424B5 1 file001.htm FORM 424B5

As Filed Pursuant to Rule 424(B)(5)
File Number: 333-121067

PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED MAY 18, 2005)

$4,350,000
LEHMAN BROTHERS HOLDINGS INC.
ABSOLUTE BUFFER NOTES DUE JULY 29, 2008
LINKED TO THE DOW JONES EURO STOXX 50(SM) INDEX (SX5E)

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

General:

o Senior unsecured debt securities of Lehman Brothers Holdings.

o Linked to the Dow Jones EURO STOXX 50(SM) Index, as published by STOXX
Limited.

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

o Minimum initial investment: $10,000.

o Stated maturity date: July 29, 2008, subject to postponement if the
valuation date is postponed.

o Valuation date: July 24, 2008, subject to postponement if such day is not
an exchange business day or if a market disruption event occurs.

o Upside participation rate: 130%.

o Threshold level: 2642.384, which is 80% of the initial index level.

o The notes have been approved for listing on the American Stock Exchange LLC
under the trading symbol "LBN.B".

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 not negative, $1,000 + ($1,000 x the upside
participation rate x the final index return).

-- If the final index return is negative and the final index level is equal to
or greater than the threshold level, $1,000 + ($1,000 x the absolute value
of the final index return).

-- If the final index return is negative and the final index level is less
than the threshold level, $1,000 + ($1,000 x the final index return).

The final index return will equal:

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

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% $4,350,000
Underwriting discount ......................... 2.5% $ 108,750
Proceeds to Lehman Brothers Holdings .......... 97.5% $4,241,250

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $652,500 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 29, 2005.

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

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 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 26, 2005

"EURO STOXX" and "EURO STOXX 50" are trademarks of STOXX Limited and "Dow Jones
EURO STOXX 50 Index" is a service mark of Dow Jones & Company, Inc. and have
been licensed for use by Lehman Brothers Holdings Inc. The notes, linked to the
performance of the Dow Jones EURO STOXX 50 Index, are not sponsored, endorsed,
sold or promoted by STOXX Limited or Dow Jones & Company, Inc. and STOXX
Limited and Dow Jones & Company, Inc. make 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 AND THE ACCOMPANYING PROSPECTUS. NO ONE HAS BEEN
AUTHORIZED TO PROVIDE YOU WITH DIFFERENT INFORMATION. YOU SHOULD NOT ASSUME THAT
THE INFORMATION CONTAINED IN THIS PROSPECTUS SUPPLEMENT OR THE ACCOMPANYING
PROSPECTUS IS ACCURATE AS OF ANY DATE OTHER THAN THE DATE ON THE FRONT COVER OF
THE DOCUMENT. SECURITIES ARE NOT BEING OFFERED IN ANY JURISDICTION WHERE THE
OFFER IS NOT PERMITTED.

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

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-11
DESCRIPTION OF THE NOTES............................................... S-12
THE DOW JONES EURO STOXX 50 INDEX...................................... S-17
UNITED STATES FEDERAL INCOME TAX CONSEQUENCES.......................... S-21
CERTAIN ERISA CONSIDERATIONS........................................... S-24
BOOK-ENTRY ISSUANCE.................................................... S-25
UNDERWRITING........................................................... S-27

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 Dow Jones
EURO STOXX 50 Index. See "The Dow Jones EURO STOXX 50 Index." The notes will
rank equally with all other unsecured debt of Lehman Brothers Holdings, except
subordinated debt, and will mature on July 29, 2008, subject to postponement if
the valuation date is postponed.

WHO PUBLISHES THE DOW JONES EURO STOXX 50 INDEX AND WHAT DOES THE DOW JONES EURO
STOXX 50 INDEX MEASURE?

The Dow Jones EURO STOXX 50 Index is a stock index published by STOXX Limited
("STOXX") that measures the aggregate price changes in selected Eurozone stocks
against a fixed base quantity weight. The Dow Jones EURO STOXX 50 Index is
currently based on 50 stocks of market sector leaders from within the Dow Jones
EURO STOXX index. The component stocks have a high degree of liquidity and
represent the largest companies across all market sectors defined by the Dow
Jones Global Classification Standard. The Dow Jones EURO STOXX 50 Index is a
free float capitalization weighted stock index, which means an underlying
stock's weight in the Dow Jones EURO STOXX 50 Index is based on free float
adjusted 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 Dow Jones EURO
STOXX 50 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 not negative, $1,000 + ($1,000 x the upside
participation rate x the final index return).

o If the final index return is negative and the final index level is equal to
or greater than the threshold level, $1,000 + ($1,000 x the absolute value
of the final index return).

o If the final index return is negative and the final index level is less
than the threshold level, $1,000 + ($1,000 x the final index return).

