Structured Products Calendar

BANK OF AMERICA CORP.

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

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

• Market-linked step-up notes due May 2018 tied to S&P 500 index and Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

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

BANK OF NOVA SCOTIA

• Floored floating-rate notes due June 10, 2021; via Scotia Capital (USA) Inc. and Barclays; pricing June 5; Cusip: 064159EV4

• 0% series A enhanced participation notes linked to the Taiwan Taiex index; via Scotia Capital (USA) Inc.; Cusip: 064159213

BARCLAYS BANK PLC

• Callable contingent coupon notes due June 3, 2016 linked to the common stock of Gulfport Energy Corp.; via Barclays; pricing May 29; Cusip: 06741JS67

• Contingent income autocallable securities due June 2, 2017 linked to Bristol-Myers Squibb Co. common stock; via Barclays and Morgan Stanley Smith Barney LLC; pricing May 30; Cusip: 06742K162

• Contingent income autocallable securities due June 2, 2017 linked to CBS Corp. class B common stock; via Barclays and Morgan Stanley Smith Barney LLC; pricing May 30; Cusip: 06742K154

• 0% dual directional trigger Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the Euro Stoxx 50 index; via Barclays; pricing May 30; Cusip: 06742K410

• 0% Performance Leveraged Upside Securities due July 3, 2015 linked to the Euro Stoxx 50 index; via Barclays; pricing May 30; Cusip: 06742K436

• 0% Accelerated Return Notes due June 2015 linked to the common stock of Amazon.com, Inc.; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due June 2015 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in May

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

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

• 0% Accelerated Return Notes due July 2015 linked to a basket of three financial sector stocks; via BofA Merrill Lynch; pricing in May

•0% notes due June 8, 2017 linked to the EquityCompass Share Buyback index; via Barclays; pricing June 5; Cusip: 06741UDQ4

• 24-27-month 0% capped leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741UDT8

• 24-27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741UDU5

CITIGROUP INC.

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

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

• 0% buffer securities due July 2, 2019 linked to the S&P MidCap 400 index; via Citigroup Global Markets Inc.; pricing June 27; Cusip: 1730T0R35

CREDIT SUISSE AG

• 9% autocallable reverse convertible securities due June 4, 2015 linked to Iron Mountain Inc.; via Credit Suisse Securities (USA) LLC; pricing May 30; Cusip: 22547QN93

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

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

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

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

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

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

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

• Contingent coupon callable yield notes due March 25, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 20; Cusip: 22547QML7

• 0% absolute return barrier securities due July 3, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22547QNH5

• 0% accelerated barrier notes due July 5, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22547QNG7

• 0% digital-plus barrier notes due June 28, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 25; Cusip: 22547QNL6

• 0% digital-plus barrier notes due July 5, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22547QNJ1

DEUTSCHE BANK AG, LONDON BRANCH

• 0% return optimization securities due Aug. 4, 2015 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing May 29; Cusip: 25155Q292

• 0% leveraged notes due June 5, 2017 linked to the performance of an equally weighted basket of currencies (Indian rupee, Indonesian rupiah, Turkish lira and South African rand) relative to the euro; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing May 30; Cusip: 25152RKJ1

• 0% step-up digital return notes due Dec. 3, 2015 linked to the performance of the Mexican peso relative to the euro; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing May 30; Cusip: 25152RKK8

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

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

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

• Floating-rate notes due June 6, 2024 linked to the 30-year Constant Maturity Swap rate; via Deutsche Bank Securities Inc.; pricing June 4; Cusip: 25152RWX7

• 0% airbag performance securities due June 19, 2019 linked to Exxon Mobil Corp. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing June 13; Cusip: 25155Q110

• 16- to 19-month 0% capped leveraged buffered index-linked notes tied to the MSCI EAFE index; via Deutsche Bank Securities Inc.; Cusip: 25152RKG7

GOLDMAN SACHS GROUP, INC.

