ISSUER FREE WRITING PROSPECTUS Filed Pursuant to Rule 433 Registration Statement No. 333-134553 Dated November 8, 2007 | ![]() |
Performance Securities with Partial Protection
Linked to an International Index Basket
Strategic Alternatives to Indexing
Lehman Brothers Holdings Inc. Securities Linked to an International Index Basket due November 14, 2012
Investment Description
These Performance Securities with Partial Protection Linked to an International Index Basket (the “Notes”) provide potentially enhanced returns based on the positive performance of a basket composed of six international equity indices as well as protection, at maturity of the Notes, of 20% of your principal. Partial principal protected investments can help reduce portfolio risk while maintaining increased exposure to equities. The partial principal protection feature applies only at maturity. Investing in the Notes is subject to significant risks, including a potential loss of up to 80% of principal.
Features
q | Growth Potential: Investors receive enhanced upside participation in the performance of an international index basket. |
q | Partial Protection of Principal: At maturity of the Notes, investors will receive a cash payment equal to at least 20% of their invested principal. |
q | Diversification: Investors can diversify in a partial principal protected investment linked to a basket of international indices. |
Key Dates1
Trade Date | November 9, 2007 | |
Settlement Date | November 14, 2007 | |
Final Valuation Date | November 9, 2012 | |
Maturity Date | November 14, 2012 |
1 | In the event we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date and the Maturity Date will be changed so that the stated term of the Notes remains the same. |
Security Offerings
We are offering Performance Securities with Partial Protection Linked to an International Index Basket. The Notes are linked to a basket of indices (the “Basket”) consisting of the Dow Jones EURO STOXX 50® Index, the Nikkei 225SM Index, the FTSE 100 Index®, the CECE Composite Index®, the Swiss Market Index® and the S&P®/ASX 200 Index (each, a “Basket Index” and, collectively, the “Basket Indices”). The Notes are not subject to a predetermined maximum gain and, accordingly, any return at maturity will be determined by the appreciation of the Basket. The Notes are offered at a minimum investment of $1,000.
See “Additional Information about Lehman Brothers Holdings Inc. and the Notes” on page 2. The Notes offered will have the terms specified in the base prospectus dated May 30, 2006, the MTN prospectus supplement dated May 30, 2006, product supplement no. 190-I dated November 8, 2007, underlying supplement no. 1040 dated November 8, 2007 and this term sheet. See “Key Risks” on page 5, the more detailed “Risk Factors” beginning on page SS-4 of product supplement no. 190-I for risks related to an investment in the Notes and “Risk Factors” beginning on page US-1 of underlying supplement no. 1040 for risks related to the Basket Indices.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or the adequacy of this term sheet, the accompanying base prospectus, MTN prospectus supplement, product supplement no. 190-I, underlying supplement no. 1040, any other related prospectus supplements or any other relevant terms supplement. Any representation to the contrary is a criminal offense. The Notes are not deposit liabilities of Lehman Brothers Holdings Inc. and are not FDIC-insured.