The final index return will equal:

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

The upside participation rate is 130%. The threshold level is 2642.384, which is
80% of the initial index level (subject to appropriate adjustment by the
calculation agent to reflect adjustments in the Dow Jones EURO STOXX 50 Index,
if applicable).

If the third business day before the stated maturity date is not an exchange
business day or the calculation agent determines that one or more market
disruption events have occurred on that day, the calculation agent will, subject
to certain limitations, determine the final index level by reference to the
closing index level on the next exchange business day on which there is not a

S-3

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 Dow Jones EURO STOXX 50 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.

AMOUNT PAYABLE AT MATURITY -- EXAMPLES

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

EXAMPLE 1. ASSUMING THE FINAL INDEX LEVEL OF THE DOW JONES EURO STOXX 50 INDEX
ON THE VALUATION DATE IS 3963.58, RESULTING IN A FINAL INDEX RETURN OF 20%:

Because the final index return is not negative, the appropriate formula for
calculating the amount payable on the stated maturity date per $1,000 note is:

$1,000 + ($1,000 x 130% x 20%) = $1,260

As a result, on the stated maturity date, you would receive $1,260 per $1,000
note.

EXAMPLE 2. ASSUMING THE FINAL INDEX LEVEL OF THE DOW JONES EURO STOXX 50 INDEX
ON THE VALUATION DATE IS 3302.98, RESULTING IN A FINAL INDEX RETURN OF 0%:

Because the final index return is not negative, the appropriate formula for
calculating the amount payable on the stated maturity date per $1,000 note is:

$1,000 + ($1,000 x 130% x 0%) = $1,000

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

EXAMPLE 3. ASSUMING THE FINAL INDEX LEVEL OF THE DOW JONES EURO STOXX 50 INDEX
ON THE VALUATION DATE IS 2972.68, RESULTING IN A FINAL INDEX RETURN OF -10%:

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

$1,000 + ($1,000 x 10%) = $1,100

As a result, on the stated maturity date, you would receive $1,100 per $1,000
note.

EXAMPLE 4. ASSUMING THE FINAL INDEX LEVEL OF THE DOW JONES EURO STOXX 50 INDEX
ON THE VALUATION DATE IS 2312.09, RESULTING IN A FINAL INDEX RETURN OF -30%:

Because the final index return is negative 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:

$1,000 + ($1,000 x (-30%)) = $700

As a result, on the stated maturity date, you would receive $700 per $1,000
note.

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

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

HOW HAS THE DOW JONES EURO STOXX 50 INDEX PERFORMED HISTORICALLY?

Lehman Brothers Holdings has provided a table, on page S-19, showing the
performance of the Dow Jones EURO STOXX 50 Index from January 1, 2000 through
July 26, 2005. Lehman Brothers Holdings has provided this historical information
to help you evaluate the behavior of the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index or the notes will perform in the
future.

S-4

HOW WILL I BE ABLE TO FIND THE INDEX LEVEL OF THE DOW JONES EURO STOXX 50 INDEX
AT ANY POINT IN TIME?

You can obtain the level of the Dow Jones EURO STOXX 50 Index at any time from
the Bloomberg(R) service under the symbol "SX5E," or from the Dow Jones website,
at www.djindexes.com.

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
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 and subsidiaries, 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. Lehman Brothers Holdings, through predecessor entities, was
founded in 1850. See "Lehman Brothers Holdings Inc." and "Where You Can Find
More Information" on page 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?

The notes have been approved for listing on the American Stock Exchange LLC
under the trading symbol "LBN.B". You should be aware that the listing of the
notes on the American Stock Exchange LLC will not necessarily ensure that a
liquid trading market will be available for the notes.

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 Dow Jones EURO STOXX
50 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 AT MATURITY MAY BE LESS THAN THE PRICE AT WHICH THE
NOTES ARE INITIALLY BEING SOLD TO THE PUBLIC. If the final index level of
the Dow Jones EURO STOXX 50 Index is less than the threshold level on the
valuation date, 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 AT MATURITY 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 DOW JONES EURO STOXX 50 INDEX.

o YOUR RETURN WILL NOT REFLECT DIVIDENDS ON SECURITIES UNDERLYING THE DOW
JONES EURO STOXX 50 INDEX. Your return on the notes will not reflect the
return you would realize if you actually owned the securities underlying
the Dow Jones EURO STOXX 50 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 Dow Jones EURO
STOXX 50 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 Dow Jones EURO STOXX 50 Index are
traded in Euros 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 the percentage increase in the Dow Jones
EURO STOXX 50 Index. Changes in exchange rates, however, may reflect
changes in the Eurozone economies, which in turn may affect the value of
the Dow Jones EURO STOXX 50 Index and the notes.

