INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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 1005743.9610679.99
HSCEI12557.48266.01
iShares MSCI Brazil (EWZ)73.3636.91

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 1005501.6410679.99
    S&P GSCI CrudeOil Excess Return478.1904260.455

    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 1005599.7610679.99
    S&P 5001138.77704.13

    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 5001138.77704.13
    S&P GSCI CrudeOil Excess Return562.806260.455

    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 1005354.5210679.99
      S&P GSCI CrudeOil Excess Return550.1260.455

      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 1005332.3910679.99
        S&P GSCI CrudeOil Excess Return509.6554260.455

        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 5001101.67704.13
        HSCEI119058266.01

        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
        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 1005302.910679.99
        S&P 5001091.767704.13

        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 1005455.3710679.99
          S&P 5001136.037704.13

          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 1005455.3710679.99
            United States Oil Fund38.37153.09

            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 1005158.8510679.99
              S&P GSCI CrudeOil Excess Return482.3726260.455

              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 1005455.3710679.99
              S&P GSCI CrudeOil Excess Return544.13260.455

              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 5001117.517704.13
                HSCEI11622.78266.01

                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 1005322.3610679.99
                S&P 5001105.987704.13

                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
                  HSCEI12334.828266.01
                  iShares MSCI Emerging Markets (EEM)40.3667.25

                  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 1005322.3610679.99
                    S&P GSCI CrudeOil Excess Return541.28260.455

                    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 1005188.4310679.99
                      S&P GSCI CrudeOil Excess Return478.1546260.455

                      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 1005242.5710679.99
                        S&P 5001079.67704.13

                        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 1005242.5710679.99
                          S&P 5001079.67704.13

                          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 1005242.5710679.99
                            S&P 5001079.67704.13

                            STRIKE DATE 23/10/2009
                            RETURN & BARRIERS
                            10% Coupon
                            P.A. RETURN
                            ISIN XS0451369143
                            NEXT POTENTIAL MATURITY DATE 25/10/2010

                              EXPAND CLOSE