Structured Products Calendar

BANK OF AMERICA CORP.

• 0% market-linked step-up notes due September 2016 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in September

• 0% leveraged index return notes due September 2017 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due December 2014 linked to gold; via BofA Merrill Lynch; pricing in September

• 0% Market Index Target-Term Securities due September 2019 linked to the Merrill Lynch Commodity index eXtra - Excess Return; via BofA Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due November 2014 linked to the S&P 100 index; via BofA Merrill Lynch; pricing in September

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

• 0% market-linked step-up notes due September 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in September

• 0% market-linked step-up notes due September 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due November 2014 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in September

BANK OF MONTREAL

• 0% barrier bullish return notes due Sept. 28, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 25; Cusip: 06366RQY4

BARCLAYS BANK PLC

• Digital step-up notes due Sept. 16, 2014 linked to the Mexican peso relative to the dollar; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing Sept. 4; Cusip: 06741TH42

• 0% Super Track notes due Sept. 7, 2018 linked to the S&P 500 index; via Barclays; pricing Sept. 4; Cusip: 06741TG76

• 0% notes due Sept. 8, 2016 linked to the EquityCompass Share Buyback index; via Barclays; pricing Sept. 5; Cusip: 06741TC96

• Contingent income autocallable securities due Sept. 12, 2016 linked to Weyerhaeuser Co. common stock; via Barclays and Morgan Stanley Smith Barney LLC; pricing Sept. 6; Cusip: 06742D192

• Principal at risk CMS steepener and Russell 2000 index-linked notes due Sept. 13, 2028; via Barclays; pricing Sept. 10; Cusip: 06741TF85

• 0% market-linked step-up notes due September 2015 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in September

• 24- to 27-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741TE45

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741TE37

• Five-year 0% buffered Super Track notes due 2018 linked to S&P 500 index; the iShares MSCI EAFE index fund; the Russell 2000 index and the PowerShares DB Commodity Index Tracking Fund; the iShares iBoxx $ Investment Grade Corporate Bond fund and the iShares MSCI Japan index fund; the Consumer Staples Select Sector SPDR fund, the iShares Dow Jones Select Dividend index fund and the iShares MSCI Emerging Markets index fund; the Health Care Select Sector SPDR fund and the PowerShares QQQ Trust, Series 1; and the iShares Barclays Treasury Inflation Protected Securities Bond fund; 75.5% to 85.5% trigger; via Barclays; Cusip: 06741TYY7

CITIGROUP INC.

• 0% jump securities due March 11, 2015 linked to the common stock of Apple Inc.; via Citigroup Global Markets Inc.; pricing Sept. 6; Cusip: 17321F409

• Autocallable equity-linked securities due Sept. 11, 2014 linked to the common stock of Facebook, Inc.; via Citigroup Global Markets Inc.; pricing Sept. 6; Cusip: 17321F607

• 0% enhanced barrier digital plus securities due Sept. 27, 2018 linked to the iShares MSCI EAFE exchange-traded fund; 70% trigger; via Citigroup Global Markets Inc.; pricing Sept. 24; Cusip: 1730T0UV9

CREDIT SUISSE AG

• 0% cert plus securities due Sept. 11, 2017 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 6; Cusip: 22547QA22

• 0% accelerated barrier notes due March 27, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 20; Cusip: 22547QAE6

• 0% accelerated barrier notes due Sept. 27, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 20; Cusip: 22547QAF3

• Contingent coupon yield notes due Sept. 27, 2019 linked to the Russell 2000 index; 70% trigger; Credit Suisse Securities (USA) LLC; pricing Sept. 20; Cusip: 22547QAG1

• 0% Buffered Accelerated Return Equity Securities due Sept. 27, 2017 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 24; Cusip: 22547QAH9

• 0% accelerated barrier notes due Sept. 29, 2017 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 25; Cusip: 22547QAJ5

• High/low coupon callable yield notes due March 30, 2015 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 25; Cusip: 22547QAN6

• 0% cert plus securities due Sept. 29, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 25; Cusip: 22547QAQ9

• High/low coupon callable yield notes due March 30, 2015 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 25; Cusip: 22547QAK2

•0% accelerated barrier notes due Oct. 3, 2017 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22547QAP1

• High/low coupon callable yield notes due Oct. 3, 2014 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22547QAT3

• 0% cert plus securities due Oct. 3, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22547QAM8

