Deutsche Bank AG, London Branch

Securities Note & Summary

3 January 2008

Issue of EUR 12,750,000 104% Principal Protected Notes due 2021 linked to the KKR Protected Private Equity EUR Hedged Index

Issue Price 100%

The issuer (the “Issuer”) of the securities described in the “Prospectus” (consisting of a registration document dated 3 May 2007 (the “Registration Document”) and this Securities Note & Summary) is Deutsche Bank Aktiengesellschaft, acting through its London branch (“Deutsche Bank AG, London Branch”).

Application has been made to the Commission de Surveillance du Secteur Financier (the "CSSF") in its capacity as competent authority under the Luxembourg Act relating to prospectuses for securities (Loi relative aux Prospectus pour valeurs mobilières) to approve the Prospectus as a prospectus for the purposes of Directive 2003/71/EC (the "Prospectus Directive").

Application has also been made to the Luxembourg Stock Exchange for the admission to trading on the Bourse de Luxembourg (“Regulated Market”) of the Luxembourg Stock Exchange and the listing on the Official List of the Luxembourg Stock Exchange of the Notes (as defined below) which are to be issued by the Issuer pursuant to its U.S.$40,000,000,000 Global Structured Note Programme (the “Programme”). The Issuer will use its reasonable efforts to ensure listing of the Notes on the Official List of the Luxembourg Stock Exchange although there is no assurance that such listing will be achieved. This Prospectus may be further modified at the sole discretion of the Issuer following the issue of the Notes for the purpose of the admission to trading on the Regulated Market and the listing on the Official List of the Luxembourg Stock Exchange of the Notes provided that such changes are not materially prejudicial to the Noteholders.

This is an offering of EUR12,750,000 aggregate principal amount of 104% Principal Protected Notes due 2021 issued on 21 December 2007 (the “Notes”) linked to the KKR Protected Private Equity EUR Hedged Index (the “EUR Hedged Index”) comprising exposure to (i) the FX Swap and (ii) the KKR Protected Private Equity Index (the “Index”), which is an index established and administered by Deutsche Bank AG, London Branch as index sponsor (the “Index Sponsor”) and index administrator (the “Index Administrator”) and managed by Kohlberg Kravis Roberts & Co. L.P., as index manager (the “Index Manager”), with the objective of providing exposure to the KKR Constituents, the FI Constituent and a Cash Constituent (each as more fully described herein) and achieving, but not guaranteeing, superior alpha returns from KKR-sponsored investments while preserving capital through dynamically adjusted exposure to the FI Constituent.

The Notes will be issued in the Specified Denomination of EUR50,000, provided that, for so long as the Notes are represented by a Global Note held on behalf of Euroclear and/or Clearstream, Luxembourg and either or both of them, as the case may be, so permit, the Notes shall be tradable in minimum nominal amounts of EUR50,000 and integral multiples thereof. In the event that definitive Notes are issued in exchange for interests in a Global Note, they will be issued in denominations of EUR50,000. No public market currently exists for the Notes.

Potential investors should ensure that they understand the nature of the Notes and the extent of their exposure to risks and that they consider the suitability of the relevant Notes as an investment in light of their own circumstances and financial condition. Although the Notes benefit from principal protection (as described at pages 15 to 17 and pages 137 to 139 below), the Notes involve a number of risks and potential investors should be prepared to sustain a loss of part or, in limited circumstances, all of their investment. It is the responsibility of potential investors to ensure that they have sufficient knowledge, experience and professional advice to make their own legal, financial, tax, accounting and other business evaluation of the merits and risks of investing in the Notes and are not relying on the advice of the Issuer or the Dealer in that regard. See “Risk Factors” at pages 37 to 65 below for a discussion of certain factors that should be considered in connection with an investment in the Notes.

THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE “SECURITIES ACT”) AND MAY NOT BE OFFERED OR SOLD IN THE UNITED STATES OR

1 TO, OR FOR THE BENEFIT OF, U.S. PERSONS, AS DEFINED IN REGULATION S AND IN RULE 4.7 OF THE U.S. COMMODITY FUTURES TRADING COMMISSION. EACH NOTEHOLDER SHALL BE DEEMED TO REPRESENT PRIOR TO ITS PURCHASE OF ANY NOTE THAT (A) THE NOTEHOLDER IS NOT A U.S. PERSON; (B) IN PURCHASING OR HOLDING NOTES OR BENEFICIAL INTERESTS THEREIN IT WILL NOT BE, AND WILL NOT BE ACTING IN AN AGENCY CAPACITY INVESTING THE ASSETS OF, (I) AN EMPLOYEE BENEFIT PLAN WITHIN THE MEANING OF SECTION 3(3) OF THE U.S. EMPLOYEE RETIREMENT INCOME SECURITY ACT OF 1974, AS AMENDED (“ERISA”), WHICH PLAN IS SUBJECT TO TITLE I OF ERISA, (II) A “PLAN” (AS DEFINED IN SECTION 4975(E)(1) OF THE U.S. INTERNAL REVENUE CODE OF 1986, AS AMENDED (THE “CODE”)), SUBJECT TO SECTION 4975 OF THE CODE OR ANY LAW OR REGULATION THAT WOULD CAUSE THE EUR HEDGED INDEX, THE INDEX OR THE UNDERLYING ASSETS OF THE INDEX TO BE TREATED AS ASSETS OF THE INVESTING ENTITY AND THEREBY SUBJECTING THE ISSUER OR THE INDEX MANAGER TO LAWS OR REGULATIONS THAT ARE SIMILAR TO THE FIDUCIARY RESPONSIBILITY OR PROHIBITED TRANSACTION PROVISIONS CONTAINED IN TITLE I OF ERISA OR SECTION 4975 OF THE CODE OR (III) AN ENTITY WHOSE UNDERLYING ASSETS INCLUDE PLAN ASSETS BY REASON OF ANY SUCH PLAN’S INVESTMENT IN SUCH ENTITY (INCLUDING WITHOUT LIMITATION, AS APPLICABLE, AN INSURANCE COMPANY GENERAL ACCOUNT) AND (C) THE NOTEHOLDER WILL NOT TRANSFER THE NOTE IN THE UNITED STATES OR TO A U.S. PERSON OR ANY PERSON OR ENTITY DESCRIBED IN THE PRECEDING CLAUSES (A) AND (B).

Words and expressions used above but not otherwise defined shall have the meaning given them in the “Terms and Conditions of the Notes” at pages 132 to 147 below of this Securities Note & Summary or in the rules of the Index set out in the “Index Description” at pages 77 to 108 of this Securities Note & Summary (the “Index Rules”).

Dealer

Deutsche Bank AG, London Branch

2 IMPORTANT NOTICES

Subject as provided below, the Issuer accepts responsibility for the information contained in this Securities Note & Summary as at the date of the Securities Note & Summary and to the best of the knowledge and belief of the Issuer (which has taken all reasonable care to ensure that such is the case), the information contained in this Securities Note & Summary is in accordance with the facts and does not omit anything likely to affect the import of such information.

The following sections of this Securities Note & Summary have been supplied by the Index Manager: “Summary of the Index Manager” at pages 30 to 36 below; parts C, D and E of “Risk Factors” at pages 45 to 64 below; “Information about KKR” at pages 66 to 74 below; “Private Equity Valuations and Related Data” at pages 75 to 76 below; “Description of the KKR Constituents” at pages 115 to 129 below, and “Description of the Cash Constituent” at page 130 below (the “KKR Sections”). The Issuer accepts responsibility that the KKR Sections have been accurately reproduced and, as far as the Issuer is aware and is able to ascertain from information published by KKR, no facts have been omitted which would render the reproduced information inaccurate or misleading. No further or other responsibility (express or implied) in respect of the KKR Sections is accepted by the Issuer.

The Index Manager accepts responsibility for the KKR Sections as at the date of the Securities Note & Summary and to the best of the knowledge and belief of the Index Manager (which has taken all reasonable care to ensure that such is the case), the information contained in the KKR Sections is in accordance with the facts and does not omit anything likely to affect the import of such information. The Index Manager does not accept any liability (express or implied) in respect of the contents of this Securities Note & Summary other than the KKR Sections.

This Securities Note & Summary is to be read in conjunction with all documents which are deemed to be incorporated in this Securities Note & Summary by reference (see "Documents Incorporated by Reference" at page 9 below). This Securities Note & Summary shall be read and construed on the basis that such documents as are incorporated by reference form part of this Securities Note & Summary.

The Dealer has not independently verified the information contained in this Securities Note & Summary. Accordingly, no representation, warranty or undertaking, express or implied, is made and no responsibility or liability is accepted by the Dealer as to the accuracy or completeness of the information contained or incorporated in this Securities Note & Summary or any other information provided by the Issuer in connection with the Notes. The Dealer (in that capacity only) does not accept any liability in relation to the information contained or incorporated by reference in this Securities Note & Summary or any other information provided by the Issuer in connection with the Notes. References in this Securities Note & Summary to the Dealer are to it acting in such capacity and not in any other capacity.

No person is or has been authorised by the Issuer, the Index Manager or the Dealer to give any information or to make any representation not contained in or not consistent with this Securities Note & Summary or any other information supplied in connection with the Notes and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer, the Index Manager or the Dealer.

Neither this Securities Note & Summary nor any other information supplied in connection with the Notes (i) is intended to provide the basis of any credit or other evaluation or (ii) should be considered as a recommendation by the Issuer, the Index Manager or the Dealer that any recipient of this Securities Note & Summary or any other information supplied in connection with the Notes should purchase the Notes. Each potential investor contemplating purchasing any Notes should make its own independent investigation of the financial condition and affairs, and its own appraisal of the creditworthiness, of the Issuer. Neither this Securities Note & Summary nor any other information supplied in connection with the issue of the Notes constitutes an offer or invitation by or on behalf of the Issuer, the Index Manager or the Dealer to any person to subscribe for or to purchase any Notes.

Neither the delivery of this Securities Note & Summary nor the offering, sale or delivery of any Notes shall in any circumstances imply that the information contained in this Securities Note & Summary

3 concerning the Issuer or the Index Manager is correct at any time subsequent to the date hereof or that any other information supplied in connection with the Notes is correct as of any time subsequent to the date indicated in the document containing the same. Each of the Dealer and the Index Manager expressly does not undertake to review the financial condition or affairs of the Issuer during the life of the Notes or to advise any potential investor in the Notes or Noteholder of any information coming to their attention. Potential investors should review, inter alia, the most recently published documents incorporated by reference into this Securities Note & Summary when deciding whether or not to purchase any Notes.

The Notes are in bearer form and are subject to U.S. tax law requirements and may not be offered, sold or delivered within the United States or its possessions or to U.S. persons. Terms used in this paragraph have the meanings given to them by the Code and the regulations promulgated thereunder. The Notes have not been and will not be registered under the U.S. Securities Act, and may not be offered or sold in the United States or to, or for the benefit of, U.S. persons.

Each Note will bear the following legend:

ANY UNITED STATES PERSON (AS DEFINED IN THE INTERNAL REVENUE CODE OF THE UNITED STATES OF AMERICA) WHO HOLDS THIS OBLIGATION, DIRECTLY OR INDIRECTLY, WILL BE SUBJECT TO LIMITATIONS UNDER THE UNITED STATES INCOME TAX LAWS, INCLUDING THE LIMITATIONS PROVIDED IN SECTIONS 165(J) AND 1287(A) OF THE INTERNAL REVENUE CODE OF THE UNITED STATES OF AMERICA.

The Notes may only be offered for subscription in Hungary pursuant to the provisions of Act CXX of 2001 on the Capital Markets. The Notes may only be re-sold to persons in Hungary who have an existing direct personal or commercial relationship with the seller of the Notes or provided such resale does not otherwise breach the provisions of section 20 of Act CXX of 2001 on the Capital Markets.

This Securities Note & Summary does not constitute an offer to sell or the solicitation of an offer to buy any Notes in any jurisdiction to any person to whom it is unlawful to make the offer or solicitation in such jurisdiction. The distribution of this Securities Note & Summary and the offer or sale of Notes may be restricted by law in certain jurisdictions. The Issuer and the Dealer do not represent that this Securities Note & Summary may be lawfully distributed, or that any Notes may be lawfully offered, in compliance with any applicable registration or other requirements in any such jurisdiction, or pursuant to an exemption available thereunder, or assume any responsibility for facilitating any such distribution or offering. In particular, no action has been taken by the Issuer or the Dealer which would permit a public offering of any Notes in any jurisdiction other than each Member State of the European Economic Area which has implemented the Prospectus Directive as at the date of this Securities Note & Summary or distribution of this document in any jurisdiction where action for that purpose is required. Accordingly, no Notes may be offered or sold, directly or indirectly, and neither this Securities Note & Summary nor any advertisement or other offering material may be distributed or published in any jurisdiction, except under circumstances that will result in compliance with any applicable laws and regulations. Persons into whose possession this Securities Note & Summary or any Notes may come must inform themselves about, and observe, any such restrictions on the distribution of this Securities Note & Summary and the offering and sale of Notes. In particular, there are restrictions on the distribution of this Securities Note & Summary and the offer or sale of Notes in the United States and the European Economic Area (including the United Kingdom and France) (see "Subscription and Sale and Transfer and Selling Restrictions” at pages 173 to 180 (inclusive) of the Base Prospectus).

In making an investment decision, potential investors must rely on their own examination of the Issuer and the terms of the Notes being offered, including the merits and risks involved. The Notes have not been approved or disapproved by the U.S. Securities and Exchange Commission or any other securities commission or other regulatory authority in the United States, nor have the foregoing authorities approved this Securities Note & Summary or confirmed the accuracy or determined the adequacy of the information contained in this Securities Note & Summary. Any representation to the contrary is unlawful.

4 The Issuer may without notifying, or receiving the consent of, potential investors in the Notes or Noteholders, amend the Base Conditions (as defined in this Securities Note & Summary), the other Terms and Conditions of the Notes or any other content of this Securities Note & Summary to the extent required to obtain a listing on the Official List of the Luxembourg Stock Exchange and admission to trading on the Bourse de Luxembourg of the Luxembourg Stock Exchange provided that such changes are not materially prejudicial to the Noteholders. None of the Dealer, the Index Manager or the Issuer makes any representation to any investor in the Notes regarding the legality of its investment under any applicable laws. Any investor in the Notes should be able to bear the economic risk of an investment in the Notes for an indefinite period of time. Except as the context otherwise requires, all references to “KKR” are to Kohlberg Kravis Roberts & Co. L.P. and its subsidiaries. All references in this document to “U.S. dollars” and “U.S.$” refer to United States dollars and to “euro”, “Euro”, “EUR” and “€” refer to the currency introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty establishing the European Community, as amended.

5 NOTEHOLDER REPRESENTATIONS, WARRANTIES AND AGREEMENTS

Each Noteholder shall be deemed to make the following representations, warranties and agreements prior to its purchase of any Note:

(a) It is acting for its own account, and it has made its own independent decisions to invest in the Notes and as to whether the investment in the Notes is appropriate or proper for it based upon its own judgement and upon advice from such advisers as it has deemed necessary. It is not relying on any communication (written or oral) of the Issuer, the Index Manager or the Dealer, or any of their Affiliates, as investment advice or as a recommendation to invest in the Notes, it being understood that information and explanations related to the terms and conditions of the Notes shall not be considered to be investment advice or a recommendation to invest in the Notes. No communication (written or oral) received from the Issuer, the Index Manager or the Dealer shall be deemed to be an assurance or guarantee as to the expected results of the investment in the Notes.

(b) It is capable of assessing the merits of and understanding (on its own behalf or through independent professional advice), and understands and accepts, the terms and conditions and the risks of the investment in the Notes. It is also capable of assuming, and assumes, the risks of the investment in the Notes.

(c) None of the Issuer, the Index Manager or the Dealer is acting as a fiduciary for or adviser to it in respect of the investment by the Noteholder in the Notes.

(d) Neither it nor its affiliates or anyone acting on its behalf is any of the following, or will sell, offer to sell or transfer the Notes to any of the following, persons (each a “Prohibited Investor”):

(i) A person or entity subject to U.S. economic or trade sanctions administered by the Office of Foreign Assets Control, U.S. Department of Treasury (“OFAC”), including but not limited to any person or entity whose name appears on OFAC’s List of Specially Designated Nationals and Blocked Persons;

(ii) A person that, by virtue of its identity, location or type of account, is designated by the Secretary of the United States Treasury as posing a “Primary Money Laundering Concern” under 31 U.S.C. §5311A;

(iii) A person that appears on a list of known or suspected terrorists designated pursuant to the customer identification program regulations adopted under 31 U.S.C. §5318(l); and

(iv) A foreign shell bank (a bank without a physical presence in any country unless it is a regulated affiliate of a non-shell bank).

It agrees to promptly notify the Issuer of any change in information affecting this deemed representation and warranty. It acknowledges that, by law, the Issuer may be required to disclose the identity of it or its affiliates or any person acting on its behalf to OFAC. It acknowledges that if it, its affiliates or any person acting on its behalf is, or the Issuer reasonably believes them to be, a Prohibited Investor, the Issuer may be obligated to freeze their investment or their investment may be immediately redeemed by the Issuer, and they shall have no claim against the Issuer or any of its affiliates for any form of damages as a result of any aforementioned actions;

(e) It understands that the Notes have not been and will not be registered under the Securities Act and may not be offered or sold in the United States or to, or for the benefit of a U.S. person;

6 (f) It is not a U.S. Person (as defined in Regulation S of the Securities Act) or a United States person (as used in Rule 4.7 of the U.S. Commodity Futures Trading Commission);

(g) In purchasing or holding Notes or beneficial interests therein, it will not be, and will not be acting in an agency capacity investing the assets of, (i) an employee benefit plan within the meaning of Section 3(3) of ERISA, which plan is subject to title I of ERISA, (ii) a “plan” (as defined in Section 4975(e)(1) of the Code, subject to Section 4975 of the Code or any law or regulation that would cause the EUR Hedged Index, the Index or the underlying assets of the Index to be treated as assets of the investing entity and thereby subjecting the Issuer or the index manager to laws or regulations that are similar to the fiduciary responsibility or prohibited transaction provisions contained in title I of ERISA or section 4975 of the code or (iii) an entity whose underlying assets include plan assets by reason of any such plan’s investment in such entity (including without limitation, as applicable, an insurance company general account);

(h) It will not transfer the Note in the United States or to a U.S. Person or any person or entity described in the preceding clauses (i) to (iv) (inclusive);

(i) It is purchasing the Notes on a principal-to-principal basis; and

(k) It acknowledges that this Prospectus may be further modified at the sole discretion of the Issuer following the issue of the Notes for the purpose of the admission to trading on the Regulated Market and the listing on the Official List of the Luxembourg Stock Exchange of the Notes and that there is no assurance that such listing will be achieved. On the issue date of the Notes, no express or implied representation or warranty is given by the Issuer or the Dealer with respect any matter that is referred to in this Prospectus that subject to a subsequent modification or amendment for the purpose of the admission to trading on the Regulated Market and the listing on the Official List of the Luxembourg Stock Exchange of the Notes.

7 TABLE OF CONTENTS

Documents Incorporated by Reference ...... 9

Cross Reference List...... 10

Summary...... 11

Summary of the Issuer, Risk Factors and the Notes...... 11

Summary of the Indices...... 22

Summary of the Index Manager...... 30

Risk Factors ...... 37

Information about KKR ...... 66

Private Equity Valuations and Related Data...... 75

Index Description...... 77

Description of the Index Strategy Agreement...... 109

Description of the KKR Constituents...... 115

Description of the Cash Constituent ...... 130

Description of the FI Constituent and the Reference Bond Indices ...... 131

Terms and Conditions of the Notes...... 132

8 DOCUMENTS INCORPORATED BY REFERENCE

PUBLICATION

This Securities Note & Summary, together with the Registration Document of the Issuer, constitutes a prospectus for the purposes of Article 5 of the Prospectus Directive, as implemented by the relevant provisions of the EU member states, in connection with Regulation 809/2004 of the European Commission. The Prospectus is available, and has been published, in English. Any decision to invest in the Notes should be based on consideration of all the constituent parts of the Prospectus as a whole.

DOCUMENTS INCORPORATED BY REFERENCE

The provisions of the base prospectus dated 2 August 2007 issued by the Issuer in respect of the Programme and which constitutes a base prospectus as supplemented by the first supplement to the base prospectus dated 8 August 2007 (the “Base Prospectus”) and the interim financial statements (the “Interim Financial Statements”) for the nine (9) months ended 30 September 2007, which have previously been published and have been filed with the CSSF, for the purposes of the Prospectus Directive are incorporated into and form part of this Securities Note & Summary in their entirety. The Securities Note & Summary and the Registration Document must be read in conjunction with the Base Prospectus and full information on the Issuer and the offer of the Notes is only available on the basis of the combination of the Prospectus and the Base Prospectus.

Any statement contained in a document which is deemed to be incorporated by reference in this Securities Note & Summary shall be deemed to be modified or superseded for the purpose of this Securities Note & Summary to the extent that a statement contained in this Securities Note & Summary modifies or supersedes such earlier statement (whether expressly, by implication or otherwise). Any statement so modified or superseded shall not be deemed, except as so modified or superseded, to constitute a part of this Securities Note & Summary.

Copies of the Registration Document and of the documents incorporated by reference in this Securities Note & Summary can be obtained from the principal office in Luxembourg of Deutsche Bank Luxembourg S.A., the Deutsche Bank AG website at www.db.com and the Luxembourg Stock Exchange's website at www.bourse.lu. This Securities Note & Summary will also be published on the Luxembourg Stock Exchange's website at www.bourse.lu.

The Issuer will in the event of any significant new factor, material mistake or inaccuracy relating to information included in this Securities Note & Summary, which is capable of affecting the assessment of any Notes, prepare a supplement to the Prospectus.

Any information not listed in the “Cross Reference List” at page 10 below but included in the documents incorporated by reference is given for information purposes only.

9 CROSS REFERENCE LIST

Specific items contained in "Documents Incorporated by Reference"

Documents

(1) Base Prospectus

Page(s)

RISK FACTORS 18 to 28

FORM OF THE NOTES 33 to 36

TERMS AND CONDITIONS OF THE NOTES 67 to 162

SUBSCRIPTION AND SALE AND TRANSFER AND SELLING RESTRICTIONS 173 to 179

(2) First Supplement dated 8 August to the Base Prospectus

Page(s)

INFORMATION RELATING TO CHANGES IN RATINGS OF THE ISSUER 2

After the approval of the Registration Document the on 5 July 2007, the Issuer announced that Fitch Ratings Ltd had changed the Outlook in respect of its ratings regarding the Issuer from stable to positive. On 2 August 2007 the Issuer announced that Standard & Poor’s Ratings Services, a division of the McGraw-Hill Companies inc. (“S&P”) had upgraded the Issuer’s long term rating from AA- (the “Old S&P Rating”) to AA (the “New S&P Rating”). All references in the registration document to the Old S&P Rating shall be read as references to the New S&P Rating.

(3) Interim Financial Statements in respect of the nine months ended 30 September 2007

Page(s)

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 18

CONSOLIDATED STATEMENT OF INCOME 19

CONSOLIDATED STATEMENT OF RECOGNISED INCOME AND EXPENSES 20

CONSOLIDATED BALANCE SHEET 21

CONSOLIDATED STATEMENT OF CHANGES IN EQUITY 22

CONSOLIDATED STATEMENT OF CASH FLOWS 23

BASIS OF PREPARATION 24

IMPACT OF CHANGES IN ACCOUNTING PRINCIPLES 25

INFORMATION ON THE INCOME STATEMENT 51 to 53

INFORMATION ON THE BALANCE SHEET 54 to 56

The Interim Financial Statements of the Issuer in respect of the nine months ended 30 September 2007 are the most recently published quarterly financial information of the Issuer since the date of the Issuer’s last audited financial statements

10 SUMMARY

This Summary must be read as an introduction to the Prospectus and any decision to invest in the Notes should be based on a consideration of the Prospectus as a whole, including the documents incorporated by reference (see “Documents Incorporated by Reference” at page 9 above). Following the implementation of the relevant provisions of the Prospectus Directive in each Member State of the European Economic Area, no civil liability will attach to the Issuer in any such Member State in respect of this Summary, including any translation hereof, unless it is misleading, inaccurate or inconsistent when read together with the other parts of the Prospectus. Where a claim relating to information contained in the Prospectus is brought before a court in a Member State of the European Economic Area, the plaintiff may, under the national legislation of the Member State where the claim is brought, be required to bear the costs of translating the Prospectus before the legal proceedings are initiated.

Words and expressions used in this Summary but not otherwise defined shall have the meaning given them in "Terms and Conditions of the Notes" at pages 132 to 147 below and in the Index Rules at pages 80 to 108 below.

SUMMARY OF THE ISSUER, RISK FACTORS AND THE NOTES

Issuer: Deutsche Bank AG, London Branch

Information about the History and Development of the Bank Issuer and the Deutsche Bank Group: Deutsche Bank Aktiengesellschaft ("Deutsche Bank AG" or the "Bank") originated from the reunification of Norddeutsche Bank Aktiengesellschaft, Hamburg, Rheinisch-Westfälische Bank Aktiengesellschaft, Düsseldorf and Süddeutsche Bank Aktiengesellschaft, Munich; pursuant to the Law on the Regional Scope of Credit Institutions, these had been disincorporated in 1952 from Deutsche Bank AG which was founded in 1870. The merger and the name were entered in the Commercial Register of the District Court Frankfurt am Main on 2 May 1957. Deutsche Bank AG is a banking institution and a stock corporation incorporated under the laws of Germany under registration number HRB 30 000. The Bank has its registered office in Frankfurt am Main, Germany. It maintains its head office at Taunusanlage 12, 60325 Frankfurt am Main (telephone: +49-69-910-00) and branch offices in Germany and abroad including in London, New York, Sydney, Tokyo and an Asia-Pacific Head Office in Singapore which serve as hubs for its operations in the respective regions.

The Bank is the parent company of a group consisting of banks, capital market companies, fund management companies, a property finance company, instalment financing companies, research and consultancy companies and other domestic and foreign companies (the "Deutsche Bank Group").

The objects of Deutsche Bank AG, as laid down in its Articles of Association, include the transaction of all kinds of banking business, the provision of financial and other services and the promotion of international economic relations. The Bank may realise these objectives itself or through subsidiaries and affiliated companies. To the extent permitted by law, the Bank is entitled to transact all business and to take all steps which appear likely to promote the objectives of the Bank, in particular: to acquire and dispose of real estate, to establish branches at home and abroad, to acquire, administer and dispose of participations in other enterprises, and to conclude enterprise agreements.

11 Deutsche Bank AG operates through three group divisions:

(1) The Corporate and Investment Bank comprises the following Corporate Divisions:

§ Corporate Banking & Securities comprises the following Business Divisions:

§ Global Markets comprises all, sales, trading and research in bonds, commodities, equities, equity-linked products, exchange traded and OTC derivatives, foreign exchange, money market instruments, asset- and mortgage-backed securities and hybrid products. Global Markets also covers debt and equity origination, jointly with Corporate Finance.

§ Corporate Finance comprises M&A advisory, Asset Finance & Leasing, Commercial Real Estate, Debt Capital Markets (“DCM”), Equity Capital Markets (“ECM”) and corporate lending businesses. Both ECM and DCM are run in collaboration with Global Markets.

§ Global Transaction Banking comprises Cash Management, including Clearing; Trust & Securities Services, including Domestic Custody Services; and Trade Finance, which includes syndicated lending and structured trade financing products.

(2) Private Clients and Asset Management comprises the following Corporate Divisions:

§ Private & Business Clients serves private individuals and business clients with investment management and traditional banking services, including loans, deposits, payments and business banking.

§ Asset and Wealth Management comprises the following Business Divisions:

§ Asset Management serves retail clients with a full range of mutual funds products and institutional clients globally with a fully-integrated offering, from traditional asset management products through to high-value products including absolute return strategies and real estate asset management.

§ Private Wealth Management caters to wealthy individuals and families throughout the world.

(3) Corporate Investments.

Deutsche Bank AG, London Branch

The Notes will be issued by Deutsche Bank AG, London Branch. On 12 January 1973, Deutsche Bank AG filed in the United Kingdom the documents required pursuant to section 407 of the Companies Act 1948 to establish a place of business within Great Britain. On 14 January 1993, Deutsche Bank AG registered under Schedule 21A to the Companies Act 1985 as having

12 established a branch (Registration No. BR000005) in England and Wales. Deutsche Bank AG, London Branch is an authorised person for the purposes of section 19 of the Financial Services and Markets Act 2000. In the United Kingdom, it conducts wholesale banking business and through its Private Wealth Management division, it provides holistic wealth management advice and integrated financial solutions for wealthy individuals, their families and selected institutions.

Risk Factors: Potential investors should consider all information provided in the Registration Document referred to in "Documents Incorporated by Reference" at page 9 above and consult with their own professional advisers if they consider it necessary. The following describes risk factors relating to the Issuer’s ability to meet its obligations under the Notes. An investment in the Notes issued by Deutsche Bank AG, London Branch bears the risk that Deutsche Bank is not able to fulfil its obligations created by the issuance of Notes on the relevant due date. Ratings Ratings assigned to the Issuer by certain independent rating agencies are an indicator of the Issuer’s ability to meet its obligations in a timely manner. The lower the assigned rating is on the respective scale the higher the respective rating agency assesses the risk that obligations will not be met at all or not be met in a timely manner. As of the publication date of this Securities Note & Summary, the following ratings were assigned to Deutsche Bank AG:

Rating Agency Long-term Short- Outlook term Standard & Poor's Ratings AA A-1+ Positive Services, a Division of The McGraw-Hill Companies, Inc. Moody's Investors Service Aa1 P-1 Stable Limited Fitch Ratings Ltd. AA- F1+ Stable

After the approval of the Registration Document the Issuer announced on 14 May 2007 that Moody's Investors Service Limited has upgraded the Issuer's long-term rating from Aa3 (the "Old Moody's Rating") to Aa1 (the "New Moody's Rating"). All references in the Registration Document to the Old Moody's Rating shall be read as references to the New Moody's Rating.

Rating agencies may change their ratings at short notice. A rating's change may affect the price of securities outstanding. A rating is not a recommendation to buy, sell or hold any Notes and may be subject to suspension, change or withdrawal at any time by the assigning rating agency.

Rating of Subordinated Obligations

If Deutsche Bank AG enters into subordinated obligations these obligations may be rated lower because, in the case of an insolvency or liquidation of the Bank, the claims and interest claims resulting from these obligations are subordinate to those claims of creditors of the Bank that are not 13 subordinated. Deutsche Bank AG will disclose such ratings of subordinated obligations (if any).

Other factors that may affect the Issuer's ability to fulfil its obligations under Notes.

If a court in the jurisdiction of incorporation of the Issuer institutes bankruptcy or composition proceedings to avert bankruptcy or similar proceedings against the assets of the Issuer, or the Issuer applies for the institution of such proceedings concerning its assets, payments of interest, principal or other amounts on or in connection with the Notes may be limited and/or may be substantially delayed.

In addition, there are certain factors that are material for the purpose of assessing the market risks associated with the Notes (see “Risk Factors” at pages 37 to 65 below).

The Notes: 104% Principal Protected Notes due 2021 linked to the KKR Protected Private Equity EUR Hedged Index (the “EUR Hedged Index”).

The EUR Hedged Index: The EUR Hedged Index comprises exposure to (i) the FX Swap and (ii) the KKR Protected Private Equity Index (the “Index”). The return objective of the Notes is to track the performance of the Index and to convert that performance into EUR whilst providing principal protection in EUR on the terms set out below.

Index: The KKR Protected Private Equity Index as described below in the Index Rules and under “Description of the KKR Constituents” at pages 115 to 129 below, “Description of the Cash Constituent” at page 130 below and “Description of the FI Constituent and the Reference Bond Indices” at page 131 below.

Denominations of EUR50,000 the Notes:

Arranger: Deutsche Bank AG, London Branch

Dealer: Deutsche Bank AG, London Branch

Issuing and Deutsche Bank AG, London Branch Principal Paying Agent:

Paying Agent: Deutsche Bank Luxembourg S.A.

Distribution: The Notes will be distributed by way of private placement on a non- syndicated basis.

Form of Notes: Medium term note, issued in bearer form as described in “Form of Notes” at Condition 34(a) below.

Issue Price: The Notes will be issued on a fully-paid basis and at an issue price of 100% of their Principal Balance.

“Principal Balance” means, in respect of a Note, the initial amount subscribed for the Note.

14 Interest Amount: If the Index Manager determines that an Index Income Distribution (as defined in the Index Rules) shall be made, then interest shall be payable on each Note on the Interest Payment Date in respect thereof in an amount equal to the Interest Amount in respect of such Note on that Interest Payment Date.

The Interest Amount is payable in respect of each EUR50,000 of the Principal Balance of each Note on each Interest Payment Date.

The “Interest Amount” of a Note in respect of any Interest Payment Date will be an amount in EUR equal to the Index Income Distribution (calculated on an after-tax basis) in respect of the Index Income Distribution Date(s) (as defined in the Index Rules) falling prior to such Interest Payment Date in respect of which interest is as yet unpaid converted into EUR at the EUR/USD Spot Rate prevailing on the relevant Index Income Distribution Date.

Whether and when there will be an Interest Payment Date in respect of the Index will be determined by the Index Manager in accordance with Clause 2.7 (Index Income Distributions) of the Index Rules.

Each day which is two (2) Business Days following an Index Income Distribution Date will be an “Interest Payment Date” in respect of a Note which is outstanding on such date.

Scheduled Maturity: 30 November 2021 (subject, in respect of a Note, to any applicable Extension Period), subject as follows.

On the Scheduled Maturity Date, in respect of each Note which is then to be redeemed, the amount payable by the Issuer will be the product of (a) the Principal Balance of the Note and (b) the higher of (i) the Protected Amount and (ii) NAVf/ NAV0 (the “Redemption Amount”),

where:

“NAV0”: The EUR Hedged Index Value on the Trade Date;

“NAVf”: The EUR Hedged Index Value calculated with respect to the Index Value as of the Accounting Period End Date immediately preceding the Scheduled Maturity Date provided that if following the Scheduled Maturity Date no Index Linked Securities are scheduled to remain outstanding, NAVf shall be an amount equal to the EUR Hedged Index Value calculated with respect to the Index Value prevailing on the occurrence of the Optional Allocation Event relating to such Scheduled Maturity Date.

For the purposes of this provision, “EUR Hedged Index Value” means:

(a) on the Trade Date, 100,000; and

(b) in respect of the calculation of the Redemption Amount or the Notional Realised Amount, the Index Value as of the specified date calculated as (i) the sum of (A) the Notional Account Value converted into EUR at the EUR/USD Spot Rate prevailing on the Redemption Determination Date plus (B) the Mark to Market Value of the FX Swap on the Redemption Determination Date, divided by (ii) EUR 1, as determined by the Issuer; and

15 (c) in respect of the calculation of the Realised Redemption Amount, the Index Value as of the specified date calculated as (i) the Notional Account Value converted into EUR at the EUR/USD Spot Rate prevailing on the occurrence of the Optional Allocation Event, divided by (ii) EUR 1, as determined by the Issuer.

“EUR/USD Spot Rate” means the spot foreign exchange rate to sell USD and buy EUR, which appears on Reuters page ECB37 (or such other page as may replace that page on that service or such other service for the purposes of displaying such exchange rates) or if such page is not available for that purpose, the rate as determined by the Issuer in its discretion by references to such source(s) as it deems appropriate) at 11 a.m. (London time) on the day of calculation, as determined by the Issuer.

“FX Swap” means a hypothetical USD/EUR cross-currency swap transaction entered into between the EUR Hedged Index (as hypothetical counterparty, “Counterparty A”) and a notional counterparty with a credit standing equivalent to the Issuer (“Counterparty B”) on the basis of a 1992 ISDA Master Agreement together with a confirmation specifying:

(a) the 2000 ISDA Definitions as applicable;

(b) an “Effective Date” that is the issue date of the Notes;

(c) a “Final Exchange” whereby on the relevant Redemption Determination Date Counterparty B pays to Counterparty A in EUR the product of (i) the relevant Protected Amount, and (ii) EUR100,000, and Counterparty A pays to Counterparty B in USD the product of (i) the Protected Amount, (ii) EUR100,000, and (iii) the Forward EUR/USD FX Rate

“Forward EUR/USD FX Rate” means 1.5146.

“Mark to Market Value of the FX Swap” means, in respect of the date for which such value is determined, an amount in EUR, equal to the mark-to market value of the FX Swap as determined by the Issuer (acting in a commercially reasonable manner) where any “in-the-money” position to Counterparty A (as defined in the terms of the FX Swap) under the FX Swap is expressed as a positive amount and vice versa.

“Protected Amount” means in respect of the Scheduled Maturity Date, 104%.

“Trade Date” means 12 December 2007.

16 product of the Principal Balance of the Note and NAVf/ NAV0 would produce an amount greater than the Actual Payment then the Redemption Excess (if any, determined as set out below) shall be payable two (2) Business Days following the occurrence of the Optional Allocation Event relating to such Scheduled Maturity Date (such date being the “Deferred Payment Date”) falling not more than ten (10) years after the Scheduled Maturity Date after which date no further amount shall be payable to any Noteholder.

The Issuer shall have no obligation to notify the Noteholders of the Redemption Excess prior to the Deferred Payment Date.

The “Redemption Excess” in relation to a Note shall be determined on the day which is two (2) Business Days prior to the Deferred Payment Date and shall equal the excess (if any) of the Realised Redemption Amount over the sum of the Actual Payment and the applicable “Notional Interest”, being notional interest on the Net Unrealised Amount at a rate equal to the overnight interest rate of EURIBOR (as determined by the Issuer) plus a spread equal to 0.20% per annum, for the period from the Scheduled Maturity Date to the Deferred Payment Date (inclusive),

where:

“Net Unrealised Amount” means, in respect of a Note, the amount equal to the Actual Payment in respect of that Note less the Notional Realised Amount.

“Notional Realised Amount” means the EUR Hedged Index Value attributable to the Fund Units of the Cash Constituent recorded in the Notional Account on the Redemption Determination Date.

“Realised Redemption Amount” means the sum of (a) the Notional Realised Amount and (b) the Post Scheduled Maturity Date Notional Realised Amount.

“Post Scheduled Maturity Date Notional Realised Amount” means, in respect of a Note, the EUR Hedged Index Value attributable to the Fund Units of the Cash Constituent recorded in the Notional Account on the date the Optional Allocation Event relating to the Scheduled Maturity Date occurs excluding any Fund Units of the Cash Constituent that comprised the Notional Realised Amount.

Optional Early On each of 30 November 2017, 30 November 2018, 30 November 2019 and Redemption: 30 November 2020 (each an “Optional Early Redemption Date”), up to 20% of the aggregate Principal Balance of the Notes as at the Issue Date (the “Threshold”) may be redeemed at the option of the holders thereof (an “Optional Early Redemption”), provided that the holders thereof deliver to the Issuer no less than six (6) months and five (5) Business Days’ and no more than nine (9) months’ prior written notice. If the Principal Balance of the Notes tendered for redemption exceeds the Threshold, the Optional Early Redemption will be made pro rata among the relevant holders of the Notes which are tendered up to the Threshold. Any Notes not tendered for redemption in an Optional Early Redemption will continue to be outstanding following the applicable Optional Early Redemption Date and thereafter may be tendered for redemption on a subsequent Optional Early Redemption Date subject to application of the Threshold.

17 On any Optional Early Redemption Date, in respect of each Note which is then to be redeemed, the amount payable by the Issuer will be the product of (a) the Principal Balance of the Note and (b) NAVoer/ NAV0 (the “Optional Early Redemption Amount”), where:

“NAV0”: The EUR Hedged Index Value on the Trade Date; and

“NAVoer”: The EUR Hedged Index Value calculated with respect to the Index Value as of the Accounting Period End Date immediately preceding such Optional Early Redemption Date.

For the purposes of this provision, “EUR Hedged Index Value” means:

(a) on the Trade Date, 100,000 and,

(b) in relation to the calculation of the Optional Early Redemption Amount and Optional Notional Realised Amount, the Index Value as of the specified date calculated as (i) the sum of (A) the Notional Account Value converted into EUR at the EUR/USD Spot Rate prevailing on the Optional Redemption Determination Date plus (B) the Mark to Market Value of the FX Swap on the Optional Redemption Determination Date, divided by (ii) EUR 1, as determined by the Issuer; and

(c) in respect of the calculation of the Realised Optional Redemption Amount, the Index Value as of the specified date calculated as (i) the Notional Account Value converted into EUR at the EUR/USD Spot Rate prevailing on the occurrence of the Optional Allocation Event with respect to such redemption, divided by (ii) EUR 1, as determined by the Issuer.

“Optional Redemption Determination Date” means, in respect of an Optional Early Redemption Date, the date which is two (2) Business Days prior to such Optional Early Redemption Date, as applicable, provided that if the Optional Allocation Event relating to such Optional Early Redemption Date has not occurred before the Redemption Determination Date immediately preceding the relevant Optional Early Redemption Date: (a) the amount payable on the relevant Optional Early Redemption Date in respect of each Note to be redeemed shall be an amount (the “Optional Actual Payment”) equal to the Optional Notional Realised Amount (as defined below); and (b) if the product of the Principal Balance of the Note and NAVoer/ NAV0 would produce an amount greater than the Optional Actual Payment the relevant Optional Redemption Excess (determined as set out below) shall be payable two (2) Business Days following the occurrence of the Optional Allocation Event relating to such Optional Early Redemption Date (such date being the “Deferred Optional Redemption Payment Date”) falling not more than ten (10) years after the relevant Optional Early Redemption Date.

The Issuer shall have no obligation to notify the Noteholders of the Optional Redemption Excess prior to the Deferred Optional Redemption Payment Date.

The “Optional Redemption Excess” in relation to a Note shall be determined on the day which is two (2) Business Days prior to the Deferred

18 Optional Redemption Payment Date and shall equal the excess (if any) of the Realised Optional Early Redemption Amount over the sum of the Optional Actual Payment and the applicable “Notional Interest”, being notional interest on the Optional Net Unrealised Amount at a rate equal to the overnight interest rate of EURIBOR (as determined by the Issuer) plus a spread equal to 0.20% per annum, for the period from the Optional Early Redemption Date to the Deferred Optional Redemption Payment Date (inclusive),

where:

“Optional Net Unrealised Amount” means, in respect of a Note, the amount equal to the Optional Actual Payment in respect of that Note less the Optional Notional Realised Amount; and

“Optional Notional Realised Amount” means the EUR Hedged Index Value attributable to the Fund Units of the Cash Constituent recorded in the Notional Account on the Optional Redemption Determination Date.

“Realised Optional Early Redemption Amount” means the sum of (a) the Optional Notional Realised Amount and (b) the Post Optional Redemption Date Notional Realised Amount.

“Post Optional Redemption Date Notional Realised Amount” means, in respect of a Note, the EUR Hedged Index Value attributable to the Fund Units of the Cash Constituent recorded in the Notional Account on the date the Optional Allocation Event relating to such redemption occurs excluding any Fund Units of the Cash Constituent that comprised the Optional Notional Realised Amount.

Mandatory Early The Notes are subject to early redemption in respect of illegality pursuant to Redemption: Base Condition 7(e) (Illegality), following an event of default pursuant to Base Condition 13 (Events of Default) or if a Mandatory Early Redemption Event occurs and the Issuer gives notice that the Notes are to be redeemed.

Redemption following If a Mandatory Early Redemption Event has occurred and is continuing, the occurrence of a Issuer may by not less than five (5) Business Days’ notice to the Mandatory Early Noteholders, in accordance with Base Condition 19 (Notices), require that all Redemption Event: (and not some only) of the Notes be redeemed at their Early Redemption Amount on the date specified in, or determined in accordance with procedures specified in, the notice. Notwithstanding anything to the contrary in the terms of the Notes, a Mandatory Early Redemption Event will not occur due solely to the poor performance or underperformance of any Index Constituents.

The notice specifying that the Notes be redeemed may specify a particular date for redemption or may provide that the Notes are to be redeemed on the second Business Day following the date on which the Issuer gives the notice to the Noteholders, in accordance with Base Condition 19 (Notices), that it has unwound its hedging arrangements with respect to the Notes.

The “Early Redemption Amount” in respect of a Note payable pursuant to Base Condition 7(e) (Illegality), Base Condition 13 (Events of Default) or following a Mandatory Early Redemption Event shall be determined by the Calculation Agent as the amount which represents the fair economic value of such Note immediately prior to the date on which the Note becomes 19 redeemable less the proportionate cost to the Issuer and/or its Affiliates of unwinding any underlying and/or related hedging and funding arrangements in respect of the Note. The fair economic value of a Note will be a pro-rata share of the liquidation value of the Issuer’s hedge and for the purposes of determining the fair economic value of such Note, no account shall be taken of the financial condition of the Issuer, which shall be presumed to be able to perform fully its obligations in respect of the Notes.

Extension Option: The maturity of each Note may be extended beyond the Scheduled Maturity Date for an additional period of up to ten (10) years (the “Extension Period”) on such terms as the Issuer may offer provided that the holder of such Note delivers to the Issuer a written notice not less than six (6) months and five (5) Business Days prior to the Scheduled Maturity Date. In any event, there shall be no principal protection in respect of the Notes during the Extension Period.

Taxation: Principal and Interest Amounts in respect of the Notes will be payable by the Issuer subject to withholding or deduction for or on account of withholding taxes as provided in Base Condition 12(b) (No Gross-Up). In the event that any deduction is made, the Issuer will not be required to pay additional amounts to cover the amounts so deducted.

Negative Pledge: The terms of the Notes will not contain a negative pledge provision.

Cross Default: The terms of the Notes will not contain a cross default provision.

Status of the Notes: The Notes constitute direct, unconditional, unsubordinated and unsecured obligations of the Issuer and will at all times rank pari passu among themselves and at least pari passu with all other present and future unsecured outstanding obligations of the Issuer, save for such obligations as may be preferred by provisions of law that are both mandatory and of general application.

Substitution of the The Issuer is entitled, subject to the Terms and Conditions of the Notes, to Issuer: substitute any other company as principal debtor in respect of all obligations arising from or in connection with the Notes or to change the branch through which it is acting for the purpose of the Notes. Upon any such substitution of the Issuer or branch, the Terms and Conditions of the Notes will be amended in all consequential respects.

