Exhibit 4.01


LEHMAN BROTHERS HOLDINGS INC.


Principal at Risk Enhanced Participation
Notes Linked to a Basket of Five Indices

Due August 28, 2010


 


	
  Number R-1

  	
  $3,897,000

  
	
  ISIN US524908UZ15

  	
  CUSIP 524908UZ1

  



 


See Reverse for Certain Definitions


THIS SECURITY (THIS “SECURITY”) IS A
GLOBAL SECURITY WITHIN THE MEANING OF THE INDENTURE HEREINAFTER REFERRED TO AND
IS REGISTERED IN THE NAME OF A DEPOSITORY OR A NOMINEE THEREOF.  UNLESS AND UNTIL IT IS EXCHANGED IN WHOLE OR
IN PART FOR SECURITIES IN CERTIFICATED FORM, THIS SECURITY MAY NOT BE
TRANSFERRED EXCEPT AS A WHOLE BY THE DEPOSITORY TO A NOMINEE OF THE DEPOSITORY
OR BY A NOMINEE OF THE DEPOSITORY TO SUCH DEPOSITORY OR ANOTHER NOMINEE OF THE
DEPOSITORY OR BY THE DEPOSITORY OR ANY SUCH NOMINEE TO A SUCCESSOR DEPOSITORY
OR A NOMINEE OF SUCH SUCCESSOR DEPOSITORY. 
UNLESS THIS SECURITY IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF THE
DEPOSITORY TO LEHMAN BROTHERS HOLDINGS INC. OR ITS AGENT FOR REGISTRATION OF
TRANSFER, EXCHANGE OR PAYMENT, AND ANY SECURITY ISSUED IS REGISTERED IN THE
NAME OF CEDE & CO. OR IN SUCH OTHER NAME AS REQUESTED BY AN AUTHORIZED
REPRESENTATIVE OF THE DEPOSITORY (AND ANY PAYMENT IS MADE TO CEDE &
CO. OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF
THE DEPOSITORY), ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR
OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER
HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.


LEHMAN BROTHERS HOLDINGS INC., a corporation
duly organized and existing under the laws of the State of Delaware
(hereinafter called the “Company”), for value received, hereby promises
to pay to CEDE & CO. or registered assigns, at the office or agency of the
Company in the Borough of Manhattan, The City of New York, on the Maturity
Date, in such coin or currency of the United States of America at the time of
payment shall be legal tender for the payment of public and private debts, for
each $1,000 principal amount of the Securities represented hereby, an amount equal
to the Payment at Maturity. THE SECURITIES REPRESENTED HEREBY SHALL NOT BEAR
ANY INTEREST.


Any amount payable on the Maturity Date
hereon will be paid only upon presentation and surrender of this Security.


REFERENCE IS
HEREBY MADE TO THE FURTHER PROVISIONS OF THIS SECURITY SET FORTH ON THE REVERSE
HEREOF WHICH FURTHER PROVISIONS SHALL FOR ALL PURPOSES HAVE THE SAME EFFECT AS
IF SET FORTH AT THIS PLACE.













IN WITNESS WHEREOF, Lehman Brothers Holdings
Inc. has caused this instrument to be signed by its Chairman of the Board, its
President, its Vice Chairman, its Chief Financial Officer, one of its Vice
Presidents or its Treasurer, by manual or facsimile signature under its
corporate seal, attested by its Secretary or one of its Assistant Secretaries
by manual or facsimile signature.


Dated:    February
28, 2007


	
  [SEAL]

  	
  LEHMAN BROTHERS HOLDINGS INC.

  
	
   

  	
   

  
	
   

  	
   

  
	
   

  	
  By:

  	
  /s/ James J. Killerlane III

  
	
   

  	
   

  	
  Vice President

  
	
   

  	
   

  	
   

  
	
   

  	
  Attest:

  	
  /s/ Aaron Guth

  
	
   

  	
   

  	
  Assistant Secretary

  



 


TRUSTEE’S CERTIFICATE OF AUTHENTICATION


This is one of the Securities of the series
designated therein referred to in the within-mentioned Indenture.


	
  CITIBANK, N.A.

  	
   

  
	
   as Trustee

  	
   

  
	
   

  	
   

  	
   

  
	
  By:

  	
  /s/ Wafaa Orfy

  	
   

  
	
   

  	
  Authorized Officer

  	
   

  



 



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Reverse of Security


This Security is one of a duly authorized series of
Securities of the Company designated as Principal at Risk Enhanced
Participation Notes Linked to a Basket of Five Indices Due August 28, 2010
(herein called the “Securities”). 
The Company may, without the consent of the holders of the Securities,
create and issue additional notes ranking equally with the Securities and
otherwise similar in all respects so that such further notes shall be
consolidated and form a single series with the Securities; provided that no
additional notes can be issued if an Event of Default has occurred with respect
to the Securities.  This series of
Securities is one of an indefinite number of series of debt securities of the
Company, issued and to be issued under an indenture, dated as of September 1,
1987, as amended (herein called the “Indenture”), duly executed and
delivered by the Company and Citibank N.A., as trustee (herein called the “Trustee”,
which term includes any successor trustee under the Indenture), to which
Indenture and all indentures supplemental thereto reference is hereby made for
a description of the rights, limitations of rights, obligations, duties and
immunities thereunder of the Company, the Trustee and the Holders of the
Securities.