• High/low coupon callable yield notes due April 3, 2015 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; 55% trigger; via Credit Suisse Securities (USA) LLC; pricing Sept. 30; Cusip: 22547QAS5

• 0% buffered return equity securities due March 13, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; Cusip: 22547QA89

DEUTSCHE BANK AG, LONDON BRANCH

• 0% tracker notes due Sept. 10, 2015 linked to S&P 500 Total Return index, the Deutsche Bank ProVol Hedge index and the Deutsche Bank Equity Mean Reversion Alpha index; via Deutsche Bank Securities Inc.; pricing Sept. 4; Cusip: 25152REG4

GOLDMAN SACHS GROUP, INC.

• Callable monthly Russell 2000 index-linked range accrual notes due Sept. 27, 2023; via Goldman Sachs & Co.; pricing Sept. 24; Cusip: 38147QSW7

• Callable monthly Russell 2000 index-linked range accrual notes due Sept. 27, 2023; via Goldman Sachs & Co.; pricing Sept. 24; Cusip: 38147QTA4

• Variable-coupon notes due Sept. 30, 2020 linked to the common stocks of Apple Inc., Deere and Co., Duke Energy Corp., Eli Lilly and Co., Freeport-McMoRan Copper & Gold Inc., Intel Corp., Merck & Co., Inc., Microsoft Corp., Mondelez International, Inc. and Pfizer Inc.; via Goldman Sachs & Co.; pricing Sept. 25; Cusip: 38147QSJ6

• Callable buffered monthly range accrual notes due June 28, 2019 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Sept. 25; Cusip: 38147QRW8

• 0% leveraged notes due Oct. 1, 2020 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Sept. 26; Cusip: 38147QSE7

• Callable monthly range accrual notes due Sept. 30, 2028 linked to six-month Libor and the Russell 2000 index; via Goldman Sachs & Co.; pricing Sept. 26; Cusip: 38147QRS7

• Callable monthly Russell 2000 index-linked range accrual notes due Sept. 30, 2028; via Goldman Sachs & Co.; pricing Sept. 26; Cusip: 38147QRN8

• Callable buffered monthly Russell 2000 index-linked range accrual notes due Sept. 30, 2028; via Goldman Sachs & Co.; pricing Sept. 26; Cusip: 38147QKN5

• 0% buffered notes due Oct. 1, 2018 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Sept. 26; Cusip: 38147QSS6

• Callable step-up fixed-rate notes due March 2022; via Goldman Sachs & Co. and Incapital LLC; settlement in September; Cusip: 38147QSA5

• 15-year callable quarterly CMS spread-linked notes; via Goldman Sachs & Co.; Cusip: 38147QQJ8

• 18- to 21-month 0% leveraged notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 0% leveraged notes linked to the Euro Stoxx 50 index due in 18 to 21 months; 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.

• 36- to 40-month 0% leveraged buffered index-linked notes tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QAC0

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

• 21- to 24-month 0% leveraged buffered notes linked to the MSCI AC World index; via Goldman Sachs & Co.

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

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

• 20- to 23-month 0% leveraged buffered 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.

• 18- to 21-month 0% leveraged notes linked to the Russell 2000 index; via Goldman Sachs & Co.

• 24-month 0% autocallable buffered notes linked to the Russell 2000 index; 85% trigger; via Goldman Sachs & Co.; Cusip: 38147QFA9

• 0% leveraged buffered notes due in 24-27 months linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QAE6

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

• 24-month 0% buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QSS6

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

• 0% leveraged buffered notes due 2018 linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QAD8

• 0% leveraged buffered notes due in five years linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QAD8

• 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.

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due Sept. 27, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Sept. 20; Cusip: 40432XL25

• 0% buffered Accelerated Market Participation Securities due Sept. 27, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Sept. 20; Cusip: 40432XKZ3

• 0% buffered Accelerated Market Participation Securities due Sept. 27, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 20; Cusip: 40432XKY6

• 0% digital-plus barrier notes due Sept. 27, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 20; Cusip: 40432XL33

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKC4

• 0% Accelerated Market Participation Securities due March 26, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKJ9

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKF7

• 0% Accelerated Market Participation Securities due March 26, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKH3

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the Russell 2000 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKB6

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the Russell 2000 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKE0

• 0% Accelerated Market Participation Securities due March 26, 2015 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKG5