Listing and admission to An application has been made in accordance with the Loi relative aux trading: Prospectus pour valeurs mobilières which implements Directive 2003/71/EC of the European Parliament and the Council of 4 November 2003 into Luxembourg law for the Notes to be admitted to trading on the Luxembourg Stock Exchange's regulated market and to be listed on the Official List of the Luxembourg Stock Exchange.

The Issuer will use its reasonable efforts to ensure listing of the Notes on the Official List of the Luxembourg Stock Exchange although there is no assurance that such listing will be achieved.

Clearing Systems: The Notes are expected to clear and settle through the book-entry facilities of Euroclear and Clearstream, Luxembourg.

Governing Law: The Notes are governed by, and shall be construed in accordance with, English law.

20 Selling Restrictions: There are restrictions on the offer, sale and transfer of the Notes in the United States, the European Economic Area (including the United Kingdom and France) and such other jurisdictions as may be required in connection with the offering and sale of the Notes (see pages 173 to 180 inclusive of the Base Prospectus).

21 SUMMARY OF THE INDICES

The KKR Protected Private Equity EUR Hedged Index EUR Hedged Index The KKR Protected Private Equity EUR Hedged Index (the “EUR Hedged Index”) is an index established by Deutsche Bank AG London pursuant to the terms of the Notes in order to provide exposure to (i) the FX Swap and (ii) the KKR Private Equity Index (the “Index”). The notional FX Swap will help ensure that at the Redemption Determination Date immediately preceding the Scheduled Maturity Date the value of the KKR Protected Private Equity EUR Hedged Index is equal to at least EUR 104,000 and accordingly the foreign exchange risk of the principal amount of each Note shall be reduced at maturity. However, any upside in USD from the exposure to the underlying KKR Protected Private Equity Index shall be subject to spot foreign exchange rate risk at the EUR/USD Spot Rate as reflected in the EUR Hedged Index Value. FX Swap The EUR Hedged Index (as hypothetical counterparty, “Counterparty A”) notionally comprises an FX Swap contract with a notional counterparty with a credit standing equivalent to the Issuer (“Counterparty B”). Under the terms of the FX Swap a “Final Exchange” is provided for whereby on the relevant Redemption Determination Date, Counterparty B pays to Counterparty A in EUR the product of (i) the relevant Protected Amount, and (ii) EUR100,000, and Counterparty A pays to Counterparty B in USD the product of (i) the Protected Amount, (ii) EUR100,000, and (iii) the Forward EUR/USD FX Rate. “Forward EUR/USD FX Rate” means 1.5146. Trade Date 12 December 2007 EUR Hedged Index Value On the Trade Date, EUR Hedged Index Value is EUR100,000. The Index Value at which the EUR Hedged Index has bought in to the Index on the Trade Date is U.S.$100,845.60 Termination of the EUR The EUR Hedged Index is dependent on and will terminate simultaneously Hedged Index with the Index. If the Index Value cannot be determined for any reason it will not be possible to determine the EUR Hedged Index Value.

The KKR Protected Private Equity Index Index Strategy Agreement: Deutsche Bank AG, London Branch, as Index Sponsor will appoint KKR, as Index Manager, to manage the Index and Deutsche Bank AG, London Branch, as Index Administrator to administer the Index pursuant to the terms of an Index Strategy Agreement (or “ISA”). (See “Description of the Index Strategy Agreement” at pages 109 to 114 below) Index Rules: The Index Strategy Agreement sets out the Index Rules, which govern the Index. (See the Index Rules at pages 80 to 108 below) The Index: The Index is determined on the basis that an initial notional investment of

22 U.S.$100,000 is made in the Index Constituents. Notional Account: The Index Manager will maintain a Notional Account in which the Index Manager will record notional investments in the Index Constituents and all credits, debits and other adjustments relating thereto. Notional Account Value: On the Index Start Date, the Notional Account Value was equal to U.S.$100,000 and the Index Value will initially be equal to 100,000. From and after the Index Start Date, increases or decreases in the Notional Account Value will result in corresponding increases or decreases in the Index Value. The value of the Notional Account, being the Notional Account Value, will be calculated by the Index Administrator and recorded in U.S. dollars in accordance with the Index Rules. As of a specified date, the Notional Account Value shall be equal to the sum of the KKR Notional Value (as defined in the Index Rules) plus the FI Notional Value (as defined in the Index Rules) plus the Cash Notional Value (as defined in the Index Rules), and the value of the Index, being the Index Value, shall be equal to the Notional Account Value divided by U.S.$1.00. Index Start Date: 30 November 2007. Fund Units: Each notional investment in an Index Constituent will consist of a notional investment in one or more interests in the Index Constituent. Unit Value: Each Fund Unit held in the Notional Account will have a value determined in accordance with the Index Rules. A notional investment in an Index Constituent may include an investment in a fraction of a Fund Unit. A fractional Fund Unit held in the Notional Account will be rounded to five decimal places with 0.000005 being rounded up. Index Constituents on the Index Start Date: Index Weighting as Unadjusted soon as reasonably Weighting on Index Constituents possible Index Start Date (%) (%) KKR Constituents KKR North American Co-Invest Fund I L.P. 4 0 KKR North American Co-Invest Fund II L.P. 0 0 KKR European Co-Invest Fund I L.P. 3 0 KKR European Co-Invest Fund II 0 0 KKR Asian Co-Invest Fund I 0 0 KKR Asian Co-Invest Fund II 0 0 KPE 33 0 KKR Alternative Investment Fund I L.P. 15 0 KKR Alternative Investment Fund II L.P. 15 0 Total KKR Constituents 70 0 FI Constituent 30 30 Cash Constituent 0 70 Index Total 100 100

23 KKR Constituents: The investment funds identified as KKR Constituents above and any Additional KKR Constituents that are from time to time designated as KKR Constituents. Additional KKR The Index Manager may, without the consent of any person, designate any Constituents: investment fund that is raised, managed, advised or sponsored by KKR or any of its Affiliates (individually or together with one or more other Persons) as an Additional KKR Constituent if (i) the fund is a Qualifying Fund; (ii) the notional capital commitment or capital contribution to be made to the fund from the Notional Account is denominated in U.S. dollars; (iii) the making of the initial capital commitment or capital contribution to the fund would be permitted as a Voluntary Reallocation (as defined in the Index Rules) under the Index Rules; and (iv) the Index Manager notifies the Index Administrator in writing of the designation of the fund as an Additional KKR Constituent at least three (3) Business Days prior to such designation. In addition, without limiting the foregoing, the Index Manager may designate any other investment fund that is raised, managed, advised or sponsored by KKR or any of its Affiliates (individually or together with one or more other Persons) as an Additional KKR Constituent with the prior written consent of the Index Administrator. Qualifying Fund: A Qualifying Fund means (i) a Qualifying PE Fund or (ii) an investment fund that has terms that are identical in all material respects to those of an existing KKR Constituent and that was formed to invest alongside of, acquire the assets of or act as the successor to such existing KKR Constituent. Qualifying PE Fund: A Qualifying PE Funds means (i) any investment funds that are formed to engage in management buyouts and build ups and growth equity investments (typically involving a controlling or other significant equity interest) and that have terms governing the types of geographies and instruments in which the fund is permitted to invest that are substantially the same as those of one or more other Qualifying PE Funds existing as of the Index Start Date and (ii) the KKR Millennium Fund, the KKR 2006 Fund, the KKR European Fund, the KKR European Fund II, the KKR European Fund III and the KKR Asian Fund; provided that if the annual management fee that is payable by any such fund is greater than 1.5% of the fund's net asset value as of the time the management fee is calculated, such fund will be a Qualifying PE Fund only if a majority of the capital committed to such fund (excluding any capital committed by the general partner) consists of capital commitments of persons who are not affiliates of the Index Manager. FI Constituent: The FI Constituent shall consist of a notional investment in the Fund Units of a Reference Bond Index selected by the Index Administrator on each Accounting Period End Date such that the FI Duration (as defined in the Index Rules) of the Reference Bond Index (as defined in the Index Rules) as of such date is closest to the Zero Bond Duration (as defined in the Index Rules) as of such date. If the applicable Reference Bond Index is no longer published by the International Index Company (as defined in the Index Rules) or the sponsor alters the way in which such index is calculated, the Index Administrator shall select a substitute index that is (i) reasonably comparable to the relevant Reference Bond Index before any such change and (ii) reasonably acceptable to the Index Manager.

24 Cash Constituent: Fund Units of the Cash Constituent shall consist of interests in the equity or capital of the Cash Constituent that entitle their holders to share in the residual assets of the Cash Constituent after all liabilities of the Cash Constituent have been discharged. Cash Fund Units shall be held in the Notional Account in order to reflect notional proceeds received from (x) notional disposals of Fund Units held in the Notional Account, (y) Distributions (as defined in the Index Rules) notionally received in respect of Fund Units held in the Notional Account and/or (z) Index Adjustments, in each case, to the extent that such notional amounts are not concurrently used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) Index Adjustments (as each such term is defined in the Index Rules). For the avoidance of doubt, notional Cash Investments may also be held within a KKR Constituent and form part of the Constituent Notional Value of the KKR Constituent.

Index Adjustments: The Index Manager, the Index Administrator and the Index Sponsor may from time to time agree in writing to make certain adjustments to the Notional Account Value: (a) to notionally calculate carried interests and incentive distributions from the KKR Constituents after netting profits and losses across one or more groups of KKR Constituents (which could notionally reduce the amount of carried interest or incentive distributions allocated to one or more other Persons by the KKR Constituents and thereby increase the Notional Account Value); (b) to notionally reflect (i) the granting of a notional carried interest or incentive distribution right to the Index Manager with respect to net profits, if any, resulting from a notional acquisition of Fund Unit at a discount relative to book value or a liquidation, sale or transfer of a Fund Unit at a premium relative to book value and/or (ii) such other items of income, gain, expense, tax and/or loss and such other assets and/or liabilities as would be recognised by a Hypothetical Investor (as defined in the Index Rules) in connection with a direct or indirect investment in Fund Units held in the Notional Account to the extent such items are not otherwise reflected in the Notional Account Value (see further “Index Adjustments” at pages 126 to 128 below). Disruption Events: If an Index Manager Disruption Event occurs, the Index Manager may determine whether to postpone, suspend or cease determining and notifying the Index Administrator of the KKR Notional Value, the Cash Notional Value and the amounts and allocations of Index Adjustments.

If an Index Administrator Disruption Event occurs, the Index Administrator may determine whether to postpone, suspend or cease determining and notifying the Index Manager of the FI Notional Value, the Notional Account Value and the Index Value and to publish the Notional Account Value and the Index Value.

If such postponement, suspension or cessation exceeds a period of three months, the other party shall appoint a Person reasonably acceptable to the party affected by the disruption event to make the relevant determinations. Index Income Distributions: The Index Manager may elect to cause an Index Income Distribution to be distributed from the Notional Account provided that (i) the election to make the Index Income Distribution is made on or within five Business Days of a

25 Determination Date, (ii) the Distance as of the immediately preceding Accounting Period End Date would have been at least 60% on a pro forma basis giving effect to the Index Income Distribution as if the Index Income Distribution had been made on such Accounting Period End Date and (iii) the amount of the Index Income Distribution would not exceed the Maximum Distributable Amount. Maximum Distributable An amount equal to the product of (i) U.S.$100,000 multiplied by (ii) the Amount: greater of (x) 10% and (y) the Distance as of the immediately preceding Accounting Period End Date minus 60%. Management of the Index: The Index Manager will manage the Index with the objective of providing exposure to the KKR Constituents, the FI Constituent and a Cash Constituent. The Index will be managed by the Index Manager and administered by the Index Administrator pursuant to the Index Rules and under the terms of the ISA with the objective of achieving, but not guaranteeing, superior alpha returns from KKR-sponsored investments while preserving capital through dynamically adjusted exposure to the FI Constituent. Accounting Period: Each period of three months ending on 31 March, 30 June, 30 September or 31 December, except that the first Accounting Period shall commence on the Index Start Date and shall end on 31 March 2008. Accounting Period End The last day of an Accounting Period. Date: Index Weighting: As of a specified date, the Index Weighting of an Index Constituent shall be an amount, expressed as a percentage, equal to the Attributable Constituent Value (as defined in the Index Rules) of the Index Constituent divided by the Notional Account Value. Maximum Weighting The Maximum Index Weightings of the Initial KKR Constituents are set out Criteria: in the table below.

Maximum Index KKR Constituents Weighting KKR North American Co-Invest Fund I L.P. 20%/35%* KKR North American Co-Invest Fund II L.P. 20%/35%* KKR European Co-Invest Fund I L.P. 20%/35%* KKR European Co-Invest Fund II L.P. 20%/35%* KKR Asian Co-Invest Fund I L.P. 20%/35%* KKR Asian Co-Invest Fund II L.P. 20%/35%* KPE 20%/35%* KKR Alternative Investment Fund I L.P. 20%/35%* KKR Alternative Investment Fund II L.P. 20%/35%* * At any time, only one KKR Constituent, as selected by the Index Manager, may have a Maximum Index Weighting of 35%. The Maximum Index Weighting of each other KKR Constituent shall be limited to 20%. Diversification Criteria: As of any Accounting Period End Date, the sum of the Illiquid Index Weightings of all KKR Constituents whose Fund Units are then held in the Notional Account (other than the KKR Alternative Investment Funds) may

26 not exceed the applicable percentage set forth in the table below.

Maximum Permitted Distance Illiquid Index Weighting 50% 30% > than 50% and 60% 35% > than 60% and 65% 40% > 65% 45%

Weighting Requirements for As of any Accounting Period End Date, the sum of the Index Weightings of KKR Alternative Investment all KKR Alternative Investment Funds whose Fund Units are then held in Funds: the Notional Account may not be less than 15% nor more than the applicable percentage set forth in the table below, which percentage shall be selected by the Index Manager by reference to the length of time from such Accounting Period End Date until the commencement of the Index Extension Period.

Maximum Aggregate Index Weightings of KKR Alternative Time to Index Extension Period Investment Funds < 12 years 30% < 12 years and > 8 years 40% < 8 years and > 5 years 50% < 5 years 60%

Weighting Requirements for As of any Accounting Period End Date, the sum of the Index Weightings of Illiquid Portfolio Portfolio Investments that do not consist of Marketable Financial Investments: Instruments may not exceed 70%.

Weighting Requirements for As of any Accounting Period End Date, the sum of the Index Weightings of KPE: KPE as both an Index Constituent and a Portfolio Investment may not be less than 25% nor more than 40%, except that commencing on 1 January 2017 the sum of such Index Weightings may be reduced below 25% in connection with notional disposals of Fund Units of KPE that are made with the objective of allowing for orderly notional disposals of such Fund Units in connection with the maturity of the Index or an Index Allocation Direction.

Weighting Requirements for As of any Accounting Period End Date, the sum of the Index Weightings of Single Names: all Portfolio Investments in the same issuer may not exceed 10% and the sum of the Index Weightings of all Portfolio Investments in the five largest issuers (determined by comparing the aggregate Index Weighting of all Portfolio Investments relating to a single issuer) may not exceed 35%.

Reallocations: Reallocations may consist of (i) a crediting of a Fund Unit to the Notional Account in connection with a notional acquisition of the Fund Unit; (ii) a debiting of a Fund Unit from the Notional Account in connection with a notional disposal of the Fund Unit; (iii) the making of a notional capital contribution in respect of a Fund Unit held in the Notional Account; or (iv) the receipt of a notional Distribution in respect of a Fund Unit held in the

27 Notional Account.

The Index Manager may make Voluntary Reallocations from time to time in accordance with the Index Rules.

The Index Manager will use its commercially reasonable efforts to make one or more Reallocations in accordance with the Index Rules, in the following circumstances:

(a) to correct a Maximum Weighting Breach;

(b) to correct a Diversification Breach;

(c) following a Trigger Event so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the sum of the Unadjusted Weightings of the KKR Constituents and the Cash Constituent does not exceed the result of the Liquidation Formula;

(d) following an FI Constituent Switch Event, such that (i) all FI Fund Units of the New Reference Bond Index that are then required to be notionally acquired have been notionally acquired and credited to the Notional Account, (ii) all FI Fund Units of the Old Reference Bond Index have been notionally disposed of and debited from the Notional Account, (iii) all related Acquisition Costs and Disposal Costs have been notionally paid from the Notional Account and (iv) the FI Notional Value is equal to the FI Notional Value immediately before the occurrence of the FI Constituent Switch Event (except as a result of the Acquisition Costs and Disposal Costs notionally paid pursuant to clause (iii) above); or

(e) with respect to an Optional Allocation Date, following the Index Administrator giving an Index Allocation Direction such that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the Cash Notional Value as of the Optional Allocation Target Date is at least equal to the Specified Cash Amount.

Optional Allocation Date: With respect to any Index Linked Security, a Maturity Date, an Optional Early Redemption Date or a Mandatory Early Redemption Date for such Index Linked Security.

Maturity Date: With respect to any Index Linked Security, the Stated Maturity Date or the Extended Maturity Date of such Index Linked Security. Optional Early Redemption With respect to any Index Linked Security, a date on which the Index Date: Linked Security may be redeemed at the option of the holder in accordance with its Original Terms, in each case as identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA. Mandatory Early With respect to any Index Linked Security, the earliest date on which such Redemption Date: Index Linked Security is scheduled to be redeemed, at the option of the issuer, in accordance with its Original Terms as set forth in a notice of redemption delivered to such holder due to the occurrence of a “Mandatory Early Redemption Event” identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor

28 pursuant to the ISA. Duties of the Index From and after the Index Start Date, the Index Manager will, among other Manager: things, determine from time to time (i) the relative exposure within the Index to the KKR Constituents, the FI Constituent and the Cash Constituent, (ii) the composition and weightings of the investment funds comprising the KKR Constituents and (iii) the composition and weightings of the Portfolio Investments of the KKR Constituents, subject to applicable provisions of these Index Rules and the ISA Index Manager’s Standard Each of the Index Manager and the Index Administrator, in performing their of Care: respective services under the Index Strategy Agreement shall (i) act in accordance with the Index Rules, including the standards of conduct applicable to it as set forth in the Index Rules, and (ii) refrain from taking any action that would reasonably be expected to violate the Index Rules. Under the Index Rules, any determination or other exercise of discretion on the part of the Index Manager, the Index Administrator or the Index Sponsor shall always be made in good faith and in a commercially reasonable manner, subject to and in accordance with all other applicable terms of the Index Rules. When managing the Index, the Index Manager shall comply with the duties owed to a “client” with U.S. investors by an investment adviser that is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, assuming for such purposes that the Notional Account is the “client”.

29 SUMMARY OF THE INDEX MANAGER

Index Manager: Kohlberg Kravis Roberts & Co. L.P.

Information about the Founded in 1976, KKR is a leading global alternative asset manager. Its more Index Manager: than 400 employees, including more than 150 investment professionals, are led by its founders, Henry Kravis and George Roberts, who are pioneers of the leveraged buyout industry. Its history of landmark achievements in private equity include the first leveraged buyout in excess of U.S.$1 billion, several of the largest leveraged buyouts announced worldwide to date, the first buyout of a public company by tender offer and the largest leveraged buyouts completed or announced in each of the United States, the Netherlands, Denmark, India, Australia, Turkey, Singapore and France. KKR has continued its history of innovation by establishing new public equity and debt strategies that leverage the power of its brand and the intellectual capital in its private equity business.

Today, through its offices in New York, Menlo Park, San Francisco, London, Paris, Hong Kong and Tokyo, KKR sponsors and manages funds that make investments worldwide in private equity and debt transactions on behalf of it and third-party investors. KKR also manages substantial investments in public equity. During its 31-year history, KKR has raised sixteen (16) funds that received approximately U.S.$59.7 billion of capital and capital commitments from investors. As of 30 June 2007, KKR’s traditional private equity funds (which exclude KKR Private Equity Investors L.P., being KKR’s private equity oriented permanent capital fund) had generated U.S.$76.5 billion of realised and unrealised value, of which U.S.$56.5 billion had been distributed to investors in the form of cash.

Since its inception, KKR’s private equity funds have completed or announced more than sixty (60) private equity transactions having an aggregate transaction value of over U.S.$413 billion and an equity investment of over U.S.$45 billion, including more than ten (10) private equity transactions with an aggregate transaction value in excess of U.S.$135 billion and an equity investment of U.S.$12.6 billion that have been completed or announced since 30 June 2007. It has grown its assets under management significantly, from approximately U.S.$18.3 billion as of 31 December 2002 to approximately U.S.$54.4 billion as of 30 June 2007, making it one of the largest independent alternative asset managers in the world. KKR’s current private equity portfolio consists of forty two (42) portfolio companies with more than U.S.$180 billion of annual revenues and more than 800,000 employees worldwide. These companies are based in more than twelve (12) countries and operate in more than twelve (12) industries, providing KKR with broad and deep industry and operating expertise.

Investment Approach: KKR approaches its business and its investments as industrialists. It seeks to invest in high quality companies that have strong business franchises, attractive growth prospects, leading market positions and the ability to generate superior returns. When it makes investments, it partners with highly motivated management teams to design and implement strategic and operational changes that create value in the businesses it acquires and it aligns its interests with other stakeholders by putting its own capital at risk. Since its inception, KKR’s investment professionals, senior advisors and other executives have invested or committed to invest over U.S.$1.5 billion of their personal capital in or alongside its funds.

30 Focus on Value Creation

KKR has developed an institutionalised process for creating value in its investments. As part of its effort, KKR utilises the services of Capstone Consulting, a team of operational consultants that works exclusively with its investment professionals and portfolio company management teams. In addition, KKR has brought in a team of twenty (20) senior advisors to support its investment activities, including the former chairmen or chief executive officers of Procter & Gamble, HSBC Holdings, Wells Fargo, Eastman Kodak Company and Accenture.

KKR’s investment professionals, senior advisors and consultants work together with its portfolio companies to address issues relating to top-line growth, cost optimization and efficient capital allocation and to assist management in designing and implementing strategic and operational changes that drive value creation. In most cases, the work initially involves developing operating and financial metrics for tracking progress and identifying problems during the early stages of an investment. Ultimately, the focus shifts to capitalizing on business opportunities to drive value creation over the long term. The objective of these measures is to drive growth in revenue, cash flows and operating margins, which allows KKR to reduce the leverage in its portfolio companies and create value for investors.

Distinct Ability to Source Proprietary Investments

KKR believes that it is distinguished in its ability to source new investment opportunities as a result of its internal deal generation strategies and its global network of business relationships with leading executives from major companies, commercial and investment banks, financial intermediaries, other investment and advisory institutions and former political leaders. KKR’s investment professionals are organised into global industry teams and have developed a thorough understanding of their industries by meeting with management teams, attending product seminars and industry conferences and conducting their own primary research.

KKR’s industry teams work across offices to develop a list of industry themes and trends, to identify companies that will benefit from those trends and to determine which of those companies would make an attractive investment. When team members identify an investment opportunity, they leverage KKR’s network of global relationships with the goal of winning exclusive or limited access to the investment. KKR believes that its industry focus, when combined with its global network and the industry-specific knowledge that it has developed over time, provides it with an important source of proprietary investments.

Strong Relationships With Financial Leaders

KKR actively cultivates its relationships with major investment banking firms and other financial intermediaries, and is among those firms’ most significant clients. KKR’s investment professionals meet regularly with major investment banking firms concerning potential investment opportunities, and it often works with the same group of financial institutions when seeking financing arrangements for its transactions. KKR believes its repeated and consistent dealings with the major financial services firms over a long period of time, and its completion of a significant number of larger transactions, have led to it being one of the first parties considered for potential investments. KKR also believes that its relationships with financial institutions and the credibility that

31 it has established through its past successes help it obtain financing for its transactions at attractive prices and with favourable terms.

Private Equity Approach KKR is a world leader in private equity. Its private equity funds focus on and Track Record: investing in companies with capitalisations at the largest end of the leveraged buy out market. KKR believes this focus allows it to invest in industry-leading franchises with global operations that are best suited for attracting world class management teams. This approach leverages KKR’s sizeable capital base, infrastructure, skill set, global network and industry and operating expertise, which KKR believes sets it apart from others.

When KKR makes private equity investments, it adheres to a disciplined investment approach that seeks to generate large multiples of invested capital and attractive gross internal rates of return, or “IRRs,” by focusing on fundamentals and implementing operational and strategic changes that allow it to create and realise long-term value in its portfolio companies. KKR places significant emphasis on selecting high-quality investments that may be made at attractive prices, working with management to design and implement changes that drive value creation, and making informed decisions when developing investment exit strategies.

From its inception through 30 June 2007, KKR’s first ten traditional private equity funds (representing all of its private equity funds that have invested for at least thirty (30) months) achieved a multiple of invested capital of 2.8x and a cumulative gross IRR of 26.3%, compared to the 13.7% gross IRR achieved by the S&P 500 Index over the same period. The S&P 500 Index is an unmanaged index and its returns assume reinvestment of dividends and do not reflect any fees or expenses. During 2007, KKR was also named “Best Private Equity Firm” by Global Finance and “European Large Buyout Firm of the Year” by Financial News, and the KKR Strategic Capital Funds were named “Hedge Fund Launch of the Year” by Alternative Investment News.

The table below, which KKR believes illustrates the benefits of its approach to making private equity investments, presents information as of 30 June 2007 relating to the historical performance of the traditional private equity funds raised by KKR since its inception. This data does not reflect acquisitions or disposals of investments, changes in investment values or distributions occurring after 30 June 2007. See “Cautionary Note Regarding Historical Fund Performance” at pages 34 to 36 below.

32 Amount Fair Value of Investments Multiple of Private Equity Gross Net Invested Funds (4) Committed Invested Realised Unrealised Total IRR IRR Capital

(U.S.$ in million)

1976 Fund ...... 31 31 537 $ — 537 39.5% 35.5% 17.3

1980 Fund ...... 357 357 1,828 — 1,828 29.0% 25.8% 5.1

1982 Fund ...... 328 328 1,290 — 1,290 48.1% 39.2% 3.9

1984 Fund ...... 1,000 1,000 5,963 — 5,963 34.5% 28.9% 6.0

1986 Fund ...... 672 672 9,081 — 9,081 34.4% 28.9% 13.5

1987 Fund ...... 6,130 6,130 14,746 270 15,016 12.2% 9.0% 2.5

1993 Fund ...... 1,946 1,946 4,124 36 4,160 23.6% 16.8% 2.1

1996 Fund ...... 6,012 6,012 10,535 1,926 12,461 18.7% 14.0% 2.1

European Fund (1999)(1)...... 3,085 3,085 3,992 4,341 8,333 32.4% 24.7% 2.7

Millennium Fund (2002)...... 6,000 5,886 4,358 7,468 11,826 52.3% 39.8% 2.0

European Fund II (2005)(2)...... 5,670 3,976 35 4,390 4,425 * * *

2006 Fund ...... 16,625 1,578 — 1,578 1,578 * * *

Asian Fund (2007)...... 4,000 — — — — * * *

Total Funds (3)...... 51,856 31,001 56,489 20,009 76,498 26.3% 20.3% 2.8

Source: KKR

Notes:

(1) The European Fund’s capital commitments include euro-denominated commitments of €196.5 million. Such amounts have been converted into U.S. dollars based on the exchange rate prevailing on the dates on which capital was called.

(2) The European Fund II’s capital commitments include euro-denominated commitments of €2,597.2 million. Such amounts have been converted into U.S. dollars based on the exchange rate prevailing on (i) the dates on which capital was called in the case of funded commitments and (ii) 30 June 2007 in the case of unfunded commitments.

33 (3) The gross IRR, net IRR, and multiple of invested capital are calculated based on KKR’s first ten (10) traditional private equity funds, which represent all of KKR’s private equity funds that have invested for at least thirty (30) months. The European Fund II, the 2006 Fund and the Asian Fund have not invested for at least thirty (30) months. As a result, no IRRs or multiples of invested capital have been calculated with respect to those funds.

(4) See also “Private Equity Valuations and Related Data” at pages 75 to 76 below.

KPE: KKR Private Equity Investors L.P. (“KPE”), which is not reflected in the table above, is a private equity-oriented permanent capital fund that is listed on Euronext Amsterdam under the symbol “KPE.” KPE is focused primarily on making private equity investments through and alongside KKR’s traditional private equity funds but has the flexibility to make other types of opportunistic investments, including public equity investments. Unlike KKR’s traditional private equity funds, the fund has a perpetual investment period and is considered to be a permanent capital vehicle, in that fund investors may seek liquidity through trading their fund units over a stock exchange, but generally are not entitled to have their capital returned. As of 30 September 2007, KPE had a net asset value of U.S.$5.3 billion, which includes U.S.$4.3 billion invested in and alongside KKR’s traditional private equity funds.

Public Equity: Although KKR’s funds have historically focused primarily on private equity investments, KKR has managed investments in public equity throughout its 31-year history. Initially, KKR’s public equity investments consisted of minority and structured investments in public companies that were made by its private equity funds. More recently, KPE and certain of its other funds have provided KKR with more investment flexibility than traditional private equity funds and an additional capital base for making equity investments in public companies. Using this capital base, KKR has significantly expanded it public equity operations.

KKR's approach to making public equity investments generally seeks to leverage the intellectual capital developed in the course of its traditional private equity business, which may otherwise not be utilised if a private equity transaction is undertaken, and focuses on achieving attractive multiples of invested capital and IRRs generally by selecting fundamentals-driven investment opportunities, applying rigorous standards of due diligence when making investment decisions, adding value to portfolio companies where possible, subjecting investments to regular monitoring and oversight and making informed buy and sell decisions when realizing investments. KKR generally invests in companies whose market prices KKR believes significantly understate the quality of their assets and believes that significant opportunities exist to expand KKR‘s public equity activities and take advantage of the increasing number of suitable public equity investments that it identifies.

Risk Factors: Cautionary Note Regarding Historical Fund Performance

The historical results for KKR’s private equity funds included in this Securities Note & Summary may not be indicative of the returns investors should expect from the Notes. In particular, returns on the Notes may differ significantly from KKR’s historical fund results for the following reasons:

(a) the Index may initially have a substantial proportion allocated to the KKR Alternative Investment Funds, which are intended to pursue different investment strategies than those pursued by KKR’s private equity funds, and cash that will need to be invested in temporary 34 investments, which are expected to generate returns that are substantially lower than the returns that the Issuer would anticipate receiving from private equity and alternative investments;

(b) subject to the Diversification Criteria, the Index will include a significant number of KKR Direct Investment Funds that will make direct private equity investments alongside KKR’s other funds, which will increase exposure to changes in the values of a portfolio investment in the event that more than one KKR Constituent invests in the same issuer;

(c) the management fees that will be payable to KKR under the Fund Management Agreement will be calculated differently from the management fees paid by KKR’s traditional private equity funds and are expected to be higher than the management fees that are payable by those funds, which could cause the rates of return on the Notes to be lower than the rates of return achieved by KKR's traditional equity funds;

(d) the return on the Notes will be linked to the Index, which includes the FI Constituent and a Cash Constituent. The FI Constituent and the Cash Constituent will have different (and expected lower) return profiles than KKR’s private equity funds which is likely to affect the overall performance of the Index;

(e) the KKR Constituents will include funds that have different asset mixes in terms of allocations among funds, investment strategies, and geographic and industry exposures;

(f) the returns of KKR’s private equity funds will be affected by macroeconomic factors, including factors that may not have been prevalent in the periods relevant to the return data presented in this Securities Note & Summary;

(g) in the past few years, returns of some of KKR’s private equity funds have increased significantly as a result of a number of investments whose values rapidly and substantially increased in value following the dates on which those investments were made, and those trends and rates of return are not expected to continue;

(h) the opportunities available to KKR Constituents to make investments alongside KKR’s private equity funds may be limited and the KKR Constituents will have no right to make such investments;

(i) investors in KKR’s private equity funds have benefited from investment opportunities and general market conditions that may not repeat themselves, including favourable borrowing conditions in the debt markets, and there can be no assurance that comparable investment opportunities or market conditions or that such market conditions will continue;

(j) the KKR Constituents are expected to include investments in publicly traded securities and at least one of the KKR Constituents, KPE, has publicly traded limited partner interests. The market prices and values of publicly traded securities may be volatile and are likely to fluctuate due to a number of factors beyond KKR’s control. Changes in the 35 values of publicly traded securities may adversely affect the Index Value and cause the market price of the Notes to fluctuate; and

(k) The fourteen (14) year term of the Notes from the Issue Date to the Scheduled Maturity Date is less than the usually expected life of a private equity fund, which is about eighteen (18) years. Accordingly, the redemption maturity of the Notes may require KKR to sell assets before their full value may be realised, thereby decreasing the multiples realised but not necessarily the IRRs.

36 RISK FACTORS

This section, the “Risk Factors” at pages 18 to 28 inclusive of the Base Prospectus and the “Risk Factors” at pages 4 and 5 of the Registration Document set out factors that the Issuer believes may affect its ability to fulfil its obligations under the Notes and/or are material for the purpose of assessing the market risks associated with investing in the Notes. All these factors are contingencies which may or may not occur and the Issuer is not in a position to express a view on the likelihood of any such contingency occurring.

The purchase of Notes involves substantial risks and is suitable only for investors who have sophisticated knowledge and experience in financial and business matters necessary to enable them to evaluate the risks and the merits of an investment in the Notes. Before making an investment decision, potential investors should ensure that they understand the terms of the Notes and the extent of their exposure to risks and that they consider carefully, in the light of their own financial circumstances, financial condition and investment objectives, all the information set forth in the Registration Document (including "Risk Factors" at pages 4 and 5 thereof), the Base Prospectus (including "Risk Factors" at pages 18 to 28 thereof) and in this Securities Note & Summary and reach their own views prior to making any investment decision.

The Issuer believes that the factors described below represent the principal risks inherent in investing in the Notes. Additional risks and uncertainties that the Issuer does not presently know about or that the Issuer currently believes are immaterial may also adversely impact on its ability to fulfil its obligations under the Notes and/or impact the business, financial condition or the results of operations of the EUR Hedged Index, the Index or any Index Constituent or the value of any Note. If any of the following risks actually occur, the ability of the Issuer to fulfil its obligations under the Notes or the business, financial condition, or the results of operations of any Index Constituent, the operation of the Index and the value of the investment by any Noteholder in the Notes would be likely to suffer.

Terms used in this section and not otherwise defined shall have the meanings given to them in “Terms and Conditions of the Notes” at pages 132 to 147 below and in the Index Rules at pages 80 to 108 below.

A. Additional Risks Relating to the Issuer

Potential Investors should consider the section entitled “Risk Factors” provided in the Registration Document at pages 4 to 5 thereof in conjunction with the information in the following paragraph.

After the approval of the Registration Document the Issuer announced:

· on 14 May 2007, that Moody's Investors Service Limited has upgraded the Issuer's long-term rating from Aa3 (the "Old Moody's Rating") to Aa1 (the "New Moody's Rating"). All references in the Registration Document to the Old Moody's Rating shall be read as references to the New Moody's Rating;

· on 5 July 2007, that Fitch Ratings Ltd had changed the Outlook in respect of its ratings regarding the Issuer from stable to positive; and

· on 2 August 2007, that Standard & Poor’s Ratings Services, a Division of The McGraw-Hill Companies Inc. (“S&P”) had upgraded the Issuer’s long term rating from AA- (the “Old S&P Rating”) to AA (the “New S&P Rating”). All references in the Registration Document to the Old S&P Rating shall be read as references to the New S&P Rating.

Potential investors should also consider in the section entitled “Risk Factors” provided in the Base Prospectus on page 18 thereof, the paragraph under the heading “Factors that may affect the Issuer’s ability to fulfil its obligations under Notes issued under the Programme”.

37 B. Risks Relating to the Notes

The price of the Notes may fluctuate significantly and Noteholders could lose part or, in limited circumstances, all of their investment.

The initial issue price of the Notes will be the nominal amount of each Note. There can be no assurance that the market price of the Notes will remain at or above the Principal Balance at any time following the Issue Date. Although the Notes may be redeemed on the Scheduled Maturity Date at 104% of their Principal Balance, prior to the Scheduled Maturity Date there can be no assurance that the Notes will be capable of being realised for an amount equal to or in excess of their Principal Balance. No principal protection will apply to a redemption of the Notes on any Optional Early Redemption Date. If a Noteholder exercises the right to redeem Notes on either of the Optional Early Redemption Dates falling on 30 November 2017, 30 November 2018 and 30 November 2019, unless the Index Value as of the Accounting Period End Date (as defined in “Terms and Conditions of the Notes” below) immediately preceding such Optional Early Redemption Date is equal to or greater than the Index Value on the Issue Date, a Noteholder may be paid at redemption less than the Principal Balance of such Note.

In addition, if Noteholders elect to extend the maturity date to the end of the Extension Period, no principal protection will be applicable. No principal protection will be applicable in respect of Notes that are redeemed following an Illegality (pursuant to Base Condition 7(e) (Illegality), an Event of Default (pursuant to Base Condition 13 (Events of Default)) or as a result of the occurrence of a Mandatory Early Redemption Event.

The market price of the Notes may fluctuate significantly. Factors that may cause the market price of Notes to vary include, among other things:

(a) changes in the EUR/U.S.$ exchange rate which will cause the value of the Notes (which are denominated in EUR) to fluctuate relative to the Index Value (which is calculated in U.S.$) after taking account of the Mark to Market Value of the FX Swap;

(b) changes in the actual or expected performance of the EUR Hedged Index, the Index or in the financial performance and prospects of any of the KKR Constituents (and their underlying investments), the FI Constituent (and the investments by reference to which it is determined) and the Cash Constituent (and its underlying investments);

(c) changes in the actual or expected performance of KKR as an asset manager, the underlying investments it manages and other investments (whether or not included within the KKR Constituents);

(d) the departure of some or all of KKR investment professionals;

(e) changes in the way in which the Index Value or the value of any of the Index Constituents is determined, valued and/or reported;

(f) changes in general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry and changes in prevailing interest rates and exchange rates;

(g) changes in laws and regulations (including in relation to taxation), or new interpretations or applications of laws and regulations, that are applicable to the businesses of the KKR Constituents or to the companies in which they invest or propose to invest or to the private equity industry;

(h) whether and how frequently Index Income Distributions, if any, are made;

(i) whether and how frequently Index Adjustments, if any, are made;

38 (j) whether the Noteholder has elected to extend the maturity date of the Notes beyond the Scheduled Maturity Date to the end of the Extension Period;

(k) demand for the Notes;

(l) the proximity of an Optional Early Redemption Date, the ability of the Noteholder to redeem Notes on such Optional Early Redemption Date and whether the Notes tendered and accepted for early redemption will be redeemed at or above the nominal amount of such Notes;

(m) the ability of the Index Manager, using its commercially reasonable efforts (within the meaning of Clause 5.2 of the Index Rules), to make Reallocations to the Cash Constituent in amounts that are sufficient to fund redemptions of Notes on the Optional Early Redemption Dates or the Scheduled Maturity Date;

(n) where applicable, the period of time between a Redemption Determination Date immediately preceding an Optional Redemption Date and, if applicable, the Deferred Optional Redemption Payment Date in relation thereto or the period between the Redemption Determination Date immediately preceding the Scheduled Maturity Date and Deferred Payment Determination Date, as applicable;

(o) if Index Strategy Agreement terminates, the Index will also terminate and no other Index Manager other than KKR may be appointed;

(p) the occurrence of a Mandatory Early Redemption Event with respect to which the Issuer gives notice of redemption of the Notes;

(q) general economic trends, trends within the private equity industry, including the ability to exit private equity investments, and other external factors, including those resulting from war, incidents of terrorism or responses to such events;

(r) speculation in the press or investment community regarding the business of the Index, KKR or the KKR Constituents or the notional or actual investments that they make, or factors or events that may directly or indirectly affect the business or investments of the Index, KKR or the KKR Constituents; and

(s) the credit-worthiness of the Issuer.

Securities markets in general have experienced extreme volatility that has often been unrelated to the operating performance of particular securities or investments. Any broad market fluctuations may adversely affect the trading price of the Notes.

The Notes could trade at a discount to the EUR Hedged Index Value.

The Notes could trade at a discount to the EUR Hedged Index Value for a variety of reasons, including due to market conditions or to the extent investors undervalue KKR's investment management activities or take a different view of the net asset value of the KKR Constituents, the Cash Constituent or the FI Constituent to that determined by the Index Manager and included in calculating the Index Value. The only way for potential investors to realise their investment before the Scheduled Maturity Date is to sell their Notes or to seek to exercise the Optional Early Redemption right. Accordingly, in the event that a Noteholder requires immediate liquidity, or otherwise seeks to realise the value of its investment in its Notes through sale, the amount received by the Noteholder upon such sale may be less (i) than the Principal Balance of its Notes, (ii) the EUR Hedged Index Value and (iii) the product of the Principal Balance of the Notes and any applicable Protected Amount. No principal protection will apply to any Optional Early Redemption right of the Noteholders.

39 The Notes have limited liquidity; an active and liquid trading market for the Notes may not develop.

Currently no market exists for the Notes. Although the Issuer may from time to time make a market in the Notes upon or at any time following their issuance, it is under no obligation to do so and, if the Issuer commences any market making activity, may discontinue it at any time. In addition, there can be no assurance that any secondary market will provide the holders of any Notes with liquidity of investment or will continue for the life of such Notes. Consequently, a Noteholder must be prepared to hold such Notes for an indefinite period of time and potentially until the Scheduled Maturity Date. In addition, the Notes are subject to certain transfer restrictions which may further limit their liquidity, including selling restrictions whereby the Notes may not be sold within the United States.

The Issuer cannot predict the effects on the price of the Notes if a liquid and active trading market for the Notes does not develop. In addition, if such a market does not develop, relatively small sales may have a significant negative impact on the price of the Notes. For example, sales of a significant number of Notes may be difficult to execute at a stable price.

The market price of the Notes could be adversely affected by sales or the possibility of sales of substantial amounts of the Notes and similar index linked securities.

Upon completion of the issue of the Notes, the Issuer expects to have EUR12,750,000 in aggregate Principal Balance of Notes outstanding that reference the EUR Hedged Index. The Issuer has already issued an aggregate principal amount of U.S.$94,000,000 Index Linked Securities and the Issuer may issue or arrange for the issuance of additional Index Linked Securities from time to time in the future. The Issuer cannot assure potential investors that the Noteholders will not sell substantial amounts of such Notes. The occurrence of any such sales, or the perception that such sales might occur, could have a material adverse effect on the price of the Notes.

The right to redeem Notes on the Optional Early Redemption Date is limited.

The maximum amount of Notes which may be redeemed on any Optional Early Redemption Date is limited to 20% of the Principal Balance of the Notes outstanding on the Issue Date. If Noteholders seek to redeem more than 20% of the aggregate Principal Balance of the Notes outstanding on the Issue Date, the Notes tendered for early redemption by each Noteholder will be rounded down so that the aggregate Principal Balance of the Notes to be redeemed does not exceed 20% of the aggregate Principal Balance of the Notes outstanding on the Issue Date (any part of a whole Note being rounded down so that only whole Notes tendered are redeemed). No principal protection will apply to a redemption of the Notes on any Optional Early Redemption Date.

Currency Risk - Volatility in the EUR/U.S.$ exchange rate may affect payments under the Notes

The Notes are denominated in EUR. The Index Constituents are valued in U.S.$ and the Index Value is calculated in U.S.$. Accordingly, changes in the EUR/ U.S.$ rate of exchange after the Issue Date will affect the value in EUR of the amounts payable to Noteholders as interest and as principal and so may cause losses to Noteholders where the U.S.$. falls against the EUR. The amount of any U.S.$ distribution on the Index, if paid to Noteholders, will be converted to EUR at the prevailing EUR/USD Spot Rate. Similarly, on any redemption of the Notes due to an Event of Default or a Mandatory Early Redemption Event, the fair economic value of the Notes that is payable to Noteholders will take account of the then current EUR/U.S.$ rate of exchange. In order to mitigate the effects of volatility in the EUR/U.S.$ rate of exchange, the EUR Hedged Index Value used for the purposes of determining the redemption price of the Notes in relation to the Scheduled Maturity Date will be adjusted to take account of the Mark to Market Value of the FX Swap on the relevant determination date, as determined by the Issuer. The FX Swap provides for a final exchange based on a forward rate of exchange of 1 EUR equal to USD 1.5146. There can be no assurance that the FX Swap will be effective to mitigate fully the effects on Noteholders of volatility in the EUR/U.S.$ exchange rate.

The inability to reallocate Index Weightings to the Cash Constituent may affect the amount and timing of payments in respect of an Optional Early Redemption Date.

40 Payment of a portion of the Optional Early Redemption Amount payable in respect of an Optional Early Redemption Date may be deferred if the Optional Allocation Event relating to such Optional Early Redemption Date has not occurred before the Optional Redemption Determination Date. In such circumstances, the Issuer will pay on such Optional Early Redemption Date in respect of each Note to be redeemed an amount (defined in the “Terms and Conditions of the Notes” as the “Optional Actual Payment”) equal to the Optional Notional Realised Amount in respect of that Optional Early Redemption Date. If the Optional Early Redemption Amount payable is higher than the Optional Actual Payment, the Optional Redemption Excess will be payable on the Deferred Optional Redemption Payment Date, being the date falling two (2) Business Days after the occurrence of the Optional Allocation Event relating to the Optional Early Redemption Date. In such circumstances, the Optional Redemption Excess will be determined on the day which is two (2) Business Days prior to the Deferred Optional Redemption Payment Date as the excess Optional Early Redemption Amount of the Note being redeemed over the sum of the Optional Actual Payment and the applicable Notional Interest. There can be no assurance that the Optional Allocation Event in respect of such Optional Early Redemption Date will occur on or before the applicable Redemption Determination Date and accordingly that Noteholders who have exercised their right of early redemption will be paid the full Optional Early Redemption Amount on the Optional Early Redemption Date or that the Index Value will not fall before the Deferred Optional Redemption Payment Date, so as to result in the redeeming Noteholders receiving less than they would otherwise have received.

The need to reallocate the Index Weightings to the Cash Constituent will reduce the allocation of Index Weighting to private equity related KKR Constituents.

