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Structured Products Calendar
BANK OF AMERICA CORP.
• Callable range accrual notes due August 2023; via Bank of America Merrill Lynch; pricing in July
• 0% currency-linked step-up notes due July 2014 linked to the Chinese renminbi, the Indonesian rupiah, the Singapore dollar and the Turkish lira; via Bank of America Merrill Lynch; pricing in July
• 0% buffered enhanced market-linked step-up notes due July 2014 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in July
• Variable coupon notes due August 2016 linked to a basket of gold, palladium, platinum and copper spot prices and Brent crude oil, RBOB gasoline, heating oil, natural gas, soybeans, sugar, wheat and corn futures contracts; via Bank of America Merrill Lynch; pricing in July
• 0% Strategic Accelerated Redemption Securities due August 2012 linked to the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Bank of America Merrill Lynch; pricing in July
• 0% Strategic Accelerated Redemption Securities due August 2012 linked to the iShares S&P Latin America 40 index fund; 95% trigger; via Bank of America Merrill Lynch; pricing in July
• Callable range accrual notes due July 2018 linked to six-month Libor; via Bank of America Merrill Lynch; pricing in July
• 0% Capped Leveraged Index Return Notes due July 2013 linked to the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in July
• 0% Strategic Accelerated Redemption Securities due January 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 0% market-linked step-up notes due July 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 0% market-linked step-up notes due July 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 0% Market Index Target-Term Securities due July 2017 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 0% market-linked step-up notes due July 2015 linked to the S&P 500, MSCI EAFE and MSCI Emerging Markets indexes; via Bank of America Merrill Lynch; pricing in July
• Callable capped notes due Aug. 15, 2031 linked to the two-year and 30-year Constant Maturity Swap Rates; via Bank of America Merrill Lynch; settle Aug. 15; Cusip: 06048WGZ7
• 0% Accelerated Return Notes due September 2012 linked to the MSCI Brazil index; via Bank of America Merrill Lynch; settlement in August
• 9% STEP Income Securities due August 2012 linked to Citigroup Inc. shares; via Bank of America Merrill Lynch; pricing in August
BANK OF MONTREAL
• 13% annualized reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of AK Steel Holding Corp.; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSB4
• 17.75% reverse exchangeable notes due Oct. 31, 2011 linked to ATP Oil & Gas Corp. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRS8
• 12.75% annualized reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Baidu, Inc.; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSC2
• 0% buffered currency-linked notes due January 2014 linked to Brazilian real, the Australian dollar, the Canadian dollar and the Norwegian krone relative to the U.S. dollar; 90% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRE9
• 13% annualized reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Delta Air Lines, Inc.; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSD0
• 14% reverse exchangeable notes due Jan. 31, 2012 linked to DryShips Inc. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRW9
• 17% reverse exchangeable notes due Oct. 31, 2011 linked to Green Mountain Coffee Roasters, Inc. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRT6
• 12.25% annualized reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Goodyear Tire & Rubber Co.; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSE8
• 14.5% reverse exchangeable notes due Oct. 31, 2011 linked to Hecla Mining Co. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRU3
• 20% reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of JDS Uniphase Corp.; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSF5
• 17.75% reverse exchangeable notes due Oct. 31, 2011 linked to lululemon athletica inc. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QRV1
• 13.25% reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Netflix Inc.; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSG3
• 15.25% reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Patriot Coal Corp.; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSH1
• 20% reverse exchangeable notes due Jan. 31, 2012 linked to the common stock of Suntech Power Holdings Co., Ltd.; via BMO Capital Markets Corp.; pricing July 26; Cusip: 06366QSJ7
BARCLAYS BANK PLC
• 7.3%-9.3% trigger yield optimization notes due July 27, 2012 linked to the common stock of Deere & Co.; via Barclays Capital Inc. and UBS Financial Services Inc.; pricing July 22; Cusip: 06738G688
• Trigger phoenix autocallable optimization securities due July 26, 2012 linked to Emerson Electric Co. common stock; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 22; Cusip: 06738G647
• 7.3%-9.3% trigger yield optimization notes due July 27, 2012 linked to the common stock of Prudential Financial, Inc.; via Barclays Capital Inc. and UBS Financial Services Inc.; pricing July 22; Cusip: 06738G670
• Trigger phoenix autocallable optimization securities due July 26, 2012 linked to Sprint Nextel Corp. common stock; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 22; Cusip: 06738G639
• 9% reverse convertible notes due Jan. 30, 2012 linked to Amazon.com, Inc. stock; via Barclays Capital; pricing July 25; Cusip: 06741JKY4
• 10.75% reverse convertible notes due July 27, 2012 linked to the common stock of AK Steel Holding Corp.; via Barclays Capital Inc.; pricing July 26; Cusip: 06741JKW8
• 11% reverse convertible notes due Jan. 31, 2012 linked to Akamai Technologies, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKD0
• 12% reverse convertible notes due Oct. 31, 2011 linked to Alpha Natural Resources, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJU4
• 10.1% reverse convertible notes due Oct. 31, 2011 linked to Baidu, Inc. (American Depositary Shares) stock; via Barclays Capital; pricing July 26; Cusip: 06741JJV2
• 9.25% reverse convertible notes due July 27, 2012 linked to Bank of America Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJT7
