INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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 1005354.5210782.66
S&P GSCI CrudeOil Excess Return550.1251.469

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 1005332.3910782.66
    S&P GSCI CrudeOil Excess Return509.6554251.469

    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 5001101.67353.73
    HSCEI119058369.08

    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 1005302.910782.66
    S&P 5001091.767353.73

    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 1005455.3710782.66
      S&P 5001136.037353.73

      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 1005455.3710782.66
        United States Oil Fund38.37148.21

        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 1005158.8510782.66
          S&P GSCI CrudeOil Excess Return482.3726251.469

          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 1005455.3710782.66
          S&P GSCI CrudeOil Excess Return544.13251.469

          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 5001117.517353.73
            HSCEI11622.78369.08

            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 1005322.3610782.66
            S&P 5001105.987353.73

            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
              HSCEI12334.828369.08
              iShares MSCI Emerging Markets (EEM)40.3658.05

              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 1005322.3610782.66
                S&P GSCI CrudeOil Excess Return541.28251.469

                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 1005188.4310782.66
                  S&P GSCI CrudeOil Excess Return478.1546251.469

                  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 1005242.5710782.66
                    S&P 5001079.67353.73

                    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 1005242.5710782.66
                      S&P 5001079.67353.73

                      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 1005242.5710782.66
                        S&P 5001079.67353.73

                        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 1004850.8910782.66
                          S&P 5001026.137353.73

                          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 1004850.8910782.66
                          S&P 5001026.137353.73

                          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 1004850.8910782.66
                          S&P 5001026.137353.73

                          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 1004576.6110782.66
                          S&P 500979.267353.73

                          STRIKE DATE 24/07/2009
                          RETURN & BARRIERS
                          9% Coupon
                          P.A. RETURN
                          ISIN GG00B5BMZB50
                          NEXT POTENTIAL MATURITY DATE 26/07/2010

                          EXPAND CLOSE