If any Noteholders elect for redemption on an Optional Early Redemption Date then during the period following the giving of an Index Allocation Direction under Clause 4.6(a) of the Index Rules, the Index Manager will be required to use its commercially reasonable efforts to reallocate the Index Weightings so that the Cash Notional Value determined on the Redemption Determination Date immediately preceding the relevant Optional Early Redemption Date is not less than the Specified Cash Amount. The effect of such reallocations may be that notional allocations of Index Value from other Index Constituents need to be made. There can be no assurance that such reallocations, which are required under the Index Rules, will be able to be made within the prescribed six (6) month period before the relevant Optional Early Redemption Date. To the extent that such reallocations are made, the Index Value will be affected by the greater allocation of Index Weighting to the Cash Constituent than might otherwise have been the case in the period ending on such Optional Early Redemption Date, which may result in the Index Value being lower than would otherwise have been the case and may increase the volatility of the Index. This will affect Noteholders of Notes which are not to be redeemed on such Optional Early Redemption Date as well as those whose Notes are to be so redeemed.

To the extent that the reallocations made in the six (6) month period before the relevant Optional Early Redemption Date do not achieve a Cash Notional Value which is at least equal to the Specified Cash Amount, this may still result in there being a greater allocation of Index Weighting to the Cash Constituent for a longer period of time than would otherwise be the case. In these circumstances, the Index Weightings will continue to be allocated to the Cash Constituent until the Cash Notional Value is at least equal to the Specified Cash Amount. This may result in the Index Value being lower than would otherwise be the case if the reallocation of Index Weighting to the Cash Constituent have been required under the Index Rules and may increase the volatility of the Index. This will affect holders of Notes which are not to be redeemed on such Optional Early Redemption Date as well as those whose Notes are to be redeemed.

The Notes carry only contingent interest.

Interest is payable on a Note only if the Index Manager determines that an Index Income Distribution shall be made. The Index Manager cannot determine that an Index Income Distribution shall be made unless the requirements of Clause 2.7(a) of the Index Rules are satisfied. If such requirements are satisfied, the Index Manager will not be required to make such a determination, as such determination is within the Index Manager’s discretion. There can be no assurance that such requirements will be

41 satisfied or that, if they are satisfied, an Index Income Distribution will be determined or, if one or more is to be determined, when that determination will be made.

Index Income Distributions will reduce the Index Value.

If an Index Income Distribution is made, the Index Manager will, on the Index Income Distribution Date, deduct the amount of the Index Income Distribution from the Index Value. This may affect the market price of any Notes and will reduce the notional amount available to be allocated to Index Constituents (which is economically equivalent to reducing funds available for reinvestment).

An election by a Noteholder to extend the maturity of the Notes to the Extended Maturity Date is subject to the Issuer’s agreement and will be on such terms as the Issuer may offer, but will be without principal protection during any Extension Period.

If a Noteholder has given not less than six (6) months and five (5) Business Days’ notice to the Issuer prior to the Scheduled Maturity Date, the Issuer may (but is under no obligation to) agree to extend the maturity date of the relevant Notes to the end of the Extension Period on such terms as the Issuer may offer to the Noteholder. Where a Noteholder elects to extend the maturity of its Notes and accepts the terms offered by the Issuer, such Notes will not be redeemed on the Scheduled Maturity Date but will be redeemable only on the expiry of the Extension Period, subject to the terms of the Note applicable during the Extension Period offered by the Issuer. The amount payable on the expiry of the Extension Period will depend on the terms of the extension offered by the Issuer, but will be without any right to principal protection in any event.

The Notes are subject to early redemption for the occurrence of an Illegality, Event of Default or Mandatory Early Redemption Event at the Early Redemption Amount which may be less than the Principal Balance of the Notes or any Protected Payment.

The Notes are subject to early redemption for illegality or on an event of default pursuant to Base Condition 7(e) (Illegality) or Base Condition 13 (Events of Default) respectively or following the occurrence of a Mandatory Early Redemption Event (where the Issuer gives notice that the Notes are to be redeemed). The Early Redemption Amount in respect of a Note that is payable will be determined by the Calculation Agent as the amount which represents the fair economic value of such Note immediately prior to the date on which the Note becomes redeemable less the proportionate cost to the Issuer and/or its Affiliates of unwinding any underlying and/or related hedging and funding arrangements in respect of the Note. For the purposes of determining the fair economic value of such Note, no account shall be taken of the financial condition of the Issuer, which shall be presumed to be able to perform fully its obligations in respect of the Notes. There can be no assurance that such amount will be equal to or above the nominal amount of the Notes or any Protected Payment and in such a case Noteholders could lose all or part of their investment.

There can be no assurance that Notes that are due for redemption on the Scheduled Maturity Date will receive the full Redemption Amount on that date or that there will be no reduction in Index Value before the Deferred Payment Date.

If the Optional Allocation Event relating to the Scheduled Maturity Date has not occurred before the Redemption Determination Date immediately preceding the Scheduled Maturity Date, the amount payable on the Scheduled Maturity Date (defined in the “Terms and Conditions of the Notes” as the “Actual Payment”) will be equal to the greater of (i) Protected Payment and (ii) the Notional Realised Amount. If the product of the Principal Balance of the relevant Note and NAVf/ NAV0 would produce an amount greater than the Actual Payment, then the Redemption Excess (determined as set out below in the Terms and Conditions) shall be payable on the Deferred Payment Date, being the date falling two (2) Business Days following the occurrence of the Optional Allocation Event relating to the Scheduled Maturity Date. The Redemption Excess shall be determined on the date which is two (2) Business Days prior to the Deferred Payment Date and shall equal the excess (if any) of the Realised Redemption Amount (as defined in the Notes) over the sum of the Actual Payment and the applicable Notional Interest. There can be no assurance that the Optional Allocation Event relating to the Scheduled

42 Maturity Date will occur on or before the Redemption Determination Date and accordingly that Noteholders will be paid the full Redemption Amount on the Scheduled Maturity Date or that the respective net asset values of the KKR Constituents which have not been allocated to the Cash Constituent will not fall so that there is a corresponding reduction in the amount which is payable to Noteholders. The Issuer shall have no obligation to notify the Noteholders of the Redemption Excess prior to the Deferred Payment Date (as defined in the Notes).

The need to reallocate to the Cash Constituent in the six (6) month period prior to the Scheduled Maturity Date may affect the Index Value and accordingly the amount that that will be paid to Noteholders on redemption at the Scheduled Maturity Date.

During the period following the giving of an Index Allocation Direction in respect of the Scheduled Maturity Date under Clause 4.6(a) of the Index Rules, the Index Manager will be required to use its commercially reasonable efforts to make Reallocations among the Index Constituents so that the Cash Notional Value on the Redemption Determination Date immediately preceding the Scheduled Maturity Date is at least equal to the Specified Cash Amount. There can be no assurance that such reallocations will be able to be notionally made within such six (6) month period. To the extent that such reallocations are not made, payment to holders of Notes may be deferred as described above. The need to effect such reallocations may affect the value at which the Index Manager determines the reallocations can be made, which will affect the Index Value.

Noteholders have no legal or beneficial interest in the Index Constituents and, as a result, have no recourse to the Index Constituents, the managers or general partners of the Index Constituents or the underlying actual investments.

The Index Value will be determined by reference to the Notional Account Value which will be allocated to the Index Constituents in accordance with the Index Rules. Noteholders will not have any legal or beneficial interest in the Index Constituents. Unlike holders of limited partner interests in a private equity fund, because the Noteholders have no direct holding in the notional investments in Index Constituents, they will not have any recourse to the Index Constituents, the managers and general partners of the Index Constituents or the underlying actual investments.

There is only limited provision of Information to Noteholders about the Index Constituents.

Although the Noteholders will have the right to obtain from the Issuer periodical Index Reports concerning, inter alia, the Index Value, the Noteholders will not otherwise have the right to obtain from the Issuer, the Index Sponsor, the Index Administrator or the Index Manager any information on the Index Constituents which is not required to be included in the quarterly Index reports that the Issuer will publish for the Noteholders. Among other things, this means that Noteholders will not be in a position to know whether investments may be limited to certain types of securities or materially concentrated in relatively few portfolio companies and focused on a limited number of industries or geographic regions, subject to the application of the diversification requirements in Clause 3 (Maximum Weighting and Diversification Criteria), Clause 4.2 (Reallocations Following a Maximum Weighting Breach) and Clause 4.3 (Reallocations Following a Diversification Breach) of the Index Rules (at pages 86 to 92 below) (see also the paragraphs below headed “Initially, most of the KKR Constituents will make investments in a limited number of portfolio companies, and in the future the investments also may be concentrated, which will increase the risk of loss associated with underperforming investments” and “Less Information”).

Certain events may occur which prevent the Index Administrator from calculating or publishing the Index Value which will consequently affect the EUR Hedged Index.

The occurrence of certain events, such as natural or man made disasters, terrorism, fire or other intervening circumstances, may prevent the Index Manager from calculating the KKR Notional Value, the Cash Notional Value or the amounts or allocations of Index Adjustments or prevent the Index Administrator from calculating the FI Notional Value, the Notional Account Value or the Index Value or publishing the Notional Account Value or the Index Value. If any such event occurs, the Index Manager

43 or the Index Administrator may determine to postpone, suspend or cease calculating or publishing any of the foregoing items for which it is responsible under the Index Rules until such time as the disruption event has ceased. Although the Index Rules permit the Index Manager or Index Administrator to appoint a third party to carry out any of the disrupted activities on its behalf if the disruption event continues for more than three (3) months, during the period of disruption it may be difficult or impossible to calculate the Index Value or publish it or other information concerning the Index for Noteholders. There can be no assurance that such disruption events will not occur, or that they will not continue for such a period as to reduce the marketability of the Notes or reduce the returns that would otherwise have been available to Noteholders. During any such period of disruption, Noteholders may not be able to accurately assess the value of their investment in the Notes. Any disruption to the calculation of the Index Value will affect the determination of the EUR Hedged Index Value.

The occurrence of a Mandatory Early Redemption Event may result in the Issuer redeeming the Notes for an amount which is less than the Noteholders’ original investments.

It is expected that the Issuer will seek to hedge its obligations under the Notes by obtaining economic exposure to a fund which seeks to invest in accordance with the way the Index Rules and the Index Strategy Agreement operate. If certain events occur (defined in the Terms and Conditions as Mandatory Early Redemption Events) with respect to such fund and the Issuer gives notice thereof, the Notes will be redeemable at their Early Redemption Amount. There can be no assurance that the Notes will be capable of being realised for an amount equal to or in excess of their Principal Amount. There can be no assurance that such Mandatory Early Redemption Events will not occur. A disparity between the Index Value and the value of the hedge arrangements referred to above may after passage of time and under certain circumstances, give rise to a redemption of the Notes with the same or similar consequences to those described in the previous paragraph.

A breach of the Index Strategy Agreement may give rise to a Mandatory Early Redemption Event.

If the Index Manager defaults in its performance of a term, condition or agreement contained in the Index Strategy Agreement and such default has a material adverse effect of the holders of the Notes or any other Index Linked Securities and is not cured within sixty (60) days following the delivery of a notice to the Index Manager containing a request that the default be cured within such sixty (60) day period, the Issuer may designate a Mandatory Early Redemption Event and require that the Notes be redeemed at their Early Redemption Amount.

Termination of the Index Strategy Agreement will result in Termination of Index.

If the Index Strategy Agreement terminates for any reason whatsoever, the Index will automatically terminate. Termination of the Index Strategy Agreement will in turn cause the termination of the EUR Hedged Index. A description of events and circumstances in which the Index Strategy Agreement can be terminated is under “Description of the Index Strategy Agreement” at pages 109 to 114 below.

The Issuer may issue additional notes or Notes that have rights and privileges that are similar to but more favourable than the rights and privileges of holders of the Notes.

The Issuer has issued an aggregate principal amount of U.S.$94,000,000 Index Linked Securities and may issue additional notes or other products in relation to the EUR Hedged Index, the Index or the KKR Constituents for any purpose and for such consideration and on such terms and conditions as the Issuer may determine. The issue of such additional notes could provide for rights and privileges that are more favourable than those of the Notes. Holders of the Notes will not have any right to consent to or otherwise approve the issuance of any such additional notes or the terms on which any such notes may be issued. Such additional notes may affect the market price of the Notes

Investing in the Notes may involve an above average degree of risk.

The allocations of Index Value to the Index Constituents made by the Index Manager and the actual investments made by the KKR Constituents may involve a higher amount of risk and volatility than other

44 investments. Investments made by the KKR Constituents may also be highly speculative and aggressive. As a result, an investment in the Notes may not be suitable for someone with a low to moderate risk tolerance and may result in a loss of principal if the Notes are not held to a date on which the amount at which they can be redeemed (whether an Optional Early Redemption Date or the Scheduled Maturity Date) is at least their nominal amount.

Changes in tax law may mean that payments of principal and interest with respect to the Notes become subject to withholdings or deductions on account of taxes or the amount of such withholdings or deductions may increase.

Interest and principal with respect to the Notes are payable subject to withholding or deduction for or on account of taxes. The Issuer is not required to pay any additional amounts if any such withholding is required and the Notes will not become redeemable as a result of any withholding arising. While under current law and practice the Notes are not expected to be subject to withholding tax in the United Kingdom or Germany, there can be no assurance that this will remain the case.

C. Risks Relating to the Index and the Investment Objectives of the Index

There can be no assurance that the objectives of the Index Rules will be met.

The Index will be managed by the Index Manager and administered by the Index Administrator in accordance with the Index Rules and under the terms of the Index Strategy Agreement with the objective of achieving, but not guaranteeing, superior alpha returns from KKR-sponsored investments while preserving capital through dynamically adjusted exposure to the FI Constituent. There can be no assurance that these objectives will be achieved.

The Index and most of the KKR Constituents were recently formed and lack separate operating histories, and KKR's private equity track record is not indicative of the future performance of any of them.

The Index and most of the KKR Constituents were recently formed and, except for KPE, none of the foregoing has commenced operations. It is intended that the Index will make its notional investments, and the KKR Constituents will make their actual investments, in KKR's private equity funds and portfolio companies and other alternative investments that are identified by KKR in the normal course of its business. None of these newly formed entities have any historical financial statements or other meaningful operating or financial data. An investment in the Notes is therefore subject to all of the risks and uncertainties associated with any new business, including the risk that the Index or the KKR Constituents will not achieve their investment objectives and that the value of a Noteholder’s investment could decline substantially, subject to the principal protection of the Notes as described at pages 15 to 17 above under “Summary of the Notes” and pages 137 to 140 below under “Terms and Conditions of the Notes”.

This Securities Note & Summary presents certain information with respect to the historical performance of certain of the traditional private equity funds that KKR has sponsored since its inception. When considering this information, potential investors should bear in mind that the historical results of those private equity funds are not indicative of the future results that potential investors should expect from the Index or any of the Index Constituents, that they are not making a specific investment in those funds and that the unrealised values of the investments presented in this Securities Note & Summary may not be realised in the future. In particular, the results of Index and the Index Constituents are expected to differ substantially from the historical results achieved by KKR's traditional private equity funds due to the fact that:

(a) the Index may initially have a substantial proportion allocated to the KKR Alternative Investment Funds, which are intended to pursue different investment strategies than those pursued by KKR’s private equity funds, and cash that will need to be invested in temporary investments, which are expected to generate returns that are substantially lower than the returns that the Issuer would anticipate receiving from private equity and alternative investments;

45 (b) subject to the Diversification Criteria, the Index will include a significant number of KKR Direct Investment Funds that will make direct private equity investments alongside KKR’s other funds, which will increase exposure to changes in the values of a portfolio investment in the event that more than one KKR Constituent invests in the same issuer;

(c) the management fees that will be payable to KKR under the Fund Management Agreement will be calculated differently from the management fees paid by KKR’s traditional private equity funds and are expected to be higher than the management fees that are payable, by those funds, which could cause the rates of return on the Notes to be lower than the rates of return achieved by KKR's traditional equity funds;

(d) the return on the Notes will be linked to the Index, which includes the FI Constituent and a Cash Constituent. The FI Constituent and the Cash Constituent will have different (and expected lower) return profiles than KKR’s private equity funds, which is likely to affect the overall performance of the Index;

(e) the KKR Constituents will include funds that have different asset mixes in terms of class, allocations among funds, investment strategies, and geographic and industry exposures;

(h) the opportunities available to KKR Constituents to make investments alongside KKR’s private equity funds may be limited and the KKR Constituents will have no right to make such investments;

(j) the KKR Constituents are expected to include investments in publicly traded securities and at least one of the KKR Constituents, KPE, has publicly traded limited partner interests. The market prices and values of publicly traded securities may be volatile and are likely to fluctuate due to a number of factors beyond KKR’s control. Changes in the values of publicly traded securities may adversely affect the Index Value and cause the market price of the Notes to fluctuate; and

(k) the fourteen (14) year term of the Notes from the Issue Date to the Scheduled Maturity Date is less than the usually expected life of a private equity fund, which is about eighteen (18) years. Accordingly, the redemption maturity of the Notes may require KKR to sell assets before their full value may be realised, thereby decreasing the multiples realised but not necessarily the IRRs.

As a result of the recent establishment of a number of KKR Constituents and the Cash Constituent, KKR, as fund manager of such KKR Constituents, has not yet identified all of the potential investments that will be made by the KKR Constituents. In addition, the Index is expected to generate lower growth during its initial period as cash is deployed.

KKR, as manager of the KKR Constituents, has not yet identified all of the potential investments that will be made with all of the capital that the KKR Constituents will receive. KKR intends to conduct extensive due diligence with respect to investment opportunities and suitable investment opportunities may not be

46 immediately available. Given the potentially significant amount of time that it may take to fully invest all of the funds available to the KKR Constituents, a portion of the assets of the KKR Constituents may be invested in temporary investments that generate comparatively lower returns, which would cause the return profile of the KKR Constituents to differ from the return profile of a traditional private equity fund that calls capital only when investments are to be made. KKR cannot predict how long it will take the KKR Constituents to deploy their capital in private equity and alternative investments. Timing will depend, among other things, on the availability of suitable private equity and alternative investment opportunities, including the availability of opportunities to invest alongside other KKR private equity funds, for the KKR Direct Investment Funds, and restrictions on the ability of KKR’s private equity funds to such opportunities available to affiliated funds. There can be no assurance that these investment opportunities will be available either in sufficient number or at all. Potential investors should note that the KKR Constituents will not be entitled as of right to make investments alongside other KKR private equity funds. KKR is not required to offer investment opportunities to the KKR Constituents and neither do the agreements governing the KKR Constituents give their limited partners any commitment that there will be any such opportunities. Opportunities to invest alongside KKR’s other private equity funds may also be restricted or prohibited by the terms of the agreements governing such private equity funds.

KKR, as Index Manager, will initially make allocations to the KKR Alternative Investment Funds, which will make investments primarily in marketable instruments that have different (and expected lower) return profiles compared to private equity investments and may themselves give rise to losses. There may be other risks involved with non-private equity investments which would not arise in the case of private equity investments. There may also be a high degree of variability between the returns generated by different types of non-private equity investments and/or temporary investments. In addition, KKR will have broad discretion to make allocations to and from Index Constituents and to determine the portfolio investments that the KKR Constituents will make, and Noteholders will not have a right to provide input with regard to such allocations or the investment decisions that KKR makes or an opportunity to evaluate a proposed investment before or after investing in the Notes. These factors will increase the uncertainty, and thus the risk, of an investment in the Notes.

The Index Value will depend on the performance of the KKR Constituents and KKR’s ability to manage future growth and effectively implement their investment strategies.

The ability of the Index Manager to achieve the objectives of the Index and the ability of the KKR Constituents to achieve their investment objectives will depend on the ability of the Index Manager to allocate to the KKR Constituents and the ability of KKR to grow the investment base for the KKR Constituents, which will depend, in turn, on KKR’s ability to identify, invest in and monitor a suitable number of companies and implement various aspects of the investment strategy of the Index. Achieving growth on a cost-effective basis will be largely a function of KKR’s structuring of the investment process, its ability to provide competent, attentive and efficient services and decisions it makes regarding allocations to the KKR Constituents and investment opportunities. KKR's investment professionals will have substantial responsibilities under the Index Rules and the governing instruments of the KKR Constituents. In order to perform its obligations, KKR may be required to hire, train, supervise and manage new employees. However, there can be no assurance that any of those employees will contribute to the work that KKR carries out on behalf of the Index or the KKR Constituents. Any failure to manage future growth or to implement effectively the investment strategy of the KKR Constituents could have a material adverse effect on the performance of the Index and the return on the Notes.

There can be no assurance that KKR will be able to accurately predict or effectively react to future changes in the value of investments.

The return of the Index will depend upon KKR’s ability to make a correct assessment as to future values that can be realised in connection with allocations of the Index and actual investments of the KKR Constituents. The ability to accurately assess future investment values, whether in connection with the making of an allocation to or from an Index Constituent or selecting or exiting of actual portfolio investments, is important to the operation of the Index. The securities markets have in recent years been characterised by a high degree of volatility and unpredictability and there can be no assurance that KKR will be successful in making assessments regarding future trends in prices, including the timing of any price 47 changes, that it will be able to effectively react to any such changes or that any gains will be generated on investments.

The Index Manager cannot assure potential investors that the values of notional investments allocated to the Index or actual portfolio investments made by the KKR Constituents will in fact be realised.

The Index Manager anticipates that a substantial portion of the notional investments that the Index makes, and a significant percentage of the portfolio investments that the KKR Constituents actually make, will not have readily available market prices. In connection with these investments, KKR will be required to make good faith determinations as to the fair value of these notional and actual investments on a quarterly basis.

There is no single standard for determining fair value in good faith and in many cases fair value is best expressed as a range of fair values from which a single estimate may be derived. When making fair value determinations, KKR typically uses a market multiples approach that considers a specified financial measure (such as EBITDA) or a discounted cash flow or liquidation analysis. KKR also considers a range of additional factors that it may deem relevant, including the price at which the investment was acquired, the nature of the investment (such as whether it is a controlling interest), local market conditions, market prices for comparable securities and financing transactions and models that consider the current and expected operating performance and cash flows of the company in which the investment was made. Fair values of investments that do not have readily available market prices are based on the best information available in light of the circumstances and may incorporate or involve significant assumptions or judgments by management.

Because valuing investments requires the application of valuation principles to the specific facts and circumstances of the investments, KKR will use the services of an independent valuation firm for the valuation of private equity investments for which market prices are not available. The independent valuation firm will perform certain limited procedures with respect to valuations that are prepared by KKR to confirm that such valuations are not unreasonable (see further “Valuations of Portfolio Investments” at page 121 below).

Because valuations, and in particular valuations of investments for which market quotations are not readily available, are inherently uncertain, may fluctuate over short periods of time and may be based on estimates, determinations and judgments concerning fair values may differ materially from the values that would have resulted if a ready market had existed. Even if market quotations are available for investments, such quotations may not reflect the value that the Index or the KKR Constituents would actually be able to realise because of various factors, including the possible illiquidity associated with a large ownership position, subsequent illiquidity in the market for a company's securities, future market price volatility or the potential for a future loss in market value based on poor industry conditions or the market's view of overall company and management performance. The Index Value and the values of the KKR Constituents and their portfolio investments could be adversely affected if the values that are recorded for them are materially higher than the values that are ultimately realised upon a notional or actual disposal. Changes in such values may occur from quarter to quarter, lead to volatility in Index and the trading price of the Notes and cause the results for a particular period not to be indicative of performance in a future period. There can be no assurance that the Index Value and the values of the KKR Constituents and their portfolio investments recorded from time to time will ultimately be realised.

The departure or reassignment of some or all of KKR’s investment professionals could prevent the Index from achieving its objectives and/or the KKR Constituents from achieving their investment objectives.

The Index Value and the performance of the KKR Constituents will depend on the diligence, skill and business contacts of KKR’s investment professionals and the information and deal flow they generate during the normal course of their activities. The future success of the Index and the performance of the KKR Constituents will depend on the continued service of these individuals, who are not obligated to remain employed with KKR. KKR has experienced departures of investment professionals in the past and may do so in the future, and the impact that any such departures will have on the ability of KKR to achieve

48 the objectives of the Index and the KKR Constituents cannot be predicted. The departure of any of the members of KKR’s management team, including Henry Kravis or George Roberts, or a significant number of its other investment professionals for any reason, or the failure to appoint qualified or effective successors in the event of such departures, could have a material adverse effect on the ability of the Index and the KKR Constituents to achieve their objectives. The departure of some or all of those individuals could also violate certain "key man" retention obligations specified in the documentation governing some of KKR's private equity funds, which could cause their investment periods to terminate, or make it more difficult for KKR to compete for investment opportunities. The documentation governing the KKR Direct Investment Funds and the KKR Alternative Investment Funds does not contain such “key man” retention provisions. In addition, a transfer of control over KKR’s business could result in the departure or reassignment of some or all of the KKR investment professionals that are involved in their respective businesses. Personnel and support staff provided by KKR are not required to have as their primary responsibility the day-to-day management and operations of the Index or any of the KKR Constituents or to act exclusively for any of them.

The members of KKR’s general partner could transfer their control over KKR to a third party who would be able to exercise significant control over investment activities of the Index or any KKR Constituent, which could result in a change in any of their investment objectives and cause the Index or any of them material harm.

The Issuer believes that the success of the Index will depend on the experience of KKR and its continued involvement in the Index and the KKR Constituents. However, the Index Sponsor and the Index Administrator do not have the right to prevent the members of KKR’s general partner from transferring their control over KKR’s business to a third party. A new owner could have a different investment philosophy, employ investment professionals who are less experienced, be unsuccessful in identifying investment opportunities or have a track record that is not as successful as KKR’s track record. If any of the foregoing were to occur, the Index could experience difficulty in making new notional investments, and each KKR Constituent could experience difficulty in making new investments, and the Index Value could materially suffer.

KKR will have substantial discretion when making decisions concerning the allocations and investments of the Index.

Subject to application of the Index Rules and the instruments governing the KKR Constituents, KKR will be responsible for determining from time to time (i) the relative exposure within the Index to the KKR Constituents, the FI Constituent and the Cash Constituent, (ii) the composition and weightings of the investment funds comprising the KKR Constituents and (iii) the composition and weightings of the direct and indirect investments of the KKR Constituents. As a result, KKR will have substantial discretion for selecting, acquiring and disposing of notional and actual investments, including in determining the types of investments that it deems appropriate, the investment approach that it follows when making investment decisions and the timing of notional and actual investments. In addition, KKR will not be required to offer investment opportunities to the KKR Constituents or to cause any particular KKR Constituent to be included in the Index other than the Initial KKR Constituents whose Fund Units will be credited to the Notional Account on the Index Start Date. Although the Index Sponsor and the Index Administrator will periodically review the Index Manager's compliance with the Index Rules, they will not review or approve individual investment decisions. Although the Index Rules include maximum weighting and diversification requirements, they do not impose any limitations on geographic concentration or industry focus.

The limited partnership agreements governing KKR’s traditional private equity funds include limitations that may impact KKR’s ability to allocate opportunities to invest alongside KKR’s private equity funds to the KKR Direct Investment Funds opportunities to invest alongside KKR’s private equity funds.

None of the KKR Constituents will have a contractual right to participate in any co-investment opportunities that may arise. The Initial KKR Constituents will include nine newly formed KKR Direct Investment Funds that are expected to invest alongside KKR’s traditional private equity funds, including the KKR 2006 Fund, the KKR European Fund II, the KKR Asian Fund and their successors, except where such investments are 49 not permitted by the limited partnership agreements of those funds or where portfolio investments would not be permitted under the Index Rules. The limited partnership agreements for KKR’s traditional private equity funds generally require the fund to invest a minimum amount of capital before such opportunities may be made available to KKR’s affiliated funds. While recent KKR transactional activity and the number and size of KKR private equity transactions that have been completed by KKR have supported significant opportunities for such investment alongside KKR’s private equity funds, there can be no assurance that these trends will continue or that the KKR Direct Investment Funds will be allocated such opportunities to invest alongside KKR’s private equity funds in the future. Further, there can be no assurance that the KKR Constituents will participate in specific investments made by KKR going forward and potential investors should be aware that if an opportunity to invest alongside KKR’s traditional private equity funds were to arise, there is no contractual right for the KKR Direct Investment Funds to invest on the same terms with the KKR traditional private equity funds.

Noteholders will not have a right to vote on partnership matters or to take part in the management of the business and affairs of the KKR Constituents or in the management of the Index.

Noteholders will not be entitled to vote on matters relating to the Index or the KKR Constituents or to participate in the management or control of the business and affairs of the KKR Constituents. In particular, the Noteholders do not have the right to cause the Index Manager to resign, to cause a new Index Manager to be appointed or a new general partner to be admitted to the KKR Constituents, to appoint new members to the governing bodies of the KKR Constituents, to remove existing members from the governing bodies of the KKR Constituents, to prevent a change of control of KKR or to propose changes to or otherwise approve the notional or actual investments Index and the KKR Constituents.

The rights of the notional or actual holder of interests in the KKR Constituents and the fiduciary duties owed by the general partners to their respective partnerships will be governed by the respective laws of the jurisdiction in which they were formed and of the relevant limited partnership agreement and may differ from the rights and duties owed to partnerships, limited partners or unit holders under the laws of other countries.

Initially, the KKR Constituents may consist of limited partnerships formed under the laws of the Cayman Islands or Guernsey. Additional KKR Constituents may be formed under the laws of the same or similar jurisdictions. The duties that the general partners of the KKR Constituents owe limited partners are governed by such laws and the relevant limited partnership agreements of the funds. Those duties do not extend to Noteholders and are not directly enforceable by them. In addition, the limited partnership agreements of most or all KKR Constituents are expected to contain various provisions that modify and restrict the fiduciary duties that might otherwise be owed to limited partners. As a result, the fiduciary duties that are owed to investors in the KKR Constituents and the partnership may differ in material respects from the rights and duties that would be applicable if the KKR Constituents were organised under the laws of a different jurisdiction or if were not permitted to vary such rights and duties in the limited partnership agreement.

The organisational, ownership and investment structures of the KKR Constituents and KKR’s activities as the Index Manager may create significant conflicts of interest.

The organisational, ownership and investment structure of KKR Constituents and KKR’s activities as the Index Manager involve a number of relationships that may give rise to potential conflicts of interest between KKR and its affiliates, on the one hand, and Noteholders, on the other hand. There may also be conflicts of interests between different KKR Constituents or between KKR Constituents and other KKR- sponsored investment funds. For instance, certain of the KKR Constituents or other KKR-sponsored investment funds will be permitted to make investments in preferred equity or debt obligations of companies in which a KKR Constituent or another KKR-sponsored investment fund holds a common equity interest. In those cases, the interests of the fund that holds the common equity may not always be aligned with the interests of the fund that holds the preferred equity or debt obligations. Other potential conflicts could also arise, including conflicts relating to the timing and method in which investments are exited, the timing and amount of distributions by KKR Constituents and the Index, the reinvestment of

50 returns generated by investments, the use of leverage when making investments and the appointment of outside advisors and service providers.

The personnel of the Index Manager and the Index Administrator need not have as their primary responsibility, nor be dedicated exclusively, to the performance of services under the Index Strategy Agreement. Subject to certain restrictions, each of the Index Manager, the Index Administrator and the Index Sponsor may engage in other businesses or activities that may compete with the activities or objectives of the Index or the Index Strategy Agreement.

Under the Index Strategy Agreement, each of the Index Manager and the Index Administrator has agreed to arrange for such personnel and support staff to be available as is necessary or appropriate to carry out their respective services to be provided under the Index Strategy Agreement. Personnel and support staff provided by the Index Manager and the Index Administrator will be required to possess all necessary and appropriate skills and qualifications for the tasks they are to perform and to devote such of their time to the performance of their respective services under the Index Strategy Agreement as the Index Manager and the Index Administrator, as applicable, reasonably deems necessary and appropriate. Such personnel need not have as their primary responsibility, or be dedicated exclusively to, the performance of the services under the Index Strategy Agreement. None of the parties to the Index Strategy Agreement will be permitted to undertake activities which, in its reasonable judgment, would substantially and adversely affect the performance of its obligations under the Index Strategy Agreement.

Subject to the foregoing, nothing in the Index Strategy Agreement will prevent the Index Manager, the Index Sponsor, the Index Administrator or any of their respective Affiliates (or any director, officer, member, partner, shareholder or employee of any of the foregoing) from (i) establishing, sponsoring, managing, administering or participating in any other index; (ii) engaging in any other business of any type; or (ii) providing services of any kind to any other Person, irrespective of whether such activities compete with activities or objectives of, the Index, the other parties to the Index Strategy Agreement or their respective Affiliates.

There are limited circumstances in which the Index Sponsor or Index Administrator may terminate the Index Strategy Agreement with KKR or for KKR to be removed as the manager or general partner of the KKR Constituents.

The Index Strategy Agreement provides that the Index Sponsor and the Index Administrator may terminate the agreement if:

(a) the Index Manager defaults in its performance of a term, condition or agreement contained under the Index Strategy Agreement, and such default has a material adverse effect on holders of Index Linked Securities and is not cured within sixty (60) days following the delivery of a notice to the Index Manager containing a request that the default be cured within such sixty (60) day period;

(b) the Index Manager has engaged in an act of fraud, wilful misconduct or gross negligence in connection with the performance of its duties under the Index Strategy Agreement, provided that such act has had a material adverse effect on holders of Index Linked Securities; or

(c) the Index Manager makes a general assignment for the benefit of its creditors, institutes proceedings to be adjudicated voluntarily bankrupt, consents to the filing of a petition of bankruptcy against it, is adjudicated by a court of competent jurisdiction as being bankrupt or insolvent, seeks reorganization under any bankruptcy law or consents to the filing of a petition seeking such reorganization or has a decree entered against it by a court of competent jurisdiction appointing a receiver, liquidator, trustee or assignee in bankruptcy or in insolvency.

The fund management agreements between KKR and the KKR Constituents contain similar provisions that limit the ability of fund investors to cause a removal of KKR or its affiliates as the fund manager. If the performance of KKR or any of its affiliates (as the case may be) as the Index Manager or the manager of

51 the KKR Constituents does not meet the expectations of Noteholders and KKR is unable to be removed as the Index Manager or as the relevant fund manager, Noteholders could suffer potentially meaningful losses.

Access to confidential information may restrict the ability of KKR to take action with respect to some investments, which, in turn, may negatively affect the KKR Constituents, the Index, and therefore potential returns to the Noteholders.

KKR and others who are involved in the investments of the KKR Constituents may directly or indirectly obtain confidential information concerning one or more companies in which an investment has been or may be made. In such event, there may be restrictions on the ability of the KKR Constituent to make, dispose of, increase the amount of, or otherwise take action with respect to, an investment in a company or for the Index Manager to make reallocations in the Index, including allocations to and from KPE. Such restrictions could limit the freedom to make potentially profitable investments or to liquidate an investment when it would be in the best interests of the relevant fund that KKR manages to do so. Due to the foregoing, the relationship with KKR could create a conflict of interest to the extent that KKR becomes aware of confidential information concerning a company in the course of its other business activities.

KKR’s affiliates are entitled to share in the returns generated by investments that are made by the KKR Constituents, which could create an incentive for them to assume greater risks when making investment decisions than they otherwise would in the absence of such arrangements.

KKR’s affiliates will generally be entitled to a carried interest or incentive distribution in respect of profits generated by the investment activities of the KKR Constituents and in some cases by reference to the price realised on the sale of certain investments by certain KKR Constitutents. Because these carried interests and incentive distribution rights are unrelated to the amount of capital contributed by KKR or its affiliates to an investment, they may create an incentive for KKR to make investments that are generally more risky than would be the case in the absence of such arrangements or to use leverage to increase returns on investments. In addition, the carried interests and incentive distributions could result in investments being made in more speculative securities than would otherwise be the case, which could result in higher investment losses, particularly during economic downturns, and which would adversely affect the Index Value and the returns of Noteholders.

KKR’s affiliates will be entitled to share in the returns generated by successful investments, even if the investments of the KKR Constituents as a group do not increase in value or, in fact, decrease in value.

KKR’s affiliates will generally be entitled to a carried interest or incentive distribution in respect of profits generated by the investment activities of the KKR Constituents after unrecouped losses on other investments have been recovered or a “highwater mark” has been exceeded. In addition, KKR’s affiliates may receive carried interest based on the positive differentials between the price at which investments are bought and sold by certain KKR Constituents compared to the underlying net asset value at the time of such acquisition or sale. For the purposes of determining the amount of distributions to which KKR’s affiliates will be entitled pursuant to these carried interests and incentive distribution rights, gains and losses on individual investments will be subject to comparatively limited netting based on the type of investment made. While this netting may result in the aggregate amounts paid to KKR’s affiliates being lower than the amounts that KKR’s affiliates would receive from an individual investor making separate investments across its funds, this netting will not reflect the combined performance of all of the KKR Constituents. Due to the absence of complete netting, KKR’s affiliates may be entitled to receive a portion of the returns generated by the KKR Constituents’ portfolio investments even though the investments as a whole do not increase in value or, in fact, decrease in value. Further, there will be no “clawback” provision that will require KKR to repay any excess amounts previously received in respect of its carried interest or incentive distributions if, upon liquidation, it has received carried interest or incentive distributions in excess of the amounts to which it is entitled. However, such distributions to KKR or its affiliates will take into account prior realised and unrealised losses.

52 The management fees that KKR receives may create an incentive for KKR to make investments and take other actions that increase or maintain the net asset value of the KKR Constituents over the near-term when other investments or actions may be more favourable to Noteholders.

KKR will be entitled to receive a management fee under the Fund Management Agreement that will be calculated based on the net asset value of the Master Fund, as described under the Risk Factor headed “Differing Calculations of Management Fees” at paragraph (c) at page 57 below. This fee, which will be paid irrespective of KKR’s operating performance, may create an incentive for KKR and its affiliates to make investments and take other actions that increase or maintain the net asset values of the KKR Constituents over the near-term when other investments or actions may be more favourable to Noteholders. Because the amount of the management fee will be increased by future issuances of index linked securities, the fee structure may create an incentive for KKR’s affiliates to seek additional capital in a manner that is dilutive to Noteholders. In addition, although no management fees will be payable with respect to the Cash Constituent or the FI Constituent at any time, from and after 1 January 2009 the net asset value of the Master Fund for the purposes of calculating the management fee payable by the KKR Constituents will include cash investments of the KKR Constituents, so that KKR may receive a greater fee than it would otherwise have received. This may incentivise it to retain cash holdings or reduce its incentive to actively invest cash in other investments which may give a higher rate of return.

The ability of KKR to apportion certain expenses and other liabilities between the KKR Constituents may affect fees and carried interest or incentive distributions and result in the receipt by KKR of a greater payment.

The KKR Constituents will be jointly and severally liable for certain expenses and other liabilities incurred by one or more of those KKR Constituents. The ability of KKR to apportion such expenses and other liabilities to any KKR Constituent may affect the fees, carried interest or incentive distributions payable to KKR in respect of each of those entities, resulting in circumstances where KKR receives a greater payment than it may otherwise have received.

KKR and its affiliates will be able to pursue other business activities and provide services to third parties that compete directly with the Index and the KKR Constituents, which could cause any of them to compete with others for access to KKR’s investment professionals, information and deal flow.

KKR and its affiliates will be able to pursue other business activities and provide services to third parties that compete directly with the Index and the KKR Constituents, including sponsoring or managing other investment funds that makes investments that are similar to the types of investments made by the KKR Constituents. In addition to the Index, the KKR Constituents and the other KKR-sponsored investment funds, KKR and its affiliates may establish or advise other entities that rely on the diligence, skill and business contacts of KKR’s investment professionals and the information and deal flow they generate during the normal course of their activities. The requirements of these entities may be substantial and may cause KKR to divert some of the resources and professionals that would otherwise be made available to the KKR Constituents. Some of these entities may also have investment objectives that overlap with the investment objectives of the Index and the KKR Constituents and KKR and its affiliates may have greater financial incentives to assist those other entities over the Index and the KKR Constituents. KKR will be permitted to allocate resources and personnel to those entities in a manner that it deems appropriate, provided that the allocation of resources and personnel does not substantially and adversely affect the performance of its obligations to the Index and the KKR Constituents. To the extent that KKR and its affiliates engage in activities for themselves or others, those activities may be detrimental to the interests of the Noteholders and may, in some cases, lead to the allocation of investment opportunities to others. In addition, KKR will have the right to determine the size of allocations to KKR Constituents. Due to the foregoing, the Index Sponsor and the Index Administrator may be required to compete from time to time with KKR’s affiliates for access to the benefits they expect to realise from KKR’s involvement in the Index and the KKR Constituents.

53 The KKR Constituents will operate in a highly competitive market for investment opportunities.

The performance of the Index and the KKR Constituents will depend to a significant extent on the ability of KKR to identify suitable investment opportunities. The failure of KKR to identify and make appropriate investments on the behalf of the KKR Constituents as a result of competitive pressures would increase the portion of the Index that is invested in cash investments and, accordingly, reduce anticipated rates of return. The KKR Constituents will compete with a number of entities for investment opportunities, including from public and private investment funds, operating companies acting as strategic buyers, business development companies, commercial and investment banks and commercial finance companies, including, in certain instances, companies or funds affiliated with KKR, including the KKR Strategic Capital Funds. Many of these competitors may be substantially larger and have considerably greater financial, technical and marketing resources than are available to the KKR Constituents. Several of these competitors have recently raised, or are expected to raise, significant amounts of capital, and may have similar investment objectives, which may create additional competition for investment opportunities. Some of these competitors may also have a lower cost of capital and access to funding sources that are not available to the KKR Constituents, which may create competitive disadvantages for them with respect to investment opportunities. In addition, some of these competitors may have higher risk tolerances or different risk assessments, which could allow them to consider a wider variety of investments. The KKR Constituents may lose investment opportunities in the future if they do not match investment prices, structures and terms offered by competitors. Alternatively, they may experience decreased rates of return and increased risks of loss if they match investment prices, structures and terms offered by competitors. There can be no assurances that competitive pressures will not have a material adverse effect on the Index or that KKR will be able to identify and make investments that generate attractive returns for Noteholders.

The KKR Constituents are not, and do not intend to become, regulated as investment companies under the Investment Company Act of 1940 and related rules.

The KKR Constituents are not, and do not intend to become, registered as investment companies under the U.S. Investment Company Act and related rules. The Investment Company Act of 1940 and related rules provide certain protections to investors and impose certain restrictions on companies that are registered as investment companies. None of these protections or restrictions is or will be applicable to the KKR Constituents. In addition, in order to avoid being required to register as an investment company under the U.S. Investment Company Act and related rules, each of the KKR Constituents has implemented restrictions on the ownership and transfer of the partnership interests. These restrictions could adversely affect the ability of the Index Manager to make a reallocation from a KKR Constituent to another Index Constituent.

Changes in laws or regulations, or a failure to comply with any laws and regulations, may adversely affect the business, investments and results of operations of the Index and the KKR Constituents.

KKR and the KKR Constituents are each subject to laws and regulations enacted by national, regional and local governments. Compliance with, and monitoring of, applicable laws and regulations may be difficult, time consuming and costly. Those laws and regulations and their interpretation and application may also change from time to time and those changes could have a material adverse effect on the Index, the KKR Constituents and KKR. In addition, a failure to comply with applicable laws or regulations, as interpreted and applied, by any of the persons referred to above could materially and adversely affect the Index and market prices for the Notes.

D. Risks Relating to Portfolio Investments of the KKR Constituents

Private equity investments are subject to a number of significant risks.

The KKR Constituents will deploy a significant amount of their capital in private equity investments. Private equity investments involve a number of significant risks, including the following:

54 (a) companies in which private equity investments are made typically are highly leveraged and subject to significant debt service obligations, stringent operating and financial covenants and risks of default under financing and other contractual arrangements, which would trigger severe adverse consequences for the company and the value of the investment in such company if a default were to occur;

(b) companies in which private equity investments are made may have limited financial resources and may be unable to meet their obligations under their securities, which may be accompanied by a deterioration in the value of their equity securities or any collateral or guarantees provided with respect to their debt;

(c) companies in which private equity investments are made typically have shorter operating histories, narrower product lines and smaller market shares than larger businesses, which tend to render them more vulnerable to competitors' actions and market conditions, as well as general economic downturns;

(d) companies in which private equity investments are made are more likely to depend on the management talents and efforts of a small group of persons and, as a result, the death, disability, resignation or termination of one or more of those persons could have a material adverse impact on their businesses and prospects and the investments made;

(e) companies in which private equity investments are made generally have less predictable operating results, may from time to time be parties to litigation, may be engaged in rapidly changing businesses with products subject to substantial risks of obsolescence and may require substantial additional capital to support their operations, finance expansion or maintain their competitive positions;

(f) executive officers, directors and employees of an equity sponsor may be named as defendants in litigation involving a company in which a private equity investment is made; and

(g) generally only little public information exists about companies in which private equity investments are made and investors in those companies generally must rely on the ability of the equity sponsors to obtain adequate information for the purposes of evaluating potential returns and making a fully informed investment decisions.

Private equity investments will, and the alternative investments may, be in companies that are highly leveraged.

The Index Manager expects the KKR Constituents to make investments in companies whose capital structures have significant leverage, including leverage resulting from the structuring of the investment in the companies. For example, in private equity investments, indebtedness may constitute 65% or more of a portfolio company's total debt and equity capitalization, including debt that may be incurred in connection with the investment. In addition, a company that is not or does not become highly leveraged at the time an investment is made may increase its leverage after the time of investment, including in connection with an expansion into additional or different markets. Investments in highly leveraged companies are inherently more sensitive to declines in revenues, increases in expenses and interest rates and adverse economic, market and industry developments.

In addition, the incurrence of a significant amount of indebtedness by a company may, among other things:

(a) subject the company to a number of restrictive covenants, terms and conditions, any violation of which would be viewed by creditors as an event of default and could materially impact our ability to realise value from our investment;

(b) give rise to an obligation to make mandatory prepayments of debt using excess cash flow, which may limit the company's ability to respond to changing industry conditions to the extent additional

55 cash is needed for the response, to make unplanned but necessary capital expenditures or to take advantage of growth opportunities;

(c) limit the company's ability to adjust to changing market conditions, thereby placing it at a competitive disadvantage compared to its competitors who have relatively less debt;

(d) limit the company's ability to engage in strategic acquisitions that may be necessary to generate attractive returns or further growth; and

(e) limit the company's ability to obtain additional financing or increase the cost of obtaining such financing, including for capital expenditures, working capital or general corporate purposes.

A leveraged company's income and net assets also tend to increase or decrease at a greater rate than would otherwise be the case if money had not been borrowed. As a result, the risk of loss associated with a leveraged company is generally greater than for companies with comparatively less debt.

