Structured Products Calendar

BANK OF AMERICA CORP.

• Floating-rate notes due May 28, 2020 linked to the Consumer Price Index; via Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Inc. and distributor Incapital LLC; settlement May 28

• 14-month 0% Relative Value Accelerated Return Notes linked to the Apple Inc./Technology Select Sector Long-Short index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% currency-linked step up notes due May 2012 linked to the Brazilian real relative to the euro; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 9% STEP Income Securities due June 2011 linked to the common stock of Caterpillar Inc.; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Market Index Target-Term Securities due May 2015 based on the Dow Jones Industrial Average; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Market Index Target-Term Securities due June 2015 based on the Dow Jones - UBS Commodity Index - Excess Return; via Merrill Lynch, Pierce, Fenner & Smith and First Republic Securities Co., LLC; pricing in May

• 0% Accelerated Return Notes due July 2011 linked to the FTSE/Xinhua China 25 index and the Bovespa index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 14-month 0% Accelerated Return Notes linked to the gold spot price; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 14-month 0% Relative Value Accelerated Return Notes linked to the Motorola, Inc./Technology Select Sector Long-Short index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Accelerated Return Notes due July 2011 linked to the performance of the PHLX Oil Service Sector index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• Six-month 0% Strategic Accelerated Redemption Securities linked to RBOB gasoline; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 53-week 10% STEP Income Securities linked to Research In Motion Ltd. common stock; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• Six-month 0% bear Accelerated Return Notes based on the performance of the Russell 2000 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 14-month 0% Accelerated Return Notes linked to the Russell 2000 index; Merrill Lynch, Pierce, Fenner & Smith and First Republic Securities Co., LLC; pricing in May

• 0% Strategic Accelerated Redemption Securities due November 2010 linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Strategic Accelerated Redemption Securities due June 2011 linked to the S&P 500 index; Merrill Lynch, Pierce, Fenner & Smith and First Republic Securities Co., LLC; pricing in May

• 14-month 0% Accelerated Return Notes linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 18-month 0% Accelerated Return notes linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% market-linked step up notes due May 2012 linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Accelerated Return Notes due May 2012 linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• Two-year 0% Strategic Accelerated Redemption Securities linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% Capped Leveraged Index Return Notes due May 2012 linked to the S&P 500 index; 90% trigger; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• Two-year 0% Accelerated Return Notes linked to the Energy Select Sector index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May or June

• 100% principal-protected notes due June 2022 linked to the 30-year and two-year Constant Maturity Swap rates; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in June

• Floating-rate notes due June 2017 based on the seven-year Constant Maturity Swap rate; via Merrill Lynch, Pierce, Fenner & Smith Inc. and its broker-dealer affiliate First Republic Securities Co., LLC; settlement in June

BANK OF AMERICA, NA

• Certificates of deposit due June 2015 linked to the stocks of Abercrombie & Fitch Co., Altria Group, Inc., Archer-Daniels-Midland Co., Barrick Gold Corp., Boeing Co., Caterpillar Inc., Deere & Co., General Electric Co., JPMorgan Chase & Co., McDonald's Corp., Monsanto Co., Nokia Corp., Reynolds American Inc., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Merrill Lynch, Pierce, Fenner & Smith Inc. and distributor Advisors Asset Management, Inc.; pricing in May

• Six-year 0% market participation certificates of deposit linked to the Dow Jones Industrial Average; via Merrill Lynch, Pierce, Fenner & Smith Inc. and Republic Securities Co., LLC; pricing in May

• Six-year 0% market participation certificates of deposit linked to the Dow Jones Industrial Average; via Merrill Lynch, Pierce, Fenner & Smith Inc. and Republic Securities Co., LLC and distributor Advisors Asset Management, Inc.; pricing in May

BARCLAYS BANK DELAWARE

• Certificates of deposit due May 27, 2015 linked to FedEx Corp., Time Warner Cable Inc., Mead Johnson Nutrition Co., Broadcom Corp., SanDisk Corp., Celanese Corp., Humana, Inc., Ford Motor Co., WellPoint, Inc., Yahoo! Inc., Newmont Mining Corp., News Corp., Aetna Inc., Schlumberger NV, UnitedHealth Group Inc., Mattel, Inc., Zions Bancorp., Cigna Corp, Genworth Financial, Inc. and Nvidia Corp.; via Barclays Capital Inc. and Advisors Asset Management, Inc.; pricing May 21

• Certificates of deposit due May 27, 2015 linked to soybeans, sugar, platinum, copper, lead, tin, nickel, palladium, zinc and gasoline RBOB; via Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing May 21

• 0.5%-1% certificates of deposit due May 27, 2015 linked to the S&P 500 index; via Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing May 21

• 0.5% certificates of deposit due May 27, 2015 linked to the S&P 500 index, the Brazilian real, the Dow Jones-UBS Commodity index and the Consumer Price Index; via Barclays Capital Inc. and Advisors Asset Management, Inc.; pricing May 21

• Certificates of deposit due May 27, 2015 linked to SunTrust Banks Inc. shares, Abercrombie & Fitch Co. class A shares, Research In Motion Ltd. shares, Nokia Corp. ADSs, Petroleo Brasileiro SA ADSs, Vodafone Group plc ADSs, Baidu Inc. ADSs, Barrick Gold Corp. shares, Panasonic Corp. ADSs and Teva Pharmaceuticals Industries Ltd. ADSs; via Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing May 21

• Certificates of deposit due May 27, 2015 linked to Tesoro Corp., Massey Energy Co., Iamgold Corp., Bank of America Corp., Prudential Financial, Inc., Advanced Micro Devices, Inc., Micron Technology, Inc., Deere & Co., Goodyear Tire & Rubber Co. and Office Depot, Inc.; via Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing May 21

BARCLAYS BANK PLC

• 0% buffered digital plus notes due May 24, 2012 linked to the South Korean won, Indonesian rupiah and Singapore dollar relative to the euro; via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.; pricing May 21

• 0% Performance Leveraged Upside Securities due June 28, 2011 linked to the S&P 500 index; via Morgan Stanley Smith Barney LLC; pricing May 24

• 11% reverse convertible notes due Nov. 30, 2010 linked to Abercrombie & Fitch Co. (Class A) stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due Nov. 30, 2010 linked to Activision Blizzard, Inc. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due Nov. 30, 2010 linked to AES Corp. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Akamai Technologies, Inc. stock; via Barclays Capital; pricing May 25

• 15.25% reverse convertible notes due Nov. 30, 2010 linked to AK Steel Holding Corp. stock; via Barclays Capital; pricing May 25

• 19% reverse convertible notes due Aug. 30, 2010 linked to AK Steel Holding Corp. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due Nov. 30, 2010 linked to Alcoa Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to Alcoa Inc. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Alcoa Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to Alpha Natural Resources, Inc. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due Nov. 30, 2010 linked to American Eagle Outfitters, Inc. stock; via Barclays Capital; pricing May 25

• 19% reverse convertible notes due Nov. 30, 2010 linked to Amylin Pharmaceuticals, Inc. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due Nov. 30, 2010 linked to Anadarko Petroleum Corp. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Apollo Group, Inc. (Class A) stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Apple Inc. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due May 27, 2011 linked to Alcoa Inc. stock; via Barclays Capital; pricing May 25

• 10.25% reverse convertible notes due May 27, 2011 linked to Alcoa Inc. stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due May 27, 2011 linked to Amazon.com, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to American Express Co. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to American Express Co. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due May 27, 2011 linked to Apple Inc. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due May 27, 2011 linked to Apple Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due May 27, 2011 linked to Apple Inc. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to Arch Coal, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Arena Resources, Inc. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to ArvinMeritor, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Baidu, Inc. (American depositary shares) stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due May 27, 2011 linked to Bank of America Corp. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Bank of America Corp. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due May 27, 2011 linked to Bank of America Corp. stock; via Barclays Capital; pricing May 25

• Zero-coupon non-principal-protected notes due May 27, 2011 linked to the Barclays Capital 30Y Treasury Futures index; via Barclays Capital Inc.; pricing May 25

• One-year 0% double short leverage securities due May 31, 2011 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing May 25

• Three-year 0% double short leverage securities due May 31, 2013 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Blackstone Group LP stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to Boeing Co. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due May 27, 2011 linked to Boston Scientific Corp. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due May 27, 2011 linked to Brinker International, Inc. stock; via Barclays Capital; pricing May 25

