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Published on 11/1/2012 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Accelerated Return Notes due November 2014 linked to the Dow Jones-UBS Commodity Index - Excess Return; via Bank of America Merrill Lynch; pricing in November

• Leveraged Index Return Notes due November 2014 linked to the Dow Jones-UBS Agriculture Sub-Index - Excess Return; via Bank of America Merrill Lynch; pricing in November

• 0% currency Market Index Target-Term Securities due November 2015 linked to Norwegian krone and the Swedish krona relative to the euro; via Bank of America Merrill Lynch; pricing in November

• 0% Accelerated Return Notes due January 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in November

• 0% Accelerated Return Notes due November 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in November

• Autocallable market-linked step-up notes due November 2015 linked to the S&P 500 index; 95% trigger; via Bank of America Merrill Lynch; pricing in November

• Market-linked step-up notes due December 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in November

• 0% Accelerated Return Notes due January 2014 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in November

BARCLAYS BANK PLC

• 0% notes due Nov. 10, 2015 linked to the EquityCompass Share Buyback index; via Barclays; pricing Nov. 6; Cusip: 06741TJC2

• Fixed-rate step-up callable notes due Nov. 15, 2032; via Barclays; pricing Nov. 9; Cusip: 06741TJP3

• 0% Accelerated Return Notes due January 2014 linked to the NYSE Arca Gold Miners index; via Bank of America Merrill Lynch; pricing in November

CITIGROUP FUNDING INC.

• 0% buffered digital plus securities due June 1, 2016 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Nov. 26; Cusip:1730T0ZG7

CREDIT SUISSE AG, NASSAU BRANCH

• High/low coupon callable yield notes due Nov. 14, 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 Nov. 9; Cusip: 22546TG96

• Daily range accrual notes due Nov. 30, 2016 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Nov. 27; Cusip: 22546TE23

• Daily range accrual notes due Dec. 5, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Nov. 30; Cusip: 22546TG39

• 0% Accelerated Return Notes due January 2014 linked to the Energy Select Sector index; via Bank of America Merrill Lynch; pricing in November

• 0% buffered enhanced participation equity securities linked to the MSCI EAFE index due in 24 and 27 months; 90% trigger; via Credit Suisse Securities (USA) LLC; pricing in November; Cusip: 22546TF71

• 0% Accelerated Return Notes due January 2014 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in November

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due November 2019; via Goldman, Sachs & Co. and Incapital LLC; settlement in November; Cusip: 38141GGU2

• Callable step-up fixed-rate notes due May 2025; via Goldman Sachs & Co. and Incapital LLC; settlement in November; Cusip: 38141GHE7

• 0% equity index-linked notes tied to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143U7M7

• Five-year 0% leveraged notes linked to the Morningstar Wide Moat Focus Target Volatility 5 index; via Goldman Sachs & Co.; Cusip: 38143U7B1

• 0% digital notes tied to the Russell 2000 index due in 18 and 21 months; 80% trigger; via Goldman Sachs & Co.

• Callable index-linked range accrual notes tied to Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38141GHD9

• 0% leveraged buffered index-linked notes due in 36 to 42 months tied to the S&P 100 index; via Goldman, Sachs & Co.

• 0% leveraged buffered index-linked notes due in 42 to 48 months tied to the S&P 100 index; via Goldman, Sachs & Co.; Cusip: 38143U7U9

• 0% leveraged buffered index-linked notes tied to the S&P 500 index due in 18 to 21 months; via Goldman, Sachs & Co.

• 22- to 25-month 0% leveraged index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.

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

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

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

• 0% leveraged index-linked notes due in 24 to 28 months tied to the S&P 500 index; via Goldman Sachs & Co.

HSBC USA INC.

• 0% buffered notes due Nov. 7, 2016 linked to the S&P 500 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Nov. 2; Cusip: 4042K17C1

• 0% digital return knock-out buffer notes due Nov. 18, 2013 linked to the Polish zloty relative to the dollar; 85.5% trigger; via HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC; pricing Nov. 2; Cusip: 40432X2X8

• 0% buffered performance plus securities due May 27, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Nov. 21; Cusip: 40432X2E0

• 0% buffered performance plus securities due Nov. 28, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Nov. 21; Cusip: 40432X2F7

• Income plus notes with 0.5% minimum coupon due Dec. 2, 2019 linked to a basket of common stocks of AT&T Inc., Bristol-Myers Squibb Co., ConocoPhillips, Intel Corp. and Walgreen Co.; via HSBC Securities (USA) Inc.; pricing Nov. 27; Cusip: 40432X2B6

• Income plus notes with 1% minimum coupon due Dec. 2, 2019 linked to a basket of common stocks of AT&T Inc., Bristol-Myers Squibb Co., ConocoPhillips, Intel Corp. and Walgreen Co.; via HSBC Securities (USA) Inc.; pricing Nov. 27; Cusip: 40432X2A8

• 0% averaging notes due November 2017 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing in November; Cusip: 4042K17E7

• Market-linked step-up notes due December 2014 linked to the Euro Stoxx 50 index; 95% trigger; via Bank of America Merrill Lynch; pricing in November

• Capped Leveraged Index Return Notes due December 2014 linked to the gold spot price; via Bank of America Merrill Lynch; pricing in November

• Capped Leveraged Index Return Notes due December 2014 linked to the silver spot price; via Bank of America Merrill Lynch; pricing in November

• Capped Leveraged Index Return Notes due November 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in November

JPMORGAN CHASE & CO.

• 0% capped contingent buffered notes due Nov. 15, 2013 linked to gold; 85% trigger; via J.P. Morgan Securities LLC; pricing Nov. 2; Cusip: 48126DGH6

• 5.8% to 6.8% single observation callable yield notes due May 28, 2014 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Nov. 20; Cusip: 48126DGG8

• Annual income notes contingent on the performance of the JPMorgan ETF Efficiente 5 index due Nov. 29, 2019; via J.P. Morgan Securities LLC; pricing Nov. 20; Cusip: 48126DGJ2

MORGAN STANLEY

• 0% enhanced trigger jump securities due October 2014 linked to the price of gold; 85% trigger; via Morgan Stanley & Co. LLC; Cusip: 617482Q49

ROYAL BANK OF CANADA

• 0% direct investment notes due Dec. 9, 2013 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Nov. 5; Cusip: 78008SMX1

• 0% buffered enhanced participation equity securities linked to the S&P 500 index due in 24 to 27 months; 90% trigger; via RBC Capital Markets, LLC; Cusip: 78008SPF7

• 18- to 21-month 0% leveraged buffered notes tied to the iShares MSCI EAFE index fund; 90% trigger; via Goldman Sachs & Co.

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

• 24-month 0% buffered equity index-linked notes linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78008SPJ9

WELLS FARGO & CO.

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due Nov 28, 2014 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities LLC; pricing Nov. 27; Cusip: 94986RMA6

• 0% autocallable access securities with contingent downside protection due Nov. 28, 2014 linked to the Russell 2000 index; 80% trigger; via Wells Fargo Securities, LLC; pricing Nov. 27; Cusip: 94986RM

• 0% market-linked notes due November 2019 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 November; Cusip: 94986RLU3


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