The Payment at Maturity at the request of the
Trustee, shall be determined by the Calculation Agent pursuant to the
Calculation Agency Agreement.  The
Trustee shall fully rely on the determination by the Calculation Agent of the
Payment at Maturity and shall have no duty to make any such determination.  The Calculation Agent will provide written notice
to the Trustee at its New York office, on which notice the Trustee may
conclusively rely, of the Payment at Maturity on or prior to 11:00 a.m. on the
Business Day preceding the Maturity Date.


All calculations with respect to the Basket Ending
Level and the Basket Return (including each Basket Index Return) will be
rounded to the nearest one hundred-thousandth, with five one-millionths rounded
upward (e.g., .876545 would be rounded to .87655); all dollar amounts related
to determination of the payment per $1,000 principal amount note at maturity
will be rounded to the nearest ten-thousandth, with five one
hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655);
and all dollar amounts paid on the aggregate principal amount of Securities per
Holder will be rounded to the nearest cent, with one-half cent rounded upward.


This Security is not subject to any sinking fund.


If an Event of Default with respect to the
Securities shall occur and be continuing, the amounts payable on all of the
Securities may be declared due and payable in the manner and with the effect
provided in the Indenture.  The amount
payable to the Holder hereof upon any acceleration permitted under the
Indenture will be equal to the Payment at Maturity calculated as though the
date of acceleration were the Maturity Date and the third Business Day
immediately preceding the date of acceleration were the Observation Date.  If the maturity of the Securities is
accelerated because of an Event of Default, the Company shall, or shall cause
the Calculation Agent to, provide written notice to the Trustee at its New York
office, on which notice the Trustee may conclusively rely, and to The Depository
Trust Company of the cash amount due with respect to the Securities as promptly
as possible and in no event later than two Business Days after the date of
acceleration.













 


The Indenture contains
provisions permitting the Company and the Trustee, with the consent of the
holders of not less than 662¤3% in aggregate
principal amount of each series of Securities at the time Outstanding to be
affected (each series voting as a class), evidenced as in the Indenture
provided, to execute supplemental indentures adding any provisions to, or
changing in any manner or eliminating any of the provisions of the Indenture or
of any supplemental indenture or modifying in any manner the rights of the
holders of the Securities of all such series; provided, however,
that no such supplemental indenture shall, among other things, (i) change the
fixed maturity of any Security, or reduce the principal amount thereof, or
reduce the rate or extend the time of payment of interest thereon, if any, or
reduce any premium payable on redemption, or make the principal thereof, or
premium, if any, or interest thereon, if any, payable in any coin or currency
other than that hereinabove provided, without the consent of the holder of each
Security so affected, or (ii) change the place of payment on any Security, or
impair the right to institute suit for payment on any Security, or reduce the
aforesaid percentage of Securities, the holders of which are required to
consent to any such supplemental indenture, without the consent of the holders
of each Security so affected.  It is also
provided in the Indenture that, prior to any declaration accelerating the
maturity of any series of Securities, the holders of a majority in aggregate
principal amount of the Securities of such series Outstanding may on behalf of
the holders of all the Securities of such series waive any past default or
Event of Default under the Indenture with respect to such series and its
consequences, except a default in the payment of interest, if any, or the
principal of, or premium, if any, on any of the Securities of such series, or
in the payment of any sinking fund installment or analogous obligation with
respect to Securities of such series. 
Any such consent or waiver by the Holder of this Security shall be
conclusive and binding upon such Holder and upon all future holders and owners
of this Security and any Securities which may be issued in exchange or
substitution hereof, irrespective of whether or not any notation thereof is
made upon this Security or such other Securities.


No reference herein to the Indenture and no
provision of this Security or of the Indenture shall alter or impair the
obligation of the Company, which is absolute and unconditional, to pay the
Payment at Maturity with respect to this Security.


The Securities are issuable in denominations of
$1,000 and any whole multiples of $1,000.


The Company, the Trustee, and any agent of the
Company or of the Trustee may deem and treat the registered holder (the “Holder”)
hereof as the absolute owner of this Security (whether or not this Security
shall be overdue and notwithstanding any notation of ownership or other writing
hereon), for the purpose of receiving payment hereof, or on account hereof, and
for all other purposes and neither the Company nor the Trustee nor any agent of
the Company or of the Trustee shall be affected by any notice to the
contrary.  All such payments made to or
upon the order of such registered holder shall, to the extent of the sum or
sums paid, effectually satisfy and discharge liability for moneys payable on
this Security.


No recourse for the payment of the principal of,
premium, if any, or interest on this Security, or for any claim based hereon or
otherwise in respect hereof, and no recourse under or upon any obligation,
covenant or agreement of the Company in the Indenture or any indenture
supplemental thereto or in any Security, or because of the creation of any
indebtedness represented thereby, shall be had against any incorporator,
stockholder, officer or director, as 



 2
 









such, past, present or future, of the Company or of
any successor corporation, either directly or through the Company or any
successor corporation, whether by virtue of any constitution, statute or rule
of law or by the enforcement of any assessment or penalty or otherwise, all
such liability being, by the acceptance hereof and as part of the consideration
for the issue hereof, expressly waived and released.


