Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Strategic Accelerated Redemption Securities due January 2013 linked to Brent crude oil futures contract; via Bank of America Merrill Lynch; pricing in July

• 0% currency-linked step-up notes due August 2015 tied to an equally weighted basket of a long position in the Mexican peso and the Brazilian real measured against the dollar; via Bank of America Merrill Lynch; pricing in July

• Capped Leveraged Index Return Notes due July 2014 linked to the Rogers International Commodity Index - Excess Return; 90% trigger; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due September 2013 linked to the PHLX Housing Sector index; via Bank of America Merrill Lynch; pricing in July

• Market-linked step-up notes due July 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

• Capped Leveraged Index Return Notes due July 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

• Capped Leveraged Index Return Notes due July 2014 linked to S&P 500 index, MSCI EAFE index and MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in July

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

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due July 20, 2015 linked to the iShares MSCI EAFE Growth index fund and the iShares MSCI EAFE Value index fund; via BMO Capital Markets Corp., pricing July 17; Cusip: 06366RFZ9

• 0% contingent risk absolute return notes due July 31, 2014 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RGA7

• 0% contingent risk absolute return notes due July 31, 2014 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RGB5

• 0% autocallable reverse exchangeable notes with step-up call price due July 31, 2013 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFP5

• 0% autocallable reverse exchangeable notes with step-up call price due July 31, 2013 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFQ3

• 0% buffered bullish enhanced return notes due Jan. 31, 2014 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFW0

• 0% buffered bullish enhanced return notes due Jan. 31, 2014 linked to the Financial Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFV2

• 0% buffered bullish enhanced return notes due Jan. 31, 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFX8

• 8.5% annualized reverse exchangeable notes due Jan. 31, 2013 linked to the iShares MSCI EAFE index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFS9

• 7.5% annualized reverse exchangeable notes due Jan. 31, 2013 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFR1

• 7.5% reverse exchangeable notes due Jan. 31, 2013 linked to the iShares Silver Trust; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFU4

• 11% reverse exchangeable notes due Jan. 31, 2013 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RFT7

• Range accrual notes with contingent downside protection due July 31, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366RDM4

BANK OF NOVA SCOTIA

• 18- to 21-month 0% capped optimal entry enhanced participation notes, series A, linked to the Euro Stoxx 50 index; pricing July 3; via underwriter Scotia Capital (USA) Inc. and dealer Goldman Sachs & Co.; Cusip: 064159874

BANK OF THE WEST

• Five-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Six-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Seven-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Seven-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

BARCLAYS BANK PLC

• Contingent income autocallable securities due July 16, 2015 linked to General Electric Co. shares; via Barclays Capital Inc. with Morgan Stanley Smith Barney LLC as dealer; pricing July 13

• 9% to 11% autocallable yield notes due July 22, 2013 linked to the least performing of the S&P 500 index, the Russell 2000 index and SPDR S&P Metals & Mining ETF; 60%trigger; via Barclays Capital Inc.; pricing July 17; Cusip: 06741TCH8

• Fixed-rate callable step-up notes due July 27, 2027; via Barclays Capital Inc.; pricing July 24; Cusip: 06741TCB1

• Notes due July 31, 2018 linked to a basket of 10 common stocks (Apple Inc., CenturyLink, Inc., Darden Restaurants, Inc., Eli Lilly and Co., Freeport-McMoRan Copper & Gold Inc., Hewlett Packard Co., New York Community Bancorp, Inc., Northeast Utilities, Inc., Silver Wheaton Corp. and Walgreen Co.); via Barclays Capital Inc.; pricing July 26; Cusip: 06741TCE5

• 18.25% reverse convertible notes due Jan. 31, 2013 linked to Basic Energy Services, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJ59

• 18.75% reverse convertible notes due Jan. 31, 2013 linked to Chesapeake Energy Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJ67

• 19.75% reverse convertible notes due Oct. 31, 2012 linked to Clean Energy Fuels Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJ42

• 19% reverse convertible notes due July 30, 2013 linked to Green Mountain Coffee Roasters, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJ75

