BANK OF AMERICA CORP.
• Floating-rate notes linked to the 10-year U.S. dollar Constant Maturity Swap Rate; via Bank of America Merrill Lynch; pricing in September
• Floating-rate notes due October 2021 linked to the Consumer Price Index; 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 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% currency-linked step-up notes due September 2014 linked to equal weights of the Norwegian krone and the Swedish krona relative to the euro; 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% bear Accelerated Return Notes due March 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in September
• 0% market-linked step-up notes due September 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in September
• 0% market-linked step-up notes due September 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in September
• Callable dual range accrual notes due September 2023 linked to six-month Libor and the S&P 500 index; via Bank of America Merrill Lynch; pricing in September
BANK OF MONTREAL
• 15.5% reverse exchangeable notes due Dec. 21, 2011 linked to Akamai Technologies, Inc. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QUX3
• 16% reverse exchangeable notes due Dec. 21, 2011 linked to Aruba Networks Inc. shares; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QUY1
• 14% reverse exchangeable notes due Dec. 21, 2011 linked to Citrix Systems Inc. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVA2
• 26% reverse exchangeable notes due Dec. 21, 2011 linked to Cree, Inc. shares; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QUZ8
• 26% reverse exchangeable notes due Dec. 21, 2011 linked to Delta Air Lines, Inc. shares; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVB0
• 17% reverse exchangeable notes due Dec. 21, 2011 linked to Finisar Corp.; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVD6
• 13% reverse exchangeable notes due Dec. 21, 2011 linked to Ford Motor Co.; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVC8
• 16% reverse exchangeable notes due Dec. 21, 2011 linked to Goldman Sachs Group, Inc. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVR5
• 12% reverse exchangeable notes due Dec. 21, 2011 linked to JPMorgan Chase & Co. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVT1
• 13% reverse exchangeable notes due Dec. 21, 2011 linked to Juniper Networks, Inc.; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVE4
• 22% reverse exchangeable notes due Dec. 21, 2011 linked to Micron Technology, Inc.; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVG9
• 14% reverse exchangeable notes due Dec. 21, 2011 linked to SanDisk Corp. shares; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVK0
• 18% reverse exchangeable notes due Dec. 21, 2011 linked to Sears Holdings Corp. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVJ3
• 25% reverse exchangeable notes due Dec. 21, 2011 linked to STEC Inc. shares; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVL8
• 12% reverse exchangeable notes due Dec. 21, 2011 linked to Suncor Energy, Inc. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVM6
• 19% reverse exchangeable notes due Dec. 21, 2011 linked to Supervalu Inc. common stock; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVN4
• 14% reverse exchangeable notes due Dec. 21, 2011 linked to Transocean Ltd. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVH7
• 20% reverse exchangeable notes due Dec. 21, 2011 linked to United States Steel Corp. common stock; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVQ7
• 25% reverse exchangeable notes due Dec. 21, 2011 linked to US Airways Group, Inc.; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVF1
• 16% reverse exchangeable notes due Dec. 21, 2011 linked to Weatherford International Ltd. common stock; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVP9
• 12% reverse exchangeable notes due Dec. 21, 2011 linked to Wells Fargo & Co. common stock; 70% trigger; via BMO Capital Markets Corp.; pricing Sept. 16; Cusip: 06366QVS3
BANK OF THE WEST
• Contingent variable income market-linked certificates of deposit due Sept. 30, 2016 linked to a basket of stocks including Abbott Laboratories, Altria Group, Inc., Boston Scientific Corp., Broadcom Corp., CenturyLink, Inc., Entergy Corp., First Solar, Inc., Northern Trust Corp., priceline.com Inc. and SunTrust Banks, Inc.; via Advisors Asset Management, Inc. as distributor; pricing Sept. 27; Cusip: 06426XBS8
