Structured Products Calendar

BANK OF AMERICA CORP.

• 0% autocallable market-linked step-up notes due May 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2015 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in May

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the iShares China Large-Cap exchange-traded fund; via BMO Capital Markets Corp.; pricing May 23; Cusip: 06366RUD5

BANK OF NOVA SCOTIA

• 0% series A capped enhanced participation notes linked to the MSCI EAFE index; via Scotia Capital (USA) Inc. with Goldman Sachs & Co.; Cusip: 064159221

• 24- to 27-month 0% capped buffered enhanced participation notes linked to the MSCI EAFE index; via Scotia Capital (USA) Inc. and Goldman Sachs & Co.; Cusip: 064159239

• 0% series A capped buffered notes due 24 to 27 months after issue linked to the MSCI EAFE index; via Scotia Capital (USA) Inc. with Goldman Sachs & Co. as dealer; Cusip: 064159106

BARCLAYS BANK PLC

• 0% digital notes due May 29, 2015 linked to the performance of palladium; via Barclay and J.P. Morgan Securities LLC; pricing May 1; Cusip: 06741UDG6

• Contingent income autocallable securities due May 5, 2017 linked to Potash Corp. of Saskatchewan Inc. shares; via Barclays; pricing May 2; Cusip: 06742K451

• 0% notes due May 10, 2017 linked to the EquityCompass Share Buyback index; via Barclays; pricing May 5; Cusip: 06741UBW3

• Principal-at-risk callable CMS steepener and Russell 2000 index-linked notes due May 14, 2029; via Barclays; pricing May 9; Cusip: 06741UCT9

• Capped callable steepener notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via Barclays; pricing May 27; Cusip: 06741UDA9

• Callable contingent coupon notes due May 2016 linked to the common stock of Bristol-Myers Squibb Co.; via Barclays; pricing in May; Cusip: 06741J7G8

• 0% Accelerated Return Notes due November 2015 linked to the JPX Nikkei index 400; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2015 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in May

• 0% capped leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741UCV4

• 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741UCW2

CITIGROUP INC.

• 0% barrier securities due May 29, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Citigroup Global Markets Inc.; pricing May 23; Cusip: 1730T0Q36

• Leveraged callable CMS curve-linked notes due May 30, 2029 linked to the 30-year and five-year Constant Maturity Swap rates; via Citigroup Global Markets Inc. (underwriter) and Morgan Stanley & Co. LLC (dealer); pricing May 27; Cusip: 1730T0P78

• Leveraged callable CMS curve-linked notes due May 30, 2034 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc. (underwriter) and Morgan Stanley & Co. LLC (dealer); pricing May 27; Cusip: 1730T0P86

• 0.35% market-linked notes due Dec. 4, 2019 tied to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 29; Cusip: 1730T0P60

• Autocallable contingent coupon equity-linked securities due June 3, 2015 linked to Netflix, Inc. shares; via Citigroup Global Markets Inc.; pricing May 29; Cusip: 1730T0P94

CREDIT SUISSE AG

• 11.5% autocallable reverse convertible notes due May 6, 2015 linked to Aruba Networks, Inc. shares; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing May 1; Cusip: 22547QMB9

• Contingent coupon callable yield notes due May 9, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 2; Cusip: 22547QME3

• Contingent coupon callable yield notes due Feb. 21, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 16; Cusip: 22547QML7

• 0% absolute return barrier securities due June 2, 2020 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip: 22547QMH6

• 0% absolute return barrier securities due June 2, 2020 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip: 22547QMJ2

• 0% digital plus barrier notes due May 31, 2019 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 23

• 0% digital-plus barrier notes due May 31, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip: 22547QMM5

• 0% equity-linked autocallable step-up notes due June 2, 2017 tied to the performance of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip: 22547QMK9

• High/low coupon callable yield notes due Aug. 31, 2015 linked to the iShares MSCI Emerging Markets ETF and the iShares MSCI Brazil Capped ETF; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22547QMU7

