Structured Products Calendar

BANK OF AMERICA CORP.

• Autocallable market-linked step-up notes due February 2016 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in February

BARCLAYS BANK PLC

• Callable contingent coupon notes due March 3, 2016 linked to United States Steel Corp. shares; 60% trigger; via Barclays; pricing Feb. 27; Cusip: 06741J6Q7

• Callable contingent coupon notes due March 3, 2016 linked to the common stock of lululemon athletica inc.; via Barclays; pricing Feb. 27; Cusip: 06741J6P9

• Contingent income autocallable securities due March 5, 2015 linked to Abercrombie & Fitch Co. shares; via Barclays with Morgan Stanley Wealth Management; pricing Feb. 28; Cusip: 06742K832

• 7.5% to 8.25% autocallable reverse convertible notes due March 5, 2015 linked to Celgene Corp. shares; via Barclays; pricing Feb. 28; Cusip: 06741J6R5

• Phoenix autocallable notes due March 18, 2015 linked to Cummins Inc. shares; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 06741T6P7

• Phoenix autocallable notes due March 18, 2015 linked to Gilead Sciences, Inc. shares; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 06741T6Q5

• 0% autocallable return enhanced notes due March 18, 2015 linked to the common stock of General Electric Co.; via Barclays with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA as placement agents; pricing Feb. 28; Cusip: 06741T6N2

•0% market-linked notes due March 5, 2021 tied to the iShares MSCI EAFE exchange-traded fund; via Barclays with Morgan Stanley Smith Barney LLC as dealer; pricing Feb. 28; Cusip: 06742B634

• 0% dual directional notes due March 17, 2015 linked to the performance of WTI crude oil; via Barclays; pricing Feb. 28; Cusip: 06741T6M4

• 0% Accelerated Return Notes due April 2015 linked to Citigroup Inc., JPMorgan Chase & Co. and Wells Fargo & Co.; via BofA Merrill Lynch; pricing in February

• 0% Strategic Accelerated Redemption Securities due March 2015 tied to a basket of two equally weighted funds (iShares MSCI EAFE exchange-traded fund and iShares MSCI Emerging Markets exchange-traded fund); via BofA Merrill Lynch; pricing in February

• 18- to 21-month 0% capped leveraged notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741T6G7

• 0% Accelerated Return Notes due March 2015 linked to Nucor Corp. stock; via BofA Merrill Lynch; pricing in February

• 0% relative value Strategic Accelerated Redemption Securities due March 2015 linked to the performance of the SPDR S&P 500 ETF Trust versus the iShares Barclays 20+ Year Treasury Bond ETF; via BofA Merrill Lynch; pricing in February

• 0% notes due March 8, 2017 linked to the EquityCompass Share Buyback index; via Barclays; pricing March 3; Cusip: 06741T5U7

• Callable steepener notes due March 7, 2022 linked to the 30-year Constant Maturity Swap rate and the five-year Constant Maturity Swap rate; via Barclays; pricing March 4; Cusip: 06741T6H5

• 0% capped leveraged buffered index-linked notes tied to the S&P 500 index; via Barclays; Cusip: 06741T6F9

BNP PARIBAS

• 23- to 26-month 0% notes linked to the Russell 2000 index; via BNP Paribas Securities Corp.; Cusip: 05574LRC4

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market plus non-principal-protected notes due Sept. 26, 2016 linked to the S&P 500 index; via SG Americas Securities, LLC; pricing March 21; Cusip: 13605WAC5

CITIGROUP INC.

• 10%-12% annualized single observation Equity LinKed Securities due Sept. 2, 2014 tied to Cliffs Natural Resources Inc.; via Citigroup Global Markets Inc.; pricing Feb. 27; Cusip: 1730T0J42

• 0% barrier securities due March 2, 2018 linked to the iShares China Large-Cap exchange-traded fund; 65% trigger; via Citigroup Global Markets Inc.; pricing Feb. 27; Cusip: 1730T0J91

• Autocallable contingent coupon equity-linked securities due March 4, 2015 linked to Yahoo! Inc.; via Citigroup Global Markets Inc.; pricing Feb. 27; Cusip: 1730T0J34

• Autocallable contingent coupon equity-linked securities due Sept. 8, 2015 linked to the common stock of MetLife, Inc.; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 1730T0K73

• Callable step-up coupon notes due March 5, 2021; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 1730T0K40

CREDIT SUISSE AG

• 11% autocallable reverse convertible securities due March 4, 2015 linked to Iron Mountain Inc.; via Credit Suisse Securities (USA) LLC; pricing Feb. 27; Cusip: 22547QJH0

• 0% absolute return barrier securities due March 2, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 27; Cusip: 22547QHW9

• 0% Buffered Accelerated Return Equity Securities due Sept. 2, 2015 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QJF4

• Absolute return barrier securities due March 5, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QJM9

• 0% accelerated barrier notes due March 5, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QH25