• Contingent variable income market-linked certificates of deposit due Sept. 29, 2017 linked to a basket of stocks including Abbott Laboratories, Altria Group, Inc., Boston Scientific Corp., Broadcom Corp., CenturyLink, Inc., Entergy Corp., First Solar, Inc., Northern Trust Corp., priceline.com Inc. and SunTrust Banks, Inc.; via Advisors Asset Management, Inc. as distributor; pricing Sept. 27; Cusip: 06426XBT6
• Contingent variable income market-linked certificates of deposit due Sept. 28, 2018 linked to a basket of stocks including Abbott Laboratories, Altria Group, Inc., Boston Scientific Corp., Broadcom Corp., CenturyLink, Inc., Entergy Corp., First Solar, Inc., Northern Trust Corp., priceline.com Inc. and SunTrust Banks, Inc.; via Advisors Asset Management, Inc. as distributor; pricing Sept. 27; Cusip: 06426XBW9
• 0% growth opportunity market-linked certificates of deposit due Sept. 28, 2018 linked to the common stocks of Altria Group, Inc., AT&T Inc., CenturyLink, Inc., Eli Lilly & Co., Exelon Corp., M&T Bank Corp. and McDonald's Corp.; via agent BNP Paribas Securities Corp. and distributor Advisors Asset Management, Inc.; pricing Sept. 27; Cusip: 06426XBX7
• Contingent variable income market-linked certificates of deposit due Sept. 29, 2017 linked to the S&P GSCI Cocoa Dynamic Roll Index Excess Return, S&P GSCI Corn Dynamic Roll Index Excess Return, S&P GSCI Cotton Dynamic Roll Index Excess Return, S&P GSCI Lead Dynamic Roll Index Excess Return, S&P GSCI Natural Gas Dynamic Roll Index Excess Return, S&P GSCI Nickel Dynamic Roll Index Excess Return, S&P GSCI Silver Dynamic Roll Index Excess Return, S&P GSCI Sugar Dynamic Roll Index Excess Return, S&P GSCI Wheat Dynamic Roll Index ER and S&P GSCI Zinc Dynamic Roll Index Excess Return; via agent BNP Paribas Securities Corp. and distributor Advisors Asset Management, Inc.; pricing Sept. 27; Cusip: 06426XBV1
BARCLAYS BANK DELAWARE
• Certificates of deposit due Sept. 28, 2018 linked to the common stocks of Apollo Group, Inc., Apple Inc., Coventry Health Care, Inc., Dr Pepper Snapple Group, Inc., Intuit Inc., Marriott International, Inc., McGraw-Hill Cos., Inc., Micron Technology, Inc., Pfizer Inc. and Verizon Communications, Inc.; via agent Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing Sept. 26; Cusip: 06740AQMA
• 0.25%-1% certificates of deposit due Sept. 28, 2018 linked to the S&P 500 index; via agent Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing Sept. 26; Cusip: 06740AQH5
• Certificates of deposit due Sept. 28, 2018 linked to the S&P GSCI Aluminum Index Excess Return, the S&P GSCI Cocoa Index Excess Return, the S&P GSCI Corn Index Excess Return, the S&P GSCI Cotton Index Excess Return, the S&P GSCI Gold Index Excess Return, the S&P GSCI Live Cattle Index Excess Return, the S&P GSCI Natural Gas Index Excess Return, the S&P GSCI Nickel Index Excess Return, the S&P GSCI Sugar Index Excess Return and the S&P GSCI Zinc Index Excess Return; via agent Barclays Capital Inc. and distributor Advisors Asset Management, Inc.; pricing Sept. 26; Cusip: 06740AQJ1
BARCLAYS BANK PLC
• Capped fixed-to-floating-rate notes due Sept. 16, 2016 with 3.75% initial interest rate; via Barclays Capital Inc.; pricing Sept. 13; Cusip: 06738KUK5
• Annual reset coupon buffered notes due Sept. 18, 2014 linked to the S&P 500 index; via Barclays Capital Inc.; pricing on Sept. 13; Cusip: 06738KUB5
• Annual reset coupon buffered notes due Sept. 16, 2016 linked to the S&P 500 index; via Barclays Capital Inc.; pricing on Sept. 13; Cusip: 06738KUC3
• 7%-9% autocallable yield notes due Sept. 20, 2012 linked to the S&P 500 index and the Russell 2000 index; via Barclays Capital Inc.; pricing Sept. 16; Cusip: 06738KUA7
• 0% trigger Performance Leveraged Upside Securities due Oct. 3, 2013 linked to the performance of a basket of currencies including the Australian dollar, the Korean won, the Malaysian ringgit, the New Zealand dollar and the Philippine peso, relative to the euro; via Morgan Stanley Smith Barney LLC and Barclays Capital Inc.; pricing Sept. 26; Cusip: 06738KSX0
• 11.9% reverse convertible notes due March 30, 2012 linked to Alcoa Inc. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMY2
• Notes due Sept. 30, 2021 linked to the performance of the Australian dollar exchange rate relative to the U.S. dollar; via Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KUR0
• 11.3% reverse convertible notes due March 30, 2012 linked to Baker Hughes Inc. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMZ9
