Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due Aug. 10, 2031; via Bank of America Merrill Lynch; settlement Aug. 10; Cusip: 06048WGY0

• Step-up callable notes due Aug. 10, 2021; via Bank of America Merrill Lynch; settlement Aug. 10; Cusip: 06048WHB9

• 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; settlement Aug. 15; Cusip: 06048WGZ7

• Floating-rate notes due Aug. 15, 2023 linked to the Consumer Price Index; via Bank of America Merrill Lynch; settlement Aug. 15; Cusip: 06048WHA1

• Variable coupon notes due August 2015 linked to Aflac Inc., Altria Group, Inc., Apple, Inc., Barrick Gold Corp., Chevron Corp., Citigroup Inc., Comcast Corp., CVS Caremark Corp., Eastman Chemical Co., Honeywell International Inc., Las Vegas Sands Corp., Netflix, Inc., Potash Corp. of Saskatchewan Inc., Priceline.com Inc., Prudential Financial, Inc. and Walgreen Co.; pricing in August; via Bank of America Merrill Lynch

• 9% STEP Income Securities due August 2012 linked to Citigroup Inc. shares; via Bank of America Merrill Lynch; pricing in August

• Callable range accrual notes due August 2026 linked to six-month Libor; via Bank of America Merrill Lynch; pricing in August

• Floating-rate notes linked to the 10-year U.S. Dollar Constant Maturity Swap Rate; via Bank of America Merrill Lynch; pricing in September

• 0% market-linked step-up notes due August 2014 linked to the long performance of equal weights of the Chinese renminbi, the Indonesian rupiah and the Turkish lira relative to the dollar; via Bank of America Merrill Lynch; pricing in September

• 0% enhanced market-linked step-up notes with buffer due August 2014 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in September

• 0% Market Index Target-Term Securities due September 2017 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in September

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the Energy Select Sector SPDR fund; via Bank of America Merrill Lynch; pricing in September

• 0% Market Index Target-Term Securities due September 2016 linked to gold spot price; via Bank of America Merrill Lynch; pricing in September

• Variable coupon notes due September 2016 linked to an equally weighted basket including 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 September

• 0% Capped Leveraged Index Return Notes due August 2013 linked to the Hang Seng China Enterprises index, with a 33.34% weight, and the Bovespa and Russian Depository indexes, both with weights of 33.33%; via Bank of America Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due October 2012 linked to the Rogers International Commodity Index -Excess Return; via Bank of America Merrill Lynch; pricing in September

• 0% Capped Leveraged Index Return Notes due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in September

BANK OF MONTREAL

• 10.02% to 13.02% annualized reverse exchangeable notes due Feb. 16, 2011 linked to Comcast Corp. shares; 85% trigger; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSN8

• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSP3

• 13.13% to 16.13% annualized reverse exchangeable notes due Feb. 16, 2011 linked to Valero Energy Corp. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSM0

BARCLAYS BANK PLC

• 0% trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to Avon Products, Inc. shares; 80% trigger; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 5; Cusip: 06738G530

• 0% buffered return enhanced notes due Feb. 9, 2012 linked to the Brent crude futures contract; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 06738KRB9

• 0% trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to Caterpillar Inc. shares; 75% trigger; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 5; Cusip: 06738G548

• 0% capped market plus notes due Aug. 16, 2012 linked to the spot price of gold; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 06738KQY0

• 0% notes due Aug. 16, 2016 linked to the Barclays Capital Voyager II DJ-UBSCI Total Return index; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KQB0

• Buffered iSuper Track notes due Aug. 16, 2013 linked to the iShares Dow Jones U.S. Real Estate index fund; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KPY1

• 0% Super Track notes due Feb. 19, 2013 linked to the iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing Aug. 1l; Cusip: 06738KQA2

• 8.5% to 10.5% autocallable yield notes due Feb. 22, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Barclays Capital Inc.; pricing Aug. 16; Cusip: 06738QR5

• 0% Performance Leveraged Upside Securities due Sept. 29, 2012 linked to the S&P 500 index; via Morgan Stanley Smith Barney LLC and Barclays Capital Inc.; pricing Aug. 25; Cusip: 06738G589

• 10.5% reverse convertible notes due Feb. 29, 2012 linked to Arch Coal, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLG2

• 8.5% reverse convertible notes due Feb. 29, 2012 linked to Bank of America Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLH0

• 9% reverse convertible notes due Feb. 29, 2012 linked to Citigroup Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLB3

