Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due March 1, 2027; via Bank of America Merrill Lynch; settlement March 1; Cusip: 06048WKS8

• Step-down step-up callable notes due March 12, 2032; via Bank of America Merrill Lynch; settlement March 12; Cusip: 06048WKV1

• 0% digital return notes due March 2015 linked to the 30-year Constant Maturity Swap rate; via Bank of America Merrill Lynch; pricing in March

• Variable coupon notes due April 2017 linked to Altria Group, Inc., Apple Inc., Barrick Gold Corp., Boeing Co., Citigroup Inc., Chesapeake Energy Corp., Cisco Systems, Inc., Eli Lilly and Co., Goldcorp Inc., Intel Corp., MetLife, Inc., Monsanto Co., Pfizer Inc., Union Pacific Corp., Whole Foods Market, Inc. and Wal-Mart Stores, Inc.; via Bank of America Merrill Lynch; pricing in March

• 0% Market Index Target-Term Securities due April 2018 linked to the Dow Jones industrial average; via Bank of America Merrill Lynch; pricing in March

• 0% currency-linked step-up notes due March 2015 linked to a basket of the Indian rupee and Chinese renminbi, relative to the dollar; via Bank of America Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due March 2013 linked to the iShares MSCI Brazil index fund; 90% trigger; via Bank of America Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due April 2013 linked to the common stock of Microsoft Corp.; via Bank of America Merrill Lynch; pricing in March

• 0% autocallable market-linked step-up notes due March 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2013 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in March

BANK OF MONTREAL

• 0.5% currency-linked basket tracking notes due February 2013 linked to the Australian dollar, the Canadian dollar, the New Zealand dollar and the Norwegian krone; via BMO Capital Markets Corp.; pricing in February

• 0% buffered bullish enhanced return notes due Sept. 16, 2013 linked to the iShares MSCIEmerging Markets index fund; via BMO Capital Markets Corp.; pricing March 13; Cusip: 06366Q3Q8

• 7% to 10% autocallable reverse exchangeable notes due March 28, 2013 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing March 27; Cusip: 06366Q2S5

BARCLAYS BANK PLC

• 8.10%-9.5% reverse convertible notes due Sept. 4, 2012 linked to Amazon.com, Inc. stock; via Barclays Capital; pricing Feb. 29; Cusip: 06741JSB6

• 0% market-linked step-up notes due February 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in February

• 0% autocallable notes due Sept. 7, 2012 linked to the Brent crude oil futures contract; via Barclays Capital Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 2; Cusip: 06738KU41

• 0% capped market plus notes due March 14, 2013 linked to copper and palladium; via Barclays Capital Inc., J.P. Morgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 2; Cusip: 06738KT76

• 0% notes due March 14, 2013 linked to gold; via Barclays Capital Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 2; Cusip: 06738KS69

• 0% notes due March 11, 2015 linked to the EquityCompass Share Buyback index; via Barclays Capital Inc.; pricing March 6; Cusip: 06738KQ38

• 0% Strategic Accelerated Redemption Securities due April 2013 linked to Freeport-McMoRan Copper & Gold Inc. shares; via Bank of America Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due April 2013 linked to a basket of the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Bank of America Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due April 2013 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in March

CITIGROUP FUNDING INC.

• 0% Performance Leveraged Upside Securities due April 2013 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing in February; Cusip: 17317U246

• Callable step-up coupon notes due March 2022; via Citigroup Global Markets Inc.; pricing March 2; Cusip: 1730T0WH8

• Range accrual notes due March 2027 linked to Libor and the S&P 500 index; via Citigroup Global Markets Inc.; pricing March 15; Cusip: 1730T0WE5

• 0% dual directional trigger Performance Leveraged Upside Securities due March 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC; pricing March 29; Cusip: 17317U147

CREDIT SUISSE AG, NASSAU BRANCH

• 0% digital barrier notes due April 2, 2013 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546TMC2

• 0% callable Cert Plus securities due March 5, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546TLC3