As provided in the Indenture and subject to certain
limitations therein set forth, the transfer of this Security is registrable in
the Security Register, upon surrender of this Security for registration of
transfer at the Corporate Trust Office or agency in a Place of Payment for this
Security, duly endorsed by, or accompanied by a written instrument of transfer in
form satisfactory to the Company and the Security Registrar duly executed by,
the Holder hereof or such Holder’s attorney duly authorized in writing, and
thereupon one or more new Securities of this series or of like tenor and of
authorized denominations and for the same aggregate principal amount, will be
issued to the designated transferee or transferees.


The Company intends to treat, and by
purchasing this Security, the Holder agrees to treat, for all tax purposes,
this Security as a cash-settled financial contract, rather than as a debt
instrument.


THE INDENTURE AND THIS SECURITY SHALL BE GOVERNED BY AND CONSTRUED IN
ACCORDANCE WITH THE LAWS OF THE STATE OF NEW YORK.


Definitions


Set forth below are definitions of the terms used in
this Security.


“Basket” shall mean the basket of five
indices to which the Securities are linked. The Basket consists of the S&P
500® Index (SPX), the Dow Jones EURO
STOXX 50® Index (SX5E), the FTSE 100 Index® (UKX), the Nikkei 225SM Index (NKY) and the S&P®/ASX 200 Index
(AS51).


“Basket Closing Level,” as calculated by the
Calculation Agent, is calculated as follows:


Basket Starting Level x [1 + (the sum of (Basket
Index Return * Index Weighting) for all Basket Indices)]


 “Basket
Ending Level,” as calculated by the Calculation Agent, is equal to the
Basket Closing Level on the Observation Date.


“Basket Index” refers to each of  the S&P 500® Index (SPX), the
Dow Jones EURO STOXX 50® Index (SX5E),
the FTSE 100 Index® (UKX), the Nikkei 225SM Index (NKY) and the S&P®/ASX 200 Index (AS51).


“Basket Index Return,” as calculated by the
Calculation Agent, is calculated as follows for each Basket Index:



 3
 









 


	
   

  	
  Basket Index Ending Level – Basket Index
  Starting Level

  	
   

  
	
   

  	
  Basket Index Starting Level

  	
   

  



 


“Basket Index Starting Level”
is the Closing Level of the Basket Index on the Pricing Date.  The Basket Index Starting Level for each of
the five indices is as follows:




	
  S&P 500® Index

  	
   

  	
  1451.19

  	
   

  
	
  Dow Jones EURO STOXX 50® Index

  	
   

  	
  4245.99

  	
   

  
	
  FTSE 100 Index®

  	
   

  	
  6401.50

  	
   

  
	
  Nikkei 225SM Index

  	
   

  	
  18188.42

  	
   

  
	
  S&P®/ASX 200 Index

  	
   

  	
  6036.10

  	
   

  






 


“Basket Index Ending Level”
is the Closing Level of the Basket Index on the Observation Date.


“Basket Return”, as
calculated by the Calculation Agent, is calculated as follows:


	
  

  	
  Basket Ending Level – Basket
  Starting Level

  	
   

  
	
   

  	
  Basket Starting Level

  	
   

  



 


“Basket Starting
Level” will be set to equal 100 on the Pricing Date.


“Business Day”, notwithstanding any provision
in the Indenture, shall mean any day that is not a Saturday or Sunday and that
is not a day on which banking institutions in the City of New York are
authorized or obligated by law to close.


“Calculation Agency Agreement” shall mean the
Calculation Agency Agreement, dated as of December 21, 2006 between the Company
and the Calculation Agent, as amended from time to time, or any successor
calculation agency agreement.


“Calculation Agent” shall mean the person
that has entered into an agreement with the Company providing for, among other
things, the determination of the Payment at Maturity, which term shall, unless
the context otherwise requires, include its successors and assigns.  The initial Calculation Agent shall be Lehman
Brothers Inc.


“Closing Level” of a Basket Index on any
Trading Day will generally equal the official Closing Level of the Basket
Index, or any Successor Basket Index thereto published following the regular
official weekday close of trading for each such Basket Index on that Trading
Day.


“Closing Price” of a security, on any particular
day, means the last reported sales price for that security on the Relevant
Exchange at the scheduled weekday closing time of the regular trading session
of the Relevant Exchange.  If, however,
the security is not listed or traded on a bulletin board, then the Closing
Price of the security will be determined using the average execution price per
share that an affiliate of the Company pays or receives upon the purchase or
sale of the security used to hedge the Company’s obligations under the
Securities.



 4
 









 


“Company” shall have the meaning set forth on
the face of this Security.


“Holder” shall have
the meaning set forth on the reverse of this Security.


“Indenture” shall
have the meaning set forth on the reverse of this Security.