• 8.75% reverse convertible notes due May 27, 2011 linked to Broadcom Corp. (Class A) stock; via Barclays Capital; pricing May 25

• 13% reverse convertible notes due Nov. 30, 2010 linked to Bucyrus International, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Buffalo Wild Wings, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Bunge Ltd. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Aug. 30, 2010 linked to Cabot Oil & Gas Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Aug. 30, 2010 linked to Cameron International Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Aug. 30, 2010 linked to Capital One Financial Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Capital One Financial Corp. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due May 27, 2011 linked to Capital One Financial Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Caterpillar Inc. stock; via Barclays Capital; pricing May 25

• 11.5% reverse convertible notes due Nov. 30, 2010 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing May 25

• 11.2% reverse convertible notes due Aug. 30, 2010 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing May 25

• 9.15% reverse convertible notes due Aug. 30, 2010 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing May 25

• 11.75% reverse convertible notes due Nov. 30, 2010 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due May 27, 2011 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to CB Richard Ellis Group, Inc (Class A) stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Cemex, S.A.B. De C.V. (American Depositary Shares) stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Aug. 30, 2010 linked to Century Aluminum Co. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Chicago Bridge & Iron Co. N.V. stock; via Barclays Capital; pricing May 25

• 0% autocallable optimization securities with contingent protection due June 1, 2011 linked to the common stock of Cisco Systems, Inc.; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing May 25

• 9.25% reverse convertible notes due May 27, 2011 linked to Citigroup Inc. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Aug. 30, 2010 linked to Clean Energy Fuels Corp. stock; via Barclays Capital; pricing May 25

• 17.5% reverse convertible notes due Aug. 30, 2010 linked to Cliffs Natural Resources Inc. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Coeur d'Alene Mines Corp. stock; via Barclays Capital; pricing May 25

• 11.5% reverse convertible notes due Nov. 30, 2010 linked to Consol Energy Inc. stock; via Barclays Capital; pricing May 25

• 16.5% reverse convertible notes due Nov. 30, 2010 linked to Continental Airlines, Inc. (Class B) stock; via Barclays Capital; pricing May 25

• 15.5% reverse convertible notes due Aug. 30, 2010 linked to Continental Airlines, Inc. (Class B) stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due Nov. 30, 2010 linked to Corning Inc. stock; via Barclays Capital; pricing May 25

• 12.5% reverse convertible notes due Nov. 30, 2010 linked to Cree, Inc. stock; via Barclays Capital; pricing May 25

• 13.5% reverse convertible notes due Nov. 30, 2010 linked to Dana Holding Corp. stock; via Barclays Capital; pricing May 25

• 14.5% reverse convertible notes due Aug. 30, 2010 linked to Delta Airlines, Inc. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to Delta Airlines, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Denbury Resources Inc. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due May 27, 2011 linked to Diana Shipping Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to Dillard's, Inc. (Class A) stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Discover Financial Services stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Dow Chemical Co. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Nov. 30, 2010 linked to DryShips Inc. stock; via Barclays Capital; pricing May 25

• 14.5% reverse convertible notes due Nov. 30, 2010 linked to Elan Corp., plc (American depositary shares) stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Eldorado Gold Corp. stock; via Barclays Capital; pricing May 25

• 0% Super Track notes due June 30, 2011 linked to Energy Select Sector SPDR fund; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of the Energy Select Sector SPDR fund; via Barclays Capital Inc.; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Ensco International Inc. (American Depositary Shares) stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to EOG Resources, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Expedia, Inc. stock; via Barclays Capital; pricing May 25

• 11.25% reverse convertible notes due Nov. 30, 2010 linked to Fifth Third Bancorp stock; via Barclays Capital; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of the Financial Select Sector SPDR fund; via Barclays Capital Inc.; pricing May 25

• Zero-coupon 100% principal-protected notes due May 31, 2016 linked to the Financial Select Sector SPDR fund; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 linked to Financial Select Sector SPDR fund; via Barclays Capital Inc.; pricing May 25

• 11.25% reverse convertible notes due Nov. 30, 2010 linked to First Solar, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Ford Motor Co. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due Nov. 30, 2010 linked to Ford Motor Co. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Ford Motor Co. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Forest Oil Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Foster Wheeler AG stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Freeport-McMoRan Copper & Gold Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Frontier Oil Corp. stock; via Barclays Capital; pricing May 25

• 16.5% reverse convertible notes due Nov. 30, 2010 linked to Fuel Systems Solutions, Inc. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Garmin Ltd. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Aug. 30, 2010 linked to Gerdau S.A. (American depositary shares) stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Goldcorp Inc. stock; via Barclays Capital; pricing May 25

• 8.75% reverse convertible notes due May 27, 2011 linked to Goldman Sachs Group, Inc. stock; via Barclays Capital; pricing May 25

• 11.25% reverse convertible notes due Nov. 30, 2010 linked to Goodyear Tire & Rubber Co. stock; via Barclays Capital; pricing May 25

• 12.5% reverse convertible notes due Nov. 30, 2010 linked to Green Mountain Coffee Roasters, Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Aug. 30, 2010 linked to Guess?, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Halliburton Co. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Hartford Financial Services Group, Inc. stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to Hess Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Holly Corp. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Iamgold Corp. stock; via Barclays Capital; pricing May 25

• 15.5% reverse convertible notes due Nov. 30, 2010 linked to IMAX Corp. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to International Paper Co. stock; via Barclays Capital; pricing May 25

• 18.5% reverse convertible notes due Aug. 30, 2010 linked to InterOil Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Interpublic Group of Cos., Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to the iShares Dow Jones U.S. Real Estate index fund; 75% trigger; via Barclays Capital Inc.; pricing May 25

• 0% buffered Super Track notes due Nov. 30, 2011 linked to the iShares Dow Jones U.S. Real Estate index fund with 14.5%-18.5% cap; via Barclays Capital Inc.; pricing May 25

• 0% buffered Super Track notes due Nov. 30, 2011 linked to the iShares Dow Jones U.S. Real Estate index fund with 18.5%-22.75% cap; via Barclays Capital Inc.; pricing May 25

• 6.25% reverse convertible notes due Nov. 30, 2010 linked to the iShares MSCI EAFE index fund; 75% trigger; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 linked to iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the iShares MSCI EAFE index fund with maximum return of 27%-32%; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the iShares MSCI EAFE index fund with maximum return of 22.5%-27%; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of the iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing May 25

• 8.5% reverse convertible notes due Nov. 30, 2010 linked to the iShares MSCI Emerging Markets index fund; 75% trigger; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of the iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 linked to iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing May 25

• 0% buffered Super Track notes due Nov. 30, 2011 linked to the iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing May 25

• 6% reverse convertible notes due Nov. 30, 2010 linked to the iShares Russell 2000 index fund; 75% trigger; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the iShares Russell 2000 index fund with maximum return of 16.5%-20.25%; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of the iShares Russell 2000 index fund; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the iShares Russell 2000 index fund with maximum return of 20.25%-24.25%; via Barclays Capital Inc.; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Janus Capital Group Inc. stock; via Barclays Capital; pricing May 25

• 10.75% reverse convertible notes due Nov. 30, 2010 linked to Janus Capital Group Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Janus Capital Group Inc. stock; via Barclays Capital; pricing May 25

• 0% Super Track Notes due Feb. 28, 2012 linked to the performance of the Japanese yen per British pound exchange rate; via Barclays Capital Inc.; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to J.C. Penney Co., Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Jones Apparel Group, Inc. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to Joy Global Inc. stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to JPMorgan Chase & Co. stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to JPMorgan Chase & Co. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to KeyCorp stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Kinross Gold Corp. stock; via Barclays Capital; pricing May 25

• 17% reverse convertible notes due Nov. 30, 2010 linked to Las Vegas Sands Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Leap Wireless International, Inc. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due Nov. 30, 2010 linked to Lexmark International, Inc. stock; via Barclays Capital; pricing May 25

• 10.75% reverse convertible notes due Aug. 30, 2010 linked to Lincoln National Corp. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Lions Gate Entertainment Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Live Nation Entertainment, Inc. stock; via Barclays Capital; pricing May 25

• 8.75% reverse convertible notes due Nov. 30, 2010 linked to Macy's, Inc. stock; via Barclays Capital; pricing May 25

