INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
Citi FTSE/S&P Mar 11 GBP
ISIN: XS0591911523
STRIKE DATE: 11/03/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Citi
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005828.6710364.79
S&P 5001304.286575.32

STRIKE DATE 11/03/2011
RETURN & BARRIERS
7.25% p.a., 100% Maturity, 50% Barrier
P.A. RETURN
ISIN XS0591911523
NEXT POTENTIAL MATURITY DATE 12/03/2012

EXPAND CLOSE
Commerz China/Taiwan Aug 11 USD
ISIN: XS0650605313
STRIKE DATE: 26/08/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Commerzbank
TYPE
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI10299.588504.81
iShares MSCI Taiwan262.41

STRIKE DATE 26/08/2011
RETURN & BARRIERS
7% Semi, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0650605313
NEXT POTENTIAL MATURITY DATE 27/02/2012

EXPAND CLOSE
Citi FTSE/S&P Jun 10 GBP
ISIN: XS0513485242
STRIKE DATE: 25/06/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Citi
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005064.4710364.79
S&P 5001076.686575.32

STRIKE DATE 25/06/2010
RETURN & BARRIERS
7.5% p.a, 110% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0513485242
NEXT POTENTIAL MATURITY DATE 27/06/2011

EXPAND CLOSE
MS FTSE/China/Brazil Jun 10 GBP
ISIN: XS0509645312
STRIKE DATE: 18/06/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005250.8410364.79
HSCEI11622.78504.81
iShares MSCI Brazil (EWZ)67.238.37

STRIKE DATE 18/06/2010
RETURN & BARRIERS
16.5% p.a., 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0509645312
NEXT POTENTIAL MATURITY DATE 20/06/2011

EXPAND CLOSE
MS FTSE/China/Brazil Jun 10 USD
ISIN: XS0509645155
STRIKE DATE: 18/06/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005250.8410364.79
HSCEI11622.78504.81
iShares MSCI Brazil (EWZ)67.238.37

STRIKE DATE 18/06/2010
RETURN & BARRIERS
20% p.a., 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0509645155
NEXT POTENTIAL MATURITY DATE 20/06/2011

EXPAND CLOSE
Nomura World Indices Jun 10 GBP
ISIN: XS0509213954
STRIKE DATE: 11/06/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Nomura
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005163.6810364.79
S&P 5001091.66575.32
Eurostoxx 502638.315732.71

STRIKE DATE 11/06/2010
RETURN & BARRIERS
13.5% p.a, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0509213954
NEXT POTENTIAL MATURITY DATE 13/06/2011

EXPAND CLOSE
Nomura World Indices Jun 10 EUR
ISIN: XS0509214259
STRIKE DATE: 11/06/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Nomura
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005163.6810364.79
S&P 5001091.66575.32
Eurostoxx 502638.315732.71

STRIKE DATE 11/06/2010
RETURN & BARRIERS
13.5% p.a, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0509214259
NEXT POTENTIAL MATURITY DATE 13/06/2011

EXPAND CLOSE
Citi FTSE/Oil Oct 10 GBP
ISIN: XS0543469307
STRIKE DATE: 22/10/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Citi
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005741.3710364.79
S&P GSCI CrudeOil Excess Return500.3546230.222

STRIKE DATE 22/10/2010
RETURN & BARRIERS
6.75% Semi, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0543469307
NEXT POTENTIAL MATURITY DATE 26/04/2011

EXPAND CLOSE
MS S&P/Oil Apr 10 USD
ISIN: XS0498245306
STRIKE DATE: 23/04/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P 5001217.286575.32
S&P GSCI CrudeOil Excess Return579.3137230.222

STRIKE DATE 23/04/2010
RETURN & BARRIERS
5.75% Semi-Annual, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0498245306
NEXT POTENTIAL MATURITY DATE 25/04/2011

EXPAND CLOSE
MS FTSE/Oil April 10 GBP
ISIN: XS0496187351
STRIKE DATE: 19/04/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005727.9110364.79
S&P GSCI CrudeOil Excess Return565.7701230.222