• 0% double short leverage securities due July 31, 2014 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 26; Cusip: 06738KNK3
• Notes due July 31, 2014 linked to equal weights of the Brazilian real, the Australian dollar, the Canadian dollar and the Norwegian krone relative to the U.S. dollar; via Barclays Capital Inc.; pricing July 26; Cusip: 06738KMS7
• 10.85% reverse convertible notes due Oct. 31, 2011 linked to Cameron International Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJW0
• 10.5% reverse convertible notes due July 27, 2012 linked to CF Industries Holdings, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKS7
• 10.1% reverse convertible notes due Jan. 31, 2012 linked to Citrix Systems, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKG3
• 10.75% reverse convertible notes due Jan. 31, 2012 linked to Cliffs Natural Resources Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKE8
• 0% buffered digital plus notes due Jan. 29, 2015 linked to the Dow Jones Industrial Average; via Barclays Capital Inc.; pricing July 26; Cusip: 06738KND9
• 10.25% reverse convertible notes due Jan. 31, 2012 linked to eBay Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJQ3
• 11.75% reverse convertible notes due Oct. 31, 2011 linked to First Solar, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJX8
• 8.5% reverse convertible notes due Jan. 31, 2012 linked to Ford Motor Co. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJK6
• 10% reverse convertible notes due Jan. 31, 2012 linked to Freeport-McMoRan Copper & Gold Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKH1
• 10.1% reverse convertible notes due Jan. 31, 2012 linked to Goodyear Tire & Rubber Co. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKJ7
• 9.5% reverse convertible notes due Jan. 31, 2012 linked to Juniper Networks, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKK4
• 10% reverse convertible notes due Jan. 31, 2012 linked to lululemon athletica inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKL2
• 9.25% reverse convertible notes due Jan. 31, 2012 linked to Marathon Oil Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJR1
• 9% reverse convertible notes due Jan. 31, 2012 linked to MetLife, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJL4
• 11.75% reverse convertible notes due Jan. 31, 2012 linked to MGM Resorts International stock; via Barclays Capital; pricing July 26; Cusip: 06741JKM0
• 10% reverse convertible notes due Oct. 31, 2011 linked to Micron Technology, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKC2
• 11% reverse convertible notes due Jan. 31, 2012 linked to Netflix, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKN8
• 10.75% reverse convertible notes due July 27, 2012 linked to the common stock of Netflix, Inc.; via Barclays Capital Inc.; pricing July 26; Cusip: 06741JKV0
• 8.75% reverse convertible notes due Jan. 31, 2012 linked to Noble Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJM2
• 17.75% reverse convertible notes due Oct. 31, 2011 linked to Northern Oil & Gas, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJZ3
• 9.75% reverse convertible notes due Jan. 31, 2012 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJP5
• Floating-rate notes due July 31, 2013 linked to the Russell 2000 index; via Barclays Capital Inc.; pricing July 26; Cusip: 06738KPN5
• Buffered return optimization securities due July 31, 2013 linked to the Russell 2000; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 26; Cusip: 06741K221
• Buffered return optimization securities due July 31, 2013 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 26; Cusip: 06741K239
• 0% notes due July 31, 2017 linked to the S&P BRIC 40 index; via Barclays Capital Inc.; pricing July 26; Cusip: 06738KNF4
• 10.65% reverse convertible notes due Jan. 31, 2012 linked to salesforce.com, inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKF5
• 10.9% reverse convertible notes due Jan. 31, 2012 linked to Sandisk Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKQ1
• 9% reverse convertible notes due Jan. 31, 2012 linked to Schlumberger N.V. (Schlumberger Ltd.) stock; via Barclays Capital; pricing July 26; Cusip: 06741JJN0
• 12.5% reverse convertible notes due Oct. 31, 2011 linked to Sohu.com Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKA6
• Trigger return optimization securities due July 31, 2014 linked to the SPDR S&P 500 Exchange-Traded Trust, iShares MSCI EAFE Index fund and iShares MSCI Emerging Markets Index fund; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing July 26; Cusip: 06741K197
• 10% reverse convertible notes due Jan. 31, 2012 linked to Transocean Ltd. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKP3
• 10.75% reverse convertible notes due Oct. 31, 2011 linked to Trina Solar Ltd. (American Depositary Shares) stock; via Barclays Capital; pricing July 26; Cusip: 06741JKB4
• 11% reverse convertible notes due Jan. 31, 2012 linked to United States Steel Corp. stock; via Barclays Capital; pricing July 26; Cusip: 06741JJS9
• 10.4% reverse convertible notes due July 27, 2012 linked to Walter Energy, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKT5
• 10.65% reverse convertible notes due Jan. 31, 2012 linked to Weatherford International Ltd. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKR9
• 15.25% reverse convertible notes due July 27, 2012 linked to Western Refining, Inc. stock; via Barclays Capital; pricing July 26; Cusip: 06741JKU2
• 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due July 29, 2016 linked to the Barclays Prosper ETF portfolio; via Barclays Capital Inc.; settlement July 29; Cusip: 06738KNJ6
• One-year 0% notes linked to the Barclays Capital Series-2 WTI Crude 11M Deferred TR index; via Barclays Capital Inc.; Cusip: 06738KNC1
CITIBANK, NA
• Market-linked certificates of deposit with contingent coupon due July 21, 2017 linked to silver, palladium, copper, nickel, corn, soybeans, gasoline, sugar, the S&P GSCI Crude Oil Excess Return index and the S&P GSCI Livestock Excess Return index; via Citigroup Global Markets Inc.; pricing July 26; Cusip: 172986DG3
• Callable CMS leveraged spread range accrual market-linked certificates of deposit due 2031; via Citigroup Global Markets Inc.; Cusip: 172986FH9
CITIGROUP FUNDING INC.