• 15% reverse convertible notes due Nov. 30, 2010 linked to Mariner Energy, Inc. stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due Nov. 30, 2010 linked to the Market Vectors Gold Miners index fund; 75% trigger; via Barclays Capital Inc.; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Marvell Technology Group Ltd. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Aug. 30, 2010 linked to McMoRan Exploration Co. stock; via Barclays Capital; pricing May 25

• 14.5% reverse convertible notes due Nov. 30, 2010 linked to Memc Electronic Materials, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to MetLife, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Morgan Stanley stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due May 27, 2011 linked to Morgan Stanley stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Mosaic Co. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due May 27, 2011 linked to Motorola, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Myriad Genetics, Inc. stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due Nov. 30, 2010 linked to Nabors Industries Ltd. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to National Oilwell Varco, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Navistar International Corp. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to Netflix, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Newfield Exploration Co. stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due Nov. 30, 2010 linked to Noble Corp. stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to Nucor Corp. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Nvidia Corp. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due May 27, 2011 linked to Och-Ziff Capital Management Group Llc (Class A) stock; via Barclays Capital; pricing May 25

• 14.5% reverse convertible notes due Aug. 30, 2010 linked to Office Depot, Inc. stock; via Barclays Capital; pricing May 25

• 15% reverse convertible notes due Nov. 30, 2010 linked to OfficeMax Inc. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Parexel International Corp. stock; via Barclays Capital; pricing May 25

• 16% reverse convertible notes due Aug. 30, 2010 linked to Patriot Coal Corp. stock; via Barclays Capital; pricing May 25

• 10.75% reverse convertible notes due Nov. 30, 2010 linked to Patterson-UTI Energy, Inc. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Petrohawk Energy Corp. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Plains Exploration & Production Co. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Potash Corp. of Saskatchewan Inc. stock; via Barclays Capital; pricing May 25

• 11.75% reverse convertible notes due Nov. 30, 2010 linked to priceline.com Inc. stock; via Barclays Capital; pricing May 25

• 13.5% reverse convertible notes due Nov. 30, 2010 linked to Principal Financial Group, Inc. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Nov. 30, 2010 linked to Rambus Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Range Resources Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Aug. 30, 2010 linked to Regions Financial Corp. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Research In Motion Ltd. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Rio Tinto plc stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Rowan Cos., Inc. stock; via Barclays Capital; pricing May 25

• 12.75% reverse convertible notes due Nov. 30, 2010 linked to Royal Bank of Scotland Group plc (American depositary shares) stock; via Barclays Capital; pricing May 25

• 13.5% reverse convertible notes due Nov. 30, 2010 linked to Royal Caribbean Cruises Ltd. stock; via Barclays Capital; pricing May 25

• 0% annual autocallable notes due May 31, 2013 linked to the Russell 2000 index; 70% trigger; via Barclays Capital Inc.; pricing May 25

• Zero-coupon 100% principal-protected notes due May 31, 2013 linked to the S&P 500 index; via Barclays Capital Inc.; pricing May 25

• Zero-coupon 100% principal-protected notes due May 31, 2016 based on the S&P 500 index; via Barclays Capital Inc.; pricing May 25

• 0% knock-out Super Track notes due Nov. 30, 2011 linked to the S&P 500 index; 80% trigger; via Barclays Capital Inc.; pricing May 25

• 0% buffered Super Track digital notes due May 31, 2012 based on S&P 500 index; 90% trigger; via Barclays Capital Inc.; pricing May 25

• Zero-coupon 100% principal-protected notes due May 31, 2016 linked to the S&P BRIC 40 index; via Barclays Capital Inc.; pricing May 25

• 0% notes due May 29, 2015 linked to the S&P 500 Dynamic Veqtor Total Return index; via Barclays Capital Inc.; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Saks Inc. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to SanDisk Corp. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Aug. 30, 2010 linked to Savvis, Inc. stock; via Barclays Capital; pricing May 25

• 15% reverse convertible notes due Aug. 30, 2010 linked to Savvis, Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to Savvis, Inc. stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Nov. 30, 2010 linked to Seagate Technology stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Aug. 30, 2010 linked to Seagate Technology stock; via Barclays Capital; pricing May 25

• 11.5% reverse convertible notes due Aug. 30, 2010 linked to Seagate Technology stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due Nov. 30, 2010 linked to Silver Wheaton Corp. stock; via Barclays Capital; pricing May 25

• 8.5% reverse convertible notes due Nov. 30, 2010 linked to Simon Property Group, Inc. stock; via Barclays Capital; pricing May 25

• 11.5% reverse convertible notes due May 27, 2011 linked to Skyworks Solutions, Inc. stock; via Barclays Capital; pricing May 25

• 8.75% reverse convertible notes due Nov. 30, 2010 linked to Smithfield Foods, Inc. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to SolarWinds, Inc. stock; via Barclays Capital; pricing May 25

• 9.5% reverse convertible notes due Nov. 30, 2010 linked to Solutia Inc. stock; via Barclays Capital; pricing May 25

• 0% Super Track digital plus notes due May 29, 2012 linked to the South Korean won, Indonesian rupiah and Singapore dollar relative to the euro; via Barclays Capital Inc.; pricing May 25

• 10.75% reverse convertible notes due Nov. 30, 2010 linked to Southwestern Energy Co. stock; via Barclays Capital; pricing May 25

• 8.75% reverse convertible notes due May 27, 2011 linked to Southwestern Energy Co. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Southwestern Energy Co. stock; via Barclays Capital; pricing May 25

• 0% Super Track notes due June 30, 2011 based on the performance of SPDR S&P 500 exchange-traded fund trust; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the SPDR S&P 500 ETF Trust with maximum return of 14.75%-18.5%; via Barclays Capital Inc.; pricing May 25

• 0% Super Track notes due Nov. 30, 2011 linked to the SPDR S&P 500 ETF Trust with maximum return of 18.5%-22.75%; via Barclays Capital Inc.; pricing May 25

• 8.5% reverse convertible notes due May 27, 2011 linked to Starwood Hotels & Resorts Worldwide, Inc. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Steel Dynamics, Inc. stock; via Barclays Capital; pricing May 25

• 17.5% reverse convertible notes due Aug. 30, 2010 linked to Stillwater Mining Co. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Aug. 30, 2010 linked to Stillwater Mining Co. stock; via Barclays Capital; pricing May 25

• 15.75% reverse convertible notes due Nov. 30, 2010 linked to Stillwater Mining Co. stock; via Barclays Capital; pricing May 25

• 18% reverse convertible notes due Aug. 30, 2010 linked to Stillwater Mining Co. stock; via Barclays Capital; pricing May 25

• 19% reverse convertible notes due Nov. 30, 2010 linked to Stillwater Mining Co. stock; via Barclays Capital; pricing May 25

• 14.5% reverse convertible notes due Nov. 30, 2010 linked to Suntech Power Holdings Co., Ltd. stock; via Barclays Capital; pricing May 25

• 13.75% reverse convertible notes due Aug. 30, 2010 linked to Suntech Power Holdings Co., Ltd. (American depositary shares) stock; via Barclays Capital; pricing May 25

• 11% reverse convertible notes due Aug. 30, 2010 linked to SunTrust Banks, Inc. stock; via Barclays Capital; pricing May 25

• 9.75% reverse convertible notes due Nov. 30, 2010 linked to SunTrust Banks, Inc. stock; via Barclays Capital; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to SunTrust Banks, Inc. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Superior Energy Services, Inc. stock; via Barclays Capital; pricing May 25

• 11.25% reverse convertible notes due May 27, 2011 linked to Superior Energy Services, Inc. stock; via Barclays Capital; pricing May 25

• 13% reverse convertible notes due Nov. 30, 2010 linked to Talbots, Inc. stock; via Barclays Capital; pricing May 25

• 10.25% reverse convertible notes due May 27, 2011 linked to Tempur-Pedic International Inc. stock; via Barclays Capital; pricing May 25

• 9.25% reverse convertible notes due Aug. 30, 2010 linked to Terex Corp. stock; via Barclays Capital; pricing May 25

• 13% reverse convertible notes due Nov. 30, 2010 linked to Terex Corp. stock; via Barclays Capital; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to Tesoro Corp. stock; via Barclays Capital; pricing May 25

• 19% reverse convertible notes due Nov. 30, 2010 linked to TiVo Inc. stock; via Barclays Capital; pricing May 25

