikkei 225 Index or successor index
    attributable to that security and (y) the overall level of the Nikkei 225
    Index or successor index, in each case immediately before the occurrence of
    the market disruption event; and

o   "close of trading" means in respect of any relevant exchange, the scheduled
    weekday closing time on a day on which the relevant exchange is scheduled to
    be open for trading for its respective regular trading session, without
    regard to after hours or

                                      S-15



    any other trading outside of the regular trading session hours.

Under certain circumstances, the duties of Lehman Brothers Inc. as the
calculation agent in determining the existence of market disruption events could
conflict with the interests of Lehman Brothers Inc. as an affiliate of the
issuer of the notes.

Events have occurred in the past that would constitute market disruption events.
The existence or non-existence of such circumstances in the past is, however,
not necessarily indicative of the likelihood of those circumstances arising or
not arising in the future and Lehman Brothers Holdings cannot predict the
likelihood of a market disruption event in the future.

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical final index levels:

o   the hypothetical percentage change from the initial index level (which is
    the hypothetical final index return);

o   the hypothetical total amount payable on the stated maturity date per $1,000
    note;

o   the hypothetical pre-tax total rate of return; and

o   the hypothetical annualized pre-tax rate of return.



                          HYPOTHETICAL           HYPOTHETICAL
                       PERCENTAGE CHANGE     TOTAL AMOUNT PAYABLE         HYPOTHETICAL            HYPOTHETICAL
   HYPOTHETICAL         FROM THE INITIAL    ON THE STATED MATURITY           PRE-TAX           ANNUALIZED PRE-TAX
 FINAL INDEX LEVEL        INDEX LEVEL        DATE PER $1,000 NOTE     TOTAL RATE OF RETURN       RATE OF RETURN
 -----------------     -----------------    ----------------------    --------------------       --------------

         0.00                -100%                    $0.00                -100.00%                 -100.00%
      3705.32                 -75                    277.78                 -72.22                   -57.43
      7410.63                 -50                    555.56                 -44.44                   -32.42
     10374.88                 -30                    777.78                 -22.22                   -15.43
     11857.01                 -20                    888.89                 -11.11                    -7.55
     13339.13(1)              -10                  1,000.00                   0.00                     0.00
     14080.20                  -5                  1,000.00                   0.00                     0.00
     14821.26                   0                  1,000.00                   0.00                     0.00
     15562.32                   5                  1,100.00                  10.00                     6.56
     16303.39                  10                  1,200.00                  20.00                    12.92
     17785.51                  20                  1,260.00                  26.00                    16.66
     19267.64                  30                  1,260.00                  26.00                    16.66
     22231.89                  50                  1,260.00                  26.00                    16.66
     25937.21                  75                  1,260.00                  26.00                    16.66
     29642.52                 100                  1,260.00                  26.00                    16.66


_____________

(1) This figure reflects the threshold level.

The above figures are for purposes of illustration only. The actual amount
received by investors and the resulting total and annualized pre-tax rates of
return will depend entirely on the actual final index level and the amount
payable on the stated maturity date determined by the calculation agent. In
particular, the actual final index level could be lower or higher than those
reflected in the table.

You should compare the features of the notes to other available investments
before deciding to purchase notes. Due to the uncertainty concerning the amount
payable on 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.



                                      S-16



CALCULATION AGENT

Lehman Brothers Inc., a subsidiary of Lehman Brothers Holdings, will act as
initial calculation agent for the notes. Pursuant to the calculation agency
agreement, Lehman Brothers Holdings may appoint a different calculation agent
from time to time after the date of this prospectus supplement without your
consent and without notifying you.

The calculation agent will determine the amount you receive on the stated
maturity date of the notes.

In addition, the calculation agent will determine, among other things:

o   the successor index if publication of the Nikkei 225 Index is discontinued;

o   the closing index level if no successor index is available or if NKS or the
    publisher of any successor index, as the case may be, fails to calculate and
    publish a closing index level on any date;

o   adjustments to the Nikkei 225 Index, the successor index or the closing
    index level thereof if the method of calculating any of these items changes
    in a material respect or if the Nikkei 225 Index or successor index is in
    any other way modified so that it does not, in the opinion of the
    calculation agent, fairly represent the level of the Nikkei 225 Index or
    successor index, as the case may be, had such changes or modifications not
    been made;

o   adjustments to the threshold level, if required in order to reflect
    adjustments made in the Nikkei 225 Index or successor index; and

o   whether a market disruption event has occurred.

All determinations made by the calculation agent will be at the sole discretion
of the calculation agent and, in the absence of manifest error, will be
conclusive for all purposes and binding on Lehman Brothers Holdings and you. The
calculation agent will have no liability for its determinations, except as
provided in the calculation agency agreement.

EVENTS OF DEFAULT AND ACCELERATION

If an event of default with respect to any notes has occurred and is continuing,
the amount payable to you upon any acceleration permitted under the senior
indenture will be equal to, per $1,000 note, the amount that would have been
payable at maturity, calculated as though the date of acceleration was the
stated maturity date and the date three business days before that date was the
valuation date. If a bankruptcy proceeding is commenced in respect of Lehman
Brothers Holdings, the claims of the holder of a note may be limited, under
Section 502(b)(2) of Title 11 of the United States Code, as though the
commencement of the proceeding was on the stated maturity date and the date
three business days before that date was the valuation date. See "Description of
Debt Securities-Defaults" beginning on page 13 of the accompanying prospectus.