• High/low coupon callable yield notes due March 5, 2013 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546TLZ2

• Annual coupon CS notes due March 17, 2017 linked to a basket of common stocks including Altria Group, Inc., Amazon.com, Inc., Archer-Daniels-Midland Co., Avon Products, Inc., Bristol-Myers Squibb Co., Charles Schwab Corp., Freeport-McMoRan Copper & Gold Inc., Intel Corp., Valero Energy Corp. and Verizon Communications Inc.; Credit Suisse Securities (USA) LLC; pricing March 14; Cusip: 22546TNB3

DEUTSCHE BANK AG, LONDON BRANCH

• Autocallable securities due 2015 linked to the iShares MSCI Emerging Markets index fund; via Deutsche Bank Securities Inc.; Cusip: 2515A1GT2

• 0% digital payment securities due 2013 linked to the S&P 500 index; 75% trigger; via Deutsche Bank Securities Inc.; Cusip: 2515A1F22

GOLDMAN SACHS BANK USA

• Callable step-up fixed-rate notes due August 2019; via Goldman Sachs & Co. and Incapital LLC; settlement in February; Cusip: 38143UR52

• Contingent-coupon basket-linked certificates of deposit due 2018 linked to the common stocks of Applied Materials, Inc., Archer-Daniels-Midland Co., Avon Products, Inc., Best Buy Co., Inc., Cliffs Natural Resources Inc., Corning Inc., Devon Energy Corp., Gap Inc., Ford Motor Co., Forest Laboratories, Inc., Freeport-McMoRan Copper & Gold Inc., Hospira, Inc., JPMorgan Chase & Co., Leucadia National Corp., L-3 Communications Holdings, Inc., Lincoln National Corp., Mosaic Co., Newfield Exploration Co., Peabody Energy Corp. and Western Digital Corp.; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AHU2

• Contingent-coupon basket-linked certificates of deposit due 2019 linked to the common stocks of Altria Group, Inc., Apple Inc., AT&T Inc., Barrick Gold Corp., Intel Corp., Eli Lilly & Co., Freeport-McMoRan Copper & Gold Inc., Southern Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AJH9

• Contingent-coupon basket-linked certificates of deposit due 2019 linked to the common stocks of Altria Group, Inc., Apple Inc., AT&T Inc., Barrick Gold Corp., Intel Corp., Eli Lilly & Co., Freeport-McMoRan Copper & Gold Inc., Southern Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AJT3

• Variable-coupon basket-linked certificates of deposit due 2019 linked to the common stocks of Altria Group, Inc., Apple Inc., AT&T Inc., Barrick Gold Corp., Intel Corp., Eli Lilly & Co., Freeport-McMoRan Copper & Gold Inc., Southern Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AJJ5

• 0% equity index-linked certificates of deposit due 2019 linked to the Euro Stoxx 50 index, the S&P 500 index, the S&P/TSX 60 index and the Topix; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AJG1

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due March 2024; via Goldman Sachs & Co. and Incapital LLC; settling in March; Cusip: 38143UR94

• 0% 5.5-year equity index-linked notes tied to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143UP54

• 0% 24- to 27-month leveraged buffered index-linked notes tied to the MSCI EAFE index; 90% trigger; via Goldman Sachs & Co.

• 0% 13-month buffered index-linked digital notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143UQ61

• 0% 18-month autocallable buffered index-linked notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143UQ53

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

• 0% 24-month buffered index-linked digital notes tied to the S&P 500 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143UP62

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

• 0% 30-month autocallable knock-out equity notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UP54

• 0% 30-month autocallable knock-out equity notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UP70

• Three-year 0% leveraged buffered index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UQ79

• 15-year callable quarterly index-linked range accrual notes tied to the S&P 500 index; 75% to 80% trigger; via Goldman Sachs & Co.; Cusip: 38143US44

• 15-year callable quarterly index-linked range accrual notes tied to the S&P 500 index and six-month Libor; 72.5% to 77.5% trigger; via Goldman Sachs & Co.; Cusip: 38143US36

• 0% leveraged buffered basket-linked notes due in four years tied to the S&P MidCap 400 index, the Russell 2000 index and the iShares MSCI Emerging Markets index fund; via Goldman Sachs & Co.; Cusip: 38143US28

HSBC USA INC.