• 0% notes due Sept. 30, 2016 linked to the Barclays Capital Voyager II DJ-UBSCI Total Return index; via Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KUS8
• 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due Sept. 21, 2012 linked to the Barclays Prosper ETF portfolio, which includes the SPDR S&P 500 ETF, SPDR S&P MidCap 400 ETF, iShares Russell 2000 index fund, iShares MSCI EAFE index fund, iShares MSCI Emerging Markets index fund, PowerShares DB Commodity index tracking fund, iShares Barclays Aggregate bond fund, SPDR Barclays Capital 1-3 Month T-Bill ETF and iShares Barclays TIPS bond fund; via Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KUE9
• 12.8% reverse convertible notes due Dec. 30, 2011 linked to Cameron International Corp. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMU0
• 15% reverse convertible notes due March 30, 2012 linked to Citigroup Inc. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JNB1
• 0% buffered digital plus notes due March 31, 2015 linked to the Dow Jones industrial average; via Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KUM1
• 8.5% reverse convertible notes due Sept. 28, 2012 linked to Emerson Electric Co. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMQ9
• 12% reverse convertible notes due Sept. 28, 2012 linked to Ford Motor Co. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMS5
• 15.5% reverse convertible notes due Sept. 28, 2012 linked to Green Mountain Coffee Roasters Inc. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JND7
• 11.9% reverse convertible notes due March 30, 2012 linked to Halliburton Co. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JNA3
• 9.25% reverse convertible notes due Sept. 28, 2012 linked to Intel Corp. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMT3
• 10.25% reverse convertible notes due Sept. 28, 2012 linked to JPMorgan Chase & Co. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMP1
• 13% reverse convertible notes due Dec. 30, 2011 linked to Las Vegas Sands Corp. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMV8
• 11% reverse convertible notes due Sept. 28, 2012 linked to Noble Corp. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMR7
• 13.6% reverse convertible notes due Dec. 30, 2011 linked to Prudential Financial Inc. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMW6
• 16.25% reverse convertible notes due Dec. 30, 2011 linked to United States Steel Corp. stock; via Barclays Capital; pricing Sept. 27; Cusip: 06741JMX4
• Buffered return optimization securities due Sept. 30, 2013 linked to the S&P 500 index; 90% trigger; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KTF8
• 0% notes due Sept. 29, 2017 linked to the S&P BRIC 40 index; via Barclays Capital Inc.; pricing Sept. 27; Cusip: 06738KUD1
• Callable CMS steepener notes due Sept. 30, 2031; via Barclays Capital Inc.; settlement Sept. 30; Cusip: 06738KTB7
• 9% STEP Income Securities due October 2012 linked to Deere & Co. shares; via Bank of America Merrill Lynch; pricing in September
• 14% STEP Income Securities due October 2012 linked to Delta Air Lines, Inc. shares; via Bank of America Merrill Lynch; pricing in September
• 0% Accelerated Return Notes due November 2012 linked to the Energy Select Sector index; via Bank of America Merrill Lynch and Barclays Capital Inc.; pricing in September
• 8% STEP Income Securities due September 2012 linked to General Electric Co. shares; via Bank of America Merrill Lynch; pricing in September
• 7.5% callable yield notes due March 2013 linked to the S&P 500 index and the iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing in September
• 6% callable yield notes due March 2013 linked to the S&P 500 index and the Russell 2000 index; via Barclays Capital Inc.; pricing in September
• 0% Strategic Accelerated Redemption Securities due March 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch and Barclays Capital Inc.; pricing in September
CITIBANK, NA
• Market-linked certificates of deposit due Sept. 28, 2018 linked to the common stocks of Altria Group Inc., Amazon.com Inc., Archer-Daniels-Midland Co., Barrick Gold Corp., Bristol-Myers Squibb Co., Consolidated Edison Inc., General Mills, Inc., Intel Corp., Verizon Communications Ltd. and Wells Fargo & Co.; via agent Citigroup Global Markets Inc. and distributor Advisors Asset Management, Inc.; pricing Sept. 26; Cusip: 172986FP1
• Callable leveraged fixed-to-inverse floating-rate market-linked certificates of deposit due in 2031; via Citigroup Global Markets Inc.; Cusip: 172986FN6
CITIGROUP FUNDING INC.