• 0% buffered digital plus notes due Feb. 27, 2015 linked to the Dow Jones Industrial Average; via Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KQQ7

• 8.25% reverse convertible notes due Feb. 29, 2012 linked to eBay Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLJ6

• 8% reverse convertible notes due Feb. 29, 2012 linked to Marathon Oil Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLD9

• 8.25% reverse convertible notes due Feb. 29, 2012 linked to MetLife, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLC1

• 8.75% reverse convertible notes due Feb. 29, 2012 linked to Noble Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLE7

• 8.25% reverse convertible notes due Aug. 31, 2012 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLK3

• 0% notes due Aug. 31, 2017 linked to the S&P BRIC 40 index; via Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KQF1

• 8.5% reverse convertible notes due Feb. 29, 2012 linked to Schlumberger N.V. (Schlumberger Ltd.) stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLF4

• 11.75% reverse convertible notes due Aug. 31, 2012 linked to Seagate Technology stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLL1

• Trigger return optimization securities due Aug. 29, 2014 linked to a basket of the SPDR S&P 500 exchange-traded fund trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 26

• 0% market-linked step-up notes due August 2013 linked to the Dow Jones Global Titans 50 index; via Bank of America Merrill Lynch; pricing in August

• 9% STEP Income Securities due August 2012 linked to the common stock of Goodyear Tire & Rubber Co.; via Bank of America Merrill Lynch; pricing in August

• 0% market-linked step-up notes due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

• 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

• Callable CMS leveraged spread range accrual market-linked certificates of deposit due 2031; via Citigroup Global Markets Inc.; Cusip: 172986FH9

CITIGROUP FUNDING INC.

• 0% notes due Aug. 8, 2013 linked to gold, West Texas Intermediate crude oil, gasoline, sugar and copper; via Citigroup Global Markets Inc.; pricing Aug. 5; Cusip: 1730T0NB1

• 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

• Noncallable fixed-to-floating-rate notes due Aug. 30, 2016; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730T0NC9

• 7% to 9% annualized Equity LinKed Securities due Feb. 23, 2012 linked to the common stock of Amazon.com, Inc.; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17317U725

• 0.5% market-linked notes due Feb. 24, 2017 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730T0NH8

• 8% to 10% annualized Equity LinKed Securities due February 2012 linked to the common stock of Freeport-McMoRan Copper & Gold Inc.; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730TU733

• 0% jump securities due March 2012 linked to the Philadelphia Oil Service Sector index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17317U691

• 0% index-linked notes due Aug. 28, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc.; settlement in August; Cusip: 1730T0NG0

CREDIT SUISSE AG, NASSAU BRANCH

• 8.75% to 9.75% annualized callable yield notes due Feb. 15, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 5; Cusip: 22546TCF6

• 0% digital plus barrier notes due Feb. 24, 2012 linked to the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 15; Cusip: 22546TDU2

• 7.5% to 9.5% callable yield notes due Feb. 21, 2012 linked to the Market Vectors Gold Miners exchange-traded fund and the SPDR S&P Metals & Mining ETF; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCH2

• 11% to 13% callable yield notes due Feb. 21, 2012 linked to the Market Vectors Gold Miners exchange-traded fund and the SPDR S&P Metals & Mining ETF; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCJ8

• 4% to 6% callable yield notes due Aug. 20, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCK5

• 6.25% to 8.25% callable yield notes due Sept. 6, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCR0

• 0% digital plus barrier notes due Aug. 26, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 19; Cusip: 22546TCS8

• Contingent coupon autocallable notes due Aug. 26, 2014 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets index fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 19; Cusip: 22546TCV1

• 4% callable yield notes due Aug. 31, 2012 linked to the iShares MSCI Emerging Markets index fund and the iShares MSCI EAFE index fund; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22546TCW9

• 7.75% to 9.75% annualized callable yield notes due Feb. 29, 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 Aug. 26; Cusip: 22546TCL3

• 8.5% to 10.5% annualized callable yield notes due Feb. 29, 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 Aug. 26; Cusip: 22546TCN9

• High/low coupon callable yield notes due Aug. 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 Aug. 26; Cusip: 22546TCCM1

• 7.75% to 9.75% callable yield notes due Sept. 6, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCQ2

• 0% digital plus barrier notes due Sept. 8, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCT6

• 0% Cert PLUS securities due Sept. 6, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCU3

• 8.25% to 10.25% annualized callable yield notes due March 6, 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 Aug. 31; Cusip: 22546TCP4