• 19.25% reverse convertible notes due Aug. 30, 2010 linked to Trina Solar Ltd. (American depositary shares) stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Nov. 30, 2010 linked to TRW Automotive Holdings Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Tupperware Brands Corp. stock; via Barclays Capital; pricing May 25

• 20% reverse convertible notes due Aug. 30, 2010 linked to UAL Corp. stock; via Barclays Capital; pricing May 25

• 19% reverse convertible notes due Nov. 30, 2010 linked to UAL Corp. stock; via Barclays Capital; pricing May 25

• 14% reverse convertible notes due Aug. 30, 2010 linked to United Rentals, Inc. stock; via Barclays Capital; pricing May 25

• 15.25% reverse convertible notes due Nov. 30, 2010 linked to United States Steel Corp. stock; via Barclays Capital; pricing May 25

• 8.25% reverse convertible notes due May 27, 2011 linked to U.S. Bancorp stock; via Barclays Capital; pricing May 25

• 15% reverse convertible notes due Aug. 30, 2010 linked to USG Corp. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to UnitedHealth Group Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Vale S.A. (American depositary shares) stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to Valero Energy Corp. stock; via Barclays Capital; pricing May 25

• 15% reverse convertible notes due Aug. 30, 2010 linked to Vertex Pharmaceuticals Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due Nov. 30, 2010 linked to VMware, Inc. (Class A) stock; via Barclays Capital; pricing May 25

• 12.25% reverse convertible notes due Nov. 30, 2010 linked to Walter Energy, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Weatherford International Ltd. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due May 27, 2011 linked to Wells Fargo & Co. stock; via Barclays Capital; pricing May 25

• 8% reverse convertible notes due Aug. 30, 2010 linked to Whole Foods Market, Inc. stock; via Barclays Capital; pricing May 25

• 9% reverse convertible notes due May 27, 2011 linked to Wilmington Trust Corp. stock; via Barclays Capital; pricing May 25

• 10.25% reverse convertible notes due Nov. 30, 2010 linked to Wynn Resorts, Ltd. stock; via Barclays Capital; pricing May 25

• 10.5% reverse convertible notes due May 27, 2011 linked to Yamana Gold, Inc. stock; via Barclays Capital; pricing May 25

• 13% reverse convertible notes due Aug. 30, 2010 linked to Zions Bancorporation stock; via Barclays Capital; pricing May 25

• 0% buffered Super Track digital notes due June 1, 2012 linked to the S&P 500 index; via Barclays Capital Inc.; pricing May 28

• Five-year 0% bearish notes linked to the Barclays Capital 10Y Treasury Futures index; via Barclays Capital Inc.; pricing in May

• Seven-year capped floating-rate notes linked to the five-year Constant Maturity Swap rate; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% bearish notes due June 9, 2014 linked to the Barclays Capital 10Y Treasury Futures index; via Barclays Capital Inc.; pricing June 4

• 0% buffered Super Track notes due June 11, 2012 linked to the Dow Jones - UBS Commodity index; via Barclays Capital Inc.; pricing June 4

• Buffered iSuper Track notes due June 11, 2012 linked to the iShares Dow Jones U.S. Real Estate index fund; via Barclays Capital Inc.; pricing June 4

• 0% Knock-In Super Track notes due June 10, 2013 linked to the S&P 500 index; via Barclays Capital Inc.; pricing June 4

• 0% buffered Super Track notes due June 16, 2015 linked to the S&P 500 index; via Barclays Capital Inc.; pricing June 11

• One-year 0% double short leverage securities due July 1, 2011 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing June 25

• Three-year 0% double short leverage securities due June 28, 2013 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing June 25

• 0% notes due July 2, 2015 linked to the S&P 500 Dynamic Veqtor Total Return index; via Barclays Capital Inc.; pricing June 29

CITIBANK, NA

• Market-linked certificates of deposit due May 26, 2016 linked to the common stocks of Amazon.com, Inc., American Tower Corp., Bank of America Corp., Chevron Corp., Deere & Co., Dow Chemical Co., Duke Energy Corp., Entergy Corp., Freeport-McMoRan Copper & Gold Inc., Home Depot, Inc., International Business Machines Corp., Johnson & Johnson, JPMorgan Chase & Co., Lockheed Martin Corp., Merck & Co., Microsoft Corp., Philip Morris International Inc., Schlumberger NV (Schlumberger Ltd.), Sprint Nextel Corp. and Wal-Mart Stores, Inc.; via Citigroup Global Markets Inc. and distribtor Morgan Stanley Smith Barney; pricing May 24

CITIGROUP FUNDING, INC.

• 0% buffered performance securities due June 2011 linked to the iShares MSCI Emerging Markets index fund; via Citigroup Global Markets Inc.; pricing May 21

• 0% buffered performance securities due May 2012 linked to the iShares MSCI Emerging Markets index fund; via Citigroup Global Markets Inc.; pricing May 21

• 9%-13% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Halliburton Co.; via Citigroup Global Markets Inc.; pricing May 24

• 0% jump securities due June 28, 2011 linked to the iShares FTSE/Xinhua China 25 index fund; via Citigroup Global Markets Inc.; pricing May 24

• 0% buffered Performance Leveraged Upside Securities due May 29, 2012 linked to the iShares MSCI Emerging Markets index fund; via Citigroup Global Markets Inc.; pricing May 24

• 9%-11% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Yahoo! Inc.; via Citigroup Global Markets Inc.; pricing May 24

• 10%-12% Equity LinKed Securities due June 22, 2011 linked to the common stock of Advanced Micro Devices, Inc.; 70% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 10%-14% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Dow Chemical Co.; 75% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 0% buffered Performance Leveraged Upside Securities due Nov. 28, 2011 linked to the performance of the Dow Jones-UBS Commodity index; via Citigroup Global Markets Inc.; pricing May 25

• 10%-12% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Goldman Sachs Group, Inc.; 80% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 10%-14% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Harley-Davidson, Inc.; 75% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 10%-14% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of Principal Financial Group, Inc.; 75% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 11%-15% Equity LinKed Securities due Nov. 24, 2010 linked to the common stock of SunTrust Banks, Inc.; 75% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 11%-13% Equity LinKed Securities due June 22, 2011 linked to the common stock of United States Steel Corp.; 70% trigger; via Citigroup Global Markets Inc.; pricing May 25

• 10%-12% Equity LinKed Securities due June 22, 2011 linked to the common stock of Wynn Resorts, Ltd.; 70% trigger; via Citigroup Global Markets Inc.; pricing May 25

• Floating-rate notes due May 28, 2020 based on the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; settlement in May

• Non-callable principal-protected notes due May 26, 2020 based on the performance of the Consumer Price Index; via Citigroup Global Markets Inc.; pricing in May

• Zero-coupon principal-protected notes due May 26, 2016 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing in May

• Zero-coupon principal-protected notes due May 24, 2016 linked to the iShares MSCI Emerging Markets index fund and S&P MidCap 400 index; via Citigroup Global Markets Inc.; pricing in May

• Callable Libor range accrual notes due May 28, 2025; via Citigroup Global Markets Inc.; pricing in May

• 0% index-linked notes due 2015 based on the S&P 500 index; 60% trigger; via Citigroup Global Markets Inc.; pricing in May

CREDIT SUISSE AG, NASSAU BRANCH

• 0% enhanced participation securities due May 28, 2014 linked to the Credit Suisse Long/Short Liquid Index (Excess Net); via Credit Suisse Securities (USA) LLC; pricing May 21

• 0% Buffered Accelerated Return Equity Securities due Nov. 29, 2011 based on the Russell 2000 index; 10% trigger; via Credit Suisse Securities (USA) LLC; pricing May 21

• 0% Buffered Accelerated Return Equity Securities due Oct. 31, 2011 linked the S&P 500 index, iShares MSCI EAFE Index Fund, SPDR Midcap ETF Trust, iShares MSCI Emerging Markets index fund and iShares Russell 2000 index fund; via Credit Suisse Securities (USA) LLC; pricing May 21

• Zero-coupon principal-protected ProNotes due June 3, 2015 linked to the S&P 500 index, iShares Barclays TIPS Bond fund, iShares MSCI EAFE index fund, SPDR Gold trust and the iShares MSCI Emerging Markets index fund; via Credit Suisse Securities (USA) LLC; pricing May 23