HISTORICAL VALUES OF THE DOW JONES EURO STOXX 50 INDEX SHOULD NOT BE TAKEN AS AN
INDICATION OF THE FUTURE PERFORMANCE OF THE DOW JONES EURO STOXX 50 INDEX DURING
THE TERM OF THE NOTES.

The trading prices of the securities underlying the Dow Jones EURO STOXX 50
Index will determine the index level. As a result, it is impossible to predict
whether the index level will fall or rise. Trading prices of the securities
underlying the Dow Jones EURO STOXX 50 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.

S-6

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. Although the notes
have been approved for listing on the American Stock Exchange LLC, it is not
possible to predict whether the notes will trade in the secondary market. 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 VALUE OF THE NOTES WILL BE AFFECTED BY NUMEROUS FACTORS, SOME OF WHICH ARE
RELATED IN COMPLEX WAYS.

The value 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 market value of the notes, assuming all other conditions remain constant.

o INDEX. Lehman Brothers Holdings expects that the market value 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, 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 Dow Jones EURO STOXX 50 Index are likely to
directly affect the index level of the Dow Jones EURO STOXX 50 Index and
could indirectly affect the value of the notes.

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

o VOLATILITY OF THE DOW JONES EURO STOXX 50 INDEX. Volatility is the term
used to describe the size and frequency of market fluctuations. If the
volatility of the level of the Dow Jones EURO STOXX 50 Index changes, the
trading value of the notes may be adversely affected. Lehman Brothers
Holdings is unable to predict the effect of these events on the future
value or volatility of the Dow Jones EURO STOXX 50 Index.

o VOLATILITY OF THE EURO/U.S. DOLLAR EXCHANGE RATE. The Euro/U.S. dollar rate
is a foreign exchange spot rate that measures the relative values of two
currencies, the Euro and the U.S. dollar (the "Euro/USD Rate"). The
Euro/USD Rate is expressed as a rate that reflects the amount of Euros that
can be purchased for one U.S. dollar. The Euro/USD Rate increases when the
U.S. dollar appreciates relative to the Euro and decreases when the U.S.
dollar depreciates relative to the Euro. Volatility is the term used to
describe the size and frequency of price and/or market fluctuations. If the
volatility of the Euro/USD Rate changes, the trading value of the notes may
be adversely affected.

o CORRELATION BETWEEN THE EURO/USD RATE AND THE DOW JONES EURO STOXX 50
INDEX. Correlation is the term used to describe the relationship between
the percentage changes in the Euro/USD Rate and the percentage changes in
the Dow Jones EURO STOXX 50 Index. If the correlation

S-7

between the Euro/USD Rate and the Dow Jones EURO STOXX 50 Index changes,
the trading value of the notes may be adversely affected.

o MERGER AND ACQUISITION TRANSACTIONS. Some of the securities underlying the
Dow Jones EURO STOXX 50 Index may be affected by mergers and acquisitions,
which can contribute to volatility of the Dow Jones EURO STOXX 50 Index.
Additionally, as a result of a merger or acquisition, one or more
securities underlying the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index.

o TIME REMAINING TO MATURITY. The value 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 value of the notes.

o DIVIDEND YIELDS. If dividend yields on the securities underlying the Dow
Jones EURO STOXX 50 Index increase, the value of the notes may be adversely
affected because the Dow Jones EURO STOXX 50 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 market value 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 Dow Jones EURO STOXX 50 Index and real or
anticipated changes in those conditions or results may affect the market
value of the notes.

o LEVEL OF THE DOW JONES EURO STOXX 50 INDEX FROM THE DATE OF THIS PROSPECTUS
SUPPLEMENT. If the closing level of the Dow Jones EURO STOXX 50 Index falls
below the threshold level during the term of the notes, the trading value
of the notes may be adversely affected.

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 value 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 value 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 EUROZONE
SECURITIES MARKETS.

The securities included in the Dow Jones EURO STOXX 50 Index are issued by
European companies and are denominated in Euros. You should be aware that
investments in securities linked to the value of European equity securities
involve particular risks. The European securities markets may be more volatile
than U.S. securities markets, and market developments may affect European
markets differently from U.S. or other securities markets. Direct or indirect
government intervention to stabilize the European securities markets, as well as
cross-shareholdings in European companies, may affect trading prices and volume
in those markets. Also, there is generally less publicly available information
about European companies that are not subject to the reporting requirements of
the SEC, and European 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 Europe are subject to political, economic, financial and
social factors that apply in Europe. These factors, which could negatively
affect European securities markets, include the possibility of changes in the
European governments' economic and fiscal policies, the possible imposition of,
or changes in, currency exchange laws or other laws or restrictions applicable
to European companies or investments in European equity securities and the
possibility of fluctuations in the rate of exchange between currencies.
Moreover, the European economies may 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.