DEUTSCHE BANK AG, LONDON BRANCH

• 0% capped buffered underlying securities due Feb. 18, 2015 linked to the S&P 500 index, the iShares MSCI EAFE index fund, the SPDR S&P MidCap 400 ETF Trust, the iShares MSCI Emerging Markets index fund and the iShares Russell 2000 index fund; via Deutsche Bank Securities Inc.; pricing Aug. 10; Cusip: 2515A1AB7

• 0% market contribution securities due Aug. 21, 2013 linked to the Deutsche Bank Liquid Commodity Apex 14 index; via Deutsche Bank Securities Inc.; pricing Aug. 16; Cusip: 2515A1AC5

• 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

• 0% PowerShares DB 3x Inverse Japanese Govt Bond Futures exchange-traded notes due 2021 linked to the DB USD Inverse JGB Futures index and the DB 3-Month T-Bill index; via Deutsche Bank Securities Inc.; Cusip: 25154P188

• 0% PowerShares DB Inverse Japanese Govt Bond Futures exchange-traded notes due 2021 linked to the DB USD Inverse JGB Futures index and the DB 3-Month T-Bill index; via Deutsche Bank Securities Inc.; Cusip: 25154P170

EKSPORTFINANS ASA

• 0% Accelerated Return Notes due November 2012 linked to the gold; via Bank of America Merrill Lynch; pricing in August

GOLDMAN SACHS GROUP, INC.

• 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of PepsiCo, Inc.; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXJ5

• 0% leveraged index-linked notes due Aug. 22, 2012 tied to the S&P 500 index; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXL0

• 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of YUM! Brands, Inc.; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXK2

• Callable step-up fixed-rate notes due February 2019; Goldman Sachs & Co. and Incapital LLC; settlement in August; Cusip: 38143UXE6

• Currency-linked notes due in 24 to 27 months linked to the Chinese renminbi with a 50% weight and the Korean won and Singapore dollar, each with a 25% weight, relative to the U.S. dollar; via Goldman Sachs & Co.

• 15-year callable CMS spread notes linked to the 10-year and two-year Constant Maturity Swap rates; via Goldman Sachs & Co.; Cusip: 38143UXB2

• 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% equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UXG1

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

• 0% autocallable buffered index-linked notes due Feb. 6, 2013 linked to the Russell 2000 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143USL6

• 12- to 13-month 0% buffered index-linked notes linked to the S&P 500 index; 82% trigger; 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% leveraged buffered index-linked notes due in 24 to 27 months linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% buffered index-linked notes due Jan. 29, 2015 linked to the S&P 500; via Goldman Sachs & Co.; Cusip: 38143UWN7

• 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

• 15-year callable quarterly range accrual notes linked to the S&P 500 index and Libor; via Goldman Sachs & Co.

• 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.

HSBC USA INC.

• Fixed-to-floating notes due Aug. 12, 2016; via HSBC Securities (USA) Inc.; pricing Aug. 9; Cusip: 4042K1LM3

• 0% buffered Accelerated Market Participation Securities due Feb. 26, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 19; Cusip: 4042K1LL5

• 0% buffered performance plus securities due Feb. 26, 2015 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc.; pricing Aug. 23; Cusip: 4042K1LN1

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LS0

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LW1

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LV3

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LR2

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LU5

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LQ4

• 0% buffered Accelerated Market Participation Securities due Aug. 29, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LY7

• 0% Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LZ4

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LT8

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LP6

• 0% buffered Accelerated Market Participation Securities due Aug. 29, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LX9

• 0% trigger Performance Leveraged Upside Securities due Feb. 22, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40433C627

• Buffered return optimization securities due Aug. 30, 2013 linked to the Russell 2000 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433C619

• 0% trigger performance securities due Aug. 31, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433C593

JPMORGAN CHASE & CO.