• 0% buffered Super Track notes due Jan. 30, 2014 linked to the iShares Russell 2000 index fund; via Barclays Capital Inc.; pricing July 26; Cusip: 06741TCK1

• 19% reverse convertible notes due Oct. 31, 2012 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJ34

• Notes due July 31, 2017 linked to a basket of 10 commodity indexes (S&P GSCI Wheat Index Excess Return, the S&P GSCI Soybean Index Excess Return, the S&P GSCI Silver Index Excess Return, the S&P GSCI Unleaded Gasoline Index Excess Return, the S&P GSCI Corn Index Excess Return, the S&P GSCI Gold Index Excess Return, the S&P GSCI Copper Index Excess Return, the S&P GSCI Brent Crude Index Excess Return, the S&P GSCI Zinc Index Excess Return and the S&P GSCI Natural Gas Index Excess Return); via Barclays Capital Inc.; pricing July 26; Cusip: 06741TCD7

• 8% reverse convertible notes due July 30, 2013 linked to eBay Inc. stock; via Barclays Capital; pricing July 27; Cusip: 06741JJ26

• 8% reverse convertible notes due July 30, 2013 linked to JPMorgan Chase & Co. stock; via Barclays Capital; pricing July 27; Cusip: 06741JH93

• 0% buffered Super Track digital notes due July 31, 2014 linked to the S&P 500 index; via Barclays Capital Inc.; pricing July 27; Cusip: 06741TCG0

• 8.45% reverse convertible notes due Jan. 31, 2013 linked to Schlumberger N.V. (Schlumberger Ltd.) stock; via Barclays Capital; pricing July 27; Cusip: 06741JH85

• Contingent income autocallable securities due Aug. 2, 2013 linked to Schlumberger Ltd. shares; via Barclays Capital Inc. with Morgan Stanley Smith Barney LLC handling distribution; pricing July 30; Cusip: 06738G316

CITIGROUP FUNDING INC.

• 5.75%-6.25% market-linked coupon notes due July 23, 2015 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing July 18; Cusip: 1730T0YA1

• Non-callable fixed-to-floating notes due July 30, 2015; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 1730T0YC7

• 0% buffered digital plus securities due Jan. 28, 2016 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 1730T0YB9

• 0% market-linked notes due August 2016 linked to the Citi Multi-Asset Systematic Trend (MASTR) US Excess Return index; via Citigroup Global Markets Inc.; pricing July 27; Cusip: 1730T0XX2

• 11.5%-15.5% annualized single observation Equity LinKed Securities due Feb. 21, 2013 linked to the common stock of Las Vegas Sands Corp.; via Citigroup Global Markets Inc.; pricing July 30; Cusip: 17318Q715

• 0% lookback trigger Performance Leveraged Upside Securities due July 30, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing July 30; Cusip: 17318Q699

• 0% dual directional trigger Performance Leveraged Upside Securities due July 30, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc. (underwriter) and Morgan Stanley Smith Barney LLC (distribution); pricing July 30; Cusip: 17318Q681

CREDIT SUISSE AG, NASSAU BRANCH

• Annual coupon CS notes due July 11, 2017 linked to Altria Group, Inc., Amazon.com, Inc., Archer-Daniels-Midland Co., Avon Products, Inc., Charles Schwab Corp., Eli Lilly and Co., Intel Corp., American Depositary Shares of Vale SA, Valero Energy Corp. and Verizon Communications Inc.; via Credit Suisse Securities (USA) LLC; pricing July 6; Cusip: 22546TVE8

• Annual coupon CS notes due July 20, 2017 linked to an equally weighted basket of 10 stocks (Altria Group, Inc., Amazon.com, Inc., Archer-Daniels-Midland Co., Avon Products, Inc., Charles Schwab Corp., Eli Lilly and Co., Intel Corp., Vale SA, Valero Energy Corp. and Verizon Communications Inc.); via Credit Suisse Securities (USA) LLC; pricing July 17; Cusip: 22546TVE8