                                      S-17



                              THE NIKKEI 225 INDEX

GENERAL

Lehman Brothers Holdings obtained all information contained in this prospectus
supplement regarding the Nikkei 225 Index, including, without limitation, its
make-up, method of calculation and changes in its components, from publicly
available information. Such information reflects the policies of, and is subject
to change by, NKS. NKS has no obligation to continue to publish, and may
discontinue publication of, the Nikkei 225 Index. The consequences of NKS
discontinuing publication of the Nikkei 225 Index are described in the section
entitled "Description of the Notes-Discontinuance of the Nikkei 225 Index;
Alteration of method of calculation." Lehman Brothers Holdings makes no
representation or warranty as to the accuracy or completeness of any information
relating to the Nikkei 225 Index.

The Nikkei 225 Index is a stock index calculated, published and disseminated by
NKS that measures the composite price performance of selected Japanese stocks.
The Nikkei 225 Index is currently based on 225 underlying stocks trading on the
TSE and represents a broad cross-section of Japanese industry. All of the stocks
underlying the Nikkei 225 Index are stocks listed in the First Section of the
TSE. Stocks listed in the First Section are among the most actively traded
stocks on the TSE. Nikkei rules require that the 75 most liquid issues
(one-third of the component count of the Nikkei 225 Index) be included in the
Nikkei 225 Index. Futures and options contracts on the Nikkei 225 Index are
traded on the Singapore Monetary Exchange, Ltd., the Osaka Securities Exchange
and the Chicago Mercantile Exchange.

COMPOSITION OF THE NIKKEI 225 INDEX

As of July 21, 2006, the companies included in the Nikkei 225 Index were divided
into six sector categories: Technology, Financials, Consumer Goods, Materials,
Capital Goods/Others and Transportation/Utilities. These sector categories are
further divided into Nikkei industrial classifications (with the number of
companies currently included in each industrial classification indicated in
parentheses):

Technology -- Pharmaceuticals (8), Electrical Machinery (29), Automotive (9),
    Precision Instruments (6), Communications (4)

Financials -- Banking (11), Other Financial Services (2), Securities (4),
    Insurance (4)

Consumer Goods -- Fishery (1), Food (14), Retail (7), Services (9)

Materials -- Mining (1), Textiles & Apparel (7), Pulp & Paper (4), Chemicals
    (16), Oil & Coal Products (3), Rubber Products (2), Glass & Ceramics (8),
    Steel Products (4), Nonferrous Metals (11), Trading Companies (8)

Capital Goods/Others -- Construction (9), Machinery (14), Shipbuilding (2),
    Other Transportation Equipment (1), Other Manufacturing (3), Real Estate (4)

Transportation and Utilities -- Railway/Bus (7), Other Land Transport (2),
    Marine Transport (3), Air Transport (2), Warehousing (1),
    Electric Power (3), Gas (2)

COMPUTATION OF THE NIKKEI 225 INDEX

While NKS currently employs the following methodology to calculate the Nikkei
225 Index, the NKS may modify or change such methodology in the future.

The Nikkei 225 Index is a modified, price-weighted index. Each stock's weight in
the Nikkei 225 Index is based on its price per share rather than the total
market capitalization of the issuer. NKS calculates the Nikkei 225 Index by
multiplying the per share price of each underlying stock by the corresponding
weighting factor for that underlying stock (a "Weight Factor"), calculating the
sum of all these products and dividing that sum by a divisor. The divisor,
initially set on May 16, 1949 at 225, was 24.290 as of April 4, 2006, and is
subject to periodic adjustments as set forth below. Each Weight Factor is
computed by dividing (Yen)50 by the par value of the relevant underlying stock,
so that the share price of each underlying stock when multiplied by its Weight


                                      S-18



Factor corresponds to a share price based on a uniform par value of (Yen)50.
Each Weight Factor represents the number of shares of the related underlying
stock, which are included in one trading unit of the Nikkei 225 Index. The stock
prices used in the calculation of the Nikkei 225 Index are those reported by a
primary market for the underlying stocks, which is currently the TSE. The level
of the Nikkei 225 Index is calculated once per minute during TSE trading hours.

In order to maintain continuity in the level of the Nikkei 225 Index in the
event of certain changes due to non-market factors affecting the underlying
stocks, such as the addition or deletion of stocks, substitution of stocks,
stock dividends, stock splits or distributions of assets to stockholders, the
divisor used in calculating the Nikkei 225 Index is adjusted in a manner
designed to prevent any instantaneous change or discontinuity in the level of
the Nikkei 225 Index. The divisor remains at the new value until a further
adjustment is necessary as the result of another change. As a result of each
change affecting any underlying stock, the divisor is adjusted in such a way
that the sum of all share prices immediately after the change multiplied by the
applicable Weight Factor and divided by the new divisor, that is, the level of
the Nikkei 225 Index immediately after the change, will equal the level of the
Nikkei 225 Index immediately prior to the change