“Index Weightings” shall mean the weighting
for the Basket Indices (each an “Index Weighting”). The Index Weightings of the
five Basket Indices are as follows:




	
  S&P 500® Index

  	
   

  	
  50.00

  	
  %

  
	
  Dow Jones EURO STOXX 50® Index

  	
   

  	
  19.50

  	
  %

  
	
  FTSE 100 Index®

  	
   

  	
  14.50

  	
  %

  
	
  Nikkei 225SM Index

  	
   

  	
  14.00

  	
  %

  
	
  S&P®/ASX 200 Index

  	
   

  	
  2.00

  	
  %

  






 


“Market Disruption Event”, with respect to any of the Basket Indices (or any Successor Basket Index),
means:


·                                          a suspension, absence or material limitation of trading of stocks then
constituting 20% or more of the level of such Basket Index (or the relevant
Successor Basket Index) on the Relevant Exchanges for such securities at any
time during the one hour period preceding the close of the principal trading
session on such Relevant Exchange;


·                                          a breakdown or failure in the price and trade reporting systems of the
primary market of any Relevant Exchange as a result of which the reported
trading prices for stocks then constituting 20% or more of the level of such
Basket Index (or the relevant Successor Basket Index) at any time during the
one hour period preceding the close of the principal trading session on such
Relevant Exchange are materially inaccurate;


·                                          a suspension, absence or material limitation of trading on any major
securities exchange for trading in futures or options contracts or exchange
traded funds related to such Basket Index (or the relevant Successor Basket
Index) at any time during the one hour period preceding the close of the
principal trading session on such exchange; or


·                                          a decision to permanently discontinue trading in the relevant futures or
options contracts or exchange traded funds;


in each case as determined by the Calculation Agent
in its sole discretion.


For the purpose of determining whether a Market
Disruption Event exists at any time, if trading in a security included in a
Basket Index (or relevant Successor Basket Index) is materially suspended or
materially limited at that time, then the relevant percentage contribution 



 5
 









of that security to the level of such Basket Index
(or the relevant Successor Basket Index) shall be based on a comparison of:


·                                          the portion of the level of such Basket Index (or the relevant Successor
Basket Index) attributable to that security relative to


·                                          the overall level of such Basket Index (or the relevant Successor Basket
Index),


in each case immediately before that suspension or
limitation.


For purposes of determining whether a Market
Disruption Event has occurred:


·                                          a limitation on the hours or number of days of trading will not
constitute a Market Disruption Event if it results from an announced change in
the regular business hours of the Relevant Exchange or market;


·                                          limitations pursuant to the rules of any Relevant Exchange similar to
NYSE Rule 80B (or any applicable rule or regulation enacted or promulgated by
any other self-regulatory organization or any government agency of scope
similar to NYSE Rule 80B as determined by the Calculation Agent in its sole
discretion) on trading during significant market fluctuations will constitute a
suspension, absence or material limitation of trading;


·                                          a suspension of trading in futures or options contracts on a Basket Index
(or the relevant Successor Basket Index) by the primary securities market
trading in such contracts by reason of:


·                  a price change exceeding limits set by such exchange or market,


·                  an imbalance of orders relating to such contracts, or


·                  a disparity in bid and ask quotes relating to such contracts


will, in each such case,
constitute a suspension, absence or material limitation of trading in futures
or options contracts related to such Basket Index (or the relevant Successor
Basket Index); and


·                                          a suspension, absence or material limitation of trading on any Relevant
Exchange or on the primary market on which futures or options contracts related
to a Basket Index (or the relevant Successor Basket Index) are traded will not
include any time when such market is itself closed for trading under ordinary
circumstances.


“Maturity Date” shall
mean August 28, 2010, unless that day is not a Business Day, in which case the amount equal to the Payment at
Maturity that would otherwise be due on the scheduled Maturity Date will
instead be due on the next succeeding Business Day following such scheduled
Maturity Date, with the same effect as if paid on the scheduled Maturity Date;
provided that if due to a non-Trading Day or a Market Disruption Event, the
Observation Date is 



 6
 









postponed so that it falls less
than three Business Days prior to the scheduled Maturity Date, the Maturity
Date will be the third Business Day following the Observation Date, as
postponed.


“Observation Date” shall mean August 25,
2010, provided that if the Observation Date is not a Trading Day or if there is
a Market Disruption Event on such day, with respect to a Basket Index, the
Calculation Agent will:


·                  with respect to
each Basket Index for which such day is a Trading
Day and for which a Market Disruption Event has not
occurred, determine the Closing Level of such Basket Index for use in
calculating the Basket Index Ending Level by reference to the Closing Level of such Basket
Index on that Trading Day; and


·                  with respect to
each Basket Index for which such day is not a
Trading Day or for which a Market Disruption Event has
occurred, determine the Closing Level of such Basket Index for use in
calculating the Basket Index Ending Level by reference to the Closing Level of such Basket
Index on the next Trading Day for such Basket Index on which there is not a
Market Disruption Event; provided, however,
if a Market Disruption Event with respect to such Basket Index occurs on each
of the eight Trading Days following the originally scheduled Observation Date,
then the Calculation Agent shall determine the Closing Level of such Basket
Index for use in calculating the Basket Index Ending Level in accordance with
the formula for and method of calculating the closing index level of such
Basket Index last in effect prior to commencement of the Market Disruption
Event (or prior to the non-Trading Day), using the closing price (or, if
trading in 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 or non-Trading Day) on such eighth
scheduled Trading Day of each security most recently included in the Basket
Index.


“Participation Rate” shall be equal to
117.50%.


“Payment at Maturity”, as calculated by the
Calculation Agent for each $1,000 principal amount Security shall equal:


·                  If the Basket Ending Level is equal to or above the
Basket Starting Level, $1,000 + [$1,000 x (Basket Return x Participation
Rate)].


·                  If the Basket Ending Level is below the Basket
Starting Level by an amount equal to or less than the Protection Percentage,
$1,000.