• 0% absolute return barrier securities due July 22, 2014 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 17; Cusip: 22546TVN8

• High/low coupon callable yield notes due Oct. 28, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 24; Cusip: 22546TWB3

• 9%-11% callable yield notes due April 29, 2013 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing July 24; Cusip: 22546TWC1

• High/low coupon callable yield notes due July 31, 2013 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 July 26; Cusip: 22546TVU2

• High/low coupon callable yield notes due Oct. 31, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 26; Cusip: 22546TVT5

• 0% digital-plus barrier notes due July 29, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 26; Cusip: 22546TVV0

• 0% digital-plus barrier notes due Aug. 4, 2014 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 27; Cusip: 22546TWD9

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2014 linked to the iShares MSCI Emerging Markets index fund; 90% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVZ1

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2014 linked to the Russell 2000 index; 90% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TWA5

• 11.5%-12.5% callable yield notes due Nov. 4, 2013 linked to the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVL2

• 0% digital-plus barrier notes due Aug. 3, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVX6

• High/low coupon callable yield notes due Nov. 4, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVW8

DEUTSCHE BANK AG, LONDON BRANCH

• 0% autocallable securities due Jan. 9, 2014 linked to the Brazilian real relative to the dollar; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing July 6; Cusip: 2515A1KS9

• 0% knock-out notes due Jan. 15, 2014 linked to the Kospi 200, Hang Seng, Hang Seng China Enterprises, MSCI Taiwan and MSCI Singapore indexes and their related currencies; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing July 6; Cusip: 2515A1KT7

• Market contribution securities due July 24, 2013 linked to the Deutsche Bank Liquid Commodity Index-Mean Reversion Plus Total Return; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Company Americas; pricing July 13; Cusip: 2515A1KU4