Underlying stocks may be deleted or added by NKS. However, to maintain
continuity in the Nikkei 225 Index, the policy of NKS is generally not to alter
the composition of the underlying stocks except when an underlying stock is
deleted in accordance with the following criteria. Any stock becoming ineligible
for listing in the First Section of the TSE due to any of the following reasons
will be deleted from the underlying stocks: bankruptcy of the issuer; merger of
the issuer into, or acquisition of the issuer by, another company; delisting of
the stock or transfer of the stock to the "Seiri-Post" because of excess debt of
the issuer or because of any other reason; or transfer of the stock to the
Second Section of the TSE. In addition, a component stock transferred to the
"Kanri-Post" (post for stock under supervision) is in principle a candidate for
deletion. Underlying stocks with relatively low liquidity, based on trading
value and rate of price fluctuation over the past five years, may be deleted by
Nikkei. Upon deletion of a stock from the Nikkei 225 Index, NKS will select, in
accordance with certain criteria established by it, a replacement for the
deleted underlying stock. In an exceptional case, a newly listed stock in the
First Section of the TSE that is recognized by NKS to be representative of a
market may be added to the underlying stocks. As a result, an existing
underlying stock with low trading volume and not representative of a market will
be deleted.

THE TOKYO STOCK EXCHANGE

The TSE is one of the world's largest securities exchanges in terms of market
capitalization. Trading hours are currently from 9:00 a.m. to 11:00 a.m. and
from 12:30 p.m. to 3:00 p.m., Tokyo time, Monday through Friday.

Due to the time zone difference, on any normal trading day the TSE will close
prior to the opening of business in New York City on the same calendar day.
Therefore, the closing level of the Nikkei 225 Index on a trading day will
generally be available in the United States by the opening of business on the
same calendar day.

The TSE has adopted certain measures, including daily price floors and ceilings
on individual stocks, intended to prevent any extreme short-term price
fluctuations resulting from order imbalances. In general, any stock listed on
the TSE cannot be traded at a price lower than the applicable price floor or
higher than the applicable price ceiling. These price floors and ceilings are
expressed in absolute Japanese yen, rather than percentage limits based on the
closing price of the stock on the previous trading day. In addition, when there
is a major order imbalance in a listed stock, the TSE posts a "special bid
quote" or a "special asked quote" for that stock at a specified higher or lower
price level than the stock's last sale price in order to solicit counter-orders
and balance supply and demand for the stock. Prospective investors should also
be aware that the TSE may suspend the trading of individual stocks in certain
limited and extraordinary circumstances, including, for example, unusual trading
activity in that stock. As a result, changes in the Nikkei 225 Index may be
limited by price limitations or special quotes, or by suspension of trading, on
individual stocks which comprise the Nikkei 225 Index, and these limitations
may, in turn, adversely affect the value of the notes.


                                      S-19



HISTORICAL INFORMATION

The following table sets forth the high and low level, as well as the
end-of-quarter closing levels, calculated in Japanese yen, of the Nikkei 225
Index for each quarter in the period from January 1, 2001 through July 21, 2006.
The closing level on July 21, 2006 was 14821.26. The results shown should not be
considered as a representation of the income, yield or capital gain or loss that
may be generated by the Nikkei 225 Index in the future. The historical levels of
the Nikkei 225 Index are not indications of future performance.

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

                                               HIGH         LOW       PERIOD-END
                                             --------     --------    ----------
2001
First Quarter ...........................    14032.42     11819.70     12999.70
Second Quarter ..........................    14529.41     12574.26     12969.05
Third Quarter ...........................    12817.41      9504.41      9774.68
Fourth Quarter ..........................    11064.30      9924.23     10542.62
2002
First Quarter ...........................    11919.30      9420.85     11024.94
Second Quarter ..........................    11979.85     10074.56     10621.84
Third Quarter ...........................    10960.25      9075.09      9383.29
Fourth Quarter ..........................     9215.56      8303.39      8578.95
2003
First Quarter ...........................     8790.92      7862.43      7972.71
Second Quarter ..........................     9137.14      7607.88      9083.11
Third Quarter ...........................    11033.32      9265.56     10219.05
Fourth Quarter ..........................    11161.71      9614.60     10676.64
2004
First Quarter ...........................    11770.65     10365.40     11715.39
Second Quarter ..........................    12163.89     10505.05     11858.87
Third Quarter ...........................    11896.01     10687.81     10823.57
Fourth Quarter...........................    11488.76     10659.15     11488.76
2005
First Quarter............................    11966.69     11238.37     11668.95
Second Quarter...........................    11874.75     10825.39     11584.01
Third Quarter............................    13617.24     11565.99     13574.30
Fourth Quarter...........................    16344.20     13106.18     16111.43
2006
First Quarter............................    17059.66     15341.18     17059.66
Second Quarter...........................    17563.37     14218.60     15505.18
Third Quarter (through July 21)..........    15638.50     14437.24     14821.26


                                      S-20



LICENSE AGREEMENT BETWEEN NKS AND LEHMAN BROTHERS HOLDINGS

Lehman Brothers Holdings will enter into a non-exclusive license agreement with
NKS providing for a license to Lehman Brothers Holdings and certain of its
affiliates or subsidiary companies, in exchange for a fee, to use the Nikkei 225
Index in connection with the notes.

The license agreement between NKS and Lehman Brothers Holdings will provide that
the following language must be stated in this prospectus supplement.

