INTERNATIONAL PRODUCTS

PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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 1005455.3710498.09
United States Oil Fund38.37128.25

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 1005158.8510498.09
    S&P GSCI CrudeOil Excess Return482.3726220.211

    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 1005455.3710498.09
    S&P GSCI CrudeOil Excess Return544.13220.211

    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 5001117.517064.01
      HSCEI11622.78943.54

      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 1005322.3610498.09
      S&P 5001105.987064.01

      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
        HSCEI12334.828943.54
        iShares MSCI Emerging Markets (EEM)40.3662.25

        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 1005322.3610498.09
          S&P GSCI CrudeOil Excess Return541.28220.211

          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 1005188.4310498.09
            S&P GSCI CrudeOil Excess Return478.1546220.211

            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 1005242.5710498.09
              S&P 5001079.67064.01

              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 1005242.5710498.09
                S&P 5001079.67064.01

                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 1005242.5710498.09
                  S&P 5001079.67064.01

                  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 1004850.8910498.09
                    S&P 5001026.137064.01

                    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 1004850.8910498.09
                    S&P 5001026.137064.01

                    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 1004850.8910498.09
                    S&P 5001026.137064.01

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

                    EXPAND CLOSE
                    MS Gilt FTSE-S&P Autocall Jul 09 GBP
                    ISIN: GG00B5BMZB50
                    STRIKE DATE: 24/07/2009
                    INDICATIVE PRICE: Not available
                    STATUS: Matured
                    FACTSHEET: DOWNLOAD

                    COUNTERPARTY Morgan Stanley
                    TYPE Note
                    CURRENCY GBP
                    CURRENT PRICE Not available

                    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                    FTSE 1004576.6110498.09
                    S&P 500979.267064.01

                    STRIKE DATE 24/07/2009
                    RETURN & BARRIERS
                    9% Coupon
                    P.A. RETURN
                    ISIN GG00B5BMZB50
                    NEXT POTENTIAL MATURITY DATE 26/07/2010

                    EXPAND CLOSE
                    MS Gilt FTSE-S&P Autocall May 09 GBP
                    ISIN: GG00B3YWFH44
                    STRIKE DATE: 29/05/2009
                    INDICATIVE PRICE: Not available
                    STATUS: Matured
                    FACTSHEET: DOWNLOAD

                    COUNTERPARTY Morgan Stanley
                    TYPE Note
                    CURRENCY GBP
                    CURRENT PRICE Not available

                    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                    FTSE 1004417.7210498.09
                    S&P 500919.147064.01

                    STRIKE DATE 29/05/2009
                    RETURN & BARRIERS
                    9.75% coupon
                    P.A. RETURN
                    ISIN GG00B3YWFH44
                    NEXT POTENTIAL MATURITY DATE 01/06/2010

                    EXPAND CLOSE
                    Nomura FTSE-S&P Autocall Mar 09 GBP
                    ISIN: XS0415320760
                    STRIKE DATE: 27/03/2009
                    INDICATIVE PRICE: Not available
                    STATUS: Matured
                    FACTSHEET: DOWNLOAD

                    COUNTERPARTY Nomura
                    TYPE Note
                    CURRENCY GBP
                    CURRENT PRICE Not available

                    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                    FTSE 1003898.910498.09
                    S&P 500815.947064.01

                    STRIKE DATE 27/03/2009
                    RETURN & BARRIERS
                    12.25%
                    P.A. RETURN
                    ISIN XS0415320760
                    NEXT POTENTIAL MATURITY DATE 29/03/2010

                    EXPAND CLOSE
                    Nomura FTSE-S&P Autocall Aug 09 USD
                    ISIN: XS0445818411
                    STRIKE DATE: 10/08/2009
                    INDICATIVE PRICE: Not available
                    STATUS: Matured
                    FACTSHEET: CONTACT

                    COUNTERPARTY Nomura
                    TYPE Note
                    CURRENCY USD
                    CURRENT PRICE Not available

                    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                    FTSE 1004722.210498.09
                    S&P 5001007.17064.01

                    STRIKE DATE 10/08/2009
                    RETURN & BARRIERS
                    11.5% March 10, then 9% p.a. from August 2011.
                    P.A. RETURN
                    ISIN XS0445818411
                    NEXT POTENTIAL MATURITY DATE 12/03/2010

                      EXPAND CLOSE
                      Nomura FTSE-S&P Autocall Feb 09 USD
                      ISIN: XS0422472869
                      STRIKE DATE: 09/02/2009
                      INDICATIVE PRICE: Not available
                      STATUS: Matured
                      FACTSHEET: CONTACT

                      COUNTERPARTY Nomura
                      TYPE Note
                      CURRENCY USD
                      CURRENT PRICE Not available

                      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                      FTSE 1004307.6110498.09
                      S&P 500869.897064.01

                      STRIKE DATE 09/02/2009
                      RETURN & BARRIERS
                      13.50% Coupon
                      P.A. RETURN
                      ISIN XS0422472869
                      NEXT POTENTIAL MATURITY DATE 09/02/2010

                        EXPAND CLOSE
                        Nomura FTSE-S&P Autocall Feb 09 GBP
                        ISIN: XS0408759131
                        STRIKE DATE: 09/02/2009
                        INDICATIVE PRICE: Not available
                        STATUS: Matured
                        FACTSHEET: DOWNLOAD

                        COUNTERPARTY Nomura
                        TYPE Note
                        CURRENCY GBP
                        CURRENT PRICE Not available

                        UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                        FTSE 1004307.6110498.09
                        S&P 500869.897064.01

                        STRIKE DATE 09/02/2009
                        RETURN & BARRIERS
                        14% Coupon
                        P.A. RETURN
                        ISIN XS0408759131
                        NEXT POTENTIAL MATURITY DATE 09/02/2010

                        EXPAND CLOSE