• 8%-10% annualized Equity LinKed Securities due Jan. 25, 2012 linked to the common stock of Broadcom Corp.; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 17317U766
• 11%-13% annualized Equity LinKed Securities due Jan. 25, 2012 linked to the common stock of Las Vegas Sands Corp.; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 17317U774
• 9%-11% annualized Equity LinKed Securities due Jan. 25, 2012 linked to the common stock of Transocean Ltd.; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 17317U758
• 0.1% tracker notes due July 2013 linked to the Citi Global Interest Rates Strategy 10 USD index; via Citigroup Global Markets Inc.; pricing in July; Cusip: 1730T0NA3
• 0% Premium Mandatory Callable Equity-linked Securities due Aug. 8, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Aug. 5; Cusip: 1730T0MZ9
• Callable range accrual notes due July 27, 2026 linked to the Russell 2000 index and Libor; via Citigroup Global Markets Inc.; Cusip: 1730T0MV8
• 0.5% market-linked notes due Jan. 25, 2017 linked to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 1730T0MU0
CREDIT SUISSE AG, NASSAU BRANCH
• 0% notes due July 31, 2014 linked to Australian dollar, the Brazilian real, the Canadian dollar and the Norwegian krone; via Credit Suisse Securities (USA) LLC; pricing July 22; Cusip: 22546TBR1
• 0% capped knock-out notes due Aug. 8, 2012 linked to the common stock of Google Inc.; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing July 22; Cusip: 22546TCD1
• 0% buffered return enhanced notes due Aug. 8, 2012 linked to Hang Seng China Enterprises index, Kospi 200 index, the MSCI Taiwan index, the Hang Seng index and the MSCI Singapore index; 90% trigger; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing July 22; Cusip: 22546TCC3
• 6.75%-7.75% callable yield notes due Oct. 29, 2012 linked to the iShares MSCI Emerging Markets index fund and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 22; Cusip: 22546TBH3
• 0% digital-plus barrier notes due July 29, 2015 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 22; Cusip: 22546TBL4
• 5.5%-6.5% callable yield notes due Oct. 29, 2012 linked to the S&P 500 and the Russell 2000 indexes; via Credit Suisse Securities (USA) LLC; pricing July 22; Cusip: 22546TBJ9
• 0% CS notes due July 29, 2016 linked to the Credit Suisse Merger Arbitrage Liquid Risk Controlled index; via Credit Suisse Securities (USA) LLC; pricing July 25; Cusip: 22546TBT7
• 8.7% callable yield notes due Aug. 2, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the SPDR S&P Metals & Mining ETF; Credit Suisse Securities (USA) LLC; pricing July 26; Cusip: 22546TCE9
• 9%-11% annualized callable yield notes due Jan. 31, 2012 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 26; Cusip: 22546TBB6
• 10%-12% annualized callable yield notes due Jan. 31, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing July 26; Cusip: 22546TBC4
• High/low coupon callable yield notes due July 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing July 26; Cusip: 22546TBD2
• High/low coupon callable yield notes due Aug. 3, 2012 linked to the Russell 2000 index, the SPDR S&P Metals & Mining exchange-traded fund and the United States Natural Gas Fund, LPl via Credit Suisse Securities (USA) LLC; pricing July 29; Cusip: 22546TBZ3
• 10%-11% callable yield notes due Aug. 3, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing July 29; Cusip: 22546TAZ4
• 0% Cert PLUS securities due Aug. 3, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 29; Cusip: 22546TBS9
• 9.25%-10.25% callable yield notes due Aug. 3, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 29; Cusip: 22546TBA8
• 9%-11% annualized callable yield notes due Feb. 3, 2012 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 29; Cusip: 22546TAY7
DEUTSCHE BANK AG, LONDON BRANCH
• 0% trigger autocallable optimization securities due July 26, 2012 linked to Baker Hughes Inc. shares; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing July 22; Cusip: 25154W373
• 0% capped notes due Jan. 26, 2012 linked to the Norwegian krone; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing July 22; Cusip: 2515A1AA9
• 0% alpha overlay securities due July 13, 2014 linked to the Deutsche Bank Fed Funds Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing July 25; Cusip: 2515A18V6
• 0% accelerated return securities due Sept. 28, 2012 linked to the iShares MSCI Emerging Markets index fund; via Deutsche Bank Securities Inc.; pricing July 26; Cusip: 2515A18Q7
• 0% capped buffered underlying securities due Jan. 30, 2013 linked to the Russell 2000 index; via Deutsche Bank Securities Inc.; pricing July 26; Cusip: 2515A18X2
• 0% accelerated return securities due July 30, 2015 linked to the S&P 500 index and the iShares MSCI EAFE index fund; via Deutsche Bank Securities Inc.; pricing July 26; Cusip: 2515A18Z7
• 0% S&P plus tracker notes due Aug. 30, 2013 linked to the S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc.; pricing Aug. 26; Cusip: 2515A18S3
EKSPORTFINANS ASA
• 0% autocallable access securities with fixed percentage buffered downside due Aug. 1, 2013 linked to the Energy Select Sector SPDR fund; via Wells Fargo Securities, LLC; pricing in July
• 0% autocallable access securities with fixed percentage buffered downside due Aug. 1, 2013 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in July
• Autocallable access securities with fixed percentage buffered downside due Aug. 1, 2013 linked to the iShares Russell 2000 Index fund; via Wells Fargo Securities, LLC; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the Rogers International Commodity Index-Agriculture Excess Return; via Bank of America Merrill Lynch; pricing in July
• 0% Strategic Accelerated Redemption Securities due August 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• Autocallable access securities with fixed percentage buffered downside due Aug. 1, 2013 linked to the SPDR S&P Metals and Mining fund; via Wells Fargo Securities, LLC; pricing in July
GOLDMAN SACHS GROUP, INC.