The notes are not in any way sponsored, endorsed or promoted by NKS. NKS does
not make any warranty or representation whatsoever, express or implied, either
as to the results to be obtained from the use of the Nikkei 225 Index or the
level of the Nikkei 225 Index on any particular day or otherwise. The Nikkei 225
Index is compiled and calculated solely by NKS. However, NKS shall not be liable
to any person for any error in the Nikkei 225 Index, and NKS shall not be under
any obligation to advise any person, including any purchaser or vendor of the
notes, of any error therein.

In addition, NKS gives no assurance regarding any modification or change in any
methodology used in calculating the Nikkei 225 Index and is under no obligation
to continue the calculation, publication and dissemination of the Nikkei 225
Index.

"Nikkei" and "Nikkei 225" are the service marks of NKS. NKS reserves all the
rights, including copyright, to the Nikkei 225 Index.


                                      S-21



                              UNITED STATES FEDERAL
                             INCOME TAX CONSEQUENCES

The following is a summary of the material United States federal income tax
consequences of the purchase, ownership, and disposition of notes as of the date
of this prospectus supplement. Except where noted, this summary deals only with
a note held as a capital asset by a United States holder who purchases the note
at its initial offering price at original issue and does not deal with special
situations. For example, except where noted, this summary does not address:

o   tax consequences to holders who may be subject to special tax treatment,
    such as dealers in securities or currencies, traders in securities that
    elect to use the mark-to-market method of accounting for their securities
    financial institutions, regulated investment companies, real estate
    investment trusts, investors in pass-through entities, tax-exempt entities
    or insurance companies;

o   tax consequences to persons holding notes as part of a hedging, integrated,
    constructive sale or conversion transaction or a straddle;

o   tax consequences to holders of notes whose "functional currency" is not the
    U.S. dollar;

o   alternative minimum tax consequences, if any; or

o   any state, local or foreign tax consequences.

If a partnership holds our notes, the tax treatment of a partner will generally
depend upon the status of the partner and the activities of the partnership. If
you are a partner of a partnership holding our notes, you should consult your
tax advisors.

The discussion below is based upon the provisions of the Internal Revenue Code
of 1986, as amended (the "Code"), and regulations, rulings and judicial
decisions as of the date of this prospectus supplement. Those authorities may be
changed, perhaps retroactively, so as to result in United States federal income
tax consequences different from those discussed below.

The United States federal income tax treatment of securities such as the notes
is not clear. If you are considering the purchase of notes, you should consult
your own tax advisors concerning the federal income tax consequences in light of
your particular situation and any consequences arising under the laws of any
other taxing jurisdiction.

UNITED STATES HOLDERS

The following discussion is a summary of the material United States federal
income tax consequences that will apply to you if you are a United States holder
of notes.

For purposes of this discussion, a United States holder is a beneficial owner of
a note that is for United States federal income tax purposes:

o   an individual citizen or resident of the United States;

o   a corporation (or any other entity treated as a corporation for United
    States federal income tax purposes) created or organized in or under the
    laws of the United States, any state thereof, or the District of Columbia;

o   an estate the income of which is subject to United States federal income
    taxation regardless of its source; or

o   any trust if it (1) is subject to the primary supervision of a court within
    the United States and one or more United States persons has the authority to
    control all substantial decisions of the trust or (2) has a valid election
    in effect under applicable Treasury Regulations to be treated as a United
    States person.

A non-United States holder is a beneficial owner (other than a partnership) of
notes that is not a United States holder.

GENERAL

No statutory, judicial or administrative authority directly addresses the
characterization of the notes or instruments similar to the notes for United
States

                                      S-22



federal income tax purposes. As a result, significant aspects of the United
States federal income tax consequences of an investment in the notes are not
certain. No ruling is being requested from the Internal Revenue Service with
respect to the notes and no assurance can be given that the Internal Revenue
Service will agree with the treatment described herein. Lehman Brothers Holdings
intends to treat, and by purchasing a note, for all tax purposes you agree to
treat, a note as a cash-settled financial contract giving rise to capital gain
or loss as described below. Except where noted, the remainder of this discussion
assumes that this treatment is correct, although no assurance is given in this
regard.

SALE, EXCHANGE OR OTHER DISPOSITION, OR CASH SETTLEMENT UPON MATURITY

Upon a sale, exchange or other disposition, or payment upon cash settlement at
maturity of a note, you will recognize gain or loss equal to the difference
between the amount of cash received and your basis in the note. The gain or loss
will be treated as capital gain or loss. If you are an individual and have held
the note for more than one year, such capital gain will be subject to reduced
rates of taxation. The deductibility of capital losses is subject to
limitations. Your basis in the note will generally equal your cost of such note.

Lehman Brothers Holdings intends to report the recognition of gain or loss by
you with respect to the notes only at maturity. In such case, when the note is
cash-settled at maturity you will recognize gain or loss as described below.