• Callable notes due September 2026 with contingent coupon based on the performance of the S&P 500 index; via Citigroup Global Markets Inc.; pricing Sept. 19; Cusip: 1730T0NV7
• Noncallable fixed-to-floating notes due Sept. 29, 2016 with 3.25% initial rate; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 1730T0NU9
• Equity LinKed Securities due March 21, 2012 linked to the common stock of American Express Co.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17317U626
• 11%-13% annualized Equity LinKed Securities due March 21, 2012 linked to the common stock of Chesapeake Energy Corp.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17317U634
• 7%-9% annualized Equity LinKed Securities due March 21, 2012 linked to Market Vectors Gold Miners exchange-traded fund; 80% trigger; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17317U642
• 0% buffered jump securities due March 27, 2015 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17317U659
• Callable range accrual notes due Sept. 29, 2026 linked to the S&P 500 index and Libor; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 1730T0NQ8
• 0.5% market-linked notes due Sept. 27, 2017 linked to the S&P MidCap 400 index; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 1730T0NS4
• 0% trigger Performance Leveraged Upside Securities due September 2013 linked to the performance the Malaysian ringgit, the Philippine peso, the Australian dollar, the New Zealand dollar and the Brazilian real relative to the euro; via Citigroup Global Markets Inc.; pricing in September; Cusip: 1730T0NP0
• 0% buffered digital plus notes due March 27, 2015 linked to the S&P 500 index; via Citigroup Global Markets Inc.; settlement in September; Cusip: 1730T0NR6
• 0% Premium Mandatorily Callable Equity-Linked Securities due September 2012 linked to the worst performing of the SPDR S&P Homebuilders exchange-traded fund and the United States Natural Gas Fund, LP; via Citigroup Global Markets Inc.; pricing in September; Cusip: 1730T0NT2
CREDIT SUISSE AG, NASSAU BRANCH
• 9.5%-11.5% annualized callable yield notes due Sept. 20, 2012 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 15; Cusip: 22546TES6
• 14%-16% annualized reverse convertible notes due March 21, 2012 linked to Marathon Petroleum Corp. shares; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TEH0
• 10.5%-12.5% annualized callable yield notes due March 21, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Natural Gas Fund, LP; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TEP2
• High/low coupon callable yield notes due March 21, 2012 linked to the S&P 500 index, Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TED9
• High/low coupon callable yield notes due March 21, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TEE7
• High/low coupon callable yield notes due Sept. 21, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TEQ0
• High/low coupon callable yield notes due Sept. 21, 2012 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 16; Cusip: 22546TEF4
• 0% CS notes due Sept. 28, 2017 linked to gold; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 22546TER8
• 0% buffered accelerated return equity securities due Sept. 30, 2013 linked to the iShares MSCI Emerging Markets index fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 22546TDG3
• 0% Buffered Accelerated Return Equity Securities due Sept. 30, 2013 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 2254TEG26
• 0% buffered accelerated return equity securities due Sept. 30, 2013 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 22546TEG2
• 0% digital plus barrier notes due Sept. 30, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 22546TEB3
• 10%-12% callable yield notes due Dec. 31, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 23; Cusip: 22546TEJ6
• Contingent coupon CS notes due Oct. 1, 2015 linked to the common stocks of Kraft Foods Inc., Johnson & Johnson, Marsh & McLennan Cos., Inc., Merck & Co., Inc., Abbott Laboratories, Pfizer Inc., PDL BioPharma, Inc., Maxim Integrated Products, Inc., H.J. Heinz Co., Molson Coors Brewing Co., General Electric Co., Southern Copper Corp., KLA-Tencor Corp., Analog Devices, Inc. and Intel Corp.; via Credit Suisse Securities (USA) LLC; pricing Sept. 26; Cusip: 22546TEK3
• High/low coupon callable yield notes due Oct. 5, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22546TEA5
• 0% digital plus barrier notes due Oct. 5, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22546TEC1
DEUTSCHE BANK AG, LONDON BRANCH
• 0% market contribution securities due Sept. 30, 2014 linked to the Deutsche Bank Liquid Commodity Apex 14 index; via Deutsche Bank Securities Inc.; pricing Sept. 27; Cusip: 2515A1CT6
• 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 Dow Jones-UBS Commodity index; via Bank of America Merrill Lynch; pricing in September
GOLDMAN SACHS GROUP, INC.
• Callable step-up fixed-rate notes due September 2018; via Goldman Sachs & Co. and Incapital LLC; pricing in September; Cusip: 38143UD65
• Callable step-up fixed-rate notes due September 2026; via Goldman Sachs & Co. and Incapital LLC; settlement in September; Cusip: 38143UC74
• Five-year inflation-linked notes tied to the Consumer Price Index; via Goldman Sachs & Co.; Cusip: 38143UUQ2
• 0% buffered equity index-linked notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143UWP2
• 0% equity index-linked notes due in five years tied to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143UC58
• 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% currency-linked notes linked the New Zealand dollar, Swedish krona, Russian ruble, Korean won, Malaysian ringgit and Chilean; via Goldman Sachs & Co.
• 0% autocallable buffered index-linked notes due Feb. 6, 2013 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143USL6
• 0% leveraged buffered index-linked notes due May 1, 2013 tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UTV3
• 18- to 21-month 0% leveraged buffered index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.
• 18- to 21-month 0% buffered equity index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.
