INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
MS S&P Oil Mar 10 USD
ISIN: XS0484913917
STRIKE DATE: 05/03/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: CONTACT

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P 5001138.76846.61
S&P GSCI CrudeOil Excess Return562.806135.808

STRIKE DATE 05/03/2010
RETURN & BARRIERS
7% Semi, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0484913917
NEXT POTENTIAL MATURITY DATE 06/03/2011

    EXPAND CLOSE
    Citi FTSE/Oil Feb 10 GBP
    ISIN: XS0482812731
    STRIKE DATE: 26/02/2010
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: CONTACT

    COUNTERPARTY Citi
    TYPE Note
    CURRENCY GBP
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    FTSE 1005354.529899.6
    S&P GSCI CrudeOil Excess Return550.1135.808

    STRIKE DATE 26/02/2010
    RETURN & BARRIERS
    6% Semi-Annual, 100% Maturity, 50% Barrier (A)
    P.A. RETURN
    ISIN XS0482812731
    NEXT POTENTIAL MATURITY DATE 26/02/2011

      EXPAND CLOSE
      Citi FTSE/Oil Aug 10 GBP
      ISIN: XS0528258659
      STRIKE DATE: 06/08/2010
      INDICATIVE PRICE: Not available
      STATUS: Matured
      FACTSHEET: DOWNLOAD

      COUNTERPARTY Citi
      TYPE Note
      CURRENCY GBP
      CURRENT PRICE Not available

      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
      FTSE 1005332.399899.6
      S&P GSCI CrudeOil Excess Return509.6554135.808

      STRIKE DATE 06/08/2010
      RETURN & BARRIERS
      7% Semi, 100% Maturity, 50% Barrier (A)
      P.A. RETURN
      ISIN XS0528258659
      NEXT POTENTIAL MATURITY DATE 07/02/2011

      EXPAND CLOSE
      Citi S&P/China Jul 10 USD
      ISIN: XS0520186171
      STRIKE DATE: 30/07/2010
      INDICATIVE PRICE: Not available
      STATUS: Matured
      FACTSHEET: DOWNLOAD

      COUNTERPARTY Citi
      TYPE Note
      CURRENCY USD
      CURRENT PRICE Not available

      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
      S&P 5001101.66846.61
      HSCEI119059461.49

      STRIKE DATE 30/07/2010
      RETURN & BARRIERS
      6.25% Semi-Annual, 100% Maturity, 50% Barrier (E)
      P.A. RETURN
      ISIN XS0520186171
      NEXT POTENTIAL MATURITY DATE 31/01/2011

      EXPAND CLOSE
      MS FTSE/S&P Jan 10 GBP
      ISIN: XS0474322350
      STRIKE DATE: 22/01/2010
      INDICATIVE PRICE: Not available
      STATUS: Matured
      FACTSHEET: CONTACT

      COUNTERPARTY Morgan Stanley
      TYPE Note
      CURRENCY GBP
      CURRENT PRICE Not available

      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
      FTSE 1005302.99899.6
      S&P 5001091.766846.61

      STRIKE DATE 22/01/2010
      RETURN & BARRIERS
      8.75% p.a, 100% Maturity, 50% Barrier (A)
      P.A. RETURN
      ISIN XS0474322350
      NEXT POTENTIAL MATURITY DATE 24/01/2011

        EXPAND CLOSE
        Nomura FTSE-S&P Autocall Jan 10 USD
        ISIN: XS0477268832
        STRIKE DATE: 15/01/2010
        INDICATIVE PRICE: Not available
        STATUS: Matured
        FACTSHEET: CONTACT

        COUNTERPARTY Nomura
        TYPE Note
        CURRENCY USD
        CURRENT PRICE Not available

        UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
        FTSE 1005455.379899.6
        S&P 5001136.036846.61

        STRIKE DATE 15/01/2010
        RETURN & BARRIERS
        10% Autocall
        P.A. RETURN
        ISIN XS0477268832
        NEXT POTENTIAL MATURITY DATE 18/01/2011

          EXPAND CLOSE
          Nomura FTSE-USO Autocall Jan 10 USD
          ISIN: XS0477268592
          STRIKE DATE: 15/01/2010
          INDICATIVE PRICE: Not available
          STATUS: Matured
          FACTSHEET: CONTACT

          COUNTERPARTY Nomura
          TYPE Note
          CURRENCY USD
          CURRENT PRICE Not available

          UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
          FTSE 1005455.379899.6
          United States Oil Fund38.3772.72

          STRIKE DATE 15/01/2010
          RETURN & BARRIERS
          6% semi annual
          P.A. RETURN
          ISIN XS0477268592
          NEXT POTENTIAL MATURITY DATE 18/01/2011

            EXPAND CLOSE
            MS FTSE/Oil July 10 Autocall GBP
            ISIN: XS0514644946
            STRIKE DATE: 16/07/2010
            INDICATIVE PRICE: Not available
            STATUS: Matured
            FACTSHEET: DOWNLOAD