ADJUSTMENTS TO THE DOW JONES EURO STOXX 50 INDEX COULD ADVERSELY AFFECT THE
VALUE OF THE NOTES.

The policies of STOXX concerning additions, deletions and substitutions of the
securities underlying the Dow Jones EURO STOXX 50 Index and the manner in which
STOXX takes account of certain changes affecting such underlying securities may
affect the value of the Dow Jones EURO STOXX 50 Index. The policies of STOXX
with respect to the calculation of the Dow Jones EURO

S-8

STOXX 50 Index could also affect the value of the Dow Jones EURO STOXX 50 Index.
STOXX may discontinue or suspend calculation or dissemination of the Dow Jones
EURO STOXX 50 Index or materially alter the methodology by which it calculates
the Dow Jones EURO STOXX 50 Index. Any such actions could affect the value of
the notes. See "Description of the Notes--Discontinuance of the Dow Jones EURO
STOXX 50 Index; Alteration of method of calculation" and "The Dow Jones EURO
STOXX 50 Index."

LEHMAN BROTHERS HOLDINGS CANNOT CONTROL ACTIONS BY THE COMPANIES WHOSE
SECURITIES UNDERLIE THE DOW JONES EURO STOXX 50 INDEX.

Actions by these companies may have an adverse effect on the price of the
securities underlying the Dow Jones EURO STOXX 50 Index, the Dow Jones EURO
STOXX 50 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 STOXX AND
ARE NOT RESPONSIBLE FOR ITS PUBLIC DISCLOSURE OF INFORMATION.

STOXX provides and services the Dow Jones EURO STOXX 50 Index. Lehman Brothers
Holdings and its affiliates are not affiliated with STOXX in any way (except for
licensing arrangements discussed below in "The Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index. See "Description of the
Notes--Market disruption events" and "Description of the Notes--Discontinuance
of the Dow Jones EURO STOXX 50 Index; Alteration of method of calculation."
STOXX 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 Dow
Jones EURO STOXX 50 Index or STOXX contained in this prospectus supplement or
any public disclosure of information by STOXX. You, as an investor in the notes,
should make your own investigation into the Dow Jones EURO STOXX 50 Index and
STOXX.

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 Dow Jones EURO STOXX 50 Index; Alteration of method
of calculation" and "Description of the Notes--Market disruption events."

PURCHASES AND SALES OF SECURITIES UNDERLYING THE DOW JONES EURO STOXX 50 INDEX
BY LEHMAN BROTHERS HOLDINGS AND ITS AFFILIATES COULD AFFECT THE PRICES OF THOSE
SECURITIES OR THE LEVEL OF THE DOW JONES EURO STOXX 50 INDEX.

Lehman Brothers Holdings and its affiliates, including Lehman Brothers Inc., may
from time to time buy or sell securities underlying the Dow Jones EURO STOXX 50
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 Dow
Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index.

S-9

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 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

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 Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50
Index or those securities underlying the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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 Dow Jones EURO
STOXX 50 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 Dow Jones EURO STOXX 50 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 Dow
Jones EURO STOXX 50 Index and, accordingly, increase or decrease the level of
the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index, these
activities could have such an effect.

RATIO OF EARNINGS TO FIXED CHARGES

YEAR ENDED NOVEMBER 30, SIX MONTHS
------------------------------------------------------------- ENDED
2000 2001 2002 2003 2004 MAY 31, 2005
---------- ---------- ---------- ---------- ----------- -----------------
1.14 1.11 1.13 1.29 1.36 1.31

S-11

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 $4,350,000 ($5,002,500 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 July 29, 2008, 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 not negative, $1,000 + ($1,000 x the upside
participation rate x the final index return).

o If the final index return is negative and the final index level is equal to
or greater than the threshold level, $1,000 + ($1,000 x the absolute value
of the final index return).

o If the final index return is negative and the final index level is less
than the threshold level, $1,000 + ($1,000 x the final index return).

The final index return will equal:

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

The initial index level is 3302.98, 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 an exchange business 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 exchange business day on
which there is not a market disruption event; provided, however, if a market
disruption event occurs on each of the eight exchange business days following
the originally scheduled valuation date, then (a) that eighth exchange business
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 exchange business 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.

S-12

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 "closing index level" of the Dow Jones EURO STOXX 50 Index (or any successor
index) on any particular day means the closing level of the Dow Jones EURO STOXX
50 Index as reported by STOXX (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.

An "exchange business day" means any day on which the Dow Jones EURO STOXX 50
Index (or any successor index) is published by its publisher or is otherwise
determined by the calculation agent as described in the following section.