• Callable step-up fixed-rate notes due July 31, 2030; via Deutsche Bank Securities Inc.; pricing July 26; Cusip:	25152CQB5
• 0% contingent return optimization securities due July 31, 2014 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities; pricing July 26; Cusip: 25154X611
GOLDMAN SACHS BANK USA
• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWC5
• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWE1
• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWF8
• Contingent coupon certificates of deposit due 2018 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWG6
• Variable-coupon basket-linked certificates of deposit due 2019 linked to a basket of 10 stocks (Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.); Cusip: 38143AWD3
• 0% equity index-linked certificates of deposit due 2019 linked to a basket of the Euro Stoxx 50 index, the MSCI Taiwan index, the S&P/TSX 60 index and the Dow Jones industrial average; via Goldman, Sachs & Co. as agent and Incapital LLC as distributor; Cusip: 38143AWH4
GOLDMAN SACHS GROUP, INC.
• 0% index-linked trigger notes due Jan. 15, 2014 tied to the S&P 500 index; 72.5% trigger; via Goldman Sachs & Co.; pricing July 6; Cusip: 38143U4P3
• 0% index-linked trigger notes due July 24, 2013 tied to the S&P 500 index; 77% trigger; via Goldman Sachs & Co.; pricing July 6; Cusip: 38143U4Q1
• 0% index-linked trigger notes due July 24, 2013 tied to the S&P 500 index; 80% trigger; via Goldman Sachs & Co.; pricing July 6; Cusip: 38143U4N8
• Five-year 0.25% to 0.75% basket-linked notes linked to the best performing of three baskets each containing different weights of the currency component (Brazilian real, British pound, euro and Japanese yen), the S&P GSCI Excess Return index, the equity component (S&P 500 index, Euro Stoxx 50 index, Topix index and iShares MSCI Emerging Markets index fund) and the iShares Barclays 7-10 Year Treasury bond fund; via Goldman Sachs & Co.; Cusip: 38143U4G3
• 42-month 0% notes tied to the Dow Jones industrial average; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143U4E8
• 0% notes due in 66 months tied to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143U4D0
• 18- to 21-month 0% leveraged index-linked notes tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147B505
• 0% index-linked notes due 2014 tied to the S&P 500 index; via Goldman, Sachs & Co.; Cusip: 38143U4R9
• 24-month 0% buffered index fund-linked notes tied to the iShares MSCI Emerging Markets index fund; 85% trigger; via Goldman Sachs & Co.; Cusip: 38143U3S8
• 23- to 26-month 0% leveraged buffered index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147B547
• 24- to 27-month 0% leveraged buffered index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.
• 0% index-linked digital notes tied to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143U3R0
• 18-month 0% leveraged buffered index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U3Q2
• 23- to 26-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147B513
• 0% index-linked digital notes due in two years tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4H1
• 2.5-year 0% S&P 500 index-linked medium-term notes; via Goldman Sachs & Co.; Cusip: 38143UY88
• 42- to 44-month 0% buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4B4
• Buffered index-linked range accrual notes due in five years linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4F5
• Five-year buffered annual reset coupon notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4J7
• Five-year 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UY70
• Five-year 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UY62
HSBC BANK USA, NA
• Annual income opportunity certificates of deposit due July 26, 2019 linked to a basket of 10 stocks (Amgen Inc., Applied Materials, Inc., Exelon Corp., General Electric Co., Intel Corp., Lorillard, Inc., PepsiCo, Inc., Pfizer Inc., Procter & Gamble Co. and Time Warner Cable Inc.); via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40431GX38
• Annual income opportunity certificates of deposit due July 26, 2019 linked to a basket of 10 stocks (AstraZeneca plc, Encana Corp., General Mills, Inc., Gerdau SA, Home Depot, Inc., ICICI Bank Ltd., Randgold Resources Ltd., Taiwan Semiconductor Manufacturing Co. Ltd., Unilever NV and Vodafone Group plc); via HSBC Securities (USA) Inc.; pricing July 23; Cusip: 40431GX46
• Income Plus certificates of deposit due July 30, 2019 with 2.25% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GW88
• Income Plus certificates of deposit due July 30, 2019 with 3.75% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GW96
• Income Plus certificates of deposit due July 30, 2019 with 5.25% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GX20.
• Head-Start Annual Income Opportunity certificates of deposit with auto cap feature due July 30, 2019 linked to the common stocks of Barrick Gold Corp., Bristol-Myers Squibb Co., Conagra Foods Inc., FirstEnergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Inc., Tiffany & Co., UnitedHealth Group Inc. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GY52
• Annual Income Opportunity certificates of deposit with minimum return due July 31, 2019 linked to the common stocks of Barrick Gold Corp., Bristol-Myers Squibb Co., Conagra Foods Inc., FirstEnergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Inc., Tiffany & Co., UnitedHealth Group Inc. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GY60