Price to Public | Underwriting Discount | Proceeds to Us | ||||
Per Note | 100% | 3.50% | 96.50% | |||
Total |
UBS Financial Services Inc. | Lehman Brothers Inc. |
Additional Information about Lehman Brothers Holdings Inc. and the Notes
Lehman Brothers Holdings Inc. has filed a registration statement (including a base prospectus) with the U.S. Securities and Exchange Commission, or SEC, for this offering. Before you invest, you should read this term sheet together with the base prospectus, as supplemented by the MTN prospectus supplement relating to our Series I medium-term notes of which the Notes are a part, and the more detailed information contained in product supplement no. 190-I (which supplements the description of the general terms of the Notes) and underlying supplement no. 1040 (which describes the Basket Indices, including risk factors specific to each). Buyers should rely upon the base prospectus, the MTN prospectus supplement, product supplement no. 190-I , underlying supplement no. 1040, this term sheet, any other relevant terms supplement and any other relevant free writing prospectus for complete details. This term sheet, together with the documents listed below, contains the terms of the Notes and supersedes all prior or contemporaneous communications concerning the Notes. To the extent that there are any inconsistencies among the documents listed below, this term sheet shall supersede product supplement no. 190-I , which shall, likewise, supersede the base prospectus and the MTN prospectus supplement. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement no. 190-I and “Risk Factors” in the accompanying underlying supplement no. 1040, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisors before you invest in the Notes. You may get these documents and other documents Lehman Brothers Holdings Inc. has filed for free by searching the SEC online database (EDGAR®) atwww.sec.gov, with “Lehman Brothers Holdings Inc.” as a search term or through the links below, or by calling UBS Financial Services Inc. toll-free at 1-877-827-2010 or Lehman Brothers Inc. toll-free at 1-888-603-5847.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
¨ | Product supplement no. 190-I dated November 8, 2007: |
http://www.sec.gov/Archives/edgar/data/806085/000119312507239663/d424b2.htm
¨ | Underlying supplement no. 1040 dated November 8, 2007: |
http://www.sec.gov/Archives/edgar/data/806085/000119312507240001/d424b2.htm
¨ | MTN Prospectus supplement dated May 30, 2006: |
http://www.sec.gov/Archives/edgar/data/806085/000104746906007785/a2170815z424b2.htm
¨ | Base Prospectus dated May 30, 2006: |
http://www.sec.gov/Archives/edgar/data/806085/000104746906007771/a2165526zs-3asr.htm
References to “Lehman Brothers,” “we,” “our” and “us” refer only to Lehman Brothers Holdings Inc. and not to its consolidated subsidiaries. In this document, “Notes” refers to the Return Optimization Securities Linked to an International Index Basket that are offered hereby, unless the context otherwise requires.
Investor Suitability
The Notes may be suitable for you if, among other considerations:
¨ | You seek an investment with a return linked to the performance of the Basket and exposure to the economies of the international developed markets and the markets of Poland, Hungary and the Czech Republic |
¨ | You seek an investment that offers partial principal protection when the Notes are held to maturity |
¨ | You are willing to risk losing up to 80% of your investment |
¨ | You are willing to hold the Notes to maturity |
¨ | You do not seek current income from this investment |
¨ | You believe the Basket will appreciate during the term of the Notes, and you are willing to invest in the Notes based on the range indicated for the Participation Rate (the actual Participation Rate will be determined on the Trade Date) |
The Notes may not be suitable for you if, among other considerations:
¨ | You do not seek an investment with exposure to the economies of the international developed markets and the markets of Poland, Hungary and the Czech Republic |
¨ | You are unable or unwilling to hold the Notes to maturity |
¨ | You seek an investment that is 100% principal protected |
¨ | You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings |
¨ | You seek current income from your investments |
¨ | You seek an investment for which there will be an active secondary market |
The suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You should also review carefully the “Key Risks” on page 5, “Risk Factors” in product supplement no. 190-I, underlying supplement no. 1040 and the MTN prospectus supplement for risks related to an investment in the Notes.
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Indicative Terms
Issuer | Lehman Brothers Holdings Inc. (A+/A1/AA-)1 | |||
Issue Price | $10 per Note | |||
Term | 5 years | |||
Basket | The Notes are linked to a basket consisting of the Dow Jones EURO STOXX 50® Index (SX5E), the Nikkei 225SM Index (NKY), the FTSE 100 Index® (UKX), the CECE Composite Index® (CECEEUR), the Swiss Market Index® (SMI) and the S&P®/ASX 200 Index (AS51) (each, a “Basket Index” and, collectively, the “Basket Indices”). | |||
Index Weightings | Dow Jones EURO STOXX 50® Index | 40.00% | ||
Nikkei 225SM Index | 20.00% | |||
FTSE 100 Index® | 15.00% | |||
CECE Composite Index® | 10.00% | |||
Swiss Market Index® | 7.50% | |||
S&P®/ASX 200 Index | 7.50% | |||
Protection Percentage | 20% | |||
Participation Rate | 144% to 147%. The actual Participation Rate will be determined on the Trade Date. | |||
Payment at Maturity (per $10) | If the Basket Return is positive,you will receive a cash payment, per $10 principal amount Note, equal to:
$10 + [$10 × (Basket Return × Participation Rate)]
If the Basket Return is between 0% and -20%,inclusive, you will receive the principal amount of your Notes at maturity.