DISCONTINUANCE OF THE DOW JONES EURO STOXX 50 INDEX; ALTERATION OF METHOD OF
CALCULATION

If STOXX discontinues publication of the Dow Jones EURO STOXX 50 Index and STOXX
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 Dow Jones EURO STOXX 50 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 STOXX discontinues publication of the Dow Jones EURO STOXX 50 Index and the
calculation agent determines that no successor index is available at such time
or if STOXX (or the publisher of any successor index) fails to calculate and
publish a closing index level for the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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) on such date of
each security most recently comprising the Dow Jones EURO STOXX 50 Index (or any
successor index) on the relevant exchange on which such security trades.
Notwithstanding these alternative arrangements, discontinuance of the
publication of the Dow Jones EURO STOXX 50 Index may adversely affect the value
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 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 Dow
Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index, any
successor index or the closing index level on any particular day, is changed in
a material respect, or if the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50
Index or such successor index had such changes or modifications not been 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 Dow
Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index or such successor index, as adjusted.

Accordingly, if the method of calculating the Dow Jones EURO STOXX 50 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

S-13

modified, then the calculation agent will adjust such index in order to arrive
at a level of the Dow Jones EURO STOXX 50 Index or such successor index as if it
had not been modified.

MARKET DISRUPTION EVENTS

A market disruption event with respect to the Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50
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 Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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
Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 Index or any successor
index are traded or on which futures or options contracts relating to the
Dow Jones EURO STOXX 50 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 Dow
Jones EURO STOXX 50 Index or any successor index will be based on a
comparison of (x) the portion of the level of the Dow Jones EURO STOXX 50
Index or successor index attributable to that security and (y) the overall
level of the Dow Jones EURO STOXX 50 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 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.

S-14

HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical final index levels of
the Dow Jones EURO STOXX 50 Index calculated on the valuation date:

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.

<TABLE>

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

0.00 -100% $ 0 -100.00% -100.00%
660.60 -80 200 -80.00 -41.52
1321.19 -60 400 -60.00 -26.32
1981.79 -40 600 -40.00 -15.66
2642.384(1) -20 1,200 20.00 6.27
2972.68 -10 1,100 10.00 3.23
3302.98 0 1,000 0.00 0.00
3963.58 20 1,260 26.00 8.01
4624.17 40 1,520 52.00 14.98
5284.77 60 1,780 78.00 21.19
5945.36 80 2,040 104.00 26.83
6605.96 100 2,300 130.00 32.00
</TABLE>

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

(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.

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 Dow Jones EURO STOXX 50 Index is
discontinued;

S-15

o the closing index level if no successor index is available or if STOXX 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 Dow Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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 Dow
Jones EURO STOXX 50 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 Dow Jones EURO STOXX 50 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-16

THE DOW JONES EURO STOXX 50 INDEX

GENERAL

Lehman Brothers Holdings obtained all information contained in this prospectus
supplement regarding the Dow Jones EURO STOXX 50 Index, including, without
limitation, its make-up, method of calculation and changes in its components,
from publicly available information. That information reflects the policies of,
and is subject to change by, STOXX. STOXX has no obligation to continue to
publish, and may discontinue publication of, the Dow Jones EURO STOXX 50 Index.
The consequences of STOXX discontinuing publication of the Dow Jones EURO STOXX
50 Index are described in the section entitled "Description of the
Notes--Discontinuance of the Dow Jones EURO STOXX 50 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 Dow Jones
EURO STOXX 50 Index.

The Dow Jones EURO STOXX 50 Index was created by STOXX, a joint venture between
Deutsche Boerse AG, Dow Jones & Company and SWX Swiss Exchange. Publication of
the Dow Jones EURO STOXX 50 Index began on February 28, 1998, based on an
initial index value of 1,000 at December 31, 1991. The Dow Jones EURO STOXX 50
Index is published in The Wall Street Journal and disseminated on the STOXX
website at www.stoxx.com.

INDEX COMPOSITION AND MAINTENANCE

The Dow Jones EURO STOXX 50 Index is composed of 50 component stocks of market
sector leaders from within the Dow Jones EURO STOXX Supersector indexes, which
includes stocks selected from the Eurozone. The component stocks have a high
degree of liquidity and represent the largest companies across all supersectors
as defined by the Dow Jones Global Classification Standard. Set forth below are
the country weightings and industrial sector weightings of the securities
included in the Dow Jones EURO STOXX 50 Index as of June 30, 2005:

COUNTRY WEIGHTINGS
-----------------------------------------
France .................. 31.9%
Germany.................. 21.6%
The Netherlands.......... 18.7%
Spain.................... 13.1%
Italy.................... 11.0%
Finland.................. 3.7%

