LEHMAN BROTHERS HOLDINGS INC. 100% Principal Protected Notes Linked to a Basket Consisting of an IndexComponent and an Index Fund Component Due July 21, 2009

Exhibit 4.01

LEHMAN BROTHERS HOLDINGS INC.

100% Principal Protected Notes Linked to a Basket Consisting of an Index Component and an

Index Fund Component Due July 21, 2009

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.

The names of the Basket Indices and the Basket Index Fund are trademarks of the sponsors of the Basket Indices and the Basket Index Fund and have been licensed for use by the Company. The Securities, linked in part to the performance of the Basket Indices and Basket Index Fund, are not sponsored, endorsed, sold or promoted by the sponsors of the Basket Indices and Basket Index Fund and the sponsors of the Basket Indices and Basket Index Fund make no representation regarding the advisability of investing in the Securities.

This Security shall not be valid or become obligatory for any purpose until the certificate of authentication hereon has been signed by the Trustee under the Indenture referred to on the reverse hereof.

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: July 19, 2007

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

Reverse of Security

This Security is one of a duly authorized series of Securities of the Company designated as 100% Principal Protected Notes Linked to a Basket Consisting of an Index Component and an Index Fund Component Due July 21, 2009 (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 additional 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 (the “Indenture”), duly executed and delivered by the Company and Citibank, N.A., as trustee (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 Ending Basket Level and the Basket Return (including, without limitation, each Basket Index Return and each Basket Currency 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 Additional Amount payable at maturity, if any, per $1,000 principal amount of the Securities 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 $1,000, plus the Additional Amount. The Additional Amount will be calculated as though the date of acceleration were the Maturity Date and the third Business Day immediately preceding the date of acceleration were the Final Valuation 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 66 ²/3% 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 outstanding Securities of such series 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 principal amount 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

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 agrees, and by acceptance of beneficial ownership interest in the Securities of this series, each Holder of such Securities will be deemed to have agreed, for United States federal income tax purposes, (i) to treat the Securities of this series as indebtedness that is subject to Treas. Reg. Sec. 1.1275-4 (the “Contingent Payment Regulations”) and (ii) to be bound by the Company’s determination of the “comparable yield” and “projected payment schedule,” within the meaning of the Contingent Payment Regulations, with respect to the Securities of this series. The Company has determined that the comparable yield is an annual rate of 5.408% compounded semi-annually. Based on the comparable yield, the projected payment schedule per $1,000 of the Securities is $1,112.63 due at maturity.

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.

“Additional Amount”, as calculated by the Calculation Agent, per $1,000 principal amount of the Securities paid at maturity shall equal $1,000 x the Basket Return x the Participation Rate; provided, however, that if ($1,000 x the Basket Return x the Participation Rate) is less than zero, then the Additional Amount shall equal $0, and if $1,000 x the Basket Return x the Participation Rate is greater than the Maximum Return, then the Additional Amount shall equal the Maximum Return.

“Basket” means the basket consisting of the Index Component and the Index Fund Component.

“Basket Index” shall refer to each of the FTSE/Xinhua China Index™ and the Russian Depositary Receipts Index^® (and, together, the “Basket Indices”).

“Basket Component” shall mean a Basket Index or the Basket Index Fund (and, collectively, the “Basket Components”).

“Basket Index Ending Level”, as determined by the Calculation Agent, shall be the Index Level of the relevant Basket Index on the Final Valuation Date (subject to the occurrence of a Market Disruption Event).

“Basket Index Fund” shall mean the iShares^® MSCI Brazil Index^SM Fund.

“Basket Index Fund Weighting” shall be equal to 100%.

“Basket Index Starting Level”, as determined by the Calculation Agent, is equal to 20,662.02 for the FTSE/Xinhua China Index™ and is equal to 2,025.26 for the Russian Depositary Receipts Index^®.

“Basket Index Weighting” shall be equal to 50% for the FTSE/Xinhua China Index™ and equal to 50% for Russian Depositary Receipts Index^®.

