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Published on 12/24/2012 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Fixed-to-floating notes due December 2022; via Bank of America Merrill Lynch; pricing in December

• 0% Accelerated Return Notes due February 2014 linked to a basket of stocks of Citigroup Inc., JPMorgan Chase & Co. and Wells Fargo & Co.; via Bank of America Merrill Lynch; pricing in December

• 0% Accelerated Return Notes due January 2015 linked to Citigroup Inc., American International Group, Inc. and Goldman Sachs Group, Inc.; via Bank of America Merrill Lynch; pricing in December

• 0% bear Strategic Accelerated Redemption Securities due January 2014 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in December

• Autocallable market-linked step-up notes due January 2016 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in December

• 0% Market Index Target-Term Securities due January 2019 linked to the Dow Jones industrial average; via Bank of America Merrill Lynch; pricing in January

• 0% currency-linked step-up notes due January 2015 tied to the Indian rupee measured against the dollar; via Bank of America Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due February 2014 linked to the Merrill Lynch Commodity index eXtra - Excess Return; via Bank of America Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due January 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• Market-linked step-up notes due January 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% Capped Leveraged Index Return Notes due January 2015 tied to a global equity basket consisting of the S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in January

BANK OF MONTREAL

• 0% autocallable cash-settled notes with step-up call price due Dec. 31, 2014 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RJV8

• 0% buffered bullish digital return notes due Dec. 31, 2015 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RJY2

• 0% buffered bullish enhanced return notes due Dec. 31, 2015 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RKB0

• 0% buffered bullish digital return notes due Dec. 31, 2015 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RJZ9

• 0% buffered bullish enhanced return notes due Dec. 31, 2015 linked to the S&P 500; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RKA2

• 0% autocallable barrier notes with step-up call price due Dec. 31, 2015 linked to the S&P 500 index; via BMO Capital Markets Corp; pricing Dec. 26; Cusip: 06366RJU0

• 0% buffered bullish digital return notes due Dec. 31, 2015 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RJX4

• 0% buffered bullish enhanced return notes due Dec. 31, 2015 linked to a basket containing the S&P 500 index and the iShares Russell 2000 index fund; via BMO Capital Markets Corp., pricing Dec. 26; Cusip: 06366RKC8

• 0% autocallable cash-settled notes with step-up call price due Dec. 31, 2014 linked to the SPDR Dow Jones industrial average ETF trust; via BMO Capital Markets Corp.; pricing Dec. 26; Cusip: 06366RJW6

• 0% senior medium-term notes, series B, due Jan. 28, 2014 linked to Raymond James Analysts' Best Picks for 2013; via BMO Capital Markets Corp.; settlement Jan. 23; Cusip: 06366RJT3

BARCLAYS BANK PLC

• Notes due Dec. 29, 2017 linked to S&P GSCI Sugar Index Excess Return, S&P GSCI Cocoa Index Excess Return, S&P GSCI Corn Index Excess Return, S&P GSCI Lean Hogs Index Excess Return, S&P GSCI Live Cattle Index Excess Return, S&P GSCI Precious Metals Index Excess Return, S&P GSCI Natural Gas Index Excess Return, S&P GSCI Lead Index Excess Return, S&P GSCI Nickel Index Excess Return and S&P GSCI Zinc Index Excess Return; via Barclays; pricing Dec. 26; Cusip: 06741TKZ9

• Notes due Dec. 31, 2019 linked to Starbucks Corp., Freeport-McMoRan Copper & Gold Inc., YUM! Brands, Inc., Eli Lilly and Co., Walgreen Co., Silver Wheaton Corp., Progressive Corp., Southern Copper Corp., Darden Restaurants, Inc. and Northeast Utilities, Inc.; via Barclays; pricing Dec. 26; Cusip: 06741TKY2

• 0% buffered digital plus notes due June 30, 2017 linked to the Dow Jones industrial average; via Barclays; pricing Dec. 27; Cusip: 06741TLN5

• Callable range accrual notes due Jan. 4, 2028 linked to the S&P 500 index; via Barclays; pricing Dec. 28; Cusip: 06741TLZ8