• Three-year 0% index-linked trigger notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UC82
• 0% buffered index-linked notes due Jan. 29, 2015 linked to the S&P 500; via Goldman Sachs & Co.; Cusip: 38143UWN7
• 60- to 64- month 0% buffered equity index-linked notes tied to the S&P 500 index; 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 due in 15 years linked to the S&P 500 index and Libor; via Goldman Sachs & Co.; Cusip: 38143UC41
• Callable quarterly range accrual notes linked to the S&P 500 index and Libor; 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% autocallable buffered index-linked notes due in 18 months linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143UC66
• Autocallable buffered index-linked notes linked to the worse of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143UXR7
HSBC BANK USA, NA
• 0% Far East opportunity certificates of deposit due Sept. 27, 2018 linked to the Hang Seng index, the TWSE index, the MSCI Singapore Free index and the Kospi 200 index; via HSBC Securities (USA) Inc.; pricing Sept. 21; Cusip: 40431GYC7
• Annual income opportunity CDs with auto cap due Sept. 27, 2018 linked to the common 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 Sept. 23; Cusip: 40431GYU7
• Annual income opportunity CDs with auto cap due Sept. 29, 2016 linked to the common stocks of 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 Sept. 26; Cusip: 40431GYK9
• Income plus certificates of deposit due Oct. 1, 2018 with 3% potential coupon linked to common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Sept. 26; Cusip: 40431GYD5
• Income plus certificates of deposit due Oct. 1, 2018 with 5% potential coupon linked to common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Sept. 26; Cusip: 40431GYE3
• Income plus certificates of deposit due Oct. 1, 2018 with 6.25% potential coupon linked to common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Sept. 26; Cusip: 40431GYF0
• Income plus certificates of deposit due Oct. 1, 2018 with 8% potential coupon linked to common stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Sept. 26; Cusip: 40431GYG8
• Annual income opportunity CDs with auto cap due Oct. 1, 2018 linked to the common stocks of 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 Sept. 26; Cusip: 40431GYJ2
• Annual income opportunity CDs with auto cap due Oct. 2, 2018 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.; pricing Sept. 27; Cusip: 40431GYR4
• Annual income opportunity CDs with auto cap due Oct. 2, 2018 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., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing Sept. 27; Cusip: 40431GYM5
• Annual income opportunity CDs with auto cap due Sept. 30, 2016 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., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing Sept. 27; Cusip: 40431GYP8
HSBC USA INC.
• Floating-rate notes due Sept. 15, 2016; via HSBC Securities (USA) Inc.; pricing Sept. 12; Cusip: 4042K1NC3
• Fixed-to-floating notes due Sept. 16, 2021; via HSBC Securities (USA); settlement Sept. 16; Cusip: 4042K1NB5
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the iShares FTSE/Xinhua China 25 index fund; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MS9
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the iShares FTSE/Xinhua China 25 index fund; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MW0
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MR1
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MV2
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MQ3
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MU4
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MP5
• 0% Accelerated Market Participation Securities due March 27, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MN0
• 0% Accelerated Market Participation Securities due March 27, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MM2
• 0% buffered Accelerated Market Participation Securities due March 27, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 22; Cusip: 4042K1MT7
• 0% performance securities due 2018 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 4042K1MJ9
• 0% buffered uncapped market participation securities due Sept. 26, 2014 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 4042K1ML4
• 0% buffered uncapped market participation securities due Sept. 28, 2015 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 4042K1MK6
• 9% to 12% autocallable yield notes due Sept. 27, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 4042K1NE9
• Annual income opportunity securities with auto cap due Oct. 2, 2014 linked to Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing Sept. 27; Cusip: 4042K1NJ8
• 0% buffered performance plus securities due March 30, 2015 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Sept. 27; Cusip: 4042K1MZ3
• 0% Currency Accelerated Return Securities due September 2013 linked to a basket of the Colombian peso, Malaysian ringgit, Indonesian rupiah and Chinese renminbi; via HSBC Securities (USA) Inc.; pricing in September; Cusip: 4042K1NQ2
• Return optimization securities due 2013 linked to the iShares FTSE/Xinhua China 25 index fund; via UBS Financial Services Inc. and HSBC Securities (USA); Cusip: 40433C494
JPMORGAN CHASE BANK, NA.
• Digital contingent coupon certificates of deposit due Sept. 30, 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 with Incapital LLC; pricing Sept. 27; Cusip: 48123YR32
• Digital contingent coupon certificates of deposit due Sept. 29, 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 with Incapital LLC; pricing Sept. 27; Cusip: 48123YR73
• Digital contingent coupon certificates of deposit due Sept. 28, 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 with Incapital LLC; pricing Sept. 27; Cusip: 48123YR40
• Contingent coupon certificates of deposit due Sept. 28, 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 agent J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 48123YR57
• 0% certificates of deposit due Sept. 29, 2017 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD); via agent J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 48123YP59
• 0% certificates of deposit due Sept. 29, 2017 linked to the JPMorgan ETF Efficiente 5 index; via agent J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 48123YP91
• Index annual income certificates of deposit due Sept. 28, 2018 linked to the JPMorgan ETF Efficiente 5 index; via agent J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 48123YQ33
• 0% certificates of deposit due Sept. 29, 2017 linked to the JPMorgan Optimax Market-Neutral index; via agent J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 48123YP42
JPMORGAN CHASE & CO.