• Variable-coupon principal-protected ProNotes due May 31, 2016 based on Apple Inc., ConocoPhillips, General Electric Co., JPMorgan Chase & Co., Lowe's Cos., Inc., Nucor Corp., Pfizer Inc., Procter & Gamble Co., Sempra Energy and Vodafone Group plc; via Credit Suisse Securities (USA) LLC; pricing May 25

• Zero-coupon bull/bear principal-protected ProNotes due Nov. 30, 2015 linked to the S&P 500 index and the iShares Barclays TIPS Bond fund; via Credit Suisse Securities (USA) LLC; pricing May 25

• Zero-coupon principal-protected ProNotes due Nov. 30, 2015 linked to the S&P 500 index, iShares Barclays TIPS Bond fund, iShares MSCI EAFE index fund, SPDR Gold trust and the iShares MSCI Emerging Markets index fund; via Credit Suisse Securities (USA) LLC; pricing May 25

• 9%-11% callable yield notes due Dec. 2, 2010 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing May 25

• 9%-11% callable yield notes due Dec. 3, 2010 linked to the S&P 500 index and the Market Vectors Gold Miners exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 25

• 8%-10% callable yield notes due May 31, 2011 linked to S&P 500 index and Market Vectors Gold Miners exchange-traded fund; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing May 25

• 8.75%-10.75% callable yield notes due May 31, 2011 linked to S&P 500 index and Market Vectors Gold Miners exchange-traded fund; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing May 25

• 7.5%-9.5% callable yield notes due June 3, 2011 linked to S&P 500 index and Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing May 25

• 0% Buffered Accelerated Return Equity Securities due June 3, 2014 linked to S&P 500 index, iShares MSCI EAFE index fund and S&P BRIC 40 index; 85% trigger; via Credit Suisse Securities (USA) LLC; pricing May 26

• 0% accelerated return currency securities due June 5, 2012 linked to the Australian dollar, Brazilian real, Canadian dollar and Norwegian krone relative to the euro; via Credit Suisse Securities (USA) LLC; pricing May 27

• 0% Buffered Accelerated Return Equity Securities due June 3, 2013 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 28

• Zero-coupon bull/bear principal-protected ProNotes due June 3, 2015 linked to the S&P 500 index and the iShares Barclays TIPS Bond fund; via Credit Suisse Securities (USA) LLC; pricing May 28

• 8%-10% callable yield notes due June 3, 2011 linked to the performance of the S&P 500 index and Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing May 28

• 7%-11% callable yield notes due Dec. 16, 2011 linked to the iShares MSCI Brazil index fund and the iShares MSCI Australia index fund; via Credit Suisse Securities (USA) LLC; pricing June 11

• 8%-12.5% callable yield notes due Dec. 16, 2011 linked to the iShares MSCI Brazil index fund and the iShares MSCI Australia index fund; via Credit Suisse Securities (USA) LLC; pricing June 11

• 7.5%-9.5% callable yield notes due May 31, 2011 linked to the S&P 500, Russell 2000 and S&P MidCap 400 indexes; via Credit Suisse Securities (USA) LLC

DEUTSCHE BANK AG, LONDON BRANCH

• 0% performance securities due May 29, 2012 linked to exchange rate of the Brazilian real relative to the euro; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing May 21

• 0% performance securities due May 29, 2012 linked to exchange rate of the Brazilian real relative to the euro; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing May 24

• Zero-coupon principal-protected notes due May 29, 2015 linked to the S&P 500 Monthly Risk Control 12% Excess Return index; via Deutsche Bank Securities Inc.; pricing May 24

• 0% buffered enhanced participation notes due Dec. 1, 2011 linked to a basket of currencies including the Brazilian real, Norwegian krone, Indonesian rupiah, Chinese renminbi and Singapore dollar relative to the U.S. dollar; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing May 25

• 0% alpha overlay securities due May 28, 2013 linked to the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing May 25

• 0% return optimization securities with contingent protection due May 31, 2013 linked to the iShares MSCI EAFE index fund and iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing May 25

• 0% capped Buffered Underlying Securities due May 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via Deutsche Bank Securities Inc.; pricing May 25

• 0% return optimization securities with contingent protection due May 31, 2013 linked to the S&P 500 index; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing May 25

• 8%-11% annualized yield optimization notes with contingent protection due Nov. 30, 2010 linked to the common stock of FedEx Corp.; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing May 26

• 10.5%-13.5% annualized yield optimization notes with contingent protection due Nov. 30, 2010 linked to the common stock of JPMorgan Chase & Co.; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing May 26

• Callable Libor range accrual notes due June 2, 2025; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing May 27

EKSPORTFINANS ASA

• 51-week 0% notes linked to the Brazilian real/dollar exchange rate; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% enhanced growth securities with capped upside due Sept. 1, 2011 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in May

• 0% Accelerated Return Notes due July 2011 linked to the MSCI EAFE index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 14-month 0% Accelerated Return Notes linked to the Rogers International Commodity Index - Excess Return; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 0% enhanced growth securities with leveraged upside and buffered downside due June 5, 2014 linked to the SPDR S&P 500 ETF trust, iShares MSCI EAFE index fund, iShares Russell 2000 index fund and iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in May

GOLDMAN SACHS GROUP, INC.

• 10-year swap rate-linked notes tied to the 10-year Constant Maturity Swap rate; via Goldman, Sachs & Co.

• Six-year 0% capped equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman, Sachs & Co.

• 13-month 0% notes linked to the Dow Jones - UBS Commodity index; via Goldman, Sachs & Co.

• 18-month 0% leveraged buffered index-linked notes linked to the iShares MSCI Emerging Markets index fund; 90% trigger; via Goldman, Sachs & Co.

• 24-month 0% leveraged buffered notes linked to the iShares MSCI Emerging Markets index fund; via Goldman, Sachs & Co.

• 18-month 0% leveraged buffered index-linked notes due Sept. 26, 2011 linked to the S&P 500 index; 88% trigger; via Goldman, Sachs & Co.

• 18- to 20-month 0% leveraged buffered index-linked notes linked to the S&P 500 index; 85% trigger; via Goldman, Sachs & Co.

• 28- to 30-month 0% equity index-linked notes tied to the S&P 500 index; via Goldman, Sachs & Co.

• 36- to 42-month 0% leveraged equity index-linked notes linked to the S&P 500 index; via Goldman, Sachs & Co.

• 24- to 27-month 0% leveraged index-linked notes based on the S&P BRIC 40 index; via Goldman, Sachs & Co.

HARRIS NA

• Principal-protected contingent annual income range certificates of deposit due May 31, 2016 linked to the common stocks of American Express Co., Coca-Cola Co., ConocoPhillips, Johnson & Johnson, Kraft Foods Inc., Moody's Corp., Procter & Gamble Co., U.S. Bancorp, Wal-Mart Stores Inc. and Wells Fargo & Co.; via distributor Incapital LLC; pricing May 25

• Principal-protected contingent semiannual payout certificates of deposit due May 28, 2015 linked to the common stocks of Apple Inc., Consolidated Edison, Inc., International Business Machines Corp., Deere & Co., Exxon Mobil Corp., Johnson & Johnson, Target Corp., Verizon Communications Inc., Wal-Mart Stores, Inc. and Wells Fargo & Co.; via distributor Incapital LLC; pricing May 25

• 0% certificates of deposit due May 31, 2016 linked to the Dow Jones - UBS Grains Subindex Excess Return, Dow Jones - UBS Petroleum Subindex Excess Return, Dow Jones - UBS Softs Subindex Excess Return, Dow Jones - UBS Livestock Subindex Excess Return, Dow Jones - UBS Precious Metals Subindex Excess Return and Dow Jones - UBS Industrial Metals Subindex Excess Return; via distributor Incapital LLC; pricing May 25

• Callable principal-protected certificates of deposit due May 28, 2015 based on the S&P 500 index; via Incapital LLC; pricing May 25

HSBC BANK USA, NA

• Annual income opportunity series 6 certificates of deposit due May 27, 2015 based on AT&T Inc., Boeing Co., Campbell Soup Co., Celgene Corp., Chubb Corp., Cigna Corp., E.I. DuPont de Nemours & Co., Freeport-McMoran Copper & Gold Inc., Microsoft Corp., Peabody Energy Corp., Qualcomm Inc. and Southern Co.; via HSBC Securities (USA) Inc.; pricing May 21