• 0% index-linked trigger notes due Jan. 25, 2013 tied to the S&P 500 index; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing July 22; Cusip: 38143UWS6
• 0% index-linked trigger notes due Aug. 8, 2012 tied to the S&P 500 index; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing July 22; Cusip: 38143UWR8
• 0% leveraged index-linked notes due Aug. 8, 2012 tied to the S&P 500 index; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing July 22; Cusip: 38143UWT4
• Callable step-up fixed-rate notes due July 2020 with 4% initial rate; via Goldman Sachs & Co. and Incapital LLC; pricing in July; Cusip: 38143UWU1
• Callable step-up fixed-rate notes due July 2026 with 5% initial rate; via Goldman Sachs & Co. and Incapital LLC; pricing in July; Cusip: 38143UWV9
• Callable step-up fixed-rate notes due July 2026 with 5% initial rate; via Goldman Sachs & Co. and Incapital LLC; pricing in July; Cusip: 38143UWX5
• Five-year inflation-linked notes tied to the Consumer Price Index; via Goldman Sachs & Co.; Cusip: 38143UUQ2
• 0% equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UWM9
• 0% buffered equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UWP2
• 18- to 21-month 0% leveraged commodity strategy-linked notes linked to the Enhanced E96 Strategy on the S&P GSCI Light Energy Index Excess Return; via Goldman Sachs & Co.
• Two-year 0% leveraged buffered index fund-linked notes linked to the iShares MSCI Emerging Markets index fund; via Goldman Sachs & Co.; Cusip: 38143UTP6
• Two-year 0% leveraged buffered fund-linked notes tied to the iShares Silver Trust; 85% trigger; via Goldman Sachs & Co.; Cusip: 38143UUE9
• 0% autocallable buffered index-linked notes due Feb. 6, 2013 linked to the Russell 2000 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143USL6
• 18- to 21-month 0% leveraged index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.
• 0% leveraged buffered index-linked notes due May 1, 2013 tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UTV3
• 0% buffered index-linked notes due Jan. 29, 2015 linked to the S&P 500; via Goldman Sachs & Co.; Cusip: 38143UWN7
• 0% buffered equity index-linked notes tied to the S&P 500 index due 48 to 52 months after issue; via Goldman Sachs & Co.
• 60- to 70-month 0% threshold leveraged equity index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.
• 15-year callable quarterly range accrual notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: is 38143UUT6
• Callable quarterly range accrual notes linked to the S&P 500 index and the Libor rate; via Goldman Sachs & Co.; Cusip: 38143UWL1
• 39- to 45-month 0% leveraged buffered basket-linked notes linked to the S&P 500 index and the MSCI EAFE index; via Goldman Sachs & Co.
• Five-year 0% notes linked to the S&P 500 index, the MSCI EAFE index, the Russell 2000 index, the Dow Jones - UBS Commodity index and the iShares MSCI Emerging Markets index fund; via Goldman Sachs & Co.; Cusip: 38143UTH4
• 0% commodity index-linked notes due in 24 to 26 months linked to the S&P GSCI Enhanced Commodity Index Excess Return; via Goldman Sachs & Co.
HARRIS, NA
• Certificates of deposit due July 31, 2017 inversely linked to the Barclays Capital U.S. Treasury 7-10 Year Total Return index; via BMO Capital Markets Corp. and distributor Incapital LLC; pricing July 26; Cusip: 41456TQN2
HSBC BANK USA, NA
• Annual income opportunity certificates of deposit with auto cap feature due July 27, 2017 linked to a basket of stocks of Aluminum Corp. of China Ltd., Baidu, Inc., China Unicom, Chunghwa Telecom Co., Ltd., Cnooc Ltd., Icici Bank Ltd., Infosys Technologies Ltd., LG Display Co. Ltd., SK Telecom Co., Ltd. and Tata Motors Ltd.; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 40431GVG1
• 0.5%-1% income and performance certificates of deposit due July 27, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 40431GUQ0
• Income plus certificates of deposit due July 30, 2018 with 4% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GUS6
• Income plus certificates of deposit due July 30, 2018 with 6.5% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GUT4
• Income plus certificates of deposit due July 30, 2018 with 9% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GUU1
• Income plus certificates of deposit due July 30, 2018 with 11.5% potential coupon linked to the common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GUV9
• Annual income opportunity certificates of deposit with auto cap due July 30, 2018 linked to Amazon.com, Inc., Avon Products, Inc., Coca-Cola Co., Colgate-Palmolive Co., Exxon Mobil Corp., Intel Corp., Maxim Integrated Products, Inc., McDonald's Corp., Merck & Co., Inc., Pfizer Inc., Philip Morris International and Qualcomm Inc.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GVE6
• Annual income opportunity certificates of deposit with auto cap feature due July 30, 2015 linked to a basket of stocks of Applied Materials, Inc., Biogen Idec Inc., BlackRock, Inc., Boston Scientific Corp., Companhia de Bebidas, eBay Inc., Harley-Davidson, Inc., Johnson & Johnson, Maxim Integrated Products, Inc., Monsanto Co., Potash Corp. and Vulcan Materials Co.; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 40431GUP2
• Annual income opportunity certificates of deposit with auto cap feature due July 31, 2017 linked to the common stocks of ABB Ltd., Amgen Inc., Baidu, Inc. Barrick Gold Corp., BP plc, Canon Inc., Duke Energy Corp., Ecopetrol SA, Elan Corp. plc, Grupo Televisa SA, HDFC Bank Ltd. and Marvell Technology Group Ltd.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GVF3
• Annual income opportunity CDs with auto cap due July 29, 2016 linked to a basket of stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., News Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GUY3
• Annual income opportunity CDs with auto cap due July 31, 2017 linked to a basket of stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., News Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GVA4
• Annual income opportunity certificates of deposit with auto cap due July 31, 2017 linked to the common stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., News Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40431GVC0
• Annual income opportunity certificates of deposit with auto cap due July 30, 2018 linked to the common stocks of Applied Materials, Inc., Biogen Idec Inc., BlackRock, Inc., Boston Scientific Corp., Companhia de Bebidas, eBay Inc., Harley-Davidson, Inc., Johnson & Johnson, Maxim Integrated Products, Inc., Monsanto Co., Potash Corp. and Vulcan Materials Co.; via HSBC Securities (USA) Inc.; pricing July 28; Cusip: 40431GUK3
HSBC USA INC.