ALTERNATIVE CHARACTERIZATIONS

There can be no assurance that the Internal Revenue Service will agree with the
foregoing treatment of the notes, and it is possible that the Internal Revenue
Service could assert another treatment and a court could agree with such
assertion. For instance, it is possible that the Internal Revenue Service could
seek to apply the regulations governing contingent payment debt obligations, in
particular because the notes in form are debt instruments. Those regulations
would require you to accrue interest income at a market rate, notwithstanding
that no cash interest payments are actually made, and generally would
characterize gain or, to some extent, loss as ordinary rather than capital. The
Internal Revenue Service could also assert other characterizations that could
affect the timing, amount and character of income or deductions.

NON-UNITED STATES HOLDERS

The following discussion is a summary of the material United States federal tax
consequences that will apply to you if you are a non-United States holder of
notes.

Special rules may apply to you if you are a controlled foreign corporation,
passive foreign investment company, a corporation that accumulates earnings to
avoid United States federal income tax, or an individual who is a United States
expatriate and therefore subject to special treatment under the Code. You should
consult your own tax advisors to determine the United States federal, state,
local and other tax consequences that may be relevant to you.

UNITED STATES FEDERAL WITHHOLDING TAX

Based on the treatment of the notes described above, you should not be subject
to United States federal withholding tax for payments on any sale, exchange or
other disposition or on payments received at maturity in respect of the notes,
provided that the index stock issuers are not United States real property
holding corporations as defined in Section 897(c)(2) of the Code.

As discussed above, alternative characterizations of a note for United States
federal income tax purposes are possible, which could result in the imposition
of United States federal withholding tax on the sale, exchange or other
disposition of a note. You should consult your own tax advisor regarding the
United States federal income tax consequences of an investment in the notes.

UNITED STATES FEDERAL INCOME TAX

Based on the treatment of the notes described above, any gain or income realized
upon the sale, exchange or other disposition of a note or upon payments received
at maturity in respect of the notes generally will not be subject to United
States federal income tax unless (i) the gain or income is effectively connected
with a trade or business in the United States of a non-United States holder,
(ii) in the case of a non-United States holder who is an individual, such
individual is present in the United States for 183 days or more in the taxable


                                      S-23



year of the sale, exchange or other disposition, and certain other conditions
are met or (iii) possibly to the extent the index stock issuers are United
States real property holding corporations.

UNITED STATES FEDERAL ESTATE TAX

If you are an individual non-United States holder of notes, notes held by you at
the time of death may be included in your gross estate for United States federal
estate tax purposes, unless an applicable estate tax treaty provides otherwise.

INFORMATION REPORTING AND BACKUP WITHHOLDING

If you are a United States holder of notes, information reporting requirements
will generally apply to all payments received by you or upon the sale, exchange
or other disposition of a note, unless you are an exempt recipient such as a
corporation. Backup withholding tax will apply to those payments if you fail to
provide a taxpayer identification number, a certification of exempt status, or
if you fail to comply with applicable certification requirements.

If you are a non-United States holder of notes, Lehman Brothers Holdings must
report annually to the Internal Revenue Service and to you the amount of all
payments paid to you and the amount of tax, if any, withheld with respect to
those payments. Copies of the information returns may also be made available to
the tax authorities in the country in which you reside under the provisions of
an applicable income tax treaty. In general, you will not be subject to backup
withholding with respect to payments Lehman Brothers Holdings makes to you
provided that Lehman Brothers Holdings does not have actual knowledge or reason
to know that you are a United States holder and you provide your name and
address on an IRS Form W-8BEN and certify, under penalties of perjury, that you
are not a United States holder. Alternative documentation may be applicable in
some situations. Special certification rules apply to holders that are
pass-through entities. In addition, you will be subject to information reporting
and, depending on the circumstances, backup withholding regarding the proceeds
of the sale of a note made within the United States or conducted through United
States-related financial intermediaries, unless the payor receives the statement
described above and does not have actual knowledge or reason to know that you
are a United States holder, or you otherwise establish an exemption.

Any amounts withheld under the backup withholding rules will be allowed as a
refund or credit against your United States federal income tax liability
provided the required information is furnished to the Internal Revenue Service.


                                      S-24



                          CERTAIN ERISA CONSIDERATIONS

Each person considering the use of plan assets of a pension, profit-sharing or
other employee benefit plan, individual retirement account, Keogh plan or other
retirement plan, account or arrangement (a "plan") to acquire or hold the notes
should consider whether an investment in the notes would be consistent with the
documents and instruments governing the plan, and whether the investment would
involve a prohibited transaction under Section 406 of the Employee Retirement
Income Security Act of 1974, as amended ("ERISA"), or Section 4975 of the Code.

Section 406 of ERISA and Section 4975 of the Code prohibit plans subject to
Title I of ERISA and/or Section 4975 of the Code ("ERISA plans") from engaging
in certain transactions involving "plan assets" with persons who are "parties in
interest" under ERISA or "disqualified persons" under the Code ("parties in
interest") with respect to the plan. A violation of these prohibited transaction
rules may result in civil penalties or other liabilities under ERISA and/or an
excise tax under Section 4975 of the Code for those persons, unless exemptive
relief is available under an applicable statutory, regulatory or administrative
exemption. Certain plans including those that are governmental plans (as defined
in Section 3(32) of ERISA), certain church plans (as defined in Section 3 (33)
of ERISA) and foreign plans (as described in Section 4(b)(4) of ERISA) are not
subject to the requirements of ERISA or Section 4975 of the Code but may be
subject to similar provisions under applicable federal, state, local, foreign or
other regulations, rules or laws ("similar laws").