• Annual income opportunity certificates of deposit due July 31, 2017 linked to a basket of 10 stocks (Barrick Gold Corp., Bristol-Myers Squibb Co., Conagra Foods Inc., Firstenergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Tiffany & Co., Unithealth Group Inc. and Verizon Communications Inc.); via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GX53
• Annual income opportunity certificates of deposit due July 31, 2019 linked to a basket of 10 stocks (Barrick Gold Corp., Bristol-Myers Squibb Co., Conagra Foods Inc., Firstenergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Tiffany & Co., Unithealth Group Inc. and Verizon Communications Inc.); via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GX61
HSBC USA INC.
• 0% contingent buffered enhanced notes due July 24, 2013 linked to a basket of seven stocks (ConocoPhillips, Exxon Mobile Corp., Cenovus Energy Inc., Occidental Petroleum Corp., Royal Dutch Shell plc, Total SA and BP plc); via HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC as placement agent; pricing July 6; Cusip: 4042K1X99
• 0% buffered uncapped market participation securities due July 29, 2015 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 4042K1V67
• 0% leveraged buffered uncapped market participation securities due July 29, 2015 linked to the S&P 500 Low Volatility index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 4042K1X73
• 0% buffered performance plus securities due Jan. 29, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 4042K1V75
• 0% buffered performance plus securities due July 28, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 4042K1V83
• 0% buffered uncapped market participation securities due July 29, 2015 linked to the S&P 500 index; pricing July 24; Cusip: 4042K1V59
• 0% buffered uncapped market participation securities due July 29, 2015 linked to the S&P 500 Low Volatility index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 4042K1X81
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the iShares MSCI EAFE index fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1X32
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the iShares MSCI EAFE index fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1W90
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the Russell 2000 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1X24
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the Russell 2000 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1W82
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1W25
• 0% buffered Accelerated Market Participation Securities due Jan. 30, 2014 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1V91
• 7%-9% autocallable yield notes due July 31, 2013 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1X57
• 10%-12% autocallable yield notes due July 31, 2013 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1X40
• 0% airbag performance securities due July 31, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. (underwriter) and UBS Financial Services Inc. (agent); pricing July 26; Cusip: 40433M435
• 0% trigger performance securities due July 31, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. (underwriter) and UBS Financial Services Inc. (agent); pricing July 26; Cusip: 40433M468
• Income plus notes due July 31, 2019 with 4.5% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1W58
• Income plus notes due July 31, 2019 with 7.25% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1W66
• Income plus notes due July 31, 2019 with 11.25% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Procter & Gamble Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1W74
• Head start annual income opportunity notes with auto cap due July 31, 2017 linked to the common stocks of Barrick Gold Corp., Bristol-Myers Squibb Co., ConAgra Foods, Inc., FirstEnergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Inc., Tiffany & Co., Unitedhealth Group Inc. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1W33
• Annual income opportunity notes with auto cap due July 31, 2019 linked to the common stocks of Barrick Gold Corp., Bristol-Myers Squibb Co., ConAgra Foods, Inc., FirstEnergy Corp., Halliburton Co., Intel Corp., PNC Financial Services Group, Inc., Tiffany & Co., Unitedhealth Group Inc. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1W41
• 0% buffered return optimization securities due July 31, 2014 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing July 26; Cusip: 40433M44
• 0% trigger performance securities due July 31, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc. (underwriter) and UBS Financial Services Inc. (agent); pricing July 26; Cusip: 40433M450
• 0% 50/150 performance notes due July 31, 2017 linked to the S&P 500 Low Volatility index; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 4042K1X65
• 0% digital-plus barrier notes due Aug. 3, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing July 27; Cusip: 4042K1Y23
JPMORGAN CHASE BANK, NA
• Contingent coupon certificates of deposit due July 31, 2017 linked to the common stocks of Altria Group, Inc., Clorox Corp., Duke Energy Corp., Goldcorp Inc., Hasbro, Inc., Kellogg Co., Lockheed Martin Corp., Lorillard, Inc., PepsiCo, Inc. and Sysco Corp.; via J.P. Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48124JFT0