“Basket Index Return”, as calculated by the Calculation Agent, shall be determined as follows for the relevant Basket Index:

Basket Index Ending Level – Basket Index Starting Level

Basket Index Starting Level

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

Ending Basket Level – Starting Basket Level;

Starting Basket Level

provided, however, that if a Market Disruption Event relating to one or more Basket Components is in effect on the Final Valuation Date, the Calculation Agent shall calculate the Basket Return using:

“Basket Share Return”, as calculated by the Calculation Agent, shall be determined as follows:

Final Share Price – Initial Share Price

Initial Share Price

“Business Day”, notwithstanding any provision in the Indenture, shall mean any day that is not a Saturday, a Sunday or a day on which banking institutions generally are authorized or obligated by law or executive order to be closed in New York City and that is an Index Trading Day.

“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 Index Trading Day equals the official closing level, as published and determined by the relevant Index Sponsor of the Basket Index, or any Successor Index thereto, published following the regular official weekday close of trading for that Basket Index on that Index Trading Day.

“Closing Price” of one share of the Basket Index Fund on any Index Trading Day will equal the closing price of one share of the Basket Index Fund, or any Successor Index Fund thereto or one unit of any other security for which a closing price must be determined on any Index Trading Day means:

in each case subject to the alternative calculation of price and closing price of one share of the Basket Index Fund as described below under “Discontinuation of a Basket Index Fund; Alteration of Method of Calculation”. The term “OTC Bulletin Board” will include any successor service thereto.

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

“Ending Basket Level”, as calculated by the Calculation Agent, shall be calculated as follows:

Ending Index Component Level + Ending Index Fund Component Level.

“Ending Index Component Level”, as calculated by the Calculation Agent, shall be equal to the Index Component Closing Level on the Final Valuation Date.

“Ending Index Fund Component Level”, as calculated by the Calculation Agent, shall be equal to the Index Fund Component Closing Level on the Final Valuation Date.

“Final Share Price”, as determined by the Calculation Agent, shall be the Closing Price of the Basket Index Fund on the Final Valuation Date multiplied by the Share Adjustment Factor on the Final Valuation Date (subject to the occurrence of a Market Disruption Event.)

“Final Valuation Date” shall mean July 16, 2009, unless another date is deemed the Final Valuation Date in accordance with the terms 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 Component Closing Level” as calculated by the Calculation Agent, shall be determined as follows:

Starting Index Component Level × [1 + (the sum of (Basket Index Return × Basket Index Weighting) for all Basket Indices)].

“Index Fund Component Closing Level” as calculated by the Calculation Agent, shall be determined as follows:

Starting Index Fund Component Level × [1 + (Basket Share Return × Basket Index Fund Weighting)].

“Index Level”, as determined by the Calculation Agent, shall mean, with respect to any Index Trading Day, the Closing Level of any Basket Index or any Successor Index, as the case may be, as determined and published by the Index Sponsor at the regular official weekday close of the principal trading session of the Relevant Exchange or market for the Index or the Successor Index, as the case may be, on such day, or as determined by the Calculation Agent pursuant to the Calculation Agency Agreement as described in this Security under “Discontinuation of a Basket Index; Alteration of Method of Calculation.”

“Index Sponsor”, with respect to each Basket Index shall be as follows: (A) FTSE/Xinhua Index Limited (FXI), a joint venture of FTSE Group (FTSE) and Xinhua Finance (Xinhua), is the publisher of the FTSE/Xinhua China Index™; (B) Wiener Börse AG, the publisher of the Russian Depositary Receipts Index^® is the publisher of the Russian Depositary Receipts Index^®.

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

“Initial Share Price”, is equal to $67.60.

“Market Disruption Event”, with respect to any of the Basket Indices (or any Successor Index) or the Basket Index Fund (or any Successor Index Fund) shall mean the occurrence of any of the following events on any day, as determined by the Calculation Agent:

With respect to any of the Basket Indices:

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

With respect to the Basket Index Fund (or any Successor Index Fund):

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 for Basket Components, if trading in a security included in a Basket Index or an Underlying Index (or an index underlying a Successor Index Fund) is materially suspended or materially limited at that time, the relevant percentage contribution of that security to the level of such Basket Index or the Underlying Index (or an index underlying a Successor Index Fund) will be based on a comparison of:

in each case immediately before that suspension or limitation.