• 0% enhanced trigger jump securities due Jan. 3, 2018 linked to the S&P 500 index; 70% trigger; via Barclays with Morgan Stanley Smith Barney LLC; pricing Dec. 28; Cusip: 06742A313

• 0% Performance Leveraged Upside Securities due Feb. 3, 2014 linked to the S&P 500 index; via Barclays with Morgan Stanley Smith Barney LLC; pricing Dec. 28; Cusip: 06742A339

• Notes due June 2014 linked to a basket of five common stocks (Delek U.S. Holdings, Inc., HollyFrontier Corp., Marathon Petroleum Corp., Tesoro Corp. and Valero Energy Corp.); via Barclays; pricing in December; Cusip: 06741TLX3

• 0% Strategic Accelerated Redemption Securities due January 2014 linked to the common stock of General Electric Co.; via Bank of America Merrill Lynch; pricing in December

• Callable contingent coupon notes due 2014 linked to Baker Hughes Inc. shares; 55% trigger; via Barclays; pricing in December; Cusip: 06741JWD7

• Fixed-rate callable step-up notes due Jan. 3, 2030; via Barclays; settlement Jan. 3; Cusip: 06741TLU9

• 0% notes due Jan. 12, 2016 linked to the EquityCompass Share Buyback index; via Barclays; pricing Jan. 7; Cusip: 06741TLL9

• 0% buffered Super Track notes due 2018 linked to S&P 500 index, Russell 2000 index, iShares MSCI EAFE index fund, PowerShares DB Commodity Index Tracking fund, Consumer Staples Select Sector SPDR fund, iShares Dow Jones Select Dividend index fund, iShares iBoxx $ Investment Grade Corporate Bond fund, iShares MSCI Japan Index fund, iShares MSCI Emerging Markets index fund, Health Care Select Sector SPDR fund, PowerShares QQQ Trust, series 1 and iShares Barclays Treasury Inflation Protected Securities Bond fund; via Barclays; Cusip: 06741TKT3

CREDIT SUISSE AG, NASSAU BRANCH

• 0% absolute return barrier securities due March 30, 2015 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 24; Cusip: 22546TP70

• Daily range accrual notes due Jan. 3, 2017 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 26; Cusip: 22546TM57

• 0% Buffered Accelerated Return Equity Securities due Dec. 31, 2014 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 26; Cusip: 22546TL82

• High/low coupon callable yield notes due June 30, 2014 linked to the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing Dec. 26; Cusip: 22546TL58

• 0% digital plus barrier notes due Dec. 30, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 26; Cusip: 22546TL90

• High/low coupon callable yield notes due June 30, 2014 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Dec. 26; Cusip: 22546TL41

• 0% Buffered Accelerated Return Equity Securities due Dec. 30, 2015 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 27; Cusip: 22546TN31

• 0% Buffered Accelerated Return Equity Securities due July 3, 2014 linked to the iShares MSCI EAFE index fund; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546TM24

• High/low coupon callable yield notes due July 7, 2014 linked to the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546TL74

• 0% digital plus barrier notes due Jan. 4, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546TM32

• High/low coupon callable yield notes due July 7, 2014 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546TL66

• High/low coupon callable yield notes due July 7, 2014 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546TL66

• 0% autocallable securities due in three years linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing in December; Cusip: 22546TM65

• 0% buffered enhanced return equity securities due in 18 to 21 months linked to the performance of the Euro Stoxx 50 index and the euro relative to the dollar; via Credit Suisse Securities (USA) LLC; settlement in December; Cusip: 22546TQ20

• Capped Leveraged Index Return Notes due January 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due February 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

DEUTSCHE BANK AG, LONDON BRANCH

• 0% contingent return optimization securities due Dec. 31, 2014 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing Dec. 26; Cusip: 25154S679

• 0% buffered return optimization securities due Dec. 31, 2014 linked to the S&P 500 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 26; Cusip: 25154S661

• 0% capped buffered underlying securities due Dec. 31, 2014 linked to the S&P 500 index and the Russell 2000 index; via Deutsche Bank Securities Inc.; pricing Dec. 26; Cusip: 25152RAP8

• Fixed-to-floating notes due Dec. 28, 2020; via Deutsche Bank Securities Inc.; settlement Dec. 28; Cusip: 2515A1PJ4

GOLDMAN SACHS GROUP, INC.