·                  If the Basket Ending Level is below the Basket
Starting Level by more than the Protection Percentage, $1,000 + [($1,000 x
(Basket Return + Protection Percentage)].


“Place of Payment” shall mean the place or
places where the Payment at Maturity on the Securities is payable.


“Pricing Date” shall mean February 23, 2007.


 



 7















“Protection Percentage” shall be equal to
15%.


“Relevant Exchange” for any security (or
any combination thereof) then included in a Basket Index or any Successor
Basket Index, means the primary exchange, quotation system (which includes
bulletin board services) or other market of trading for such security.


“Securities”
shall have the meaning set forth on the reverse of this Security.


“Security”
shall have the meaning set forth on the face of this Security.


“Successor Basket Index” shall have
the meaning specified under “Discontinuance of a Basket Index; Alteration of
Method of Calculation” with respect to each Basket Index.


“Trading Day” means a day, as
determined by the Calculation Agent, on which trading is generally conducted
(i) on the Relevant Exchanges for securities included in the Basket Index (or
the relevant Successor Basket Index) and (ii) the exchanges on which futures or options contracts related to the
Basket Index (or the relevant Successor Basket Index) are traded, other than a
day on which trading on such Relevant Exchange or exchange on which such
securities, futures or options contracts are traded is scheduled to close prior
to its scheduled weekday closing time.


“Trustee” shall
have the meaning set forth on the reverse of this Security.


All terms used but not defined in this
Security are used herein as defined in the Calculation Agency Agreement or the
Indenture.


Calculation Agent


The Calculation Agent will determine, among other
things, the Basket Closing Level on the Observation Date, including each Basket
Index Return and each Basket Index Ending Level, the Basket Ending Level, the
Basket Return and the payment at maturity, if any, on the Securities. In
addition, the Calculation Agent will determine whether there has been a Market
Disruption Event or a discontinuation of any Basket Index (or the relevant
Successor Basket Index) and whether there has been a material change in the
method of calculating any of the Basket Indices. All calculations,
determinations and adjustments made by the Calculation Agent will be at the
sole discretion of the Calculation Agent and will, in the absence of manifest
error, be conclusive for all purposes and binding on Holders and on the
Company. The Company may appoint a different Calculation Agent from time to time
after the date of the original issue of the Securities without Holders’ consent
and without notifying Holders.


Discontinuation of a Basket
Index; Alteration of Method of Calculation


S&P 500® Index


If S&P discontinues publication of the
S&P 500® Index and
S&P or another entity
publishes a successor or substitute index that the Calculation Agent
determines, in its sole discretion, to be comparable to the discontinued
S&P 500® Index (a “Successor
Basket Index”),



 8
 









then any Closing Level will be determined by
reference to the level of such Successor Basket Index at the close of trading
on the Relevant Exchange or market for the Successor Basket Index on the
Observation  Date. Upon any selection by
the Calculation Agent of a Successor Basket Index, the Calculation Agent will
cause written notice thereof to be promptly furnished to the Trustee, to the
Company and to the Holders.


If S&P discontinues publication of the S&P 500® Index prior to, and such
discontinuation is continuing on, the Observation Date, and the Calculation
Agent determines, in its sole discretion, that no Successor Basket Index is
available at such time, or the Calculation Agent has previously selected a
Successor Basket Index and publication of such Successor Basket Index is discontinued prior
to, and such discontinuation is continuing on, the Observation  Date, or if S&P (or the publisher of any Successor Basket
Index)
fails to calculate and publish a Closing Level for the S&P 500® Index (or any Successor Basket
Index) on
any date when it would ordinarily do so in accordance with its customary
practice, then the Calculation Agent will determine the Closing Level for such
date. The Closing Level will be computed by the Calculation Agent in accordance
with the formula for and method of calculating the S&P 500® Index or Successor Basket
Index, as
applicable, last in effect prior to such discontinuation or failure to
calculate or publish an Closing Level for the S&P 500® Index or Successor Basket
Index, as
applicable, using the Closing Price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of
the Closing Price that would have prevailed but for such suspension or
limitation) at the close of the principal trading session on such date of each
security most recently composing the S&P 500® Index or Successor Basket
Index, as
applicable.


If at any time the
method of calculating the S&P 500® Index or a Successor Basket Index, or the level thereof, is
changed in a material respect, or if the S&P 500® Index or an S&P 500®  Successor
Index is in any other way modified so that the S&P 500® Index or such Successor Basket Index does not, in the opinion of
the Calculation Agent, fairly represent the level of the S&P 500® Index or such Successor Basket Index had such changes or
modifications not been made, then the Calculation Agent will, at the close of
business in New York City on each date on which the S&P 500® Index Closing Level is to be determined, make such calculations and
adjustments as, in the good faith judgment of the Calculation Agent, may be
necessary in order to arrive at a level of a stock index comparable to the S&P 500® Index or such Successor Basket Index, as the case may be, as if
such changes or modifications had not been made, and the Calculation Agent will
calculate the Closing Level with reference to the S&P 500® Index or such Successor Basket Index, as adjusted. Accordingly, if
the method of calculating the S&P 500® Index or a Successor S&P 500® Index is modified so that the level of the S&P 500® Index or such Successor Basket Index is a fraction of what it would
have been if there had been no such modification (e.g.,
due to a split in the Index), then the Calculation Agent will adjust its
calculation of the S&P 500® Index or such Successor Basket Index in order to arrive at a level of the S&P 500® Index or such Successor Basket Index as if there had been no such
modification (e.g., as if such split had not
occurred).