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

shall, in each such case, constitute a suspension, absence or material limitation of trading in futures or options contracts related to the Basket Index or the Underlying Index (or an index underlying a Successor Index Fund) or the shares of the Basket Index Fund (or such Successor Index Fund); and

“Maturity Date” shall mean July 21, 2009, unless that day is not a Business Day, in which case the amount equal to the Payment at Maturity that would otherwise be made 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, however, that if due to a non-Business Day or a Market Disruption Event, the Final Valuation Date is postponed so that it falls fewer than three Business Days prior to the scheduled Maturity Date, the Maturity Date will be the third Business Day following the Final Valuation Date, as postponed.

“Maximum Return” shall be $250.00.

“NYSE” shall mean The New York Stock Exchange, Inc.

“Participation Rate” shall be equal to 100%.

“Payment at Maturity”, as calculated by the Calculation Agent, shall equal a cash payment, per $1,000 principal amount of the Securities, of $1,000 plus the Additional Amount (which may be zero) made on the Maturity Date, subject to postponement in accordance with the terms of this Security.

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

“Pricing Date” shall mean July 16, 2007.

“Relevant Exchange” shall mean, for the Index Fund or for any security (or any combination thereof) then included in any Basket Index or any Successor Index, 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.

“Share Adjustment Factor” shall be initially set equal to 1.0 for the Basket Index Fund, subject to adjustment upon the occurrence of certain events affecting the Basket Index Fund as described in this Security under “Anti-Dilution Adjustments.”

“Starting Basket Level” is equal to 1,000.

“Starting Index Component Level” is equal to 666.67.

“Starting Index Fund Component Level” is equal to 333.33.

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

“Successor Index Fund” shall have the meaning specified in this Security in this Security under “Discontinuation of the Basket Index Fund; Alteration of Method of Calculation” with respect to the Basket Index Fund.

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

“Underlying Index” shall mean the MSCI Brazil Index^SM.

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 Starting Basket Level, the Ending Basket Level, the Basket Return, the Basket Index Return (for each Basket

Index), the Initial Share Price, the Final Share Price, the Basket Share Return (for the Basket Index Fund), the Additional Amount, if any, and the amount the Company will pay to the Holders at maturity; whether the Ending Basket Level is greater than the Starting Basket Level; as well as whether the Final Share Price of the Basket Index Fund is greater than the related Initial Share Price. The Calculation Agent will also be responsible for determining, among other things, whether a Market Disruption Event or a discontinuation of any of the Basket Components has occurred; whether there has been a material change in the method of calculation of any of the Basket Indices; which exchange traded fund will be substituted for the Basket Index Fund (or Successor Index Fund, if applicable) if the Basket Index Fund (or Successor Index Fund, if applicable) is de-listed, liquidated or otherwise terminated; whether the Underlying Index (or an index underlying such a Successor Index Fund) has been changed in a material respect; and whether the Basket Index Fund (or Successor Index Fund, if applicable) has been modified so that the price of the Basket Index Fund (or Successor Index Fund, if applicable) does not, in the opinion of the Calculation Agent, fairly represent the price of the Basket Index Fund (or Successor Index Fund, if applicable) in the absence of such modifications. 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 the Holder 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 the Holders’ consent and without notifying Holders.

Anti-Dilution Adjustments

Share Splits and Reverse Share Splits

If the shares of the Basket Index Fund are subject to a share split or reverse share split, then once such split has become effective, the Share Adjustment Factor will be adjusted so that the new Share Adjustment Factor shall equal the product of:

Share Dividends or Distributions

If the Basket Index Fund is subject to a (i) share dividend, (i.e., an issuance of additional shares of the Basket Index Fund that is given ratably to all or substantially all holders of shares of the Basket Index Fund) or (ii) distribution of shares of the Basket Index Fund as a result of the triggering of any provision of the corporate charter of the Basket Index Fund, then, once the dividend or distribution has become effective and the shares of the Basket Index Fund are trading ex-dividend, the Share Adjustment Factor will be adjusted so that the new Share Adjustment Factor shall equal the prior Share Adjustment Factor plus the product of:

Non-cash Distributions

If the Basket Index Fund distributes shares of capital stock, evidences of indebtedness or other assets or property of such Basket Index Fund to all or substantially all holders of shares of the Basket Index Fund (other than (i) share dividends or distributions referred to in this Security under “—Share Dividends or Distributions” and (ii) cash dividends referred in this Security under “—Cash Dividends or Distributions”), then, once the distribution has become effective and the shares of such Basket Index Fund are trading ex-dividend, the Share Adjustment Factor will be adjusted so that the new Share Adjustment Factor shall equal the product of:

The “Current Market Price” of the Basket Index Fund means the arithmetic average of the Closing Prices of one share of the Basket Index Fund for the ten Index Trading Days prior to the Index Trading Day immediately preceding the ex-dividend date of the distribution requiring an adjustment to the Share Adjustment Factor.