INDUSTRIAL SECTOR WEIGHTINGS
--------------------------------------
Banks.......................... 21.0%
Oil & Gas...................... 18.2%
Insurance...................... 10.3%
Telecommunications............. 10.0%
Utilities...................... 9.5%
Technology..................... 6.3%
Healthcare..................... 4.2%
Chemicals...................... 3.9%
Personal & Household Goods..... 3.7%
Industrial Goods & Services.... 3.0%
Food & Beverage................ 2.9%
Retail......................... 2.0%
Automobiles & Parts............ 1.7%
Construction & Materials....... 1.7%
Media.......................... 1.7%

The composition of the Dow Jones EURO STOXX 50 Index is reviewed annually, based
on the closing stock data on the last trading day in August. The component
stocks are announced the first trading day in September. Changes to the
component stocks are implemented on the third Friday in September and are
effective the following trading day. Changes in the composition of the Dow Jones
EURO STOXX 50 Index are made to ensure that the Dow Jones EURO STOXX 50 Index
includes the 50 market sector leaders from within the Dow Jones EURO STOXX
Index.

The free float factors for each component stock used to calculate the Dow Jones
EURO STOXX 50 Index are reviewed, calculated and implemented on a quarterly
basis and are fixed until the next quarterly review.

The Dow Jones EURO STOXX 50 Index is also reviewed on an ongoing basis.
Corporate actions (including initial public offerings, mergers and takeovers,
spin-offs, delistings and bankruptcy) that affect the Dow Jones EURO STOXX 50
Index composition are immediately reviewed. Any changes are announced,
implemented and effective in line with the type of corporate action and the
magnitude of the effect.

INDEX CALCULATION

The Dow Jones EURO STOXX 50 Index is calculated with the "Laspeyres formula,"
which measures the aggregate price changes in the component stocks against a
fixed base quantity weight. The formula for

S-17

calculating the EURO STOXX 50 Index value can be expressed as follows:

free float market capitalization of the
Dow Jones EURO STOXX 50 Index
Index = ------------------------------------------- x 1,000
adjusted base date market capitalization of
the Dow Jones EURO STOXX 50 Index

The "free float market capitalization of the Dow Jones EURO STOXX 50 Index" is
equal to the sum of the products of the closing price, market capitalization and
free float factor for each component stock as of the time the Dow Jones EURO
STOXX 50 Index is being calculated.

The Dow Jones EURO STOXX 50 Index is also subject to a divisor, which is
adjusted to maintain the continuity of the Dow Jones EURO STOXX 50 Index values
across changes due to corporate actions. The following is a summary of the
adjustments to any component stock made for corporate actions and the effect of
such adjustment on the divisor, where shareholders of the component stock will
receive "B" number of shares for every "A" share held (where applicable).

(1) Split and reverse split:

Adjusted price = closing price * A/B

New number of shares = old number of shares * B / A

Divisor: no change

(2) Rights offering:

Adjusted price = (closing price * A + subscription price * B) /(A + B)

New number of shares = old number of shares * (A + B) / A

Divisor: increases

(3) Stock dividend:

Adjusted price = closing price * A/(A + B)

New number of shares = old number of shares * (A + B)/A

Divisor: no change

(4) Stock dividend of another company:

Adjusted price = (closing price * A - price of other company * B)/A

Divisor: decreases

(5) Return of capital and share consolidation:

Adjusted price = (closing price - dividend announced
by company * (1-withholding tax)) * A/B

New number of shares = old number of shares * B / A

Divisor: decreases

(6) Repurchase shares / self tender:

Adjusted price = ((price before tender * old number of shares ) -
(tender price * number of tendered shares))/(old number of
shares - number of tendered shares)

New number of shares = old number of shares -
number of tendered shares

Divisor: decreases

(7) Spin-off:

Adjusted price = (closing price * A - price of spun-off shares * B)/A

Divisor: decreases

(8) Combination stock distribution (dividend or split) and rights offering:

For this corporate action, the following additional assumptions apply:

o Shareholders receive B new shares from the distribution and C new shares
from the rights offering for every A shares held

o If A is not equal to one share, all the following "new number of shares"
formulae need to be divided by A:

- If rights are applicable after stock distribution (one action applicable to
other):

Adjusted price = (closing price * A + subscription
price * C * (1 + B/A))/((A + B) * ( 1 + C/A))

New number of shares = old number of shares * ((A + B)* (1 + C/A))/A

Divisor: increases

S-18

- If stock distribution is applicable after rights (one action applicable to
other):

Adjusted price = (closing price * A + subscription price * C)/((A + C)*(1 +
B/A))

New number of shares = old number of shares * ((A + C) *(1 + B/A))

Divisor: increases

- Stock distribution and rights (neither action is applicable the other):

Adjusted price = (closing price * A + subscription price * C)/(A + B + C)

New number of shares = old number of shares * (A + B + C) / A

Divisor: increases

HISTORICAL INFORMATION

The following table sets forth the high and low level, as well as the
end-of-quarter closing levels, of the Dow Jones EURO STOXX 50 Index for each
quarter in the period from January 1, 2000 through July 26, 2005. The closing
level on July 26, 2005 was 3302.98. 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 Dow Jones EURO STOXX 50 Index in the future. It is impossible
to predict whether the level of the Dow Jones EURO STOXX 50 Index will rise or
fall. The historical levels of the Dow Jones EURO STOXX 50 Index are not
indications of future performance.

