Structured Products Calendar

BANK OF AMERICA CORP.

• 5.7% mandatory exchangeable senior notes due July 2012 linked to the common shares of CIT Group Inc.; via Bank of America Merrill Lynch; pricing in January

• 0% digital return notes due February 2014 linked to the 30-year Constant Maturity Swap rate; via Bank of America Merrill Lynch; pricing in January

• 0% lock-in notes due February 2015 linked to the Dow Jones Global Titans 50 index; via Bank of America Merrill Lynch; pricing in January

• Variable-coupon notes due February 2015 linked to gold, palladium, platinum, copper, West Texas Intermediate light sweet crude oil, RBOB gasoline, heating oil, natural gas, soybeans, sugar, wheat and corn; via Bank of America Merrill Lynch; pricing in January

• 11% coupon-bearing notes due February 2013 linked to MetLife Inc. shares; 90% to 94% trigger; via Bank of America Merrill Lynch; pricing in January

• 0% market-linked step-up notes due January 2014 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in January

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

• 0% bear Accelerated Return Notes due August 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in January

• 0% Strategic Accelerated Redemption Securities due February 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% autocallable enhanced market-linked step-up notes with buffer due January 2014 linked to the S&P 500 index; 90% trigger; via Bank of America Merrill Lynch; pricing in January

• 0% market-linked step-up notes due January 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• Autocallable range accrual notes due February 2027 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% Market Index Target-Term Securities due January 2017 linked to S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in January

• Step-up callable notes due Feb. 15, 2032; via Bank of America Merrill Lynch; settlement Feb. 15; Cusip: 06048WKF6

• Step-down callable notes due Feb. 15, 2032; via Bank of America Merrill Lynch; settlement Feb. 15; Cusip: 06048WKE9

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

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

• 0% Accelerated Return Notes due May 2013 linked to the silver spot price; via Bank of America Merrill Lynch; pricing in February

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due Aug. 5, 2013 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing Jan. 31; Cusip: 06366QZ59

• Reverse exchangeable notes due Aug. 3, 2012 linked to the common stock of V.F. Corp.; BMO Capital Markets Corp.; pricing Jan. 31; Cusip: 06366QZ42

BARCLAYS BANK PLC

• 0% buffered Super Track notes due Aug. 5, 2013 linked to the iShares MSCI EAFE index fund; 90% trigger; via Barclays Capital Inc.; pricing Jan. 31; Cusip: 06738KJ85

• 10.15%-12.25% reverse convertible notes due Aug. 3, 2012 linked to Google Inc.-Class A Common Stock stock; via Barclays Capital; pricing Jan. 31; Cusip: 06741JRH4

• 10.40%-12.50% reverse convertible notes due Aug. 3, 2012 linked to Mead Johnson Nutrition Co. stock; via Barclays Capital; pricing Jan. 31; Cusip: 06741JRJ0

• 0% buffered Super Track digital notes due Feb. 5, 2014 linked to the S&P 500 index; 85% trigger; via Barclays Capital Inc.; pricing Jan. 31; Cusip: 06738KJ51

• 0% barrier notes due Feb. 3, 2014 linked to S&P 500 index; 58% to 63.5% trigger; via Barclays Capital Inc.; pricing Jan. 31; Cusip: 06738KJ93

• 0% notes due February 2013 linked to Berkshire Hathaway Inc., Comcast Corp., Freeport-McMoRan Copper & Gold Inc., MetLife, Inc., Procter & Gamble Co., Royal Dutch Shell plc American Depositary Shares, Sanofi ADS, Seagate Technology plc and Vodafone Group plc ADS; 80% trigger; via Barclays Capital Inc.; pricing in January; Cusip: 06738KH53

• 0% annual autocallable notes due January 2015 linked to the iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing in January; Cusip: 06738KK59

• 0% Capped Leveraged Index Return Notes due January 2014 linked to the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due April 2013 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in January

• 0% market-linked step-up notes due January 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% notes due January 2017 linked to the S&P 500 Dynamic Veqtor Mid-Term Total Return index; via Barclays Capital Inc.; pricing in January; Cusip: 06738KK42

