2013 Maturities

Note

Coupons

Maturity Date

Duration

1

RBS Autocallable 31

15.00%

07/01/2013

6 Months

2

MS EM Autocallable

16.00%

23/01/2013

6 Months

3

RBS Autocallable 32

13.50%

04/02/2013

6 Months

4

RBS Autocallable 24

16.25%

11/02/2013

12 Months

5

MS EM Autocallable

20.00%

13/02/2013

12 Months

6

RBS Autocallable 33

13.00%

28/02/2013

6 Months

7

RBS Autocallable 25

17.50%

11/03/2013

12 Months

8

MS Autocallable

16.75%

11/03/2013

12 Months

9

RBS Autocallable 34

14.00%

28/03/2013

6 Months

10

MS Autocallable

19.00%

15/04/2013

12 Months

11

RBS Autocallable 35

13.00%

26/04/2013

6 Months

12

Morgan Stanley Autocallable Note

18.75%

13/05/2013

12 Months

13

Morgan Stanley EM Autocallable Note

11.00%

16/05/2013

6 Months

14

RBS Autocallable 36

12.00%

23/05/2013

6 Months

15

RBS Autocallable 29

20.50%

27/05/2013

6 Months

16

Morgan Stanley Autocallable Income Note

13.25%

28/05/2013

6 Months

17

MS 5 Year Autocallable on 3 Indices

19.25%

10/06/2013

12 Months

18

RBS Autocallable 3

60.00%

01/07/2013

36 Months