The acquisition or holding of the notes by an ERISA plan with respect to which
Lehman Brothers Holdings, Lehman Brothers Inc. or certain of their affiliates is
or becomes a party in interest may constitute or result in prohibited
transactions under ERISA or Section 4975 of the Code, unless those notes are
acquired and held pursuant to and in accordance with an applicable exemption.
The Department of Labor has issued prohibited transaction class exemptions, or
"PTCEs", as well as individual exemptions that may provide exemptive relief if
required for direct or indirect prohibited transactions that may arise from the
purchase or holding of the notes.

Each purchaser and holder of the notes or any interest in the notes will be
deemed to have represented by its purchase or holding of the notes that either
(1) it is not a plan or a plan asset entity and is not purchasing or holding
those notes on behalf of or with "plan assets" of any plan or plan asset entity
or (2) the purchase or holding of the notes will not constitute a non-exempt
prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or
violation under any applicable similar laws.

Due to the complexity of these rules and the penalties that may be imposed upon
persons involved in non-exempt prohibited transactions, it is important that
fiduciaries or other persons considering purchasing the notes on behalf of or
with "plan assets" of any plan or plan asset entity consult with their counsel
regarding the availability of exemptive relief under any of the PTCEs listed
above or any other applicable exemption, or the potential consequences of any
purchase or holding under similar laws, as applicable.


                                      S-25



                               BOOK-ENTRY ISSUANCE

The notes will be represented by one or more global securities that will be
deposited with and registered in the name of DTC or its nominee. This means that
Lehman Brothers Holdings will not issue certificates to you for the notes. Each
global security will be issued to DTC which will keep a computerized record of
its participants (for example, a broker) whose clients have purchased the notes.
Each participant will then keep a record of its clients. Unless it is exchanged
in whole or in part for a certificated security, a global security may not be
transferred. However, DTC, its nominees and their successors may transfer a
global security as a whole to one another.

Beneficial interests in a global security will be shown on, and transfers of the
global security will be made only through, records maintained by DTC and its
participants. DTC holds securities that its direct participants deposit with
DTC. DTC also records the settlements among direct participants of securities
transactions, such as transfers and pledges, in deposited securities through
computerized records for direct participants' accounts. This eliminates the need
to exchange certificates. Direct participants include securities brokers and
dealers, banks, trust companies, clearing corporations and certain other
organizations. DTC's book-entry system is also used by other organizations such
as securities brokers and dealers, banks and trust companies that work through a
direct participant.

When you purchase notes through the DTC system, the purchases must be made by or
through a direct participant, who will receive credit for the notes on DTC's
records. Since you actually own the notes, you are the beneficial owner. Your
ownership interest will only be recorded on the direct or indirect participants'
records. DTC has no knowledge of your individual ownership of the notes. DTC's
records only show the identity of the direct participants and the amount of the
notes held by or through them. You will not receive a written confirmation of
your purchase or sale or any periodic account statement directly from DTC. You
should instead receive these from your direct or indirect participant. As a
result, the direct or indirect participants are responsible for keeping accurate
account of the holdings of their customers like you.

The trustee for the notes will wire payments on the notes to DTC's nominee.
Lehman Brothers Holdings and the trustee will treat DTC's nominee as the owner
of each global security for all purposes. Accordingly, Lehman Brothers Holdings,
the trustee and any paying agent will have no direct responsibility or liability
to pay amounts due on the global security to you or any other beneficial owners
in the global security. It is DTC's current practice, upon receipt of any
payment, to proportionally credit direct participants' accounts on the payment
date based on their holdings. In addition, it is DTC's current practice to pass
through any consenting or voting rights to the participants by using an omnibus
proxy. Those participants in turn will make payments to and solicit votes from
you, the ultimate owner of notes based on customary practices. Payments to you
will be the responsibility of the participants and not of DTC, the trustee or
Lehman Brothers Holdings.

Notes represented by a global security will be exchangeable for certificated
securities with the same terms in authorized denominations only if:

o   DTC is unwilling or unable to continue as depositary or ceases to be a
    clearing agency registered under applicable law and a successor is not
    appointed by Lehman Brothers Holdings within 90 days; or

o   Lehman Brothers Holdings decides to discontinue use of the book-entry
    system.

If the global security is exchanged for certificated securities, the trustee
will keep the registration books for the notes at its corporate office and
follow customary practices and procedures.

DTC has provided Lehman Brothers Holdings with the following information: DTC is
a limited-purpose trust company organized under the New York Banking Law, a
"banking organization" within the meaning of the New York Banking Law, a member
of the United States Federal Reserve System, a "clearing corporation" within the
meaning of the New York Uniform Commercial Code and a "clearing agency"
registered under the provisions of Section 17A of the Securities Exchange Act of
1934. DTC is owned by a number of its direct participants and by The New York
Stock Exchange, the American Stock Exchange LLC

                                      S-26



and the National Association of Securities Dealers, Inc. The rules that apply to
DTC and its participants are on file with the SEC.

CLEARSTREAM AND EUROCLEAR

Links have been established among DTC, Clearstream Banking and Euroclear (two
European book-entry depositories similar to DTC), to facilitate the initial
issuance of the notes and cross-market transfers of the notes associated with
secondary market trading.