The ability of the KKR Constituents to achieve attractive rates of return on the private equity investments will depend in part on KKR’s continued ability to access sources of indebtedness at attractive rates and on attractive terms, and developments in the credit markets could have a material adverse effect on its ability to source investments or could increase risks associated with KKR’s investments.

Because private equity investments rely heavily on the use of leverage, the ability of the KKR Constituents to achieve attractive rates of return on private equity investments will depend on KKR’s continued ability to access sources of indebtedness at attractive rates and on attractive terms. Credit market conditions have been quite favourable for a number of years, but have experienced significant disruption and adverse developments in recent months, which has negatively impacted the availability and terms of debt financing. For example, financing leveraged buyout transactions by issuing high-yield debt securities in the public capital markets has recently become more costly and restrictive than previously was the case. More costly and restrictive financing may adversely impact the returns of leveraged buyout transactions and, therefore, adversely affect the performance of the KKR Constituents. Increases in interest rates could also make it more difficult to locate and consummate private equity investments because other potential buyers, including operating companies acting as strategic buyers, may be able to bid for an asset at a higher price due to a lower overall cost of capital. In addition, a portion of the indebtedness used to finance private equity investments generally includes subordinated debt securities issued in capital markets transactions. Availability of capital from debt capital markets is subject to significant volatility and KKR may not be able to access those markets at attractive rates, or at all, when completing a private equity investment. Any of the foregoing circumstances could have a material adverse effect on the financial condition and the results of operations.

KKR’s private equity investments are typically among the largest in the industry, which involve certain complexities and risks that are not encountered in small- and medium-sized investments.

KKR’s private equity funds make investments primarily in companies with large capitalisations, which involves certain complexities and risks that are not encountered in small- and medium-sized investments. For example, large transactions may be more difficult to finance and exiting larger deals may present incremental challenges. In addition, large transactions may pose greater challenges in implementing changes in the company’s management, culture, finances or operations, and may entail greater scrutiny by regulators, labour unions and other third parties. Recently, labour unions have been more active in opposing certain large investments by KKR’s private equity funds and private equity firms generally. In recent years, the amount of equity capital that is required to complete a large capitalization private equity transaction has increased significantly, which has resulted in some of the largest private equity transactions being structured as “consortium transactions”. A consortium transaction involves an equity investment in which two or more other private equity firms serve together or collectively as equity sponsors. While KKR seeks to limit where possible the amount of consortium transactions in which it is involved, it may not always be able to do so and a number of companies in its private equity portfolio were acquired in consortium transactions. Consortium transactions generally entail a reduced level of control by a private 56 equity firm over the investment, because governance rights must be shared with the other private equity sponsors. Accordingly, KKR may not be able to control decisions relating to a consortium investment, including decisions relating to the management and operation of the company and the timing and nature of any exit, which could give rise to additional risks. Any of these factors could increase the risk that a large investment could be less successful. The consequences to an investment fund of an unsuccessful large investment could be more severe than the circumstances arising from an unsuccessful smaller investment.

An investment in the Notes will differ substantially from a direct investment in one of KKR's traditional private equity funds and the potential return on a Noteholder’s investment may not be commensurate with the returns achieved by limited partners of those funds.

An investment in the Notes will differ substantially from a direct investment in of one of KKR's traditional private equity funds. The differences and risks associated with such differences include the following.

(a) Timing of Capital Contributions. The limited partners of KKR's private equity funds generally are only required to make capital commitments to a fund, which are satisfied only when a capital call is made by the fund's general partner, while the Noteholders will be required to subscribe the Notes in full on issue. Because the Noteholders must fully fund their investments in the Notes at the time they purchase them, and because the cash management strategy of the Index is likely to result in lower returns than private equity investments, Noteholders may realise rates of returns on their investments that are lower than the rates of returns realised by limited partners of KKR's traditional private equity funds.

(b) Absence of "Key Man" Provisions. The limited partners of some, but not all, of KKR's private equity funds generally may terminate their capital commitments to the fund if certain "key man" provisions (provisions which require certain individuals or groups of individuals to remain active in the fund) are triggered prior to the termination of the investment period. The limited partners of KKR's traditional private equity funds would be notified of the occurrence of a “key-man” event, which would allow them to reduce their capital commitments to the fund to the extent those commitments have not already been funded. The documentation governing the KKR Direct Investment Funds and the KKR Alternative Investment Funds does not contain “key man” retention provisions. Accordingly, in the same circumstances, there would not be a requirement that the Noteholders be informed. If a Noteholder did become aware of those circumstances, for example through press reports, its only recourse would be to sell its Notes, and the sale price could be lower than the purchase price, resulting in a loss on the investment.

(c) Differing Calculations of Management Fees. The cost of the management fees that limited partners of KKR's traditional private equity fund bear when the fund pays such fees to KKR, in its capacity as the fund’s investment manager, generally are based on a percentage of capital committed to the fund during the fund's investment period and thereafter based on a reducing percentage of the cost basis of the funds' investments, which causes the fees to decline over time. The management fee that will be payable by the KKR Constituents, like the management fee that is payable by KPE, on the other hand, is based on the Master Fund’s net asset value (which will include cash investments held by KKR Constituents from and after 1 January 2009 but not cash investments held by the Cash Constituents and does not, by its terms, decline over time. As a result, unlike the management fees that limited partners of KKR's traditional private equity funds bear, the management fee that will be paid by the KKR Constituents will vary over time in response to changes in the unrealised value of the investments. Due to the differences in the manner in which these management fees are calculated, the management fee will be payable by the KKR Constituents is expected to be higher than the management fees that are borne by limited partners of KKR's traditional private equity funds. The management fees that would be payable in respect of Additional KKR Constituents may be higher than 1.5% in certain circumstances (see definition of Qualifying PE Funds under the Index Rules at page 105 below).

(d) Lack of Certain Reimbursements for Losses. Distributions that are made to KKR or its affiliates pursuant to carried interests in its traditional private equity funds generally are subject to 57 reimbursement in the event that the fund is in a net loss position upon the termination of the fund. Distributions that are payable to KKR or its affiliates with respect to the KKR Constituents will not be subject to any “clawback” provision that will require KKR or its affiliates to repay any excess amounts previously received in respect of its carried interest or incentive distributions if, upon liquidation, it has received amounts in excess of the amounts to which it was entitled. However, such distributions to KKR or its affiliates will take into account prior realised and unrealised losses.

(e) Less Information. It is expected that limited partners of KKR's traditional private equity funds will receive comparatively more information concerning a fund's portfolio company investments than will be provided to the Noteholders. It is anticipated that such information, which generally would be subject to confidentiality restrictions, may include (i) individual portfolio company valuations, (iii) confidential memoranda relating to a fund's acquisition of a portfolio company and (iii) on a case-by-case basis, certain additional information that a limited partner may request. Noteholders, in contrast, will receive information concerning the performance of the Index and the KKR Constituents, but will not be provided with the same information that limited partners would.

(f) Distributions and Reinvestment Risk. Generally, the terms of KKR's traditional private equity funds require that current income and other net cash proceeds from the funds' investments and from disposals of investments be distributed to the limited partners within specified periods. While Index Income Distributions may be made by the Index Manager, it is not required to cause KKR Constituents to make distributions and the ability to make such distributions will be subject to restrictions set forth in the Index Rules. Accordingly, the only way the Noteholders may be assured to realise a return on their investment in the Notes before maturity or a redemption event will be to sell the Notes that they own (which may be at prices that are less than they paid for them). In addition, whereas the returns that may be realised on investments made in traditional private equity funds are immediately distributed to limited partners, any notional realisations made by the KKR Constituents will be reinvested and become subject to further reinvestment risk unless an Index Income Distribution is determined and an Interest Amount paid in respect of it.

(g) U.S. Withholding Taxes. The U.S. limited partners of KKR's traditional private equity funds generally receive dividends and interest from U.S. portfolio companies free and clear of any U.S. withholding tax. Also, a non-U.S. limited partner of one of KKR's traditional private equity funds resident in a country with a tax treaty with the United States generally is, without filing of a U.S. income tax return, subject to U.S. withholding tax on such dividends and interest only at the reduced rate provided by such tax treaty rather than the 30% rate that is otherwise applicable. By contrast, any dividends or interest paid by a U.S. portfolio company to a KKR Constituent will be subject to U.S. withholding tax at a rate of 30%. It is unlikely that this will be recoverable and accordingly the ability to recover such an amount will not be reflected in the Index Value. The foregoing principles may apply in a similar fashion to non-U.S. withholding taxes imposed on dividends and interest paid by non-U.S. portfolio companies other than, in general, those held by KPE.

Additional factors that could cause the rights and benefits of the Noteholders to differ from the rights and benefits available to limited partners of KKR's traditional private equity funds, including factors that could cause the future performance to differ materially from the historical performance of KKR's private equity funds, are described elsewhere in this Securities Note & Summary.

58 Limited partner interests in the KKR Constituents may trade at a discount to net asset value.

The Index may notionally acquire limited partner interest in KKR Constituents at price that approximate the current net asset value of the fund's investments. Historically, there has been only a limited secondary market for limited partner interests in KKR's private equity funds, and these limited partner interests have at times been transferred at a discount to net asset value. While the price discount has generally decreased or been eliminated in recent years, particularly as a result of purchases of such interests by KPE, such limited partner interests may trade at a discount to net asset value in the future. In addition, if a limited partner interest is acquired in one of KKR's private equity funds and subsequently the value of the limited partner interest is required to be written down due to the price at which such limited partner interests are trading or for any other reason, or if the relevant KKR Constituent is forced to dispose of the limited partner interests at a price that is below the value at which the limited partner interest is carried, the Index Value may be correspondingly written down.

The KKR Constituents will make investments that, in many cases, rank junior to investments made by others.

It is expected that the KKR Constituents will make private equity investments, and may also make alternative investments, in companies that have indebtedness or equity securities, or may be permitted to incur indebtedness or to issue equity securities, that rank senior to the investment. By their terms, such instruments may provide that their holders are entitled to receive payments of dividends, interest or principal on or before the dates on which payments are to be made in respect of the investments. Also, in the event of insolvency, liquidation, dissolution, reorganization or bankruptcy of a company in which an investment is made, holders of securities ranking senior to the investment in the company would typically be entitled to receive payment in full before distributions could be made in respect of the investment. After repaying senior security holders, the company may not have any remaining assets to use for repaying amounts owed in respect of the investment. To the extent that any assets remain, holders of claims that rank equally with the investment would be entitled to share on an equal and rateable basis in distributions that are made out of those assets.

The KKR Alternative Investment Funds will be subject to prime broker risk.

To the extent that a KKR Alternative Investment Fund has transferred its investments to a prime broker as collateral or margin, the KKR Alternative Investment Funds will rank among the prime broker’s unsecured creditors and in the event of the insolvency of the prime broker, the Fund Manager may not be able to recover such assets. The KKR Alternative Investment Funds will be subject to the risk of the inability of the prime broker to perform with respect to transactions, whether due to insolvency, bankruptcy or other causes.

The KKR Constituents will make investments in relatively high-risk, illiquid assets, and may not be able to realise any profits from such investments for a considerable period of time and could lose some or all of the capital invested.

The majority of the KKR Constituents (but not KKR Alternative Investments Funds, which will hold publicly traded investments) will hold investments in securities that are not publicly traded and that require a long- term commitment of capital. A substantial amount of the investments will also be subject to legal and other restrictions on resale or will otherwise be less liquid than publicly traded securities. The illiquidity of these investments may make it difficult to sell investments if the need arises or if KKR determines such sales would be in the best interests of the Index or the KKR Constituent. In addition, if a KKR Constituent were to be required to liquidate all or a portion of an investment quickly, it may realise significantly less than the value at which the investment was previously recorded, which could result in a decrease in its net asset value and a decline in the Index Value. In addition, there may be legal or regulatory restrictions on disposing of investments or such disposals may be subject to consents or pre-emption rights. Such factors may make the investments less liquid and more difficult to realise at an acceptable prices.

Investments made by the KKR Constituents may not appreciate in value or generate investment income or gains.

59 The investment strategies of the KKR Constituents are generally focused on creating value over the long- term. However, investments that those funds make may not appreciate in value and, in fact, may decline in value. For example, individual investments that have been made by some of KKR's private equity funds have lost some or all of their value and represent actual or potential losses for the funds. To the extent two or more KKR Constituents make investments alongside each other in the same portfolio company, the effect of any such diminution of Index Value would be magnified. In addition, some of the investments of the KKR Constituents may include investments in debt securities. Issuers of debt securities may default on payments of interest, principal or both. Accordingly, there can be no assurances the KKR Constituents will generate investment gains or income or that any gains or income that may be generated will be sufficient to offset any losses that may be sustained.

Economic recessions or downturns could impair the value of the investments or prevent the KKR Constituents from increasing the investment base.

The KKR Constituents may make investments in companies that are susceptible to economic recessions or downturns. During periods of adverse economic conditions, these companies may experience decreased revenues, financial losses, and difficulty in obtaining access to financing and increased funding costs. During such periods, these companies may also have difficulty in expanding their businesses and operations and be unable to meet their debt service obligations or other expenses as they become due. Any of the foregoing could cause the value of those investments to decline. In addition, during periods of adverse economic conditions, it may be difficult to access financial markets, which could make it more difficult or impossible to obtain funding for additional investments and adversely affect the performance of the KKR Constituents and the Index.

The success of the strategies adopted in respect of the KKR Alternative Investment Funds will depend, in large part, on the ability of KKR to interpret market data correctly and to exploit price discrepancies in the capital markets.

The success of the investment strategies adopted in respect of the KKR Alternative Investment Funds will depend upon the ability of the Fund Manager to interpret market data correctly. The Fund Manager may seek to use specialised investment strategies, follow allocation methodologies, apply investment models or assumptions, achieve a certain level of performance relative to specified benchmarks, and enter into hedging and other strategies intended, among other things, to affect the Fund Manager’s performance, risk levels and/or market correlation. There can be no assurance that the Fund Manager will have success in achieving any goal related to such practices.

The success of the Fund Manager’s trading activities will depend, among other things, on the Fund Manager’s ability to identify overvalued and undervalued investment opportunities and to exploit price discrepancies in the capital markets. Identification and exploitation of the investment strategies pursued by the Fund Manager involves a high degree of uncertainty. A reduction in the volatility and pricing inefficiency of the markets in which the Fund Manager may seek to invest, as well as other market factors, will reduce the scope for the Fund Manager’s investment strategies.

Market values of publicly traded securities that are held as investments may be volatile.

The KKR Constituents are expected to include investments in publicly traded securities and at least one of the KKR Constituents, KPE, has publicly traded limited partner interests. The market prices and values of publicly traded securities may be volatile and are likely to fluctuate due to a number of factors beyond KKR’s control, including actual or anticipated fluctuations in the quarterly and annual results of the issuer and other companies in the industries in which it operates, market perceptions concerning the availability of additional securities for sale, general economic, social or political developments, changes in industry conditions, changes in government regulation, shortfalls in operating results from levels forecast by securities analysts, the general state of the securities markets and other material events, such as significant management changes, refinancing, acquisitions and dispositions. Changes in the values of publicly traded securities may adversely affect the Index Value and cause the market price of the Notes to fluctuate.

60 KKR has accepted certain standby purchaser obligations in respect of KKR Constituents or their assets but at a price less than their market value.

Certain of the KKR Constituents may have to liquidate their assets or have to be liquidated from the Index following the occurrence of a Trigger Event. If KKR (as fund manager) is unable to sell an illiquid asset or its holding in any such KKR Constituent it may be subject to the obligation, pursuant to the terms of a standby purchaser agreement, to purchase those assets or interests on its own account at a price equal to 95% of fair value.

The due diligence process that KKR intends to undertake in connection with the investments may not reveal all facts that may be relevant in connection with an investment.

Before making investments, KKR intends to conduct extensive due diligence it deems reasonable and appropriate based on the facts and circumstances applicable to each investment. The objective of the due diligence process will be to identify attractive investment opportunities based on the facts and circumstances surrounding an investment and, in the case of private equity investments, to prepare a framework that may be used from the date of an acquisition to drive operational achievement and value creation. When conducting due diligence, KKR will be expected to evaluate a number of important business, financial, tax, accounting, environmental and legal issues in determining whether or not to proceed with an investment. Outside consultants, legal advisers, accountants and investment banks are expected to be involved in the due diligence process in varying degrees depending on the type of investment. Nevertheless, when conducting due diligence and making an assessment regarding an investment, KKR will be required to rely on resources available to it, including information provided by the target of the investment and, in some circumstances, third party investigations. The due diligence process may at times be subjective with respect to newly organised companies for which only limited information is available. Accordingly, there can be no assurances that the due diligence investigation that KKR will carry out with respect to any investment opportunity will reveal or highlight all relevant facts that may be necessary or helpful in evaluating such investment opportunity. No assurances can be made that such an investigation will result in an investment being successful.

The KKR Alternative Investment Funds will invest in and trade financial instruments using strategies and investment techniques with significant risk characteristics.

The KKR Alternative Investment Funds will invest in and actively trade financial instruments using strategies and investment techniques with significant risk characteristics, including risks arising from the volatility of the fixed income, commodity, currency and equity markets, risks of concentration, risks of short sales, risks of leverage, risks arising from the potential illiquidity of derivative instruments and the potential illiquidity of certain emerging markets, the risk of loss from counterparty and broker defaults, and the risk of borrowing. The investment strategy may use investment techniques such as margin transactions, option transactions, short sales, forward contracts and futures contracts, which involve substantial volatility and can, in certain circumstances, substantially increase the adverse impact to which the KKR Alternative Investment Funds may be subject.

KKR funds have made investments in companies that KKR do not control, exposing KKR to the risk of decisions made by others with which KKR may not agree.

The KKR Constituents will hold some investments in companies that KKR does not control. Such investments may be acquired by the KKR Constituents through trading activities or through purchases of securities from the issuers. In addition, the KKR Constituents may acquire minority equity interests, particularly when sponsoring investments as part of a large investor consortium, and may also dispose of a portion of their majority equity investments in portfolio companies over time in a manner that results in the funds retaining a minority investment. Those investments will be subject to the risk that companies in which investments are made may make business, financial or management decisions with which KKR does not agree or that the majority stakeholders or the management of the company may take risks or otherwise act in a manner that does not serve the interests of the KKR Constituents or Noteholders. If any of the foregoing were to occur, the values of investments could decrease and the financial condition and results of operations could suffer as a result.

61 The KKR Constituents will make investments in companies that are based outside of the United States, which may create exposure to additional risks not typically associated with investing in companies that are based in the United States.

The investment strategies of the KKR Constituents contemplate that they may make investments in companies that are based outside of the United States, including in Asia and Europe. Investing in companies that are based outside of the United States, particularly in countries characterised as having emerging markets, involves risks and considerations that are not typically associated with investments in companies established in the United States. These risks may include the possibility of exchange control regulations, political and social instability, nationalization or expropriation of assets, the imposition of non- U.S. taxes, less liquid markets, adverse fluctuations in currency exchange rates, higher rates of inflation, less available current information about an issuer, higher transaction costs, less government supervision of exchanges, brokers and issuers, less developed bankruptcy laws, difficulty in enforcing contractual obligations, lack of uniform accounting, auditing and financial reporting standards, less stringent requirements relating to fiduciary duties, fewer investor protections and greater price volatility.

The KKR Constituents are likely to hold some investments that are denominated in a foreign currency. These investments will be subject to the risk that the value of a particular currency will change in relation to one or more other currencies. Among the factors that may affect currency values are trade balances, levels of short-term interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation and political developments. KKR may employ hedging techniques to minimise these risks, but there can be no assurances that such strategies will be effective. If KKR engages in hedging transactions, there may be exposure to additional risks associated with such transactions.

Risk management activities may adversely affect the return on investments.

When managing exposure to market risks, KKR may use hedging strategies or certain forms of derivative instruments to limit exposure to changes in the relative values of investments that may result from changes in currency exchange rates. The scope of risk management activities undertaken by KKR varies based on market conditions, the types of investments that are made and other changing factors. The use of hedging transactions and other derivative instruments to reduce the effects of a decline in the value of a position does not eliminate the possibility of fluctuations in the value of the position or prevent losses if the value of the position declines. However, such activities can establish other positions designed to gain from those same developments, thereby offsetting the decline in the value of the position. Such transactions may also limit the opportunity for gain if the value of a position increases. Moreover, it may not be possible to limit the exposure to a market development that is so generally anticipated that a hedging or other derivative transaction cannot be entered into at an acceptable price.

The success of any hedging or other derivative transactions that KKR enters into generally will depend on its ability to correctly predict market changes. As a result, while KKR may enter into such transactions in order to reduce the KKR Constituents exposure to market risks, unanticipated market changes may result in poorer overall investment performance than if the hedging or other derivative transaction had not been executed. In addition, the degree of correlation between price movements of instruments used in connection with hedging activities and price movements in a position being hedged may vary. Moreover, for a variety of reasons, KKR may not seek or be successful in establishing a perfect correlation between the instruments used in a hedging or other derivative transactions and the position being hedged. An imperfect correlation could prevent KKR from achieving the intended result and could give rise to a loss. In addition, it may not be possible to fully or perfectly limit a fund’s exposure against all changes in the value of its investments, because the value of investments is likely to fluctuate as a result of a number of factors, some of which will be beyond KKR’s control or ability to hedge.

The KKR Alternative Investment Funds will utilise leverage which may increase the volatility of their investments.

The Fund Manager is expected to utilise leverage in its investment strategies in respect of the KKR Alternative Investment Funds. Such leverage may take the form of loans for borrowed money, trading

62 on margin or other forms of direct and indirect borrowings, or derivative instruments, including, among others, forward contracts, futures contracts, options, swaps and reverse repurchase agreements, and other instruments and transactions that are inherently leveraged. The use of leverage will increase the volatility of the KKR Alternative Investment Funds’ investments.

The KKR Alternative Investment Funds may employ hedging techniques and the ability of the Fund Manager to hedge successfully will depend on its ability to predict pertinent market movements.

The Fund Manager may or may not employ hedging techniques. These techniques could involve a variety of derivative transactions, including futures contracts, exchange-listed and over-the-counter put and call options on securities, financial indices, forward foreign currency contracts, and various interest rate transactions (collectively, “Hedging Instruments”). Hedging techniques involve risks different than those of underlying investments. In particular, the variable degree of correlation between price movements of Hedging Instruments and price movements in the position being hedged creates the possibility that losses on the hedge may be greater than gains in the value of the fund’s position. In addition, certain Hedging Instruments and markets may not be liquid in all circumstances. As a result, in volatile markets, transactions in certain of these instruments may not be able to be closed out without incurring losses substantially greater than the initial deposit. Although the contemplated use of these instruments should tend to minimise the risk of loss due to a decline in value of the hedge position, at the same time they tend to limit any potential gain that might result from an increase in the value of the position.

The ability of the Fund Manager to hedge successfully will depend on the Fund Manager’s ability to predict pertinent market movements, which cannot be assured. There is also a risk that the Fund Manager may over-hedge or under-hedge a particular exposure because it has incomplete information regarding the amount of such exposure to which the fund’s investments are subject. The Fund Manager is not required to hedge and there can be no assurance that hedging transactions will be available or, even if undertaken, will be effective.

KKR may engage in short selling that creates a risk of loss that is difficult to quantify.

KKR may engage in short selling. Short selling involves selling securities which may or may not be owned and borrowing the same securities for delivery to the purchaser, with an obligation to replace the borrowed securities at a later date. Short selling allows the investor to profit from declines in the value of securities. A short sale creates the risk of a theoretically unlimited loss, in that the price of the underlying security could theoretically increase without limit, thus increasing the cost of buying those securities to cover the short position. KKR is therefore subject to certain restrictions on the amounts that it can use in short selling. But there can be no assurance that the security necessary to cover the short position will be available for purchase. Purchasing securities to close out a short position can itself cause the price of the securities to rise further, thereby exacerbating the loss.

There is also a risk that the securities borrowed in connection with a short sale must be returned to the securities lender on short notice. If a request for return of borrowed securities occurs at the time when other short sellers of securities are receiving similar requests, a “short squeeze” can occur, and it may be necessary to replace borrowed securities previously sold short with purchases on the open market at the most disadvantageous time, possibly at prices significantly in excess of the proceeds received in originally selling the securities short.

The Index Manager allocates Index Value to the Index Constituents (including the KKR Constituents and the Cash Constituent) but the Index Manager (acting in that capacity) has no right to direct how the KKR Constituent or the Cash Constituent actually invest their funds.

It is not possible through the Index Strategy Agreement for the Index Manager to direct the fund manager(s) of the KKR Constituent or the Cash Constituent as to the investments they should make. The performance of the Index depends largely on the performance of such fund managers over which the Index Manager (in that capacity) has no contractual control. However, under the hedging

63 arrangements put in place by the Issuer, KKR will owe a duty to manage the assets in the hedge to reflect in the same manner, at the same times and in the same proportions as changes in the assets that are notionally acquired or disposed of for the purposes of the Index. Potential investors should also note that KPE are public funds and their assets are managed solely in accordance with the rules governing those funds.

The KKR Alternative Investment Funds may invest in non-publicly traded securities and financial instruments that may not be readily disposable.

The KKR Alternative Investment Funds may invest some of their assets in securities and financial instruments that are not publicly traded. Such non-publicly traded securities and financial instruments may not be readily disposable and, in some cases, may be subject to contractual, statutory or regulatory prohibitions on disposal for a specified period of time. Such illiquidity may result from the factors referred to above or from others, such as the nature of the instrument being traded or the nature and/or maturity of the market in which it is being traded, or because there is no established market for the relevant securities. Even where there is an established market the price and/or liquidity of instruments in that market may be materially affected by certain factors, some or all of which may be strategy specific.

E. Risks Relating to the Cash Constituent

The Cash Constituent will consist of equity interests that entitle their holders to share in the residual assets of the Cash Constituent after all liabilities of the Cash Constituent have been discharged. Cash Fund Units are denominated in U.S.$ and shall be held in the Notional Account of the Index in order to reflect notional proceeds received from (x) notional disposals of Fund Units held in the Notional Account, (y) distributions notionally received in respect of Fund Units held in the Notional Account and/or (z) Index Adjustments, in each case, to the extent that such notional amounts are not concurrently used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) acquisition costs, (v) disposal costs and/or (vi) Index Adjustments. The Index Manager will manage the Cash Constituent pursuant to the Index Rules. No management fees or carry will be charged for investments made by the Cash Constituent, although those investments are expected to generate comparatively lower returns than the KKR Constituent or the FI Constituent.

F. Risks relating to the FI Constituent

Potential investors should note that, as of the Index Start Date, the Index will be partly comprised of a U.S. government bond index (the “Bond Index “) and therefore the performance of the Index will, in part, reflect the performance of the Bond Index which reflects a portfolio of U.S. Treasuries. The fixed income and floating rate securities in which the Bond Index may invest are interest rate-sensitive, which means that their value and, consequently, the level of the Bond Index, will fluctuate as interest rates fluctuate. An increase in interest rates will generally reduce the value of the fixed income securities. The average maturity of the portfolio will decrease from the Issue date to the Scheduled Maturity Date and, as a result, so will its sensitivity to interest rates.

There can be no assurance that the applicable Reference Bond Index selected by the Index Administrator from time to time will remain published on a continuous basis or that its sponsor will not alter the way in which such Reference Bond Index is calculated. Although the Index Rules provide that the Index Administrator shall select a substitute index that is reasonably comparable to the relevant Reference Bond Index and that such selection is reasonably acceptable to the Index Manager, there can be no assurance that such replacement index will perform in the same way as the relevant Reference Bond Index would have done. If the publication of the relevant Reference Bond Index resumes during an Accounting Period after a substitute index has been selected, even if the performance of such Reference Bond Index is such that it would result in the Index Value allocable to the FI Constituent being higher than that of the replacement, there is no mechanism whereby the Index Administrator can re-select the relevant Reference Bond Index until the end of the current Accounting Period.

64 Changes to the Bond Floor under the Index Rules may result in the Index Manager allocating Index Value to riskier investments in the KKR Constituents instead of in the FI Constituent

The Bond Floor selected under the Index Rules is intended to reflect a minimum level of a notional investment in the FI Constituent, which involves less risk than notional investments in the KKR Constituents. The Index Sponsor, the Index Administrator and the Index Manager may agree to reduce the level of the Bond Floor so that proportionately more Index Value may be allocated to KKR Constituents. Such investments in KKR Constituents may result in higher returns than a notional investment of the same amount of Index Value in the FI Constituent but also carry carries with them greater risks, which may in turn result in lower returns than would otherwise have been achieved by the notional investment in the FI Constituent. There can be no assurance that the higher returns profile expected of the KKR Constituents will be achieved.

G. Risks Relating to Taxation

The Index Value will be determined taking into account income, withholding and other taxes that would be incurred on income and gains from the investments made by the Index Manager on behalf of the managed entities in various jurisdictions including, in particular, the jurisdiction of the investment. No tax treaties that might otherwise reduce the rate of taxation on such income or gains will be taken into account. As a result, the Index Value and, therefore, the return on the Notes will be reduced.

65 INFORMATION ABOUT KKR

Overview

Founded in 1976, KKR is a leading global alternative asset manager. Its more than 400 employees, including more than 150 investment professionals, are led by its founders, Henry Kravis and George Roberts, who are pioneers of the leveraged buyout industry. Its history of landmark achievements in private equity include the first leveraged buyout in excess of U.S.$1 billion, several of the largest leveraged buyouts announced worldwide to date, the first buyout of a public company by tender offer and the largest leveraged buyouts completed or announced in each of the United States, the Netherlands, Denmark, India, Australia, Turkey, Singapore and France. KKR has continued its history of innovation by establishing new public equity and debt strategies that leverage the power of its brand and the intellectual capital in its private equity business.

Today, through its offices in New York, Menlo Park, San Francisco, London, Paris, Hong Kong and Tokyo, KKR sponsors and manages funds that make investments worldwide in private equity and debt transactions on behalf of it and third-party investors. KKR also manages substantial investments in public equity. During its 31-year history, KKR has raised sixteen (16) funds that received approximately U.S.$59.7 billion of initial capital and capital commitments from investors. As of 30 June 2007, KKR’s traditional private equity funds (which exclude KPE) had generated U.S.$76.5 billion of realised and unrealised value, of which U.S.$56.5 billion had been distributed to investors in the form of cash.

Since its inception, KKR’s private equity funds have completed or announced more than sixty (60) private equity transactions having an aggregate transaction value of over U.S.$413 billion and an aggregate equity investment of over U.S.$45 billion, including more than ten (10) private equity transactions with a transaction value in excess of U.S.$135 billion and an aggregate equity investment of U.S.$12.6 billion that have been completed or announced since 30 June 2007. It has grown its assets under management significantly, from approximately U.S.$18.3 billion as of 31 December 2002 to approximately U.S.$54.4 billion as of 30 June 2007, making it one of the largest independent alternative asset managers in the world. KKR’s current private equity portfolio consists of forty two (42) portfolio companies with more than U.S.$180 billion of annual revenues and more than 800,000 employees worldwide. These companies are based in more than twelve (12) countries and operate in more than twelve (12) industries, providing KKR with broad and deep industry and operating expertise.

KKR approaches its business and its investments as industrialists. It seeks to invest in high quality companies that have strong business franchises, attractive growth prospects, leading market positions and the ability to generate superior returns. When it makes investments, it partners with highly motivated management teams to design and implement strategic and operational changes that create value in the businesses it acquires and it aligns its interests with other stakeholders by putting its own capital at risk. Since its inception, KKR’s investment professionals, senior advisors and other executives have invested or committed to invest over U.S.$1.5 billion of their personal capital in or alongside its funds.

Global Operations

With offices in seven (7) major financial centres located in three (3) different continents, KKR has established itself as a leading global alternative asset manager. Its expansion outside of the United States began in 1995, when it made its first investment in Canada. Since that time, it has taken a long- term strategic approach to investing globally and has established a presence in Europe and Asia with multilingual and multicultural investment teams that have local market knowledge and significant business, investment and operational experience in the countries in which it invests. KKR believes that its global capabilities have assisted it in raising capital and capturing a greater number of investment opportunities, while enabling it to diversify its operations.

The following charts present information concerning the amount of capital invested by the KKR 1996 Fund and KKR’s subsequent private equity funds by geography and industry from the time of the 1996 Fund’s first investment through 30 June 2007.

66 Dollars Invested by Geography Dollars Invested by Industry

(1996 Fund and Subsequent Funds (1996 Fund and Subsequent Funds as of 30 June 2007) as of 30 June 2007)

Chemicals, 2.8% Telecom, 7.2% Consumer Product, 2.9% Asia, 6.0% Energy, 2.6% Financial Services, 7.0% Technology, 11.3%

Health Care, 9.3%

Retail, 12.1% Hotel Leisure, 3.2% North America, 46.9%

Recycling, 1.4% Europe, 47.1% Industrials, 19.8% Media, 20.4%

Source: KKR

While its operations span multiple continents and asset classes, KKR’s investment professionals are supported by a centralised and integrated infrastructure and operate under a common set of principles and business practices that are monitored by its global committees. KKR believes that it has created a single culture that rewards investment discipline, creativity, determination and patience and the sharing of information, resources, expertise and best practices across its offices. When appropriate, KKR staffs transactions across multiple offices in order to take advantage of the industry-specific expertise of its investment professionals, and it holds regular meetings in which investment professionals throughout its offices share their knowledge and experiences. KKR believes that the ability to draw on the local cultural fluency of its investment professionals while maintaining a centralised and integrated global infrastructure distinguishes it from other alternative asset managers and has been a substantial contributing factor to its ability to raise funds and invest internationally.

KKR’s Team

Equity Investment Professionals

KKR currently employs over 125 investment professionals who focus primarily on equity investments. These individuals come from diverse backgrounds in private equity, operations, strategic consulting and finance and include some of the most experienced equity investors in the world. Over the past six (6) years, KKR has focused its senior-level equity recruiting efforts on executives with significant operating experience, including former chief executive officers and chief financial officers of companies operating in a wide range of industry sectors. As a group, KKR’s equity investment professionals provide it with a powerful global team for identifying businesses with durable competitive advantages; developing capital structures for portfolio companies that support their business strategies; working with management teams to create value for unitholders; providing portfolio companies with access to a global network of resources that strengthen their operations; and generating superior investment returns.

Senior Advisors

To complement the expertise of its investment professionals, KKR has retained a team of twenty (20) senior advisors to provide it with additional operational and strategic insights. The responsibilities of its senior advisors include serving on the boards of its portfolio companies, helping it evaluate individual investment opportunities and assisting its portfolio companies with operational matters. Its team of senior advisors currently includes Edwin L. Artzt (the former Chairman and Chief Executive Officer of Procter & Gamble), Sir John Bond (the former Group Chairman of HSBC Holdings plc), Richard L. Clemmer (the former Chief Executive Officer of Agere Systems), George M.C. Fisher (the former Chairman, Chief Executive Officer and President of Eastman Kodak Company), Hirashi Hosokawa (the former Japanese

67 Vice Minister for International and Economic Affairs), Joe Forehand (former Chairman and Chief Executive Officer of Accenture) and Dr. Edward Tian Suning (the Chairman of China Broadband Capital L.P. and the Vice Chairman and former Chief Executive Officer of China Netcom Group) as well as other individuals who have held leading positions in major corporations and public agencies worldwide. Five (5) of its senior advisors also participate on its portfolio management committee, which monitors the performance of its private equity investments.

Operating Consultants

KKR has developed an institutionalised process for creating value in its investments. As part of its effort, it utilises the services of Capstone Consulting, a team of operational consultants that works exclusively with its investment professionals and portfolio company management teams. Capstone, which has approximately thirty (30) consultants located in New York, Menlo Park and London, provides it with additional expertise for assessing investment opportunities and assisting managers of its portfolio companies in defining strategic priorities and implementing operational changes. During the initial phases of an investment, Capstone’s work seeks to implement its thesis for value creation. Its consultants may assist KKR’s portfolio companies in addressing top-line growth, cost optimization and efficient capital allocation and in developing operating and financial metrics. Over time, Capstone’s work shifts to identifying challenges and taking advantage of business opportunities that arise during the life of an investment. While KKR does not require its portfolio companies to engage Capstone, in its experience most portfolio company managers embrace Capstone’s involvement as a result of the operational expertise and bottom-line focus of its consultants. In addition, to assist KKR with investments in the insurance industry, it has established an exclusive relationship with Fisher Capital, an insurance advisory firm that was founded by Jim Fisher after the successful sale of its investment in American Re- insurance, where Mr. Fisher served as the Chief Financial Officer.

Global Committees

KKR’s investment processes are overseen by committees that operate globally. These committees include a separate investment committee for its private equity funds and a portfolio management committee for its private equity funds. KKR’s equity investment committee is responsible for reviewing and approving all investments made by its funds; monitoring due diligence practices; and providing advice in connection with the structuring, negotiation, execution and pricing of investments. KKR’s portfolio management committee is responsible for working with its investment professionals from the date on which an investment is made by a private equity fund until the time the investment is exited in order to ensure that strategic and operational objectives are accomplished and that the performance of the investment is closely monitored. KKR’s founders, Henry Kravis and George Roberts, are active members of these committees. Other members consist of its senior principals. KKR’s portfolio management committee is also advised by certain of its senior advisors and consultants from Capstone.

Track Record

When KKR makes private equity investments, it adheres to a disciplined investment approach that seeks to generate large multiples of invested capital and attractive IRRs by focusing on fundamentals and implementing operational and strategic changes that allow it to create and realise long-term value in its portfolio companies. KKR places significant emphasis on selecting high-quality investments that may be made at attractive prices, working with management to design and implement changes that drive value creation, and making informed decisions when developing investment exit strategies.

From its inception through 30 June 2007, KKR’s first ten (10) traditional private equity funds (representing all of its private equity funds that have invested for at least thirty (30) months) achieved a multiple of invested capital of 2.8x and a cumulative gross IRR of 26.3%, compared to the 13.7% gross IRR achieved by the S&P 500 Index over the same period. The S&P 500 Index is an unmanaged index and its returns assume reinvestment of dividends and do not reflect any fees or expenses. During 2007, KKR was also named “Best Private Equity Firm” by Global Finance and “European Large Buyout Firm of the Year” by Financial News, and the KKR Strategic Capital Funds were named “Hedge Fund Launch of the Year” by Alternative Investment News.

68 The table below presents information as of 30 June 2007 relating to the historical performance of each of the traditional private equity funds raised by KKR since its inception, which KKR believes illustrates the benefits of its approach to making private equity investments. This data does not reflect acquisitions or disposals of investments, changes in investment values or distributions occurring after 30 June 2007. See “Cautionary Note Regarding Historical Fund Performance” at pages 34 to 36 below. The table below presents information as of 30 June 2007 relating to the historical performance of each of KKR’s traditional private equity funds raised since its inception, which KKR believes illustrates the benefits of its approach to making private equity investments. This data does not reflect acquisitions or disposals of investments, changes in investment values or distributions occurring after 30 June 2007.

Multiple Amount Fair Value of Investments of Gross Net Invested Private Equity Funds Committed Invested Realised Unrealised Total IRR IRR Capital

(U.S.$ in millions)

1976 Fund ...... 31 31 537 — 537 39.5% 35.5% 17.3

1980 Fund ...... 357 357 1,828 — 1,828 29.0% 25.8% 5.1

1982 Fund ...... 328 328 1,290 — 1,290 48.1% 39.2% 3.9

1984 Fund ...... 1,000 1,000 5,963 — 5,963 34.5% 28.9% 6.0

1986 Fund ...... 672 672 9,081 — 9,081 34.4% 28.9% 13.5

1987 Fund ...... 6,130 6,130 14,746 270 15,016 12.2% 9.0% 2.5

1993 Fund ...... 1,946 1,946 4,124 36 4,160 23.6% 16.8% 2.1

1996 Fund ...... 6,012 6,012 10,535 1,926 12,461 18.7% 14.0% 2.1

European Fund (1999)(1) ...... 3,085 3,085 3,992 4,341 8,333 32.4% 24.7% 2.7

Millennium Fund (2002)...... 6,000 5,886 4,358 7,468 11,826 52.3% 39.8% 2.0

European Fund II (2005)(2) ...... 5,670 3,976 35 4,390 4,425 * * *

2006 Fund ...... 16,625 1,578 — 1,578 1,578 * * *

Asian Fund (2007) ...... 4,000 — — — — * * *

Total Funds(3) ...... 51,856 31,001 56,489 20,009 76,498 26.3% 20.3% 2.8

Source: KKR

Notes:

(2) The European Fund II’s capital commitments include euro-denominated commitments of €2,597.2 million. Such amounts have been converted into U.S. dollars based on the exchange

69 rate prevailing on (i) the dates on which capital was called in the case of funded commitments and (ii) 30 June 2007 in the case of unfunded commitments.

(3) The gross IRR, net IRR, and multiples of invested capital for Total Funds are calculated based on KKR’s first ten (10) traditional private equity funds, which represent all of its private equity funds that have invested for at least thirty (30) months. The European Fund II, the 2006 Fund and the Asian Fund have not invested for at least thirty (30) months. As a result, no IRR or multiples of invested capital have been calculated with respect to those funds.

Private Equity

Private Equity Experience

KKR is a world leader in private equity. Its private equity funds focus on investing in large capitalization companies, which represent the largest end of the leveraged buy out market. KKR believes this focus allows it to invest in industry-leading franchises that have global operations and are best suited for attracting world-class management teams. This approach leverages KKR’s sizeable capital base, infrastructure, skill set, global network and industry and operating expertise, which KKR believes set it apart from others.

Since its inception, KKR’s private equity funds have completed or announced more than sixty (60) private equity transactions having an aggregate transaction value of over U.S.$413 billion and an aggregate equity investment of over U.S.$45 billion, including more than ten (10) private equity transactions with a transaction value in excess of U.S.$135 billion and an aggregate equity investment of U.S.$12.6 billion that have been completed or announced since 30 June 2007. As of 30 June 2007, KKR’s private equity funds had generated U.S.$76.5 billion of realised and unrealised value, of which U.S.$56.5 billion had been distributed in the form of cash. KKR’s current private equity portfolio consists of 42 portfolio companies with more than U.S.$180 billion of annual revenues and more than 800,000 employees worldwide. These companies are based in more than twelve (12) countries and operate in more than twelve (12) industries, which provides KKR with broad and deep industry and operating expertise.

KKR believes that its experience and long-term track record of investing large amounts of capital in a wide range of industry sectors and geographical regions and economic and financial conditions are among the many factors that distinguish its private equity business. KKR has also achieved a number of other milestones that it believes differentiate it as an alternative asset manager. These accomplishments include:

· completing or announcing more than sixty (60) private equity transactions valued in excess of U.S.$1 billion, including the first leveraged buyout in excess of U.S.$1 billion ever completed;

· sponsoring the first private equity transaction using a tender offer structure;

· sponsoring or co-sponsoring many of the largest private equity transactions completed worldwide and the largest private equity transaction announced anywhere to date; and

· sponsoring or co-sponsoring the three largest private equity transactions completed in Canada, the two largest leveraged buyouts completed in France and the largest leveraged buyouts completed in each of Denmark, the Netherlands, Australia, India and Singapore.

Private Equity Investment Approach

KKR’s approach to making private equity investments focuses on achieving large multiples of invested capital and attractive IRRs by selecting high-quality investments that may be made at attractive prices, applying rigorous standards of due diligence when making investment decisions, implementing strategic and operational changes that drive value creation in the businesses it acquires, carefully monitoring investments and making informed decisions when developing investment exit strategies. KKR believes

70 that it has achieved a leading position in the private equity industry by applying a disciplined investment approach and by building strong partnerships with highly motivated management teams who put their own capital at risk. When making private equity investments, it seeks out large capitalization companies with strong business franchises, attractive growth prospects, defensible market positions and the ability to generate attractive returns. KKR does not participate in “hostile” transactions that are not supported by its target company’s board of directors.

Sourcing and Selecting Investments

KKR has access to significant opportunities for making private equity investments as a result of its sizeable capital base, its global infrastructure and its worldwide network of contacts at major companies, commercial and investment banks, financial intermediaries, other investment and advisory institutions and political leaders. Members of its global network frequently contact it with new investment opportunities, including a substantial number of exclusive investment opportunities and opportunities that are made available to only a very limited number of other firms, which has generated substantial deal flow for it. KKR also proactively pursues business development strategies that are designed to generate deals internally based on the depth of its industry knowledge and its reputation as a leading financial sponsor.

To enhance its ability to identify and consummate private equity investments, KKR has organised its private equity professionals in industry-specific teams that focus on the nine (9) industry sectors in which it is most active: chemicals; consumer products; energy and natural resources; financial services; health care; industrial; media and communications; retail and technology. The investment professionals in each of these industry teams are responsible for developing a network of industry experts and an in-depth understanding of their industry’s economic drivers, inherent risks and opportunities for value creation. Each team is led by one of its principals and staffed with three (3) to five (5) other investment professionals. Industry teams work together across its offices and hold frequent conference calls to share ideas and identify potential acquisition candidates. Former operating executives have recently joined the firm to augment the industry teams and lend an additional operating perspective to its investment analyses.

KKR believes that its industry-specific expertise provides it with important proprietary investment opportunities. KKR believes that its deep and broad industry expertise enables it to identify market opportunities and trends and provides it with a significant advantage when investing in more complex and regulated industries, such as banking, insurance and power generation and transmission. Utilizing its insights and industry contacts to access new markets or target strategic acquisitions also helps it when it works with managers to develop value-creating strategies and, in some instances, can lead to additional revenue opportunities for its portfolio companies.

Due Diligence and the Investment Decision

Once a private equity investment opportunity has been identified by a KKR employee, the investment team that is responsible for the investment introduces the opportunity to the other equity professionals during one of KKR’s weekly video conference calls. These calls provide a forum in which investment teams may leverage the collective skills, experiences and resources of all of KKR’s equity professionals in connection with the investment decision process. When an investment team determines that an investment proposal is worth serious consideration, the proposal is formally presented to KKR’s equity investment committee and the due diligence process commences.

The objective of the due diligence process is to identify attractive investment opportunities based on the facts and circumstances surrounding an investment and to prepare a framework that may be used from the date of an acquisition to drive operational achievement and value creation. When conducting due diligence, KKR’s investment teams evaluate a number of important business, financial, tax, accounting, environmental and legal issues in order to determine whether an investment is suitable. In connection with the due diligence process, KKR’s investment professionals spend significant amounts of time meeting with a company’s management and operating personnel, visiting plants and facilities and speaking with customers and suppliers in order to understand the opportunities and risks associated with

71 the proposed investment. KKR’s investment professionals also use the services of outside accountants, consultants, lawyers, investment banks and industry experts as appropriate to assist them in this process. These due diligence practices are monitored by KKR’s equity investment committee, which must approve an investment before it may be made, and often provide important insights for creating value once an investment is completed.