If the Basket Return is less than -20%, you will receive a cash payment, per $10 principal amount Note, equal to:
$10 + [$10 × (Basket Return + the Protection Percentage)]
If the Basket Return is lower than -20%, you could lose up to $8 per $10 principal amount Note. | |||
Basket Return | Basket Ending Level - Basket Starting Level
Basket Starting Level | |||
Basket Starting Level | Set equal to 100 on the Trade Date. | |||
Basket Ending Level | The Basket closing level on the Final Valuation Date. On the Final Valuation Date, the Basket closing level will be calculated as follows:
100 × [1+ (the Dow Jones EURO STOXX 50® Index Return × 40.00%) + (the Nikkei 225SM Index Return × 20.00%) + (the FTSE 100 Index® Return × 15.00%) + (the CECE Composite Index® Return × 10.00%) + (the Swiss Market Index® Return × 7.50%) + (the S&P®/ASX 200 Index Return × 7.50%)].
The “Dow Jones EURO STOXX 50® Index Return,” the “Nikkei 225SM Index Return,” the “FTSE 100 Index® Return,” the “CECE Composite Index® Return,” the “Swiss Market Index® Return” and the “S&P®/ASX 200 Index Return” are the performances of the respective Basket Indices, calculated, in each case, as the percentage change from the related Basket Index closing level on the Trade Date to the related Basket Index closing level on the Final Valuation Date. See the definition of Index Return under “Description of Notes—Payment at Maturity” in the accompanying product supplement no. 190-I. | |||
CUSIP | 52522L426 | |||
ISIN | US52522L4260 |
Determining Payment at Maturity
1 | Lehman Brothers Holdings Inc. is rated A+ by Standard & Poor’s, A1 by Moody’s and AA- by Fitch. A credit rating reflects the creditworthiness of Lehman Brothers Holdings Inc. and is not a recommendation to buy, sell or hold securities, and may be subject to revision or withdrawal at any time by the assigning rating organization. Each rating should be evaluated independently of any other rating. The creditworthiness of the issuer does not affect or enhance the likely performance of the investment other than the ability of the issuer to meet its obligations. |
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Scenario Analysis and Examples at Maturity
The following scenario analysis and examples assume a Participation Rate of 145.5% (the midpoint of the range of 144% to 147%) and a range of Basket Returns from +50% to -50%. The actual Participation Rate will be set on the Trade Date.
Example 1—The level of the Basket increases from a Basket Starting Level of 100 to a Basket Ending Level of 110.Because the Basket Ending Level is 110 and the Basket Starting Level is 100, the Basket Return is positive and calculated as follows:
(110-100)/100 = 10%
Because the Basket Return is equal to 10%, the Payment at Maturity is equal to $11.46 per $10.00 principal amount Note calculated as follows:
$10 + ($10 x 10% x 145.5%) = $11.46
Example 2—The level of the Basket decreases from a Basket Starting Level of 100 to a Basket Ending Level of 90.Because the Basket Ending Level is 90 and the Basket Starting Level is 100, the Basket Return is negative and calculated as follows:
(90-100)/100= -10%
Because the Basket Return is equal to -10%, the absolute value of which is less than the Protection Percentage, the Payment at Maturity is equal to $10.00 per $10.00 principal amount Note.
Example 3—The level of the Basket decreases from a Basket Starting Level of 100 to a Basket Ending Level of 70.Because the Basket Ending Level is 70 and the Basket Starting Level is 100, the Basket Return is negative and calculated as follows:
(70-100)/100= -30%
Because the Basket Return is equal to -30%, the absolute value of which is more than the Protection Percentage, the investor will lose 1% of principal for each 1% that the absolute value of the Basket Return exceeds the Protection Percentage and the Payment at Maturity is equal to $9.00 per $10.00 principal amount Note calculated as follows:
$10 + [$10 x (-30% + 20%)] = $9.00
What are the tax consequences of the Notes?
