Opta ETNs are senior, unsecured debt securities issued by Lehman Brothers Holdings Inc. ("Issuer"). ETN investments do not represent ownership interests in the underlying assets but instead are backed by the credit of the Issuer.

Registered investment companies (RICs) (including mutual funds and most ETFs) are limited in terms of the instruments, sectors and strategies in which they can invest. For example, they are limited in their ability to take positions in commodity futures contracts. Therefore, it may be relatively inefficient to gain exposure to asset classes like commodities through funds.

As registered securities, ETNs are not subject to similar restrictions and provide investors exposure to sectors that may otherwise be difficult to access.

Although significant aspects of the federal income tax treatment of an investment in Opta ETNs are uncertain, the Issuer intends to treat them as cash-settled financial contracts linked to the underlying index. Assuming this treatment is correct, investors should recognize capital gain or loss at maturity or at the time of sale or redemption of the ETNs. This is calculated as the difference between the amount received upon liquidating an ETN position and the investor's tax basis in the ETN.

There may be pending legislative or regulatory changes that could affect the tax treatment of an ETN investment. You should consult your own tax advisor before investing in ETNs.

IRS Circular 230 Disclosure:

Neither Lehman Brothers nor its employees provide tax advice. Any discussion of U.S. tax matters herein (including any attachments) is not intended or written to be used and cannot be used for the purpose of (i) avoiding U.S. tax related penalties or (ii) promoting, marketing, or recommending to another party any transaction or matter addressed herein.