• 0% callable cert plus securities due March 7, 2016 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QGW0

• 0% return enhanced notes due March 18, 2015 linked to the upside return of the Select Sector Financials, Select Sector Industrials and Select Sector Technology indexes and the downside return of the S&P 500 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 28; Cusip: 22547QJP2

• 0% absolute return barrier securities due March 5, 2019 linked to the S&P 500 index and the Russell 2000 index; 53% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QJM9

• 9% autocallable reverse convertible securities due March 5, 2015 linked to Tenet Healthcare Corp.; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22547QJE7

• 0% Leveraged Index Return Notes due February 2019 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in February

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

• Autocallable market-linked step-up notes due February 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

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

• Market-linked step-up notes due February 2016 tied to the S&P 500 index; via BofA Merrill Lynch; pricing February

• Contingent coupon callable yield notes due Sept. 19, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 14; Cusip: 22547QHU3

• 0% Credit Suisse FI Enhanced S&P 500 Total Return index exchange-traded notes due 2019 linked to the S&P 500 Total Return index; via Credit Suisse Securities (USA) LLC; Cusip: 22542D431

DEUTSCHE BANK AG, LONDON BRANCH

• Phoenix autocallable securities due March 18, 2015 linked to Whirlpool Corp.; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 28; Cusip: 25152RJD6

• 9% STEP Income Securities due March 2015 linked to the common stock of General Motors Co.; via BofA Merrill Lynch; pricing in February

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

• 18-21-month 0% capped leveraged buffered index-linked notes tied to the MSCI EAFE index; via Deutsche Bank Securities Inc.; Cusip: 25152RJB0

• Capped Leveraged Index Return Notes due February 2016 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due February 2016 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

• Capped Leveraged Index Return Notes due February 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

GOLDMAN SACHS GROUP, INC.

• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QAT3

• Callable step-up fixed-rate notes due February 2019; via Goldman Sachs & Co. and Incapital LLC; settlement in February; Cusip: 38147QPP5

• Callable step-up fixed-rate notes due February 2022; via Goldman Sachs & Co. and Incapital LLC; settlement in February; Cusip: 38147QPK6

• Floating-rate notes due March 2024; via Goldman, Sachs & Co.; pricing in March; Cusip: 38147QRP3

• 15-year callable quarterly CMS spread-linked notes linked to 30-year Constant Maturity Swap rate and five-year CMS rate; via Goldman Sachs & Co.; Cusip: 38147QPT7

• 15-year callable quarterly CMS spread-linked notes; via Goldman Sachs & Co.; Cusip: 38147QRT5

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

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

• 0% 36- to 40-month leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QAT3

• 0% 24- to 27-month leveraged buffered notes linked to the iShares MSCI Emerging Markets ETF; 90% trigger; via Goldman Sachs & Co.; Cusip: 38147QY26

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

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

• 0% leveraged notes linked to the MSCI EAFE index; 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% 15-month buffered digital notes linked to the Russell 2000 index; 85% trigger; via Goldman Sachs & Co.; Cusip: 38147QRF5

• 0% leveraged buffered notes due 2016 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QGX8

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

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

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

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QQX7

• 0% 60-month leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QAP1

• 0% buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QGF7

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

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

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

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

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

HSBC USA INC.

• Contingent income autocallable securities due March 5, 2015 linked to Coach, Inc. shares; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40434B164

• 0% trigger autocallable optimization securities due Feb. 28, 2019 linked to the Euro Stoxx 50 index; 67.5% to 72.5% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 26; Cusip: 40434B222

• 0% trigger performance securities due Feb. 28, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; settlement Feb. 28; Cusip: 40434B214

• 0% buffered Performance Leveraged Upside Securities due Sept. 6, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40434B339

• 0% return enhanced notes due March 1, 2017 linked to AstraZeneca plc, Bristol-Myers Squibb Co. and Merck & Co., Inc.; via HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 40432XU74

• 0% Leveraged Index Return Notes due February 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

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

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

• 0% Strategic Accelerated Redemption Securities due March 2015 linked to S&P 500 index and the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

• Market-linked step-up notes due February 2017 tied to the S&P 500 index with a 40% weight, the Euro Stoxx 50 index with a 30% weight and the MSCI EAFE index with a 30% weight; via BofA Merrill Lynch; pricing in February

• 0% trigger autocallable optimization securities due March 13, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing March 7; Cusip: 40434B230

JPMORGAN CHASE & CO.

