CALCULATION OF REGISTRATION FEE



TITLE OF EACH CLASS OF                                        MAXIMUM AGGREGATE             AMOUNT OF
SECURITIES OFFERED                                              OFFERING PRICE             REGISTRATION
                                                                                            FEE(1)(2)
----------------------------------------------------------   ---------------------   -----------------------

1.00% Notes Due June 9, 2009 linked to The Dow Chemical
Company                                                          $28,750,000                $3,076.25

---------


(1)    Calculated in accordance with Rule 457(r) of the Securities Act of 1933.

(2)    Pursuant to Rule 457(p) under the Securities Act of 1933, filing fees of
       $1,229,271.37 have already been paid with respect to unsold securities
       that were previously registered pursuant to a Registration Statement on
       Form S-3 (No. 333-121067) filed by Lehman Brothers Holdings Inc. on May
       18, 2005, and have been carried forward, of which $3,076.25 is offset
       against the registration fee due for this offering and of which
       $1,226,195.12 remains available for future registration fees. No
       additional registration fee has been paid with respect to this offering.




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

PRICING SUPPLEMENT No. 1
to Prospectus Supplement dated May 30, 2006
to Prospectus Supplement dated May 30, 2006
and Prospectus dated May 30, 2006

                                  $25,000,000
                          LEHMAN BROTHERS HOLDINGS INC.
                           MEDIUM-TERM NOTES, SERIES I
                          1.00% Notes Due June 9, 2009
    Performance Linked to the Common Stock of The Dow Chemical Company (DOW)

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

o   INDEX STOCK ISSUER: The common stock of The Dow Chemical Company. The Dow
    Chemical Company is not involved in this offering and has no obligation with
    respect to the notes.

o   INDEX STOCK: The common stock of the index stock issuer.

o   PRINCIPAL AMOUNT: $1,000 per note, and in the aggregate, $25,000,000.

o   STATED MATURITY DATE: June 9, 2009, subject to postponement if the valuation
    date is postponed.

o   VALUATION DATE RELATED TO THE STATED MATURITY DATE: June 4, 2009, subject to
    postponement if a market disruption event occurs or if such day is not a
    scheduled trading day, as described under the caption "Description of the
    Notes-Settlement value" on page SS-18 of the synthetic convertible
    prospectus supplement.

o   INTEREST RATE: 1.00% per annum.

o   INTEREST PAYMENT DATES: June 9 and December 9 of each year, beginning on
    December 9, 2006.

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

o   THRESHOLD VALUE: $45.6205, which is approximately 111.61% of $40.875, which
    is the average execution price per share of common stock that an affiliate
    of Lehman Brothers Holdings has paid to hedge Lehman Brothers Holdings'
    obligations under the notes.

o   REDEMPTION: The notes are not subject to redemption by Lehman Brothers
    Holdings.

o   OPTIONAL REPURCHASE NOTICE PERIOD: Eight business days.

o   DETERMINATION PERIOD: Three business days.

o   MULTIPLIER: The initial multiplier for the shares of common stock of The Dow
    Chemical Company is 1.0. The multiplier is subject to adjustment under
    various circumstances, as described under the caption "Description of the
    Notes - Adjustments to multipliers and to securities included in the
    calculation of the settlement value" on page SS-19 of the synthetic
    convertible prospectus supplement, including if The Dow Chemical Company
    pays a quarterly cash dividend of more or less than the base dividend of
    $0.375 per share on its shares of common stock. The effective adjustment
    date for adjusting the multiplier will be the first business day immediately
    following the 14th day of each February, May, August, and November and the
    valuation date, as applicable.

o   STOCK SETTLEMENT: Yes, upon exercise by the holder of the repurchase option
    and at the option of Lehman Brothers Holdings at maturity, all as described
    under the caption "Description of the Notes - Stock settlement" on page
    SS-25 of the synthetic convertible prospectus supplement. Lehman Brothers
    Holdings will provide the trustee with written notice no later than the
    valuation date if it elects the stock settlement option.

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

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

o   CUSIP NO.: 52520WAF8

o   ISIN NO.: US52520WAF86

Investing in the notes involves risks. Risk Factors begin on page SS-7 of the
synthetic convertible prospectus supplement.

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

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

                                                       Per Note        Total
                                                      ----------   -------------

Public offering price...............................    100.00%     $25,000,000
Underwriting discount...............................      0.25%     $    62,500
Proceeds to Lehman Brothers Holdings................     99.75%     $24,937,500

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

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional $3,750,000
aggregate principal amount of notes on the same terms and conditions set forth
above solely to cover over-allotments, if any.

The notes are expected to be ready for delivery in book-entry form only through
The Depository Trust Company on or about June 9, 2006.