• 0% accelerated barrier notes due June 1, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22547QMR4

• 0% absolute return barrier securities due May 31, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22547QMX2

• 0% Buffered Accelerated Return Equity Securities due May 31, 2018 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22547QMT0

• 0% Buffered Accelerated Return Equity Securities due Nov. 30, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 28; Cusip: 22547QN28

• High/low coupon callable yield notes due Dec. 4, 2015 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 30; Cusip: 22547QMN3

• 0% accelerated barrier notes due June 4, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 30; Cusip: 22547QMP8

• 0% absolute return barrier securities due June 4, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 30; Cusip: 22547QMQ6

• 0% autocallable market-linked step-up notes due May 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2015 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 0% Credit Suisse FI Enhanced S&P 500 Total Return index exchange-traded notes due 2019 linked to the S&P 500 Total Return index; via Credit Suisse Securities (USA) LLC; Cusip: 22542D431

CREDIT SUISSE AG, LONDON BRANCH

• 10% autocallable reverse convertible notes due May 12, 2015 linked to Alexion Pharmaceuticals, Inc. common stock; via Credit Suisse Securities (USA) LLC; pricing May 7; Cusip: 22547QMF0

• 0% Buffered Accelerated Return Equity Securities due Aug. 30, 2019 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing May 28; Cusip: 22547QMY9

• 0% Buffered Accelerated Return Equity Securities due Nov. 30, 2017 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 28; Cusip: 22547QMZ6

• 0% Buffered Accelerated Return Equity Securities due Nov. 30, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 28; Cusip: 22547QN28

DEUTSCHE BANK AG, LONDON BRANCH

• 0% notes due May 5, 2017 linked to the Indian rupee, the Indonesian rupiah, the Turkish lira and the South African rand; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 25152RVV2

• 0% Accelerated Return Notes due July 2015 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% market-linked step-up notes due May 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% market-linked step-up notes due May 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 24- to 27-month 0% capped buffered notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RJY0

GOLDMAN SACHS GROUP, INC.

• Floating-rate notes due May 2021; via Goldman Sachs & Co.; settling in May; Cusip: 38147Q4L7

• 15-year callable quarterly CMS spread-linked notes; via Goldman Sachs & Co.; Cusip: 38147Q3Y0

• 0% currency-linked notes due 24 to 27 months after issue linked to equal weights of the Indian rupee, the Malaysian ringgit and the Mexican peso relative to the dollar; via Goldman Sachs & Co.

• 0% digital notes linked to the Euro Stoxx 50 index due in 18 to 21 months; 85% trigger; via Goldman Sachs & Co.

• 24- to 27-month 0% notes linked to the Euro Stoxx 50 index; 90% trigger; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147Q2X3

• 36- to 39-month digital notes linked to the iShares U.S. Real Estate exchange-traded fund; via Goldman Sachs & Co.

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

• 25- 28-month 0% leveraged notes tied to the MSCI EAFE index; 90% trigger; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147Q2V7

• 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 2016 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QGX8

• 0% leveraged notes linked to the S&P 500 index due in 36 to 39 months; via Goldman Sachs & Co.

• 0% buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QGF7

• 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147Q2U9

• 0% digital notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 24-month 0% autocallable leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.

• 0% 30-month leveraged buffered notes linked to the S&P MidCap 400 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38147Q3C8

• 0% buffered digital notes linked to the Stoxx Europe 600 index due in 23 to 26 months; 90% trigger; via Goldman Sachs & Co.

• 36- to 39-month 0% notes linked to the Topix index; via Goldman Sachs & Co.

HSBC USA INC.