• Fixed-to-floating rate notes due July 27, 2018; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 4042K1LE1
• 0% performance securities due July 31, 2017 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 4042K1KG7
• 0% performance securities due July 31, 2017 linked to the Euro Stoxx 50, Hang Seng and S&P 500 indexes; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 4042K1KE2
• 6%-9% autocallable yield notes due July 19, 2012 linked to the S&P 500 index and the Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 4042K1KP7
• 9%-12% autocallable yield notes due July 19, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund, the Oil Service Holdrs Trust and the Market Vectors Agribusiness ETF; 70% trigger; via HSBC Securities (USA) Inc.; pricing July 22; Cusip: 4042K1KQ5
• Callable step-up fixed-rate notes due July 28, 2023; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1LG6
• Callable step-up fixed-rate notes due July 28, 2023; via HSBC Securities (USA) Inc.; pricing July 25; Cusip: 4042K1KH5
• 0% performance securities due Aug. 1, 2012 linked to a basket of the Australian dollar, Canadian dollar, Norwegian krone and Swedish krona, relative to the U.S. dollar; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40433C635
• 0% trigger performance securities due July 30, 2021 linked to the S&P 500 index; 50% trigger; via UBS Financial Services Inc. and HSBC USA Inc.; pricing July 26; Cusip: 40433C684
• 0% trigger performance securities due July 30, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing July 26; Cusip: 40433C643
• 0% buffered return optimization securities due July 31, 2013 linked to the S&P MidCap 400 index; via UBS Financial Services Inc. and HSBC Securities (USA); pricing July 26; Cusip: 40433C676
JPMORGAN CHASE BANK, NA
• Callable variable-rate certificates of deposit due July 20, 2026 linked to six-month Libor; via J.P. Morgan Securities LLC; settlement July 20; Cusip: 48123YD60
• Callable variable-rate range accrual certificates of deposit due July 20, 2026 linked to six-month Libor and the S&P 500 index; via J.P. Morgan Securities LLC; settlement July 20; Cusip: 48123YD94
• Callable variable-rate range accrual certificates of deposit due July 22, 2026 linked to six-month Libor and the S&P 500 index; via J.P. Morgan Securities LLC and distributor Advisors Asset Management, Inc.; settlement July 22; Cusip: 48123YE28
• Digital contingent coupon certificates of deposit due July 29, 2016 linked to Altria Group, Inc., AT&T Inc., Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48123YE51
• Digital contingent coupon certificates of deposit due July 31, 2017 linked to Altria Group, Inc., AT&T Inc., Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48123YE44
• Contingent coupon certificates of deposit due July 31, 2018 linked to the common stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Barrick Gold Corp., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing July 26; Cusip: 48123YE69
• Digital contingent coupon certificates of deposit due July 31, 2018 linked to Altria Group, Inc., AT&T Inc., Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P Morgan Securities LLC with Incapital LLC; pricing July 26; Cusip: 48123YE36
• Certificates of deposit due July 29, 2016 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via J.P. Morgan Securities LLC, agent, and Incapital LLC, distributor; pricing July 26; Cusip: 48123YG91
• Contingent coupon certificates of deposit due July 29, 2016 linked to Brent crude oil, RBOB gasoline, silver, platinum, copper, nickel, corn, soybeans, sugar and cotton; via J.P. Morgan Securities LLC, agent, and Incapital LLC, distributor; pricing July 26; Cusip: 48123YH25
• Certificates of deposit due July 29, 2016 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD); via J.P. Morgan Securities LLC and Incapital LLC; pricing July 26; Cusip: 48123YG42
• Certificates of deposit due July 29, 2016 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing July 26; Cusip: 48123YE85
• Index annual income certificates of deposit due July 31, 2017 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing July 26; Cusip: 48123YG26
• Contingent interest certificates of deposit due July 31, 2026 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48123YH33
• Callable variable-rate certificates of deposit due July 29, 2026 linked to six-month Libor; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; settling July 29; Cusip: 48123YH82
• Callable variable-rate range accrual certificates of deposit due July 29, 2026 linked to six-month Libor and the S&P 500 index; via J.P. Morgan Securities LLC as underwriter and Incapital LLC as distributor; settling July 29; Cusip 48123YH90
JPMORGAN CHASE & CO.