Lehman Brothers Holdings Inc. intends to treat, and by purchasing a Note, for all tax purposes, you agree to treat, a Note as a cash-settled financial contract, rather than as a debt instrument. See “Certain U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 190-I.
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Key Risks
An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any of the stocks included in the Basket Indices. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 190-I and in the “Risk Factors” section of the accompanying underlying supplement no. 1040. You should reach an investment decision only after you have carefully considered with your advisors the suitability of an investment in the Notes in light of your particular circumstances.
¨ | Partial Principal Protection Only Applies if You Hold the Notes to Maturity:You should be willing to hold your Notes to maturity. If you sell your Notes in the secondary market, you may have to sell them at a discount and you will not have partial principal protection for a decline in the Basket up to 20%. YOU SHOULD BE WILLING TO HOLD YOUR NOTES TO MATURITY. |
¨ | Your Investment in the Notes May Result in a Loss: The Notes do not guarantee any return of principal in excess of $2 per $10 principal amount Note. The return on the Notes at maturity is linked to the performance of the Basket and will depend on whether, and the extent to which, the Basket Return is positive or negative. Your investment will be fully exposed to any decline in the Basket if, and to the extent to which, the Basket Return is lower than -20%. YOU MAY LOSE UP TO 80% OF YOUR PRINCIPAL IF THE BASKET DECLINES. |
¨ | Changes in the Level of the Basket Indices May Offset Each Other: The Notes are linked to a weighted basket composed of the Basket Indices. At a time when the level of one or more Basket Indices increases, the level of one or more of the other Basket Indices may not increase as much or may even decline. Therefore, in calculating the Basket Ending Level, increases in the level of one or more of the Basket Indices may be moderated, or offset, by lesser increases or declines in the level of one or more of the other Basket Indices. |
¨ | No Interest or Dividend Payments or Voting Rights: As a holder of the Notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of stocks included in the Basket Indices would have. |
¨ | Certain Built-in Costs are Likely to Adversely Affect the Value of the Notes Prior to Maturity: While the Payment at Maturity described in this term sheet is based on the full principal amount of your Notes, the original issue price of the Notes includes the agents’ commission and the cost of hedging our obligations under the Notes through one or more of our affiliates, which includes our affiliates’ expected cost of providing such hedge, as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. As a result, the price, if any, at which Lehman Brothers Inc. will be willing to purchase Notes from you in secondary market transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. YOU SHOULD BE WILLING TO HOLD YOUR NOTES TO MATURITY. |
¨ | The Basket Return Will Not Be Adjusted for Changes in Exchange Rates Related to the U.S. Dollar that Might Affect the Basket Indices, and the Notes Will Have Exposure to Certain Exchange Rate Fluctuations: The value of your Notes will not be adjusted for exchange rate fluctuations between the U.S. dollar and the currencies in which the Basket Indices are denominated or stocks included in the Basket Indices are based. Therefore, if the applicable currencies appreciate or depreciate relative to the U.S. dollar over the term of the Notes, you will not receive any additional payment or incur any reduction in your return, if any, at maturity. In addition, because the CECE Composite Index® is calculated in euro but its component securities are denominated in Czech koruna, Hungarian forint or Polish zloty, the value of the CECE Composite Index®, and consequently the value of the Notes, will be affected by the exchange rates between the euro and the Czech koruna, Hungarian forint and Polish zloty. |
¨ | Dealer Incentives: We, our affiliates and agents, and UBS Financial Services Inc. and its affiliates, act in various capacities with respect to the Notes. Lehman Brothers Inc. and other of our affiliates may act as a principals, agents or dealers in connection with the Notes. Such affiliates, including the sales representatives, will derive compensation from the distribution of the Notes and such compensation may serve as an incentive to sell the Notes instead of other investments. We will pay compensation of $0.35 per Note to the principals, agents and dealers in connection with the distribution of the Notes. |