The “ex-dividend date” shall mean the first Index Trading Day on which transactions in the shares of the Basket Index Fund trade on the Relevant Exchange without the right to receive that dividend or distribution.

The “Fair Market Value” of any such distribution means the value of such distribution on the ex-dividend date for such distribution, as determined by the Calculation Agent. If such distribution consists of property traded on the ex-dividend date on a U.S. national securities exchange, the Fair Market Value will equal the Closing Price of such distributed property on such ex-dividend date.

Cash Dividends or Distributions

If the issuer of any shares of the Basket Index Fund pays dividends or makes other distributions consisting exclusively of cash to all or substantially all holders of shares of the Basket Index Fund during any fiscal quarter during the term of the Securities, in an aggregate amount that, together with other such dividends or distributions made during such quarterly fiscal period, exceeds the Dividend Threshold, then, once the dividend or distribution has become effective and the shares of the Basket Index Fund are trading ex-dividend, the Share Adjustment Factor will be adjusted so that the new Share Adjustment Factor shall equal the product of:

“Dividend Threshold” shall mean the amount of any cash dividend or cash distribution distributed per share of the Basket Index Fund that exceeds the immediately preceding cash dividend or other cash distribution, if any, per share of the Basket Index Fund by more than 10% of the Closing Price of the Basket Index Fund on the Index Trading Day immediately preceding the ex-dividend date.

The Calculation Agent shall be solely responsible for the determination and calculation of any adjustments to the Share Adjustment Factor and of any related determinations and calculations, and its determinations and calculations with respect thereto will be conclusive in the absence of manifest error.

The Calculation Agent shall provide information as to any adjustments to the Share Adjustment Factor upon written request by any investor in the Securities.

Events of Default and Acceleration

In case an event of default with respect to the Securities occurs and is continuing, the amount declared due and payable per $1,000 principal amount note upon any acceleration of the Securities will be equal to $1,000 plus the Additional Amount, which shall be calculated as if the date of acceleration were the Maturity Date and the date(s) preceding the date of acceleration were the Final Valuation Date, with such date(s) set to equal the number of business days between the original Final Valuation Date and the original Maturity Date.

If the maturity of the Securities is accelerated because of an event of default as described above, 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 DTC 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.

Discontinuation of a Basket Index; Alteration of Method of Calculation

As used hereinafter, “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.

Russian Depositary Receipts Index^®

If Wiener Börse AG discontinues publication of the Russian Depositary Receipts Index^® and Wiener Börse AG or another entity publishes a successor or substitute index that the Calculation Agent determines, in its sole discretion, to be comparable to the discontinued Russian Depositary Receipts Index^® (such index , a “Russian Depositary Receipts Index^® Successor Index”), then any Index Level will be determined by reference to the level of such Russian Depositary Receipts Index^® Successor Index at the close of trading on the Relevant Exchange or market for the Russian Depositary Receipts Index^® Successor Index on Final Valuation Date, or other relevant date or dates as set forth herein.

Upon any selection by the Calculation Agent of a Russian Depositary Receipts Index^® Successor Index, the Calculation Agent will cause written notice thereof to be promptly furnished to the trustee, to us and to the holders of the Securities.