Building a Successful Business

Once an investment is made in a portfolio company, KKR and its outside consultants closely monitor the company’s performance with the objective of driving growth, enhancing profitability and optimizing long- term value for shareholders. KKR works closely with management teams to define strategic priorities and develop operating budgets and encourage its portfolio companies to invest for future competitiveness, improve operating efficiencies, make strategic acquisitions and incentivise employees by giving them ownership in the business. KKR establishes clear monitoring guidelines to measure a portfolio company’s performance and frequently meets with members of management to review the company’s financial and operating results and strategic priorities. KKR’s investment teams and the managers of its portfolio companies appear before its portfolio management committee at regular intervals to report on their progress and to discuss potential areas of concern and proposed solutions for addressing any issues that are identified.

Realizing Investments

KKR has developed substantial expertise for realizing private equity investments. From its inception through 30 June 2007, KKR generated approximately U.S.$56.5 billion of cash proceeds from the sale of its portfolio companies in initial public offerings, secondary offerings, recapitalisations and sales to strategic buyers. When KKR exits an investment, its objective is to structure the exit in a manner that optimises returns for investors and, in the case of publicly traded companies, minimises the impact that the exit has on the trading price of the company’s securities. KKR believes that its ability to successfully realise investments is attributable in part to the strength and discipline of its portfolio management committee and its longstanding relationships with corporate buyers and members of the investment banking and investing communities.

Public Equity

Public Equity Experience

Although its funds have historically focused on private equity and debt investments, KKR has managed investments in public equity throughout its history. Initially, its public equity investments consisted of minority and structured investments in public companies that were made by its private equity funds. More recently, its private equity-oriented permanent capital fund have provided it with more flexibility than traditional private equity funds and an additional capital base for making equity investments in public companies. Using this capital base, it has been able to build a new portfolio of public equity and equity-linked securities that had a market value of U.S.$1.5 billion as of 30 June 2007.

Public Equity Investment Approach

KKR's approach to making public equity investments generally seeks to leverage the intellectual capital developed in the course of its traditional private equity business, which may otherwise not be utilised if a private equity transaction is not consummated, and focuses on achieving attractive multiples of invested capital and IRRs by selecting fundamentals-driven investment opportunities, applying rigorous standards of due diligence when making investment decisions, adding value to portfolio companies where possible, subjecting investments to regular monitoring and oversight and making informed buy and sell decisions when realizing investments. When making public equity investments, KKR seeks out companies that have management teams who are willing to consider its suggestions, strong business franchises, attractive growth prospects, sustainable competitive advantages, defensible market positions and the potential to generate attractive returns. KKR generally takes a long-term approach when investing in public equity and avoids making investment decisions based on short-term market volatility.

72 Sourcing and Selecting Investments

KKR believes that its public equity activities benefit significantly from its private equity business as a result of both the company, industry, market knowledge and experience that it has developed as a private equity sponsor and the source of public equity opportunities that its private equity operations provide. In particular, through its private equity activities, KKR periodically identifies opportunities to make suitable public equity investments that fall outside the investment scopes of its traditional private equity funds due to such reasons as the relative size of the investment or the fact that the target may be unwilling to sell control or has elected to pursue an alternative transaction. Because its private equity professionals and public equity specialists are integrated and share information, resources, expertise and best practices with one another, KKR is able to leverage these opportunities when it believes a public equity investment would be appropriate for a fund that has a broader investment mandate.

Due Diligence and the Investment Decision

When evaluating the suitability of a public equity investment KKR considers critical business, financial, tax, accounting, environmental and legal issues in order to determine whether it should proceed with the investment. KKR’s equity professionals perform a detailed financial analysis of the target company and a comprehensive ‘‘bottom-up’’ and ‘‘top-down’’ review of the target company and the industry in which it operates. This review is often supported by field research and, when appropriate, meetings with management, operating personnel, customers and suppliers and, at times, visits to plants and facilities. KKR's equity professionals use the services of outside accountants, consultants, lawyers, investment banks and industry experts to assist them in this process. These due diligence practices are monitored by its equity investment committee, which must approve an investment before it may be made.

Creating Value

Once a public equity investment has been made, KKR seeks to work with the management team when possible to implement strategies that are designed to enhance shareholder value. While public equity investments typically do not offer the potential for KKR to take an active role in the oversight of management and operations of a portfolio company, KKR believes that it is possible to drive value by sharing its ideas, experience and suggestions with managers, particularly with respect to strategic initiatives. KKR believes that the experience of its equity professionals, who have direct experience working with management teams to improve operating and financial performance, helps it identify areas of potential improvement in a company and provides it with a degree of credibility that increases the willingness of managers to consider implementing its suggestions.

Monitoring Investments

KKR monitors public equity investments with the objective of detecting changes in underlying business fundamentals of portfolio companies as soon as practicable. When monitoring an equity investment in a public company, KKR conducts regular reviews of the financial and operating performance of the company and applies a benchmarking analysis that KKR uses to compare its performance to the performance of its competitors. When possible, KKR seeks to meet with management to review the results of its assessments. KKR also monitors events and issues that are important to the companies in which its funds have made public equity investments and the industry sectors in which they operate.

Buy and Sell Discipline

KKR avoids making buy and sell determinations for public equity investments based on short-term volatility in market prices. Instead, it makes buy and sell decisions based on achieving price targets, changes in business and industry fundamentals, changes in its assessment of management credibility, macro-economic factors and other relevant considerations. If the share price of a public company in which a fund has made an investment declines, KKR re-examines the investment to determine whether its investment thesis is still intact. If the thesis is still intact but the share price has declined moderately, KKR may consider the price decline as an attractive buying opportunity. If the thesis is still intact but the share price has declined significantly, KKR may consider the price decline as creating an opportunity to

73 engage in a leveraged buyout. If the thesis is not intact, KKR may consider exiting the investment. When KKR exits a public equity investment, KKR’s objective is to structure the exit in a manner that optimises its returns and minimises the impact that the exit has on the trading price of the company’s securities.

Certain Relationships and Related Party Transactions

Carried Interests, Incentive Distribution Rights and Management Fees

As is customary in the alternative asset management industry, KKR and its affiliates, as sponsors of investment funds, typically are entitled to carried interests or incentive distribution rights that provide affiliates of KKR with a disproportionate share of the investment gains generated on third-party capital invested by their funds. KKR is also paid a management fee for providing management and other services to its funds. In the case of its traditional private equity funds, KKR may defer receipt of all or any portion of the management fee that is payable, in which case the deferred amount will be retained by the fund. Any deferred management fee typically includes an interest factor, is also deferred. The KKR Direct Investment Funds, the KKR Alternative Investment Funds and KPE do not include a management fee deferral provision. For additional information concerning the carried interests, incentive distribution rights and management fees for the KKR Constituents that will be included in the Index as of the Index Start Date, see “Description of the KKR Constituents” at pages 115 to 129 below.

Portfolio Company Monitoring, Transaction and Break-Up Fees

As is customary in the private equity industry, KKR generally enters into monitoring agreements with its portfolio companies pursuant to which it receives periodic monitoring fees in exchange for providing them with management, consulting and other services, and KKR typically receives transaction fees from portfolio companies for providing them with financial advisory and other services in connection with specific transactions. In some cases, KKR may be entitled to other potential fees that are paid by an investment target when a potential investment is not consummated. While the governing instruments of KKR’s traditional private equity funds typically require KKR to share a portion of such fees in the form of a management fee reduction after reduction for certain expenses, the documents governing KPE, the KKR Direct Investment Funds and the KKR Alternative Investment Funds do not include such provisions.

Indemnification Arrangements and Exculpation

The instruments governing KKR’s investment funds, including those governing the KKR Constituents, generally include provisions that indemnify KKR, its affiliates and their respective directors, officers, agents, members, partners, shareholders and employees, to the fullest extent permitted by law, against liabilities arising from any claims, demands, actions, suits or proceedings involving them relating to the activities of the fund, except to the extent that the indemnified person’s conduct involved fraud, wilful misconduct, gross negligence or a material breach of the fund’s limited partnership agreements. Each fund’s governing instruments also typically limit the liability of an indemnified person, to the fullest extent permitted by law, for any loss or liability incurred based on any conduct of the indemnified person, subject to similar exceptions. The assets of a fund may be used to satisfy any indemnification obligations and limited partners of the fund may be required to return distributions to satisfy those obligations. In addition, KKR and its affiliates generally benefit from similar indemnification arrangements that they or others have enter into with KKR’s portfolio companies. The assets of a portfolio company may similarly be used to satisfy any obligations under such indemnification arrangements, which could reduce or eliminate returns generated by the investment.

74 PRIVATE EQUITY VALUATIONS AND RELATED DATA

This Securities Note & Summary presents valuation and related data, such as net and gross IRRs and multiples of invested capital, relating to KKR’s traditional private equity funds. Unless otherwise indicated, this data is presented as of 30 June 2007, which is referred to as the valuation date, and has been prepared using the methodologies described below. Potential investors should keep this in mind when reading this Securities Note & Summary.

Realised Values

KKR calculated the aggregate realised value of a traditional fund’s portfolio investments as the historical amount of the net cash and other marketable securities actually received by the fund from all of the investments made from the date of the fund’s formation through the valuation date. Such amounts do not give effect to the allocation of any realised returns to the fund’s general partner or manager pursuant to a carried interest, or the payment of any applicable management fees to the fund’s manager. Where the value of an investment was only partially realised, KKR classified the actual cash and other consideration received by the fund as realised value and classified the balance of the value of the investment as unrealised value, which is valued using the methodology described below under “Unrealised Values”.

Unrealised Values

KKR calculated the aggregate unrealised value of a traditional private equity fund’s investments by adding together the individual unrealised values of the fund’s investments. When determining fair values of investments, KKR used the last reported market price as of the valuation date for investments that have readily observable market prices. If no sales occurred on such day, KKR used the “bid” price at the close of business on that date and, if sold short, the “asked” price at the close of business on that date day. Forward contracts are valued based on market rates or prices obtained from recognised financial data service providers. When an investment does not have a readily available market price, the fair value of the investment represents the value, as determined by KKR in good faith, at which the investment could be sold in an orderly disposition over a reasonable period of time between willing parties other than in a forced or liquidation sale.

IRRs

IRRs measure the aggregate annual compounded returns generated by a fund’s investments over a holding period. KKR calculated net IRRs after giving effect to the allocation of realised and unrealised returns on a fund’s investments to the fund’s general partner pursuant to a carried interest and the payment of any applicable management fees. These amounts measure returns based on amounts that, if distributed, would be paid to fund investors. KKR calculated gross IRRs before giving effect to the allocation of realised and unrealised returns on a fund’s investments to the fund’s general partner or manager pursuant to a carried interest and the payment of any applicable management fees. These amounts measure the returns on the fund’s investments as a whole without regard to whether all of the returns would, if distributed, be payable to fund investors. In all cases, IRRs were computed using what

75 is known as a “dollar-weighted” IRR, which takes into account the timing of cash flows and amounts invested at any given time, and realised and unrealised returns were determined using the methodologies described above.

Multiples of Invested Capital

The multiples of invested capital measure the aggregate returns generated by a fund’s investments in absolute terms. KKR calculated each multiple of invested capital by adding together the total realised and unrealised values of a fund’s investments and dividing by the total amount of capital invested by the fund. Such amounts do not give effect to the allocation of any realised and unrealised returns on a fund’s investments to the fund’s general partner or manager pursuant to a carried interest or the payment of any applicable management fees. In all cases, KKR determined the realised and unrealised values of a fund’s investments using the methodologies described above.

Bridge Financing Provided by Private Equity Funds

In certain instances, KKR’s traditional private equity funds may call capital to provide temporary or “bridge” financing to a portfolio company in connection with a portfolio company investment. This financing, which may be in the form of debt or equity, is designated as bridge financing prior to the time that the investment is made. If bridge financing that is extended by a private equity fund is not repaid within eighteen (18) months from the date the financing was extended, the bridge financing is considered to be permanent financing and is included in the amount of the fund’s portfolio company investment. If the bridge financing is repaid within eighteen (18) months from the date the financing was extended, the repayment is considered a repayment of principal and any additional amounts received are treated as interest income from the portfolio company. For the purposes of calculating the private equity valuation and related information presented in this Securities Note & Summary, including invested amounts, IRRs and multiples of invested capital, KKR disregarded both the principal amount of any bridge financing and related interest income if and to the extent that the bridge financing was repaid within eighteen months from the date it was extended.

Calculation of Dollar Weighted Average Holding Periods

KKR measures the length of time during which its funds hold portfolio investments on a dollar-weighted basis. KKR calculates the dollar weighted average holding period for a fund’s portfolio investments by dividing (i) the holding period of each of the fund’s investments multiplied by the cost basis of such investment by (ii) the aggregate cost basis of all of the fund’s investments. An investment’s holding period is equal to the period of time between the date on which the investment was made and the date on which the amount invested was realised or, if the investment was held as of the valuation date, the valuation date. The cost basis of an investment is equal to the amount of capital invested by the fund. Where the value of an investment was only partially realised as of the valuation date, KKR considers the holding periods and cost bases of the realised and unrealised portions of the investment separately for the purposes of the calculation.

76 INDEX DESCRIPTION

DISCLAIMER AND IMPORTANT NOTICES

The KKR Protected Private Equity EUR Hedged Index (the “EUR Hedged Index”) is an index established by Deutsche Bank AG London pursuant to the terms of the Notes in order to provide exposure to (i) the FX Swap and (ii) the KKR Private Equity Index (the “Index”).

The data and information presented in this “Index Description” section (the “Information”) describe the methodology for determining the composition and calculation of the EUR Hedged Index, the Index and the Index Value and the policies and procedures applying at the date of this document to the operation and maintenance of the Index. The Information contained in the Index Rules may change from time to time and is subject to periodic review. Although the Index Rules may be updated periodically, no assurance can be given that the Index Rules as set out in the Securities Note & Summary reflect information subsequent to the date of this Securities Note & Summary.

The EUR Hedged Index

The value of the EUR Hedged Index is calculated on the basis of the exposure to the FX Swap and hypothetical investments in certain funds, referred to in the Index Rules as the KKR Constituents and the Cash Constituent, which are sponsored and managed by Kohlberg Kravis Roberts & Co. L.P. and its affiliates and certain fixed income indices sponsored and published by International Index Company Limited, referred to in the Index Rules as the FI Constituent.

On the Trade Date, EUR Hedged Index Value is EUR100,000. The Index Value at which the EUR Hedged Index has bought in to the Index on the Trade Date is U.S.$100,845.60 The EUR Hedged Index is dependent on and will terminate simultaneously with the Index. If the Index Value cannot be determined for any reason it will not be possible to determine the EUR Hedged Index Value.

The FX Swap

The notional FX Swap will help ensure that at the Redemption Determination Date immediately preceding the Scheduled Maturity Date the value of the KKR Protected Private Equity EUR Hedged Index is equal to at least EUR 104,000 and accordingly the foreign exchange risk of the principal amount of each Note shall be reduced at maturity. However, any upside in USD from the exposure to the underlying KKR Protected Private Equity Index shall be subject to spot foreign exchange rate risk at the EUR/USD Spot Rate as reflected in the EUR Hedged Index Value.

The EUR Hedged Index (as hypothetical counterparty, “Counterparty A”) notionally comprises an FX Swap contract with a notional counterparty with a credit standing equivalent to the Issuer (“Counterparty B”). Under the terms of the FX Swap a “Final Exchange” is provided for whereby on the relevant Redemption Determination Date Counterparty B pays to Counterparty A in EUR the product of (i) the relevant Protected Amount, and (ii) EUR100,000, and Counterparty A pays to Counterparty B in USD the product of (i) the Protected Amount, (ii) EUR100,000, and (iii) the Forward EUR/USD FX Rate equal to 1.5146.

The Index

The Index has been established by Deutsche Bank AG, London Branch as Index Sponsor and its value will be determined from time to time by Deutsche Bank AG, London Branch as the Index Administrator based on information which it obtains itself and on information provided to it by KKR as Index Manager.

The private equity funds market may be illiquid and may experience disruptions in the ability to subscribe and/or redeem fund units or shares. There can be no assurance that such events or any other event will not have an adverse or distorting effect on the value of the Index or the manner in which it is, or whether it can be, determined.

77 The provisions and procedures set forth in the Index Rules grant a significant degree of discretion to the Index Manager in a number of respects. The Index Manager may exercise this discretion as it determines to be most appropriate without regard to the effect on the Noteholders or any investments. This Securities Note & Summary, and the Index Rules in particular, do not address all possible issues relating to the Notes, the Index, the notional investments that are to be made in the KKR Constituent, the FI Constituent and the Cash Constituent and any actual investments made by the KKR Constituents, the FI Constituent or the Cash Constituent. The Index Rules and any other provisions or procedures relating to the Index may be amended at any time.

The Information does not, and is not intended to, constitute, and should not be construed as, an offer to sell, or a solicitation of an offer to purchase any securities, other financial instruments or commodities. In addition, nothing contained in this Securities Note & Summary, or the Index Rules in particular, should be construed as a representation regarding the potential success of any transaction which is based on or referenced to the Index.

ALTHOUGH THE INDEX ADMINISTRATOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE DETERMINATION OF THE INDEX VALUE FROM THE INDEX MANAGER AND FROM OTHER SOURCES WHICH THE INDEX ADMINISTRATOR CONSIDERS RELIABLE, NEITHER THE INDEX SPONSOR NOR THE INDEX ADMINISTRATOR WILL INDEPENDENTLY VERIFY SUCH INFORMATION AND THEY DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY INFORMATION PROVIDED IN RELATION TO IT. NONE OF THE INDEX SPONSOR, THE INDEX ADMINISTRATOR, OR ANY DIRECTOR, OFFICER OR EMPLOYEE THEREOF SHALL BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR OR OMISSION IN, OR FAILURE TO PUBLISH, OR INTERRUPTION IN, THE INDEX OR THE NON-APPLICATION OR THE MISAPPLICATION OF THE POLICIES OR PROCEDURES DESCRIBED IN THE INDEX RULES AND THE INDEX STRATEGY AGREEMENT, AND NEITHER THE INDEX SPONSOR NOR THE INDEX ADMINISTRATOR IS UNDER ANY OBLIGATION TO ADVISE ANY PERSON OF ANY SUCH ERROR, OMISSION, FAILURE, INTERRUPTION, NON-APPLICATION OR MISAPPLICATION.

NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR ACTING AS SUCH. THE INDEX SPONSOR MAKES NO, AND EXPRESSLY DISCLAIMS ANY, EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION, (B) THE VALUE OF THE INDEX AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE, (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OR HOLDER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER'S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY'S COUNTERPARTIES OR CUSTOMERS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY INFORMATION PROVIDED IN RELATION TO IT OR IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE AND (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY INFORMATION PROVIDED IN RELATION TO IT.

DEUTSCHE BANK AG, LONDON BRANCH AND ITS AFFILIATES ACTIVELY TRADE SECURITIES AND OTHER FINANCIAL INSTRUMENTS TO WHICH THE INDEX RELATES (INCLUDING, WITHOUT LIMITATION, SWAPS, OPTIONS, OTHER DERIVATIVES AND RELATED INSTRUMENTS, UNIT TRUSTS AND COLLECTIVE INVESTMENT SCHEMES OR SIMILAR UNDERTAKINGS WHICH ARE LINKED TO SUCH SECURITIES OR OTHER FINANCIAL INSTRUMENTS). DEUTSCHE BANK AG, LONDON BRANCH AND ITS AFFILIATES EXPECT TO ISSUE AND/OR ENTER INTO SECURITIES OR OTHER FINANCIAL INSTRUMENTS THAT ARE LINKED, DIRECTLY OR INDIRECTLY TO THE PERFORMANCE OF THE INDEX AND SECURITIES, INDICES AND OTHER FINANCIAL INSTRUMENTS UNDERLYING THE INDEX OR TO WHICH THE INDEX RELATES. DEUTSCHE

78 BANK AG, LONDON BRANCH AND ITS AFFILIATES MAY MAKE ACTUAL INVESTMENTS IN THE INDIVIDUAL SECURITIES AND/OR SECURITIES UNDERLYING ANY INDICES THAT MAKE UP THE INDEX. IT IS POSSIBLE THAT THIS TRADING ACTIVITY WILL AFFECT THE VALUE OF THE INDEX. DEUTSCHE BANK AG, LONDON BRANCH AND ITS AFFILIATES AND THEIR OFFICERS, DIRECTORS AND EMPLOYEES MAY HAVE POSITIONS OR ENGAGE IN TRANSACTIONS IN SECURITIES OR OTHER FINANCIAL INSTRUMENTS BASED ON OR INDEXED OR OTHERWISE RELATED TO THE INDEX OR TO WHICH THE INDEX RELATES WITHOUT ANY RESTRICTIONS ON ANY DEALING THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR OR ANY OF ITS AFFILIATES OR ITS OR THEIR OFFICERS, DIRECTORS OR EMPLOYEES HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING, WITHOUT LIMITATION, LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

“KKR Protected Private Equity Index” is a Deutsche Bank AG, London Branch proprietary index. Any use of any such index or its name must be with the consent of Deutsche Bank AG, London Branch.

79 INDEX RULES

KKR Protected Private Equity Index Series I

Capitalised terms used in these Index Rules are set out in Annex 1 hereto. References in these Index Rules to Clauses shall be to clauses of these Index Rules.

1 General 1.1 The KKR Protected Private Equity Index (the “Index”) is an index established and administered by Deutsche Bank AG, London Branch, as index sponsor (the “Index Sponsor”) and index administrator (the “Index Administrator”), and managed by Kohlberg Kravis Roberts & Co. L.P. (“KKR”), as index manager (the “Index Manager”), with the objective of providing exposure to the KKR Constituents, the FI Constituent and a Cash Constituent. The Index will be managed by the Index Manager and administered by the Index Administrator pursuant to these Index Rules and under the terms of the ISA with the objective of achieving, but not guaranteeing, superior alpha returns from KKR-sponsored investments while preserving capital through dynamically adjusted exposure to the FI Constituent. 1.2 The Index will be determined on the basis that an initial notional investment of U.S.$100,000 is made in the Index Constituents on November 30, 2007 (the “Index Start Date”). From and after the Index Start Date, the Index Manager will determine from time to time (i) the relative exposure within the Index to the KKR Constituents, the FI Constituent and the Cash Constituent, (ii) the composition and weightings of the investment funds comprising the KKR Constituents and (iii) the composition and weightings of the Portfolio Investments of the KKR Constituents, subject to applicable provisions of these Index Rules and the ISA. 1.3 The Index Manager will maintain a notional account (the “Notional Account”) in which the Index Manager will record notional investments in the Index Constituents and all credits, debits and other adjustments relating thereto. The value of the Notional Account (the “Notional Account Value”) will be calculated by the Index Administrator and recorded in U.S. dollars in accordance with these Index Rules. As of a specified date, the Notional Account Value shall be equal to the sum of the KKR Notional Value plus the FI Notional Value plus the Cash Notional Value, and the value of the Index (the “Index Value”) shall be equal to the Notional Account Value divided by U.S.$1.00. On the Index Start Date, the Notional Account Value will initially be equal to U.S.$100,000 and the Index Value will initially be equal to 100,000 (the “Initial Index Value”). From and after the Index Start Date, increases or decreases in the Notional Account Value will result in corresponding increases or decreases in the Index Value.

2 The Index and the Notional Account

2.1 Fund Units

(a) Each notional investment in an Index Constituent will consist of a notional investment in one or more interests in the Index Constituent (“Fund Units”) and shall be held in the Notional Account in accordance with these Index Rules. Each Fund Unit held in the Notional Account will have a value (the “Unit Value”) determined in accordance with this Clause 2. A notional investment in an Index Constituent may include an investment in a fraction of a Fund Unit. A fractional Fund Unit held in the Notional Account will be rounded to five decimal places with 0.000005 being rounded up.

80 (b) In connection with a notional acquisition of a Fund Unit, the Index Manager shall credit the Fund Unit to the Notional Account as and when the Fund Unit is notionally acquired. Any notional acquisitions of Fund Units shall be notionally funded with (i) notional proceeds received from notional disposals of Fund Units held in the Notional Account, (ii) Distributions notionally received in respect of Fund Units held in the Notional Account and/or (iii) Index Adjustments, in each case as determined by the Index Manager. (c) In connection with a notional disposal of a Fund Unit, the Index Manager shall debit the Fund Unit from the Notional Account as and when the Fund Unit is notionally disposed of. Notional proceeds received from any notional disposals of Fund Units shall be used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) Index Adjustments, in each case as determined by the Index Manager. (d) A notional capital contribution that is made in respect of a Fund Unit held in the Notional Account will result in an increase in the Unit Value of the Fund Unit. Any notional capital contributions made in respect of a Fund Unit held in the Notional Account shall be notionally funded with (i) notional proceeds received from notional disposals of Fund Units held in the Notional Account, (ii) Distributions notionally received in respect of Fund Units held in the Notional Account and/or (iii) Index Adjustments, in each case as determined by the Index Manager. (e) If a Distribution is made in respect of a Fund Unit held in the Notional Account on the applicable record date for the Distribution, the Index Manager shall determine the amount of the Distribution that would have been notionally received by a Hypothetical Investor holding the Fund Unit on such date (the “Notional Distribution Amount”). On the payment date for the notional Distribution, the Notional Distribution Amount shall be used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) Index Adjustments, in each case as determined by the Index Manager. (f) On the Index Start Date, the Index Manager shall initially credit to the Notional Account a number of FI Fund Units having an Unadjusted Weighting of 30% and a number of Cash Fund Units having an Unadjusted Weighting of 70% and thereafter, using commercially reasonable efforts, shall make Reallocations to the KKR Constituents in accordance with Annex 2, unless otherwise determined by the Index Manager in accordance with these Index Rules. From and after the Index Start Date, the number of Fund Units of an Index Constituent held in the Notional Account at any time shall be determined by the Index Manager as the number of Fund Units of the Index Constituent, if any, initially credited to the Notional Account on the Index Start Date plus any Fund Units of the Index Constituent thereafter credited to the Notional Account pursuant to Clause 2.1(b) hereof minus any Fund Units of the Index Constituent thereafter debited from the Notional Account pursuant to Clause 2.1(c) hereof. 2.2 KKR Constituents (a) The “KKR Constituents” shall consist of the investment funds set out in Clause 3.2(b) hereof (the “Initial KKR Constituents”) and any other investment funds that are from time to time designated as KKR Constituents (“Additional KKR Constituents”) pursuant to Clause 2.2(b) hereof. (b) The Index Manager may, without the consent of any Person, designate any investment fund that is raised, managed, advised or sponsored by KKR or any of its Affiliates (individually or together with one or more other Persons) as an Additional KKR Constituent if (i) the fund is a Qualifying Fund; (ii) the notional capital 81 commitment or capital contribution to be made to the fund from the Notional Account is denominated in U.S. dollars; (iii) the making of the initial capital commitment or capital contribution to the fund would be permitted as a Voluntary Reallocation under Clause 4.1 hereof; and (iv) the Index Manager notifies the Index Administrator in writing of the designation of the fund as an Additional KKR Constituent at least three Business Days prior to such designation. In addition, without limiting the foregoing, the Index Manager may designate any other investment fund that is raised, managed, advised or sponsored by KKR or any of its Affiliates (individually or together with one or more other Persons) as an Additional KKR Constituent with the prior written consent of the Index Administrator. (c) A Fund Unit of a KKR Constituent (a “KKR Fund Unit”) shall consist of an interest in the equity or capital of the KKR Constituent that entitles its holder to share in the residual assets of the KKR Constituent after all liabilities of the KKR Constituent have been discharged. A KKR Constituent may issue and have outstanding one or more classes of Fund Units, each of which consists of Fund Units that are fungible with all other Fund Units of the same class, and more than one class of Fund Units of the same KKR Constituent may be held in the Notional Account at a given time. For the purposes of the Index Rules, a class of KKR Fund Units shall consist of either Illiquid Fund Units (an “Illiquid Class”) or Marketable Fund Units (a “Marketable Class”), but not a combination thereof, and shall have such rights, preferences, obligations and other designations as are provided for in the Fund Documents of the related KKR Constituent. (d) For the purposes of these Index Rules, a KKR Fund Unit shall be deemed to consist of (i) in the case of a Fund Unit of a class that is not already in unitised form, an interest in the equity or capital of the related KKR Constituent that represents a U.S.$1.00 capital commitment or capital contribution (or a combination thereof) made to the KKR Constituent at the time of original issuance and (ii) in the case of a Fund Unit of a class that is already in unitised form, an interest in the equity or capital of the related KKR Constituent as so unitised, subject in each case to such adjustments as the Index Manager may determine to be necessary to reflect any subdivision, consolidation or reclassification of such Fund Unit or any other similar event. Upon the occurrence of a subdivision, consolidation or reclassification of a KKR Fund Unit held in the Notional Account or any other similar event, the Index Manager shall promptly notify the Index Administrator of such occurrence and any adjustments made to the KKR Fund Unit in connection therewith. (e) The Index Manager shall be responsible for determining the Unit Value of each class of KKR Fund Units held in the Notional Account. As of a specified date, the Unit Value of a class of KKR Fund Units shall be equal to (i) in the case of an Illiquid Class of Fund Units, the sum of the net asset value of the related KKR Constituent that is then allocable to a Fund Unit of such class under the Fund Documents of the KKR Constituent plus the amount of any Index Adjustments then allocable to the Fund Unit pursuant to Clause 2.5(b) hereof and (ii) in the case of a Marketable Class of Fund Units, the Trading Price of a Fund Unit of such class plus the amount of any Index Adjustments then allocable to the Fund Unit pursuant to Clause 2.5(b) hereof. (f) At any time, the product of the Unit Value of a class of KKR Fund Units multiplied by the number of Fund Units of such class that are then held in the Notional Account shall represent the “Class Notional Value” of such class of Fund Units. At any time, the sum of the Class Notional Values of all classes of Fund Units of a KKR Constituent that are then held in the Notional Account shall represent the “Constituent Notional Value” of the KKR Constituent, and the sum of the Constituent Notional Values of all KKR Constituents shall represent the “KKR Notional Value” of the Notional Account. Except as otherwise provided in Clause 2.6, the Index Manager shall be responsible for determining each Class Notional

82 Value, each Constituent Notional Value and the KKR Notional Value for the purposes of these Index Rules.

2.3 FI Constituent (a) The “FI Constituent” shall consist of a notional investment in the Fund Units of a Reference Bond Index (“FI Fund Units”) selected by the Index Administrator on each Accounting Period End Date such that the FI Duration of the Reference Bond Index as of such date is closest to the Zero Bond Duration as of such date. If the applicable Reference Bond Index is no longer published by the International Index Company or the sponsor alters the way in which such index is calculated, the Index Administrator shall select a substitute index that is (i) reasonably comparable to the relevant Reference Bond Index before any such change and (ii) reasonably acceptable to the Index Manager. (b) The Index Administrator shall be responsible for determining the Unit Value of each FI Fund Unit held in the Notional Account. As of a specified date, the Unit Value of a FI Fund Unit shall be equal to the amount appearing on the website of the International Index Company on the “Analytics” page for the applicable Reference Bond Index multiplied by U.S.$1.00. If the website of the International Index Company is no longer published, the Index Administrator shall determine the Unit Value of a FI Fund Unit in a reasonable manner by reference to the return on the substitute index selected pursuant to Clause 2.3(a) hereof. (c) At any time, the product of the Unit Value of a FI Fund Unit multiplied by the number of such FI Fund Units that are then held in the Notional Account shall represent the “FI Notional Value” of the Notional Account. Except as otherwise provided in Clause 2.6, the Index Administrator shall be responsible for determining the FI Notional Value for the purposes of these Index Rules. (d) With respect to a date as of which FI Fund Units are notionally acquired or notionally disposed of, the Index Administrator shall determine the number of such FI Fund Units credited to, or debited from, the Notional Account. In connection with a notional acquisition of FI Fund Units, the number of FI Fund Units credited to the Notional Account shall be equal to the aggregate notional value, expressed in U.S. dollars, of the FI Fund Units then being acquired divided by the Unit Value of such FI Fund Units as of the acquisition date. In connection with a notional disposal of FI Fund Units, the number of FI Fund Units notionally debited from the Notional Account shall be equal to the aggregate notional value, expressed in U.S. dollars, of the FI Fund Units then being disposed of divided by the Unit Value of such FI Fund Units as of the disposal date. (e) In connection with a notional acquisition of a FI Fund Unit, the Index Administrator shall determine the amount of any additional costs (“Acquisition Costs”) that a hypothetical investor in an investment in the applicable Reference Bond Index would reasonably incur in acquiring such investment on the “offer” side (excluding any brokerage commissions). In connection with a notional disposal of a FI Fund Unit, the Index Administrator shall determine the amount of any additional costs (“Disposal Costs”) that a hypothetical investor in an investment in the applicable Reference Bond Index would reasonably incur in disposing of the investment on the “bid” side (excluding any brokerage commissions). (f) In determining the amount of Acquisition Costs and Disposal Costs that a hypothetical investor would reasonably incur in connection with a notional acquisition or notional disposal of a FI Fund Unit, the Index Administrator shall determine such costs assuming a notional acquisition or notional disposal of a U.S.$10,000,000 investment in the Reference Bond Index and shall allocate such costs to the FI Fund Unit being notionally acquired or disposed of in the same

83 proportion as the Unit Value of the FI Fund Unit bears to U.S.$10,000,000. Any such Acquisition Costs or Disposal Costs shall be notionally paid from the Notional Account at the time of the notional acquisition or notional disposal with (i) notional proceeds received from notional disposals of Fund Units held in the Notional Account, (ii) Distributions notionally received in respect of Fund Units held in the Notional Account and/or (iii) Index Adjustments, in each case as determined by the Index Manager. 2.4 Cash Constituent (a) Fund Units of the Cash Constituent (“Cash Fund Units”) shall consist of interests in the equity or capital of the Cash Constituent that entitle their holders to share in the residual assets of the Cash Constituent after all liabilities of the Cash Constituent have been discharged. Cash Fund Units shall be held in the Notional Account in order to reflect notional proceeds received from (x) notional disposals of Fund Units held in the Notional Account, (y) Distributions notionally received in respect of Fund Units held in the Notional Account and/or (z) Index Adjustments, in each case, to the extent that such notional amounts are not concurrently used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) Index Adjustments. For the avoidance of doubt, notional Cash Investments may also be held within a KKR Constituent and form part of the Constituent Notional Value of the KKR Constituent. (b) For the purposes of these Index Rules, a Cash Fund Unit shall be deemed to consist of an interest in the equity or capital of the Cash Constituent that represents a U.S.$1.00 capital contribution to the Cash Constituent made at the time of original issuance, subject in each case to such adjustments as the Index Manager may determine to be necessary to reflect any subdivision, consolidation or reclassification of a Cash Fund Unit or any other similar event. Upon the occurrence of a subdivision, consolidation or reclassification of a Cash Fund Unit held in the Notional Account or any other similar event, the Index Manager shall promptly notify the Index Administrator of such occurrence and any adjustment made to the Cash Fund Unit in connection therewith. (c) The Index Manager shall be responsible for determining the Unit Value of each Cash Fund Unit held in the Notional Account. As of a specified date, the Unit Value of a Cash Fund Unit shall be equal to the net asset value of the Cash Constituent that is then allocable to the Cash Fund Unit under the Fund Documents of the Cash Constituent. At any time, the product of the Unit Value of a Cash Fund Unit multiplied by the number of such Fund Units that are then held in the Notional Account shall represent the “Cash Notional Value” of the Notional Account. Except as otherwise provided in Clause 2.6, the Index Manager shall be responsible for determining the Cash Notional Value for the purposes of these Index Rules. 2.5 Index Adjustments (a) The Fund Documents of a KKR Constituent may provide for the allocation of a portion of the net profits recognized by an individual KKR Constituent to one or more other Persons pursuant to a carried interest or incentive distribution right without first netting such profits against losses, if any, recognized by any other KKR Constituents. At their election, the Index Manager, the Index Administrator and the Index Sponsor may agree in writing to notionally calculate such carried interests and incentive distributions after netting profits and losses across one or more groups of KKR Constituents, which could notionally reduce the amount of carried interest or incentive distributions allocated to one or more other Persons by the KKR Constituents and thereby increase the Notional Account Value. In addition, the Index Manager, the Index Administrator and the Index Sponsor may agree in writing

84 to make other adjustments to the Notional Account to notionally reflect (i) the granting of a notional carried interest or incentive distribution right to the Index Manager with respect to net profits, if any, resulting from a notional acquisition of Fund Unit at a discount relative to book value or a liquidation, sale or transfer of a Fund Unit at a premium relative to book value and/or (ii) such other items of income, gain, expense, tax and/or loss and such other assets and/or liabilities as would be recognized by a Hypothetical Investor in connection with a direct or indirect investment in Fund Units held in the Notional Account to the extent such items are not otherwise reflected in the Notional Account Value. The foregoing adjustments are collectively referred to as “Index Adjustments.” (b) If the Index Manager, the Index Administrator and the Index Sponsor agree that any Index Adjustments should be made, the Index Manager shall be responsible for determining the amount of Index Adjustments to be made in the Notional Account pursuant to such agreement, except as otherwise provided in Clause 2.6. If and when the Index Manager determines that an Index Adjustment shall be made to the Notional Account, the Index Manager shall apply such Index Adjustment to the Unit Values of one or more classes of KKR Fund Units held in the Notional Account in such manner as it deems fair and reasonable or otherwise use such Index Adjustment to notionally fund (i) notional acquisitions of Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) other Index Adjustments. 2.6 Disruption Events (a) The Index Manager shall use its commercially reasonable efforts to determine and notify the Index Administrator of the KKR Notional Value, the Cash Notional Value and the amounts and allocations of Index Adjustments whenever required for the purposes of these Index Rules. If an Index Manager Disruption Event occurs, the Index Manager may determine whether to postpone, suspend or cease determining and notifying the Index Administrator of any of the foregoing items until such time as such event has ceased and it determines that affected items may be properly determined. If due to such an event the Index Manager postpones, suspends or ceases to determine and notify the Index Administrator of any of the foregoing items and such postponement, suspension or cessation exceeds a period of three months, the Index Manager shall appoint a Person reasonably acceptable to the Index Administrator to make determinations with respect to the affected items on behalf of the Index Manager until the termination of such postponement, suspension or cessation by the Index Manager. (b) The Index Administrator shall use its commercially reasonable efforts to determine and notify the Index Manager of the FI Notional Value, the Notional Account Value and the Index Value and to publish the Notional Account Value and the Index Value whenever required for the purposes of these Index Rules. If an Index Administrator Disruption Event occurs, the Index Administrator may determine whether to postpone, suspend or cease determining and notifying the Index Manager of any of the foregoing items and/or publishing the Notional Account Value and/or the Index Value until such time as such event has ceased and it determines that affected items may be properly determined. If due to such an event the Index Administrator postpones, suspends or ceases to determine and notify the Index Manager of any of the foregoing items or to publish the Notional Account Value or the Index Value and such postponement, suspension or cessation exceeds a period of three months, the Index Administrator shall appoint a Person reasonably acceptable to the Index Manager to make determinations with respect to the affected items or to publish the Notional Account Value and/or the Index Value, as applicable, on behalf of the Index Administrator until the termination of such postponement, suspension or cessation by the Index Administrator.

85 2.7 Index Income Distributions (a) The Index Manager may elect to cause the notional income of the Index to be distributed from the Notional Account (an “Index Income Distribution”), provided that (i) the election to make the Index Income Distribution is made on or within five Business Days of a Determination Date, (ii) the Distance as of the immediately preceding Accounting Period End Date would have been at least 60% on a pro forma basis giving effect to the Index Income Distribution as if the Index Income Distribution had been made on such Accounting Period End Date and (iii) the amount of the Index Income Distribution would not exceed the Maximum Distributable Amount. With respect to any Index Income Distribution, the “Maximum Distributable Amount” shall be an amount equal to the product of (i) U.S.$100,000 multiplied by (ii) the greater of (x) 10% and (y) the Distance as of the immediately preceding Accounting Period End Date minus 60%. (b) If the Index Manager elects to cause an Index Income Distribution to be made pursuant to Clause 2.7(a), the Index Manager shall determine the amount of the Index Income Distribution and the date on which the Index Income Distribution shall be made (the “Index Income Distribution Date”). Any Index Income Distribution Date shall be a Business Day falling within 30 Business Days of the date on which the Index Manager elects to make such Index Income Distribution. (c) On any Index Income Distribution Date, the Index Manager shall cause the related Index Income Distribution to be notionally made from the Notional Account with (i) notional proceeds received from notional disposals of Fund Units held in the Notional Account, (ii) Distributions notionally received in respect of Fund Units held in the Notional Account and/or (iii) Index Adjustments, in each case as determined by the Index Manager.

3 Maximum Weighting and Diversification Criteria 3.1 Index Weightings of Index Constituents and Portfolio Investments (a) The Index Manager shall be responsible for determining the Index weightings (“Index Weightings”) of the Index Constituents and the Portfolio Investments of the KKR Constituents for the purposes of these Index Rules. (b) As of a specified date, the Index Weighting of an Index Constituent shall be an amount, expressed as a percentage, equal to the Attributable Constituent Value of the Index Constituent divided by the Notional Account Value. Except as otherwise provided in these Index Rules, as of a specified date, the “Attributable Constituent Value” of an Index Constituent shall be equal to: (i) in the case of a KKR Constituent, the sum of the Constituent Notional Value of the KKR Constituent plus any amounts included in such Attributable Constituent Value pursuant to Clause 3.1(d) and/or Clause 3.1(e) hereof minus any amounts excluded from such Attributable Constituent Value pursuant to Clause 3.1(d) and/or Clause 3.1(e) hereof; (ii) in the case of the FI Constituent, the FI Notional Value; and (iii) in the case of the Cash Constituent, the sum of the Cash Notional Value plus any amounts included in such Attributable Constituent Value pursuant to Clause 3.1(d) and/or Clause 3.1(e) hereof minus any amounts excluded from such Attributable Constituent Value pursuant to Clause 3.1(d) and/or Clause 3.1(e) hereof. (c) As of a specified date, the Index Weighting of a Portfolio Investment of a KKR Constituent shall be an amount, expressed as a percentage, equal to the Attributable Investment Value of the Portfolio Investment divided by the Notional

86 Account Value. Except as otherwise provided in these Index Rules, as of a specified date, the “Attributable Investment Value” of a Portfolio Investment shall be equal to the sum of: (i) for each Illiquid Class of Fund Units of the KKR Constituent, the Net Value of the Portfolio Investment that is then allocable to any Fund Units of such class that are held in the Notional Account; plus (ii) for each Marketable Class of Fund Units of the KKR Constituent, the product of the Trading Price Ratio for such class multiplied by the Net Value of the Portfolio Investment that is then allocable to any Fund Units of such class that are held in the Notional Account. As of a specified date, the “Net Value” of a Portfolio Investment held by a KKR Constituent shall be equal to the sum of (i) the fair value of the Portfolio Investment plus (ii) any related assets of the KKR Constituent that the Index Manager determines to be fairly and reasonably attributable to the Portfolio Investment minus (iii) any related liabilities of the KKR Constituent that the Index Manager determines to be fairly and reasonably attributable to the Portfolio Investment. Assets and liabilities relating to a Portfolio Investment shall be deemed to include the fair value of any derivative instrument entered into specifically for the purpose of hedging exposure to foreign currency risks relating to such Portfolio Investment to the extent that the fair value of such derivative instrument is not otherwise reflected in the Net Value of the Portfolio Investment. As of a specified date, the “Trading Price Ratio” of a Marketable Class of KKR Fund Units shall be a fraction, (i) the numerator of which is the Class Notional Value of such class of Fund Units and (ii) the denominator of which is the Class Notional Value that such class of Fund Units would have if such class of Fund Units were treated as an Illiquid Class under Clause 2.2 hereof. (d) A KKR Fund Unit that is held in the Notional Account may consist of a Fund Unit whose terms include a commitment by the holder to contribute capital to the related KKR Constituent as and when such capital is called (“Capital Commitment Units”). If any Capital Commitment Units are held in the Notional Account on a date as of which Index Weightings are determined, the Index Manager shall (i) include in the Attributable Constituent Value of each KKR Constituent whose Capital Commitment Units are then held in the Notional Account the remaining amount of capital that may be called in respect of such Capital Commitment Units (“Unfunded Value”) and (ii) exclude from the Attributable Constituent Values of one or more KKR Alternative Investment Funds selected by the Index Manager an amount that, in the aggregate, is equal to the Unfunded Value of all of the Capital Commitment Units that are then held in the Notional Account. (e) When calculating Index Weightings of the KKR Constituents and the Cash Constituent, the Index Manager may designate all or a portion of a Cash Investment that is held by a KKR Constituent or by the Cash Constituent as being held by one or more other KKR Constituents and/or the Cash Constituent. If the Index Manager makes such a designation, the Index Manager shall (i) exclude from the Attributable Constituent Value of the Index Constituent that actually holds the Cash Investment the portion of the Attributable Investment Value of the Cash Investment that is designated as being held by any other Index Constituents and (ii) include in the Attributable Constituent Value of each other Index Constituent the portion of the Attributable Investment Value of the Cash Investment that is designated as being held by such Index Constituent. (f) When calculating Index Weightings of the Portfolio Investments of KKR Constituents, the Index Manager may designate all or a portion of a Cash Investment that is held or designated as being held by a KKR Constituent as comprising one or more other actual or hypothetical Portfolio Investments of the 87 KKR Constituent (“Designated Portfolio Investments”). If the Index Manager makes such a designation, the Index Manager shall (i) exclude from the Attributable Investment Value of the Cash Investment the portion of the Attributable Investment Value of the Cash Investment that is designated as comprising a Designated Portfolio Investment and (ii) include in the Attributable Investment Value of each Designated Portfolio Investment the portion of the Attributable Investment Value of the Cash Investment that is designated as comprising such Designated Portfolio Investment. 3.2 Maximum Weighting Criteria (a) The “Maximum Index Weighting” of a KKR Constituent means the maximum Index Weighting that such KKR Constituent may have as of a specified date. (b) The Maximum Index Weightings of the Initial KKR Constituents are set out in the table below. The Maximum Index Weightings of any Additional KKR Constituents will be determined by the Index Manager, with prior written notice to the Index Administrator, but may not exceed the highest permitted Maximum Index Weighting of any Initial KKR Constituent or any other limitations that may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor. The foregoing Index Weighting restrictions are collectively referred to as the “Maximum Weighting Criteria”.

