INTERNATIONAL PRODUCTS

PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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 1005455.3710443.47
S&P GSCI CrudeOil Excess Return544.13245.917

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 5001117.517445.72
    HSCEI11622.78475.32

    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 1005322.3610443.47
    S&P 5001105.987445.72

    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
      HSCEI12334.828475.32
      iShares MSCI Emerging Markets (EEM)40.3666.03

      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 1005322.3610443.47
        S&P GSCI CrudeOil Excess Return541.28245.917

        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 1005188.4310443.47
          S&P GSCI CrudeOil Excess Return478.1546245.917

          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 1005242.5710443.47
            S&P 5001079.67445.72

            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 1005242.5710443.47
              S&P 5001079.67445.72

              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 1005242.5710443.47
                S&P 5001079.67445.72

                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 1004850.8910443.47
                  S&P 5001026.137445.72

                  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 1004850.8910443.47
                  S&P 5001026.137445.72

                  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 1004850.8910443.47
                  S&P 5001026.137445.72

                  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 1004576.6110443.47
                  S&P 500979.267445.72

                  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 1004417.7210443.47
                  S&P 500919.147445.72

                  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 1003898.910443.47
                  S&P 500815.947445.72

                  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 1004722.210443.47
                  S&P 5001007.17445.72

                  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 1004307.6110443.47
                    S&P 500869.897445.72

                    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 1004307.6110443.47
                      S&P 500869.897445.72

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

                      EXPAND CLOSE
                      Nomura FTSE-S&P Autocall Feb 09 USD
                      ISIN: XS0408783941
                      STRIKE DATE: 09/02/2009
                      INDICATIVE PRICE: Not available
                      STATUS: Matured
                      FACTSHEET: DOWNLOAD

                      COUNTERPARTY Nomura
                      TYPE Note
                      CURRENCY USD
                      CURRENT PRICE Not available

                      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                      FTSE 1004307.6110443.47
                      S&P 500869.897445.72

                      STRIKE DATE 09/02/2009
                      RETURN & BARRIERS
                      13.50% Coupon
                      P.A. RETURN
                      ISIN XS0408783941
                      NEXT POTENTIAL MATURITY DATE 09/02/2010

                      EXPAND CLOSE
                      Nomura FTSE-S&P Autocall Dec 08 GBP
                      ISIN: XS0397369009
                      STRIKE DATE: 19/12/2008
                      INDICATIVE PRICE: Not available
                      STATUS: Matured
                      FACTSHEET: DOWNLOAD

                      COUNTERPARTY Nomura
                      TYPE Note
                      CURRENCY GBP
                      CURRENT PRICE Not available

                      UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                      FTSE 1004286.9310443.47
                      S&P 500887.887445.72

                      STRIKE DATE 19/12/2008
                      RETURN & BARRIERS
                      15.5% coupon.
                      P.A. RETURN
                      ISIN XS0397369009
                      NEXT POTENTIAL MATURITY DATE 19/12/2009

                      EXPAND CLOSE