• 0% certificates of deposit with minimum return due May 26, 2016 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc. and distributor Advisors Asset Management, Inc.; pricing May 21

• Annual income opportunity series 6 certificates of deposit due May 27, 2016 based on AmBev ABV, Aluminum Corp. of China Ltd., Baidu, Inc., CNOOC Ltd., China Mobile Ltd., Icici Bank Ltd., Infosys Technologies Ltd., Mobile Telesystems, Mechel MTL, Petroleo Brasileiro SA, Tata Motors Ltd. and Vale SA; via HSBC Securities (USA) Inc.; pricing May 24

• Annual income opportunity series 6 certificates of deposit due May 31, 2013 based Apple Inc., Nokia Corp., Banco Bradesco SA, Potash Corp., EnCana Corp., Raytheon Co., GlaxoSmithKline plc, Taiwan Semiconductor Manufacturing Co. Ltd., Gold Fields Ltd., Teva Pharmaceutical Industries Ltd., Mechel and Unilever NV; via HSBC Securities (USA) Inc.; pricing May 25

• Annual income opportunity series 6 certificates of deposit due May 31, 2016 based on Apple Inc., Nokia Corp., Banco Bradesco SA, Potash Corp., EnCana Corp., Raytheon Co., GlaxoSmithKline plc, Taiwan Semiconductor Manufacturing Co. Ltd., Gold Fields Ltd., Teva Pharmaceutical Industries Ltd., Mechel and Unilever NV; via HSBC Securities (USA) Inc.; pricing May 25

• Annual income opportunity series 6 certificates of deposit due May 31, 2016 based on AT&T Inc., Boeing Co., Campbell Soup Co., Celgene Corp., Chubb Corp., Cigna Corp., E.I. DuPont de Nemours & Co., Freeport-McMoran Copper & Gold Inc., Microsoft Corp., Peabody Energy Corp., Qualcomm Inc. and Southern Co. ; via HSBC Securities (USA) Inc.; pricing May 25

HSBC USA INC.

• Three-year performance notes linked to the Brazilian real, Russian ruble, Indian rupee, Indonesian rupiah and the Chinese renminbi against the dollar; via HSBC Securities (USA) Inc.; pricing May 21

• Four-year performance notes linked to the Brazilian real, Russian ruble, Indian rupee, Indonesian rupiah and the Chinese renminbi against the dollar; via HSBC Securities (USA) Inc.; pricing May 21

• 0% notes due June 10, 2011 linked to a basket of buffered return enhanced components including the Euro Stoxx 50, FTSE 100 and Tokyo Stock Price indexes; via J.P. Morgan Securities Inc.; pricing May 21

• 0% market participation notes due May 27, 2016 linked to the Euro Stoxx 50, Hang Seng and S&P 500 indexes; via HSBC Securities (USA) Inc.; pricing May 21

• 8.5% to 11% yield optimization notes with contingent protection due May 31, 2011 based on General Electric Co. shares; 75% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due June 27, 2011 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due Aug. 26, 2011 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Aug. 26, 2011 based on the performance of the iShares MSCI Emerging Markets index fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Nov. 28, 2011 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing May 21

• 7%-10% callable yield notes due May 27, 2011 linked to the iShares MSCI Emerging Markets index fund and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 21

• 10%-12% callable yield notes due May 27, 2011 linked to the Market Vectors Gold Miners ETF and Energy Select SPDR fund; via HSBC Securities (USA) Inc.; pricing May 21

• 0% return enhanced notes due May 26, 2011 linked to Mexican peso and Canadian dollar versus euro; via J.P. Morgan Securities Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due June 27, 2011 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Aug. 26, 2011 based on the performance of the Russell 2000 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due Aug. 26, 2011 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Nov. 28, 2011 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due June 27, 2011 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Aug. 26, 2011 based on the performance of the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing May 21

• 0% Accelerated Market Participation Securities due Aug. 26, 2011 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 21

• 0% buffered Accelerated Market Participation Securities due Nov. 28, 2011 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 21

• Emerging currencies annual coupon opportunity notes due May 27, 2014 linked to the Turkish lira, Russian ruble, Indian rupee and Chinese renminbi; via HSBC Securities (USA) Inc.; pricing May 21

• 0% barrier multi-coupon securities due May 28, 2013 based on the performance of the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 24

• 0% return optimization securities with partial protection due Nov. 30, 2011 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing May 25

• 0% performance securities with contingent protection due May 29, 2015 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC USA Inc.; pricing May 25

• 0% best-of performance notes due June 3, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 28

• 0% Accelerated Market Participation Securities due May 2012 linked to the FTSE 100 index; via HSBC Securities (USA) Inc.; pricing in May

JPMORGAN CHASE BANK, NA

• Contingent coupon market-linked certificates of deposit due May 24, 2016 linked to copper, corn, gasoline RBOB, platinum, silver, soybeans, West Texas Intermediate crude oil, zinc, the S&P GSCI Wheat Index Excess Return and the S&P GSCI Livestock Index Excess Return; via J.P. Morgan Securities Inc. and distributor Morgan Stanley Smith Barney LLC; pricing May 24

• Contingent coupon certificates of deposit due May 31, 2016 linked to the stocks of Abbott Laboratories, Altria Group, Inc., Amazon.com, Inc., Bristol-Myers Squibb Co., Berkshire Hathaway Inc., Campbell Soup Co., Dow Chemical Co., Goldcorp Inc., Qualcomm Inc. and Wells Fargo & Co.; via J.P. Morgan Securities Inc. and distributor Incapital LLC; pricing May 25

• Digital contingent coupon certificates of deposit due May 31, 2016 linked to the stocks of Abbott Laboratories, Amazon.com, Inc., CVS Caremark Corp., Dell Inc., General Electric Co., Goldcorp Inc., Monsanto Co., Nike, Inc., Nokia Corp. and Reynolds American Inc.; via J.P. Morgan Securities Inc. and distributor Incapital LLC; pricing May 25

• Contingent coupon certificates of deposit due May 29, 2015 linked to Barrick Gold Corp., Amazon.com, Inc., LM Ericsson Telephone Co., General Mills, Inc., Merck & Co., Inc., Qualcomm Inc. Reynolds American Inc., Schlumberger NV, Molson Coors Brewing Co. and Wells Fargo & Co.; via J.P. Morgan Securities Inc. and Incapital LLC; pricing May 25

• Callable leveraged spread certificates of deposit due May 27, 2025 linked to the 10-year and two-year Constant Maturity Swap rates; via J.P. Morgan Securities Inc. and Incapital LLC; pricing May 25

• 0% equity-linked knock-out certificates of deposit due May 30, 2014 linked to the Dow Jones Industrial Average; via J.P. Morgan Securities Inc.; pricing May 25

• 0% equity-linked certificates of deposit due Nov. 30, 2015 linked to the Dow Jones Industrial Average; via J.P. Morgan Securities Inc.; pricing May 25

• 0% equity-linked certificates of deposit due May 31, 2016 linked to the Dow Jones Industrial Average; via J.P. Morgan Securities Inc.; pricing May 25

• 0% certificates of deposit due May 27, 2016 linked to the Dow Jones - UBS Commodity index; via J.P. Morgan Securities Inc.; pricing May 25

• 0% certificates of deposit due May 31, 2016 linked to the JPMorgan Efficiente (USD) index; via J.P. Morgan Securities Inc. and distributor Incapital LLC; pricing May 25

• 0% certificates of deposit due May 29, 2015 linked to the JPMorgan Optimax Market-Neutral index; via J.P. Morgan Securities Inc. and distributor Incapital LLC; pricing May 25

• 0% certificates of deposit due May 31, 2016 linked inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker; via J.P. Morgan Securities Inc.; pricing May 25

• 0% certificates of deposit due May 31, 2016 linked to the MSCI World index, the Dow Jones - UBS Commodity index and the JPMorgan GBI Global Bond Index Total Return hedged in dollars; via J.P. Morgan Securities Inc.; pricing May 25

JPMORGAN CHASE & CO.