If Wiener Börse AG discontinues publication of the Russian Depositary Receipts Index^® prior to, and such discontinuation is continuing on, the Final Valuation Date or other relevant date and the Calculation Agent determines, in its sole discretion, that no Russian Depositary Receipts Index^® Successor Index is available at such time, or the Calculation Agent has previously selected a Russian Depositary Receipts Index^® Successor Index and publication of such Russian Depositary Receipts Index^® Successor Index is discontinued prior to, and such discontinuation is continuing on, the Final Valuation Date, or other relevant date, or if Wiener Börse AG (or the publisher of any Russian Depositary Receipts Index^® Successor Index) fails to calculate and publish a Closing Level for the Russian Depositary Receipts Index^® (or any Russian Depositary Receipts Index^® Successor Index) on any date when it would ordinarily do so in accordance with its customary practice, then the Calculation Agent will determine the Index Level for such date. The Index Level will be computed by the Calculation Agent in accordance with the formula for and method of calculating the Russian Depositary Receipts Index^® or Russian Depositary Receipts Index^® Successor Index, as applicable, last in effect prior to such discontinuation or failure to calculate or publish a Closing Level for the index, 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 comprising the Russian Depositary Receipts Index^® or Russian Depositary Receipts Index^® Successor Index, as applicable. Notwithstanding these alternative arrangements, discontinuation of the publication or failure to calculate or publish the Closing Level of the Russian Depositary Receipts Index^® may adversely affect the value of the Securities.

If at any time the method of calculating the Russian Depositary Receipts Index^® or a Russian Depositary Receipts Index^® Successor Index, or the level thereof, is changed in a material respect, or if the Russian Depositary Receipts Index^® or a Russian Depositary Receipts Index^® Successor Index is in any other way modified so that the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor Index does not, in the opinion of the Calculation Agent, fairly represent the level of the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor 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 Russian Depositary Receipts 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 Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor Index, as the case may be, as if such changes or modifications had not been made, and the Calculation Agent will calculate the Index Level with reference to the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor Index, as adjusted. Accordingly, if the method of calculating the Russian Depositary Receipts Index^® or a Russian Depositary Receipts Index^® Successor Index is modified so that the level of the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor 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 Russian Depositary Receipts Index^®), then the Calculation Agent will adjust its calculation of the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor Index in order to arrive at a level of the Russian Depositary Receipts Index^® or such Russian Depositary Receipts Index^® Successor Index as if there had been no such modification (e.g., as if such split had not occurred).

FTSE/Xinhua China 25 Index^™

If FXI discontinues publication of the FTSE/Xinhua China 25 Index^™ and FXI 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/Xinhua China 25 Index^™ (such index a “FTSE/Xinhua China 25 Index^™ Successor Index”), then any Index Level will be determined by reference to the level of such FTSE/Xinhua China 25 Index^™ Successor Index at the close of trading on the Relevant Exchange or market for the FTSE/Xinhua China 25 Index^™ Successor Index on the Final Valuation Date or other relevant date or dates as set forth herein.

Upon any selection by the Calculation Agent of a FTSE/Xinhua China 25 Index^™ Successor Index, the Calculation Agent will cause written notice thereof to be promptly furnished to the trustee, to us and to the holders of the Securities.

If FXI discontinues publication of the FTSE/Xinhua China 25 Index^™ prior to, and such discontinuation is continuing on, the Final Valuation Date or other relevant date and the Calculation Agent determines, in its sole discretion, that no FTSE/Xinhua China 25 Index^™ Successor Index is available at such time, or the Calculation Agent has previously selected a FTSE/Xinhua China 25 Index^™ Successor Index and publication of such FTSE/Xinhua China 25 Index^™ Successor Index is discontinued prior to, and such discontinuation is continuing on the Final Valuation Date or other relevant date, or if FXI (or the publisher of any FTSE/Xinhua China 25 Index^™ Successor Index) fails to calculate and publish a Closing Level for the FTSE/Xinhua China 25 Index^™ (or any FTSE/Xinhua China 25 Index^™ Successor Index) on any date when it would ordinarily do so in accordance with its customary practice, then the Calculation Agent will determine the Index Level on such date. The Index Level will be computed by the Calculation Agent in accordance with the formula for and method of calculating the FTSE/Xinhua China 25 Index^™ or FTSE successor Index, as applicable, last in effect prior to such discontinuation or failure to calculate or publish a Closing Level for the index, 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 comprising the FTSE/Xinhua China 25 Index^™ or FTSE/Xinhua China 25 Index^™ Successor Index, as applicable. Notwithstanding these alternative arrangements, discontinuation of the publication or failure to calculate or publish the Closing Level of the FTSE/Xinhua China 25 Index^™ may adversely affect the value of the Securities.