• 6.5% to 8.5% callable yield notes due May 24, 2013 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing March 2; Cusip: 4042K1XX6

• 0% digital notes due Aug. 27, 2015 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing March 2; Cusip: 4042K1XY4

• Fixed-to-floating notes due March 7, 2019; via HSBC Securities (USA) Inc.; settling March 7; Cusip: 4042K1YF4

• 7%-9% autocallable yield notes due March 13, 2013 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 7; Cusip: 4042K1YA5

• 10%-12% autocallable yield notes due March 13, 2013 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 7; Cusip: 4042K1XZ1

• 0% buffered Accelerated Market Participation Securities due Aug. 28, 2013 linked to the iShares FTSE/Xinhua China 25 index fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing March 9; Cusip: 4042K1YB3

JPMORGAN CHASE & CO.

• 8.25% to 9.25% autocallable yield notes due March 6, 2013 linked to the Russell 2000 index and the United States Oil Fund, LP; 65% trigger; via J.P. Morgan Securities LLC; pricing March 1; Cusip: 48125VPF1

• Fixed-to-floating notes due March 7, 2017; via J.P. Morgan Securities LLC; pricing March 2; Cusip: 48125VQE3

• 0% dual directional knock-out buffered equity notes due March 20, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 2; Cusip: 48125VPJ3

• Callable fixed-rate step-up notes due March 9, 2024 with 3.5% initial rate; via J.P. Morgan Securities LLC; pricing March 6; Cusip: 48125VQG8

• Range accrual notes due March 14, 2022 linked to six-month Libor and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 9; Cusip: 48125VLK4

• 11.5% to 13.5% annualized reverse exchangeable notes due Sept. 18, 2012 linked to Kohl's Corp. shares; 85% trigger; via J.P. Morgan Securities LLC; pricing March 13; Cusip: 48125VPE4

MORGAN STANLEY

• Fixed-to-floating notes due March 2, 2017; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760QAD6

• CMS curve and S&P 500 index-linked range accrual notes due March 2, 2027; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760QAF1

• Contingent income autocallable securities due February 2013 linked to Amazon.com, Inc. shares; 80% trigger; via Morgan Stanley & Co. LLC and Morgan Stanley Smith Barney LLC; pricing in February; Cusip: 61760T454

• 6%-8% annualized Equity LinKed Securities due August 2012 linked to Baker Hughes Inc. shares; 80% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T447

• 0% commodity Leading Stockmarket Return Securities due March 2013 linked to Brent blend crude oil; via Morgan Stanley & Co. Inc.; pricing in February; Cusip: 617482M35

• 0% market-linked notes due March 2018 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T488

• 0% buffered Performance Leveraged Upside Securities due March 2017 linked to the gold; 80% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 617482M50

• Contingent income autocallable securities due March 2015 linked to Goldman Sachs Group, Inc. shares; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T496

• Contingent income autocallable securities due February 2013 linked to JPMorgan Chase & Co. shares; 75% trigger; via Morgan Stanley & Co. LLC and Morgan Stanley Smith Barney LLC; pricing in February; Cusip: 61760T421

• 0% market-linked notes due March 2018 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T488

• Contingent income autocallable securities due March 2013 linked to Transocean Ltd. shares; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T470

• Fixed-to-floating notes due March 2, 2017; via Morgan Stanley & Co. LLC; settlement March 2; Cusip: 61760QAD6

ROYAL BANK OF CANADA

• 0% autocallable access securities with fixed percentage buffered downside due March 3, 2014 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in February; Cusip: 78008TP40

• 0% autocallable access securities with fixed percentage buffered downside due March 3, 2014 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in February; Cusip: 78008TP32

