Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Strategic Accelerated Redemption Securities due February 2014 linked to Citigroup Inc. shares; 95% trigger; via Bank of America Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2014 linked to Citigroup Inc., JPMorgan Chase & Co. and Goldman Sachs Group, Inc.; via Bank of America Merrill Lynch; pricing in February

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

• Currency-linked step-up notes due March 2016 linked to the Indian rupee relative to the dollar; via Bank of America Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due February 2015 linked to the Merrill Lynch Commodity index eXtra - Excess Return; via Bank of America Merrill Lynch; pricing in February

• Capped Leveraged Index Return Notes due February 2015 linked to the front-month platinum futures contract; via Bank of America Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due February 2015 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2016 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in February

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

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

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

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

• 0% relative value Strategic Accelerated Redemption Securities due March 2014 linked to the performance of the SPDR S&P 500 ETF Trust versus the iShares Barclays 20+ Year Treasury Bond Fund; via Bank of America Merrill Lynch; pricing in February

BANK OF MONTREAL

• 0% autocallable cash-settled notes with step-up call price due Feb. 27, 2015 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLG8

• 0% buffered bullish digital return notes due Feb. 29, 2016 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLL7

• 0% contingent risk absolute return notes due Feb. 27, 2015 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLP8

• 0% autocallable barrier notes with step-up call price due Feb. 29, 2016 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLQ6

• 0% buffered bullish digital return notes due Feb. 29, 2016 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLJ2

• 0% buffered bullish digital return notes due Feb. 29, 2016 linked to the SPDR Dow Jones Industrial Average ETF Trust; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RLM5

BANK OF NOVA SCOTIA

• Callable step-up rate notes due Feb. 6, 2023; via Scotia Capital (USA) Inc.; pricing Feb. 1; Cusip: 064159BM7

BARCLAYS BANK PLC

• Trigger phoenix autocallable optimization securities due Feb. 7, 2018 linked to Microsoft Corp. common stock; via UBS Financial Services Inc. and Barclays; pricing Feb. 1; Cusip: 06742C509

• 0% notes due Feb. 10, 2016 linked to the EquityCompass Share Buyback index; via Barclays; pricing Feb. 5; Cusip: 06741TMQ7

• 0% barrier notes due Feb. 12, 2015 linked to Brent crude futures contract; 65% to 70% trigger; via Barclays; pricing Feb. 7; Cusip: 06741TNA1

• Step-up callable fixed-rate dual range accrual notes due Feb. 15, 2028 linked to six-month Libor and the S&P 500 index; via Barclays; settlement Feb. 15; Cusip: 06741TNC7

• Notes due Feb. 28, 2018 linked to a basket of 10 commodity indexes (S&P GSCI Aluminum Index Excess Return, the S&P GSCI Live Cattle Index Excess Return, the S&P GSCI Cocoa Index Excess Return, the S&P GSCI Cotton Index Excess Return, the S&P GSCI Lean Hogs Index Excess Return, the S&P GSCI Precious Metals Index Excess Return, the S&P GSCI Natural Gas Index Excess Return, the S&P GSCI Lead Index Excess Return, the S&P GSCI Nickel Index Excess Return and the S&P GSCI Zinc Index Excess Return); via Barclays; pricing Feb. 25; Cusip: 06741TNE3

• 0% barrier notes due February 2014 linked to Brent crude futures contract; 85% trigger; via Barclays; pricing in February; Cusip: 06741TMX2

• Callable contingent coupon notes due February 2015 linked to the common stock of Chesapeake Energy Corp.; via Barclays; pricing in February; Cusip: 06741JXA2

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

• Callable contingent coupon notes due February 2016 linked to the common stock of United Parcel Service, Inc.; via Barclays; pricing in February; Cusip: 06741JWY1

CITIGROUP FUNDING INC.

• 0% geared buffer securities due Feb. 6, 2017 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Feb. 1; Cusip: 1730TRL5

• 5% Chilean peso-denominated notes due Feb. 20, 2018; via Citigroup Global Markets Inc.; pricing Feb. 15; Cusip: 1730T0A25

CITIGROUP INC.

