Index Products Barclays Capital Pan-European High-Yield Bond Index

The Pan-European High-Yield Index contains fixed-rate, non-investment grade corporate securities denominated in the following currencies: Euro, Pounds sterling, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The index does not contain Government-related, Securitized or EM debt. Securities in the index are also part of the Global High-Yield Index. The Pan-European High-Yield Index was launched on January 1, 1999.

Pan-European High-Yield Index

Currency Breakdown as of Oct 31, 2008

Krona 1.0% Sterling 16.6%

Access to the Index

www.barcap.com/indices www.lehmanlive.com (keyword: index) KEY FEATURES Daily index returns and statistics Historical index time series downloadable into Excel Standardized market structure reports Fully customizable views Index primers and shelf reference documents Latest index and portfolio strategies research publications TICKERS Total Return Index Value: LP01TRGU (GBP, Unhedged) Total Return Index Value: LP01TREU (EUR, Unhedged) Since Inception Total Return: LP01SIGU (GBP, Unhedged) Since Inception Total Return: LP01SIEU (EUR, Unhedged) Month to Date Excess Return: LP01ER Market Value (GBP): LP01MVG Market Value (EUR): LP01MVE Yield to Worst: LP01YW ISMA Modified Duration: LP01MD ISMA Returns Modified Duration: LP01RMD Average OAS: LP01OAS KEY FEATURES Index-level returns and statistics Historical index constituents Fully customizable market structure reports Index dynamics and turnover reports Portfolio upload/analysis Multi-factor Global Risk Model Portfolio performance attribution

Euro 82.4%

Bloomberg Index Page <LEHM> <24> Key statistics and returns <LP01> <INDEX>

Quality Breakdown as of Oct 31, 2008

B 42.7% Caa 9.4% Ca 0.5%
POINT (Portfolio and Index Tool) Long Name: Pan Euro HY

Ba 47.4%

Pricing and Related Issues

Sources and Frequency Timing Bid or Offer Side Settlement Assumptions Verification All bonds are priced daily by Barclays Capital traders or third-party vendors. 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used. Outstanding issues are priced on the bid side. Newly issued corporate bonds enter the index on the offer side. Downgraded issues that were part of the Pan-European Aggregate enter on the bid-side. T+1 settlement basis Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.

Contacts: Barclays Capital Index Products Team

index-us@barcap.com +1-212-526-7400

New York

London index-uk@barcap.com +44-207-773-3744

Tokyo index-tk@barcap.com +81-3-4530-1760

Hong Kong/Singapore index-hk@barcap.com +852-2903-2652

www.barcap.com/indices www.lehmanlive.com (keyword: index) General Inquiries: index@barcap.com

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The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.

Barclays Capital Pan-European High-Yield Bond Index

Rules for Inclusion
Amount Outstanding Quality 100 million minimum par amount outstanding or equivalent. For non-Euro issues we take the local currency amount equal to 100 million using the exchange rates set at the end of November of each year. Must be rated below investment grade (Ba1/BB+/BB+ or below) using the middle rating of Moodys, S&P and Fitch, respectively. When all three agencies rate an issue, a median or two out of three rating is used to determine index eligibility by dropping the highest and the lowest rating. When a rating from only two agencies is available, the lowest (most conservative) of the two is used. When a rating from only one agency is available, that rating is used to determine index eligibility. Unrated bonds and bonds with a D rating using the middle rating are excluded. At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date. Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria. Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate. Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded. Euro, Pounds sterling, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna (to be redenominated to EUR on January 1, 2008) are eligible. As of October 2008, only EUR, GBP, and SEK meet the index rules. Publicly issued in the Eurobond and indexmember domestic markets. Included: Fixed-rate bullet, puttable and callable Soft bullets Fixed-rate and fixed to floating capital securities Excluded: Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, including Schuldscheine Floating-rate issues Inflation-linked bonds Emerging markets debt PIK bonds Govt-Related and Securitized issues

Maturity

Seniority of Debt Coupon

Currency Market of Issue Security Types

Rebalancing Rules
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.

Index Changes

Reinvestment of Cash flows New Issues

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