Dow Jones EURO STOXX 50® Index


If STOXX Limited discontinues publication of the Dow Jones EURO
STOXX 50® Index and STOXX Limited or
another entity publishes a successor or substitute index that 



 9
 









the Calculation Agent determines, in its sole
discretion, to be comparable to the discontinued Dow Jones EURO
STOXX 50® Index (a “Successor Basket Index”), then any Basket Closing Level will be determined
by reference to the level of such Successor Basket Index at the close of trading on the Relevant Exchange
or market for the Successor Basket Index on the Observation Date. Upon any selection by the
Calculation Agent of a EURO STOXX 50® Index Successor Index, the Calculation Agent will cause
written notice thereof to be promptly furnished to the Trustee, to the Company
and to the Holders.


If STOXX Limited discontinues publication of the
Index prior to, and such discontinuation is continuing on, the Observation
Date, and the Calculation Agent determines, in its sole discretion, that no Successor Basket
Index is
available at such time, or the Calculation Agent has previously selected a EURO STOXX 50®  Successor
Index and publication of such Successor Basket Index is discontinued prior to, and such
discontinuation is continuing on, the Observation Date, or if STOXX Limited (or
the publisher of any Successor Basket Index) fails to calculate and publish a Closing Level for
the Dow
Jones EURO STOXX 50® Index (or any Successor Basket Index) on any date when it
would ordinarily do so in accordance with its customary practice, then the
Calculation Agent will determine the Closing Level for such date. The Closing
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 Successor Basket Index, as applicable, last in
effect prior to such discontinuation or failure to calculate or publish a
Closing Level for the Dow Jones EURO STOXX 50® Index or Successor Basket
Index, as
applicable, using the Closing Price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of
the Closing Price that would have prevailed but for such suspension or
limitation) at the close of the principal trading session on such date of each
security most recently composing the Dow Jones EURO STOXX 50® Index or Successor Basket Index, as applicable.


If at any time the
method of calculating the Dow Jones EURO STOXX 50® Index or a Successor Basket
Index, or the level thereof, is changed in a material
respect, or if the Dow Jones EURO STOXX 50® Index or a Successor Basket Index is in any other way modified
so that the Dow Jones EURO STOXX 50® Index or such Successor Basket 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 Basket
Index had such changes or modifications not been made,
then the Calculation Agent will, at the close of business in New York City on
each date on which the Closing Level is to be determined, make such
calculations and adjustments as, in the good faith judgment of the Calculation
Agent, 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 Basket Index, as the case may be, as if
such changes or modifications had not been made, and the Calculation Agent will
calculate the Closing Level with reference to the Dow Jones EURO
STOXX 50® Index or such Successor Basket
Index, as adjusted. Accordingly, if the method of
calculating the Dow Jones EURO STOXX 50® Index or a Successor Basket Index is modified so that the level
of the Dow
Jones EURO STOXX 50® Index or such Successor Basket
Index is a fraction of what it would have been if there
had been no such modification (e.g., due to a
split in the Index), then the Calculation Agent will adjust its calculation of
the Dow
Jones EURO STOXX 50® Index or such Successor Basket
Index in order to arrive at a level of the Dow Jones EURO
STOXX 50® Index or such Successor Basket
Index as if there had been no such modification (e.g., as if such split had not occurred).



 10
 









 


FTSE 100 Index®


If FTSE discontinues publication of the FTSE 100 Index® and FTSE or another entity publishes a successor or
substitute index that the Calculation Agent determines, in its sole discretion,
to be comparable to the discontinued FTSE 100 Index® (a “Successor Basket Index”), then any Basket
Closing Level will be determined by reference to the level of such Successor
Basket Index at the close of trading on the Relevant Exchange or market for the
Successor Basket Index on the Observation Date. Upon any selection by the
Calculation Agent of a Successor Basket Index, the Calculation Agent will cause
written notice thereof to be promptly furnished to the Trustee, to the Company
and to the Holders.


If FTSE discontinues publication of the FTSE 100 Index® prior to, and such
discontinuation is continuing on, the Observation Date, and the Calculation
Agent determines, in its sole discretion, that no Successor Basket
Index is
available at such time, or the Calculation Agent has previously selected a Successor Basket
Index and
publication of such Successor Basket Index is discontinued prior to, and such discontinuation
is continuing on, the Observation Date, or if FTSE (or the publisher of any Successor Basket
Index)
fails to calculate and publish a Closing Level for the FTSE 100 Index® (or any Successor Basket Index) on any date when it
would ordinarily do so in accordance with its customary practice, then the
Calculation Agent will determine the Closing Level for such date. The Closing
Level will be computed by the Calculation Agent in accordance with the formula
for and method of calculating the FTSE 100 Index® or Successor Basket Index, as applicable, last in
effect prior to such discontinuation or failure to calculate or publish an
Closing Level for the FTSE 100 Index® or Successor Basket
Index, as
applicable, using the Closing Price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of
the Closing Price that would have prevailed but for such suspension or
limitation) at the close of the principal trading session on such date of each
security most recently composing the FTSE 100 Index or Successor Basket Index, as applicable.