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

<TABLE>

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

2000
First Quarter ..................................... 5464.43 4500.69 5249.55
Second Quarter .................................... 5434.81 4903.92 5145.35
Third Quarter ..................................... 5392.63 4915.18 4915.18
Fourth Quarter .................................... 5101.40 4614.24 4772.39
2001
First Quarter ..................................... 4787.45 3891.49 4185.00
Second Quarter .................................... 4582.07 4039.16 4243.91
Third Quarter ..................................... 4304.44 2877.68 3296.66
Fourth Quarter .................................... 3828.76 3208.31 3806.13
2002
First Quarter ..................................... 3833.09 3430.18 3784.05
Second Quarter .................................... 3748.44 2928.72 3133.39
Third Quarter ..................................... 3165.47 2187.22 2204.39
Fourth Quarter .................................... 2669.89 2150.27 2386.41
2003
First Quarter ..................................... 2529.86 1849.64 2036.86
Second Quarter .................................... 2527.44 2067.23 2419.51
Third Quarter ..................................... 2641.55 2366.86 2395.87
Fourth Quarter .................................... 2760.66 2434.63 2760.66
2004
First Quarter ..................................... 2959.71 2702.05 2787.49
Second Quarter .................................... 2905.88 2659.85 2811.08
Third Quarter ..................................... 2806.62 2580.04 2726.30
Fourth Quarter..................................... 2955.11 2734.37 2951.24
2005
First Quarter ..................................... 3114.54 2924.01 3055.73
Second Quarter..................................... 3190.80 2930.10 3181.54
Third Quarter (through July 26).................... 3314.06 3170.06 3302.98

</TABLE>

S-19

LICENSE AGREEMENT BETWEEN STOXX AND LEHMAN BROTHERS HOLDINGS

Lehman Brothers Holdings has entered into a non-transferable, non-exclusive
license agreement with STOXX, which grants Lehman Brothers Holdings a license in
exchange for a fee to use the Dow Jones EURO STOXX 50 Index in connection with
the issuance of the notes.

STOXX has trade name and trademark rights to EURO STOXX(SM) and EURO STOXX
50(SM). Dow Jones EURO STOXX 50 Index is a service mark of Dow Jones & Company,
Inc.

STOXX and Dow Jones & Company, Inc. have no relationship to Lehman Brothers
Holdings, other than the licensing of the Dow Jones EURO STOXX 50 Index and the
related trademarks for use in connection with the notes.

STOXX and Dow Jones Company, Inc. do not:

o sponsor, endorse, sell or promote the notes;

o recommend that any person invest in the notes or any other securities;

o have any responsibility or liability for or make any decisions about the
timing, amount or pricing of the notes;

o have any responsibility or liability for the administration, management or
marketing of the notes; nor

o consider the needs of the notes or the owners of the notes in determining,
composing or calculating the Dow Jones EURO STOXX 50 Index or have any
obligation to do so.

STOXX and Dow Jones & Company, Inc. will not have any liability in connection
with the notes. Specifically,

o STOXX and Dow Jones & Company, Inc. do not make any warranty, express or
implied and disclaim any and all warranty about:

o the results to be obtained by the notes, the owner of the notes or any
other person in connection with the use of the Dow Jones EURO STOXX 50
Index and the data included in the Dow Jones EURO STOXX 50 Index;

o the accuracy or completeness of the Dow Jones EURO STOXX 50 Index and
its data; and

o the merchantability and the fitness for a particular purpose or use of
the Dow Jones EURO STOXX 50 Index and its data.

o STOXX and Dow Jones & Company, Inc. will have no liability for any errors,
omissions or interruptions in the Dow Jones EURO STOXX 50 Index or its
data.

o Under no circumstances will STOXX or Dow Jones & Company, Inc. be liable
for any lost profits or indirect, punitive, special or consequential
damages or losses, even if STOXX or Dow Jones & Company, Inc. know that
they might occur.

The licensing agreement between Lehman Brothers Holdings and STOXX is solely for
their benefit and not for the benefit of the owners of the notes or any other
third parties.