• Fixed-to-floating notes due July 27, 2018 linked to the Consumer Price Index; via J.P. Morgan Securities LLC; pricing July 22; Cusip: 48125XWR
• 7%-9% trigger yield optimization notes due July 27, 2012 linked to Chesapeake Energy Corp. common stock; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 22; Cusip: 46636T309
• 0% trigger autocallable optimization securities due July 26, 2012 linked to Halliburton Co. common stock; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 22; Cusip: 46636T408
• 7.75%-9.75% trigger yield optimization notes due July 27, 2012 linked to MetroPCS Communications, Inc. common stock; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing July 22; Cusip: 46636T200
• 0% capped daily observation knock-out notes due Aug. 8, 2012 linked to Starbucks Corp. shares; 72.5% trigger; via J.P. Morgan Securities LLC; pricing July 22; Cusip: 48125XZA7
• 0% capped daily observation knock-out notes due Aug. 8, 2012 linked to the American Depositary Shares of Vodafone Group plc; via J.P. Morgan Securities LLC; pricing July 22; Cusip: 48125XYZ3
• Callable fixed-rate step-up notes due July 29, 2023 with 4% initial interest rate; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XWS1
• 0% buffered return enhanced notes due Jan. 31, 2013 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXG6
• 0% buffered return enhanced notes due Jan. 31, 2013 linked to the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXJ0
• 0% return notes due Oct. 31, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXQ4
• 0% return notes due Oct. 31, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XYT7
• 10% callable yield notes due July 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXN1
• 10% callable yield notes due July 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXP6
• 0% buffered return enhanced notes due Jan. 31, 2013 linked to the Russell index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXF8
• 0% buffered return enhanced notes due Jan. 31, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXH4
• 0% buffered return enhanced notes due July 31, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXL5
• 0% buffered return enhanced notes due July 31, 2014 linked to an equally weighted basket of the S&P 500 index, the iShares MSCI Emerging Markets index fund and the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48125XXK7
• Callable fixed-rate step-up notes due July 29, 2031; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XWV4
• 13.5% reverse convertible notes due Oct. 31, 2011 linked to AK Steel Holding Corp. stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZH2
• Upside autocallable reverse exchangeable notes due July 27, 2012 linked to Bank of America Corp. shares; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZE9
• Upside autocallable reverse exchangeable notes due July 27, 2012 linked to Caterpillar Inc. shares; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZF6
• 13.25% reverse convertible notes due Oct. 31, 2011 linked to McMoRan Exploration Co. stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZJ8
• 18.5% reverse convertible notes due Oct. 31, 2011 linked to MGM Resorts International stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZM1
• 16.5% reverse convertible notes due Oct. 31, 2011 linked to Molycorp, Inc. stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZL3
• 16.5% reverse convertible notes due Oct. 31, 2011 linked to Netflix, Inc. stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZG4
• Upside autocallable reverse exchangeable notes due July 27, 2012 linked to Schlumberger NV shares; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZE9
• 15.75% reverse convertible notes due Oct. 31, 2011 linked to Silver Wheaton Corp. stock; via J.P. Morgan Securities LLC; pricing July 27; Cusip: 48125XZK5
• 0% Performance Leveraged Upside Securities due Aug. 30, 2012 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing in July; Cusip: 46634X120
• 0% buffered notes due Feb. 14, 2013 linked to the Dow Jones-UBS Commodity index; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZX7
• 13.32% to 15.32% reverse exchangeable notes due Feb. 16, 2012 linked to the common stock of Prudential Financial, Inc.; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZY5
• 0% buffered return enhanced notes due 2012 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; Cusip: 48125XWZ5
LLOYDS TSB BANK PLC
• Floating-rate notes due July 27, 2018; via RBC Capital Markets, LLC; pricing July 22; Cusip: 5394E8AF6
• Callable step-up fixed-rate notes due July 27, 2018; via UBS Securities LLC; pricing July 22; Cusip: 5394E8AA7
• Callable step-up fixed-rate notes due July 28, 2026; via Barclays Capital Inc.; pricing July 22; Cusip: 5394E8AB5
MORGAN STANLEY
• Fixed-to-floating notes due July 22, 2017; via Morgan Stanley & Co. LLC; settlement July 22; Cusip: 61745E3L3
• 0% Performance Leveraged Upside Securities due July 26, 2013 linked to the common stock of McDonald's Corp.; via Morgan Stanley & Co. Inc.; pricing July 22; Cusip: 617482WQ3
• Contingent annual interest notes due July 28, 2016 linked to a basket of common stocks of Abbott Laboratories, Altria Group, Inc., Bristol-Myers Squibb Co., Consolidated Edison, Inc., Duke Energy Corp., FirstEnergy Corp., Frontier Communications Corp., Johnson & Johnson, Kraft Foods Inc., Lockheed Martin Corp., McDonald's Corp., Merck & Co., Inc., Pepco Holdings, Inc., Pfizer Inc., Pitney Bowes Inc., PPL Corp., Sysco Corp., TECO Energy, Inc., Verizon Communications Inc. and Windstream Corp.; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 617482WE0
• Contingent income autocallable securities due July 25, 2012 linked to the common stock of Caterpillar Inc.; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 61760E465
• Contingent coupon commodity-linked notes due Jan. 29, 2015 tied to copper, corn, cotton, gasoline RBOB, nickel, palladium, silver, sugar, the S&P GSCI Brent Crude Index - Excess Return and the S&P GSCI Livestock Index - Excess Return; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 617482VJ0
• 0% trigger Performance Leveraged Upside Securities due Aug. 30, 2012 linked to the price of corn; 90% trigger; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482VL5
• 0% equity-linked notes due July 28, 2017 linked to the Dow Jones Industrial Average; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482WC4
• 9%-11% annualized Equity LinKed Securities due Jan. 25, 2012 linked to Mosaic Co. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 61760E515
• 0% buffered jump securities due Jan. 29, 2015 linked to the S&P 500 index; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482WD2