• Digital contingent coupon certificates of deposit due July 31, linked to the common stocks of Altria Group, Inc., Clorox Corp., Duke Energy Corp., Goldcorp Inc., Hasbro, Inc., Kellogg Co., Lockheed Martin Corp., Lorillard, Inc., PepsiCo, Inc. and Sysco Corp.; via J.P. Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48124JFU7
• Digital contingent coupon certificates of deposit due July 31, 2019 linked to the common stocks of Altria Group, Inc., Clorox Corp., Duke Energy Corp., Goldcorp Inc., Hasbro, Inc., Kellogg Co., Lockheed Martin Corp., Lorillard, Inc., PepsiCo, Inc. and Sysco Corp.; via J.P. Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48124JFV5
• Digital contingent coupon certificates of deposit due July 31, 2019 linked to the common stocks of Altria Group, Inc., Clorox Corp., Duke Energy Corp., Goldcorp Inc., Hasbro, Inc., Kellogg Co., Lockheed Martin Corp., Lorillard, Inc., PepsiCo, Inc. and Sysco Corp.; via J.P. Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48124JFW3
JPMORGAN CHASE & CO.
• Autocallable contingent interest notes due July 24, 2013 linked to the common stock of General Electric Co.; via J.P. Morgan Securities LLC; pricing July 6; Cusip: 48125VR28
• 10% reverse convertible notes due July 12, 2013 linked to Apple Inc. stock; via JPMorgan; pricing July 9; Cusip: 48125VQ78
• 10% reverse convertible notes due July 12, 2013 linked to Bank of America Corp. stock; via JPMorgan; pricing July 9; Cusip: 48125VQ94
• 9% reverse convertible notes due July 12, 2013 linked to Caterpillar Inc. stock; via JPMorgan; pricing July 9; Cusip: 48125VQ86
• 0% buffered return enhanced notes due Jan. 31, 2014 linked to the iShares MSCI Emerging Markets index fund; 90% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP20
• 0% buffered return enhanced notes due Jan. 31, 2014 linked to the iShares MSCI EAFE index fund; 90% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VN97
• 0% buffered return enhanced notes due July 31, 2014 linked to the iShares MSCI EAFE index fund; 90% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP46
• 0% notes due July 31, 2018 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VQ45
• 0% notes due July 29, 2016 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VN63
• Annual income notes contingent on the performance of the JPMorgan ETF Efficiente 5 index due July 29, 2016; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP61
• Annual income notes contingent on the performance of the JPMorgan ETF Efficiente 5 index due July 31, 2018; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP79
• 0% notes due July 29, 2016 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing July 26; Cusip: 48125VN71
• 0% return notes due Oct. 31, 2013 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP53
• 0% return notes due July 31, 2014 linked to the J.P. Morgan Strategic Volatility index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VQ52
• 10%-12% autocallable yield notes due July 31, 2013 linked to the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP95
• 0% buffered return enhanced notes due Jan. 31, 2014 linked to the Russell 2000 index; 90% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VN89
• 7% to 9% autocallable yield notes due July 31, 2013 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP87
• 0% buffered return enhanced notes due Jan. 31, 2014 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VP38
• 10% to 12% autocallable yield notes due July 31, 2013 linked to the SPDR S&P Metals & Mining exchange-traded fund, S&P 500 index and Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125VQ29
• 0% return notes due Oct. 31, 2013 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing July 27; Cusip 48125VQ37
• 7%-8.5% single observation callable yield notes due Nov. 3, 2013 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125VN55
LLOYDS TSB BANK PLC
• Callable step-up fixed-rate notes due July 19, 2027; via Bank of America Merrill Lynch; pricing July 12; Cusip: 5394E8AZ2
• Callable six-month Libor and S&P 500 index range accrual notes due July 20, 2032; via Morgan Stanley & Co. LLC; settlement July 20; Cusip: 5394E8BA6
MORGAN STANLEY
• 0% market-linked notes due July 31, 2018 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482T95
• 0% market-linked notes due Jan. 29, 2016 linked to the Morgan Stanley ETF-Map Index (Excess Return); via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U28
• Contingent income securities due July 31, 2015 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U85
• 0% market-linked autocallable step-up notes due July 30, 2032 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U51
• 0% buffered jump securities due Jan. 31, 2014 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482T79
• Buffered autocallable securities with contingent coupon due July 29, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U69
• Contingent income securities due July 31, 2018 linked to the S&P 500 index; via Morgan Stanley & Co., LLC; pricing July 26; Cusip: 617482U93
• 0% market-linked notes due July 29, 2016 tied to the quarterly capped performance of the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U36
• 0% market-linked autocallable step-up notes due July 30, 2027 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482U44
• 0% Index Leading Stockmarket Return Securities due Aug. 2, 2015 linked to the Brazilian real relative to the dollar; via Morgan Stanley & Co. Inc.; pricing in July; Cusip: 617482SQ8