• Callable leveraged CMS spread notes due Feb. 27, 2028 linked to the 30-year Constant Maturity Swap Rate and the five-year CMS rate; via Citigroup Global Markets Inc.; pricing in February; Cusip: 1730T0RN1

CREDIT SUISSE AG, NASSAU BRANCH

• High/low coupon callable yield notes due Aug. 8, 2014 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 5; Cusip: 22546TU82

• High/low coupon callable yield notes due Aug. 13, 2014 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 8; Cusip: 22546TV24

• 0% digital barrier notes due Feb. 25, 2015 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 15; Cusip: 22546TV99

• 0% digital-plus barrier notes due Feb. 27, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 15; Cusip: 22546TW23

• 0% Buffered Accelerated Return Equity Securities due Feb. 29, 2016 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 25; Cusip: 22546TV73

• High/low coupon callable yield notes due Aug. 28, 2014 linked to the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing Feb. 25; Cusip: 22546TW31

• 0% digital-plus barrier notes due Feb. 28, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 25; Cusip: 22546TW49

• 0% digital-plus barrier notes due March 6, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546TW72

• 0% Accelerated Return Notes due April 2014 linked to the Energy Select Sector index; via Bank of America Merrill Lynch; pricing in February

• 0% Strategic Accelerated Redemption Securities due March 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in February

DEUTSCHE BANK AG, LONDON BRANCH

• 0% buffered return enhanced notes due Aug. 6, 2014 linked to the price of gold; 90% trigger; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 1; Cusip: 25152RBM4

• 0% leveraged notes due Feb. 14, 2014 linked to the Mexican peso, the Polish zloty, the Indonesian rupiah and the Korean won; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 1; Cusip: 25152RBN2

GOLDMAN SACHS GROUP, INC.

• 0% trigger leveraged index-linked notes due Feb. 20, 2014 tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Feb 1; Cusip: 38141GMZ4

• 0% index-linked trigger notes due Feb. 20, 2014 linked to the S&P 500 index; via Goldman Sachs & Co. with J.P. Morgan Securities LLC as placement agent; pricing Feb. 1; Cusip: 38141GMU5

• 0% index-linked trigger notes due Aug. 6, 2014 linked to the S&P 500 index; via Goldman Sachs & Co. with J.P. Morgan Securities LLC as placement agent; pricing Feb. 1; Cusip: 38141GMV3

• Callable step-up fixed-rate notes due August 2022; via Goldman Sachs & Co.; settling in February; Cusip: 38141GMT8

• 15-year callable CMS spread-linked notes linked to the 30-year and five-year Constant Maturity Swap rates; via Goldman Sachs & Co.; Cusip: 38141GNA8

• Callable quarterly CMS spread notes due 2028 linked to the 30-year Constant Maturity Swap Rate and the five-year CMS rate; via Goldman Sachs & Co.; Cusip: 38141GMR2

• 18- to 21- month 0% leveraged buffered notes linked to the Euro Stoxx 50 index converted into dollars; via Goldman Sachs & Co.

• 0% leveraged buffered notes due in 24 to 27 months linked to the MSCI AC World index; via Goldman Sachs & Co.

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

• Six-year 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38141GMX9

• 13- to 15-month 0% digital notes linked to Russell 2000 index; 85% trigger; 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% leveraged buffered notes due Feb. 3, 2015 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38141GLS1

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

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

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

• 18- to 21-month 0% buffered notes linked to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.

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

• 0% leveraged buffered notes due in 21 to 24 months linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% leveraged notes due in 21 to 24 months linked to the S&P 500 index; via Goldman Sachs & Co.

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

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

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

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

• 24- to 28-month 0% leveraged index-linked notes 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.

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

• 0% leveraged buffered notes due Feb. 3, 2016 linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38141GLR3

• 42- to 48-month 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

• 0% leveraged buffered notes linked to the S&P 500 index due in 48 to 52 months; 80% trigger; via Goldman Sachs & Co.; Cusip: 38141GMP6

• 0% leveraged buffered notes due in 60 months linked to the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 38141GML5

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

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

HSBC USA INC.