• 0% autocallable notes due Aug. 8, 2012 linked to the Brent crude futures contract; via Barclays Capital Inc. with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing Feb. 3; Cusip: 06738KM73

• 0% notes due Feb. 11, 2015 linked to the EquityCompass Share Buyback index; via Barclays Capital Inc.; pricing Feb. 7; Cusip: 06738KH79

• Fixed-rate step-up callable notes due Feb. 15, 2022; via Barclays Capital Inc.; pricing Feb. 10; Cusip: 06738KL74

• 0% equity-linked notes due Feb. 5, 2018 linked to the iShares MSCI EAFE index fund; via Barclays Capital Inc. and Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 06741L427

• 0% Capped Leveraged Index Return Notes due February 2014 linked to the Dow Jones U.S. Real Estate index; via Bank of America Merrill Lynch; pricing in February

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

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

• 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

CITIGROUP FUNDING INC.

• Variable-coupon notes due Jan. 30, 2016 linked to equal weights of Altria Group, Inc., Amazon.com, Inc., Amgen Inc., Archer-Daniels-Midland Co., AT&T Inc., Barrick Gold Corp., General Motors Co., Halliburton Co., Intel Corp. and Mattel, Inc.; via Citigroup Global Markets Inc.; pricing in January; Cusip: 1730T0VT3

• 0% trigger jump securities due February 2015 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 17317U220

• 0% dual directional trigger Performance Leveraged Upside Securities due Feb. 27, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 17317U238

• 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

CREDIT SUISSE AG, NASSAU BRANCH

• 8% to 10% callable yield notes due Feb. 4, 2013 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22546TLF6

• 9.5%-11.5% annualized callable yield notes due Aug. 3, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22546TLH2

• 0% buffered return equity securities due Feb. 8, 2017 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing Feb. 1; Cusip: 22546TLS8

• 5.5% to 6.5% callable yield notes due Feb. 11, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 7; Cusip: 22546TLJ8

• 7.5% to 9.5% callable yield notes due Feb. 11, 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. 7; Cusip: 22546TLP4

• High/low coupon callable yield notes due Feb. 21, 2013 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 Feb. 15; Cusip: 22546TLU3

DEUTSCHE BANK AG, LONDON BRANCH

• 0% securities due Feb. 7, 2013 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Deutsche Bank Securities Inc.; pricing Feb. 1; Cusip: 2515A1GG0

• 0% notes due Aug. 7, 2013 linked to the performance of the Brazilian real, the Canadian dollar and the Mexican peso relative to the U.S. dollar; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 3; Cusip: 2515A1GM7

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

EUNITS 2 YEAR U.S. MARKET PARTICIPATION TRUST: UPSIDE TO CAP / BUFFERED DOWNSIDE

• Units of beneficial interest designed to provide returns based on the performance of the S&P 500 Composite Stock Price index; via Eaton Vance Distributors, Inc.

GOLDMAN SACHS BANK USA

• Contingent coupon certificates of deposit due 2017 linked to Alcoa Inc., American Express Co., Boeing Co., Bank of America Corp., Caterpillar Inc., Cisco Systems, Inc., Chevron Corp., E.I. DuPont de Nemours & Co., Walt Disney Co. General Electric Co., Home Depot Inc., Hewlett-Packard Co., IBM Corp., Intel Corp., Johnson & Johnson, JPMorgan Chase & Co., Kraft Foods Inc., McDonald's Corp., 3M Co., Merck & Co. Inc., Microsoft Corp., Pfizer Inc., Procter & Gamble Co., AT&T Inc., Travelers Cos. Inc., United Technologies Corp., Verizon Communications Inc., Wal-Mart Stores, Inc. and Exxon Mobil Corp.; via Goldman, Sachs & Co. with Incapital LLC; Cusip: 38143ADK8

• Variable-coupon certificates of deposit due 2019 linked to Altria Group, Inc., Apple Inc., AT&T Inc., Barrick Gold Corp., Eli Lilly & Co., Freeport-McMoRan Copper & Gold Inc., Intel Corp., Southern Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman, Sachs & Co. with Incapital LLC; Cusip: 38143AGA7