If at any time the method of calculating the FTSE/Xinhua China 25 Index^™ or a FTSE/Xinhua China 25 Index^™ Successor Index, or the level thereof, is changed in a material respect, or if the FTSE/Xinhua China 25 Index^™ or a FTSE/Xinhua China 25 Index^™ Successor Index is in any other way modified so that the FTSE/Xinhua China 25 Index^™ or such FTSE/Xinhua China 25 Index^™ Successor Index does not, in the opinion of the Calculation Agent, fairly represent the level of the FTSE/Xinhua China 25 Index^™ or such FTSE/Xinhua China 25 Index^™ Successor 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 FTSE/Xinhua China 25 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 FTSE/Xinhua China 25 Index^™ or such FTSE/Xinhua China 25 Index^™ Successor Index, as the case may be, as if such changes or modifications had not been made, and the Calculation Agent will calculate the Index Level with reference to the FTSE/Xinhua China 25 Index^™ or such FTSE/Xinhua China 25 Index^™ Successor Index, as adjusted. Accordingly, if the method of calculating the FTSE/Xinhua China 25 Index^™ or a FTSE/Xinhua China 25 Index^™ Successor Index is modified so that the level of such FTSE/Xinhua China 25 Index^™ or FTSE or Successor 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 FTSE/Xinhua China 25 Index^™), then the Calculation Agent will adjust such FTSE/Xinhua China 25 Index^™ in order to arrive at a level of the FTSE/Xinhua China 25 Index^™ or such FTSE/Xinhua China 25 Index^™ Successor Index as if there had been no such modification (e.g., as if such split had not occurred).

Discontinuation of the Basket Index Fund; Alteration of Method of Calculation

iShares^® MSCI Brazil Index Fund

If the iShares^® MSCI Brazil Index Fund (or a Brazil Successor Index Fund (as defined herein)) is de-listed from the New York Stock Exchange (or any other relevant exchange), liquidated or otherwise terminated, the Calculation Agent will substitute an exchange traded fund that the Calculation Agent determines, in its sole discretion, is comparable to the discontinued Basket Fund (or such Brazil Successor Index Fund) (such successor , a “Brazil Successor Index Fund”). If the iShares^® MSCI Brazil Index Fund (or a Brazil Successor Index Fund) is de-listed, liquidated or otherwise terminated and the Calculation Agent determines that no Brazil Successor Index Fund is available, then the Calculation Agent will, in its sole discretion, calculate the appropriate Closing Price of the shares of the iShares^® MSCI Brazil Index Fund by a computation methodology that the Calculation Agent determines will as closely as reasonably possible replicate the iShares^® MSCI Brazil Index Fund. If a Brazil Successor Index Fund is

selected or the Calculation Agent calculates a price or Closing Price, as applicable, by a computation methodology that the calculation determines will as closely as reasonably possible replicate the iShares^® MSCI Brazil Index Fund, that Brazil Successor Index Fund or Closing Price will be substituted for the iShares^® MSCI Brazil Index Fund (or such Brazil Successor Index Fund) for all purposes of the Securities.

Upon any selection by the Calculation Agent of a Brazil Successor Index Fund, the Calculation Agent will cause written notice thereof to be promptly furnished to the trustee, to us and to the holders of the Securities.

If at any time, the Underlying Index or an index underlying a Brazil Successor Index Fund is changed in a material respect, or the iShares^® MSCI Brazil Index Fund or a Brazil Successor Index Fund in any other way is modified so that it does not, in the opinion of the Calculation Agent, fairly represent the price of the shares of the iShares^® MSCI Brazil Index Fund or such Brazil Successor Index Fund had those 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 MSCI Brazil Final Share Price 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 Closing Price of an exchange traded fund comparable to the iShares^® MSCI Brazil Index Fund (or such Brazil Successor Index Fund) as if those changes or modifications had not been made, and calculate the Closing Price with reference to the iShares^® MSCI Brazil Index Fund (or such Successor Index Fund), as adjusted. The Calculation Agent also may determine that no adjustment is required by the modification of the method of calculation.

The Calculation Agent will be solely responsible for the method of calculating the Closing Price of the shares of the iShares^® MSCI Brazil Index Fund (or any Successor Index Fund) and of any related determinations and calculations, and its determinations and calculations with respect thereto will be conclusive in the absence of manifest error.

The Calculation Agent will provide information as to the method of calculating the Closing Price of the shares of the iShares^® MSCI Brazil Index Fund upon written request by any investor in the Securities.

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:

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.