• 0% trigger notes due Jan. 2, 2019 linked to the Morningstar Wide Moat Focus Target Volatility 20 index; via Goldman Sachs & Co.; pricing Dec. 27; Cusip: 38141GKF0

• Callable monthly Russell 2000 index-linked range accrual notes due Dec. 31, 2027; via Goldman Sachs & Co.; pricing Dec. 27; Cusip: 38141GLC6

• 0% leveraged buffered notes linked to the S&P 500 index due in 19 to 22 months; 90% trigger; via Goldman Sachs & Co.

• Two-year 0% index-linked notes tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; 60% trigger; via Goldman Sachs & Co.; Cusip: 38143AZ65

• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38141GKQ6

• Five-year 0% leveraged notes linked to the Morningstar Wide Moat Focus Target Volatility 5 index; via Goldman Sachs & Co.; Cusip: 38143U7B1

• Five-year 0% buffered notes linked to the Morningstar Wide Moat Focus Target Volatility 20 index; via Goldman Sachs & Co.; Cusip: 38141GGY4

• Five-year 0% buffered notes linked to the Morningstar Wide Moat Focus Target Volatility 20 index; via Goldman Sachs & Co.; Cusip: 38141GGZ1

• 0% leveraged notes linked to the MSCI EAFE index due in 18 to 21 months; via Goldman Sachs & Co.

• 0% buffered notes linked to the MSCI EAFE index due in 24 to 27 months; 85% trigger; via Goldman Sachs & Co.

• 0% leveraged notes due in 23-26 months linked to the MSCI EAFE index; via Goldman Sachs & Co.

• 0% leveraged notes linked to the MSCI EAFE index due in 25 to 28 months; via Goldman Sachs & Co.

• 20- to 23-month 0% buffered basket-linked notes tied to the MSCI EAFE index and the S&P 500 index; via Goldman, Sachs & Co.

• 0% leveraged buffered notes linked to MSCI EAFE index, the S&P 500 index, the S&P MidCap 400 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 38141GJV7

• 0% index-linked digital notes due in 13-15 months tied to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38141GHR8

• 13- to 24-month 0% autocallable buffered index-linked notes tied to the Russell 2000 index; via Goldman Sachs & Co.

• 0% digital notes tied to the Russell 2000 index due in 18 and 21 months; 80% trigger; via Goldman Sachs & Co.

• 0% index-linked digital notes due in 24 to 27 months tied to the Russell 2000 index; via Goldman Sachs & Co.

• 0% leveraged buffered index-linked notes due in 36 to 42 months tied to the S&P 100 index; via Goldman, Sachs & Co.

• 0% leveraged buffered index-linked notes due in 42 to 48 months tied to the S&P 100 index; via Goldman, Sachs & Co.; Cusip: 38143U7U9

• 0% leveraged notes due in 18-21 months linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% buffered notes linked to the S&P 500 index due in 18 and 21 months; 90% trigger; via Goldman Sachs & Co.

• 18- to 21-month 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 22- to 25-month 0% leveraged index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% leveraged index-linked notes due in two years tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38141GHT4

• 0% index-linked notes due in two years tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38141GLD4

• 0% leveraged notes linked to the S&P 500 index due in 24 and 27 months; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the S&P 500 index due in 24 and 27 months; 90% trigger; via Goldman Sachs & Co.; Cusip: 38147H486

• 0% leveraged buffered index-linked notes tied to the S&P 500 index due in 24 to 27 months; 90% trigger; via Goldman, Sachs & Co.

• 0% leveraged buffered notes linked to the S&P 500 index due in 24 and 27 months; 90% trigger; via Goldman Sachs & Co.

• 24- to 27-month 0% autocallable leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman, Sachs & Co.

• 0% leveraged index-linked notes due in 24 to 28 months tied to the S&P 500 index; via Goldman Sachs & Co.

• 25- to 28-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the S&P 500 index due in 26 to 30 months; 90% trigger; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the S&P 500 index due in 42 to 48 months; 70% trigger; via Goldman Sachs & Co.; Cusip: 38143U7U9

• Four-month 0% notes linked to the Topix index; via Goldman Sachs & Co.