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

                                 LEHMAN BROTHERS

June 2, 2006




              EXAMPLES OF AMOUNT PAYABLE AT MATURITY OR REPURCHASE

Here are two examples of hypothetical alternative redemption amount
calculations. In each of these examples it is assumed that The Dow Chemical
Company does not change the amount of the quarterly cash dividends that it pays
on its shares of common stock during the term of the notes.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $35.00:

Alternative redemption amount per $1,000 note =

                       $35.00
    $1,000    x        ------       =   $767.19
                      $45.6205

As a result, on the stated maturity date, you would receive $1,000, plus accrued
but unpaid interest, per $1,000 note because $1,000 is greater than $767.19.

In the case of stock settlement on the stated maturity date or upon repurchase
in this example, you would receive, if you held a $1,000 note, 28 shares of
common stock of The Dow Chemical Company plus $20.00 in cash, plus accrued but
unpaid interest, at maturity, or 21 shares of common stock of The Dow Chemical
Company plus $32.19 in cash, plus accrued but unpaid interest, upon repurchase.
To the extent that you hold more than $1,000 aggregate principal amount of
notes, the calculations of cash payments in lieu of fractional shares would be
made on an aggregate, rather than on a per $1,000 note, basis. For example, if
you held $25,000,000 aggregate principal amount of notes, you would receive, in
total, 714,285 shares of common stock of The Dow Chemical Company plus $25.00 in
cash, plus accrued but unpaid interest, at maturity, or 547,992 shares of common
stock of The Dow Chemical Company plus $30.00 in cash, plus accrued but unpaid
interest, upon repurchase.

EXAMPLE 2. ASSUMING THE SETTLEMENT VALUE IS $55.00:

Alternative redemption amount per $1,000 note =

                       $55.00
    $1,000    x        ------       =   $1,205.59
                      $45.6205

As a result, on the stated maturity date, you would receive $1,205.59, plus
accrued but unpaid interest, per $1,000 note because $1,205.59 is greater than
$1,000.

In the case of stock settlement on the stated maturity date or upon repurchase
in this example, you would receive, if you held a $1,000 note, 21 shares of
common stock of The Dow Chemical Company plus $50.59 in cash, plus accrued but
unpaid interest, at maturity or upon repurchase. To the extent that you hold
more than $1,000 aggregate principal amount of notes, the calculations of cash
payments in lieu of fractional shares would be made on an aggregate, rather than
on a per $1,000 note, basis. For example, if you held $25,000,000 aggregate
principal amount of notes, you would receive, in total, 547,995 shares of common
stock of The Dow Chemical Company plus $25.00 in cash, plus accrued but unpaid
interest, at maturity or upon repurchase.

To the extent the actual settlement value differs from the values assumed above
or that The Dow Chemical Company changes the amount of the quarterly cash
dividends it pays on its shares of common stock, the results indicated above
would be different.


                                      PS-2



                       INDEX STOCK ISSUER AND INDEX STOCK

THE DOW CHEMICAL COMPANY

Lehman Brothers Holdings has obtained the following information regarding The
Dow Chemical Company from The Dow Chemical Company's reports filed with the SEC.

The Dow Chemical Company is engaged in the manufacture and sale of chemicals,
plastic materials, agricultural and other specialized products and services. The
Dow Chemical Company serves customers in more than 175 countries and a wide
range of markets, including food, transportation, health and medicine, personal
and home care, and building and construction, among others. The Dow Chemical
Company has 156 manufacturing sites in 37 countries and supplies more than 3,200
products grouped within the following operating segments: Performance Plastics,
Performance Chemicals, Agricultural Sciences, Plastics, Chemicals, and
Hydrocarbons and Energy.

The index stock is registered under the Securities Exchange Act of 1934.
Companies with securities registered under that Act are required to file
periodically certain financial and other information specified by the SEC.
Information provided to or filed with the SEC can be inspected and copied at the
public reference facilities maintained by the SEC or through the SEC's website
described under "Where You Can Find More Information" on page 58 of the
accompanying base prospectus. In addition, information regarding the index stock
issuer may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

HISTORICAL INFORMATION ABOUT THE INDEX STOCK

The shares of common stock of The Dow Chemical Company are listed on The New
York Stock Exchange under the symbol "DOW".

The following table presents the high and low closing prices for the shares of
common stock of The Dow Chemical Company, as reported on The New York Stock
Exchange during each fiscal quarter in 2003, 2004, 2005 and 2006 (through the
date of this pricing supplement), and the closing price at the end of each
quarter in 2003, 2004, 2005 and 2006 (through the business day immediately prior
to the date of this pricing supplement).

The historical prices of the index stock are not necessarily indicative of
future performance. Lehman Brothers Holdings cannot assure you that the price of
the index stock will not be below the threshold value on the valuation date
related to the repurchase if you exercise your repurchase option, or will
increase enough so that the alternative redemption amount will be greater than
or equal to $1,000. The historical prices below have been adjusted to reflect
any stock splits or reverse stock splits.