Maximum Index KKR Constituents Weighting KKR North American Co-Invest Fund I L.P. 20%/35%* KKR North American Co-Invest Fund II L.P. 20%/35%* KKR European Co-Invest Fund I L.P. 20%/35%* KKR European Co-Invest Fund II L.P. 20%/35%* KKR Asian Co-Invest Fund I L.P. 20%/35%* KKR Asian Co-Invest Fund II L.P. 20%/35%* KPE 20%/35%* KKR Alternative Investment Fund I L.P. 20%/35%* KKR Alternative Investment Fund II L.P. 20%/35%* (*) At any time, only one KKR Constituent, as selected by the Index Manager, may have a Maximum Index Weighting of 35%. The Maximum Index Weighting of each other KKR Constituent shall be limited to 20%.

(c) If UCITS III as implemented in the Republic of Ireland or the Republic of Italy is amended, supplemented, varied or replaced on or after the Index Start Date, the Index Administrator shall notify the Index Manager in writing of any changes that, in the opinion of counsel, are required to be made in respect of the Maximum Index Weightings and of such other additional criteria which are required to be met in order to enable the Index to be used as a financial index in which a UCITS III compliant fund would be permitted to invest in accordance with such supplemented, varied or replaced UCITS III requirements. If the Index Manager is notified in writing that any such changes are required, the Index Manager, the Index Administrator and the Index Sponsor shall act in good faith to make such changes to the Index Rules as may be reasonably required to take account of such amendments, supplements, variances or replacements to UCITS III provided that such changes maintain the commercial terms underlying the Index Rules.

88 3.3 Diversification Criteria (a) Prior to the Index Extension Period, the KKR Constituents and their Portfolio Investments shall be subject to the additional Index Weighting requirements that are included in this Clause 3.3 (the “Diversification Criteria”), except to the extent necessary to comply with Clause 4.4 or Clause 4.6 hereof following the occurrence of a Trigger Event or an Index Allocation Direction. Upon the commencement of the Index Extension Period, the Diversification Criteria shall cease to apply. (b) Weighting Requirements for Illiquid Classes of KKR Constituents As of any Accounting Period End Date, the sum of the Illiquid Index Weightings of all KKR Constituents whose Fund Units are then held in the Notional Account (other than the KKR Alternative Investment Funds) may not exceed the applicable percentage set forth in the table below (the “Maximum Permitted Illiquid Index Weighting”), which percentage shall be selected by the Index Manager by reference to the Distance as of such Accounting Period End Date. For the purposes of this Clause 3.3(b), the “Illiquid Index Weighting” of a KKR Constituent shall be equal to the Index Weighting that the KKR Constituent would have if such Index Weighting were calculated (i) without including in the Constituent Notional Value of the KKR Constituent the Class Notional Value of any Marketable Class of Fund Units of the KKR Constituent and (ii) without giving effect to any adjustments to the Constituent Notional Value of the KKR Constituent provided for in Clause 3.1(d) and/or Clause 3.1(e) hereof to the extent that such adjustments are allocable to any Marketable Class of Fund Units of the KKR Constituent.

Maximum Permitted Illiquid Index Distance Weighting 50% 30% > than 50% and 60% 35% > than 60% and 65% 40% > 65% 45%

(c) Weighting Requirements for KKR Alternative Investment Funds As of any Accounting Period End Date, the sum of the Index Weightings of all KKR Alternative Investment Funds whose Fund Units are then held in the Notional Account may not be less than 15% nor more than the applicable percentage set forth in the table below, which percentage shall be selected by the Index Manager by reference to the length of time from such Accounting Period End Date until the commencement of the Index Extension Period.

Maximum Aggregate Index Time to Index Extension Weightings of KKR Alternative Period Investment Funds > 12 years 30% 12 years and > 8 years 40% 8 years and > 5 years 50% 5 years 60%

(d) Weighting Requirements for Illiquid Portfolio Investments 89 As of any Accounting Period End Date, the sum of the Index Weightings of Portfolio Investments that do not consist of Marketable Financial Instruments may not exceed 70%. (e) Weighting Requirements for KPE As of any Accounting Period End Date, the sum of the Index Weightings of KPE as both an Index Constituent and a Portfolio Investment may not be less than 25% nor more than 40%, except that commencing on 1 January 2017 the sum of such Index Weightings may be reduced below 25% in connection with notional disposals of Fund Units of KPE that are made with the objective of allowing for orderly notional disposals of such Fund Units in connection with the maturity of the Index or an Index Allocation Direction. (f) Weighting Requirements for Single Names As of any Accounting Period End Date, the sum of the Index Weightings of all Portfolio Investments in the same issuer may not exceed 10% and the sum of the Index Weightings of all Portfolio Investments in the five largest issuers (determined by comparing the aggregate Index Weighting of all Portfolio Investments relating to a single issuer) may not exceed 35%. (g) Additional KKR Constituents The requirements and limitations described in this Clause 3.3 shall apply equally with respect to any Additional KKR Constituents that are added to the Index by the Index Manager. To the extent that any Additional KKR Constituents have material features not contemplated by the above requirements and limitations, the Index Manager, the Index Administrator and the Index Sponsor shall act in good faith to make such changes to the Index Rules as may be reasonably required to take account of those new features provided that such changes maintain the commercial terms underlying the Index Rules.

4 Reallocations Between and Among Index Constituents 4.1 General (a) A “Reallocation” means (i) a crediting of a Fund Unit to the Notional Account in connection with a notional acquisition of the Fund Unit; (ii) a debiting of a Fund Unit from the Notional Account in connection with a notional disposal of the Fund Unit; (iii) the making of a notional capital contribution in respect of a Fund Unit held in the Notional Account; or (iv) the receipt of a notional Distribution in respect of a Fund Unit held in the Notional Account. (b) Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall be entitled from time to time to make one or more Reallocations (“Voluntary Reallocations”) that are not otherwise provided for in this Clause 4 with respect to such Fund Units, in such amounts and manner and at such times as the Index Manager may determine. 4.2 Reallocations Following a Maximum Weighting Breach (a) On each Determination Date, the Index Administrator shall determine whether a breach of any of the Maximum Weighting Criteria (a “Maximum Weighting Breach”) existed as of the immediately preceding Accounting Period End Date. (b) If the Index Administrator determines on a Determination Date that a Maximum Weighting Breach existed as of the immediately preceding Accounting Period End Date and one or more Covered Reallocations occurred during the Accounting Period ending on such Accounting Period End Date, then an “Active Maximum Weighting Breach” shall be deemed to have occurred. If the Index Administrator

90 determines on a Determination Date that an Active Maximum Weighting Breach had occurred as of the immediately preceding Accounting Period End Date, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, no breaches of the Maximum Weighting Criteria and the Diversification Criteria exist. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.2(b) and the amounts, manner and timing of any such Reallocations. (c) If the Index Administrator determines on a Determination Date that a Maximum Weighting Breach existed as of the immediately preceding Accounting Period End Date and no Covered Reallocations occurred during the Accounting Period ending on such Accounting Period End Date, then a “Passive Maximum Weighting Breach” shall be deemed to have occurred. If the Index Administrator determines on a Determination Date that a Passive Maximum Weighting Breach had occurred as of the immediately preceding Accounting Period End Date, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, no breaches of the Maximum Weighting Criteria exist. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.2(c) and the amounts, manner and timing of any such Reallocations. 4.3 Reallocations Following a Diversification Breach (a) On each Determination Date occurring prior to the Index Extension Period, the Index Administrator shall determine whether a breach of any of the Diversification Criteria (a “Diversification Breach”) existed as of the immediately preceding Accounting Period End Date. (b) If the Index Administrator determines on a Determination Date occurring prior to the Index Extension Period that a Diversification Breach existed as of the immediately preceding Accounting Period End Date and one or more Covered Reallocations occurred during the Accounting Period ending on such Accounting Period End Date, then an “Active Diversification Breach” shall be deemed to have occurred. If the Index Administrator determines on an applicable Determination Date that an Active Diversification Breach had occurred as of the immediately preceding Accounting Period End Date, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, no breaches of the Maximum Weighting Criteria and the Diversification Criteria exist. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.3(b) and the amounts, manner and timing of any such Reallocations. (c) If (i) the Index Administrator determines on a Determination Date occurring prior to the Index Extension Period that a breach of the Diversification Criteria set forth in Clause 3.3(b) existed as of the immediately preceding Accounting Period End Date, (ii) the sum of the Illiquid Index Weightings of the applicable KKR Constituents as of 91 such Accounting Period End Date was 50% or more and (iii) no Covered Reallocations occurred during the Accounting Period ending on such Accounting Period End Date, then a “Passive Illiquid Diversification Breach” shall be deemed to have occurred. If the Index Administrator determines on an applicable Determination Date that a Passive Illiquid Diversification Breach had occurred as of the immediately preceding Accounting Period End Date, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, no breaches of the Maximum Weighting Criteria and the Diversification Criteria exist. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.3(c) and the amounts, manner and timing of any such Reallocations. 4.4 Reallocations Following a Trigger Event (a) On each Determination Date occurring prior to the Index Extension Period, the Index Administrator shall determine whether a Trigger Event existed as of the immediately preceding Accounting Period End Date. A “Trigger Event” shall be deemed to have occurred with respect to any Accounting Period End Date if the sum of the Unadjusted Weightings of the KKR Constituents and the Cash Constituent as of such date is greater than or equal to the product of the Distance as of such date multiplied by 2.00. (b) If the Index Administrator determines on a Determination Date occurring prior to the Index Extension Period that a Trigger Event occurred with respect to the immediately preceding Accounting Period End Date, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the sum of the Unadjusted Weightings of the KKR Constituents and the Cash Constituent does not exceed the result of the Liquidation Formula. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.4(b) and the amounts, manner and timing of any such Reallocations. 4.5 Reallocations Following an FI Constituent Switch Event (a) On each Accounting Period End Date occurring prior to the Index Extension Period, the Index Administrator shall determine whether an FI Constituent Switch Event has occurred. An “FI Constituent Switch Event” shall be deemed to have occurred on an Accounting Period End Date if the Reference Bond Index selected by the Index Administrator on the Accounting Period End Date (the “New Reference Bond Index”) is different than the Reference Bond Index whose FI Fund Units are then held in the Notional Account (the “Old Reference Bond Index”). (b) If the Index Administrator determines on an Accounting Period End Date occurring prior to the Index Extension Period that an FI Constituent Switch Event occurred, the Index Administrator shall notify the Index Manager in writing of such determination and, upon receiving such written notice, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, (i) all FI Fund Units of the New Reference Bond Index that are then required to be notionally acquired have been notionally acquired and credited

92 to the Notional Account, (ii) all FI Fund Units of the Old Reference Bond Index have been notionally disposed of and debited from the Notional Account, (iii) all related Acquisition Costs and Disposal Costs have been notionally paid from the Notional Account and (iv) the FI Notional Value is equal to the FI Notional Value immediately before the occurrence of the FI Constituent Switch Event (except as a result of the Acquisition Costs and Disposal Costs notionally paid pursuant to clause (iii) above). 4.6 Reallocations Following an Index Allocation Direction (a) With respect to an Optional Allocation Date, the Index Administrator may, not later than the applicable Optional Allocation Notice Date, instruct the Index Manager in writing (an “Index Allocation Direction”) to make one or more Reallocations selected by the Index Manager so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the Cash Notional Value as of the Optional Allocation Target Date is at least equal to the amount determined by the Index Administrator in accordance with Clause 4.6(e) hereof, as specified in the Index Allocation Direction (the “Specified Cash Amount”). (b) Upon receiving an Index Allocation Direction, the Index Manager shall thereafter use its commercially reasonable efforts to make one or more Reallocations so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the Cash Notional Value as of the Optional Allocation Target Date is at least equal to the Specified Cash Amount. If the Cash Notional Value as of the Optional Allocation Target Date is less than the Specified Cash Amount, the Index Manager shall continue to use its commercially reasonable efforts to make one or more Reallocations so that, after giving effect to such Reallocations and any other changes in the Index Constituents and the Notional Account, the Cash Notional Value is at least equal to the applicable Specified Cash Amount as soon as is reasonably practicable thereafter. Subject to applicable provisions of these Index Rules and the ISA, the Index Manager shall determine the Fund Units with respect to which Reallocations are to be made pursuant to this Clause 4.6(b) and the amounts, manner and timing of any such Reallocations. (c) With respect to an Index Allocation Direction, an “Optional Allocation Event” shall be deemed to occur: (i) if the Cash Notional Value as of the Optional Allocation Target Date is at least equal to the Specified Cash Amount, on the Optional Allocation Target Date; (ii) if the Cash Notional Value as of the Optional Allocation Target Date is less than the Specified Cash Amount, on the first Business Day following the Optional Allocation Target Date as of which the Cash Notional Value is at least equal to the Specified Cash Amount; or (iii) if the Cash Notional Value equals 100% of the Index Value. (d) Upon the occurrence of an Optional Allocation Event, the Index Manager shall divide the Cash Constituent into an Index Constituent having a Cash Notional Value equal to the Specified Cash Amount (the “Excess Cash Constituent”) and the Cash Constituent consisting of the balance, if any, of the Cash Fund Units then held in the Notional Account. Immediately thereafter, the Index Manager shall: (i) notify the Index Administrator of the number of Fund Units of the Excess Cash Constituent and the Unit Value of such Fund Units; (ii) notionally debit from the Notional Account all of the Cash Fund Units comprising the Excess Cash Constituent; and

93 (iii) notionally credit to the Notional Account, with respect to each Index Constituent other than the Excess Cash Constituent (the “Remaining Constituents”), a number of additional Fund Units of each class of such Remaining Constituent that is equal to the sum of (x) the number of Fund Units of such class that were held in the Notional Account upon the occurrence of the Optional Allocation Event divided by the sum of the Unadjusted Weightings of the Remaining Constituents upon the occurrence of the Optional Allocation Event minus (y) the number of Fund Units of such class that were held in the Notional Account upon the occurrence of the Optional Allocation Event. (e) With respect to an Optional Allocation Date (other than one following which no Index Linked Securities are scheduled to be outstanding), the Specified Cash Amount shall be determined by the Index Administrator, but shall not exceed an amount equal to (i) the Notional Account Value as of the Accounting Period End Date immediately following the Optional Allocation Notice Date multiplied by (ii) a fraction, (x) the numerator of which is the aggregate principal amount of Maturing Index Linked Securities outstanding on the date on which the Optional Allocation Direction is delivered and (y) the denominator of which is the aggregate principal amount of Index Linked Securities outstanding on the date on which the Optional Allocation Direction is delivered. With respect to an Optional Allocation Date following which no Index Linked Securities are scheduled to be outstanding, the Specified Cash Amount shall equal the Index Value. (f) With respect to an Optional Allocation Date, a “Maturing Index Linked Security” shall consist of: (i) in the case of an Optional Allocation Date that is a Maturity Date, the principal amount of such Index Linked Security that is scheduled to finally mature and become repayable in full in accordance with its Original Terms on such Maturity Date, provided that either (x) the holder has not validly delivered a notice to the issuer electing to extend the maturity of the Index Linked Security beyond such Maturity Date (or has validly withdrawn any such notice that has previously been delivered) or (y) the issuer has not agreed to extend the maturity of the Index Linked Security beyond such Maturity Date; (ii) in the case of an Optional Allocation Date that is an Optional Early Redemption Date, the principal amount of such Index Linked Security that is redeemable at the option of the holder in accordance with its Original Terms on such Optional Early Redemption Date, provided that the holder has validly delivered and not validly withdrawn a notice to the issuer electing to redeem such amount of the Index Linked Security on such Optional Early Redemption Date; and (iii) in the case of an Optional Allocation Date that is a Mandatory Early Redemption Date, the principal amount of such Index Linked Security that is redeemable at the option of the issuer in accordance with its Original Terms on such Mandatory Early Redemption Date, provided that the issuer has validly delivered and not validly withdrawn a notice to the holder electing to redeem such amount of the Index Linked Security on such Mandatory Early Redemption Date. 4.7 Limitations on Reallocations (a) General Limitation

94 The Index Manager shall not make a Covered Reallocation if, at the time the Covered Reallocation is to be made, the Covered Reallocation would reasonably be expected to cause an Active Maximum Weighting Breach, an Active Diversification Breach or a Trigger Event to occur. (b) Reallocations from the FI Constituent Prior to the Index Extension Period, the Index Manager shall not make a Reallocation from the FI Constituent (other than pursuant to an Index Allocation Direction) if, at the time the Reallocation is to be made, the Reallocation would reasonably be expected to cause the Index Weighting of the FI Constituent to fall below the lesser of (i) 30% of the Initial Index Value multiplied by a fraction, the numerator of which is the then-current Bond Floor and the denominator of which is the Start Point and (ii) 30% of the Initial Index Value multiplied by a fraction, the numerator of which is the then-current FI Level and the denominator is the FI Level as of the Index Start Date. (c) Crediting of Capital Commitment Units Prior to the Index Extension Period, the Index Manager shall not credit any Capital Commitment Unit to the Notional Account if, at the time such Capital Commitment Unit is to be credited, the crediting of such Capital Commitment Unit would reasonably be expected to cause (i) the amount obtained by dividing (a) the Unfunded Value of all of the Capital Commitment Units held in the Notional Account by (b) the Notional Account Value to exceed (ii) the product of (x) the Maximum Permitted Illiquid Index Weighting multiplied by (y) 25%.

5 Standards of Conduct 5.1 Any term of these Index Rules that provides for any determination or other exercise of discretion on the part of the Index Manager, the Index Administrator or the Index Sponsor shall always be made in good faith and in a commercially reasonable manner, subject to and in accordance with all other applicable terms of these Index Rules. The Index Manager’s discretion as to the making of any Reallocations shall also be subject to compliance with any applicable Index Allocation Direction delivered in accordance with Clause 4.6 hereof. 5.2 When managing the Index, the Index Manager shall comply with the duties owed to a “client” with U.S. investors by an investment adviser that is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, assuming for such purposes that the Notional Account is the “client”. Where the Index Manager is required to use its “commercially reasonable efforts” to make a Reallocation “as soon as reasonably practicable,” the Index Manager shall make the Reallocation as if: (a) the Index Manager was the investment manager and the general partner of an actual investment fund organised as a Cayman Islands exempted limited partnership (the “Hypothetical Fund”) with (i) a net asset value equal to the Notional Account Value multiplied by the ILS Multiplier or such other amount as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor, (ii) an investment portfolio consisting of Fund Units of Index Constituents that are identical to, and held in the same proportions and manner as, the Fund Units that are then held in the Notional Account and (iii) limited partners who possess all of the characteristics of a Hypothetical Investor; (b) the Reallocation required actual redemptions, acquisitions, capital contributions and/or distributions to be made with respect to Fund Units held by the Hypothetical Fund in the same manner and in the same proportions, and with respect to the same Fund Units, as such redemptions, acquisitions, capital contributions and/or distributions are to be recorded in the Notional Account; and

95 (c) the investment manager and the general partner of the Hypothetical Fund exercised their commercially reasonable efforts to cause such actual redemptions, acquisitions, capital contributions and/or distributions to be made at the earliest reasonable times at which it would not be inadvisable, impermissible or impossible to make such actual redemptions, acquisitions, capital contributions and/or distributions, as determined in the reasonable opinion of the Index Manager, taking into consideration the duties of the investment manager and the general partner, actual prevailing levels of liquidity in the market for assets of the type held by the Hypothetical Fund and/or the Index Constituents and any applicable legal, regulatory, contractual or other restrictions to which the investment manager, the general partner, the Hypothetical Fund, the Index Constituents and their respective assets and Affiliates are actually subject.

6 Records 6.1 The Index Manager shall maintain detailed records with respect to the Notional Account and any calculations or determinations that it is required to make with respect to these Index Rules and the ISA. Such records shall be maintained in accordance with these Index Rules and the ISA and shall include the following: (a) the amounts and Unit Values of all KKR Fund Units and Cash Fund Units held in the Notional Account and the identities of the Index Constituents to which such Fund Units relate; (b) the amounts and Unfunded Value of all Capital Commitment Units held in the Notional Account and the identities of the KKR Constituents to which such Capital Commitment Units relate; (c) all Notional Distribution Amounts received in respect of Fund Units held in the Notional Account and the identities of the Index Constituents to which such Fund Units relate; (d) the amounts of all Index Adjustments and the manner in which such Index Adjustments are applied; (e) the amounts of all Index Income Distributions made from the Notional Account; (f) the amounts of all Reallocations and other credits, debits and adjustments made to the Notional Account; (g) all calculations or determinations required to be made by the Index Manager under these Index Rules; and (h) any other information that is the responsibility of the Index Manager and which is reasonably necessary to enable any of the calculations or determinations required to be made or evidenced under these Index Rules to be so made, done or evidenced (whether by the Index Manager or the Index Administrator). 6.2 The Index Administrator shall maintain detailed records with respect to the FI Constituent and any calculations or determinations that it is required to make with respect to these Index Rules and the ISA. Such records shall be maintained in accordance with these Index Rules and the ISA and shall include the following: (a) the amounts and Unit Values of all FI Fund Units held in the Notional Account and the identities of the Index Constituents to which such Fund Units relate; (b) the Acquisition Costs of all FI Fund Units credited to the Notional Account and the identity of the Reference Bond Index to which such Fund Units relate; (c) the Disposal Costs of all FI Fund Units debited from the Notional Account and the identity of the Reference Bond Index to which such Fund Units relate;

96 (d) all calculations or determinations required to be made by the Index Administrator under these Index Rules; and (e) any other information that is the responsibility of the Index Administrator and which is reasonably necessary to enable any of the calculations or determinations required to be made or evidenced under these Index Rules to be so made, done or evidenced (whether by the Index Administrator or the Index Manager).

7 Amendments Except as otherwise provided herein, the Index Rules may be amended, supplemented, modified or waived only in writing and with the consent of the Index Manager, the Index Administrator and the Index Sponsor.

97 Annex 1 Defined Terms

“Accounting Period” means a period of three months ending on March 31, June 30, September 30 or December 31, except that the first Accounting Period shall commence on the Index Start Date and shall end on March 31, 2008.

“Accounting Period End Date” means the last day of an Accounting Period.

“Acquisition Cost” has the meaning given to such term in Clause 2.3(e).

“Active Diversification Breach” has the meaning given to such term in Clause 4.3(b).

“Active Maximum Weighting Breach” has the meaning given to such term in Clause 4.2(b).

“Additional KKR Constituents” has the meaning given to such term in Clause 2.2(a).

“Affiliate” means, with respect to a specified Person, any Person that, directly or indirectly through one or more intermediaries, controls or is controlled by or is under common control with the specified Person.

“Attributable Constituent Value” has the meaning given to such term in Clause 3.1(b).

“Attributable Investment Value” has the meaning given to such term in Clause 3.1(c).

“Bond Floor” means, as of a specified date, the level of a straight line between the Start Point and the End Point.

“Business Day” means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in London, the Cayman Islands, the City of New York, Dublin and such other places as may be agreed in writing by the Index Manager, the Index Administrator and the Index Sponsor.

“Capital Commitment Units” has the meaning given to such term in Clause 3.1(d).

“Cash Constituent” means KMIF Cash Investments L.P., a fund sponsored by KKR for the purposes of making certain Cash Investments.

“Cash Fund Unit” has the meaning given to such term in Clause 2.4(a).

“Cash Investments” means any of the following: (a) bonds or interest-bearing notes or obligations which (i) are issued or guaranteed by the United States or any agency thereof for the payment of which the full faith and credit of the United States is pledged and (ii) having maturities or durations not to exceed 180 calendar days; (b) commercial paper of “prime” quality, as defined by either a rating of “A-1” by S&P or “P-1” by Moody’s, such paper not to exceed six months and one day maturity; (c) bills of exchange or time drafts drawn on and accepted by a commercial bank having undivided capital and surplus in excess of U.S.$500,000,000, otherwise known as bankers acceptances, which have a maturity of not longer than 90 calendar days and which are eligible for purchase by the United States Federal Reserve System; (d) negotiable certificates of deposit issued by a United States Federal- or State-chartered bank or savings and loan association or by a branch of a non-U.S. bank licensed by the State of New York, each having (i) undivided capital and surplus in excess of U.S.$500,000,000 and (ii) debt rated no lower than “A” by S&P or “A” by Moody’s; (e) repurchase agreements secured or guaranteed by bonds or interest- bearing notes or obligations delivered to a third party custodian (i) issued or guaranteed by the United States or any agency thereof for the payment of which the full faith and credit of the United States is pledged and (ii) having maturities or durations not to exceed 180 calendar days; (f) any money market mutual funds with assets of not less than U.S.$750,000,000 and all or substantially all of which assets are reasonably believed by the Index Manager to consist of items described above; and (g) any cash,

98 bank, money market or securities brokerage accounts at one or more banks or funds or with such brokers that the Index Manager may select.

“Cash Notional Value” has the meaning given to such term in Clause 2.4(c).

“Constituent Notional Value” has the meaning given to such term in Clause 2.2(f).

“Covered Reallocation” means a Reallocation other than a Qualifying Notional Acquisition, a Qualifying Notional Disposal, a Qualifying Notional Capital Contribution, a Qualifying Notional Distribution or a Qualifying ILS Reallocation.

“Designated Portfolio Investment” has the meaning given to such term in Clause 3.1(f).

“Determination Date” means the 60th day following an Accounting Period End Date ending on March 31, June 30 or September 30 and the 75th day following an Accounting Period End Date ending on December 31 or, if the applicable date is not a Business Day, the first Business Day immediately thereafter.

“Disposal Costs” has the meaning given to such term in Clause 2.3(e).

“Distance” means, as of a specified date, an amount, expressed as a percentage, equal to (i) the Index Percentage Value minus the Bond Floor divided by (ii) the Index Percentage Value, as determined by the Index Administrator.

“Distribution” means, with respect to a Fund Unit, a dividend or other distribution of any nature whatsoever, including a distribution in-kind, that is paid or made in relation to a record date as of which the Fund Unit is held in the Notional Account.

“Diversification Breach” has the meaning given to such term in Clause 4.3(a).

“Diversification Criteria” has the meaning given to such term in Clause 3.3(a).

“End Point” means 106% as of 30 November 2021 or such other percentage as of such other date as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor, provided that such other percentage would not when agreed to increase the level of the Bond Floor.

“Excess Cash Constituent” has the meaning given to such term in Clause 4.6(d).

“Extended Maturity Date” means, with respect to any Index Linked Security, the date on which such Index Linked Security is scheduled to finally mature and become repayable in full in accordance with its Original Terms following the expiration of all options to extend the maturity of such Index Linked Security, in each case as identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA.

“Extension Period” means, with respect to any Index Linked Security, the period from but excluding the Stated Maturity Date for such Index Linked Security to and including the Extended Maturity Date for such Index Linked Security.

“FI Constituent” has the meaning given to such term in Clause 2.3(a).

“FI Constituent Switch Event” has the meaning given to such term in Clause 4.5(a).

“FI Duration” means, with respect to a Reference Bond Index, duration that is equal to the “modified duration” of the “Last index level” published on the website of the International Index Company on the “Analytics” page for such Reference Bond Index or, if such modified duration is not published on the website of the International Index Company, the duration as determined by the Index Administrator in a

99 reasonable manner as the change in the Reference Bond Index, expressed as a percentage, that would result from a change in the yield of all bonds referenced by the Reference Bond Index of one basis point.

“FI Fund Unit” has the meaning given to such term in Clause 2.3(a).

“FI Level” means, as of a specified date, the FI Notional Value determined assuming that from the Index Start Date the only Reallocations in respect of the FI Constituent were made pursuant to Clause 4.5.

“FI Notional Value” has the meaning given to such term in Clause 2.3(c).

“Fund Document” means, with respect to each of the KKR Constituents and the Cash Constituent, the organisational documents establishing such entity and the investment management or similar agreement entered into between or among such entity and its respective investment manager.

“Fund Unit” has the meaning given to such term in Clause 2.1(a).

“Hypothetical Fund” has the meaning given to such term in Clause 5.2(a).

“Hypothetical Investor” means, with respect to a KKR Constituent or the Cash Constituent, a hypothetical investor in the Fund Units of such Index Constituent that is located and organised in the Cayman Islands as an exempted limited company and deemed to have the benefits and obligations, as provided in the Fund Documents of such Index Constituent, of an investor holding, directly or through one or more other entities, as of a specified day, an interest in the equity or capital of the Index Constituent in an amount equal to the number of Fund Units of such Index Constituent then held in the Notional Account.

“Illiquid Class” has the meaning given to such term in Clause 2.2(c).

“Illiquid Fund Unit” means a Fund Unit that is not a Marketable Fund Unit.

“Illiquid Index Weighting” has the meaning given to such term in Clause 3.3(b).

“ILS Multiplier” means, with respect to any time of determination, an amount equal to the aggregate principal amount of Index Linked Securities outstanding as of such time divided by U.S.$100,000.

“Index” has the meaning given to such term in Clause 1.1.

“Index Adjustments” has the meaning given to such term in Clause 2.5(a).

“Index Administrator” has the meaning given to such term in Clause 1.1.

“Index Administrator Disruption Event” means any event (including a day of national mourning, a systems failure, a fire, a building evacuation, a natural or man-made disaster, an armed conflict, an act of terrorism, a riot or labour disruption, a failure of any Person outside the reasonable control of the Index Administrator or an Affiliate of the Index Administrator or any similar intervening circumstance) that would reasonably prevent the Index Administrator from calculating the FI Notional Value, the Notional Account Value or the Index Value or publishing the Notional Account Value or the Index Value.

“Index Allocation Direction” has the meaning given to such term in Clause 4.6(a).

“Index Constituents” means the KKR Constituents, the FI Constituent, the Cash Constituent and, for the purposes of Clause 4.6, the Excess Cash Constituent.

“Index Extension Period” means, as of a specified date, the period from but excluding the latest Stated Maturity Date of the Index Linked Securities then outstanding to and including the latest Extended Maturity Date of the Index Linked Securities then outstanding.

100 “Index Income Distribution” has the meaning given to such term in Clause 2.7(a).

“Index Income Distribution Date” has the meaning given to such term in Clause 2.7(b).

“Index Linked Securities” means one or more securities or other financial instruments issued from time to time with the consent of the Index Manager, the Index Administrator and the Index Sponsor and whose return is determined in whole or in part by the performance of the KKR Constituents, in each case as identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA.

“Index Manager” has the meaning given to such term in Clause 1.1.

“Index Manager Disruption Event” means any event (including a day of national mourning, a systems failure, a fire, a building evacuation, a natural or man-made disaster, an armed conflict, an act of terrorism, a riot or labour disruption, a failure of any Person outside the reasonable control of the Index Manager or an Affiliate of the Index Manager or any similar intervening circumstance) that would reasonably prevent the Index Manager from calculating the KKR Notional Value, the Cash Notional Value or the amounts or allocations of Index Adjustments.

“Index Percentage Value” means the Index Value expressed as a percentage of the Initial Index Value.

“Index Rules” means the rules of the Index as set out herein, including the Annexes hereto which form an integral part of such rules, as such rules may be amended, supplemented or modified from time to time in accordance with the provisions hereof.

“Index Sponsor” has the meaning given to such term in Clause 1.1.

“Index Start Date” has the meaning given to such term in Clause 1.2.

“Index Value” has the meaning given to such term in Clause 1.3.

“Index Weightings” has the meaning given to such term in Clause 3.1(a).

“Initial Index Value” has the meaning given to such term in Clause 1.3.

“Initial KKR Constituents” has the meaning given to such term in Clause 2.2(a).

“International Index Company” means the International Index Company Limited or any successor thereto that publishes the Reference Bond Indices.

“ISA” means that certain Index Strategy Agreement, dated as of November 30, 2007, among the Index Manager, the Index Sponsor and the Index Administrator setting forth the services to be provided by such parties with respect to the Index.

“KKR” has the meaning given to such term in Clause 1.1.

“KKR Alternative Investment Funds” means KKR Alternative Investment Fund I L.P., KKR Alternative Investment Fund II L.P. and any Additional KKR Constituents that pursue investment strategies that focus primarily on Marketable Financial Instruments.

“KKR Constituents” has the meaning given to such term in Clause 2.2(a).

“KKR Fund Unit” has the meaning given to such term in Clause 2.2(c).

“KKR Notional Value” has the meaning given to such term in Clause 2.2(f).

“KPE” means KKR Private Equity Investors, L.P.

101 “Liquidation Formula” means, as of a specified date, the product of 1.85 multiplied by the Distance as of such date.

“Mandatory Early Redemption Date” means, with respect to any Index Linked Security, the earliest date on which such Index Linked Security is scheduled to be redeemed, at the option of the issuer, in accordance with its Original Terms as set forth in a notice of redemption delivered to such holder due to the occurrence of a “Mandatory Early Redemption Event” identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA.

“Marketable Class” has the meaning given to such term in Clause 2.2(c).

“Marketable Financial Instrument” means (a) a Cash Investment, (b) a financial instrument that is listed, quoted or traded regularly on a recognized securities exchange, inter-dealer quotation system or regulated market; (c) a financial instrument that has at least five leading dealers in the United States and/or the European Union that publish daily, or will promptly provide upon request, a “bid” or “ask” price for such financial instrument; (d) a financial instrument that is readily convertible into, or exchangeable for, one or more Cash Investment or financial instruments described in clauses (a), (b), (c), (e) or (f) of this definition; (e) a financial instrument the value of which is determined substantially by reference to one or more Marketable Financial Instruments; or (f) a financial instrument consisting of an interest in a common trust fund or an investment company regulated under the U.S. Investment Company Act of 1940, as amended, or any equivalent law of any Member State of the European Union, which instrument is redeemable, upon presentation and subject to a settlement cycle of “T+5” or less, for an allocable share of the current net assets of such common trust fund or regulated investment company or one or more Marketable Financial Instruments having an equivalent value.

“Marketable Fund Unit” means a Fund Unit that qualifies as a Marketable Financial Instrument.

“Maturing Index Linked Security” has the meaning given to such term in Clause 4.6(f).

“Maturity Date” means, with respect to any Index Linked Security, the Stated Maturity Date or the Extended Maturity Date of such Index Linked Security.

“Maximum Distributable Amount” has the meaning given to such term in Clause 2.7(a).

“Maximum Index Weighting” has the meaning given to such term in Clause 3.2(a).

“Maximum Permitted Illiquid Index Weighting” has the meaning given to such term in Clause 3.3(b).

“Maximum Weighting Breach” has the meaning given to such term in Clause 4.2(a).

“Maximum Weighting Criteria” has the meaning given to such term in Clause 3.2(b).

“Moody’s” means Moody’s Investors Service, Inc. or any successor thereto as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor.

“Net Value” has the meaning given to such term in Clause 3.1(c).

“New Reference Bond Index” has the meaning given to such term in Clause 4.5(a).

“Notional Account” has the meaning given to such term in Clause 1.3.

“Notional Account Value” has the meaning given to such term in Clause 1.3.

“Notional Distribution Amount” has the meaning given to such term in Clause 2.1(e).

“Old Reference Bond Index” has the meaning given to such term in Clause 4.5(a).

102 “Optional Allocation Date” means, with respect to any Index Linked Security, a Maturity Date, an Optional Early Redemption Date or a Mandatory Early Redemption Date for such Index Linked Security.

“Optional Allocation Event” has the meaning given to it in Clause 4.6(c).

“Optional Allocation Notice Date” means, with respect to any Index Linked Security, (a) the fifth Business Day after the date falling six months prior to such Optional Allocation Date in the case of an Optional Allocation Date that is a Maturity Date or an Optional Early Redemption Date and (b) the date on which a notice of redemption is delivered to the holder of such Index Linked Security in accordance with its Original Terms in the case of an Optional Allocation Date that is a Mandatory Early Redemption Date.

“Optional Allocation Target Date” means, with respect to an Optional Allocation Date, the second Business Day immediately preceding the Optional Allocation Date.

“Optional Early Redemption Date” means, with respect to any Index Linked Security, a date on which the Index Linked Security may be redeemed at the option of the holder in accordance with its Original Terms, in each case as identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA.

“Original Terms” means, with respect to any Index Linked Security, the terms and conditions of the Index Linked Security as set forth in the instruments governing or constituting such Index Linked Security on the date of its original issuance.

“Passive Illiquid Diversification Breach” has the meaning given to such term in Clause 4.3(c).

“Passive Maximum Weighting Breach” has the meaning given to such term in Clause 4.2(c).

“Person” means an individual, a partnership, a body corporate (whether a limited company, a limited liability company, an unlimited company, a corporation, a joint stock company or otherwise), an association, a trust, a joint venture, an unincorporated organisation or a governmental entity (or any department, agency or political subdivision thereof).

“Portfolio Investment” means an investment that is made by an Index Constituent, directly or indirectly through one or more intermediate holding vehicles, in a financial instrument.

“Qualifying Capital Contribution” means a notional capital contribution made in respect of a Fund Unit held in the Notional Account where:

(a) the Fund Unit is a Capital Commitment Unit;

(b) the notional capital contribution is made pursuant to Clause 4.2(c) hereof upon the occurrence of a Passive Maximum Weighting Breach; or

(c) the notional capital contribution is notionally funded with the notional proceeds of a Qualifying Notional Disposal, a Qualifying Notional Distribution or an Index Adjustment; provided that, in the case of a notional capital contribution described in clause (c) above, the notional capital contribution would not reasonably be expected to cause a Maximum Weighting Breach or Diversification Breach to occur or, if a Maximum Weighting Breach or Diversification Breach then exists, would not reasonably be expected to cause the extent of such existing Maximum Weighting Breach or Diversification Breach to be increased.

“Qualifying Fund” means (i) a Qualifying PE Fund or (ii) an investment fund that has terms that are identical in all material respects to those of an existing KKR Constituent and that was formed to invest alongside of, acquire the assets of or act as the successor to such existing KKR Constituent.

103 “Qualifying Notional Acquisition” means a crediting of a Fund Unit to the Notional Account in connection with a notional acquisition of the Fund Unit where:

(a) the notional acquisition is made pursuant to Clause 4.5(b) hereof upon the occurrence of an FI Constituent Switch Event;

(b) the notional acquisition is made pursuant to an Index Allocation Direction where the Specified Cash Weighting is greater than or equal to 20%;

(c) the notional acquisition is made pursuant to Clause 4.2(c) hereof upon the occurrence of a Passive Maximum Weighting Breach; or

(d) the notional acquisition is notionally funded with the notional proceeds of a Qualifying Notional Disposal, a Qualifying Notional Distribution or an Index Adjustment; provided that, in the case of a notional acquisition described in clause (c) or clause (d) above, the notional acquisition would not reasonably be expected to cause a Maximum Weighting Breach or Diversification Breach to occur or, if a Maximum Weighting Breach or Diversification Breach then exists, would not reasonably be expected to cause the extent of such existing Maximum Weighting Breach or Diversification Breach to be increased.

“Qualifying Notional Disposal” means a debiting of a Fund Unit from the Notional Account in connection with a notional disposal of the Fund Unit where:

(a) the notional disposal is made pursuant to Clause 4.5(b) hereof upon the occurrence of an FI Constituent Switch Event;

(b) the notional disposal is made pursuant to an Index Allocation Direction where the Specified Cash Weighting is greater than or equal to 20%;

(c) the notional disposal is made pursuant to Clause 4.2(c) hereof upon the occurrence of a Passive Maximum Weighting Breach;

(d) where the Fund Unit is an FI Fund Unit and the notional disposal does not cause the Index Weighting of the FI Constituent to fall below 30% of the Initial Index Value; or

(e) where the notional proceeds from the notional disposal are used to notionally fund (i) an Index Adjustment, (ii) an Acquisition Cost or a Disposal Cost, (iii) a Qualifying Notional Acquisition (other than a Qualifying Notional Acquisition described in clause (d) of the definition thereof) and/or (iv) a Qualifying Capital Contribution (other than a Qualifying Capital Contribution described in clause (c) of the definition thereof).

“Qualifying Notional Distribution” means a notional Distribution made in respect of a Fund Unit held in the Notional Account where:

(a) one or more Persons who are not Affiliates of the Index Manager, the Index Administrator or the Index Sponsor hold Fund Units of the same class and the notional Distribution is made to all holders of such Fund Units in accordance with their relative interests in the related Index Constituent; or

(b) the notional Distribution is used to notionally fund (i) an Index Adjustment, (ii) an Acquisition Cost or a Disposal Cost, (iii) a Qualifying Notional Acquisition (other than a Qualifying Notional Acquisition described in clause (d) of the definition thereof) and/or (iv) a Qualifying Capital Contribution (other than a Qualifying Capital Contribution described in clause (c) of the definition thereof).

104 “Qualifying ILS Reallocation” means a Reallocation that reflects the notional receipt by an Index Constituent of all or part of the notional proceeds from the issuance of one or more Index Linked Securities and any Reallocation reflecting a transfer of such notional proceeds until such notional proceeds have initially been notionally invested in a Portfolio Investment that is not a Cash Investment, provided in each case that such Reallocation would not reasonably be expected to cause a Maximum Weighting Breach or Diversification Breach to occur or, if a Maximum Weighting Breach or Diversification Breach then exists, would not reasonably be expected to cause the extent of such existing Maximum Weighting Breach or Diversification Breach to be increased.

"Qualifying PE Funds" means (a) investment funds that are formed to engage in management buyouts and build ups and growth equity investments (typically involving a controlling or other significant equity interest) and that have terms governing the types of geographies and instruments in which the fund is permitted to invest that are substantially the same as those of one or more other Qualifying PE Funds existing as of the Index Start Date and (b) the KKR Millennium Fund, the KKR 2006 Fund, the KKR European Fund, the KKR European Fund II, the KKR European Fund III and the KKR Asian Fund; provided that if the annual management fee that is payable by any such fund is greater than 1.5% of the fund's net asset value as of the time the management fee is calculated, such fund will be a Qualifying PE Fund only if a majority of the capital committed to such fund (excluding any capital committed by the general partner) consists of capital commitments of Persons who are not Affiliates of the Index Manager or the Index Sponsor.

“Reallocation” has the meaning given to such term in Clause 4.1(a).

“Reference Bond Index” means any of the indices listed in Annex 3 hereto as published from time to time on the website of the International Index Company together with any replacement, alternative or substitute indices selected by the Index Administrator pursuant to these Index Rules.

“Remaining Constituents” has the meaning given to such term in Clause 4.6(d).

“S&P” means Standard & Poor’s, a division of The McGraw-Hill Companies, Inc., or any successor thereto as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor.

“Specified Cash Weighting” has the meaning given to such term in Clause 4.6(a).

“Start Point” means 54% as of 30 November 2007 or such other percentage as of such other date as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor, provided that such other percentage would not when agreed to increase the level of the Bond Floor.

“Stated Maturity Date” means, with respect to any Index Linked Security, the first date on which the Index Linked Security is scheduled to mature and become repayable in full in accordance with its Original Terms assuming that the maturity of the Index Linked Security is not extended pursuant to any applicable extension option, in each case as identified in an ILS Confirmation entered into by the Index Manager, the Index Administrator and the Index Sponsor pursuant to the ISA.

“Trading Price” means, with respect to a Fund Unit of a Listed KKR Constituent as of a specified date, the last reported closing market price of the Fund Unit on such date or, if such date is not a date on which the primary securities exchange, inter-dealer quotation system or regulated market for such Fund Unit is open for general business, the immediately preceding date on which such securities exchange, inter-dealer quotation system or regulated market was open for business. If on any such date no sale occurred, the Trading Price shall be the closing “bid” price for the Fund Unit on such date.

“Trading Price Ratio” has the meaning given to such term in Clause 3.1(c).

“Trigger Event” has the meaning given to such term in Clause 4.4(a).

105 “UCITS III” means Council Directive of 20 December 1985 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (85/611/EC), as amended from time to time.

“Unadjusted Weighting” means the Index Weighting of an Index Constituent calculated without giving effect to any adjustments to Attributable Constituent Values provided for in Clause 3.1(d) and Clause 3.1(e) hereof.

“Unfunded Value” has the meaning given to such term in Clause 3.1(d).

“Unit Value” has the meaning given to such term in Clause 2.1(a).

“Unlisted KKR Constituent” means a KKR Constituent whose Fund Units are not listed, quoted or traded on a securities exchange, inter-dealer quotation system or regulated market.

“U.S.$” and “U.S. dollars” mean the lawful currency of the United States of America.

“Voluntary Reallocations” has the meaning given to such term in Clause 4.1(b).

“Zero Bond” means a notional U.S. dollar denominated zero coupon bond, with a principal amount of U.S.$1,000,000, issued on the Index Start Date by a notional issuer having credit ratings of “AA” from S&P and “Aa1” from Moody’s and which is scheduled to mature on the End Point or such other date as may be agreed to in writing by the Index Manager, the Index Administrator and the Index Sponsor.

“Zero Bond Duration” means the change in the price, expressed as a percentage, of the Zero Bond that would result from a parallel one basis point movement in the U.S. dollar swap rate derived from the U.S. dollar swap curve for a notional interest rate swap with a term expiring on the maturity date of the Zero Bond, as calculated by the Index Administrator.

106 Annex 2

Index Constituents on the Index Start Date

Index Weighting as Unadjusted soon as Weighting on reasonably Index Start Index Constituents possible(1) Date(1) (%) (%) KKR Constituents KKR North American Co-Invest Fund I L.P. 4 0

KKR North American Co-Invest Fund II L.P. 0 0

KKR European Co-Invest Fund I L.P. 3 0

KKR European Co-Invest Fund II L.P. 0 0

KKR Asian Co-Invest Fund I L.P. 0 0

KKR Asian Co-Invest Fund II L.P. 0 0 33 0 KPE 15 0 KKR Alternative Investment Fund I L.P. 15 0 KKR Alternative Investment Fund II L.P. Total KKR Constituents 70 0 FI Constituent 30 30 Cash Constituent 0 70 Index Total 100 100

Note:

(1) Calculated without giving effect to any items that may give rise to Index Adjustments.