            COUNTERPARTY Morgan Stanley
            TYPE Note
            CURRENCY GBP
            CURRENT PRICE Not available

            UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
            FTSE 1005158.859899.6
            S&P GSCI CrudeOil Excess Return482.3726135.808

            STRIKE DATE 16/07/2010
            RETURN & BARRIERS
            5.5% Semi, 100% Maturity, 50% Barrier (A)
            P.A. RETURN
            ISIN XS0514644946
            NEXT POTENTIAL MATURITY DATE 18/01/2011

            EXPAND CLOSE
            Citi FTSE/Oil Jan 10 GBP
            ISIN: XS0471712611
            STRIKE DATE: 15/01/2010
            INDICATIVE PRICE: Not available
            STATUS: Matured
            FACTSHEET: CONTACT

            COUNTERPARTY Citi
            TYPE Note
            CURRENCY GBP
            CURRENT PRICE Not available

            UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
            FTSE 1005455.379899.6
            S&P GSCI CrudeOil Excess Return544.13135.808

            STRIKE DATE 15/01/2010
            RETURN & BARRIERS
            6.5% Semi, 100% Maturity, 50% Barrier (A)
            P.A. RETURN
            ISIN XS0471712611
            NEXT POTENTIAL MATURITY DATE 18/01/2011

              EXPAND CLOSE
              Citi S&P/HSCEI Jun 10 USD
              ISIN: XS0509375183
              STRIKE DATE: 18/06/2010
              INDICATIVE PRICE: Not available
              STATUS: Matured
              FACTSHEET: DOWNLOAD

              COUNTERPARTY Citi
              TYPE Note
              CURRENCY USD
              CURRENT PRICE Not available

              UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
              S&P 5001117.516846.61
              HSCEI11622.79461.49

              STRIKE DATE 18/06/2010
              RETURN & BARRIERS
              6.5% Semi, 100% Maturity, 50% Barrier (E)
              P.A. RETURN
              ISIN XS0509375183
              NEXT POTENTIAL MATURITY DATE 20/12/2010

              EXPAND CLOSE
              MS FTSE/S&P Dec 09 GBP
              ISIN: XS0463386184
              STRIKE DATE: 04/12/2009
              INDICATIVE PRICE: Not available
              STATUS: Matured
              FACTSHEET: CONTACT

              COUNTERPARTY Morgan Stanley
              TYPE Note
              CURRENCY GBP
              CURRENT PRICE Not available

              UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
              FTSE 1005322.369899.6
              S&P 5001105.986846.61

              STRIKE DATE 04/12/2009
              RETURN & BARRIERS
              9% p.a., 110% Maturity, 50% Barrier (A)
              P.A. RETURN
              ISIN XS0463386184
              NEXT POTENTIAL MATURITY DATE 06/12/2010

                EXPAND CLOSE
                Nomura China / EEM 5 yr Autocall GBP Dec 2009
                ISIN: XS0469199557
                STRIKE DATE: 18/12/2009
                INDICATIVE PRICE: Not available
                STATUS: Matured
                FACTSHEET: CONTACT

                COUNTERPARTY Nomura
                TYPE Note
                CURRENCY GBP
                CURRENT PRICE Not available

                UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                HSCEI12334.829461.49
                iShares MSCI Emerging Markets (EEM)40.3655.57

                STRIKE DATE 18/12/2009
                RETURN & BARRIERS
                15% pa, 100%, 50% European
                P.A. RETURN
                ISIN XS0469199557
                NEXT POTENTIAL MATURITY DATE 18/12/2010

                  EXPAND CLOSE
                  Citi FTSE/Oil Dec 09 GBP
                  ISIN: XS0460654766
                  STRIKE DATE: 04/12/2009
                  INDICATIVE PRICE: Not available
                  STATUS: Matured
                  FACTSHEET: CONTACT

                  COUNTERPARTY Citi
                  TYPE Note
                  CURRENCY GBP
                  CURRENT PRICE Not available

                  UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                  FTSE 1005322.369899.6
                  S&P GSCI CrudeOil Excess Return541.28135.808

                  STRIKE DATE 04/12/2009
                  RETURN & BARRIERS
                  6.5% Semi, 100% Maturity, 50% Barrier (A)
                  P.A. RETURN
                  ISIN XS0460654766
                  NEXT POTENTIAL MATURITY DATE 06/12/2010

                    EXPAND CLOSE
                    MS FTSE/Oil May 10 GBP
                    ISIN: XS0505653435
                    STRIKE DATE: 28/05/2010
                    INDICATIVE PRICE: Not available
                    STATUS: Matured
                    FACTSHEET: CONTACT

                    COUNTERPARTY Morgan Stanley
                    TYPE Note
                    CURRENCY GBP
                    CURRENT PRICE Not available

                    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                    FTSE 1005188.439899.6
                    S&P GSCI CrudeOil Excess Return478.1546135.808