• 0% capped market plus notes due Aug. 26, 2010 linked to Dow Jones - UBS Crude Oil 3 Month Forward sub-index; via J.P. Morgan Securities Inc.; pricing May 21

• 0% buffered Performance Leveraged Upside Securities due May 29, 2012 linked to the iShares MSCI EAFE index fund; 90% trigger; via J.P. Morgan Securities Inc.; pricing May 24

• 16.5% reverse convertible notes due Aug. 30, 2010 linked to AK Steel Holding Corp. stock; via JPMorgan; pricing May 25

• 11% reverse convertible notes due May 27, 2011 linked to Amazon.com, Inc. stock; via JPMorgan; pricing May 25

• 16.5% reverse convertible notes due Nov. 30, 2010 linked to Arch Coal, Inc. stock; via JPMorgan; pricing May 25

• 10.25% reverse convertible notes due May 27, 2011 linked to Baker Hughes Inc. stock; via JPMorgan; pricing May 25

• 10.75% reverse convertible notes due May 27, 2011 linked to Bank of America Corp. stock; via JPMorgan; pricing May 25

• 10.25% reverse convertible notes due May 27, 2011 linked to Chesapeake Energy Corp. stock; via JPMorgan; pricing May 25

• 13% reverse convertible notes due Aug. 30, 2010 linked to Citigroup Inc. stock; via JPMorgan; pricing May 25

• 9.25% reverse convertible notes due May 27, 2011 linked to Dow Chemical Co. stock; via JPMorgan; pricing May 25

• 18.5% reverse convertible notes due Aug. 30, 2010 linked to DryShips Inc. stock; via JPMorgan; pricing May 25

• 9.75% upside auto callable reverse exchangeable notes due May 27, 2011 linked to the common stock of Ford Motor Co.; via J.P. Morgan Securities Inc.; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Ford Motor Co. stock; via JPMorgan; pricing May 25

• 12.75% reverse convertible notes due Nov. 30, 2010 linked to Freeport-McMoRan Copper & Gold Inc. stock; via JPMorgan; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to GameStop Corp. stock; via JPMorgan; pricing May 25

• 10% reverse convertible notes due Nov. 30, 2010 linked to General Electric Co. stock; via JPMorgan; pricing May 25

• 0% buffered return enhanced notes due Nov. 30, 2011 linked to the iShares MSCI EAFE index fund; 90% trigger; via J.P. Morgan Securities Inc.; pricing May 25

• 15.75% reverse convertible notes due Nov. 30, 2010 linked to Joy Global Inc. stock; via JPMorgan; pricing May 25

• 26.75% reverse convertible notes due Aug. 30, 2010 linked to Massey Energy Co. stock; via JPMorgan; pricing May 25

• 10.25% reverse convertible notes due May 27, 2011 linked to Morgan Stanley stock; via JPMorgan; pricing May 25

• 17.75% reverse convertible notes due Nov. 30, 2010 linked to Netflix, Inc. stock; via JPMorgan; pricing May 25

• 12% reverse convertible notes due Nov. 30, 2010 linked to Research In Motion Ltd. stock; via JPMorgan; pricing May 25

• 0% buffered return enhanced notes due Nov. 30, 2011 linked to the Russell 2000 index; 90% trigger; via J.P. Morgan Securities Inc.; pricing May 25

• 11.25% reverse convertible notes due Aug. 30, 2010 linked to SanDisk Corp. stock; via JPMorgan; pricing May 25

• 0% buffered return enhanced notes due Nov. 30, 2011 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities Inc.; pricing May 25

• 0% buffered return enhanced notes due May 31, 2012 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities Inc.; pricing May 25

• 13.5% reverse convertible notes due Aug. 30, 2010 linked to Sprint Nextel Corp. stock; via JPMorgan; pricing May 25

• 15.75% reverse convertible notes due Aug. 30, 2010 linked to United States Steel Corp. stock; via JPMorgan; pricing May 25

• 12.25% reverse convertible notes due May 27, 2011 linked to Yamana Gold, Inc. stock; via JPMorgan; pricing May 25

• 8.5%-11% yield optimization notes with contingent protection due May 31, 2011 linked to the depositary receipts of the Oil Service Holdrs trust; via UBS Financial Services Inc. and J.P. Morgan Securities Inc.; pricing May 26

• 0% buffered return enhanced notes due Dec. 1, 2011 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities Inc.; pricing May 28

• 0% buffered return enhanced notes due Dec. 9, 2011 based on the iShares MSCI EAFE index fund; 85% trigger; via J.P. Morgan Securities Inc.; pricing June 4

• 0% buffered return enhanced notes due Dec. 9, 2011 based on the iShares MSCI Emerging Markets index fund; 85% trigger; via J.P. Morgan Securities Inc.; pricing June 4

• 0% buffered return enhanced notes due Dec. 9, 2011 based on the iShares Russell 2000 index fund; 85% trigger; via J.P. Morgan Securities Inc.; pricing June 4

• Zero-coupon principal-protected notes due June 9, 2015 linked to S&P 500, iShares Barclays TIPS Bond Fund, SPDR Gold Trust, iShares MSCI EAFE index fund and iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities Inc.; pricing June 4

MORGAN STANLEY

• 0% knock-out notes due Nov. 29, 2011 linked to the S&P 500 index; via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA; pricing May 21

• 0% knock-out notes due June 3, 2011 based on the S&P GSCI Excess Return index; via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA; pricing May 21

• 10%-12% Equity LinKed Securities due Nov. 23, 2010 based on Bank of America Corp. stock; via Morgan Stanley & Co. Inc.; pricing May 24

• 20%-23% annualized Equity LinKed Securities due Nov. 23, 2010 linked to the common stock of AMR Corp.; via Morgan Stanley & Co. Inc.; pricing in May

• Zero-coupon 90% principal-protected currency-linked notes due 2012 linked to the Brazilian real, Russian ruble, Indian rupee and Malaysian ringgit relative to the dollar; via Morgan Stanley & Co. Inc.; pricing in May

• Callable CMS curve-linked notes due May 27, 2030; via Morgan Stanley & Co. Inc.; pricing in May

• CMS curve and S&P 500 index-linked range accrual notes due June 2, 2025; via Morgan Stanley & Co. Inc.; pricing in May

• 0% Equity Leading Stockmarket Return Securities due May 24, 2013 linked to the Financial Select Sector SPDR fund; via Morgan Stanley & Co.; pricing in May

• 0% jump securities due June 24, 2011 linked to the PHLX Housing Sector index; via Morgan Stanley & Co.; pricing in May

• 0% buffered Performance Leveraged Upside Securities due May 24, 2012 linked to the S&P 500 index; via Morgan Stanley & Co. Inc.; pricing in May

• Senior floating-rate six-month Libor range accrual notes due June 7, 2025; via Morgan Stanley & Co.; settlement June 7

ROYAL BANK OF CANADA

• 13.25% reverse convertible notes due Aug. 31, 2010 linked to Alcoa Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 12.5% reverse convertible notes due Aug. 31, 2010 linked to American Express Co. stock; via RBC Capital Markets Corp.; pricing May 25

• 16.25% reverse convertible notes due Aug. 31, 2010 linked to Apollo Group, Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 14.75% reverse convertible notes due Aug. 31, 2010 linked to Apple Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 33.75% reverse convertible notes due Aug. 31, 2010 linked to ATP Oil & Gas Corp. stock; via RBC Capital Markets Corp.; pricing May 25

• 14.75% reverse convertible notes due Aug. 31, 2010 linked to Bank of America Corp. stock; via RBC Capital Markets Corp.; pricing May 25

• 21.75% reverse convertible notes due Aug. 31, 2010 linked to Continental Airlines Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• Direct investment notes due June 30, 2011 linked to the Cushing 30 MLP index; via RBC Capital Markets Corp.; pricing May 25

• 25% reverse convertible notes due Aug. 31, 2010 linked to DryShips Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 15% reverse convertible notes due Aug. 31, 2010 linked to First Solar, Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 13% reverse convertible notes due Aug. 31, 2010 linked to Ford Motor Co. stock; via RBC Capital Markets Corp.; pricing May 25

• 15% reverse convertible notes due Aug. 31, 2010 linked to Freeport-McMoRan Copper & Gold Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 12.9% reverse convertible notes due Aug. 31, 2010 linked to General Electric Co. stock; via RBC Capital Markets Corp.; pricing May 25

• 16% reverse convertible notes due Aug. 31, 2010 linked to Hartford Financial Services Group, Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 21% reverse convertible notes due Aug. 31, 2010 linked to Hutchinson Technology Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 21.5% reverse convertible notes due Aug. 31, 2010 linked to Joy Global Inc. stock; via RBC Capital Markets Corp.; pricing May 25