• Non-callable contingent coupon notes due July 28, 2031 linked to the S&P 500 index; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482WM2
• 0% trigger Performance Leveraged Upside Securities due July 25, 2014 linked to the SPDR S&P 500 ETF trust, the iShares MSCI Emerging Markets index fund and the iShares MSCI EAFE index fund; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 61760E457
• Contingent income autocallable securities due July 25, 2012 linked to Apple Inc. common stock; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 61760E168
• 0% market-linked notes due July 29, 2016 linked to the Dow Jones Industrial Average; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing July 26; Cusip: 61760E481
• 0% market-linked notes due July 31, 2017 linked to the Dow Jones Industrial Average; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing July 26; Cusip: 61760E499
• 0% buffered jump securities due April 30, 2015 linked to the Dow Jones - UBS Commodity index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482VN1
• Contingent coupon range accrual notes due July 29, 2026 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 617482WN0
• 0% performance allocation securities linked to the S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via UBS Financial Services (dealer) and Morgan Stanley & Co. Inc. (agent); pricing July 26; Cusip: 61760E473
• Fixed-to-floating-rate notes due July 29, 2026 linked to the 30-year and two-year Constant Maturity Swap rates and the S&P 500 index; via Morgan Stanley & Co. LLC; settlement July 29; Cusip: 61745E4E8
• Fixed-to-floating-rate notes due July 29, 2026 linked to the S&P 500 index and inversely to Libor; via Morgan Stanley & Co. LLC; settlement July 29; Cusip: 61745E3Y5
• CMS curve and Russell 2000 index-linked range accrual notes due July 29, 2031; via Morgan Stanley & Co. LLC; settlement July 29; Cusip: 61745E3S8
• Contingent income autocallable securities due July 2014 linked to the common stock of CBS Corp.; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61760E127
• 0% contingent income autocallable securities due July 2014 linked to the common stock of Qualcomm Inc.; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61760E135
ROYAL BANK OF CANADA
• 6%-8.25% annualized trigger yield optimization notes due Jan. 27, 2012 linked to the common stock of Lear Corp.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 22; Cusip: 78010T753
• 9%-11.5% annualized trigger yield optimization notes due Jan. 27, 2012 linked to the common stock of Transocean Ltd..; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 22; Cusip: 78010T761
• 8.75%-11.25% annualized trigger yield optimization notes due Jan. 27, 2012 linked to the common stock of Silver Wheaton Corp.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing July 22; Cusip: 78010T779
• 10% reverse convertible notes due Oct. 31, 2011 linked to AMR Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKA1
• 14% reverse convertible notes due Oct. 31, 2011 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKC7
• 7.75% reverse convertible notes due July 31, 2012 linked to Deere & Co. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKW3
• 11.25% reverse convertible notes due Oct. 31, 2011 linked to F5 Networks, Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKD5
• 10.5% reverse convertible notes due Jan. 31, 2012 linked to Foster Wheeler AG stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKT0
• Contingent coupon notes due July 29, 2016 linked to gold, silver, copper, nickel, lead, Brent crude oil futures, RBOB gasoline futures, corn futures, cotton futures and sugar futures; via RBC Capital Markets, LLC; pricing July 26; Cusip: 78008TJX3
• 11.5% reverse convertible notes due Oct. 31, 2011 linked to Goodyear Tire & Rubber Co. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKR4
• 10.5% reverse convertible notes due Oct. 31, 2011 linked to Petrohawk Energy Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKM5
• 13.25% reverse convertible notes due Oct. 31, 2011 linked to Hecla Mining Co. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKE3
• 17.75% reverse convertible notes due Oct. 31, 2011 linked to JDS Uniphase Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKF0
• 15.25% reverse convertible notes due Oct. 31, 2011 linked to lululemon athletica inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKG8
• 11.75% reverse convertible notes due Oct. 31, 2011 linked to Manitowoc Co., Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKS2
• 16% reverse convertible notes due Oct. 31, 2011 linked to MGM Resorts International stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKH6
• 20.25% reverse convertible notes due Oct. 31, 2011 linked to Molycorp, Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKJ2
• 11% reverse convertible notes due Oct. 31, 2011 linked to Netflix Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKK9
• 13% reverse convertible notes due Oct. 31, 2011 linked to Northern Oil and Gas, Inc. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKB9
• 12% reverse convertible notes due Oct. 31, 2011 linked to Patriot Coal Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKL7
• 11% reverse convertible notes due Oct. 31, 2011 linked to Research In Motion Ltd. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKN3
• 0% buffered bullish enhanced return notes due July 31, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing July 26; Cusip: 78008TJZ8
• 0% buffered bullish enhanced return notes due July 31, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing July 26; Cusip: 78008TJY1
• 10.5% reverse convertible notes due Jan. 31, 2012 linked to Sears Holdings Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKU7
• 12.75% reverse convertible notes due Oct. 31, 2011 linked to Silver Wheaton Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKP8
• 11% reverse convertible notes due Oct. 31, 2011 linked to Tesoro Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKQ6
• 9.5% reverse convertible notes due Jan. 31, 2012 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing July 26; Cusip: 78008TKV5
• 0% enhanced growth securities with capped upside and fixed percentage buffered downside due Feb. 3, 2014 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July
• 0% direct investment notes due Sept. 11, 2012 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Aug. 3; Cusip: 78008TKY9
• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Aug. 11; Cusip: 78008TLL6
• 11.5% to 15.5% reverse convertible notes due Feb. 16, 2012 linked to Whirlpool Corp. shares; 80% trigger; via RBC Capital Markets Corp.; pricing Aug. 11; Cusip 78008TLN2
• 18- to 21-month 0% leveraged equity index-linked notes linked to the MSCI EAFE index; via Goldman Sachs & Co.