                    STRIKE DATE 28/05/2010
                    RETURN & BARRIERS
                    5.25% Semi-Annual, 100% Maturity, 50% Barrier (A)
                    P.A. RETURN
                    ISIN XS0505653435
                    NEXT POTENTIAL MATURITY DATE 29/11/2010

                      EXPAND CLOSE
                      MS FTSE/S&P Oct 09 GBP
                      ISIN: XS0451367014
                      STRIKE DATE: 23/10/2009
                      INDICATIVE PRICE: Not available
                      STATUS: Matured
                      FACTSHEET: CONTACT

                      COUNTERPARTY Morgan Stanley
                      TYPE Note
                      CURRENCY GBP
                      CURRENT PRICE Not available

                      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                      FTSE 1005242.579899.6
                      S&P 5001079.66846.61

                      STRIKE DATE 23/10/2009
                      RETURN & BARRIERS
                      9.5% p.a, 100% Maturity, 50% Barrier (A)
                      P.A. RETURN
                      ISIN XS0451367014
                      NEXT POTENTIAL MATURITY DATE 25/10/2010

                        EXPAND CLOSE
                        MS FTSE-S&P Autocall Oct 09 USD
                        ISIN: XS0451368178
                        STRIKE DATE: 23/10/2009
                        INDICATIVE PRICE: Not available
                        STATUS: Matured
                        FACTSHEET: CONTACT

                        COUNTERPARTY Morgan Stanley
                        TYPE Note
                        CURRENCY USD
                        CURRENT PRICE Not available

                        UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                        FTSE 1005242.579899.6
                        S&P 5001079.66846.61

                        STRIKE DATE 23/10/2009
                        RETURN & BARRIERS
                        10% Coupon
                        P.A. RETURN
                        ISIN XS0451368178
                        NEXT POTENTIAL MATURITY DATE 25/10/2010

                          EXPAND CLOSE
                          MS FTSE-S&P Autocall Oct 09 EUR
                          ISIN: XS0451369143
                          STRIKE DATE: 23/10/2009
                          INDICATIVE PRICE: Not available
                          STATUS: Matured
                          FACTSHEET: CONTACT

                          COUNTERPARTY Morgan Stanley
                          TYPE Note
                          CURRENCY EUR
                          CURRENT PRICE Not available

                          UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                          FTSE 1005242.579899.6
                          S&P 5001079.66846.61

                          STRIKE DATE 23/10/2009
                          RETURN & BARRIERS
                          10% Coupon
                          P.A. RETURN
                          ISIN XS0451369143
                          NEXT POTENTIAL MATURITY DATE 25/10/2010

                            EXPAND CLOSE
                            MS FTSE-S&P Autocall Aug 09 USD
                            ISIN: XS0439947515
                            STRIKE DATE: 21/08/2009
                            INDICATIVE PRICE: Not available
                            STATUS: Matured
                            FACTSHEET: DOWNLOAD

                            COUNTERPARTY Morgan Stanley
                            TYPE Note
                            CURRENCY USD
                            CURRENT PRICE Not available

                            UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                            FTSE 1004850.899899.6
                            S&P 5001026.136846.61

                            STRIKE DATE 21/08/2009
                            RETURN & BARRIERS
                            11% coupon
                            P.A. RETURN
                            ISIN XS0439947515
                            NEXT POTENTIAL MATURITY DATE 23/08/2010

                            EXPAND CLOSE
                            MS FTSE-S&P Autocall Aug 09 GBP
                            ISIN: XS0439947358
                            STRIKE DATE: 21/08/2009
                            INDICATIVE PRICE: Not available
                            STATUS: Matured
                            FACTSHEET: DOWNLOAD

                            COUNTERPARTY Morgan Stanley
                            TYPE Note
                            CURRENCY GBP
                            CURRENT PRICE Not available

                            UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                            FTSE 1004850.899899.6
                            S&P 5001026.136846.61

                            STRIKE DATE 21/08/2009
                            RETURN & BARRIERS
                            11% coupon
                            P.A. RETURN
                            ISIN XS0439947358
                            NEXT POTENTIAL MATURITY DATE 23/08/2010

                            EXPAND CLOSE
                            MS FTSE-S&P Autocall Aug 09 EUR
                            ISIN: XS0439947275
                            STRIKE DATE: 21/08/2009
                            INDICATIVE PRICE: Not available
                            STATUS: Matured
                            FACTSHEET: DOWNLOAD

                            COUNTERPARTY Morgan Stanley
                            TYPE Note
                            CURRENCY EUR
                            CURRENT PRICE Not available

                            UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                            FTSE 1004850.899899.6
                            S&P 5001026.136846.61

                            STRIKE DATE 21/08/2009
                            RETURN & BARRIERS
                            11% coupon
                            P.A. RETURN
                            ISIN XS0439947275
                            NEXT POTENTIAL MATURITY DATE 23/08/2010

                            EXPAND CLOSE