Although DTC, Clearstream and Euroclear have agreed to the procedures provided
below in order to facilitate transfers, they are under no obligation to perform
those procedures and those procedures may be modified or discontinued at any
time.

Clearstream and Euroclear will record the ownership interests of their
participants in much the same way as DTC, and DTC will record the aggregate
ownership of each U.S. agent of Clearstream and Euroclear, as participants in
DTC.

When notes are to be transferred from the account of a DTC participant to the
account of a Clearstream participant or a Euroclear participant, the purchaser
must send instructions to Clearstream or Euroclear through a participant at
least one business day prior to settlement. Clearstream or Euroclear, as the
case may be, will instruct its U.S. agent to receive the notes against payment.
After settlement, Clearstream or Euroclear will credit its participant's
account. Credit for the notes will appear on the next day, European time.

Because the settlement is taking place during New York business hours, DTC
participants can employ their usual procedures for sending notes to the relevant
U.S. agent acting for the benefit of Clearstream or Euroclear participants. The
sale proceeds will be available to the DTC seller on the settlement date. Thus,
to the DTC participant, a cross-market transaction will settle no differently
than a trade between two DTC participants.

When a Clearstream or Euroclear participant wishes to transfer notes to a DTC
participant, the seller must send instructions to Clearstream or Euroclear
through a participant at least one business day prior to settlement. In these
cases, Clearstream or Euroclear will instruct its U.S. agent to transfer notes
against payment. The payment will then be reflected in the account of the
Clearstream or Euroclear participant the following day, with the proceeds
back-valued to the value date; which day would be the preceding day, when
settlement occurs in New York. If settlement is not completed on the intended
value date (i.e., the trade fails), proceeds credited to the Clearstream or
Euroclear participant's account would instead be valued as of the actual
settlement date.


                                      S-27



                                  UNDERWRITING

Lehman Brothers Holdings has agreed to sell to Lehman Brothers Inc., the
underwriter, and Lehman Brothers Inc. has agreed to purchase, the principal
amount of the notes. The underwriter has advised Lehman Brothers Holdings that
it proposes to initially offer the notes to the public at the public offering
price indicated on the cover page of this prospectus supplement; it may also
offer notes to certain dealers at the same price less a concession not in excess
of 2% of the principal amount of the notes. After the initial public offering of
the notes is completed, the public offering price and concessions may be
changed.

Lehman Brothers Holdings has granted to the underwriter an option to purchase,
at any time within 13 days of the original issuance of the notes, up to $502,500
additional aggregate principal amount of notes solely to cover over-allotments.
To the extent that the option is exercised, the underwriter will be committed,
subject to certain conditions, to purchase the additional notes. If this option
is exercised in full, the total public offering price, underwriting discount and
proceeds to Lehman Brothers Holdings would be $3,852,500, $ 77,050 and
$3,775,450, respectively.

Lehman Brothers Holdings has agreed to indemnify the underwriter against some
liabilities, including liabilities under the Securities Act of 1933, or to
contribute payments that the underwriter may be required to make relating to
these liabilities.

The notes are a new issue of securities with no established trading market.
Lehman Brothers Holdings has been advised by the underwriter that it intends to
make a market in the notes, but it is not obligated to do so and may discontinue
market making at any time without notice. No assurance can be given as to the
liquidity of the trading market for the notes.

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.

If the notes are sold in a market-making transaction after their initial sale,
information about the purchase price and the date of the sale will be provided
in a separate confirmation of sale.

CERTAIN SELLING RESTRICTIONS

Argentina

The offering of notes has not been registered with the Comision Nacional de
Valores in order to be publicly offered in Argentina and therefore may not be
offered or sold to the public in Argentina. Investors must consider the risks of
the transaction before making an investment decision.

Brazil

The notes may not be offered or sold to the public in Brazil. Accordingly, the
offering of the notes has not been submitted to the Comissao de Valores
Mobiliarios for approval. Documents relating to this offering, as well as the
information contained herein and therein, may not be supplied or distributed as
a public offering in Brazil or be used in connection with any public offer for
subscription or sale in Brazil.

British Virgin Islands

This prospectus supplement and the notes offered hereby have not been, and will
not be registered under the laws and regulations of the British Virgin Islands,
nor has any regulatory authority in the British Virgin Islands passed comment
upon or approved the accuracy or adequacy of this prospectus supplement.

Colombia

The notes have not been and will not be registered in the National Securities
Registry of Colombia or in the Colombian Stock Exchange. Therefore the notes may
not be publicly offered or negotiated in Colombia.