• Contingent coupon certificates of deposit due 2019 linked Altria Group, Inc., Apple Inc., AT&T Inc., Barrick Gold Corp., Eli Lilly & Co., Freeport-McMoRan Copper & Gold Inc., Intel Corp., Southern Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman, Sachs & Co. with Incapital LLC; Cusip: 38143AFZ3

• Contingent coupon certificates of deposit due 2018 linked to AT&T Inc., Cisco Systems, Inc., Hewlett-Packard Co., Intel Corp., Kraft Foods Inc., McDonald's Corp., Merck & Co. Inc., Procter & Gamble Co., Verizon Communications Inc. and Wal-Mart Stores, Inc.; via Goldman, Sachs & Co. with Incapital LLC; Cusip: 38143ADN2

• Four-year 0% equity index-linked certificates of deposit linked to the Dow Jones industrial average; via Goldman Sachs & Co. and Incaptial LLC; Cusip: 38143AFY6

• 0% equity-linked certificates of deposit due 2019 linked to the Euro Stoxx 50 index, S&P 500 index, S&P/TSX 60 index and Topix; via Goldman Sachs & Co. Inc; Cusip: 38143AGB5

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due January 2027; via Goldman Sachs & Co. and Incapital LLC; pricing in January; Cusip: 38143UN64

• 0% currency-linked notes due Aug. 5, 2013 tied to a basket of three equally weighted exchange rates relative to the dollar (Brazilian real, Canadian dollar and Mexican peso); via Goldman Sachs & Co. (underwriter) and J.P. Morgan Securities LLC (agent); settlement Feb. 3; Cusip: 38143UM81

• 0% commodity-linked notes due Feb. 8, 2013 linked to the price of gold; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; settlement Feb. 3; Cusip: 38143UN80

• 42-month 0% buffered index-linked digital notes tied to the Dow Jones industrial average; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143UL90

• 5.5-year 0% equity index-linked notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143UL25

• 18- to 21-month 0% leveraged buffered commodity-linked notes tied to the ICE Brent Crude futures contract; 85% trigger; via Goldman Sachs & Co.

• 13- to 15-month 0% buffered index-linked notes due tied to the MSCI EAFE index; 80% trigger; via Goldman Sachs & Co.

• 13- to 15-month 0% leveraged index-linked notes tied to the Topix index; via Goldman Sachs & Co.

• 18- to 21-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.

• 20- to 23-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.

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

• 24-month 0% buffered index-linked digital notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UL82

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

• 24- to 28-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 80% trigger; via Goldman Sachs & Co.

• 30-month 0% autocallable knock-out equity notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UL41

• 36-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143UL58

• Callable quarterly accrual notes tied to the S&P 500 index and six-month Libor; via Goldman Sachs & Co.; Cusip: 38143UM73

HSBC USA INC.

• Fixed-to-floating notes due Feb. 3, 2022; via HSBC Securities (USA) Inc.; pricing in January; Cusip: 4042K1VX8

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

• 0% leveraged outperformance notes due January 2014 linked to platinum relative to gold; via HSBC Securities (USA) Inc.; pricing in January; Cusip: 4042K1VQ3

• Currency-linked step-up notes due February 2014 linked to the Indonesian rupiah, Indian rupee and Chinese renminbi; via Bank of America Merrill Lynch; pricing in January

• 0% Strategic Accelerated Redemption Securities due February 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% Strategic Accelerated Redemption Securities due February 2013 linked to the S&P 500 index; 95% trigger; via Bank of America Merrill Lynch; pricing in January

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

• 0% autocallable enhanced market-linked step-up notes with buffer due January 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in January

• 0% autocallable notes due January 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing in January; Cusip: 4042K1VF7

• 0% Accelerated Return Notes due April 2013 linked to the Technology Select Sector index; via Bank of America Merrill Lynch; pricing in January

• Callable step-up rate notes due Feb. 2, 2024; via HSBC Securities (USA) Inc.; settlement Feb. 2; Cusip: 4042K1VY6

• 0% buffered Accelerated Market Participation Securities due Aug. 8, 2013 linked to the S&P 500 index and the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Feb. 3; Cusip: 4042K1VU4

• 9.5% coupon-bearing notes due February 2013 linked to the common stock of Chesapeake Energy Corp.; via Bank of America Merrill Lynch; pricing in February

• 8% STEP Income Securities due February 2013 linked to Citigroup, Inc. common stock; via Bank of America Merrill Lynch; pricing in February

JPMORGAN CHASE & CO.