• Callable fixed-rate step-up notes due Feb. 10, 2017; via J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 48125XC38

• 0% capped daily observation knock-out notes due Aug. 22, 2012 linked to Oracle Corp.; via J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 48125XE85

• 0% return enhanced notes due Aug. 22, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 48125XE77

• 0% notes due Aug. 14, 2014 linked to a basket of the Brazilian real, the Australian dollar, the Norwegian krone and the Canadian dollar, relative to the U.S. dollar; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZW9

• 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% semiannual review notes due Aug. 21, 2013 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XA22

• 6.5% to 7.5% single observation callable yield notes due Nov. 27, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Aug. 19; Cusip: 48125XA48

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD45

• 0% return notes due Nov. 30, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE51

• 0% return notes due Nov. 30, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE93

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD60

• 10% callable yield notes due Aug. 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD94

• 10% callable yield notes due Aug. 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE28

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD78

• 0% buffered return enhanced notes due Aug. 30, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD86

• 10% callable yield notes due Aug. 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE36

• 10% callable yield notes due Aug. 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE44

• 0% buffered return enhanced notes due 2012 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; Cusip: 48125XWZ5

JPMORGAN CHASE BANK, NA

• Fixed-to-floating-rate certificates of deposit due Aug. 10, 2020 linked to the Consumer Price Index; via agent J.P. Morgan Securities LLC and distributor Incapital LLC; settlement Aug. 10; Cusip: 48123YJ49

• Contingent coupon market-linked certificates of deposit due Aug. 25, 2017 linked copper, corn, cotton, nickel, palladium, silver, sugar, Brent crude oil, gasoline RBOB and the S&P GSCI Livestock Index Excess Return; via J.P. Morgan Securities LLC; pricing Aug. 25; Cusip: 48123YJ23

• Digital contingent coupon certificates of deposit due Aug. 31, 2016 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 Aug. 26; Cusip: 48123YK62

• Digital contingent coupon certificates of deposit due Aug. 31, 2017 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 Aug. 26; Cusip: 48123YK70

• Digital contingent coupon certificates of deposit due Aug. 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 Aug. 26; Cusip: 48123YL53

• Contingent coupon certificates of deposit due Aug. 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 Aug. 26; Cusip: 48123YL61

MORGAN STANLEY

• 0% currency-linked participation notes due Feb. 12, 2013 linked to the Australian dollar, the Indonesian rupiah, the Malaysian ringgit and the South Korean won; via dealer J.P. Morgan Securities LLC and agent Morgan Stanley & Co. LLC; pricing Aug. 5; Cusip: 617482SC9

• Leveraged notes due Aug. 12, 2031 linked to 30-year Constant Maturity Swap rate and the two-year CMS rate; via Morgan Stanley & Co. LLC; settlement Aug. 12; Cusip: 61745E4S7

• Floating-rate notes due Aug. 12, 2023; via Morgan Stanley & Co. LLC; settlement Aug. 12; Cusip: 61745E4Y4

• CMS curve and S&P 500 index-linked range accrual notes due Aug. 22, 2031; via Morgan Stanley & Co. LLC; settlement Aug. 22; Cusip: 61745E5Y3

• 0% participation securities due Aug. 26, 2013 linked to the Backwardation Enhanced S&P GSCI Light Energy Commodity Index - Excess Return; via Morgan Stanley & Co. LLC; pricing Aug. 25; Cusip: 617482VR2

• 7%-9% annualized Equity LinKed Securities due Feb. 23, 2012 linked to Baker Hughes Inc. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Aug. 25; Cusip: 61760E192

• 7%-9% annualized Equity LinKed Securities due Feb. 23, 2012 linked to Freeport-McMoRan Copper & Gold Inc. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Aug. 25; Cusip: 61760E176

• Contingent income autocallable securities due Aug. 27, 2012 linked to Wells Fargo & Co. common stock; via Morgan Stanley & Co. LLC; pricing Aug. 25; Cusip: 61760E184

• Contingent annual interest notes due Aug. 31, 2016 linked to the 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 Aug. 26; Cusip: 617482WU4

• Contingent coupon commodity-linked notes due Aug. 31, 2015 linked to Brent blend crude oil, copper, corn, cotton, gasoline RBOB, nickel, palladium, silver, sugar and the S&P GSCI Livestock Index - Excess Return; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482VP6

• 0% commodity-linked notes due Aug. 31, 2017 linked to the Dow Jones-UBS Commodity index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482VQ4

• 0% equity-linked notes due Aug. 31, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WR1

• 0% buffered jump securities due Feb. 27, 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WS9

• 0% Target Optimized Participation Securities due Aug. 31, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WT7

• 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 Inc.(dealer) and Morgan Stanley & Co. LLC (agent); pricing Aug. 26; Cusip: 61760E234

• 0% buffered Performance Leveraged Upside Securities due October 2012 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 617482SB1

• 0% Performance Leveraged Upside Securities due October 2012 linked to the Market Vectors Gold Miners exchange-traded fund; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61760E218

ROYAL BANK OF CANADA

• 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

• 7%-9% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Staples, Inc.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78010T837