ROYAL BANK OF SCOTLAND PLC
• 0% capped enhanced participation notes with fixed buffer due July 31, 2013 linked to the iShares Russell 2000 index fund; via RBS Securities Inc.; pricing July 26; Cusip: 78009PAZ4
• 0% capped enhanced participation notes with fixed buffer due July 31, 2013 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 26; Cusip: 78009PAY7
• Annual reset coupon notes with fixed buffer due July 29, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 26; Cusip: 78009PBC4
• Annual reset coupon notes with fixed buffer due July 29, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 26; Cusip: 78009PBB6
• 0% capped market-linked notes due July 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 26; Cusip: 78009PBA8
• Capped callable leveraged steepener notes due Aug. 12, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBS Securities Inc.; pricing Aug. 9; Cusip: 78009PBE0
• RBS BRIC Trendpilot notes due 2041; via RBS Securities Inc.; Cusip: 78009P119
AB SVENSK EXPORTKREDIT
• 0% Accelerated Return Notes due October 2012 linked to the spot price of copper; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the Rogers International Commodity Index-Excess Return; via Bank of America Merrill Lynch; pricing in July
• 0% Accelerated Return Notes due September 2012 linked to the PHLX Semiconductor Sector index; via Bank of America Merrill Lynch; pricing in July
UBS AG, LONDON BRANCH
• 0% trigger performance securities due July 29, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 26; Cusip: 90267X726
• 0% trigger autocallable optimization securities due July 29, 2016 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing July 27; Cusip: 90267X809
UNION BANK, NA
• 1% market-linked certificates of deposit due July 28, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via UnionBanc Investment Services, LLC as agent and Incapital LLC as distributor; pricing July 26; Cusip: 90521AGJ1
• Market-linked certificates of deposit due July 30, 2018 with barrier return linked to the Russell 2000 index; via UnionBanc Investment Services, LLC and Incapital LLC; pricing July 25; Cusip: 90521AGD4
• Market-linked certificates of deposit due July 28, 2014 with quarterly capped return linked to the Dow Jones - UBS Commodity index; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing July 25; Cusip: 90521AGF9
• Market-linked certificates of deposit due July 28, 2015 with quarterly capped return linked to the Russell 2000 index; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing July 25; Cusip: 90521AGG7
• Market-linked certificates of deposit due July 28, 2015 with quarterly capped return linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing July 25; Cusip: 90521AGH5
WELLS FARGO BANK, NA
• 0% market-linked certificates of deposit due July 31, 2017 linked to Brazilian real, Russian ruble, Indian rupee and Chinese renminbi against the dollar; via Incapital LLC; pricing July 25; Cusip: 949748J40
• 0% market-linked certificates of deposit due July 31, 2018 linked to the Dow Jones - UBS Commodity index; via Incapital LLC; pricing July 25; Cusip: 949748J32
• Contingent annual interest market-linked certificates of deposit due July 31, 2017 linked to an equally weighted basket of the S&P GSCI Brent Crude Oil Index Excess Return, the S&P GSCI Livestock Index Excess Return, copper, corn, cotton, gasoline, nickel, palladium, silver and sugar; pricing July 25; Cusip: 949748H75
WELLS FARGO & CO.
• Floating-rate notes due July 31, 2016 with 1.25% floor and 5% cap; via Wells Fargo Securities, LLC; pricing July 26; Cusip: 94986RES6
• Floating-rate notes due July 31, 2021 linked to Libor; via Wells Fargo Securities, LLC; pricing July 26; Cusip: 94986RET4
• Market-linked notes due January 2018 linked to the Dow Jones - UBS Commodity index; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986RDX6
• 0% enhanced growth securities with upside participation to a cap and fixed percentage buffered downside due July 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986REB3
• 0% enhanced growth securities due January 2013 linked to the Russell 2000 index80% trigger; via Wells Fargo Securities, LLC; pricing in July; Cusip: 94986REV9
• 0% enhanced growth securities due January 2013 linked to the S&P 500 index; 80% trigger; via Wells Fargo Securities, LLC; pricing in July; Cusip: 94986REU1
• Market-linked notes due February 2018 tied to the Dow Jones-UBS Commodity index; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REQ0
• 0% enhanced growth securities due February 2015 linked to the iShares Dow Jones U.S. Real Estate index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REP2
• 0% enhanced growth securities due February 2015 linked to iShares MSCI EAFE index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REN7
• 0% enhanced growth securities with upside participation to a cap and fixed percentage buffered downside due February 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in August; Cusip: 94986REK3
• 0% enhanced growth securities due February 2015 linked to the S&P 500 index; 90% trigger; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REJ6
• 0% enhanced growth securities due February 2016 with upside participation to a cap and contingent downside protection 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 Market index fund; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REM9
• 0% enhanced growth securities due February 2016 linked to SPDR S&P 500 exchange-traded fund trust, iShares Russell 2000 index fund, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REL1
• 0% enhanced growth securities due August 2015 linked to West Texas Intermediate crude oil, Brent crude oil, RBOB gasoline, sugar, lean hogs, cotton, gold, silver, platinum, aluminum, copper, lead, nickel, corn, wheat and soybeans; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986RER8
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