INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
MS FTSE/S&P Sept 11 GBP
ISIN: XS0664545760
STRIKE DATE: 16/09/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005368.4110639.17
S&P 5001216.017408.3

STRIKE DATE 16/09/2011
RETURN & BARRIERS
10% p.a., 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0664545760
NEXT POTENTIAL MATURITY DATE 17/09/2012

EXPAND CLOSE
Citi FTSE/S&P Sept 10 GBP
ISIN: XS0528409708
STRIKE DATE: 17/09/2010
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Citi
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005508.510639.17
S&P 5001125.597408.3

STRIKE DATE 17/09/2010
RETURN & BARRIERS
10.5 p.a, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0528409708
NEXT POTENTIAL MATURITY DATE 17/09/2012

EXPAND CLOSE
Commerz China/Taiwan Dec 11 USD
ISIN: XS0705309531
STRIKE DATE: 15/12/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI9678.868352.67
iShares MSCI Taiwan241.84

STRIKE DATE 15/12/2011
RETURN & BARRIERS
8% Semi-annual, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0705309531
NEXT POTENTIAL MATURITY DATE 15/06/2012

EXPAND CLOSE
MS FTSE/Oil Oct 11 GBP
ISIN: XS0684497588
STRIKE DATE: 28/10/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005702.210639.17
S&P GSCI CrudeOil Excess Return515.34241.217

STRIKE DATE 28/10/2011
RETURN & BARRIERS
7.75% Semi, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0684497588
NEXT POTENTIAL MATURITY DATE 30/04/2012

EXPAND CLOSE
MS S&P/Oil Oct 11 USD
ISIN: XS0683840283
STRIKE DATE: 28/10/2011
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 5001285.367408.3
S&P GSCI CrudeOil Excess Return515.34241.217

STRIKE DATE 28/10/2011
RETURN & BARRIERS
8% Semi-annual, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0683840283
NEXT POTENTIAL MATURITY DATE 30/04/2012

EXPAND CLOSE
Commerz China/Taiwan Oct 11 USD
ISIN: XS0675427115
STRIKE DATE: 14/10/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI9584.838352.67
iShares MSCI Taiwan260.95

STRIKE DATE 14/10/2011
RETURN & BARRIERS
7% Semi, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0675427115
NEXT POTENTIAL MATURITY DATE 19/04/2012

EXPAND CLOSE
MS FTSE/Oil Sep 11 GBP
ISIN: XS0662933869
STRIKE DATE: 16/09/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005368.4110639.17
S&P GSCI CrudeOil Excess Return488.1026241.217

STRIKE DATE 16/09/2011
RETURN & BARRIERS
6% Semi-Annual, 100% Maturity, 50% Barrier (A)
P.A. RETURN
ISIN XS0662933869
NEXT POTENTIAL MATURITY DATE 16/03/2012

EXPAND CLOSE
MS FTSE/Oil Sep 11 USD
ISIN: XS0667410871
STRIKE DATE: 16/09/2011
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005368.4110639.17
S&P GSCI CrudeOil Excess Return488.1026241.217

STRIKE DATE 16/09/2011
RETURN & BARRIERS
7% Semi, 100% Maturity, 50% Barrier (E)
P.A. RETURN
ISIN XS0667410871
NEXT POTENTIAL MATURITY DATE 16/03/2012

EXPAND CLOSE
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 1005828.6710639.17
S&P 5001304.287408.3

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
HSCEI10299.588352.67
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 1005064.4710639.17
S&P 5001076.687408.3

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 1005250.8410639.17
HSCEI11622.78352.67
iShares MSCI Brazil (EWZ)67.236.17

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 1005250.8410639.17
HSCEI11622.78352.67
iShares MSCI Brazil (EWZ)67.236.17

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 1005163.6810639.17
S&P 5001091.67408.3
Eurostoxx 502638.316210.17

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 1005163.6810639.17
S&P 5001091.67408.3
Eurostoxx 502638.316210.17

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 1005741.3710639.17
S&P GSCI CrudeOil Excess Return500.3546241.217

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 5001217.287408.3
S&P GSCI CrudeOil Excess Return579.3137241.217

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 1005727.9110639.17
S&P GSCI CrudeOil Excess Return565.7701241.217

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 1005743.9610639.17
S&P 5001192.137408.3

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
HSCEI12758.238352.67
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