• 0% dual directional trigger Performance Leveraged Upside Securities due July 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Morgan Stanley & Co. LLC; pricing in July; Cusip 61755S438
• Market-linked notes with past performance-adjusted contingent coupon due July 2015 linked to the Morgan Stanley ETF-Map index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S446
• 0% market-linked notes due July 2018 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S412
• 0% Performance Leveraged Upside Securities due August 2013 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S420
• Senior fixed-to-floating notes due Aug. 2, 2019; via Morgan Stanley & Co. LLC; settlement Aug. 2; Cusip: 61760QBR4
ROYAL BANK OF CANADA
• Floating-rate notes due Jan. 12, 2016 with minimum and maximum; via RBC Capital Markets, LLC; settlement July 12; Cusip: 78008SDF0
0% return optimization securities due Aug. 30, 2013 linked to the S&P 500 index; via Financial Services Inc. and RBC Capital Markets, LLC; pricing July 26; Cusip: 78008D612
• 0% Accelerated Return Notes due September 2013 linked to the Energy Select Sector index; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2013 linked to the S&P 100 index; via Bank of America Merrill Lynch; pricing in July
• 0% Strategic Accelerated Redemption Securities due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 15- to 17-month 0% buffered equity index-linked notes tied to the MSCI EAFE index; 85% trigger; via Goldman Sachs & Co.
ROYAL BANK OF SCOTLAND
• 0% digital notes with fixed buffer due Jan. 29, 2016 linked to the Dow Jones industrial average; via RBS Securities Inc.; pricing July 27; Cusip: 78009PDA6
• 0% digital notes with fixed buffer due July 31, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 27; Cusip: 78009PCZ2
• Annual reset coupon notes with fixed buffer due Aug. 1, 2017 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 27: Cusip: 78009PDB4
AB SVENSK EXPORTKREDIT
• 0% Accelerated Return Notes due October 2013 linked to the price of gold; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
UBS AG, JERSEY BRANCH
• 0% contingent buffer enhanced notes due June 27, 2013 linked to the S&P 500 index; 80% trigger; via UBS Investment Bank and JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
• 0% contingent buffer enhanced notes due June 27, 2013 linked to the S&P 500 index; 80% trigger; via UBS Investment Bank and JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
UBS AG, LONDON BRANCH
• 0% contingent buffer enhanced notes due July 18, 2013 linked to Brent crude oil; via UBS Investment Bank as underwriter, with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing July 6; Cusip: 902674JH4
• 0% buffered return optimization securities due July 31, 2014 linked to Devon Energy Corp., Halliburton Co., Occidental Petroleum Corp. and Southwestern Energy Corp.; 85% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U606
• 0% trigger performance securities due July 29, 2022 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U630
• Buffered return optimization securities due July 31, 2014 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U663
• 0% contingent return optimization securities due July 31, 2014 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U671
• 0% trigger performance securities due July 31, 2015 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U655
• 0% trigger performance securities due July 29, 2022 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U648
• 0% airbag performance securities due June 31, 2017 linked to the SPDR S&P 500 ETF trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90268U614
• 0% buffered Performance Leveraged Upside Securities due Feb. 4, 2014 linked to the iShares MSCI Emerging Markets index fund; via UBS Securities LLC; pricing July 30; Cusip: 90268U598
WELLS FARGO & CO.
• Floating-rate notes due July 19, 2017; via Wells Fargo Securities, LLC; pricing July 16; Cusip: 94986RKM2
• Contingent annual interest market-linked certificates of deposit due July 30, 2019 linked to a basket of five commodities and five commodity indexes (gasoline futures, nickel, gold, silver, zinc, the S&P GSCI Brent Crude Oil Index Excess Return, the S&P GSCI Livestock Index Excess Return, the S&P GSCI Wheat Index Excess Return, the S&P GSCI Corn Index Excess Return and the S&P GSCI Sugar Index Excess Return); pricing July 26; Cusip: 949748R58
• 0% market-linked notes due August 2019 linked to the Dow Jones industrial average; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKN0
• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKQ3
• 1% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2017 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKT7
• 1% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2018 linked to the S&P 500 index; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKU4
• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due May 2016 linked to the Vanguard REIT exchange-traded fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKR1
• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2015 linked to the SPDR S&P 500 ETF trust, the SPDR S&P MidCap 400 ETF Trust and the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986RKP5
• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2017 linked to the SPDR S&P 500 ETF trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986RKS9

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