• 0% leveraged contingent buffered enhanced notes due Nov. 9, 2015 linked to Bank of America Corp. common stock; via HSBC Securities (USA) Inc. and J.P. Morgan Securities LLC; pricing May 2; Cusip: 40433BAX6

• 0% leveraged buffered uncapped market participation securities due May 14, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing May 7; Cusip: 40432XZ61

• Callable leveraged steepener notes due May 21, 2029 linked to the 30-year and five-year Constant Maturity Swap rates; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing May 16; Cusip: 40432XZ79

• Contingent income barrier notes due June 2, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 23; Cusip: 40432XYU9

• Leveraged Index Return Notes due May 2019 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in May

• 0% Market Index Target-Term Securities due May 2021 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in May

JPMORGAN CHASE & CO.

• Callable step-up fixed-rate notes due May 6, 2032; via J.P. Morgan Securities LLC; pricing May 1; Cusip: 48126N5Y9

• Floating-rate notes due May 7, 2021 linked to the 10-year Constant Maturity Swap rate; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48126N6C6

• Contingent income autocallable securities due May 7, 2015 linked to Biogen Idec Inc. common stock; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing May 2; Cusip: 48127F533

• Contingent income autocallable securities due May 5, 2017 linked to Chipotle Mexican Grill, Inc.; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48127F525

• 0% capped return enhanced notes due May 20, 2015 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48127DGA0

• Contingent income autocallable securities due May 5, 2017 linked to Mosaic Co. common stock; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing May 2; Cusip: 48127F541

JPMorgan Chase & Co.

• 0% contingent buffered equity notes due Nov. 4, 2015 linked to the Euro Stoxx 50 index; 80% trigger; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48127DFZ6

• 0.15% notes due May 5, 2017 linked to the Indian rupee, the Indonesian rupiah, the Turkish lira and the South African rand; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48126N6F9

• 0% notes due May 5, 2017 linked to the Indian rupee, the Indonesian rupiah, the Turkish lira and the South African rand; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48126N6E2

• 0% return notes due May 20, 2015 linked to an equally weighted basket of the MSCI Italy SMID Cap index and the MSCI Spain SMID Cap index; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48127DGB8

• Autocallable contingent interest notes due May 20, 2015 linked to priceline.com Inc.; via J.P. Morgan Securities LLC; pricing May 2; Cusip: 48127DGC6

• Callable contingent interest notes due May 31, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 23; Cusip: 48127DFT0

• 0% review notes due May 31, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 27; Cusip: 48127DGS1

• 0% review notes due May 31, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 27; Cusip: 48127DGT9

MORGAN STANLEY

• Phoenix autocallable securities due May 20, 2015 linked to the common stock of Amazon.com, Inc.; via Morgan Stanley & Co. LLC with J.P. Morgan Securities LLC as dealer; pricing May 2; Cusip: 61761JQM4

• Phoenix autocallable securities due May 20, 2015 linked to the common stock of Cabot Oil & Gas Corp.; via Morgan Stanley & Co. LLC with J.P. Morgan Securities LLC as dealer; pricing May 2; Cusip: 61761JQN2

• Phoenix autocallable securities due May 20, 2015 linked to the class C common stock of Google Inc.; via Morgan Stanley & Co. LLC with J.P. Morgan Securities LLC as dealer; pricing May 2; Cusip: 61761JQP7

ROYAL BANK OF CANADA

• Contingent income autocallable securities due May 2015 linked to the common stock of Alcoa Inc.; via RBC Capital Markets, LLC; pricing May 2; Cusip: 78011Q253

• 0% direct investment notes due June 8, 2015 linked to the Equity Compass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing May 5; Cusip: 78010UVF1

• Redeemable step-up notes due May 12, 2017; via RBC Capital Markets, LLC; settlement May 12; Cusip: 78010UVP9

• Redeemable step-up notes due May 13, 2022; via RBC Capital Markets, LLC; settlement May 13; Cusip: 78010UVQ7

• 0% Strategic Accelerated Redemption Securities due June 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 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 July 2015 linked to the MSCI EAFE index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2015 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

WELLS FARGO & CO.

• Floating-rate notes due May 9, 2021 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing May 6; Cusip: 94986RTU5

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