• 11.05% to 15.05% reverse convertible notes due Aug. 3, 2012 linked to Cummins Inc. stock; via JPMorgan; pricing Jan. 31; Cusip: 48125VJS0

• 8%-10% annualized autocallable yield notes due Feb. 5, 2013 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48125VJB7

• 12.4% to 16.4% reverse convertible notes due Aug. 3, 2012 linked to Wells Fargo & Co. stock; via JPMorgan; pricing Jan. 31; Cusip: 48125VJT8

• 0% autocallable dual directional notes due Feb. 28, 2013 linked to the first nearby month futures contract for Brent crude oil; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48125VLB4

MORGAN STANLEY

• Contingent income autocallable securities due February 2015 linked to Amazon.com, Inc. shares; 70% trigger; via Morgan Stanley & Co. LLC and Morgan Stanley Smith Barney LLC; pricing in January; Cusip: 61760T413

• Contingent income autocallable securities due January 2014 linked to Apple Inc. shares; 85% trigger; via Morgan Stanley & Co. LLC and Morgan Stanley Smith Barney LLC; pricing in January; Cusip: 61760T363

• 0% trigger jump securities due January 2016 linked to the price of gold; 65% trigger; via Morgan Stanley & Co. LLC is the agent and Morgan Stanley Smith Barney LLC; pricing in January; Cusip: 617482L44

• 0% buffered jump securities due January 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T306

• 0% buffered jump securities due January 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T389

• 0% buffered Performance Leveraged Upside Securities due January 2014 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T371

• 0% buffered Performance Leveraged Upside Securities due January 2014 linked to the S&P 500 index; 90% trigger; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T298

• 0% trigger jump securities due January 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T397

• 0% trigger jump securities due January 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61760T314

• Contingent income autocallable securities due January 2017 linked to the S&P 500 index; 60% trigger; via Morgan Stanley & Co. LLC and Morgan Stanley Smith Barney LLC; pricing in January; Cusip: 61760T355

• 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

• Fixed-to-floating notes due Feb. 15, 2019 linked to the 10-year Constant Maturity Swap rate; via Morgan Stanley & Co. LLC; settlement Feb. 15; Cusip: 61745E6T3

• 0% market-linked notes due February 2018 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760T439

ROYAL BANK OF CANADA

• Trigger phoenix autocallable optimization securities due January 2013 linked to the common stock of Aeropostale, Inc.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing in January

• 0% autocallable access securities with fixed percentage buffered downside due Feb. 3, 2014 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in January; Cusip: 78008TG65

• Trigger phoenix autocallable optimization securities due January 2013 linked to the common stock of Juniper Networks Inc.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing in January

• 0% autocallable access securities with fixed percentage buffered downside due Feb. 3, 2014 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in January; Cusip: 78008TG57

• 0% growth securities due Aug. 3, 2015 linked to the S&P 500 index; 90% trigger; via Wells Fargo Securities, LLC; pricing in January; Cusip: 78008TG40

• 0% direct investment notes due March 8, 2013 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Feb. 3; Cusip: 78008TK29

• 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

• 0% digital notes with fixed buffer due Sept. 1, 2015 linked to the Dow Jones industrial average; via RBS Securities Inc.; pricing Feb. 27; Cusip: 78009PCM1

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due April 2013 linked to the Dow Jones-UBS Agriculture Sub-Index-Excess Return; via Bank of America Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2013 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in February

WELLS FARGO & CO.

• 0% market-linked notes due August 2018 linked to the Dow Jones industrial average; via Wells Fargo Securities, LLC; settlement in February; Cusip: 94986RHA2

• 0% growth securities due August 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in February; Cusip: 94986RGY1

• 0% growth securities due August 2014 linked to the SPDR S&P 500 ETF trust, the iShares Russell 2000 index fund and the SPDR S&P MidCap 400 ETF trust; via Wells Fargo Securities, LLC; pricing in February; Cusip: 94986RGX3

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