• Callable monthly Russell 2000 index-linked range accrual notes due June 4, 2029; via Goldman Sachs & Co.; pricing May 30; Cusip: 38147QFR2

• Callable step-up fixed-rate notes due May 2022; via Goldman Sachs & Co. and Incapital LLC; settlement in May; Cusip: 38147Q4Y9

• Callable step-up fixed-rate notes due May 2029; via Goldman Sachs & Co. and Incapital LLC; settlement May; Cusip: 38147Q5Y8

• Callable step-up fixed-rate notes due May 2021; via Goldman Sachs & Co.; settlement in May; Cusip: 38147Q6L5

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

• 0% digital notes linked to the Hang Seng China Enterprises index due in 15 to 17 months; 90% trigger; via Goldman Sachs & Co.

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

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

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

• 36- to 40-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147Q5C6

• Four-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• Five-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38148A811

• 0% digital notes due between 48 and 51 months after issue linked to the Hang Seng China Enterprises index; via Goldman Sachs & Co.

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

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

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

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

• Five-year 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147Q5F9

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

• 13- to 24-month 0% autocallable buffered index-linked notes tied to the Russell 2000 index; via Goldman Sachs & Co.

• Two-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QSF4

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

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

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147Q5B8

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

• 0% buffered digital notes linked to a basket containing the S&P 500 index and the MSCI EAFE index; via Goldman Sachs & Co.

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

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

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

HSBC USA INC.

• 0% knock-out buffer notes due June 7, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 30; Cusip: 40433BBP2

• 0% trigger Performance Leveraged Upside Securities due June 4, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; 85% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing May 30; Cusip: 40434C592

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

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

• 7% STEP Income Securities due June 2015 linked to Ford Motor Co. common stock; via BofA Merrill Lynch; pricing in May

• Barrier income notes due March 26, 2019 linked to the worse performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing in May; Cusip: 40433BBE7

JPMORGAN CHASE & CO.

• 0% return optimization securities due Aug. 4, 2015 linked to the MSCI EAFE index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing May 29; Cusip: 48127F269

• Autocallable contingent interest notes due June 17, 2015 linked to Bank of America Corp.; 85% trigger; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127DKH0

• Autocallable contingent interest notes due June 17, 2015 linked to USG Corp.; 85% trigger; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127DKG2

• 0% capped return enhanced notes due June 17, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127DKD9

• Contingent income autocallable securities due June 2, 2017 linked to Apple Inc.; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127F285

• Contingent income autocallable securities due June 4, 2015 linked to Cobalt International Energy, Inc.; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127F319

• 0% Performance Leveraged Upside Securities due July 6, 2015 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127F483

• 0% Performance Leveraged Upside Securities due July 6, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127F475

• 0% trigger Performance Leveraged Upside Securities due June 2, 2017 linked to an equally weighted basket of the S&P 500 index, the Euro Stoxx 50 index and the WisdomTree Japan Hedged Equity fund; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 48127F293

MORGAN STANLEY

• Fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due May 30, 2034; via Morgan Stanley & Co. LLC; settlement May 30; Cusip: 61760QEG5

• Contingent income autocallable securities due June 2017 linked to the common stock of Bank of America Corp.; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S307

• Contingent income autocallable securities due May 2017 with step-up redemption threshold level linked to Bank of America Corp. shares; 80% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in May; Cusip: 61761S240

• 0% trigger Performance Leveraged Upside Securities due December 2014 linked to a basket of seven commodities (copper, cotton, RBOB gasoline, live cattle, palladium, soybeans and West Texas Intermediate light sweet crude oil); via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61762GBM5

• 0% trigger jump securities due June 2018 linked to the Euro Stoxx 50 index; 70% trigger; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S281

• 0% market-linked notes with averaging due November 2019 linked to the iShares MSCI EAFE ETF, the iShares MSCI Emerging Markets ETF and the WisdomTree Japan Hedged Equity Fund; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S125

• 0% dual directional trigger Performance Leveraged Upside Securities due December 2016 linked to the Russell 2000 index; 85% trigger; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S224

• 0% market-linked notes due November 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S117

• 0% dual directional trigger Performance Leveraged Upside Securities due May 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61760S878