¨ | Lack of Liquidity: The Notes will not be listed on any securities exchange. Lehman Brothers Inc. intends to offer to purchase the Notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes easily. Because other dealers are not likely to make a secondary market for the Notes, the price at which you may be able to trade your Notes is likely to depend on the price, if any, at which Lehman Brothers Inc. is willing to buy the Notes. If you are an employee of Lehman Brothers Holdings Inc. or one of our affiliates, you may not be able to purchase the Notes from us and your ability to sell or trade the Notes in the secondary market may be limited. |
¨ | Potential Conflicts: We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. |
¨ | UBS AG, an Affiliate of UBS Financial Services Inc., is One of the Companies That Make Up the Swiss Market Index®: UBS AG, which is an affiliate of UBS Financial Services Inc., is one of the companies that make up the Swiss Market Index®. UBS AG will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the level of the Swiss Market Index® and the value of the Notes. |
¨ | We and our Affiliates and Agents May Publish Research, Express Opinions or Provide Recommendations that are Inconsistent with Investing in or Holding the Notes. Any Such Research, Opinions or Recommendations Could Affect the Level of the Basket to which the Notes are Linked or the Value of the Notes: We, our affiliates and agents publish research from time to time on financial markets and other matters that may influence the value of the Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. We, our affiliates and agents, may publish, or may have published, research or other opinions that are inconsistent with the investment view implicit in the Notes. Any research, opinions or |
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recommendations expressed by us, our affiliates or agents may not be consistent with each other and may be modified from time to time without notice. Additionally, UBS Financial Services Inc. and its affiliates may publish, or may have published, research or other opinions that are inconsistent with purchasing or holding the Notes. Investors should make their own independent investigation of the merits of investing in the Notes which are linked to the Basket. |
¨ | Many Economic and Market Factors Will Impact the Value of the Notes: In addition to the level of the Basket on any day, the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other and which are set out in more detail in the product supplement no. 190-I. |
¨ | Uncertain Tax Treatment: Significant aspects of the tax treatment of the Notes are uncertain. You should consult your own tax advisor about your own tax situation before investing in the Notes. |
¨ | Credit of Issuer: An investment in the Notes will be subject to the credit risk of Lehman Brothers Holdings Inc., and the actual and perceived creditworthiness of Lehman Brothers Holdings Inc. may affect the market value of the Notes. |
Hypothetical Historical Basket Performance
The graph below illustrates the hypothetical historical performance of the Basket from January 4, 1999 to November 5, 2007 if the level of the Basket was made to equal 100 on November 5, 2007. The hypothetical historical performance reflects the performance the Basket would have exhibited based on (i) the actual historical performance of the Basket Indices and (ii) the Index Weightings indicated under “Indicative Terms” above. Neither the hypothetical historical performance of the Basket nor the actual historical performance of the Basket Indices should be taken as indications of future performance.
Source: Lehman Brothers Inc.
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The Dow Jones EURO STOXX 50® Index
The Dow Jones EURO STOXX 50® Index was created by STOXX Limited, a joint venture between Deutsche Börse AG, Dow Jones & Company, Inc. and SWX Group. As discussed more fully in underlying supplement no. 1040 under the heading “The Dow Jones EURO STOXX 50® Index,” the Dow Jones EURO STOXX 50® Index is composed of 50 component stocks of market sector leaders from within the Dow Jones EURO STOXX Index, which includes stocks selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all market sectors defined by the Dow Jones Global Classification Standard. Changes in the composition of the Dow Jones EURO STOXX 50® Index are made annually to ensure that the Dow Jones EURO STOXX 50® Index includes the 50 market sector leaders from within the Dow Jones EURO STOXX Index. A current list of the issuers that comprise the Dow Jones EURO STOXX 50® Index is available on the STOXX Limited website at www.stoxx.com.
You can obtain the level of the Dow Jones EURO STOXX 50® Index at any time from the Bloomberg Financial Markets page “SX5E <Index> <GO>“ or from the STOXX Limited website at www.stoxx.com.