If at any time the
method of calculating the FTSE 100 Index® or a Successor Basket
Index, or the level thereof, is changed in a material
respect, or if the FTSE 100 Index® or a Successor Basket Index is in any other way modified so that the FTSE 100 Index® or such Successor Basket
Index does not, in the opinion of the Calculation Agent,
fairly represent the level of the FTSE 100 Index® or such Successor Basket Index had such changes or modifications not been made, then the Calculation
Agent will, at the close of business in New York City on each date on which the
Closing Level is to be determined, make such calculations and adjustments as,
in the good faith judgment of the Calculation Agent, may be necessary in order
to arrive at a level of a stock index comparable to the FTSE 100 Index® or such FTSE Index, as the case may be, as if such changes or modifications had not
been made, and the Calculation Agent will calculate the Closing Level with
reference to the FTSE 100 Index® or such Successor Basket Index, as adjusted. Accordingly, if the method of calculating the FTSE 100 Index® or a Successor Basket
Index is modified so that the level of the FTSE 100 Index® or such Successor Basket
Index is a fraction of what it would have been if there
had been no such modification (e.g., due to a
split in the Index), then the Calculation Agent will adjust its calculation of
the FTSE
100 Index® or such Successor Basket
Index in order to arrive at a level of the FTSE 100 Index® or such Successor Basket
Index as if there had been no such modification (e.g., as if such split had not occurred).



 11
 









 


Nikkei 225SM Index


If Nikkei Inc. discontinues publication of the Nikkei 225SM Index and Nikkei Inc. or another entity publishes a
successor or substitute index that the Calculation Agent determines, in its
sole discretion, to be comparable to the discontinued Nikkei 225SM Index (a “Successor Basket Index”), then any Nikkei 225SM Index Closing Level will be determined by reference
to the level of such Successor Basket Index at the close of trading on the Relevant Exchange or
market for the Successor Index on the Observation Date. Upon any selection by
the Calculation Agent of a Successor Basket Index, the Calculation Agent will cause written notice
thereof to be promptly furnished to the Trustee, to the Company and to the
Holders.


If Nikkei Inc. discontinues publication of the Nikkei 225SM Index prior to, and such discontinuation is
continuing on, the Observation Date, and the Calculation Agent determines, in
its sole discretion, that no Successor Basket Index is available at such time, or the Calculation
Agent has previously selected a Successor Basket Index and publication of such Successor Basket
Index is
discontinued prior to, and such discontinuation is continuing on, the
Observation Date, or if Nikkei Inc. (or the publisher of any Successor Basket
Index)
fails to calculate and publish a Closing Level for the Nikkei 225SM Index (or any Successor Basket Index) on any date when it
would ordinarily do so in accordance with its customary practice, then the
Calculation Agent will determine the Closing Level for such date. The Closing
Level will be computed by the Calculation Agent in accordance with the formula
for and method of calculating the Nikkei 225SM Index or Successor Basket Index, as applicable, last in
effect prior to such discontinuation or failure to calculate or publish an
Closing Level for the Nikkei 225SM Index or Successor Basket Index, as applicable, using
the Closing Price (or, if trading in the relevant securities has been
materially suspended or materially limited, its good faith estimate of the
Closing Price that would have prevailed but for such suspension or limitation)
at the close of the principal trading session on such date of each security
most recently composing the Nikkei 225SM Index or Successor Basket Index, as applicable.


If at any time the
method of calculating the Nikkei 225SM Index or a Successor Basket
Index, or the level thereof, is changed in a material
respect, or if the Nikkei 225SM Index or a Successor Basket
Index is in any other way modified so that the Nikkei 225SM Index or such Successor Basket
Index does not, in the opinion of the Calculation Agent,
fairly represent the level of the Nikkei 225SM Index or such Successor Basket
Index had such changes or modifications not been made,
then the Calculation Agent will, at the close of business in New York City on
each date on which the Closing Level is to be determined, make such
calculations and adjustments as, in the good faith judgment of the Calculation
Agent, may be necessary in order to arrive at a level of a stock index
comparable to the Nikkei 225SM Index or such Successor Basket
Index, as the case may be, as if such changes or
modifications had not been made, and the Calculation Agent will calculate the
Closing Level with reference to the Nikkei 225SM Index or such Successor Basket
Index, as adjusted. Accordingly, if the method of
calculating the Nikkei 225SM Index or a Successor Basket Index is modified so that the level of the Nikkei 225SM Index or such Successor Basket
Index is a fraction of what it would have been if there
had been no such modification (e.g., due to a
split in the Index), then the Calculation Agent will adjust its calculation of
the Nikkei
225SM Index or such Successor Basket
Index in order to arrive at a level of the Nikkei 225SM Index or such Successor Basket
Index as if there had been no such modification (e.g., as if such split had not occurred).



 12
 









 


S&P®/ASX 200 Index


If Standard & Poor’s Australian Index
Committee discontinues publication of the S&P®/ASX 200 Index and Standard &
Poor’s Australian Index Committee or another entity publishes a successor or
substitute index that the Calculation Agent determines, in its sole discretion,
to be comparable to the discontinued S&P®/ASX 200 Index (an “Successor Basket
Index”),
then any S&P®/ASX 200 Index Closing Level will be determined by reference to the level of such Successor Basket
Index at
the close of trading on the Relevant Exchange or market for the Successor Basket
Index on
the Observation Date. Upon any selection by the Calculation Agent of a Successor Basket
Index, the
Calculation Agent will cause written notice thereof to be promptly furnished to
the Trustee, to the Company and to the Holders.