STOXX DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES
EURO STOXX 50 INDEX OR ANY DATA INCLUDED THEREIN AND STOXX SHALL HAVE NO
LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. STOXX MAKES NO
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LEHMAN BROTHERS
HOLDINGS, HOLDERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE
DOW JONES EURO STOXX 50 INDEX OR ANY DATA INCLUDED THEREIN. STOXX MAKES NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE
DOW JONES EURO STOXX 50 INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING THE
FOREGOING, IN NO EVENT SHALL STOXX HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE,
INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.

S-20

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 otherwise 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 otherwise 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
United States dollar;

o alternative minimum tax consequences, if any; or

o any state, local or foreign tax consequences.

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. This summary does not
represent a detailed description of the United States federal income tax
consequences to you in light of your particular circumstances.

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 United States federal income tax
consequences of the ownership of the notes, as well as the consequences arising
to you 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 have the authority
to control all substantial decisions of the trust or (2) has a valid
election in effect under applicable United States 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.

If a partnership holds 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 notes, you should consult your tax
advisors.

GENERAL

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. No ruling is being requested from the Internal Revenue Service with
respect to the notes and no assurance can be given that the Internal

S-21

Revenue Service will agree with the treatment described herein. Although the
issue is not free from doubt, Lehman Brothers Holdings intends to treat, and by
purchasing a note, for all purposes you agree to treat a note as a cash-settled
financial contract giving rise to capital gain or loss as discussed below.
However, 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, because the notes are in form
debt instruments and the notes provide principal protection unless the index
significantly declines over the term of the notes. The effect of these Treasury
regulations would be to:

o require you, regardless of your usual method of tax accounting, to use the
accrual method with respect to the notes;

o result in the accrual of original issue discount by you based on the
"comparable yield" of the notes even though no cash payments will be made
to you; and

o generally result in ordinary rather than capital treatment of any gain, and
to some extent loss, on the sale, exchange, or other disposition of the
notes.

The Internal Revenue Service could also assert other characterizations that
could affect the timing, amount and character of income or deductions. Except
where noted, the remainder of this discussion assumes that the notes will be
treated as a cash-settled financial contract giving rise to capital gain or
loss.

SALE, EXCHANGE OR OTHER DISPOSITION, OR SETTLEMENT UPON MATURITY

Upon the sale, exchange, retirement, or other disposition or payment upon
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 above.

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 INCOME TAX

Based on the treatment of the notes described above, you should not be subject
to United States federal withholding tax for payments received at maturity in
respect of the note or any sale, exchange or other disposition of the note.
Based on such treatment, any gain or income realized upon the payment at
maturity or any sale, exchange, or other disposition of the note 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, or (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 year of the payment at maturity or sale, exchange, or
other disposition, and certain other conditions are met.

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. You should consult your own tax
advisor regarding the United States federal income tax consequences of an
investment in the notes.

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.
Non-United States holders should consult their own tax advisors regarding the

S-22

potential United States federal estate tax consequences of an investment in the
notes in light of their particular circumstances.

INFORMATION REPORTING AND BACKUP WITHHOLDING

If you are a United States holder of notes, information reporting requirements
will generally apply to all payments received at maturity 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, you will not be subject to
backup withholding or information reporting regarding 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 certain 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-23

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 or held pursuant to and in accordance with an applicable exemption. The
DOL 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-24

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 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

S-25

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-26

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 2.5% 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 $652,500
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 approximately $5,002,500,
$125,063, and $4,877,437, 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.

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.

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

S-27

by it of the notes under the laws and regulations in force in Switzerland.

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 not offered or sold and will not offer
or sell any notes to persons in the United Kingdom prior to the expiry of a
period of six months from the issue date of the notes except to persons
whose ordinary activities involve them in acquiring, holding, managing or
disposing of investments (as principal or agent) for the purposes of their
businesses or otherwise in circumstances which have not resulted and will
not result in an offer to the public in the United Kingdom within the
meaning of the Public Offers of Securities Regulations of 1995;

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 us; 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.

The underwriter has agreed that it will 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.

An affiliate of Lehman Brothers Holdings has entered into a swap transaction in
connection with the notes and has received customary compensation for that
transaction.

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.

S-28

[GRAPHIC OMITTED]

$4,350,000

LEHMAN BROTHERS HOLDINGS INC.

ABSOLUTE BUFFER NOTES DUE JULY 29, 2008
LINKED TO THE DOW JONES EURO STOXX 50(SM) INDEX (SX5E)

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PROSPECTUS SUPPLEMENT
JULY 26, 2005

(INCLUDING PROSPECTUS
DATED MAY 18, 2005)

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LEHMAN BROTHERS