• Three-month 0% notes linked to the Topix index; via Goldman Sachs & Co.

HSBC USA INC.

• 0% trigger performance securities due Dec. 29, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Dec. 26; Cusip: 40433T562

• 0% airbag performance securities due Dec. 30, 2022 linked to the S&P 500 index; 50% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing Dec. 26; Cusip: 40433T539

• 0% airbag performance securities due Dec. 30, 2022 linked to the Euro Stoxx 50 index; 50% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing Dec. 27; Cusip: 40433T521

• 0% trigger autocallable optimization securities due Dec. 29, 2017 linked to the iShares FTSE China 25 index fund; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Dec. 27; Cusip: 40433T513

• Fixed-to-floating notes due December 2022; via Bank of America Merrill Lynch; pricing in December

• Capped Leveraged Index Return Notes due February 2015 linked to the gold spot price; via Bank of America Merrill Lynch; pricing in January

• Capped Leveraged Index Return Notes due January 2015 linked to the PHLX Housing Sector index; via Bank of America Merrill Lynch; pricing in January

• Capped Leveraged Index Return Notes due January 2015 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in January

JPMORGAN CHASE & CO.

• 0% notes due March 29, 2018 linked to the JPMorgan ETF Efficiente 5 index; via J.P Morgan Securities LLC; pricing Dec. 26; Cusip: 48126DKE8

• Callable variable-rate range accrual notes due Dec. 31, 2027 linked to six-month Libor and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Dec. 26; Cusip: 48126DMB2

• 8.5% reverse convertible notes due Dec. 30, 2013 linked to Bank of America Corp. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQJ1

• 0% contingent absolute return autocallable optimization securities due Jan. 6, 2014 linked to Barrick Gold Corp. shares; 75% trigger; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48126E396

• 8% to 10% airbag autocallable yield optimization notes due Jan. 3, 2014 linked to Centene Corp. shares; via J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48124B782

• 8% reverse convertible notes due Dec. 30, 2013 linked to Citigroup Inc. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQK8

• 16% reverse convertible notes due March 28, 2013 linked to Cliffs Natural Resources Inc. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQC6

• 9% reverse convertible notes due Dec. 30, 2013 linked to Cummins Inc. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQH5

• 7% to 9% airbag autocallable yield optimization notes due Jan. 3, 2014 linked to General Motors Co. shares; via J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48124B774

• 10.75% reverse convertible notes due June 28, 2013 linked to Goodyear Tire & Rubber Co. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQE2

• 6% to 8% airbag autocallable yield optimization notes due Jan. 3, 2014 linked to Halliburton Co. shares; via J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48124B766

• 0% notes due Dec. 31, 2018 linked to the JPMorgan ETF Efficiente 5 index; via J.P Morgan Securities LLC; pricing Dec. 27; Cusip: 48126DKC2

• 9.5% reverse convertible notes due June 28, 2013 linked to Morgan Stanley stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQG7

• 0% contingent absolute return autocallable optimization securities due Jan. 6, 2014 linked to Morgan Stanley shares; 75% trigger; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48126E420

• 13.5% reverse convertible notes due March 28, 2013 linked to Netflix, Inc. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQD4

• 12.75% reverse convertible notes due March 28, 2013 linked to Peabody Energy Corp. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQB8

• 10.5% reverse convertible notes due June 28, 2013 linked to Silver Wheaton Corp. stock; via JPMorgan; pricing Dec. 27; Cusip: 48126DQF9

• Buffered autocallable optimization securities due Jan. 6, 2014 linked to the SPDR S&P 500 exchange-traded fund trust; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48126E388

• 0% contingent absolute return autocallable optimization securities due Jan. 6, 2014 linked to VMware Inc. shares; 75% trigger; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 27; Cusip: 48126E412

• 0% capped buffered return enhanced notes due Feb. 6, 2014 linked to SPDR S&P 500 exchange-traded fund trust, the iShares MSCI Emerging Markets index fund, Russell 2000 index and the iShares MSCI EAFE index fund; 90% trigger; via J.P. Morgan Securities LLC; pricing Jan. 2; Cusip: 48126DPU7