• 19.75% reverse convertible notes due March 15, 2012 linked to AK Steel Holding Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XT97
• 18.25% reverse convertible notes due Dec. 15, 2011 linked to Bank of America Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XV52
• 12% reverse convertible notes due March 15, 2012 linked to Caterpillar Inc. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XY59
• 10% reverse convertible notes due Sept. 14, 2012 linked to Ford Motor Co. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XY75
• 11.25% reverse convertible notes due March 15, 2012 linked to Goldman Sachs Group, Inc. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XX92
• 16.75% reverse convertible notes due Dec. 15, 2011 linked to Goodyear Tire & Rubber Co. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XU87
• 21.75% reverse convertible notes due March 15, 2012 linked to Hecla Mining Co. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XY34
• 15.75% reverse convertible notes due March 15, 2012 linked to Las Vegas Sands Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XX84
• 16% reverse exchangeable notes due March 15, 2012 linked to the Market Vectors Junior Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Sept. 12; Cusip: 48125XY26
• 21.25% reverse convertible notes due Dec. 15, 2011 linked to MGM Resorts International stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XU95
• 23.5% reverse convertible notes due Dec. 15, 2011 linked to Molycorp, Inc. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XV37
• 20.75% reverse convertible notes due Dec. 15, 2011 linked to Patriot Coal Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XV45
• 16% reverse convertible notes due Dec. 15, 2011 linked to Silver Wheaton Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XU79
• 14.25% reverse convertible notes due Dec. 15, 2011 linked to Silvercorp Metals Inc. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XV29
• 16% reverse convertible notes due March 15, 2012 linked to Valero Energy Corp. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XY42
• 10.25% reverse convertible notes due Sept. 14, 2012 linked to Wells Fargo & Co. stock; via JPMorgan; pricing Sept. 12; Cusip: 48125XY67
• 11% to 12% callable yield notes due Sept. 21, 2012 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 14; Cusip: 48125XZ41
• Fixed-to-floating notes due Sept. 21, 2016; via J.P. Morgan Securities LLC; pricing Sept. 16; Cusip: 48125XX43
• 9.5% callable yield notes due Sept. 21, 2012 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 16; Cusip: 48125XY91
• Callable fixed-rate step-up notes due Sept. 28, 2026; via J.P. Morgan Securities LLC; pricing Sept. 23; Cusip: 48125XX35
• 10%-11% callable yield notes due Dec. 31, 2012 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 23; Cusip: 48125XU61
• Buffered return enhanced notes due March 28, 2013 linked to the iShares MSCI EAFE index fund; 85% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XZ58
• 0% buffered return enhanced notes due March 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XZ66
• 0% return notes due Dec. 31, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XY83
• 10% callable yield notes due Sept. 28, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Sept. 27
• 0% return notes due Dec. 31, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XW44
• 0% buffered return enhanced notes due March 28, 2013 linked to the Russell 2000 index; 90% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XV60
• 13% callable yield notes due Sept. 28, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XW28
• 11% callable yield notes due Sept. 28, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 75% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XW36
• 0% buffered return enhanced notes due March 28, 2013 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XV86
• 0% buffered return enhanced notes due Sept. 30, 2013 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48125XV94
• 0% Performance Leveraged Upside Securities due Oct. 31, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing in September; Cusip: 46636T820
• 0% buffered return enhanced notes due 2012 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; Cusip: 48125XWZ5
MORGAN STANLEY
• Fixed-to-floating-rate notes due Sept. 15, 2031 linked to the 30-year and two-year Constant Maturity Swap rates and the S&P 500 index; via Morgan Stanley & Co. LLC; settlement Sept. 15; Cusip: 61745EK75
• Fixed-to-floating notes due Sept. 16, 2015; via Morgan Stanley & Co. LLC; settlement Sept. 16; Cusip: 61745EJ36
• CMS curve and S&P 500 index-linked accrual notes due Sept. 16, 2031; via Morgan Stanley & Co. LLC; settlement Sept. 16; Cusip: 61745EL58
• CMS curve and S&P 500 index-linked accrual notes due Sept. 22, 2026; via Morgan Stanley & Co. LLC; settlement Sept. 22; Cusip: 61745EM32
• 7%-9% annualized Equity LinKed Securities due March 26, 2012 linked to the common stock of Apple Inc.; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 61760P643
• 0% commodity-linked notes due Sept. 29, 2017 linked to the price of gold; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 617482VX9
• 0% Trigger Performance Leveraged Upside Securities due Sept. 26, 2016 linked to the iShares MSCI Emerging Markets index fund; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 61760P874
• Contingent income autocallable securities due Sept. 24, 2012 linked to the common stock of MetLife, Inc.; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 61760P676
• 0% equity-linked partial principal at risk securities due Dec. 22, 2017 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 61760P650
• 0% Target Optimized Participation Securities due Sept. 29, 2016 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 617482XX7
• 0% equity-linked notes due Sept. 29, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 26; Cusip: 617482XW9
• 1% market-linked notes due Sept. 29, 2017 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Sept. 27; Cusip: 61760P692
• 0% market-linked notes due Sept. 29, 2017 linked to the Dow Jones-UBS Commodity Index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Sept. 27; Cusip: 617482VW1
• 0% contingent return optimization securities due Sept. 30, 2013 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC (agent) and UBS Financial Services (dealer); pricing Sept. 27; Cusip: 61760P718
• 0% buffered step performance securities due Sept. 30, 2015 linked to the S&P 500 index; via Morgan Stanley & Co. Inc. and UBS Financial Services Inc.; pricing Sept. 27; Cusip: 61760P684
| • Australian dollar-denominated fixed-rate step-up securities due Sept. 29, 2016; via Morgan Stanley & Co. International plc; settlement Sept. 29; Cusip: | 067805054
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| • Fixed-to-floating notes due Sept. 30, 2017; via Morgan Stanley & Co. LLC; settlement Sept. 30; Cusip: 61745EM99
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| • 0% trigger Performance Leveraged Upside Securities due September 2016 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in September; Cusip: 61760P726