STRIKE DATE 19/04/2010
RETURN & BARRIERS
5.25% Semi-Annual, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0496187351
NEXT POTENTIAL MATURITY DATE 19/04/2011

EXPAND CLOSE
Nomura FTSE/S&P Apr 10 GBP
ISIN: XS0497497759
STRIKE DATE: 16/04/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Nomura
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005743.9610364.79
S&P 5001192.136575.32

STRIKE DATE 16/04/2010
RETURN & BARRIERS
7.5% p.a, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0497497759
NEXT POTENTIAL MATURITY DATE 18/04/2011

EXPAND CLOSE
Citi China/Taiwan Oct 10 USD
ISIN: XS0536737918
STRIKE DATE: 08/10/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Citi
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI12758.238504.81
iShares MSCI Taiwan290.77

STRIKE DATE 08/10/2010
RETURN & BARRIERS
6.5% Semi, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0536737918
NEXT POTENTIAL MATURITY DATE 08/04/2011

EXPAND CLOSE
MS FTSE/China/Brazil Apr 10 GBP
ISIN: XS0489914167
STRIKE DATE: 16/04/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: CONTACT

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005743.9610364.79
HSCEI12557.48504.81
iShares MSCI Brazil (EWZ)73.3638.37

STRIKE DATE 16/04/2010
RETURN & BARRIERS
15% p.a, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0489914167
NEXT POTENTIAL MATURITY DATE 28/03/2011

    EXPAND CLOSE
    MS FTSE/China/Brazil Apr 10 USD
    ISIN: XS0489914084
    STRIKE DATE: 16/04/2010
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: CONTACT

    COUNTERPARTY Morgan Stanley
    TYPE Note
    CURRENCY USD
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    FTSE 1005743.9610364.79
    HSCEI12557.48504.81
    iShares MSCI Brazil (EWZ)73.3638.37

    STRIKE DATE 16/04/2010
    RETURN & BARRIERS
    18% p.a, 100% Maturity, 50% Barrier (E)
    P.A. RETURN
    ISIN XS0489914084
    NEXT POTENTIAL MATURITY DATE 28/03/2011

      EXPAND CLOSE
      Citi FTSE/Oil Sept 10 GBP
      ISIN: XS0527231756
      STRIKE DATE: 10/09/2010
      INDICATIVE PRICE: Not available
      STATUS: Matured
      FACTSHEET: DOWNLOAD

      COUNTERPARTY Citi
      TYPE Note
      CURRENCY GBP
      CURRENT PRICE Not available

      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
      FTSE 1005501.6410364.79
      S&P GSCI CrudeOil Excess Return478.1904230.222

      STRIKE DATE 10/09/2010
      RETURN & BARRIERS
      7% Semi, 100% Maturity, 50% Barrier (A)
      P.A. RETURN
      ISIN XS0527231756
      NEXT POTENTIAL MATURITY DATE 10/03/2011

      EXPAND CLOSE
      MS FTSE/S&P Mar 10 GBP
      ISIN: XS0484914212
      STRIKE DATE: 05/03/2010
      INDICATIVE PRICE: Not available
      STATUS: Matured
      FACTSHEET: DOWNLOAD

      COUNTERPARTY Morgan Stanley
      TYPE Note
      CURRENCY GBP
      CURRENT PRICE Not available

      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
      FTSE 1005599.7610364.79
      S&P 5001138.76575.32

      STRIKE DATE 05/03/2010
      RETURN & BARRIERS
      7.5% p.a, 110% Maturity, 50% Barrier (A)
      P.A. RETURN
      ISIN XS0484914212
      NEXT POTENTIAL MATURITY DATE 07/03/2011

      EXPAND CLOSE
      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 5001138.76575.32
      S&P GSCI CrudeOil Excess Return562.806230.222

      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 1005354.5210364.79
        S&P GSCI CrudeOil Excess Return550.1230.222

        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 1005332.3910364.79
          S&P GSCI CrudeOil Excess Return509.6554230.222

          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 5001101.66575.32
          HSCEI119058504.81

          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