• 0% contingent buffered equity notes due Sept. 2, 2015 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48126N5B9

• 0% Performance Leveraged Upside Securities due April 6, 2015 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48127E403

• 0% dual directional trigger Performance Leveraged Upside Securities linked to the Euro Stoxx Banks index due Sept. 3, 2015; 90% trigger; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48127E700

• 0% digital notes due March 3, 2016 linked to iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48126N4L8

• Autocallable contingent interest notes due March 18, 2015 linked to Amazon.com, Inc. shares; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48126N5D5

• Contingent income autocallable securities due March 4, 2015 linked to Apple Inc. shares; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 48127E627

• Autocallable contingent interest notes due March 18, 2015 linked to Splunk Inc. shares; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48126N5C7

• 0% Performance Leveraged Upside Securities due April 6, 2015 linked to the Nikkei 225 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48127E502

• 0% Performance Leveraged Upside Securities due April 6, 2015 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48127E304

• Contingent income autocallable securities due Feb. 26, 2015 linked to Seadrill Ltd. shares; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution; pricing Feb. 28; Cusip: 48127E734

• Floating-rate notes due March 6, 2024 linked to the 10-year Constant Maturity Swap rate; via J.P. Morgan Securities LLC; pricing March 3; Cusip: 48126NUK1

• Floating-rate notes due March 6, 2024 linked to the 30-year Constant Maturity Swap rate; via J.P. Morgan Securities LLC; pricing March 3; Cusip: 48126NUH8

• Callable step-up fixed-rate notes due March 10, 2032; via J.P. Morgan Securities LLC; pricing March 5; Cusip: 48126NUJ4

MORGAN STANLEY

• Fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Feb. 28, 2034; via Morgan Stanley & Co. LLC; settlement Feb. 28; Cusip: 61760QDY7

• Contingent income autocallable securities due March 2017 linked to BlackRock, Inc. shares; viaMorgan Stanley & Co. LLC; pricing in February; Cusip: 61760S431

• 0% Performance Leveraged Upside Securities due September 2014 linked to an equally weighted basket of commodities; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61762GAZ7

• 0% market-linked notes due February 2021 tied to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S282

• 0% trigger Performance Leveraged Upside Securities due September 2016 linked to a basket of gold and silver; 90% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61762GBD5

• 0% dual directional trigger Performance Leveraged Upside Securities with downside factor due August 2019 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S241

• 0% Performance Leveraged Upside Securities due September 2014 linked to gold and silver; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61762GBC7

• 0% Performance Leveraged Upside Securities due March 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S258

• 0% buffered Performance Leveraged Upside Securities due August 2016 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S266

• 0% dual directional trigger Performance Leveraged Upside Securities due February 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S274

• 0% Buffered Performance Leveraged Upside Securities due February 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S290

• Contingent income autocallable securities due March 2017 linked to Seagate Technology plc shares; 70% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61760S449

NOMURA AMERICA FINANCE, LLC

• Callable leveraged steepener notes due February 2034; via Nomura Securities International, Inc.; pricing in February; Cusip: 65539ABB5

ROYAL BANK OF CANADA

• Redeemable leveraged steepener notes due Feb. 28, 2034 linked to the 30-year and five-year Constant Maturity Swap rates; via RBC Capital Markets, LLC; settlement Feb. 28; Cusip: 78010UDU8

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due March 6, 2017 linked to the iShares Russell 2000 exchange-traded fund; via Wells Fargo Securities LLC; pricing Feb. 28; Cusip: 78010UQF7

• 0% direct investment notes due April 9, 2015 linked to the Equity Compass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing March 5; Cusip: 78010URB5

• 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.

• 0% leveraged buffered index-linked notes due 2016 tied to the Russell 2000 index due in 24 to 27 months; 90% trigger; via RBC Capital Markets, LLC; Cusip: 78010URD1

AB SVENSK EXPORTKREDIT

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

TOYOTA MOTOR CREDIT CORP.

• Fixed-rate step-up callable notes due March 20, 2024; via Morgan Stanley & Co. LLC; pricing March 17; Cusip: 89236TBF1

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due March 3, 2017 linked to Broadcom Corp. common stock; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 90271T810

• Contingent income autocallable securities due March 4, 2021 linked to the worst performing of the Euro Stoxx 50 index, the Nikkei 225 index and the Russell 2000 index; 50% trigger; via UBS Securities LLC with Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 90270KBB4

• 0% Performance Leveraged Upside Securities with downside factor due April 2, 2015 linked to iShares FTSE China 25 index fund, the iShares MSCI Mexico Capped ETF, the iShares MSCI South Korea Capped ETF and iShares MSCI Taiwan ETF; via UBS Securities LLC; pricing Feb. 28; Cusip: 90271T653

• Contingent income autocallable securities due March 11, 2015 linked to Terex Corp. common stock; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 90271T828

• 0% trigger Performance Leveraged Upside Securities due Sept. 1, 2016 linked to the WisdomTree Japan Hedged Equity fund; via UBS Securities LLC with Morgan Stanley Smith Barney LLC; pricing Feb. 28; Cusip: 90271T711

• 0% five-year short leverage securities linked to the S&P 500 Total Return index; via UBS Financial Services Inc. and UBS Investment Bank

WELLS FARGO & CO.

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Sept. 8, 2017 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing Feb. 27; Cusip: 94986RSW2

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