LLOYDS TSB BANK PLC

• Callable step-up fixed-rate notes due Dec. 27, 2032; via Bank of America Merrill Lynch; settlement Dec. 27; Cusip: 5394E8BJ7

MORGAN STANLEY

• Trigger contingent coupon optimization securities due Dec. 31, 2020 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing Dec. 26; Cusip: 61761H889

• Trigger contingent coupon optimization securities due Dec. 31, 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Dec. 26; Cusip: 61761M110

• Senior fixed-to-floating notes due Dec. 28, 2022; via Morgan Stanley & Co. LLC; settlement Dec. 28; Cusip: 61760QCD4

• 0% buffered Performance Leveraged Upside Securities due October 2014 linked to the price of corn; via Morgan Stanley & Co. LLC with Morgan Stanley Smith Barney LLC; pricing in December; Cusip: 6174823V4

• 0% trigger jump securities due December 2015 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761M169

• Contingent income autocallable securities due December 2015 with step-up redemption threshold level feature linked to Ford Motor Co. shares; 75% trigger; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761H848

• 0% buffered Performance Leveraged Upside Securities due July 2014 linked to the iShares FTSE China 25 index fund; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761M185

• 0% market-linked notes with past performance averaging feature due January 2017 to April 2017 linked to the Morgan Stanley ETF-MAP Index Excess Return; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761H822

• 0% dual directional trigger jump securities due December 2014 linked to the PHLX Housing Sector index; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761H863

• Contingent income autocallable securities due December 2017 linked to the Russell 2000 index; 75% trigger; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761JAQ2

• Buffered securities with contingent coupon due Dec. 28, 2020 linked to the S&P 500 index; 80% trigger; via Morgan Stanley & Co. LLC; Cusip: 61761JAN9

• Contingent income securities due Dec. 27, 2022 linked to the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC; Cusip: 61761JAR0

ROYAL BANK OF CANADA

• 10% reverse convertible notes due March 28, 2013 linked to Abercrombie & Fitch Co. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STL0

• 11% reverse convertible notes due March 28, 2013 linked to Peabody Energy Corp. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STM8

• 20% reverse convertible notes due March 28, 2013 linked to J.C. Penney Co., Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STN6

• 11.75% reverse convertible notes due March 28, 2013 linked to Joy Global Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STP1

• 11% reverse convertible notes due March 28, 2013 linked to Seagate Technology plc stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STQ9

• 9.5% reverse convertible notes due June 28, 2013 linked to Apple Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STR7

• 13.75% reverse convertible notes due June 28, 2013 linked to Delta Air Lines, Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STS5

• 13% reverse convertible notes due June 28, 2013 linked to Dean Foods Co. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STT3

• 9% reverse convertible notes due June 28, 2013 linked to D.R. Horton, Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STU0

• 10.5% reverse convertible notes due June 28, 2013 linked to Freeport-McMoRan Copper & Gold Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STV8

• 9.75% reverse convertible notes due June 28, 2013 linked to Morgan Stanley stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STW6

• 12% reverse convertible notes due June 28, 2013 linked to Silver Wheaton Corp. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STX4

• 11% reverse convertible notes due June 28, 2013 linked to Toll Brothers, Inc. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STY2

• 10% reverse convertible notes due June 28, 2013 linked to Valero Energy Corp. stock; via RBC Capital Markets Corp.; pricing Dec. 27; Cusip: 78008STZ9

• 0% contingent return optimization securities due Dec. 31, 2014 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 27; Cusip: 78008W636

• 0% trigger performance securities due Dec. 31, 2015 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 27; Cusip: 78008W651

• 9% to 11% annualized airbag yield optimization notes due June 28, 2013 linked to Ariad Pharmaceuticals, Inc. shares; via UBS Financial Services Inc. and RBC Capital Markets LLC; pricing Dec. 27; Cusip: 78008W750

• 6.25% to 8.25% annualized airbag yield optimization notes due June 28, 2013 linked to United Continental Holdings, Inc. shares; via UBS Financial Services Inc. and RBC Capital Markets LLC; pricing Dec. 27; Cusip: 78008W768