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| • Contingent coupon range accrual notes due September 2026 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in September; Cusip: 617482XS8
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| • Turkish lira-denominated senior fixed-rate step-up notes due September 2015; via Morgan Stanley & Co. International plc; pricing in September; common code: XS0675298045
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| ROYAL BANK OF CANADA
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| • 16.5% reverse convertible notes due Dec. 21, 2011 linked to Abercrombie & Fitch Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSB1
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| • 14% reverse convertible notes due Dec. 21, 2011 linked to Alcoa Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSA3
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| • 14.75% reverse convertible notes due Dec. 21, 2011 linked to Baker Hughes Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSC9
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| • 12% reverse convertible notes due Dec. 21, 2011 linked to Broadcom Corp. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSD7
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| • 11.5% reverse convertible notes due Dec. 21, 2011 linked to Caterpillar Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSE5
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| • 14% reverse convertible notes due Dec. 21, 2011 linked to Coach, Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSF2
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| • 10.75% reverse convertible notes due Dec. 21, 2011 linked to Discover Financial Services stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSG0
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| • 14% reverse convertible notes due Dec. 21, 2011 linked to Dow Chemical Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSH8
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| • 14.25% reverse convertible notes due Dec. 21, 2011 linked to Ford Motor Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSJ4
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| • 21% reverse convertible notes due Dec. 21, 2011 linked to Goodyear Tire & Rubber Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSK1
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| • 12% reverse convertible notes due Dec. 21, 2011 linked to Halliburton Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSL9
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| • 13.25% reverse convertible notes due Dec. 21, 2011 linked to International Paper Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSM7
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| • 11% reverse convertible notes due Dec. 21, 2011 linked to JPMorgan Chase & Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSN5
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| • 11% reverse convertible notes due Dec. 21, 2011 linked to Schlumberger Ltd. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSP0
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| • 17.75% reverse convertible notes due Dec. 21, 2011 linked to Tesoro Corp. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSQ8
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| • 19.5% reverse convertible notes due Dec. 21, 2011 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TST2
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| • 14% reverse convertible notes due Dec. 21, 2011 linked to Wells Fargo & Co. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSR6
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| • 12.25% reverse convertible notes due Dec. 21, 2011 linked to Whole Foods Market, Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 16; Cusip: 78008TSS4
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| • 14.50% to 18.50% reverse convertible notes due March 30, 2012 linked to Best Buy Co., Inc. stock; via RBC Capital Markets Corp.; pricing Sept. 27; Cusip: 78008TTF1
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| • Contingent coupon notes due Sept. 29, 2017 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 Sept. 27; Cusip: 78008TSV7
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| • 0% buffered bullish enhanced return notes due March 28, 2013 linked to the S&P 500 index; 90% trigger; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip: 78008TSX3
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| • 0% buffered bullish enhanced return notes due March 28, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip:78008TTE4
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| • 0% buffered bullish enhanced return notes due Sept. 30, 2013 linked to the S&P 500 index; 90% trigger; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip: 78008TSW5
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| • Autocallable access securities with fixed percentage buffered downside due Oct. 3, 2013 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in September; Cusip: 78008TRY2
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| • 0% Accelerated Return Notes due November 2012 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in September
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| • 0% Accelerated Return Notes due November 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in September
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| • 0% autocallable access securities with fixed percentage buffered downside due Oct. 3, 2013 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in September; Cusip: 78008TSZ8
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| • 0% Strategic Accelerated Redemption Securities due October 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in September
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| • 0% Accelerated Return Notes due November 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in September
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| • 0% growth securities with capped upside and fixed percentage buffered downside due April 4, 2016 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 Markets index fund; via Wells Fargo Securities, LLC; pricing in September; Cusip: 78008TRX4
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| • Autocallable access securities with fixed percentage buffered downside due Oct. 3, 2013 linked to the; SPDR S&P Metals & Mining exchange-traded fund via Wells Fargo Securities, LLC; pricing in September; Cusip: 78008TRZ9
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| • 0% direct investment notes due Nov. 8, 2012 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Oct. 5; Cusip: 78008TSU9
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| • 0% Accelerated Return Notes due November 2012 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in October
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| • 18- to 21-month 0% leveraged equity index-linked notes linked to the MSCI EAFE index; via Goldman Sachs & Co.
