Structured Products Calendar

BANK OF MONTREAL

• 0% buffered bullish digital return notes due April 30, 2015 linked to the iShares FTSE China 25 index fund; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RNJ0

• 0% autocallable cash-settled notes with step-up call price due April 30, 2015 linked to the iShares MSCI EAFE index fund; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RNE1

• 0% autocallable cash-settled notes with step-up call price due April 30, 2015 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RNF8

• 0% autocallable barrier notes with contingent coupon due April 29, 2016 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RND3

• 0% autocallable barrier notes with step-up call price due April 29, 2016 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RNC5

BARCLAYS BANK PLC

• Capped callable steepener notes due April 9, 2028 linked to the 30-year Constant Maturity Swap rate and the five-year CMS rate; via Barclays; pricing April 4; Cusip: 06741TRR0

• 0% notes due April 10, 2016 linked to the EquityCompass Share Buyback index; via Barclays; pricing April 5; Cusip: 06741TQQ3

CITIGROUP INC.

• Callable leveraged CMS spread notes due April 29, 2033 linked to the 30-year Constant Maturity Swap Rate and the five-year CMS rate; via Citigroup Global Markets Inc.; settlement in April; Cusip: 1730T0SM2

CREDIT SUISSE AG, NASSAU BRANCH

• High/low coupon callable yield notes due April 10, 2015 linked to the S&P 500 index, the Dow Jones industrial average and the Nasdaq 100 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 5; Cusip: 22546T3B5

• High/low coupon callable yield notes due April 27, 2015 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22546T4T5

• High/low coupon callable yield notes due Nov. 3, 2014 linked to the Russell 2000 index, the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; 58% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22546T4N8

• 0% autocallable buffered return equity securities due May 3, 2016 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22546T4R9

GOLDMAN SACHS GROUP, INC.

• Autocallable monthly index-linked range accrual notes due April 24, 2023 tied to the Russell 2000 index, the Euro Stoxx 50 index and the Taiwan Taiex index; via Goldman Sachs & Co.; pricing April 12; Cusip: 38141GRK2

• Fixed-to-floating-rate notes due April 2023; via Goldman Sachs & Co.; settling in April; Cusip: 38141GRB2

• Callable step-up fixed-rate notes due October 2023; via Goldman Sachs & Co. and Incapital LLC; settling in April; Cusip: 38141GRF3

• Fixed-to-floating notes due April 2016; via Goldman Sachs & Co.; settlement in April; Cusip: 38141GRM8

• 0% index-linked digital notes due in 13-15 months tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.

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

• 0% leveraged buffered notes due in 36 to 40 month linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38141GPM0

• 0% buffered index-linked notes due in five years linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

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

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

• 0% buffered index-linked notes due in 17-20 months linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147K737

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

• 0% leveraged buffered index-linked notes due March 3, 2015 tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38141GPS7

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

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

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.; Cusip: 38147H486

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

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

• 26- to 30-month 0% leveraged buffered notes linked to the S&P 500 index; 90% trigger; via Goldman Sachs & Co.

• 42- to 48-month 0% leveraged buffered notes linked to the S&P 500 index due in 42 to 48 months; 70% trigger; via Goldman Sachs & Co.; Cusip: 38143U7U9

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 38141GPL2

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

• 0% leveraged buffered notes linked to the S&P 500 index, Russell 2000 index and S&P MidCap 400 index; via Goldman Sachs & Co.; Cusip: 38141GQT4

• 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.

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

HSBC USA INC.

• Annual income opportunity notes due April 24, 2019 linked to Altria Group, Inc., Bristol-Myers Squibb Co., CME Group Inc., Cisco Systems, Inc., Kinder Morgan Energy Partners, LP, Lockheed Martin Corp., Maxim Integrated Products, Inc., McDonald's Corp., Monsanto Co. and Wal-Mart Stores, Inc.; via HSBC Securities (USA) Inc.; pricing April 19; Cusip: 40432XBJ9

JPMORGAN CHASE & CO.

• Callable variable-rate range accrual notes due April 10, 2028 linked to the 30-year Euro Constant Maturity Swap Rate and two-year Euro CMS rate; via J.P Morgan Securities LLC; pricing April 5; Cusip: 48126DS34

• 0% capped contingent buffered return enhanced notes due April 16, 2015 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing April 12; Cusip: 48126DK24

• Annual income contingent coupon notes due April 30, 2020 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing April 19; Cusip: 48126DF46

• 0% capped buffered return enhanced notes due Oct. 31, 2014 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DJ26

• 0% capped buffered return enhanced notes due Oct. 31, 2014 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DJ34

• 5%-8.5% autocallable yield notes due April 30, 2014 linked to the iShares MSCI Emerging Markets index fund and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH77

• Contingent interest notes due April 30, 2019 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH36

• 0% return notes due April 30, 2015 linked to the J.P. Morgan Strategic Volatility Dynamic Index (Series 1) (USD); via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH51

• 0% return notes due July 31, 2014 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH44

• 8.5%-10.5% autocallable yield notes due April 30, 2014 linked to the Market Vectors Gold Miners exchange-traded fund and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH85

• 0% capped buffered return enhanced notes due Oct. 31, 2014 linked to the Russell 2000 index; via J.P. Morgan Securities LLC: pricing April 25; Cusip: 48126DH93

• 0% capped buffered return enhanced notes due April 30, 2015 linked to the Russell 2000 index; via J.P. Morgan Securities LLC: pricing April 25; Cusip: 48126DJ59

• 0% capped buffered return enhanced notes due April 30, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC: pricing April 25; Cusip: 48126DJ42

• 0% capped buffered return enhanced notes due April 30, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC: pricing April 25; Cusip: 48126DJ67

• 6%-8% autocallable yield notes due July 31, 2014 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48126DH69

ROYAL BANK OF CANADA

• 0% direct investment notes due May 8, 2014 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing April 3; Cusip: 78008SD94

• 0% commodity-linked notes due 2014 tied to the price of gold due in 9 to 11 months; via Goldman Sachs & Co.; Cusip: 78008SJ49

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

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

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