• 6.5% to 8.5% annualized airbag yield optimization notes due June 28, 2013 linked to Weatherford International Ltd. shares; via UBS Financial Services Inc. and RBC Capital Markets LLC; pricing Dec. 27; Cusip: 78008W776

• Redeemable step-up notes due Dec. 28, 2035; via RBC Capital Markets, LLC; settlement Dec. 28; Cusip: 78008SLM6

• 6.5% STEP Income Securities due January 2014 linked to Deere & Co. shares; via Bank of America Merrill Lynch; pricing in December

• 0% direct investment notes due Feb. 10, 2014 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Jan. 4; Cusip: 78008SSY3

• 8% STEP Income Securities due January 2014 linked to Amazon.com, Inc. shares; via Bank of America Merrill Lynch; pricing in January

• 18- to 21-month 0% leveraged buffered notes tied to the iShares MSCI EAFE index fund; 90% trigger; via Goldman Sachs & Co.

• 0% buffered enhanced return notes linked to the iShares MSCI Emerging Markets index fund; via RBC Capital Markets, LLC; Cusip: 78008STF3

• 15- to 17-month 0% buffered equity index-linked notes tied to the MSCI EAFE index; 85% trigger; via Goldman Sachs & Co.

• 0% buffered enhanced return notes due in 21 months linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78008STE6

• 25-month 0% buffered equity notes linked to the S&P 500 index; 82% trigger; via RBC Capital Markets, LLC; Cusip: 78008STG1

ROYAL BANK OF SCOTLAND

• 0% digital notes with fixed buffer due Jan. 4, 2016 linked to the Russell 2000 index; via RBS Securities Inc.; pricing Dec. 27; Cusip: 78009PDJ7

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due February 2014 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in January

UBS AG, LONDON BRANCH

• 0% trigger performance securities due Dec. 31, 2014 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 26; Cusip: 90269W734

• 0% return optimization securities due Jan. 31, 2014 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 26; Cusip: 90269W759

• 0% trigger return optimization securities due Dec. 31, 2015 linked to a basket of the SPDR S&P 500 ETF trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 26; Cusip: 90269W742

• Trigger phoenix autocallable optimization securities due Dec. 29, 2017 linked to the iShares Russell 2000 index fund and the SPDR S&P 500 ETF Trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A708

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of Citigroup Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269X120

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of Citigroup Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A880

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of CSX Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A872

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of CSX Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269X138

• 0% trigger performance securities due Dec. 29, 2017 linked to the Euro Stoxx 50 index; 50% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269W700

• 0% trigger autocallable optimization securities due Dec. 29, 2017 linked to the iShares Russell 2000 index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269W874

• Trigger phoenix autocallable optimization securities due Dec. 29, 2017 linked to the iShares Russell 2000 index fund and the SPDR S&P 500 ETF Trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269X146

• Trigger phoenix autocallable optimization securities due Dec. 29, 2017 linked to the iShares Russell 2000 index fund and the SPDR S&P 500 ETF Trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A708

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of Southwestern Energy Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269X112

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of Southwestern Energy Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A864

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of VF Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269A807

• Trigger phoenix autocallable optimization securities due Dec. 31, 2013 linked to the common stock of VF Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 27; Cusip: 90269X882

• Contingent income autocallable securities due Dec. 31, 2015 linked to JPMorgan Chase & Co.; via UBS Securities LLC; pricing Dec. 28; Cusip: 90269A856

WELLS FARGO & CO.

• Market-linked notes due Jan. 8, 2020 tied to the Dow Jones industrial average; via Wells Fargo Securities, LLC; pricing Dec. 28; Cusip: 94986RMH1

• Market-linked notes with upside participation due Jan. 8, 2020 linked to a basket of the SPDR S&P 500 ETF trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing Dec. 28; Cusip: 94986RMJ7

• 0% securities with leveraged upside participation to a cap and buffered downside with multiplier due in 12 to 15 months linked to iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in December; Cusip: 94986RMQ1

• 0% S&P 500 index-linked securities with leveraged upside participation to a cap and buffered downside with multiplier due in 23 to 26 months; via Wells Fargo Securities, LLC; pricing in December; Cusip: 94986RMN8


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