107 Annex 3

International Index Company Reference Bond Indices

The iBoxx $ Treasuries 1-3Y Total Return Index compiled by International Index Company under Indexco Identifier I11102076 and ISIN GB00B05D1Q68 The iBoxx $ Treasuries 1-5Y Total Return Index compiled by International Index Company under Indexco Identifier I11102077 and ISIN GB00B05D1Z59 The iBoxx $ Treasuries 1-10Y Total Return Index compiled by International Index Company under Indexco Identifier I11102075 and ISIN GB00B05D2184 The iBoxx $ Treasuries 3-5Y Total Return Index compiled by International Index Company under Indexco Identifier I11102079 and ISIN GB00B05D1R75 The iBoxx $ Treasuries 5-7Y Total Return Index compiled by International Index Company under Indexco Identifier I11102081 and ISIN GB00B05D1T99 The iBoxx $ Treasuries 5-10Y Total Return Index compiled by International Index Company under Indexco Identifier I11102080 and ISIN GB00B05D2077 The iBoxx $ Treasuries 7-10Y Total Return Index compiled by International Index Company under Indexco Identifier I11102082 and ISIN GB00B05D1V12 The iBoxx $ Treasuries 10Y+ Total Return Index compiled by International Index Company under Indexco Identifier I11102073 and ISIN GB00B05D1X36 The iBoxx $ Treasuries 10-15Y Total Return Index compiled by International Index Company under Indexco Identifier I11102074 and ISIN GB00B05D1W29 The iBoxx $ Treasuries 15Y+ Total Return Index compiled by International Index Company under Indexco Identifier I11102078 and ISIN GB00B05D1Y43

108 DESCRIPTION OF THE INDEX STRATEGY AGREEMENT

The following description of the Index Strategy Agreement consists of a summary of certain provisions of the Index Strategy Agreement and is qualified by reference to the detailed provisions thereof. The following summary does not purport to be complete and prospective investors must refer to the Index Strategy Agreement for detailed information regarding the Index Strategy Agreement. Capitalised terms used in this Section have the meanings given to them in the Index Strategy Agreement a copy of which is available for inspection during normal business hours at the specified office of the Issuer and Paying Agent, and at the office of the Paying Agent in Luxembourg.

General

Pursuant to the Index Strategy Agreement the Index Sponsor will establish the Index, which is to be administered by the Index Administrator and managed by the Index Manager pursuant to the Index Rules with the objective of achieving, but not guaranteeing, superior alpha returns from KKR sponsored investments while preserving capital through dynamically adjusted exposure to the FI Constituent.

The Index Strategy Agreement will contemplate that one or more series of securities (of which the Notes are the first series) whose return is determined by the performance of the Index may be issued from time to time with the consent of the Index Manager and the Index Sponsor.

Index Sponsor will appoint the Index Manager and the Index Administrator to provide certain management, administrative and other services with respect to the Index on the terms set forth in the Index Strategy Agreement.

Duties of the Index Manager

The Index Strategy Agreement will provide that the Index Manager shall be responsible for managing the Index in accordance with the Index Rules and shall perform or cause to be performed such services and activities relating to the Index as the Index Manager deems necessary or appropriate, including each of the following as

· investigating, analyzing and selecting the Initial KKR Constituents and Additional KKR Constituents;

· determining the value of the KKR Constituents and the number of KKR Fund Units of each to be credited to and/or debited from the Notional Account thereto;

· investigating, analyzing and selecting the Cash Constituent;

· determining the value of the Cash Constituent and the number of Cash Fund Units to be credited to and/or debited from the Notional Account;

· monitoring the performance of the KKR Constituents and the Cash Constituent;

· determining the amount of any Index Adjustments and the manner in which such Index Adjustments are applied;

· determining the KKR Notional Value, the Cash Notional Value, attributable Constituent Values and Attributable Investment Values;

· maintaining the Notional Account by recording all credits, debits and other adjustments thereto;

· determining the Index Weightings of the Index Constituents and their Portfolio Investments; and

109 · making such other determinations and calculations, and delivering such notices and performing such other services, as may be required from time to time pursuant to the Index Rules or for the management of the Index.

Duties of the Index Administrator

The Index Strategy Agreement will provide that the Index Administrator will be responsible for administering the Index in accordance with the Index Rules and shall perform or cause to be performed such services and activities relating to the Index as the Index Administrator deems necessary or appropriate, including each of the following as applicable:

· selecting the Reference Bond Index, calculating the Zero Bond Duration and determining the Unit Value of each FI Fund Unit and calculating the number of FI Fund Units that, from time to time, are credited to and/or debited from the Notional Account;

· determining the Acquisition Costs and Disposal Costs relating to notional acquisitions and notional disposals of FI Fund Units;

· determining the FI Notional Value and calculating the Notional Account Value and the Index Value;

· determining whether a Maximum Weighting Breach, a Diversification Breach, a Trigger Event or a FI Constituent Switch Event has occurred;

· delivering Index Allocation Directions, if any, to the Index Manager and determining the Specified Cash Weighting with respect to each Index Allocation Direction; and

· making such other determinations and calculations, and delivering such notices and performing such other services, as may be required from time to time pursuant to the Index Rules or for the administration of the Index.

Standard of Care

In performing their respective services under the Index Strategy Agreement each of the Index Manager and the Index Administrator shall (i) act in accordance with the Index Rules, including the standards of conduct applicable to it as set forth in Clause 5 of the Index Rules, and (ii) refrain from taking any action that would reasonably be expected to violate the Index Rules.

Each of the Index Manager and the Index Administrator shall arrange for such personnel and support staff to be available as is necessary or appropriate to carry out their respective services to be provided under the Index Strategy Agreement. The Index Strategy Agreement will provide that personnel and support staff provided by the Index Manager and the Index Administrator shall possess all necessary and appropriate skills and qualification for the tasks they are to perform and shall devote such of their time to the performance of their respective services under the Index Strategy Agreement as the Index Manager and the Index Administrator, as applicable, reasonably deems necessary and appropriate. Such personnel need not have as their primary responsibility, or be dedicated exclusively to, the performance of the services under the Index Strategy Agreement. None of the parties to the Index Strategy Agreement shall undertake activities, which, in its reasonable judgment, would substantially and adversely affect the performance of its obligations under the Index Strategy Agreement.

Fees

No fees shall be payable to the Index Manager or the Index Administrator under the Index Strategy Agreement. Under the Index Strategy Agreement the Index Manager shall procure that certain KKR Constituents jointly and severally agree to pay the Index Sponsor, in arrear, the DB Fee in return for the supply by the Index Sponsor of the right to use the Index and ancillary services thereto.

110 The DB Fees are paid and consist of the DB Base Fee and the DB Supplemental Fee. Capitalised terms used in the definitions of DB Base Fee and the DB Supplemental Fee have the meanings given to them in the Fund Management Agreement.

The “DB Base Fee” is calculated in respect of each Quarterly Period and each series of Index Linked Securities as follows:

Ɣ during the period from the issuance of such series to but excluding the Stated Maturity Date for such series, the DB Base Fee shall be an aggregate amount equal to (i) 0.375% multiplied by (ii) the weighted average principal amount of the Index Linked Securities of such series that were outstanding during such Quarterly Period; and1

Ɣ thereafter, as agreed between Deutsche Bank AG, London Branch and KKR.

In addition, with respect to each Quarterly Period ending on or before the Target Date, the Managed Funds shall pay Deutsche Bank AG, London Branch the “DB Supplemental Fee” in an aggregate amount equal to (i) 0.25% multiplied by (ii) one-fourth of the Fund NAV as of the last day of such Quarterly Period. The “Target Date” means: (i) 31 December 2017, if Deutsche Bank AG, London Branch and its Affiliates have issued U.S.$1.5 billion in aggregate principal amount of Index Linked Securities as of 30 November 2009 or (ii) otherwise, 31 December 2013.

Delegation and Subcontracting

Under the Index Strategy Agreement each of the Index Manager, the Index Sponsor and the Index Administrator may, without the consent of any other party to the Index Strategy Agreement, subcontract any and all of the services to be provided by it under the Index Strategy Agreement to any person, provided that it remains responsible for any services so provided by such subcontractor.

Under the Index Strategy Agreement, the Index Manager and the Index Administrator may each engage one or more other persons, including one or more of their respective Affiliates, to provide necessary or appropriate services to the Index (other than services to be provided directly by the Index Manager or the Index Administrator pursuant to the Index Strategy Agreement) pursuant to one or more agreements with terms that are then customary for agreements regarding the provision of services to indices that are similar to the Index. If the Index Manager or the Index Administrator makes such an appointment, it will exercise due care in selecting and appointing any such persons and regularly review and monitor the performance of any such persons. Such services may include the services of accountants, legal counsel, valuation firms, (in the case of the Index Manager) insurers and such other persons as the Index Manager deems necessary or appropriate in connection with, in the case of an appointment by the Index Manager, the management and operations of the Index and, in the case of an appointment by the Index Administrator, the administration of the Index.

Further issues of Index Linked Securities

The Index Manager, the Index Administrator and the Index Sponsor may identify one or more securities issued from time to time as “Index Linked Securities” for purposes of the Index Strategy Agreement and the Index Rules by entering into a separate confirmation for each such security. No security shall be deemed to be an “Index Linked Security” for purposes of the Index Strategy Agreement or the Index Rules unless such a Confirmation with respect to such security has been duly executed by the Index Manager, the Index Administrator and the Index Sponsor.

Transfer

1 DB these fees are different to those provided for in the Term Sheet and cannot be changed without amending the ISA.

111 The Index Strategy Agreement may not be assigned by any of the parties thereto without the prior written consent of each other party thereto, except as otherwise provided. Any purported assignment of the Index Strategy Agreement in violation of the agreement shall be null and void.

The Index Manager may, without the consent of any other party thereto, assign its rights and obligations under the Index Strategy Agreement in whole, but not in part, to (i) an Affiliate of the Index Manager, provided that such Affiliate covenants to remain an Affiliate of the Index Manager, or (ii) any person who is both (x) a successor of the Index Manager by merger, consolidation or purchase of all or substantially all of its assets and (y) the fund manager or an Affiliate of the fund manager under the Fund Management Agreement, provided that such Affiliate or successor shall be substituted for the Index Manager thereunder and be bound under the Index Strategy Agreement and by the terms of the assignment in the same manner as the Index Manager was bound under the Index Strategy Agreement.

Each of the Index Sponsor and the Index Administrator may, without the consent of any other party to the Index Strategy Agreement, assign its rights and obligations under the Index Strategy Agreement in whole, but not in part, to (i) an Affiliate of the Index Sponsor and the Index Administrator, provided that such Affiliate covenants to remain an Affiliate of the Index Sponsor and the Index Administrator, or (ii) any Person who is both (x) a successor of the Index Sponsor and the Index Administrator by merger, consolidation or purchase of all or substantially all of its assets and (y) a party to the Fund Management Agreement, provided that such Affiliate or successor shall be substituted for the Index Sponsor or the Index Administrator, as applicable, under the Index Strategy Agreement and be bound under the Index Strategy Agreement and by the terms of the assignment in the same manner as the Index Sponsor or the Index Administrator, as applicable, was bound under the Index Strategy Agreement.

Illegality Event

Under the Index Strategy Agreement, if any party determines that an Illegality Event has occurred or will occur during the immediately succeeding six (6) month period, with respect to any of the Index Manager, the Index Sponsor or the Index Administrator such party may, at their option, instruct the Index Manager in writing to (or, in the case of the Index Manager making such determination, the Index Manager, may) use its commercially reasonable efforts (provided that it would not otherwise be unlawful for the Index Manager do so) to make one or more Reallocations selected by the Index Manager so that, after giving effect to such Reallocations, the Unadjusted Weighting of the Cash Constituent is 100% as soon as reasonably practicable.

Subject to the above, if an Illegality Event has occurred or will occur during the immediately succeeding six (6) month period, the Index Sponsor, the Index Manager and the Index Administrator shall, at the request of any party thereto, negotiate in good faith with a view to agreeing appropriate amendments to Index Strategy Agreement or, if necessary, to take measures to restructure the transactions of which the Index Strategy Agreement forms a part so as to avoid the Illegality Event while maintaining the commercial terms underlying the Index Strategy Agreement.

An “Illegality Event” means the performance of the Index Strategy Agreement by any party thereto shall have become unlawful, illegal or otherwise prohibited in whole or in part under the laws of England, the laws of Ireland, the laws of the Cayman Islands, the Federal laws of the United States, the laws of the State of New York or any rules or regulations thereunder, in each case to the extent applicable to such party, as set forth in a written opinion of counsel delivered by such party to each other party to the Index Strategy Agreement.

Termination by the Index Sponsor or the Index Administrator

If an IS/IA Termination Event occurs, the Index Sponsor and the Index Administrator may, at their option, instruct the Index Manager in writing (an “IS/IA Termination Direction”) to use its commercially reasonable efforts to make one or more Reallocations selected by the Index Manager so that, after giving effect to such Reallocations, the Unadjusted Weighting of the Cash Constituent is 100% as soon as reasonably practicable. If an IS/IA Termination Direction is delivered to the Index Manager, the Index Manager shall (i) from and after the delivery of such IS/IA Termination Direction, use its commercially

112 reasonable efforts to make one or more Reallocations so that, after giving effect to such Reallocations, the Unadjusted Weighting of the Cash Constituent is 100% as soon as reasonably practicable and (ii) notify the Index Sponsor and the Index Administrator in writing (each, an “IS/IA Termination Allocation Notice”) on the first Business Day following each date on which the Unadjusted Weighting of the Cash Constituent has been increased or further increased by 20% as a result of such Reallocations until the Unadjusted Weighting of the Cash Constituent equals 100%, in each case unless otherwise agreed in writing by the Index Sponsor and the Index Administrator.

An “IS/IA Termination Event” shall be deemed to occur if (i) the Index Manager defaults in its performance of a term, condition or agreement contained under the Index Strategy Agreement, and such default has a material adverse effect on holders of Index Linked Securities and is not cured within sixty (60) days following the delivery of a notice to the Index Manager containing a request that the default be cured within such sixty (60) day period; (ii) the Index Manager has engaged in an act of fraud, willful misconduct or gross negligence in connection with the performance of its duties under the Index Strategy Agreement, provided that such act has had a material adverse effect on holders of Index Linked Securities; or (iii) the Index Manager makes a general assignment for the benefit of its creditors, institutes proceedings to be adjudicated voluntarily bankrupt, consents to the filing of a petition of bankruptcy against it, is adjudicated by a court of competent jurisdiction as being bankrupt or insolvent, seeks reorganization under any bankruptcy law or consents to the filing of a petition seeking such reorganization or has a decree entered against it by a court of competent jurisdiction appointing a receiver, liquidator, trustee or assignee in bankruptcy or in insolvency.

The Index Strategy Agreement provides that, notwithstanding anything to the contrary therein, (x) an IS/IA Termination Event shall not be deemed to occur solely as a result of the poor performance or underperformance of the Index, any of the KKR Constituents or their Portfolio Investments or the Cash Constituent, provided that the services of the Index Manager called for in the Index Strategy Agreement are rendered in good faith by the Index Manager and any of its subcontractors and (y) neither the breach of a Maximum Weighting Criteria or a Diversification Criteria nor the occurrence of a Trigger Event shall be deemed to be a breach of a term, condition or agreement contained in the Index Strategy Agreement unless and until the Index Manager is under an obligation to use its commercially reasonable efforts to make one or more Reallocations as soon as is reasonably practicable to remedy such breach or following such occurrence, as provided for in the Index Rules, and the Index Manager fails to use its commercially reasonable efforts to make such Reallocations within such time period in accordance with the Index Rules.

Termination by the Index Manager

If an IM Termination Event occurs, the Index Manager may, at its option, notify the Index Sponsor and the Index Administrator in writing (an “IM Termination Direction”) that it intends to use its commercially reasonable efforts to make one or more Reallocations selected by it so that, after giving effect to such Reallocations, the Unadjusted Weighting of the Cash Constituent is 100% as soon as reasonably practicable. If an IM Termination Direction is delivered to the Index Sponsor and the Index Administrator, the Index Manager shall (i) from and after the delivery of such IM Termination Direction, use its commercially reasonable efforts to make one or more Reallocations so that, after giving effect to such Reallocations, the Unadjusted Weighting of the Cash Constituent is 100% as soon as reasonably practicable and (ii) notify the Index Sponsor and the Index Administrator in writing (each, an “IM Termination Allocation Notice”) on the first Business Day following each date on which the Unadjusted Weighting of the Cash Constituent has been increased or further increased by 20% as a result of such Reallocations until the Unadjusted Weighting of the Cash Constituent equals 100%, in each case unless otherwise agreed in writing by the Index Manager.

An “IM Termination Event” shall be deemed to occur if (i) the Index Sponsor or the Index Administrator defaults in its performance of a term, condition or agreement contained under the Index Strategy Agreement, and such default has a material adverse effect on the Index Manager and is not cured within sixty (60) days following the delivery of a notice to the Index Sponsor and the Index Administrator containing a request that the default be cured within such sixty (60) day period; or (ii) the Index Sponsor or the Index Administrator has engaged in an act of fraud, willful misconduct or gross negligence in 113 connection with the performance of its duties under the Index Strategy Agreement, provided that such act has had a material adverse effect on the Index Manager.

The Index Strategy Agreement provides that, notwithstanding, the Index Manager agrees and confirms that an IM Termination Event shall not be deemed to occur solely as a result of the poor performance or underperformance of the Index or the FI Constituent, provided that the services of the Index Administrator called for herein are rendered in good faith by the Index Manager and any of its subcontractors.

Termination

The Index shall terminate automatically upon the termination of the Index Strategy Agreement. The Index Strategy Agreement shall be terminated, without payment of any termination fee by any party thereto, upon the earliest to occur of (i) the Optional Allocation Event related to the expiration of the Index Extension Period; (ii) the Optional Allocation Event immediately following which no Index Linked Securities remain outstanding and (iii) the tenth Business Day following the date on which the Index Manager delivers to the Index Sponsor and the Index Administrator the final IS/IA Illegality Allocation Notice, IM Illegality Allocation Notice, IS/IA Termination Allocation Notice or IM Termination Allocation Notice.

Cessation of Index Value Publication

With effect from and including the Accounting Period End Date following the delivery of an IS/IA Illegality Direction, IM Illegality Direction, IS/IA Termination Direction or IM Termination Direction, and if such direction or notice has not been withdrawn the Index Administrator shall cease to publish the Notional Account Value and the Index Value, unless otherwise agreed in writing by the Index Sponsor, the Index Administrator and the Index Manager. Governing law

The Index Strategy Agreement and the rights and obligations of the parties under it shall be governed by and construed in accordance with the laws of the State of New York.

114 DESCRIPTION OF THE KKR CONSTITUENTS

Overview

The KKR Constituents will consist of a broad range of private equity funds and alternative investment funds sponsored by KKR. These funds initially will consist of six geographically-oriented direct investment funds that are focused on making direct private equity investments in North America, Europe and Asia; a listed private-equity oriented permanent capital fund that has invested across KKR’s existing private equity portfolio and two alternative investment funds whose investment strategies focus on leveraging the intellectual capital developed in the course of KKR’s traditional private equity business to make investments primarily in marketable financial instruments. Under the Index Rules, KKR will be permitted to designate additional investment funds that it sponsors as KKR Constituents in the circumstances described under Clause 3.3(g) (Additional KKR Constituents) of the Index Rules at page 90 above. For a description of the investment weighting and diversification criteria that the KKR Constituents will be subject to as a group, see Clause 3 (Maximum Weighting and Diversification Criteria) of the Index Rules at pages 86 to 90 above.

KKR Direct Investment Funds

Initially, the KKR Constituents will include the following: the KKR North American Co-Invest Fund I, KKR European Co-Invest Fund II, the KKR Asian Co-Invest Fund I and the KKR Asian Co-Invest Fund II. These funds, which are referred to as “KKR Direct Investment Funds”, have been newly formed to make investments in connection with leveraged buyout and similarly yielding investment opportunities that KKR sources globally across many industries, including chemicals; consumer products; energy and natural resources; financial services; health care; industrial; media and communications; retail and technology. These funds do not have a defined investment period and will be able to re-invest capital as and when returned from realizations on investments.

It is expected that the KKR Direct Investment Funds will invest primarily alongside KKR’s traditional private equity funds, including the KKR 2006 Fund, the KKR European Fund II, the KKR Asian Fund and their successors, except where such investments alongside those funds are not permitted by the documents governing those funds or where Portfolio Investments would not be permitted under the Index Rules. Those documents generally require the fund to invest a minimum amount of capital before opportunities to invest alongside KKR’s traditional private equity funds may be made available to affiliated funds (U.S.$600 million in the case of the KKR 2006 Fund, U.S.$400 million in the case of the KKR European Fund II and U.S.$175 million in the case of the KKR Asian Fund). Because KKR’s private equity investments focus on the largest end of the leverage buy out market and involve significant equity commitment, KKR does not expect that these provisions will materially limit the ability of the KKR Direct Investment Funds to deploy capital.

As is common with private equity funds, the limited partnership agreement of each KKR Direct Investment Fund will allocate to its general partner a carried interest that will entitle the general partner to 20% of the net realised returns generated by the funds’ portfolio investments after capital contributions have been returned and realised losses have been recovered. The realised gains and losses of Portfolio Investments will be netted within each KKR Direct Investment Fund for the purposes of calculating carried interest at the fund level and, as described under “Index Adjustments” at pages 126 to 128 below, the Index Manager, the Index Sponsor and the Index Administrator have agreed to increase the Index Value from time to time to give effect to the hypothetical netting of realised gains and losses across the KKR Direct Investment Funds as a group. For information concerning the management fees payable by the KKR Direct Investment Funds, see “Single Management Fee Structure and Fund Management Agreement” at page 121 below.

KPE

Initially, the KKR Constituents will include KPE, which is a private equity-oriented permanent capital fund that is listed on Euronext Amsterdam under the symbol “KPE.” KPE is focused primarily on making private equity investments through and alongside KKR’s traditional private equity funds but has the

115 flexibility to make other types of opportunistic investments, including public equity investments. Unlike KKR’s traditional private equity funds, the fund has a perpetual investment period and is considered to be a permanent capital vehicle, in that fund investors may seek liquidity through trading their fund units over a stock exchange, but generally are not entitled to have their capital returned.

KPE consists of an upper-tier limited partnership, or the “feeder fund,” that makes all of its investments through a lower-tier limited partnership, or the “master fund,” of which it is the sole limited partner. Fund investors consist of limited partners of the feeder fund and hold interests representing approximately U.S.$5.1 billion of cash contributions that the feeder fund received in connection with the fund’s initial capitalization in May 2006. Other than amounts used to pay the fund’s capitalization costs, the feeder fund contributed substantially all of these capital contributions to the master fund for investment following the fund’s capitalization.

KPE’s master fund makes investments on its own, which are referred to as direct investments, and indirectly as an investor in existing KKR investment funds, which are referred to as indirect investments. KPE’s direct investments included private equity investments in thirty eight (38) companies and more than U.S.$567 million of opportunistic investments as of 30 September 2007. KPE’s indirect investments included interests in the KKR European Fund, the KKR Millennium Fund, the KKR European Fund II, the KKR 2006 Fund, the KKR Asian Fund and the KKR Strategic Capital Funds. KKR has granted KPE a right to acquire a limited partner interest in each new private equity fund that it sponsors.

As at 30 September 2007, the master fund invested U.S.$4.6 billion of net assets in private equity investments and U.S.$587 million of net assets in opportunistic investments, while making temporary cash and cash equivalent investments with the fund’s surplus capital. During this period, the master fund generated U.S.$539.4 million of net income and made U.S.$93.1 million of distributions, and the net assets of the master fund that were allocable to fund investors increased by U.S.$446.3 million to U.S.$5.3 billion as of 30 September 2007.

As of 30 September 2007, the master fund had made the following private equity investments in KKR’s traditional private equity funds:

Private Equity Investments Fair Value Unfunded Commitment (in thousands of U.S. dollars) KKR 2006 1,061,365 922,505 KKR European Fund 263,899 - KKR Millennium Fund 254,669 5,090 KKR European Fund II 85,108 20,086 KKR Asian Fund 23,445 261,555 1,688,486 1,209,236 Source: KKR

As of 30 September 2007, KPE had also made direct investments in the following companies: Alliance Boots plc, Capmark Financial Group Inc., HCA Inc., KION Group GmbH, NXP B.V., Orient Corporation, PageJaunes Groupe S.A., ProSiebenSat.1 Media AG, The Nielsen Company B.V., Sun Microsystems, Inc., Aero Technical Support & Services S.à r.l., Biomet, Inc., Dollar General Corporation, First Data Corporation and U.S. Foodservice, Inc.

The following table presents information concerning the portfolio companies in the private equity funds in which KPE has invested.

116 KKR KKR KKR KKR KKR European Millennium 2006 European Asian Portfolio Company Industry Fund Fund Fund Fund II Fund

Investments Prior to 30 September 2007: Accellent Inc...... Healthcare X Alliance Boots plc...... Retail X X Aricent, Inc...... Technology X A.T.U. Auto-Teile-Unger Holding AG ...... Retail X X Avago Technologies ...... Technology X X X AVR Bedrijven N.V...... Recycling X X Biomet, Inc...... Healthcare X

BIS/Cleanaway...... Recycling Financial X X Capmark Financial Group, Inc...... Services X Dollar General Corp...... Retail X

First Data Corporation Financial Services X

FL Selenia SpA...... Chemicals X X HCA Inc...... Healthcare X X Jazz Pharmaceuticals, Inc...... Healthcare X KION Group GmbH...... Industrial X X KSL Holdings – Hotel del Coronado ...... Hotel/Leisure X Laureate Education, Inc...... Media X

Legrand Holdings S.A...... Industrial X X Masonite International Corporation ...... Industrial X Maxeda...... Retail X X MMI Holdings Limited ...... Technology X X

The Nielsen Company B.V...... Media X NXP B.V...... Technology X X X Pagesjaunes Groupe S.A...... Media X X ProSiebenSat.1 Media AG ...... Media X X Rockwood Holdings, Inc...... Chemicals X X SBS Broadcasting S.A...... Media Consumer X X X Sealy Corporation ...... Products X Seven Media Group ...... Media X X SunGard Data Systems, Inc...... Technology X Tarkett S.A...... Industrial X X TDC A/S ...... Telecom X X Tianrui Group Cement Co., Ltd...... Industrial X X

Toys "R" Us, Inc...... Retail X U.S. Foodservice ...... Retail X

Visant Corporation ...... Media X Yageo Corporation...... Technology X X

Investments Subsequent to 30 September 2007:

Energy Future Holdings Energy X

Source: KKR

117 KPE’s common units currently trade at a discount to net asset value, and KKR believes that they represent an attractive buying opportunity while providing exposure to an existing portfolio of private equity investments. Accordingly, it is expected that KPE will have a significant weighting in the Index. The following table presents information concerning the market price of KPE’s common units and the net asset value of KPE that was allocable to its common units as of the dates indicated.

Market Price per Net Asset Value per Common Unit Common Unit

30 September 2007...... U.S.$ 19.50 U.S.$ 25.77

30 June 2007 ...... 22.50 26.12

31 March 2007 ...... 24.25 25.39

31 December 2006...... 22.85 24.62

30 September 2006...... 21.25 24.25

30 June 2006 ...... 21.90 23.77

3 May 2006 (commencement of trading) ...... 25.00 23.61

Source: KKR

Notes:

(1) On 30 November 2007, the closing price quoted on Euronext Amsterdam was U.S.$17.89 per common unit.

(2) The market price is (i) the closing price quoted on Euronext Amsterdam on the last trading day for the quarterly periods ended on the dates set forth in the table and (ii) the offering price on the date on which KPE’s common units commenced trading on Euronext Amsterdam in connection with KPE’s initial offering.

(3) The net asset value per common unit as of 10 May 2006 is immediately subsequent to the initial offering and related transactions and is stated on a pro forma basis, as if the manager's over- allotment option was exercised on 10 May 2006.

The feeder fund and master fund that comprise KPE are controlled by separate general partners that are legally distinct from one another. The feeder fund general partner has only a de minimis economic interest in the feeder fund. The master fund general partner, on the other hand, has an economic interest in the fund that entitles it to share in the profits generated by the fund’s direct investments once the fund’s initial offering costs have been recouped as described below. In particular, the master fund consists of:

· a carried interest that generally allocates to the master fund general partner 20% of the gain realised on direct private equity investments after capital contributions have been returned and realised losses have been recovered; and

· an incentive distribution right that generally will allocate to the master fund general partner 20% of the annual increase in the net asset value of all other direct investments that are made with fund investors’ capital above the highest net asset value at which an amount was previously received pursuant to the incentive distribution right.

118 Because the general partners or fund managers of KKR’s other funds are allocated a portion of the gain that is generated by their investments, the master fund general partner is not entitled to a carried interest with respect to the fund’s indirect investments. However, if the master fund acquires a partner interest in another KKR fund from a third party, the amount of incentive distributions paid to the general partner may be adjusted to reflect realised gains or losses relating to the value of the acquired limited partner interest.

The master fund general partner has agreed to generally forego receiving a carried interest on the fund’s direct investments until profits on investments that it would be entitled to receive a carried interest or incentive payment on equal the fund’s initial offering costs, which costs are referred to as the “creditable amount.” When calculating the fund’s profits for the purposes of this requirement, the master fund general partner is not permitted to take into account the profits that the fund recorded on temporary investments during the first year of its operations. As of 30 September 2007, U.S.$73.0 million of realised profits generated by the fund’s investments had been credited towards the creditable amount, and the creditable amount had a remaining balance of U.S.$210.7 million. KKR has entered into a services agreement with KPE and certain KPE affiliates through which it holds investments pursuant to which KKR has agreed to provide those entities with management and other services. In exchange for providing these services, KKR is generally paid a quarterly management fee that is equal to approximately one-fourth of the sum of (i) 1.25% of KPE’s net asset value up to and including U.S.$3 billion plus (ii) 1% of KPE’s net asset value in excess of U.S.$3 billion. KKR is required to reduce the amount of the management fee that it charges by any other management fees that the fund pays in connection with its investments and certain other amounts. As described under “Single Management Fee Structure and Fund Management Agreement” at page 121 below and “Management Fee” at page 123 below, the aggregate management fee that is payable by the KKR Direct Investment Funds and the KKR Alternative Investment Funds will be subject to reduction for any management fees that are paid to KKR under the services agreement and any other management fees that KPE pays in connection with its investments.

KKR Alternative Investment Funds

Initially, the KKR Constituents will include KKR Alternative Investment Fund I and KKR Alternative Investment Fund II, or the “KKR Alternative Investment Funds”, which have been newly formed to make investments that KKR sources globally across many industries, including chemicals; consumer products; energy and natural resources; financial services; health care; industrial; media and communications; retail and technology. These investment opportunities, subject to applicable legal and contractual restrictions, leverage the ideas, contacts, knowledge, experience and industry expertise developed in the course of KKR’s private equity business, which may otherwise not be utilised if a private equity transaction is not consummated, but apply them to a public market setting. The KKR Alternative Investment Funds will also provide cash management activities for the KKR Direct Investment Funds. These funds do not have a defined investment period and will be able to re-invest capital as and when returned from realizations on investments.

KKR expects to source investment opportunities for the KKR Alternative Investment Funds through its internal deal generation strategies and its global network of business relationships with leading executives from major companies, commercial and investment banks, financial intermediaries, other investment and advisory institutions and former political leaders. Each year, KKR reviews a significant number of private equity investment proposals, but decides to proceed with a comparatively smaller number of transactions due to such factors as the size of the proposed investment, the fact that the investment involves a public company or the unwillingness of the investment target to sell control of its business. In addition, investment opportunities may arise in situations where KKR has not been able to consummate a leveraged buy out because the company has not decided to pursue such a transaction or because it has elected to complete an alternative transaction. KKR believes that the KKR Alternative Investment Funds, like KPE, will benefit from investment opportunities that arise in these circumstances.

KKR’s Alternative Investment Funds will be required to adhere to certain diversification criteria designed to manage the risks associated with investments in such funds. These guidelines are on a combined basis for both KKR Alternative Investment Funds and include, among other requirements, restrictions on 119 the gross and net market value of all positions taken by such funds, as well as the market value of long and short positions. In addition, the guidelines set out restrictions on liquidity positions and the amounts that can be invested in any individual issuer. Upon the occurrence of certain significant intra-quarter changes in the combined cumulative value of KPE and the Alternative Investment Funds, the funds may be required to liquidate assets and maintain the proceeds in cash balances for specified periods of time or unless returns improve.

Each of the KKR Constituents may enter into custody agreements with a third party, which would require the custodian to segregate fund assets in a manner consistent with customary commercial practice.

The limited partnership agreement of each KKR Alternative Investment Fund will grant to the fund’s general partner an incentive distribution right that will allocate to the general partner 20% of the annual increase in the net asset value of the fund’s portfolio investment, as increased to reflect withdrawals of capital and decreased to reflect capital contributions. Realised and unrealised gains and losses of portfolio investments will be netted within each KKR Alternative Investment Fund for the purposes of calculating incentive distributions at the fund level. In addition, as described under “Index Adjustments” at pages 126 to 128 below, the Index Manager, the Index Sponsor and the Index Administrator have agreed to increase the Index Value from time to time to give effect to:

· the hypothetical netting of realised and unrealised gains and losses across all KKR Alternative Investment Funds as a group;

· provision of an incentive distribution to KKR in respect of certain investments that are acquired for a price below their current net asset value; and

· the use of a hypothetical “high-water mark” to notionally limit distributions to the general partner of the KKR Alternative Investment Funds to 20% of the increase in the combined net asset value of the KKR Alternative Investment Funds as a group above the highest combined net asset value of the KKR Alternative Investment Funds as a group at which an incentive distribution was previously paid, subject to certain adjustments as described below.

For information concerning the management fees payable by the KKR Investment Funds, see “Single Management Fee Structure and Fund Management Agreement” at page 121 below.

KKR Traditional Private Equity Funds

KKR may in the future designate one or more of its traditional private equity funds as KKR Constituents, including the KKR 2006 Fund, the KKR European Fund III, the KKR Asian Fund and their successors. These funds make investments in connection with leveraged buyout and similarly yielding investment opportunities that KKR sources in designated geographical regions across many industries, including chemicals; consumer products; energy and natural resources; financial services; health care; industrial; media and communications; retail and technology.

KKR’s traditional private equity funds are typically organised as limited partnerships and are controlled by a general partner. Fund investors are limited partners who agree to contribute capital to the fund from time to time for use in qualifying investments during a specified investment period, which generally lasts up to six years depending on how quickly capital is deployed. The general partner of a fund is entitled to a carried interest that allocates to it 20% of the net realised returns generated by the funds’ portfolio investments allocable to the limited partners after capital contributions have been returned and realised losses have been recovered. The documents governing the fund typically include a “clawback” provision that require the general partner to repay any excess amounts previously received in respect of its carried interest if, upon liquidation of the fund, the general partner has received carried interest distributions in excess of the amount to which it is entitled. This feature operates only with respect to the investments of an individual fund and does not provide for netting of gains and losses across funds.

KKR typically enters into management agreements with its traditional private equity funds pursuant to which it generally receives a management fee in exchange for providing the funds with management and

120 other services. These management fees are calculated based on the amount of capital committed to a fund during the investment period and thereafter on the cost basis of the fund’s investments, which causes the fees to be reduced over time as investments are liquidated. These management fees are paid by fund investors, who generally contribute capital to the fund in order to allow the fund to pay the fees to KKR. To the extent that KKR designates a traditional private equity fund as a KKR Constituent, the amount of any management fee allocable to the interest included in the Index will reduce the aggregate management fee payable by the KKR Direct Investment Funds and the KKR Alternative Investment Funds as described under “Single Management Fee Structure and Fund Management Agreement”at pages 121 below and “Management Fee” at pages 123 to 124 below.

Valuations of Portfolio Investments

The KKR Constituents will carry their investments at the fair values, which will be calculated quarterly in accordance with the methodologies described under “Private Equity Valuations and Related Data” at pages 75 to 76 below. Because valuing investments requires the application of valuation principles to the specific facts and circumstances of the investments, KKR will use the services of an independent valuation firm for the valuation of private equity investments for which market prices are not available. The independent valuation firm will perform certain limited procedures with respect to valuations that are prepared by KKR to confirm that such valuations are not unreasonable. Investments for which market prices are available are expected to be valued based on the last reported closing market price on the valuation date or, if such date is not a date on which the primary securities exchange, inter-dealer quotation system or regulated market for the investment is open for general business, the immediately preceding date on which such securities exchange, inter-dealer quotation system or regulated market was open for business. If on any such date no sale occurred, KKR will be expected to use the “bid” price at the close of business on that date and, if sold short, the “asked” price at the close of business on that date day.

Deutsche Bank’s Index Hedging Arrangements

In connection with the offering, Deutsche Bank will enter into certain arrangements with Tintin IV SPC a Cayman Islands exempted segregated portfolio company (the “DB Investor”) to hedge its exposure to changes in the KKR Notional Value of the KKR Constituents and the Cash Notional Value of the Cash Constituent. In turn, to hedge its exposure under such arrangements, DB Investor will in turn acquire Class A-1 Units and Class A-2 Units (being Master Fund Units) of the KKR Master Index Fund L.P. (the “Master Fund”), a Cayman Islands exempted limited partnership that has been formed for the purpose of indirectly acquiring, holding and disposing of interests in, and receiving distributions in respect of, the KKR Constituents, through one or more intermediate companies, or the “Intermediate Companies”, in the same manner, at the same times and in the same proportions as such interests are notionally acquired, held and disposed of, and such distributions are received, in the Notional Account established and maintained for the Index and for certain other limited purposes. To allow its holdings to replicate the Index, the Master Fund will not undertake any other investment activities. For information concerning how these arrangements affect calculations of the Index Value, see “Index Adjustments” at pages 126 to 128 below.

Single Management Fee Structure and Fund Management Agreement

The KKR Direct Investment Funds, the KKR Alternative Investment Funds, the Cash Fund, the Master Fund and certain Intermediate Vehicles, which are referred to as “managed entities”, have entered into a Fund Management Agreement with KKR and Deutsche Bank pursuant to which KKR will provide the managed entities with investment management, operational, financial advisory and other services. KPE has entered into a separate written agreement with KKR pursuant to which it has agreed to provide similar services to KPE and other investment funds that are from time to time designated as KKR Constituents may enter into similar arrangements with KKR. The aggregate management fees paid by the KKR Constituents as a group generally will be determined by the Fund Management Agreement and, as described below under “Management Fee” at pages 123 to 124 below, will be subject to reduction in the event that KKR is paid management fees in respect of other KKR Constituents.

121 Appointment of Fund Manager; Services Rendered

Under the Fund Management Agreement, KKR has been appointed to provide certain investment management, operational, financial advisory and other services to the managed entities and KKR has agreed to perform such services. In its capacity as the fund manager, KKR will have such functions and authority as may be delegated to it by the governing bodies of the Managed Funds and its activities will be subject to the supervision of such bodies.

KKR’s responsibilities under the Fund Management Agreement include, among other things, the following:

· investigating, analyzing and selecting investment opportunities;

· conducting negotiations on behalf of the managed entities in connection with their investment activities;

· assisting the managed entities in acquiring and disposing of investments and managing cash balances;

· monitoring the performance of the managed entities’ investments and the compliance of such investments with any investment restrictions to which the managed entities are subject;

· performing and supervising the performance of such other administrative functions as may be agreed upon by the managed entities and the fund manager, including, assisting with the collection of amounts due to the managed entities, the discharge of obligations owed by the managed entities and the maintenance of appropriate systems to perform such administrative functions;

· counselling the managed entities with respect to their maintenance of exemptions from the Investment Company Act of 1940;

· assisting the managed entities in retaining qualified accountants and legal counsel, as applicable, to assist in developing appropriate accounting procedures, compliance procedures and testing systems with respect to financial reporting;

· assisting the managed entities in obtaining and maintaining any appropriate qualifications to do business in applicable jurisdictions and any appropriate licenses;

· assisting the managed entities in making tax filings and reports;

· handling and resolving all claims, disputes or controversies (including any litigation, arbitration, settlement or other proceedings or negotiations) in which a managed entity may be involved or to which a managed entity may be subject to the extent that such claims, disputes or controversies arise out of the managed entity’s day-to-day operations, subject to such limitations or parameters as may be imposed from time to time by the managed entity’s governing body;

· using commercially reasonable efforts to cause any fees, costs or expenses incurred by or on behalf of the managed entities to be commercially reasonable or customary;

· using commercially reasonable efforts to cause the managed entities to comply with applicable laws, rules and regulations; and

· performing such other services relating to the assets and operations of the managed entities as the governing bodies may reasonably request.

122 Standard of Care

In performing its services under the Fund Management Agreement, KKR shall (i) comply with the duties owed to a “client” with U.S. investors by an investment adviser that is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, assuming for such purposes that the Notional Account is the “client”, (ii) act in accordance with the governing instruments of the managed entities and all applicable laws, rules or regulations to which KKR and the managed entities are subject, and (iii) refrain from taking any action that would reasonably be expected to violate the governing instruments of any managed entity or any applicable laws, rules or regulations to which KKR and the managed entities are subject.

The Fund Management Agreement does not prohibit KKR or its affiliates from engaging in outside businesses or rendering services to other persons, including raising, advising or sponsoring other investment funds, companies and vehicles, even if the businesses engaged in or the services rendered compete with the business of the KKR Constituents, provided that those activities do not, in KKR’s reasonable judgment, substantially and adversely affect the performance of its obligations under the Fund Management Agreement.

Management Fee

Under the Fund Management Agreement, KKR will be entitled to receive an aggregate management fee on a joint and several basis from the KKR Direct Investment Funds and the KKR Alternative Investment Funds that will be payable quarterly, in arrear, in an amount equal to:

(i) the Fee Percentage, multiplied by

(ii) one-fourth of the Master Fund’s net asset value as of the end of the applicable quarter, subject to the management fee reductions described below.

“Fee Percentage” means (i) with respect to each quarterly period ending on or before the Target Date (as defined on page 111 above) 1.25%; and (ii) with respect to each other quarterly period, 1.50%.

For the purposes of calculating the management fee payable to KKR with respect to any quarter, the net asset value of the Master Fund will be determined in accordance with generally accepted accounting principles as applied in the United States, except that:

· such net asset value will be determined before the accrual of (a) management fees payable to KKR as fund manager of any managed entities, fees payable to Deutsche Bank (as described below under “Services and Compensation of Deutsche Bank”) in respect of such quarter and before the allocation of any amounts to KKR or its affiliates pursuant to a carried interest or incentive distribution right to the extent that such allocation occurs during or as of the end of such quarter and (b) without including the net asset value of the Master Fund’s interest in the Cash Constituent; and

· until 1 January 2009, such net asset value will be determined without giving effect to any cash investments held by the KKR Direct Investment Funds and the KKR Alternative Investment Funds as of the end of any quarter.

With respect to each quarterly period, the management fee that is payable under the Fund Management Agreement will be reduced by the sum, without duplication, of (i) each management fee that is payable to the investment manager of another KKR Constituent that forms part of the Index (including the management fee paid to KKR under its services agreement with KPE) plus (ii) each reduction or reimbursement of, offset to or credit against any management fee that is expressly provided for in the governing instruments of a KKR Constituent that forms part of the Index and that is not waived, provided in each case that such management fee, or such reduction, reimbursement, offset or credit, is allocable to the interest in the KKR Constituent that forms part of the Index. See “KPE” at pages 115 to 119 above. If the aggregate amount of management fee reductions that are made in respect of a quarter exceeds

123 the amount of the management fee that would otherwise be payable with respect to such quarter, the excess management fee adjustments will be carried over and deemed to have been accrued in subsequent quarterly periods. In no event will any management fee adjustments be reimbursed by KKR or reduce the management fee payable in respect of a quarterly period to below zero.

The KKR Direct Investment Funds and the KKR Alternative Investment Funds will agree among themselves the amount of the management fee that is payable by each of them. In the case of the first and last quarterly fee periods, the management fee payable to KKR will be pro-rated based on the number of days during the quarterly period the Fund Management Agreement was in effect.

Reimbursement of Expenses

The KKR Direct Investment Funds, the KKR Alternative Investment Funds, the Master Fund and the intermediate vehicles through which the Master Fund will hold its interests in the KKR Constituents and the Cash Constituent, and the Intermediate Companies (other than the Cash Constituent) on a joint and several basis have agreed to pay all fees, costs and expenses incurred in connection with the management and operation of their business and to reimburse KKR and its affiliates for any such fees, costs and expenses incurred on behalf of the KKR Direct Investment Funds, the Cash Constituent, the KKR Alternative Investment Funds, the Master Fund and the Intermediate Companies. Those fees, costs and expenses may include:

· any fees, costs and expenses that are expressly designated in the fund management agreement as for the account of the managed entities;

· any fees, costs and expenses of accountants, legal counsel, valuation firms, insurers, brokers, dealers, transfer agents, registrars, investment banks, other financial intermediaries and other persons providing services to the managed entities;

· any fees, costs and expenses incurred in connection with the preparation of financial and other reports by the managed entities;

· any taxes, licenses and other statutory fees or penalties levied against or in respect of a managed entity;

· any amounts owed by a managed entity pursuant to an indemnification, contribution or similar arrangement to which a managed entity is a party;

· any premiums and deductibles due on insurance maintained by or for the benefit of a managed entity;

· the pro rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses of the Fund Manager and its Affiliates that are fairly attributable to the management and operation of the managed entities’ businesses, provided that the amount of such expenses shall not exceed (A) U.S.$165,000 for the period from date of execution of the fund management agreement until 31 December 2008 and (B) U.S.$2.0 million for each calendar year thereafter; and

· any other fees, costs and expenses that are incurred in connection with the general administration of a managed entity or that are reasonably necessary for the performance by the Fund Manager of its duties and functions under the fund management agreement to the extent that such duties and functions are fairly attributable to the management and operations of the Managed entities; provided that the aggregate fees, costs and expenses incurred by the master fund in connection with the formation and initial capitalization of the managed entities shall not exceed U.S.$2.0 million.

124 In addition, the managed entities (other than the Cash Fund) on a joint and several basis have agreed to pay all fees, expenses and costs incurred in connection with the investigation, acquisition, holding or disposal of any investment that is made or proposed to be made by one or more managed entities.