• 0% knock-out buffer notes due Feb. 18, 2014 linked to the Mexican peso relative to the dollar; via HSBC Securities (USA) Inc.; pricing Feb. 1; Cusip: 40432XAM3

• Buffered Accelerated Market Participation Securities due Aug. 24, 2015 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 15; Cusip: 40432XAL5

• Buffered Accelerated Market Participation Securities due Aug. 24, 2015 linked to the MSCI EAFE index; via HSBC Securities (USA) Inc.; pricing Feb. 15; Cusip: 40432XAK7

• Buffered Accelerated Market Participation Securities due Aug. 24, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 15; Cusip: 40432XAJ0

• Market-linked step-up notes due February 2015 linked to the Euro Stoxx 50 index; via Bank of America Merrill Lynch; pricing in February

• Performance plus securities due August 2014 linked to the Euro Stoxx 50 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing in February; Cusip: 40432XA84

• 0% Accelerated Return Notes due April 2014 linked to the PHLX Housing Sector index; via Bank of America Merrill Lynch; pricing in February

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

JPMORGAN CHASE & CO.

• Autocallable contingent interest notes due Feb. 20, 2014 linked to Coach, Inc. shares; 80% trigger; via J.P. Morgan Securities LLC; pricing Feb. 1; Cusip: 48126DVD8

• Autocallable contingent interest notes due Feb. 20, 2014 linked to Valeant Pharmaceuticals International, Inc. shares; 75% trigger; via J.P. Morgan Securities LLC; pricing Feb. 1; Cusip: 48126DVE6

• Callable step-up fixed-rate notes due Feb. 13, 2028; via J.P. Morgan Securities LLC; pricing Feb. 8; Cusip: 48126DMQ9

• Callable variable-rate range accrual notes due Feb. 13, 2028 linked to six-month Libor and Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 8; Cusip: 48126DMP1

• Fixed-to-floating-rate notes due Feb. 15, 2023; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 48126DMR7

• 4.75% to 5.25% callable yield notes due Feb. 24, 2015 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 15; Cusip: 48126DVC0

• 0% return notes due May 30, 2014 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Feb. 25; Cusip: 48126DVK2

• 0% return notes due Feb. 27, 2015 linked to the J.P. Morgan Strategic Volatility Dynamic Index (Series 1) (USD); via J.P. Morgan Securities LLC; pricing Feb. 25; Cusip: 48126DVL0

• 5% to 7% autocallable yield notes due Feb. 28, 2014 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 25; Cusip: 48126DVT3

LLOYDS TSB BANK PLC

• Callable step-up fixed-rate notes due Feb. 14, 2028; via Bank of America Merrill Lynch; pricing Feb. 7; Cusip: 5394E8BM0

• Callable steepener notes due Feb. 22, 2033 linked to the 30-year and five-year Constant Maturity Swap rates; via Bank of America Merrill Lynch; pricing Feb. 15; Cusip: 5394E8BN8

MORGAN STANLEY

• Fixed-to-floating notes due Feb. 15, 2018; via Morgan Stanley & Co. LLC; settlement Feb. 15; Cusip: 61760QCJ1

• 0% contingent income securities due Feb. 26, 2021 linked to Brent blend crude oil; via Morgan Stanley & Co. LLC; pricing Feb. 25; Cusip: 6174823X0

• 0% PLUS due March 2014 linked to a basket of commodities (gold, Brent blend crude oil, corn and copper); via Morgan Stanley & Co. LLC, pricing in February; Cusip: 6174823Y8

• 0% lock-in buffered securities due February 2018 linked to Brent blend crude oil; 75% to 80% trigger; via Morgan Stanley & Co. LLC; Cusip: 6174823W2

ROYAL BANK OF CANADA

• Fixed-to-floating notes due Feb. 5, 2018; via RBC Capital Markets, LLC; settling Feb. 5; Cusip: 78008SWE2

• 0% direct investment notes due March 10, 2014 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Feb. 5; Cusip: 78008SUJ3

• 0% buffered bullish enhanced return notes due Feb. 28, 2018 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Feb. 25; Cusip: 78008SYC4

• 6.5% coupon bearing notes due February 2014 linked to MetLife Inc. shares; via Bank of America Merrill Lynch; pricing in February

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

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

AB SVENSK EXPORTKREDIT

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

• 0% Accelerated Return Notes due April 2014 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in February

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due Feb. 4, 2016 linked to Microsoft Corp. shares; 80% trigger; via UBS Securities LLC; pricing Feb. 1; Cusip: 90271B389

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