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


                                      PS-3



                                               HIGH      LOW      PERIOD END
                                              ------    ------    ----------
2003
   First Quarter ........................     $31.15    $25.16      $27.61
   Second Quarter........................      32.64     27.79       30.96
   Third Quarter.........................      35.30     30.52       32.54
   Fourth Quarter........................      42.00     33.30       41.57

2004
   First Quarter ........................     $43.83    $37.73      $40.28
   Second Quarter........................      41.88     36.86       40.70
   Third Quarter.........................      45.18     38.41       45.18
   Fourth Quarter........................      51.02     42.57       49.51

2005
   First Quarter ........................     $56.42    $47.70      $49.85
   Second Quarter .......................      50.28     43.67       44.53
   Third Quarter.........................      49.14     40.63       41.67
   Fourth Quarter........................      47.20     41.19       43.82

2006
   First Quarter.........................     $44.93    $40.60      $40.60
   Second Quarter (through the date of
     this pricing supplement)............      42.95     39.40       40.84


                                      PS-4



HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical settlement values on
the valuation date, in each case assuming that (a) the investment is held from
the date on which the notes are first issued until the stated maturity date and
(b) The Dow Chemical Company does not change the amount of the quarterly cash
dividends that it pays on its shares of common stock during the term of the
notes:

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

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

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

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

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

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

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



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

   $ 25.00            $  547.99        -45.20%      $ 1,000.00        0.00%          0.00%          3.00%          0.99%
     30.00               657.59        -34.24         1,000.00        0.00           0.00           3.00           0.99
     35.00               767.19        -23.28         1,000.00        0.00           0.00           3.00           0.99
     40.00               876.79        -12.32         1,000.00        0.00           0.00           3.00           0.99
     45.6205  (1)      1,000.00          0.00         1,000.00        0.00           0.00           3.00           0.99
     50.00             1,095.99          9.60         1,095.99        9.60           3.10          12.60           4.03
     55.00             1,205.59         20.56         1,205.59       20.56           6.43          23.56           7.31
     60.00             1,315.19         31.52         1,315.19       31.52           9.56          34.52          10.39
     65.00             1,424.79         42.48         1,424.79       42.48          12.53          45.48          13.31


_______________________________

(1) This figure reflects the threshold value.

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

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

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


                                      PS-5



           SUPPLEMENTAL UNITED STATES FEDERAL INCOME TAX CONSEQUENCES

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

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

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


                                      PS-6



                        SUPPLEMENTAL PLAN OF DISTRIBUTION

Lehman Brothers Holdings has agreed to sell to Lehman Brothers Inc. and Lehman
Brothers Inc. has agreed to purchase, all of the notes at the price indicated on
the cover of this pricing supplement.

Lehman Brothers Holdings has agreed to indemnify Lehman Brothers Inc. against
liabilities, including liabilities under the Securities Act of 1933, as amended,
or to contribute to payments that Lehman Brothers Inc. may be required to make
relating to these liabilities as described in the MTN prospectus supplement and
the base prospectus.

Lehman Brothers Inc. will offer the notes initially at a public offering price
equal to the issue price set forth on the cover of this pricing supplement.
After the initial public offering, the public offering price may from time to
time be varied by Lehman Brothers Inc.

Lehman Brothers Holdings has granted to Lehman Brothers Inc. an option to
purchase, at any time within 13 days of the original issuance of the notes, up
to $3,750,000 additional aggregate principal amount of notes solely to cover
over-allotments. To the extent that the option is exercised, Lehman Brothers
Inc. will be committed, subject to certain conditions, to purchase the
additional notes. If this option is exercised in full, the total public offering
price, the underwriting discount and proceeds to Lehman Brothers Holdings would
be $28,750,000, $71,875 and $28,678,125, respectively.

Lehman Brothers Holdings expects to deliver the notes against payment on or
about June 9, 2006, which is the fifth business day following the date of this
pricing supplement.

Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally
are required to settle in three business days, unless the parties to any such
trade expressly agree otherwise. Accordingly, if any purchaser wishes to trade
the notes on the date of this pricing supplement, it will be required, by virtue
of the fact that the notes initially will settle on the fifth business day
following the date of this pricing supplement, to specify an alternate
settlement cycle at the time of any such trade to prevent a failed settlement.

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


                                      PS-7



                                   $25,000,000

                          LEHMAN BROTHERS HOLDINGS INC.

                           MEDIUM-TERM NOTES, SERIES I
                          1.00% NOTES DUE JUNE 9, 2009

                            PERFORMANCE LINKED TO THE
                 COMMON STOCK OF THE DOW CHEMICAL COMPANY (DOW)

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


                               PRICING SUPPLEMENT
                                  JUNE 2, 2006

                        (INCLUDING PROSPECTUS SUPPLEMENT
                               DATED MAY 30, 2006,

                              PROSPECTUS SUPPLEMENT
                             DATED MAY 30, 2006 AND

                                   PROSPECTUS
                               DATED MAY 30, 2006)


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

                                 LEHMAN BROTHERS