INTERNATIONAL PRODUCTS

PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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 1005302.910471.72
S&P 5001091.767431.46

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 1005455.3710471.72
    S&P 5001136.037431.46

    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 1005455.3710471.72
      United States Oil Fund38.37125.43

      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 1005158.8510471.72
        S&P GSCI CrudeOil Excess Return482.3726217.311

        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 1005455.3710471.72
        S&P GSCI CrudeOil Excess Return544.13217.311

        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 5001117.517431.46
          HSCEI11622.78374.43

          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 1005322.3610471.72
          S&P 5001105.987431.46

          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
            HSCEI12334.828374.43
            iShares MSCI Emerging Markets (EEM)40.3667.88

            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 1005322.3610471.72
              S&P GSCI CrudeOil Excess Return541.28217.311

              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 1005188.4310471.72
                S&P GSCI CrudeOil Excess Return478.1546217.311

                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 1005242.5710471.72
                  S&P 5001079.67431.46

                  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 1005242.5710471.72
                    S&P 5001079.67431.46

                    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 1005242.5710471.72
                      S&P 5001079.67431.46

                      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 1004850.8910471.72
                        S&P 5001026.137431.46

                        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 1004850.8910471.72
                        S&P 5001026.137431.46

                        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 1004850.8910471.72
                        S&P 5001026.137431.46

                        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 1004576.6110471.72
                        S&P 500979.267431.46

                        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 1004417.7210471.72
                        S&P 500919.147431.46

                        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 1003898.910471.72
                        S&P 500815.947431.46

                        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 1004722.210471.72
                        S&P 5001007.17431.46

                        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