• 8.1%-10.6% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Southwestern Energy Co.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78010T852

• 7.5%-10% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Talisman Energy Inc.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78010T845

• 9.5% to 12% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Vertex Pharmaceuticals Inc.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78010T860

• 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

• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the SPDR S&P MidCap 400 exchange-traded fund trust; via RBC Capital Markets, LLC; pricing Aug. 11; Cusip: 78008TLM4

• 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

• Redeemable step-up notes due Aug. 12, 2022; via RBC Capital Markets, LLC; settlement Aug. 12; Cusip: 78008TMD3

• 0% target yield notes due Feb. 12, 2018 linked to the 10-year U.S. Constant Maturity Swap rate; via RBC Capital Markets, LLC; settling Aug. 12; Cusip: 78008TML5

• 0% allocation optimizer notes due Aug. 15, 2014 linked to the S&P 500 index, the S&P Midcap 300 index and the Russell 2000 index; via RBC Capital Markets, LLC; pricing Aug. 12; Cusip: 78008TLR3

• Callable capped CMS steepener notes due Aug. 18, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBC Capital Markets, LLC; settlement Aug. 18; Cusip: 78008TLZ5

• 0% commodity-linked notes due Aug. 27, 2014 tied to the BNP Paribas Millenium Long/Short Commodities USD Excess Return index; via RBC Capital Markets, LLC; pricing Aug. 24; Cusip: 78008TLS1

• 0% market-linked notes due March 1, 2016 linked to the Dow Jones-UBS Commodity index; via RBS Securities Inc. with SIP America LLC; pricing Aug. 26; Cusip: 78009PBM2

• 0% return optimization securities due Sept. 28, 2012 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 26; Cusip: 780010T811

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in August

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2012 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in August

• 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% enhanced participation notes with fixed buffer due Aug. 7, 2013 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via RBS Securities Inc.; pricing Aug. 3; Cusip: 78009PBF7

• 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

• Annual reset coupon notes with fixed buffer due Aug. 15, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 10; Cusip: 78009PBJ9

• Annual reset coupon notes with fixed buffer due Aug. 15, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 10; Cusip: 78009PBH3

• Capped callable leveraged steepener notes due Aug. 26, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBS Securities Inc.; pricing Aug. 23; Cusip: 78009PBK6

• 0% capped enhanced participation notes with fixed buffer due Sept. 3, 2013 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 26; Cusip: 78009PBL4

• 0% capped market-linked notes due Feb. 28, 2017 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 26; Cusip: 78009PBG5

• RBS BRIC Trendpilot notes due 2041; via RBS Securities Inc.; Cusip: 78009P119

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due November 2012 linked to the Front Month Palladium Futures Contract; via Bank of America Merrill Lynch; pricing in August

UBS AG, JERSEY BRANCH

• Callable step-up fixed-rate notes due Aug. 17, 2021; via UBS Securities LLC and UBS Investment Bank; settlement Aug. 17; Cusip: 90261JHK2

UBS AG, LONDON BRANCH

• 0% trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to Goldcorp Inc. shares; 75% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B400

• 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B3

• 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the iShares Russell 2000 index fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B335

• 7% to 8.8% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Oracle Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B459

• 9.6% to 11.6% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Pan American Silver Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B475

• 0% trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to Petroleo Brasileiro SA American depositary shares; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B418

• 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the SPDR S&P 500 ETF trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip 90268B350

• 8.1% to 10.1% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Wynn Resorts, Ltd.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 5; Cusip: 90268B467

• 0% trigger performance securities due Aug. 31, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 26; Cusip: 90268B251

UNION BANK, NA

• 0% quarterly capped return market-linked certificates of deposit due Aug. 26, 2015 linked to the S&P 500 index; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 23; Cusip: 90521AGP7

• 0% market-linked certificates of deposit due Aug. 26, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 24; Cusip: 90521AGQ5

• 0% quarterly capped return market-linked certificates of deposit due Feb. 26, 2015 linked to the price of gold; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 24; Cusip: 90521AGN2

WELLS FARGO & CO.

• Callable step-up fixed-rate notes due Aug. 12, 2023; via Wells Fargo Securities, LLC; pricing Aug. 8; Cusip: 94986REW7

• Step-up callable notes due Aug. 12, 2023; via Wells Fargo Securities, LLC; pricing Aug. 8; Cusip: 94986RFB2

• 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 iShares MSCI EAFE index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986REN7

• 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

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