If Standard & Poor’s Australian Index
Committee discontinues publication of the S&P®/ASX 200 Index prior to, and such
discontinuation is continuing on, the Observation  Date, and the Calculation Agent determines,
in its sole discretion, that no Successor Basket Index is available at such time, or the Calculation
Agent has previously selected a Successor Basket Index and publication of such Successor Basket
Index is
discontinued prior to, and such discontinuation is continuing on, the
Obsrevation  Date, or if Standard &
Poor’s Australian Index Committee (or the publisher of any Successor Index)
fails to calculate and publish a Closing Level for the S&P®/ASX 200 Index (or any Successor Basket
Index) on
any date when it would ordinarily do so in accordance with its customary
practice, then the Calculation Agent will determine the Closing Level for such date.
The Closing Level will be computed by the Calculation Agent in accordance with
the formula for and method of calculating the S&P®/ASX 200 Index or Successor Basket
Index, as
applicable, last in effect prior to such discontinuation or failure to calculate
or publish an Closing Level for the S&P®/ASX 200 Index or Successor Basket
Index, as
applicable, using the Closing Price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of
the Closing Price that would have prevailed but for such suspension or
limitation) at the close of the principal trading session on such date of each
security most recently composing the S&P®/ASX 200 Index or Successor Basket
Index, as
applicable.


If at any time the
method of calculating the S&P®/ASX 200 Index or a Successor Basket
Index, or the level thereof, is changed in a material
respect, or if the S&P®/ASX 200 Index or a Successor Basket Index is in any other way modified so that the S&P®/ASX 200 Index or such Successor Basket Index does not, in the opinion of
the Calculation Agent, fairly represent the level of the S&P®/ASX 200 Index or such Successor Basket Index had such changes or
modifications not been made, then the Calculation Agent will, at the close of
business in New York City on each date on which the Closing Level is to be
determined, make such calculations and adjustments as, in the good faith
judgment of the Calculation Agent, may be necessary in order to arrive at a
level of a stock index comparable to the S&P®/ASX 200 Index or such Successor Basket Index, as the case may be, as if
such changes or modifications had not been made, and the Calculation Agent will
calculate the Closing Level with reference to the S&P®/ASX 200 Index or such Successor Basket Index, as adjusted. Accordingly, if
the method of calculating the S&P®/ASX 200 Index or a Successor Basket
Index is modified so that the level of the S&P®/ASX 200 Index or such Successor Basket Index is a fraction of what it would
have been if there had been no such modification (e.g.,
due to a split in the Index), then the Calculation Agent will adjust its
calculation of the S&P®/ASX 200 Index or such Successor Basket Index in order to arrive at a level of the S&P®/ASX 200 Index or such Successor Basket Index as if there had been no such
modification (e.g., as if such split had not
occurred).



 13
 









The following abbreviations, when used in the
inscription on the face of the within Security, shall be construed as though
they were written out in full according to applicable laws or regulations:


	
  TEN COM — 

  	
   

  	
  as tenants in common

  	
  UNIF GIFT MIN ACT - 

  	
   

  	
  Custodian

  	
   

  
	
   

  	
   

  	
   

  	
  (Cust)

  	
   

  	
  (Minor)

  
	
  TEN ENT — 

  	
   

  	
  as tenants by the entireties

  	
  under Uniform Gifts to Minors

  
	
  JT TEN — 

  	
   

  	
  as joint tenants with right of

  	
  Act

  	
   

  
	
   

  	
   

  	
  Survivorship and not as tenants in 

  	
   

  	
  (State)

  
	
   

  	
   

  	
  common

  	
   

  	
   

  
								



Additional abbreviations may also be used though not
in the above list.






FOR VALUE RECEIVED, the undersigned hereby
sells, assigns and transfers unto


PLEASE INSERT SOCIAL SECURITY OR OTHER

IDENTIFYING NUMBER OF ASSIGNEE


	
  

  	
   

  
	
   

  	
   

  
	
   

  
	
   

  
	
  (Name and
  Address of Assignee, including zip code, must be printed or typewritten.)

  
	
   

  
	
   

  
	
  the within
  Security, and all rights thereunder, hereby irrevocably constituting and
  appointing

  
	
   

  
	
   

  
	
  to transfer the
  said Security on the books of the Company, with full power of substitution in
  the premises.

  
	
   

  
	
  Dated:

  
	
   

  
	
   

  	
   

  
			



 


NOTICE:  The signature to this assignment must
correspond with the name as it appears upon the face of the within Security in
every particular, without alteration or enlargement or any change whatever.


Signature(s) Guaranteed:


	
  

  	
   

  



 


THE SIGNATURE(S) SHOULD BE GUARANTEED BY AN
ELIGIBLE GUARANTOR INSTITUTION (BANKS, STOCKBROKERS, SAVINGS AND LOAN ASSOCIATIONS
AND CREDIT UNIONS WITH MEMBERSHIP IN AN APPROVED MEDALLION SIGNATURE GUARANTEE
PROGRAM), PURSUANT TO S.E.C. RULE 17Ad-15.



 14