• 0% trigger jump securities due June 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S265

• Contingent income autocallable securities due June 2015 linked to the common stock of Valero Energy Corp.; via Morgan Stanley & Co. LLC; pricing in May; Cusip: 61761S299

• Contingent income autocallable securities due May 2015 linked to Valero Energy Corp. shares; 75% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in May; Cusip: 61761S232

ROYAL BANK OF CANADA

• Contingent coupon callable yield notes due June 3, 2016 linked to the common stock of Tesoro Corp.; via RBC Capital Markets, LLC and Barclays; pricing May 29; Cusip: 78010UZS9

• Redeemable step-up notes due May 30, 2029; via RBC Capital Markets, LLC; settlement May 30; Cusip: 78010UVR5

• Redeemable leveraged steepener notes due May 30, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via RBC Capital Markets, LLC; settlement May 30; Cusip: 78010UVT1

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 4, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities LLC; pricing May 30; Cusip: 78010UYT8

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 4, 2017 linked to the iShares MSCI EAFE exchange-traded fund; via Wells Fargo Securities LLC; pricing May 30; Cusip: 78010UYY7

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 4, 2017 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing May 30; Cusip: 78010UYQ4

• 0% trigger Performance Leveraged Upside Securities due December 2016 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing May 30; Cusip: 78011Q261

• 0% Performance Leveraged Upside Securities due July 2015 linked to the WisdomTree Japan Hedged Equity fund; via RBC Capital Markets, LLC; pricing May 30; Cusip: 78011Q279

• Phoenix autocallable notes due June 17, 2015 linked to Amazon.com, Inc. common stock; via RBC Capital Markets, LLC and J.P. Morgan Securities LLC; pricing May 30; Cusip: 78010UZU4

• Phoenix autocallable notes due June 17, 2015 linked to Priceline Group Inc. common stock; via RBC Capital Markets, LLC and J.P. Morgan Securities LLC; pricing May 30; Cusip: 78010UZV2

• Contingent income autocallable securities due June 2017 linked to the common units of Blackstone Group LP; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management handling distribution; pricing May 30; Cusip: 78011Q501

• Contingent income autocallable securities due June 2017 linked to the common stock of Tesla Motors, Inc.; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management handling distribution; pricing May 30; Cusip: 78011Q485

• Leveraged Index Return Notes due May 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

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

• Market-linked step-up notes due May 2016 linked to a basket of two indexes (MSCI EAFE index and MSCI Emerging Markets index); via BofA Merrill Lynch; pricing in May

• 10% STEP Income Securities due June 2015 linked to Under Armour, Inc. common stock; via BofA Merrill Lynch; pricing in May

• 0% direct investment notes due July 9, 2015 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing June 4; Cusip: 78010UYA9

• 0% lookback step performance securities due June 22, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing June 16; Cusip: 78011Q493

• 15- to 17-month 0% buffered equity index-linked notes tied to the MSCI EAFE index; 85% trigger; via Goldman Sachs & Co.

AB SVENSK EXPORTKREDIT

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

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

UBS AG, LONDON BRANCH

• 0% Performance Leveraged Upside Securities due June 2, 2017 linked to the iShares FTSE China 25 index fund, the iShares MSCI Malaysia ETF, the iShares MSCI Mexico Capped ETF, the iShares MSCI South Korea Capped ETF and the iShares MSCI Taiwan ETF; via UBS Securities LLC with Morgan Stanley Smith Barney as dealer; pricing May 30; Cusip: 90272X372

WELLS FARGO & CO.

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 7, 2017 linked to a basket of the SPDR S&P 500 ETF trust with a 50% weight, the iShares Russell 2000 ETF with a 20% weight, iShares MSCI EAFE ETF with a 15% weight and iShares MSCI Emerging Markets ETF with a 15% weight; via Wells Fargo Securities LLC; pricing May 30; Cusip: 94986RTX9

• 0% buffered enhanced return securities with capped upside and buffered downside linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities, LLC; pricing in May; Cusip: 94986RUA7

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