First Quarter 2006
Lehman Brothers Reports Record Quarterly Results

Reports Record Net Revenues, Net Income and Earnings Per Share For First Quarter

NEW YORK, March 15, 2006 —
Lehman Brothers Holdings Inc. (ticker symbol: LEH) today reported record net income of $1.1 billion, or $3.66 per common share (diluted), for the first quarter ended February 28, 2006, representing increases of 24% and 26%, respectively, from net income of $875 million, or $2.91 per common share (diluted), reported for the first quarter of fiscal 2005, and increases of 32% and 33%, respectively, from net income of $823 million, or $2.76 per common share (diluted), for the fourth quarter of fiscal 2005. The 2006 first quarter results include an after-tax gain of $47 million (or $0.16 per diluted common share) as a cumulative effect of a change in accounting principle associated with the Firm's adoption of SFAS 123R on December 1, 2005. The cumulative effect adjustment reflects the requirement under SFAS 123R to estimate forfeitures of equity awards at the date of grant instead of the prior accounting practice of recognizing forfeitures as incurred.

First Quarter Business Highlights

Richard S. Fuld, Jr., chairman and chief executive officer, said, "The Firm had another record quarter. The targeted investments we have made across regions and businesses are paying off. We have successfully built a balanced platform, and our clients are relying more heavily on our capabilities. As a result, we are delivering greater value to them, as well as to our shareholders."

The Firm reported record net revenues (total revenues less interest expense) for the first quarter of fiscal 2006 of $4.5 billion, a 17% increase from $3.8 billion in the first quarter of fiscal 2005 and a 21% increase from $3.7 billion in the fourth quarter of fiscal 2005.

Investment Banking revenues increased 22% to a record $835 million for the first quarter of fiscal 2006, from $683 million for the same period a year ago, the third consecutive record revenue quarter for the Investment Banking segment. First quarter revenues were driven by record debt origination, solid equity origination and strong advisory revenues. Capital Markets net revenues increased 13% to a record $3.0 billion in the first quarter of fiscal 2006 from $2.7 billion in the first quarter of fiscal 2005. These results were driven by record revenues from both Equities and Fixed Income Capital Markets. Equities Capital Markets revenues increased 52% to $944 million in the first quarter of fiscal 2006 from $622 million in the first quarter of fiscal 2005, reflecting strong customer flow activities in both the derivatives and cash businesses, as well as improved market opportunities. Fixed Income Capital Markets revenues increased 2% to $2.1 billion in the first quarter of fiscal 2006 over the comparable prior year period, representing solid results in interest rate products, credit products and real estate, partially offset by a decline in U.S. residential mortgage revenues. Investment Management net revenues rose 33% to a record $580 million for the first quarter of fiscal 2006 from $437 million in the same period a year ago. This strong performance was led by record asset management revenues of $368 million, increasing 57% from $234 million in the first quarter of fiscal 2005, with robust inflows into mutual funds, private asset management and institutional separate accounts.

Non-interest expenses for the first quarter of fiscal 2006 were $2.9 billion, compared to $2.5 billion in both the first and fourth quarters of fiscal 2005. Compensation and benefits as a percentage of net revenues was 49.3% during the first quarter of fiscal 2006, compared to 49.5% during the first quarter of fiscal 2005 and 48.7% in the fourth quarter of fiscal 2005. Non-personnel expenses in the first quarter of fiscal 2006 were $711 million, compared to $675 million in the fourth quarter of fiscal 2005 and $618 million in the first quarter of fiscal 2005.

For the first quarter of fiscal 2006, the Firm's pre-tax margin was 34.8%, compared to 34.3% in the first quarter of fiscal 2005. The Firm's return on average common stockholders' equity was 26.7% for the first quarter of fiscal 2006, compared to 24.5% in the first quarter of fiscal 2005, and return on average tangible common stockholders' equity was 33.5% for the first quarter of fiscal 2006, compared to 32.0% in the first quarter of fiscal 2005.

As of February 28, 2006, Lehman Brothers stockholders' equity was $17.5 billion, and total capital (stockholders' equity and long-term debt) was approximately $83.4 billion. Book value per common share was $60.03.

Lehman Brothers (ticker symbol: LEH), an innovator in global finance, serves the financial needs of corporations, governments and municipalities, institutional clients and high net worth individuals worldwide. Founded in 1850, Lehman Brothers maintains leadership positions in equity and fixed income sales, trading and research, investment banking, private investment management, asset management and private equity. The Firm is headquartered in New York, with regional headquarters in London and Tokyo, and operates in a network of offices around the world. For further information about Lehman Brothers' services, products and recruitment opportunities, visit the Firm's Web site at www.lehman.com.

Conference Call
A conference call, to discuss the Firm's financial results and outlook, will be held at 9:30 a.m., EST today. The call will be open to the public. Members of the public who would like to access the conference call should dial, from the U.S., 888-323-4182 or from outside the U.S., 517-623-4500. The pass code for all callers is LEHMAN. The conference call will also be accessible through the "Shareholders" section of the Firm's Web site under the subcategory "Webcasts." For those unable to listen to the live broadcast, a replay will be available on the Firm's Web site or by dialing 800-873-2068 (domestic) or 402-220-5051 (international). The replay will be available approximately one hour after the event and will remain available on the Lehman Brothers Web site and by phone until 6:00 p.m. EDT on April 14, 2006. Please direct any questions regarding the conference call to Shaun Butler at 212-526-8381, sbutler@lehman.com or Elizabeth Besen at 212-526-2733, ebesen@lehman.com.

Cautionary Note Regarding Forward-Looking Statements
This press release may contain forward-looking statements. These statements are not historical facts, but instead represent only the Firm's expectations, estimates and projections regarding future events. These statements are not guarantees of future performance and involve certain risks and uncertainties that are difficult to predict, which may include risks and uncertainties relating to market fluctuations and volatility, industry competition and changes in the competitive environment, investor sentiment, liquidity and credit ratings, credit exposures, operational risks and legal and regulatory matters. The Firm's actual results and financial condition may differ, perhaps materially, from the anticipated results and financial condition in any such forward-looking statements and, accordingly, readers are cautioned not to place undue reliance on such statements. The Firm undertakes no obligation to update any forward-looking statements, whether as a result of new information, future events or otherwise. For more information concerning the risks and other factors that could affect the Firm's future results and financial condition, see "Risk Factors" and "Management's Discussion and Analysis of Financial Condition and Results of Operations" in the Firm's most recent Annual Report on Form 10-K.

Selected Statistical and Financial Information Attached (60 k)

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