• 16% reverse convertible notes due Aug. 31, 2010 linked to Las Vegas Sands Corp. stock; via RBC Capital Markets Corp.; pricing May 25

• 16.75% reverse convertible notes due Aug. 31, 2010 linked to Sprint Nextel Corp. stock; via RBC Capital Markets Corp.; pricing May 25

• 18% reverse convertible notes due Aug. 31, 2010 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing May 25

• 18% reverse convertible notes due Aug. 31, 2010 linked to Wynn Resorts Ltd. stock; via RBC Capital Markets Corp.; pricing May 25

• Redeemable leveraged steepener notes due May 12, 2022; via RBC Capital Markets Corp.; pricing in May

• Redeemable leveraged steepener notes due May 28, 2030; via RBC Capital Markets Corp.; pricing in May

• 0% direct investment notes due July 11, 2011 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets Corp.; pricing June 3

• 17%-20.5% annualized reverse convertible notes due Sept. 10, 2010 linked to the common stock of Citigroup Inc.; 70% trigger; via RBC Capital Markets Corp.; pricing June 4

• 13.5%-16.5% annualized reverse convertible notes due Sept. 10, 2010 linked to the common stock of Freeport-McMoRan Copper & Gold, Inc.; 70% trigger; via RBC Capital Markets Corp.; pricing June 4

• 16.5%-19.5% annualized reverse convertible notes due Sept. 10, 2010 linked to the common stock of Halliburton Co.; 70% trigger; via RBC Capital Markets Corp.; pricing June 4

• 14%-16.5% annualized reverse convertible notes due Sept. 10, 2010 linked to the common stock of Lennar Corp.; 60% trigger; via RBC Capital Markets Corp.; pricing June 4

• 14%-16.5% annualized reverse convertible notes due Sept. 10, 2010 linked to the common stock of Wynn Resorts Ltd.; 65% trigger; via RBC Capital Markets Corp.; pricing June 4

• 13- to 15-month 0% buffered equity index-linked notes linked to the S&P 500 index; via Goldman, Sachs & Co.

ROYAL BANK OF SCOTLAND NV

• 17% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to AK Steel Holding Corp. shares; 70% trigger; via RBS Securities Inc.; pricing May 25

• 10.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Alcoa Inc. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 10.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Amazon.com Inc. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 14% reverse exchangeable securities due Nov. 30, 2010 linked to American Express Co. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 11.25% reverse exchangeable securities due Nov. 30, 2010 linked to Apple Inc. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 14.25% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Arch Coal Inc. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 14.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Bank of America Corp. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 10.25% reverse exchangeable securities due Nov. 30, 2010 linked to Boeing Co. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 11.75% reverse exchangeable securities due Nov. 30, 2010 linked to Caterpillar Inc. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 14% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Consol Energy Inc. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 10.25% reverse exchangeable securities due Nov. 30, 2010 linked to Corning Inc. common stock; 80% trigger; via RBS Securities Inc.; pricing May 25

• 14.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to DryShips Inc. shares; 65% trigger; via RBS Securities Inc.; pricing May 25

• 11% reverse exchangeable securities due Nov. 30, 2010 linked to General Electric Co. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 11.75% annualized reverse exchangeable securities due Aug. 31, 2010 linked to Genworth Financial, Inc. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 11% annualized Knock-In Reverse Exchangeable notes due Nov. 30, 2010 linked to Goldman Sachs Group, Inc. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 17.75% reverse exchangeable securities due Nov. 30, 2010 linked to Goodyear Tire & Rubber Co. common stock; 70% trigger; via RBS Securities Inc.; pricing May 25

• 10.75% annualized Knock-In Reverse Exchangeable notes due Nov. 30, 2010 linked to Harley-Davidson Inc.; 80% trigger; via RBS Securities Inc.; pricing May 25

• 16.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Joy Global Inc. shares; 70% trigger; via RBS Securities Inc.; pricing May 25

• 17.75% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to Lincoln National Corp. shares; 75% trigger; via RBS Securities Inc.; pricing May 25

• 18% reverse exchangeable securities due Nov. 30, 2010 linked to SunTrust Banks Inc. common stock; 70% trigger; via RBS Securities Inc.; pricing May 25

• 10.5% annualized reverse exchangeable securities due Aug. 31, 2010 linked to Titanium Metals Corp. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 18% annualized Knock-In Reverse Exchangeable notes due Aug. 31, 2010 linked to United States Steel Corp. shares; 70% trigger; via RBS Securities Inc.; pricing May 25

• 9.5% reverse exchangeable securities due Nov. 30, 2010 linked to Visa Inc. common stock; 80% trigger; via RBS Securities Inc.; pricing May 25

• 12.75% reverse exchangeable securities due Nov. 30, 2010 linked to Wells Fargo & Co. common stock; 75% trigger; via RBS Securities Inc.; pricing May 25

• 13.75% annualized reverse exchangeable securities due Aug. 31, 2010 linked to Wynn Resorts, Ltd. common stock; 80% trigger; via RBS Securities Inc.; pricing May 25

AB SVENSK EXPORTKREDIT

• 0% Capped Leveraged Index Return Notes due November 2011 linked to the price of palladium; 90% trigger; via Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC; pricing in May

• 18- to 21-month 0% equity index-linked notes tied to the MSCI EAFE index; via Goldman, Sachs & Co.

UBS AG

• 0% return optimization securities due May 29, 2012 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 21

• 0% return optimization securities due May 29, 2012 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 24

• 0% return optimization securities due May 29, 2012 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25

UBS AG, JERSEY BRANCH

• 0% performance securities due Nov. 30, 2011 linked to the Brazilian real, Russian ruble, Indian rupee and the Chinese renminbi; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25

• 0% return optimization securities with contingent protection due May 31, 2013 linked to the Dow Jones - UBS Commodity index; via UBS Financial Services Inc. and UBS Securities LLC; pricing May 25

• 0% performance securities with contingent protection due May 29, 2015 linked to the Dow Jones - UBS Commodity index; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25

• 0% performance securities due May 28, 2013 linked to the UBS V10 Currency Index with Volatility Cap; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25

UBS AG, LONDON BRANCH

• 10.4% reverse convertible notes due Nov. 30, 2010 linked to Alcoa Inc. common stock; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 11% annualized reverse convertible notes due Aug. 31, 2010 based on the performance of Allegheny Technologies Inc. shares; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 11.36% reverse convertible notes due May 31, 2011 linked to Boston Scientific Corp. shares; 75% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 14.25% reverse convertible notes due Nov. 30, 2010 linked to Cemex, SAB de CV American Depositary Shares; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 10.25% annualized reverse convertible notes due Aug. 31, 2010 based on the performance of Continental Airlines Inc. shares; 70% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 10.65% reverse convertible notes due Nov. 30, 2010 linked to Goldman Sachs Group, Inc. common stock; 75% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 0% autocallable optimization securities with contingent protection due June 1, 2011 linked to the Market Vectors Gold Miners exchange-traded fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25

• 11.75% reverse convertible notes due May 31, 2011 linked to Peabody Energy Corp. shares; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 10% reverse convertible notes due May 31, 2011 linked to Potash Corp. of Saskatchewan shares; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 0% barrier optimization securities with partial protection due June 30, 2011 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Securities LLC; pricing May 25

• 15% annualized reverse convertible notes due Aug. 31, 2010 based on the performance of Wynn Resorts, Ltd. shares; 80% trigger; via UBS Securities LLC and UBS Investment Bank; pricing May 25

• 7.5% to 10% yield optimization notes with contingent protection due May 31, 2011 based on Pfizer Inc. shares; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 26

• 8.5% to 11% yield optimization notes with contingent protection due May 31, 2011 based on Texas Instruments Inc. shares; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 26

UNION BANK, NA

• Zero-coupon principal-protected quarterly capped return market-linked certificates of deposit due Nov. 26, 2013 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing May 21

• Zero-coupon principal-protected capped return market-linked certificates of deposit due May 26, 2016 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing May 21

• Zero-coupon principal-protected market-linked certificates of deposit due Nov. 26, 2013 linked the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing May 24

• Zero-coupon principal-protected quarterly capped return market-linked certificates of deposit due Nov. 26, 2013 linked to the Dow Jones - UBS Commodity index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing May 24

WELLS FARGO BANK, NA

• Market-linked certificates of deposit due May 30, 2014 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi relative to the dollar; pricing May 21

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