• 0% direct investment notes due April 8, 2013 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing March 5; Cusip: 78008TR71

• 0% buffered bullish enhanced return notes due Sept. 18, 2013 linked to the S&P 500 index; 85% trigger; via RBC Capital Markets, LLC; pricing March 13; Cusip: 78008TV43

• 0% buffered bullish enhanced return notes due Sept. 18, 2013 linked to the iShares MSCI EAFE index fund; 85% trigger; via RBC Capital Markets, LLC; pricing March 13; Cusip: 78008TV50

• 0% leveraged equity index-linked notes tied to the MSCI EAFE index; via RBC Capital Markets, LLC

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

• 41- to 47-week 0% leveraged buffered equity index-linked notes linked to the Topix index; via Goldman Sachs & Co.

• 13- to 15-month 0% buffered equity index-linked notes due 2013 tied to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.

ROYAL BANK OF SCOTLAND PLC

• Variable-income notes due March 9, 2017 linked to the common stocks of Altria Group, Inc., American Electric Power Co., Inc., AT&T Inc., Avon Products, Inc., Bristol-Myers Squibb Co., Entergy Corp., Lockheed Martin Corp., Pfizer Inc., Southern Co. and Verizon Communications Inc.; pricing March 6; via RBS Securities Inc.; Cusip: 78009PCN9

• 0% enhanced participation notes with contingent buffer due March 9, 2017 linked to the Dow Jones industrial average; via RBS Securities Inc.; pricing March 6; Cusip: 78009PCP4

• 0% Bonus Notes with contingent buffer due March 9, 2017 linked to the Dow Jones industrial average; via RBS Securities Inc.; pricing March 6; Cusip: 78009PCQ2

SUNTRUST BANKS, INC.

• Fixed-to-floating-rate notes due March 16, 2017 with 3.5% initial rate; via SunTrust Robinson Humphrey, Inc.; pricing March 13; Cusip: 86802WAH1

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due June 2013 linked to the gold spot price; via Bank of America Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2013 linked to the Rogers International Commodity Index-Excess Return; via Bank of America Merrill Lynch; pricing in March

UBS AG

• Callable range accrual notes due March 8, 2027 linked to the S&P 500 index and six-month Libor; via UBS Securities LLC; settling March 8; Cusip: 90261JJB0

WELLS FARGO & CO.

• Fixed-to-floating notes due March 5, 2019; via Wells Fargo Securities, LLC; pricing Feb. 29; Cusip: 94986RHQ7

• 0% access securities due April 5, 2013 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing Feb. 29; Cusip: 94986RHP9

• Equity-linked securities with geared buffered downside due February 2013 linked to the Russell 2000 index; via Wells Fargo Securities, LLC; pricing in February; Cusip: 94986RHN4

• 3.25% access securities due Sept. 22, 2015 linked 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; viaWells Fargo Securities LLC; pricing March 19; Cusip: 94986RHS3

• 0% growth securities due September 2018 linked to a basket of commodities (silver, copper, nickel, corn futures, sugar futures, soybean futures, crude oil futures and gasoline futures); via Wells Fargo Securities, LLC; settling in March; Cusip: 94986RHR5

• 0% market-linked notes due September 2018 linked to the Dow Jones industrial average; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHG9

• 0% growth securities with capped upside and fixed percentage buffered downside due September 2015 linked to the Dow Jones-UBS Commodity index; 85% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHK0

• 0% growth securities with capped upside and fixed percentage buffered downside due September 2015 linked to the Financial Select Sector SPDR fund; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHL8

• 0% growth securities with capped upside and fixed percentage buffered downside due September 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHD6

• 0% growth securities with capped upside and fixed percentage buffered downside due September 2015 linked to the S&P 500 index; 85% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHJ3

• 0% growth securities due September 2014 linked to SPDR S&P 500 ETF trust, the S&P MidCap 400 ETF Trust and the iShares Russell 2000 index fund; 90% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RHE4

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