Termination

The Fund Management Agreement may be terminated by Deutsche Bank AG, London Branch, without payment of any termination fee:

· KKR defaults in its performance of a term, condition or agreement contained hereunder and:

o in the case of a default by KKR in its obligation to manage the managed entities so that as of the last day of each Quarterly Period before the date upon which no Index Linked Securities of any class remain outstanding, the sum of the KKR Notional Value plus the Cash Notional Value equals the net asset value of the Master Fund allocable to a Master Fund unit, such default is not cured within ninety (90) days following the delivery of a notice to KKR containing a request that the default be cured within such ninety (90) day period; or

o in the case of a default under any other provision, such default has a material adverse effect on holders of Master Fund units and is not cured within sixty (60) days following the delivery of a notice to KKR containing a request that the default be cured within such sixty (60) day period;

· the sum of the KKR Notional Value plus the Cash Notional Value fails to the equal the net asset value of the Master Fund allocable to a Master Fund unit as of the last day of a Quarterly Period before the date upon which Index Linked Securities of any class remain outstanding, and such failure is not cured within ninety (90) days following the delivery of a notice to KKR containing a request that such failure be cured within such ninety (90) day period, provided that any such failure does not arise from:

o a failure by Deutsche Bank or any of its affiliates to comply in all material respects with any of their obligations to KKR, the managed entities or their respective affiliates under the Fund Management Agreement;

o any other event or circumstance within the reasonable control of Deutsche Bank AG, London Branch or any of its Affiliates; or

o a failure of the Master Fund to receive capital contributions in respect of each outstanding Master Fund unit in the same manner, at the same times and in the same amounts as amounts in the Notional Account for the KKR Protected Private Equity Index are notionally allocated to the KKR Constituents (other than from one or more other KKR Constituents);

· KKR (as standby purchaser) defaults in its performance of a material term, condition or agreement contained in a standby purchase agreement and such default is not cured within 60 days following the delivery of a notice to KKR containing a request that the default be cured within such 60-day period;

· KKR has engaged in an act of fraud, wilful misconduct or gross negligence in connection with the performance of its duties under the Fund Management Agreement, provided that such act has had a material adverse effect on holders of Master Fund units; or

· KKR makes a general assignment for the benefit of its creditors, institutes proceedings to be adjudicated voluntarily bankrupt, consents to the filing of a petition of bankruptcy against it, is adjudicated by a court of competent jurisdiction as being bankrupt or insolvent, seeks reorganization under any bankruptcy law or consents to the filing of a petition seeking such reorganization or has a decree entered against it by a court of competent jurisdiction appointing a receiver, liquidator, trustee or assignee in bankruptcy or in insolvency. 125 The Fund Management Agreement may not be terminated, however, due solely to the poor performance or underperformance of any investments that are made for the account of a KKR Constituent, provided that the services called for in the agreement are rendered in good faith by the KKR and any of its subcontractors.

The Fund Management Agreement may be terminated by KKR, without payment of any termination fee:

· effective upon written notice of termination to the managed entities, if Deutsche Bank defaults in its performance of a term, condition or agreement contained in the agreement, and such default is not cured within sixty (60) days following the delivery of a notice of the default to such person containing a request that the default be cured within such sixty (60) day period; or

· at any time if any of the managed entities becomes regulated as an “investment company” under the Investment Company Act, with such termination deemed to have occurred immediately prior to such event.

Indemnification and Limitations on Liability

The Fund Management Agreement includes provisions that indemnify KKR, its affiliates and their respective directors, officers, agents, members, partners, shareholders and employees, to the fullest extent permitted by law, against liabilities arising from any claims, demands, actions, suits or proceedings involving them relating to the business, investment and activities of the managed entities, except to the extent that such liability (i) resulted from any act or omission that constitutes bad faith, fraud, wilful misconduct, gross negligence or a material breach of the agreement by such indemnified person or (ii) consists of consequential losses of such indemnified person. The Fund Management Agreement also typically limits the liability of an indemnified person, to the fullest extent permitted by law, for any loss or liability incurred based on any conduct of the indemnified person, subject to similar exceptions. The assets of the KKR Direct Investment Funds, the KKR Alternative Investment Funds and the other managed entities may be used to satisfy any indemnification obligations, although holders of limited partner interests in them will not be required to contribute capital to fund such obligations.

Index Adjustments

Under the Index Rules, the Index Sponsor, the Index Administrator and the Index Manager will be permitted to agree to make Index Adjustments from time to time to:

· notionally calculate carried interests and incentive distributions after netting profits and losses across one or more groups of KKR Constituents (rather than based on the netting of profits and losses only within an individual KKR Constituent as provided for in the KKR Constituent’s governing documents), which could notionally reduce the amount of carried interest or incentive distributions allocated to KKR affiliates by the KKR Constituents;

· notionally reflect the granting to an affiliate of the Index Manager of a notional carried interest or incentive distribution upon a notional liquidation of a KKR Constituent or a notional disposal of a Fund Unit to the extent that any related net profits are attributable to a notional acquisition of the Fund Unit at a discount relative to book value or a notional disposal of the Fund Unit at a premium relative to book value; and

· notionally reflect other items of income, gain, expense, tax and/or loss and such other assets and/or liabilities as would be recognised by a Hypothetical Investor in connection with a direct or indirect investment in Fund Units held in the Notional Account to the extent such items are not otherwise reflected in the Notional Account Value.

If made, these Index Adjustments could have the effect of increasing or decreasing the Notional Account Value and, as a result, the Index Value and the return on the Notes.

126 As described under “Deutsche Bank’s Index Hedging Arrangements” at page 121 above, the Issuer will enter into certain arrangements with the DB Investor to hedge its exposure under the Notes with respect to changes in the KKR Notional Value and the Cash Notional Value. In turn, to hedge its exposure under such arrangements, the DB Investor will acquire Master Fund Units of the Master Fund, which is a Cayman Islands exempted limited partnership that has been formed for the purpose of indirectly acquiring, exercising its rights in respect of, holding and disposing of interests in, and receiving distributions in respect of, the KKR Constituents and the Cash Constituent, through one or more Intermediate Companies, in the same manner, at the same times and in the same proportions as such interests are notionally acquired, rights in respect of them are exercised and such interests are held and disposed of, and such distributions are received, in the Notional Account and for certain other limited purposes.

For the purposes of calculating carried interests and incentive distribution rights, the governing documents of the Intermediate Companies will include provisions that require the netting of profits and losses on portfolio investments among KKR Direct Investment Funds as a group (rather than solely within each individual KKR Direct Investment Fund) and among KKR Alternative Investment Funds as a group (rather than solely within each individual KKR Alternative Investment Fund) and subject the KKR Alternative Investment Funds to a combined high-water mark. In addition, under such governing instruments, a KKR affiliate will be entitled to a carried interest with respect to net realised profits that result from the sale of KKR Fund Units at a profit to the extent that such net realised profits are attributable to purchases of KKR Fund Units at a discount to book value or sales of KKR Fund Units at a premium to book value (rather than as a result of appreciation in the net asset values of the related KKR Constituents). The amount of net profits allocable to the KKR affiliate pursuant to such carried interest will be capped at the lower of 20% of the net profits realised from such sales and 20% of the net profits that are attributable to purchases of KKR Fund Units at a discount to book value or sales of KKR Fund Units at a premium to book value. There will also be a positive or negative adjustment to the combined high-water mark for the KKR Alternative Investment Funds to the extent that, upon the final or deemed final liquidation of a KKR Constituent, the Master Fund had realised any profits or losses from notional acquisitions of KKR Fund Units of the KKR Constituent at a discount or premium relative to book value.

The netting of profits and losses on portfolio investments among the KKR Direct Investment Funds as a group and among the KKR Alternative Investment Funds as a group and the inclusion of a combined high-water mark for the KKR Alternative Investment Funds is expected to result in certain amounts that otherwise would be allocated to KKR affiliates under carried interests and incentive distribution rights being allocated to investors in such funds, while the granting of a carried interest and incentive distribution rights with respect to net profits that are attributable to notional acquisitions of KKR Fund Units at discounts relative to book value and notional disposals of KKR Fund Units at premiums relative to book value will result in a KKR affiliate being allocated a portion of the profits that a Hypothetical Investor would realise if it held such KKR Fund Units directly. In addition, because they will operate as separate legal entities, the Master Fund and the Intermediate Companies may also recognise other items of income, gain, expense, tax and/or loss and such other assets and/or liabilities (none of which are expected to be material in the ordinary course) that would be recognised by a Hypothetical Investor in connection with a direct or indirect investment in KKR Fund Units held in the Notional Account, but not reflected in the net asset values of the KKR Constituents. Due to the foregoing, the net asset value of the Master Fund that is allocable to the DB Investor as a holder of a Master Fund Unit may be greater than or less than the sum of the individual constituent notional value of the KKR Constituents included in the Index and, as a result, the KKR Notional Value at such time.

In connection with the establishment of the Index, the Index Sponsor, the Index Administrator and the Index Manager will enter into an agreement (the “Index Adjustments Agreement”) pursuant to which they will agree that the items described in the immediately preceding two (2) paragraphs constitute Index Adjustments for the purposes of the Index Rules. Such Index Adjustments will be measured as the difference between (i) the Master Fund NAV, after deduction of taxes for which a Designated Investor would be liable as a consequence of its acquisition, ownership and disposal of all the Master Fund Units to the extent such taxes are not otherwise included in the calculation of Fund NAV divided by the number of outstanding Master Fund Units, and (ii) the sum of the KKR Notional Value plus the Cash Notional Value. Under the Index Rules, the Index Manager will be responsible for determining the amount of any 127 such Index Adjustments. If and when the Index Manager determines such Index Adjustments are to be made, it will be required to apply such Index Adjustment to the Unit Values of one or more classes of KKR Fund Units held in the Notional Account in a manner that it deems fair and reasonable or to otherwise use such Index Adjustment to notionally fund (i) notional acquisitions of Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) Acquisition Costs, (v) Disposal Costs and/or (vi) other Index Adjustments. See further Clause 2.5 (Index Adjustments) of the Index Rules at pages 84 to 85 below.

A “Designated Investor” means a Hypothetical Investor that was organised and established on the Issue Date and whose activities have consisted solely of (i) those that are necessary in connection with its formation, continued existence and good standing and (ii) acquiring, owning and disposing of Master Fund Units in the same manner, at the same times and in the same amounts as Master Fund Units have been acquired, owned and disposed of by Deutsche Bank AG, London Branch and any special purpose vehicle formed at the request of Deutsche Bank AG, London Branch for the purpose of holding Units of the Master Fund, as set forth in the official books and records of the Master Fund.

“Master Fund NAV” means the sum, calculated in U.S. Dollars, of all cash and cash equivalents and the fair economic value of all other all assets, less all liabilities, in each case in accordance with generally accepted accounting principles in the United States, provided that any assets that are designated as “Segregated Assets” pursuant to the terms of the Master Fund Units shall not be included in the calculation of Master Fund NAV from and after the date upon which such assets were originally to have been distributed pursuant to their terms. Liabilities include accrued liabilities (including accruals of carried interest allocations and incentive distributions made in respect of the KKR Alternative Investment Funds and the KKR Direct Investment Funds ), even though such liabilities may never in fact be paid. All assets and liabilities initially will be valued in the applicable local currency and then translated into U.S. Dollars on such date as the general partner of the Master Index Fund deems appropriate, using rates quoted by appropriate financial institutions of repute or by internationally recognised financial publications or news services to fix the rate of translation. In addition, for the purposes of determining the amounts of the Master Index Fund’s liabilities, the general partner of the Master Index Fund may establish reserves for the Master Index Fund for contingent, unknown or unfixed debts, liabiilties or obligations of the Master Index Fund as the general partner may reasonably deem advisable. For the avoidance of doubt, no Master Fund Unit shall be classified as a liability unless the general partner deems otherwise appropriate.

Key Terms of the Master Fund Units

Redemption Master Fund Units

The Master Fund may issue Master Fund Units of more than one class. The Master Fund Units may be redeemed in the following circumstances.

Optional Redemptions of Master Fund Units by the Master Fund

The general partner of the Master Fund may at its option redeem all, but not less than all, of any class of Master Fund Units in accordance with the Master Fund partnership agreement:

(a) if at any time the Fund NAV that is allocable to all outstanding units is less than or equal to 10% of the aggregate principal amount of all outstanding Index Linked Securities at the time of the original issuance of such outstanding Index Linked Securities;

(b) if at any time the general partner determines in its sole discretion that the redemption of the Master Fund Units is reasonably necessary to comply with any law, regulation or binding authority to which the Master Fund or any member of the KKR Group or their respective assets is subject;

(c) if at any time the general partner of the Master Fund determines in its sole discretion that the redemption of the Master Fund Units is necessary or advisable to prevent (x) the Master Fund or any member of the KKR Group from having to register any Units under the U.S. Securities Act of

128 1933 or (y) the Master Fund from having to register under the U.S. Securities Exchange Act of 1934 or as an “investment company” under the Investment Company Act; or

(d) if at any time either (i) the Fund Management Agreement is terminated in accordance with its terms by the Fund Manager or (ii) the Index Strategy Agreement is terminated in accordance with its terms by the Index Manager.

“Index Linked Securities” means the Notes and any other securities issued from time to time with the consent of the Fund Manager whose return is determined by the performance of the KKR Protected Private Equity Index.

“KKR Group” means KKR and its Affiliates.

Optional Redemptions of Master Fund Units by the holders of Master Fund Units

Holders of Master Fund Units will have the option to redeem all, but not less than all, of their respective Master Fund Units in accordance with the Master Fund partnership agreement:

(a) if at any time the general partner of the Master Fund defaults in its performance of a term, condition or agreement contained in the partnership agreement and such default has a material adverse effect on holders of the Master Fund Units and is not cured within 60 days following the delivery of a notice to the general partner of the Master Fund containing a request that the default be cured within such 60-day period;

(b) if at any time the holders of the Master Fund Units deliver to the general partner of the Master Fund an opinion of counsel stating that the Index Linked Securities that relate to the Master Fund Units constitute illegal obligations under the laws of England or Ireland; or

(c) if at any time either (i) the Fund Management Agreement is terminated in accordance with its terms or (ii) the Index Strategy Agreement is terminated in accordance with its terms.

Partial and In-Kind Redemptions of Master Fund Units by the holders of Master Fund Units

On each of November 30, 2017, November 30, 2018, November 30, 2019 and November 30, 2020, up to 20% of the Master Fund Units originally issued by the Master Fund may be redeemed at the option of the holders thereof subject to the terms of the Master Fund partnership agreement.

From the Accounting Period End Date as of which the Master Fund NAV of the Master Fund first equals or exceeds $750 million, holders of the Class A-2 Master Fund Units will have the option to redeem a specified amount of Class A-2 Master Fund Units in kind in accordance with the procedures set out in the Master Fund partnership agreement.

129 DESCRIPTION OF THE CASH CONSTITUENT

The Cash Constituent will initially be KMIF Cash Investment LP (the “Cash Fund”). The assets of the Cash Constituent will consist of equity interests that entitle their holders to share in the residual assets of the Cash Constituent after all liabilities of the Cash Constituent have been discharged. Fund units of the Cash Constituent ("Cash Fund Units") shall be held in the Notional Account in order to reflect notional proceeds received from (x) notional disposals of Fund Units held in the Notional Account, (y) distributions notionally received in respect of Fund Units held in the Notional Account and/or (z) Index Adjustments, in each case, to the extent that such notional amounts are not concurrently used to notionally fund (i) notional acquisitions of other Fund Units, (ii) notional capital contributions made in respect of Fund Units held in the Notional Account, (iii) Index Income Distributions, (iv) acquisition costs, (v) disposal costs and/or (vi) Index Adjustments.

For purposes of the Cash Constituent, cash investments means any of the following: (a) bonds or interest-bearing notes or obligations which (i) are issued or guaranteed by the United States or any agency thereof for the payment of which the full faith and credit of the United States is pledged and (ii) having maturities or durations not to exceed 180 calendar days; (b) commercial paper of “prime” quality, as defined by either a rating of “A-1” by S&P or “P-1” by Moody’s, such paper not to exceed six (6) months and one day maturity; (c) bills of exchange or time drafts drawn on and accepted by a commercial bank having undivided capital and surplus in excess of U.S.$500,000,000, otherwise known as bankers acceptances, which have a maturity of not longer than ninety (90) calendar days and which are eligible for purchase by the United States Federal Reserve System; (d) negotiable certificates of deposit issued by a United States Federal- or State-chartered bank or savings and loan association or by a branch of a non-U.S. bank licensed by the State of New York, each having (i) undivided capital and surplus in excess of U.S.$500,000,000 and (ii) debt rated no lower than “A” by S&P or “A” by Moody’s; (e) repurchase agreements secured or guaranteed by bonds or interest-bearing notes or obligations delivered to a third party custodian (i) issued or guaranteed by the United States or any agency thereof for the payment of which the full faith and credit of the United States is pledged and (ii) having maturities or durations not to exceed 180 calendar days; (f) any money market mutual funds with assets of not less than U.S.$750,000,000 and all or substantially all of which assets are reasonably believed by the Index Manager to consist of items described above; and (g) any cash, bank, money market or securities brokerage accounts at one or more banks or funds or with such brokers that the Index Manager may select. KKR will manage the Cash Constituent pursuant to the Fund Management Agreement in accordance with the Index Rules; however, no management fees or carry will be charged for investments made by the Cash Constituent. Those investments are expected to generate comparatively lower returns than the KKR Constituent or the FI Constituent.

130 DESCRIPTION OF THE FI CONSTITUENT AND THE REFERENCE BOND INDICES

The following are the Reference Bond Indices which, at the date of this Securities Note & Summary, may be comprised within the FI Constituent:

(i) iBoxx $ Treasuries 1-3Y being the index named “iBoxx $ Treasuries 1-3Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102076 and ISIN GB00B05D1Q68.

(ii) iBoxx $ Treasuries 1-5Y being the index named “iBoxx $ Treasuries 1-5Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102077 and ISIN GB00B05D1Z59.

(iii) iBoxx $ Treasuries 1-10Y being the index named “iBoxx $ Treasuries 1-10Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102075 and ISIN GB00B05D2184.

(iv) iBoxx $ Treasuries 3-5Y being the index named “iBoxx $ Treasuries 3-5Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102079 and ISIN GB00B05D1R75.

(v) iBoxx $ Treasuries 5-7Y being the index named “iBoxx $ Treasuries 5-7Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102081 and ISIN GB00B05D1T99.

(vi) iBoxx $ Treasuries 5-10Y being the index named “iBoxx $ Treasuries 5-10Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102080 and ISIN GB00B05D2077.

(vii) iBoxx $ Treasuries 7-10Y being the index named “iBoxx $ Treasuries 7-10Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102082 and ISIN GB00B05D1V12.

(viii) iBoxx $ Treasuries 10Y+ being the index named “iBoxx $ Treasuries 10Y+” Total Return Index compiled by International Index Company under Indexco Identifier I11102073 and ISIN GB00B05D1X36.

(ix) iBoxx $ Treasuries 10-15Y being the index named “iBoxx $ Treasuries 10-15Y” Total Return Index compiled by International Index Company under Indexco Identifier I11102074 and ISIN GB00B05D1W29.

(x) iBoxx $ Treasuries 15Y+ being the index named “iBoxx $ Treasuries 15Y+” Total Return Index compiled by International Index Company under Indexco Identifier I11102078 and ISIN GB00B05D1Y43.

The Reference Bond Indices are published by the International Index Company and can be accessed on www.indexco.com.

131 TERMS AND CONDITIONS OF THE NOTES

The Terms and Conditions of the Notes shall consist of the terms and conditions set out at pages 67 to 162 of the Base Prospectus (the "Base Conditions") as amended and/or supplemented as set out below. References in the Base Conditions to the Final Terms shall be deemed to refer to the terms set out below.

This Base Prospectus and the Final Terms will be published on the Luxembourg Stock Exchange’s website at www.bourse.lu.

3 January 2008

DEUTSCHE BANK AG, LONDON BRANCH

Issue of EUR12,750,000 104% Principal Protected Notes due 2021 linked to the KKR Protected Private Equity EUR Hedged Index (the “EUR Hedged Index”) comprising exposures to the FX Swap and the KKR Protected Private Equity Index (the “Index”), under the U.S.$40,000,000,000 Global Structured Note Programme

PART A – CONTRACTUAL TERMS

Terms used herein shall be deemed to be defined as such for the purposes of the Terms and Conditions set forth in the securities note & summary dated 3 January 2008 in respect of the offering of EUR12,750,000 in aggregate principal amount of the Notes to be issued on 21 December 2007 (the “Securities Note & Summary”) and the base prospectus (supplemented as described below, the "Base Prospectus") dated 2 August 2007 as supplemented by the first supplement to the Base Prospectus (the "First Supplement") dated 8 August 2007 in each case of Deutsche Bank Aktiengesellschaft ("Deutsche Bank AG"), approved by Bundesanstalt für Finanzdienstleistungsaufsicht (“BaFin”) in respect of the Issuer's U.S.$40,000,000,000 Global Structured Note Programme (the “Programme”) for the purposes of the Prospectus Directive (Directive 2003/71/EC) (the “Prospectus Directive”). This Securities Note & Summary together with the Registration Document constitutes a prospectus (the “Prospectus”) for the purposes of Article 5 of the Prospectus Directive. Full information on the Issuer and the offer of the Notes is only available on the basis of the Prospectus, the Base Prospectus and this Securities Note & Summary. The Prospectus, the Base Prospectus and the Securities Note & Summary are available for viewing at the registered office of the Issuer, the specified offices of the Paying Agents and www.db.com/ir, and copies may be obtained from Deutsche Bank AG, London Branch, Winchester House, 1 Great Winchester Street, London EC2N 2DB.

Copies of the Prospectus and the Base Prospectus can be obtained from the principal office in Luxembourg of Deutsche Bank Luxembourg S.A. and the Luxembourg Stock Exchange's website at www.bourse.lu.

The purchase of Notes involves substantial risks and is suitable only for investors who have the knowledge and experience in financial and business matters necessary to enable them to evaluate the risks and the merits of an investment in the Notes. Before making an investment decision, prospective purchasers of Notes should ensure that they understand the nature of the Notes and the extent of their exposure to risks and that they consider carefully, in the light of their own financial circumstances, financial condition and investment objectives, all the information set forth in the Securities Note & Summary (including “Risk Factors” at pages 37 to 65 above), the Registration Document (including “Risk Factors” at pages 4 and 5 thereof), the Base Prospectus (including “Risk Factors” at pages 18 to 28 thereof) and these Final Terms.

No person has been authorised to give any information or make any representation not contained in or not consistent with these Final Terms, or any other information supplied in connection with the Notes and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer or the Dealer.

132 Words and expressions used in these Terms and Conditions of the Notes but not otherwise defined shall have the meaning given them in the Index Rules at pages 80 to 108 of this Securities Note & Summary.

1. Issuer: Deutsche Bank AG, London Branch

2. (i) Series Number: 2798

(ii) Tranche Number: 1

3. Specified Currency or Currencies: EUR

4. Aggregate Nominal Amount:

(i) Series: EUR12,750,000

(ii) Tranche: EUR12,750,000

5. Issue Price of Tranche: 100 per cent of the Aggregate Nominal Amount

6. (i) Specified Denominations: EUR50,000

(ii) Calculation Amount: EUR50,000

7. (i) Issue Date: 21 December 2007

(ii) Interest Commencement Date N/A (if different from the Issue Date):

8. Maturity Date: 30 November 2021 (the "Scheduled Maturity Date") subject to (i) the Note not having been previously redeemed pursuant to Optional Early Redemption, pursuant to Base Conditions 7(e) (Illegality) or 13 (Events of Default) or if a Mandatory Early Redemption Event occurs and the Issuer giving notice that the Notes are to be redeemed and (ii) maturity not being extended in respect of the Note pursuant to the Extension Option.

9. Interest Basis: Index Linked Interest (further particulars specified below)

10. Redemption/Payment Basis: Index Linked Redemption

11. Change of Interest Basis or Not Applicable Redemption/Payment Basis:

12. Put/Call Options: Not Applicable

13. Status of the Notes: Senior

14. Tax Gross-Up: Base Condition 12(b) (No Gross-Up) applicable

15. Method of distribution: Non-Syndicated

133 PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE

16. Fixed Rate Note Provisions: Not Applicable

17. Floating Rate Note Provisions: Not Applicable

18. Zero Coupon Note Provisions: Not Applicable

19. Currency Linked Interest Note Not Applicable Provisions:

20. Commodity Linked Interest Note Not Applicable Provisions:

21. Fund Linked Interest Note Provisions: Not Applicable

22. Index Linked Interest Note Provisions: Applicable

(i) Index/Formula: See “(x) Other terms or special conditions:” below

(ii) Calculation Agent responsible Yes for calculating the interest due:

(iii) Provisions for determining Not Applicable coupon where calculation by reference to Index and/or Formula is impossible or impracticable:

(iv) (A) Specified Not Applicable Period(s)/Specified Interest Period End Dates:

(B) Interest Payment Not Applicable Date(s) (if different from the Specified Interest Period End Date(s)):

(v) Business Day Convention: Following Business Day Convention

(vi) Additional Business Centre(s): London, New York and Cayman Islands

(vii) Minimum Rate of Interest: Not Applicable

(viii) Maximum Rate of Interest: Not Applicable

(ix) Day Count Fraction: Not Applicable

(x) Other terms or special If the Index Manager determines that an Index conditions: Income Distribution (as defined in the Index Rules) shall be made, then interest shall be payable on each Note on the Interest Payment Date in respect thereof in an amount equal to the

134 Interest Amount in respect of such Note on that Interest Payment Date.

The Interest Amount is payable in respect of each EUR50,000 of the Principal Balance of each Note on each Interest Payment Date.

Whether and when there will be any Interest Payment Date in respect of the Index will be determined by the Index Manager in accordance with clause 2.7 (Index Income Distributions) of the Index Rules.

Each day which is two (2) Business Days following an Index Income Distribution Date will be an “Interest Payment Date” in respect of a Note which is outstanding on such date.

Base Condition 5 (Interest) shall not apply to the extent it is not consistent with the above.

23. Equity Linked Interest Note Not Applicable Provisions:

PROVISIONS RELATING TO REDEMPTION

24. Issuer Call: Not Applicable

25. Investor Put: Not Applicable

26. Final Redemption Amount of each Not Applicable Note:

27. (i) Early Redemption Amount of The Early Redemption Amount in respect of a each Note payable on Note payable pursuant to Base Condition 7(e) redemption for taxation (Illegality), Base Condition 13 (Events of Default) reasons, redemption for or if a Mandatory Early Redemption Event occurs illegality or on event of default and the Issuer gives notice pursuant to Base (if required or if different from Condition 19 (Notices) that the Notes are to be that set out in Condition 7(f)): redeemed shall be determined by the Calculation Agent as the amount which represents the fair economic value of such Note immediately prior to the date on which the Note becomes redeemable less the proportionate cost to the Issuer and/or its Affiliates of unwinding any underlying and/or 135 related hedging and funding arrangements in respect of the Note. The fair economic value of a Note will be a pro rata share of the Liquidation Value of the Issuer’s hedge and for the purposes of determining the fair economic value of such Note, no account shall be taken of the financial condition of the Issuer, which shall be presumed to be able to perform fully its obligations in respect of the Notes.

“Affiliate” means, in relation to any person, any entity controlled, directly or indirectly, by the person, any entity that controls, directly or indirectly, the person or any entity directly or indirectly under common control with the person. For this purpose, "control" of any entity or person means ownership of a majority of the voting power of the entity or person.

(ii) Early Redemption Unwind Not Applicable Costs:

28. Currency Linked Redemption Notes: Not Applicable

29. Commodity Linked Redemption Not Applicable Notes:

30. Fund Linked Redemption Notes: Not Applicable

31. Index Linked Redemption Notes: Applicable

(i) Whether the Notes relate to a Single Index basket of indices or a single index and the identity of the The KKR Protected Private Equity EUR Hedged relevant Index/Indices and Index referencing the FX Swap and the KKR details of the relevant Protected Private Equity Index established sponsors: pursuant to the Index Strategy Agreement.

(ii) Calculation Agent responsible Deutsche Bank AG, London Branch for making calculations Winchester House, 1 Great Winchester Street, pursuant to Condition 9: London. All estimates, calculations and determinations shall be made by the Calculation Agent in its sole and absolute discretion unless otherwise specified.

(iii) Exchange(s): Not Applicable

(iv) Related Exchange(s): Not Applicable

(v) Redemption Amount: See “(xi) Other terms or special conditions” below

(vi) Valuation Date: Not Applicable

(vii) Valuation Time: Not Applicable

(viii) Strike Price: Not Applicable

136 (ix) Disrupted Day: Not Applicable

(x) Multiplier for each Index Not Applicable comprising the basket:

(xi) Other terms or special conditions:

(A) Redemption Amount in On the Scheduled Maturity Date, in respect of respect of the Scheduled each Note which is then to be redeemed, the Maturity Date: amount payable by the Issuer will be the product of (a) the Principal Balance of the Note and (b) the higher of (i) the Protected Amount and (ii) NAVf/ NAV0 (the “Redemption Amount”),

where:

“NAV0”: The EUR Hedged Index Value on the Trade Date;

“NAVf”: The EUR Hedged Index Value calculated with respect to the Index Value as of the Accounting Period End Date (as defined in the Index Rules) immediately preceding the Scheduled Maturity Date provided that if following the Scheduled Maturity Date no Index Linked Securities (as defined in the Index Rules) are scheduled to remain outstanding, NAVf shall be an amount equal to the EUR Hedged Index Value calculated with respect to the Index Value prevailing on the occurrence of the Optional Allocation Event (as defined in the Index Rules) relating to such Scheduled Maturity Date.

For the purposes of this provision, “EUR Hedged Index Value” means:

(a) on the Trade Date, 100,000; and

(c) in respect of the calculation of the Realised Redemption Amount, the Index Value as of the specified date calculated as (i) the Notional Account Value converted into EUR at the EUR/USD Spot Rate prevailing on the occurrence 137 of the Optional Allocation Event, divided by (ii) EUR 1, as determined by the Issuer.

(a) the 2000 ISDA Definitions as applicable;

(b) an “Effective Date” that is the issue date of the Notes;

“Forward EUR/USD FX Rate” means 1.5146.

“Protected Amount” means in respect of the Scheduled Maturity Date, 104%.

138 “Trade Date” means 12 December 2007.

“Redemption Determination Date” means the date which is two (2) Business Days prior to the Scheduled Maturity Date, provided that if the Optional Allocation Event relating to such Scheduled Maturity Date has not occurred before the Redemption Determination Date immediately preceding the Scheduled Maturity Date: (a) the amount payable on the Scheduled Maturity Date in relation to a Note shall be an amount (the “Actual Payment”) equal to the greater of (i) the product of the Principal Balance of the Note and the Protected Amount (the “Protected Payment”) and (ii) the Notional Realised Amount (as defined below) and (b) if the product of the Principal Balance of the Note and NAVf/ NAV0 would produce an amount greater than the Actual Payment then the Redemption Excess (if any, determined as set out below) shall be payable two (2) Business Days following the occurrence of the Optional Allocation Event relating to such Scheduled Maturity Date (such date being the “Deferred Payment Date”) falling not more than ten (10) years after the Scheduled Maturity Date after which date no further amount shall be payable to any Noteholder.

“Net Unrealised Amount” means, in respect of a Note, the amount equal to the Actual Payment in respect of that Note less the Notional Realised Amount.

“Notional Realised Amount” means the EUR Hedged Index Value attributable to the Fund Units of the Cash Constituent recorded in the Notional Account on the Redemption Determination Date.

“Realised Redemption Amount” means the sum

139 of (a) the Notional Realised Amount and (b) the Post Scheduled Maturity Date Notional Realised Amount.

(B) Optional Early On each of 30 November 2017, 30 November Redemption: 2018, 30 November 2019 and 30 November 2020 (each an “Optional Early Redemption Date”), up to 20% of the aggregate Principal Balance of the Notes as at the Issue Date (the “Threshold”) may be redeemed at the option of the holders thereof (an “Optional Early Redemption”), provided that the holders thereof deliver to the Issuer no less than six (6) months and five (5) Business Days and no more than nine (9) months’ prior written notice. If the Principal Balance of the Notes tendered for redemption exceeds the Threshold, the Optional Early Redemption will be made pro rata among the relevant holders of the Notes which are tendered up to the Threshold. Any Notes not tendered for redemption in an Optional Early Redemption will continue to be outstanding following the applicable Optional Early Redemption Date and thereafter may be tendered for redemption on a subsequent Optional Early Redemption Date subject to application of the Threshold. On any Optional Early Redemption Date, in (C) Redemption Amount in respect of each Note which is then to be respect of an Optional Early redeemed, the amount payable by the Issuer will Redemption Date: be the product of (a) the Principal Balance of the Note and (b) NAVoer/ NAV0 (the “Optional Early Redemption Amount”),

where:

“NAV0”: The EUR Hedged Index Value on the Trade Date; and

“NAVoer”: The EUR Hedged Index Value calculated with respect to the Index Value as of the Accounting Period End Date immediately preceding such Optional Early Redemption Date.

For the purposes of this provision, “EUR Hedged

140 Index Value” means:

(a) on the Trade Date, 100,000 and,

The “Optional Redemption Excess” in relation to a Note shall be determined on the day which is two (2) Business Days prior to the Deferred

141 Optional Redemption Payment Date and shall equal the excess (if any) of the Realised Optional Early Redemption Amount over the sum of the Optional Actual Payment and the applicable “Notional Interest”, being notional interest on the Optional Net Unrealised Amount at a rate equal to the overnight interest rate of EURIBOR (as determined by the Issuer) plus a spread equal to 0.20% per annum, for the period from the Optional Early Redemption Date to the Deferred Optional Redemption Payment Date (inclusive),

where:

“Optional Net Unrealised Amount” means, in respect of a Note, the amount equal to the Optional Actual Payment in respect of that Note less the Optional Notional Realised Amount; and

“Realised Optional Early Redemption Amount” means the sum of (a) the Optional Notional Realised Amount and (b) the Post Optional Redemption Date Notional Realised Amount.

(D) Extension Option The maturity of each Note may be extended beyond the Scheduled Maturity Date for an additional period of up to ten (10) years (the “Extension Period”) on such terms as the Issuer may offer provided that the holder of such Note delivers to the Issuer a written notice not less than six (6) months and five (5) Business Days prior to the Scheduled Maturity Date. In any event, there shall be no principal protection in respect of the Notes during the Extension Period.

(E) Redemption following If a Mandatory Early Redemption Event has occurrence of a Mandatory occurred and is continuing, the Issuer may by not Early Redemption Event: less than five (5) Business Days’ notice to the Noteholders, in accordance with Base Condition

142 19 (Notices), require that all (and not some only) of the Notes be redeemed at their Early Redemption Amount on the date specified in, or determined in accordance with procedures specified in, the notice. Notwithstanding anything to the contrary in the terms of the Notes, a Mandatory Early Redemption Event will not occur due solely to the poor performance or underperformance of any Index Constituents.

A “Mandatory Early Redemption Event” shall occur if: (a) the Index Strategy Agreement is terminated in accordance with its terms; or

(b) the Fund Management Agreement is terminated in accordance with its terms; or

(c) the Master Fund Units issued on the same date as the Notes are redeemed in accordance with their terms other than in respect of the Scheduled Maturity Date or any Optional Early Redemption or any in- kind redemption under any such Master Fund Units; or

(d) the Master Fund is dissolved in accordance with the provisions of its Governing Instruments (as defined in the Fund Management Agreement) and not reconstituted within 90 days thereafter or, prior to the expiry of such period, all the Master Fund partners agree that the fund will not be reconstituted.

(F) UCITS Compliance The Issuer and the Fund Manager may from time to time agree to make amendments to the Index Rules for the purpose of ensuring compliance with the Council Directive of 20 December 1985 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (No 85/611/EEC) (as amended) in accordance with clause 3.2(c) of the Index Rules.

(G) Definitions: In this Condition, the following terms have the 143 following meanings:

“Index Strategy Agreement” means the index strategy agreement between KKR, as Index Manager, and Deutsche Bank AG, London Branch, as Index Administrator and Index Sponsor, as amended, restated, supplemented or otherwise modified from time to time in accordance with its terms.

“Master Fund” means KKR Master Index Fund L.P., a Cayman Islands exempted limited partnership that has been formed for the purpose of indirectly acquiring, holding and disposing of interests in, and receiving distributions in respect of, the KKR Constituents and the Cash Constituent, through one or more intermediate companies, in the same manner, at the same times and in the same proportions as such interests are notionally acquired, held and disposed of, and such distributions are received, in the Notional Account established and maintained for the Index and for certain other limited purposes.

“Master Fund Unit” means a notional fraction of a limited partner interest in the Master Fund; provided that for the purposes of Section 7.3 and Section 15.1.2 of the Fund Management Agreement, a Master Fund Unit shall not include a limited partner interest in the Master Fund that is tendered and accepted for redemption pursuant to Clause 8.4 of the Governing Instruments of the Master Fund from and after the In-Kind Redemption Date (as defined in the partnership agreement of the Master Fund) for such limited partner interest.

”Fund Management Agreement” or “FMA” means the fund management agreement dated 30 November 2007, by and among Kohlberg Kravis Roberts & Co. L.P., as fund manager, Deutsche Bank AG, London Branch and certain other persons named therein, as amended, restated, supplemented or otherwise modified from time to time in accordance with its terms.

“Fund Manager” means Kohlberg Kravis Roberts & Co. L.P. or such other Person as may be appointed by the general partner of the Master Fund to be the investment adviser or fund manager in relation to the Master Fund from time to time in accordance with the terms of the FMA.

32. Equity Linked Redemption Notes: Not Applicable

144 33. Credit Linked Notes: Not Applicable

GENERAL PROVISIONS APPLICABLE TO THE NOTES

34. Form of Notes:

(a) Form: Bearer Notes:

Temporary Bearer Global Note exchangeable for a Permanent Bearer Global Note which is exchangeable for definitive Bearer Notes only upon an Exchange Event.

A Temporary Bearer Global Note is exchangeable for a Permanent Bearer Global Note no earlier than 40 days after issuance upon receipt from Euroclear and Clearstream, Luxembourg of certification that beneficial owners of Notes are not U.S. persons (except as permitted by US Treasury regulations).

(b) New Global Note: Not Applicable

35. Additional Financial Centre(s) or other TARGET, London, New York and Cayman Islands special provisions relating to Payment Days:

36. Talons for future Coupons or Receipts Not Applicable to be attached to definitive Bearer Notes (and dates on which such Talons mature):

37. Details relating to Partly Paid Notes: Not Applicable amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences of failure to pay, including any right of the Issuer to forfeit the Notes and interest due on late payment:

38. Details relating to Instalment Notes:

(a) Instalment Amount(s): Not Applicable

(b) Instalment Date(s): Not Applicable

39. Redenomination applicable: Redenomination not applicable

40. Notice to the Issuer: Notices may be given to the Issuer at Winchester House, 1 Great Winchester Street, London EC2N 2DB, attention MTN Desk.

Notice Delivery Business Day Centre: London

145 41. Other final terms: The Issuer may, without the consent of Noteholders, amend the Base Conditions or these Terms and Conditions to the extent required to obtain a listing on the Official List of the Luxembourg Stock Exchange and admission to trading on the Bourse de Luxembourg of the Luxembourg Stock Exchange provided that such changes are not materially prejudicial to the Noteholders.

DISTRIBUTION

42. (i) If syndicated, names and Not Applicable addresses of Managers and underwriting commitments:

(ii) Date of Subscription Not Applicable Agreement:

(iii) Stabilising Manager(s) (if any): Deutsche Bank AG, London Branch

43. If non-syndicated, name and address Deutsche Bank AG, London Branch of Winchester of relevant Dealer: House, 1 Great Winchester Street, London EC2N 2DB

44. Total commission and concession: Not Applicable

45. U.S. Selling Restrictions: May not be sold in the U.S.

46. Non exempt Offer: Not Applicable

47. Additional selling restrictions: There are restrictions on the offer, sale and transfer of the Notes in the United States, the European Economic Area (including the United Kingdom and France) and such other jurisdictions as may be required in connection with the offering and sale of the Notes (see pages 173 to 180 inclusive of the Base Prospectus).

146 PURPOSE OF FINAL TERMS

These Final Terms comprise the final terms required for issue and admission to trading on the Official List of the Luxembourg Stock Exchange of the Notes described herein pursuant to the U.S.$40,000,000,000 Global Structured Note Programme of Deutsche Bank AG, London Branch.

RESPONSIBILITY

The Issuer accepts responsibility for the information contained in these Final Terms.

Signed on behalf of the Issuer:

By: ………………………………… By: ……………………………………. Duly authorised Duly authorised

147 PART B – OTHER INFORMATION

1. LISTING AND ADMISSION TO TRADING

(i) Listing: Application has been made for the Notes to be listed on the Official List of the Luxembourg Stock Exchange. The Issuer will use its reasonable efforts to ensure listing of the Notes on the Official List of the Luxembourg Stock Exchange although there is no assurance that such listing will be achieved. (ii) Admission to trading: Application has been made for the Notes to be admitted to trading on the Luxembourg Stock Exchange’s regulated market.

2. RATINGS

Ratings: No specific rating for the Notes has been applied for or sought.

3. AUTHORISATION The Issuer has obtained or will obtain from time to time all necessary consents, approvals and authorisations in connection with the issue and performance of the Notes.

4. DOCUMENTS AVAILABLE For so long as any Notes remain outstanding, copies and, where appropriate, English translations of the following documents may be inspected during normal business hours at the specified office of the Issuer and Paying Agent, and at the office of the Paying Agent in Luxembourg, namely: (a) the Registration Document;

(b) this Securities Note & Summary;

(d) the Deed of Covenant (as defined in the Base Prospectus);

(e) the Programme Agreement (as defined in the Base Prospectus); and

(f) the Agency Agreement (as defined in the Base Prospectus).

A copy of the Prospectus will be published on the website of the Luxembourg Stock Exchange (www.bourse.lu).

5. FINANCIAL STATEMENTS AVAILABLE For so long as any Notes remain outstanding, copies and, where appropriate, English translations of the following documents may be obtained during normal business hours at the specified office of the Issuer and Principal Paying Agent, and at the office of the Paying Agent in Luxembourg: (a) the most recently published audited consolidated financial statements of the Deutsche Bank Group beginning with the audited consolidated financial statements for the years ended 31

148 December 2005 and 31 December 2006 in each case together with the audit reports prepared in connection therewith;

(b) the most recently published unaudited consolidated interim quarterly financial statements of the Deutsche Bank Group, being as at the date hereof for the nine months ended 30 September 2007, in each case together with the audit reports prepared in connection therewith; and

(c) the most recently published audited non-consolidated financial statements of Deutsche Bank AG beginning with the audited non-consolidated financial statements for the years ending 31 December 2005 and 31 December 2006.

The Issuer does not publish non-consolidated interim financial statements.

6. POST ISSUANCE INFORMATION The Issuer is under no obligation to provide any post-issuance information, except if required by any applicable laws and regulations. Subject to the forgoing, the Issuer does not intend to publish additional information. Certain information about the past and the further performance of the underlying Index and its volatility can be obtained at http://index.db.com.

7. INTERESTS OF NATURAL AND LEGAL PERSONS INVOLVED IN THE ISSUER Other than as disclosed herein, so far as the Issuer is aware, no person involved in the issue of the Notes has an interest material to the offer.

8. NOTIFICATION The CSSF has not provided and has not been requested to provide its equivalent competent authority in any other member state of the European Union with a certificate of approval attesting that the Prospectus has been drawn up in accordance with Directive 2003/71/EC and the relevant implementing measures in the Grand Duchy of Luxembourg.

9. LEGAL AND ARBITRATION PROCEEDINGS Other than as disclosed in the Prospectus (including any document incorporated by reference herein), the Issuer is not, or during the last two financial years has not been involved (whether as defendant or otherwise) in, nor does it have knowledge of any threat of any legal, arbitration, administrative or other proceedings the result of which may have, in the event of an adverse determination, a significant effect on its financial condition as presented in the Prospectus (including any document incorporated by reference herein).

10. SIGNIFICANT CHANGE IN THE ISSUER’S FINANCIAL POSITION Save as disclosed in the Prospectus (including any documents incorporated by reference), there has been no significant change in the financial position of the Issuer since 30 September 2007, the date of its last unaudited consolidated interim quarterly financial statements.

11. STATEMENT OF NO MATERIAL ADVERSE CHANGE Save as disclosed in the Prospectus (including any document incorporated by reference in this Securities Note & Summary), there has been no material adverse change in the prospects of the Issuer since 31 March 2007, the date of its last audited financial statements.

12. OPERATIONAL INFORMATION

(i) ISIN Code: XS0336656367

(ii) Common code 033665636

149 (iii) Any clearing system(s) other than Not Applicable Euroclear Bank S.A./N.V. and Clearstream Banking, société anonyme and the relevant identification number(s):| (iv) Delivery: Delivery against payment (v) Names and addresses of initial Deutsche Bank AG, London Branch Paying Agent(s): Winchester House 1 Great Winchester Street London EC2N 2DB

Deutsche Bank Luxembourg S.A. 2 boulevard Konrad Adenauer L-1115 Luxembourg (vi) Names and addresses of additional Not applicable. No paying agent shall be Paying Agent(s) (if any): appointed in or shall make payments from the United States or its possessions. (vii) Intended to be held in a manner No which would allow Eurosystem eligibility:

150 THE ISSUER

Deutsche Bank AG, London Branch

Winchester House 1 Great Winchester Street London EC2N 2DB

PRINCIPAL PAYING AGENT

Deutsche Bank AG, London Branch

Winchester House 1 Great Winchester Street London EC2N 2DB

PAYING AGENT

Deutsche Bank Luxembourg S.A. 2 boulevard Konrad Adenauer L-1115 Luxembourg

LEGAL ADVISERS TO THE DEALER As to English law

Freshfields Bruckhaus Deringer 65 Fleet Street London EC4Y 1HS

DEALER

Deutsche Bank AG, London Branch Winchester House 1 Great Winchester Street London EC2N 2DB

LUXEMBOURG LISTING AGENT

Deutsche Bank Luxembourg S.A. 2 boulevard Konrad Adenauer L-1115 Luxembourg

INDEX MANAGER

Kohlberg Kravis Roberts & Co. L.P. 9 West 57th Street New York, New York 10019

LEGAL ADVISERS TO THE INDEX MANAGER

Linklaters LLP Simpson Thacher & Bartlett LLP 1345 Avenue of the Americas 425 Lexington Avenue New York, New York 10105, New York, New York 10017

LON1907137

151