INTERNATIONAL PRODUCTS

PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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
HSCEI12334.828103.27
iShares MSCI Emerging Markets (EEM)40.3663.96

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 1005322.3610840.35
    S&P GSCI CrudeOil Excess Return541.28268.082

    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 1005188.4310840.35
      S&P GSCI CrudeOil Excess Return478.1546268.082

      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 1005242.5710840.35
        S&P 5001079.67744.06

        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 1005242.5710840.35
          S&P 5001079.67744.06

          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 1005242.5710840.35
            S&P 5001079.67744.06

            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 1004850.8910840.35
              S&P 5001026.137744.06

              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 1004850.8910840.35
              S&P 5001026.137744.06

              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 1004850.8910840.35
              S&P 5001026.137744.06

              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 1004576.6110840.35
              S&P 500979.267744.06

              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 1004417.7210840.35
              S&P 500919.147744.06

              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 1003898.910840.35
              S&P 500815.947744.06

              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 1004722.210840.35
              S&P 5001007.17744.06

              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 1004307.6110840.35
                S&P 500869.897744.06

                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 1004307.6110840.35
                  S&P 500869.897744.06

                  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 1004307.6110840.35
                  S&P 500869.897744.06

                  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 1004286.9310840.35
                  S&P 500887.887744.06

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

                  EXPAND CLOSE
                  Nomura FTSE-S&P Autocall Dec 08 USD
                  ISIN: XS0397368704
                  STRIKE DATE: 19/12/2008
                  INDICATIVE PRICE: Not available
                  STATUS: Matured
                  FACTSHEET: DOWNLOAD

                  COUNTERPARTY Nomura
                  TYPE Note
                  CURRENCY USD
                  CURRENT PRICE Not available

                  UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                  FTSE 1004286.9310840.35
                  S&P 500887.887744.06

                  STRIKE DATE 19/12/2008
                  RETURN & BARRIERS
                  15% coupon
                  P.A. RETURN
                  ISIN XS0397368704
                  NEXT POTENTIAL MATURITY DATE 19/12/2009

                  EXPAND CLOSE
                  Nomura FTSE-S&P-China Autocall Jun 09 USD
                  ISIN: XS0426248455
                  STRIKE DATE: 12/06/2009
                  INDICATIVE PRICE: Not available
                  STATUS: Matured
                  FACTSHEET: DOWNLOAD

                  COUNTERPARTY Nomura
                  TYPE Note
                  CURRENCY USD
                  CURRENT PRICE Not available

                  UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                  FTSE 1004441.9510840.35
                  S&P 500946.217744.06
                  HSCEI11088.888103.27

                  STRIKE DATE 12/06/2009
                  RETURN & BARRIERS
                  6.75% every 6 months
                  P.A. RETURN
                  ISIN XS0426248455
                  NEXT POTENTIAL MATURITY DATE 12/12/2009

                  EXPAND CLOSE
                  Nomura FTSE-S&P-China Autocall Jun 09 GBP
                  ISIN: XS0426248612
                  STRIKE DATE: 12/06/2009
                  INDICATIVE PRICE: Not available
                  STATUS: Matured
                  FACTSHEET: DOWNLOAD

                  COUNTERPARTY Nomura
                  TYPE Note
                  CURRENCY GBP
                  CURRENT PRICE Not available

                  UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
                  FTSE 1004441.9510840.35
                  S&P 500946.217744.06
                  HSCEI11088.888103.27

                  STRIKE DATE 12/06/2009
                  RETURN & BARRIERS
                  6.% every 6 months
                  P.A. RETURN
                  ISIN XS0426248612
                  NEXT POTENTIAL MATURITY DATE 12/12/2009

                  EXPAND CLOSE