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| ROYAL BANK OF SCOTLAND PLC
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| • Annual reset coupon notes with fixed buffer due Sept. 30, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing Sept. 27; Cusip: 78009PBT7
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| • Annual reset coupon notes with fixed buffer due Sept. 30, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing Sept. 27; Cusip: 78009PBS9
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| • 0% capped market-linked notes due March 30, 2017 linked to the S&P 500 index; via RBS Securities Inc.; pricing Sept. 27; Cusip: 78009PBR1
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| • 0% market-linked notes due Jan. 5, 2017 linked to the SPDR Dow Jones industrial average exchange-traded fund trust; via RBS Securities Inc.; pricing Sept. 30; Cusip: 78009PBU4
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| • RBS BRIC Trendpilot notes due 2041; via RBS Securities Inc.; Cusip: 78009P119
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| AB SVENSK EXPORTKREDIT
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| • 0% Accelerated Return Notes due December 2012 linked to the front-month futures contract for platinum; via Bank of America Merrill Lynch; pricing in September
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| UBS AG, JERSEY BRANCH
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| • Callable step-up fixed-rate notes due Sept. 14, 2018; via UBS Investment Bank; settlement Sept. 14; Cusip: 90261JHN6
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| • Fixed-to-floating notes due Sept. 21, 2021; via UBS Securities LLC; settlement Sept. 21; Cusip: 90261JHP1
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| UBS AG, LONDON BRANCH
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| • 0% trigger performance securities due Sept. 30, 2016 linked to the S&P 500 index; 50% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 27; Cusip: 90267H127
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| • 0% trigger performance securities due Sept. 30, 2021 linked to the S&P 500 index; 50% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 27; Cusip: 90267H135
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| UNION BANK, NA
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| • 0% quarterly capped return market-linked certificates of deposit due Sept. 29, 2015 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Sept. 26; Cusip: 90521AGW2
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| • 0% market-linked certificates of deposit due Sept. 29, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Sept. 27; Cusip: 90521AGX0
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| WELLS FARGO BANK, NA
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| • 0% market-linked certificates of deposit due Sept. 29, 2017 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via distributor Incapital LLC; pricing Sept. 26; Cusip: 949748K71
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| • Contingent annual interest market-linked certificates of deposit due Sept. 21, 2018 linked to a basket of the S&P GSCI Brent Crude Oil Index Excess Return, the S&P GSCI Livestock Index Excess Return, copper, corn, cotton, gasoline, aluminum, platinum, silver and sugar; via Incapital LLC as distributor; pricing Sept. 27; Cusip: 949748K48
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| WELLS FARGO & CO.
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| • Step-up callable notes due Sept. 21, 2023; via Wells Fargo Securities, LLC; pricing Sept. 16; Cusip: 94986RFQ9
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| • Fixed-to-floating rate notes due Sept. 21, 2016 linked to Libor; via Wells Fargo Securities LLC; pricing Sept. 16; Cusip: 94986RFR7
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| • 0% upside participation equity-linked notes due April 2018 linked to the Dow Jones industrial average; via Wells Fargo Securities, LLC; settlement in October; Cusip: 94986RFS5
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| • 0% growth securities with upside participation and contingent downside protection due April 2016 linked to the Dow Jones industrial average; via Wells Fargo Securities, LLC; settlement in October; 94986RFK2
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| • 0% growth securities with capped upside and fixed percentage buffered downside due April 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; settlement in October; Cusip: 94986RFN6
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| • 0% market-linked notes with upside participation due October 2018 linked to the SPDR S&P 500 ETF trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; settlement in October; Cusip: 94986RFL0
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| • 0% growth securities with capped upside and fixed percentage buffered downside due April 2015 linked to the S&P 500 index; via Wells Fargo Securities, LLC; settlement in October; Cusip: 94986RFM8
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| • 0% growth securities with capped upside and fixed percentage buffered downside due April 2015 linked to silver, copper, nickel, corn, soybeans, cotton, Brent crude oil and RBOB gasoline; via Wells Fargo Securities, LLC; settlement in October; Cusip: 94986RFT3
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