The graph below illustrates the performance of the Dow Jones EURO STOXX 50® Index from November 5, 1997 to November 5, 2007. The historical levels of the Dow Jones EURO STOXX 50® Index should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The Dow Jones EURO STOXX 50® Index closing level on November 5, 2007 was 4,392.8.
The information on the Dow Jones EURO STOXX 50® Index provided in this document should be read together with the discussion under the heading “The Dow Jones EURO STOXX 50® Index” beginning on page US-5 of underlying supplement no. 1040. Information contained in the STOXX Limited website referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
The Nikkei 225SM Index
The Nikkei 225SM Index is published and disseminated by Nikkei Inc. As discussed more fully in underlying supplement no. 1040 under the heading “The Nikkei 225SM Index,” the Nikkei 225SM Index is a modified, price-weighted average of 225 Japanese companies listed in the First Section of the Tokyo Stock Exchange that that measures the composite price performance of selected Japanese stocks. The 225 companies included in the Nikkei 225 SM Index are divided into six sector categories: Technology, Financials, Consumer Goods, Materials, Capital Goods/Others and Transportation and Utilities.
You can obtain the level of the Nikkei 225 SM Index at any time from the Bloomberg Financial Markets page “NKY <Index> <GO>“ or from the Nikkei Inc. website at www.nni.nikkei.co.jp.
The graph below illustrates the performance of the Nikkei 225SM Index from November 5, 1997 to November 5, 2007. The historical levels of the Nikkei 225SM Index should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The Nikkei 225SM Index closing level on November 5, 2007 was 16,268.92.
The information on the Nikkei 225SM Index provided in this document should be read together with the discussion under the heading “The Nikkei 225SM Index” beginning on page US-13 of underlying supplement no. 1040. Information contained in the Nikkei Inc. website referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
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The FTSE 100 Index®
The FTSE 100 Index® is calculated, maintained, published and disseminated by FTSE International Limited (“FTSE”), a company owned equally by the London Stock Exchange (the “LSE”) and The Financial Times, in association with the Institute and the Faculty of Actuaries. As discussed more fully in underlying supplement no. 1040 under the heading “The FTSE 100 Index®,” the FTSE 100 Index® measures the composite price performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the LSE. The 100 stocks included in the FTSE 100® Index were selected from a reference group of stocks trading on the LSE. The reference stocks were selected by excluding certain stocks that have low liquidity based on public float, accuracy and reliability of prices, size and number of trading days. The 100 stocks included in the FTSE 100 Index® represent the 100 stocks with the largest market value in this reference group. A current list of the issuers that comprise the FTSE 100 Index® is available on the FTSE website at www.ftse.com.
You can obtain the level of the FTSE 100 Index® at any time from the Bloomberg Financial Markets page “UKX <Index> <GO>“ or from the FTSE website at www.ftse.com.
The graph below illustrates the performance of the FTSE 100 Index® from November 5, 1997 to November 5, 2007. The historical levels of the FTSE 100 Index® should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The FTSE 100 Index® closing level on November 5, 2007 was 6,461.4.
The information on the FTSE 100 Index® provided in this document should be read together with the discussion under the heading “The FTSE 100 Index®” beginning on page US-10 of underlying supplement no. 1040. Information contained in the FTSE website referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
The CECE Composite Index®
The CECE Composite Index® is sponsored by Wiener Börse AG. As discussed more fully in underlying supplement no. 1040 under the heading “The CECE Composite Index®,” the CECE Composite Index® is composed of the following indices: the Czech Traded Index, the Hungarian Traded Index and the Polish Traded Index, each of which is also sponsored by Wiener Börse AG. Each of the individual country indices contain only the large actively traded blue chips stocks in the respective markets, listed on the local exchanges included in each such country index.
You can obtain the level of the CECE Composite Index® calculated in euro at any time from the Bloomberg Financial Markets page “CECEEUR <Index> <GO>“ or from the index portal website of Wiener Börse AG at www.indices.cc.
The graph below illustrates the performance of the CECE Composite Index® from January 4, 1999 to November 5, 2007. The historical levels of the CECE Composite Index® should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The CECE Composite Index® closing level on November 5, 2007 was 2,961.45.