European Economic Area

In relation to each Member State of the European Economic Area which has
implemented the Prospectus Directive (each, a "Relevant Member State"), the
underwriter has represented and agreed that with effect from and including the
date on which the Prospectus

                                      S-28



Directive is implemented in the Relevant Member State (the "Relevant
Implementation Date") it has not made and will not make an offer of notes to the
public in that Relevant Member State, except that it may, with effect from and
including the Relevant Implementation Date, make an offer of notes to the public
in that Relevant Member State:

o   in (or in Germany, where the offer starts within) the period beginning on
    the date of publication of a prospectus in relation to those notes which has
    been approved by the competent authority in that Relevant Member State or,
    where appropriate, approved in another Relevant Member State and notified to
    the competent authority in that Relevant Member State, all in accordance
    with the Prospectus Directive, and ending on the date which 12 months after
    the date of such publication;

o   at any time to legal entities which are authorized or regulated to operate
    in the financial markets or, if not so authorized or regulated, whose
    corporate purpose is solely to invest in securities;

o   at any time to any legal entity which has two or more of (1) an average of
    at least 250 employees during the last financial year; (2) a total balance
    sheet of more than EUR43,000,000 and (3) an annual net turnover of more than
    EUR50,000,000, all as shown in its last annual or consolidated accounts; or

o   at any time in any other circumstances which do not require the publication
    by Lehman Brothers Holdings of a prospectus pursuant to Article 3 of the
    Prospectus Directive.

For the purposes of this provision, the expression "offer of notes to the
public" in relation to any notes in any Relevant Member State means the
communication in any form and by any means of sufficient information on the
terms of the offer and the notes to be offered so as to enable an investor to
decide to purchase or subscribe the notes, as the same may be varied in that
Member State by any measure implementing the Prospectus Directive in that Member
State and the expression "Prospectus Directive" meant Directive 2003/71/EC and
includes any relevant implementing measure in each Relevant Member State.

Germany

The notes may not be offered or sold in the Federal Republic of Germany other
than in compliance with the provisions of the German Sales Prospectus Act
(Wertpapier-Verkaufsprospektgesetz) of December 13, 1990, as amended, and of any
other laws applicable in the Federal Republic of Germany governing the issue,
offering and sale of securities.

Ireland

The underwriter has represented, warranted and agreed that (a) it has not
offered or sold and will not offer or sell any notes in Ireland, and that it
will not issue any application form for notes in Ireland, other than to persons
whose ordinary business it is to buy or sell shares or debentures, whether as
principal or agent, within the meaning of the Irish Companies Acts, 1963 to 2003
and (b) it has complied with and will comply with all applicable provisions of
the Irish Investment Intermediaries act, 1995 (as amended) with respect to
anything done by it in relation to the notes.

Panama

The notes have not been and will not be registered with the National Securities
Commission of the Republic of Panama under Decree Law No. 1 of July 8, 1999 (the
"Panamanian Securities Law") and may not be publicly offered or sold within
Panama, except in certain limited transactions exempt from the registration
requirements of the Panamanian Securities Law. The notes do not benefit from the
tax incentives provided by the Panamanian Securities Law and are not subject to
regulation or supervision by the National Securities Commission of the Republic
of Panama.

Switzerland

The underwriter has agreed that it has only offered or sold and will only offer
or sell the notes in Switzerland in compliance with all applicable laws and
regulations in force in Switzerland, and will, to the extent necessary, obtain
any consent, approval, or permission required, if any, by it for the offer or
sale by it of the notes under the laws and regulations in force in Switzerland.


                                      S-29



The Netherlands

The underwriter has separately further agreed that it has not, directly or
indirectly, offered or sold and will not, directly or indirectly, offer or sell
in The Netherlands any notes other than to persons who trade or invest in
securities in the conduct of a profession or business (which include banks,
stockbrokers, insurance companies, investment undertakings, pension funds, other
institutional investors and finance companies and treasury departments of large
enterprises).

United Kingdom

The underwriter has represented and agreed that:

o   it and each of its affiliates have only communicated or caused to be
    communicated and will only communicate or cause to be communicated any
    invitation or inducement to engage in investment activity (within the
    meaning of Section 21 of the Financial Services and Markets Act 2000 (the
    "FSMA")) received by it in connection with the issue or sale of any notes in
    circumstances in which Section 21(1) of the FSMA does not apply to Lehman
    Brothers Holdings; and

o   it and each of its affiliates have complied and will comply with all
    applicable provisions of the FSMA with respect to anything done by it in
    relation to the notes in, from or otherwise involving the United Kingdom.

Uruguay

The offering of notes in Uruguay constitutes a private offering and the
underwriter has agreed that the notes and Lehman Brothers Holdings will not be
registered with the Central Bank of Uruguay pursuant to section 2 of Uruguayan
law 16.749.

Venezuela

This offering is extraterritorial (non-Venezuelan), directed exclusively to
clients of the underwriter and as such, no registrations or authorizations will
be required from the Comision Nacional de Valores.

General

The underwriter has agreed that it will, to its best knowledge after due
inquiry, comply with all applicable laws and regulations in force in any
jurisdiction in which it offers or sells the notes or possesses or distributes
this prospectus supplement, the base prospectus or any other offering material
and will obtain any consent, approval or permission required by it for the offer
or sale by it of the notes under the laws and regulations in force in any
jurisdiction to which it is subject or in which it makes such offers or sales.


                                      S-30

                                   $3,350,000


                         LEHMAN BROTHERS HOLDINGS INC.

                          Limited Principal Protection
                                   RAPIDS(SM)
        Return Accelerated PortfolIo Debt Securities Due January 26, 2008
                    Linked to the Nikkei 225(SM) INDEX (NKY)


                                   ----------

                             Prospectus Supplement
                                  July 21, 2006

                              (INCUDING PROSPECTUS
                              DATED MAY 30, 2006)

                                   ----------


                                 LEHMAN BROTHERS