The information on the CECE Composite Index® provided in this document should be read together with the discussion under the heading “CECE Composite Index®” beginning on page US-20 of underlying supplement no. 1040. Information contained in the Wiener Börse AG website referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
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The Swiss Market Index®
The Swiss Market Index® is published and maintained by SWX Swiss Exchange. As discussed more fully in underlying supplement no. 1040 under the heading “The Swiss Market Index®,” the Swiss Market Index® is a capitalization-weighted index of the largest and most liquid stocks traded on the Electronic Bourse System. A current list of the stocks that comprise the Swiss Market Index® is available on the SWX Swiss Exchange website at www.swx.com.
You can obtain the level of the Swiss Market Index® at any time from the Bloomberg Financial Markets page “SMI <Index> <GO>“ or from the SWX Swiss Exchange website at www.swx.com.
The graph below illustrates the performance of the Swiss Market Index® from November 5, 1997 to November 5, 2007. The historical levels of the Swiss Market Index® should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The Swiss Market Index® closing level on November 5, 2007 was 8,707.75.
The information on the Swiss Market Index® provided in this document should be read together with the discussion under the heading “Swiss Market Index®” beginning on page US-24 of underlying supplement no. 1040. Information contained in the SWX Swiss Exchange website referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
The S&P®/ASX 200 Index
The S&P®/ASX 200 Index is published and maintained by the S&P Australian Index Committee (the “ASX Committee”), a team of representatives from both Standard & Poor’s and the Australian Stock Exchange. As discussed more fully in underlying supplement no. 1040 under the heading “The S&P®/ASX 200 Index,” the S&P®/ASX 200 Index is composed of the S&P/ASX 100 stocks plus an additional 100 stocks selected by the ASX Committee. As of June 30, 2007, the S&P®/ASX 200 Index represented approximately 78% of the total market capitalization of the Australian market. The S&P®/ASX 200 Index essentially covers large-cap and mid-cap stocks evaluated for liquidity and size. Additional information concerning the S&P®/ASX 200 Index may be obtained from the Australian Stock Exchange website at www.asx.com.au.
You can obtain the level of the S&P®/ASX 200 Index at any time from the Bloomberg Financial Markets page “AS51 <Index> <GO>“ or from the Standard & Poor’s website www.standardandpoors.com.
The graph below illustrates the performance of the S&P®/ASX 200 Index from November 5, 1997 to November 5, 2007. The historical levels of the S&P®/ASX 200 Index should not be taken as an indication of future performance.
Source: Bloomberg L.P.
The S&P®/ASX 200 Index closing level on November 5, 2007 was 6,582.3.
The information on the S&P®/ASX 200 Index provided in this document should be read together with the discussion under the heading “S&P®/ASX 200 Index” beginning on page US-17 of underlying supplement no. 1040. Information contained in the Australian Stock Exchange or Standard & Poor’s websites referenced above is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.
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Supplemental Plan of Distribution
We will agree to sell to UBS Financial Services Inc. and Lehman Brothers Inc. (together, the “Agents”), and the Agents will agree to purchase, all of the Notes at the price indicated on the cover of the pricing supplement, the document that will be filed pursuant to Rule 424(b) containing the final pricing terms of the Notes. UBS Financial Services Inc. may allow a concession not in excess of the underwriting discount to its affiliates.
We have agreed to indemnify the Agents against liabilities, including liabilities under the Securities Act of 1933, as amended, or to contribute to payments that the Agents may be required to make relating to these liabilities as described in the MTN prospectus supplement and the base prospectus. We have agreed that UBS Financial Services Inc. may sell all or a part of the Notes that it purchases from us to its affiliates at the price that will be indicated on the cover of the pricing supplement that will be available in connection with the sales of the Notes.
Subject to regulatory constraints, Lehman Brothers Inc. has agreed to use reasonable efforts to make a market in the Notes for so long as the Notes are outstanding.
We or our affiliate will enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and the Agents and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions.
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