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKA8

• 0% buffered Accelerated Market Participation Securities due Sept. 28, 2015 linked to the S&P 500 index; 90% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40432XKD2

• Income plus notes due Sept. 28, 2020 linked to a basket of common stocks (AT&T Inc., General Electric Co., Hewlett-Packard Co., Intel Corp. and Pfizer Inc.); via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XKV2

• Income plus notes due Sept. 28, 2020 linked to a basket of common stocks (AT&T Inc., General Electric Co., Hewlett-Packard Co., Intel Corp. and Pfizer Inc.); via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XKU4

•0% buffered uncapped market participation securities due Sept. 27, 2017 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XKK6

• 0% buffered uncapped market participation securities due Sept. 27, 2016 linked to the Euro Stoxx 50 index; 85% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XL58

• 0% buffered uncapped market participation securities due March 27, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XKL4

• 0% buffered uncapped market participation securities due Sept. 27, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 24; Cusip: 40432XKN0

• 0% uncapped Accelerated Market Participation Securities due Sept. 30, 2015 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Sept. 25; Cusip: 40432XK83

• 5% to 6% autocallable yield notes due Dec. 30, 2014 linked to the S&P 500 index and the Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 25; Cusip: 40432XKT7

• 5.5% to 6.5% autocallable yield notes due Dec. 30, 2014 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Sept. 25; Cusip: 40432XKS9

JPMORGAN CHASE & CO.

• Fixed-to-floating notes due Sept. 11, 2023; via J.P. Morgan Securities LLC; pricing Sept. 6; Cusip: 48126D6T1

• Contingent income autocallable securities due Sept. 9, 2016 linked to Dow Chemical Co. shares; via J.P. Morgan Securities, LLC with distribution through Morgan Stanley Smith Barney LLC; pricing Sept. 6; Cusip: 48126H498

• 0% review notes due Sept. 23, 2016 linked to an equally weighted basket consisting of the S&P 500 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Sept. 13; Cusip: 48126NQH3

• Callable contingent interest notes due Sept. 27, 2016 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 Sept. 20; Cusip: 48126NQA8

• 0% capped buffered return enhanced notes due June 30, 2015 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQL4

• 0% capped buffered return enhanced notes due June 30, 2015 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQM2

• Contingent annual interest notes due Sept. 30, 2019 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQX8

• 0% capped buffered return enhanced notes due June 30, 2015 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQK6

• 0% capped buffered return enhanced notes due Sept. 30, 2015 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQP5

• 0% capped buffered return enhanced notes due Sept. 30, 2015 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48126NQN0

MORGAN STANLEY

• Contingent coupon notes due Sept. 30, 2033 linked to the worst performing of the Euro Stoxx 50 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JKY4

• Contingent income securities due Sept. 29, 2028 linked to the Russell 2000 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JLA5

• Contingent income securities due Sept. 29, 2028 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JKX6

• Floating-rate contingent income securities due Sept. 29, 2023 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JLC1

• Contingent income securities due Sept. 29, 2028 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JLB3

• 0% Target Optimized Participation Securities due March 31, 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 25; Cusip: 61761JLE7

• Leveraged CMS curve and S&P 500 index-linked notes due Sept. 27, 2028 with barrier linked to the S&P 500 index; via Morgan Stanley & Co. LLC; settlement Sept. 27; Cusip: 61760QDJ0

ROYAL BANK OF CANADA

• 0% direct investment notes due Oct. 8, 2014 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Sept. 5; Cusip: 78008S7M2

• Contingent income autocallable securities due September 2014 linked to Cobalt International Energy, Inc. shares; 60% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Sept. 6; Cusip: 78009Q331

• 0% Strategic Accelerated Redemption Securities due October 2014 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in September

• 0% Strategic Accelerated Redemption Securities due October 2014 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in September

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

• 0% leveraged buffered notes linked to the MSCI EAFE index due in 15 to 18 months; 90% trigger; via RBC Capital Markets, LLC; Cusip: 78010UBS5

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

UBS AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Sept. 19, 2023 linked to the least performing of the Euro Stoxx 50 index and the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 13; Cusip: 90271M203

• 0% trigger performance securities due 2023 linked to the UBS Bloomberg Constant Maturity Commodity Index Excess Return; 50% trigger; via UBS Financial Services Inc. and UBS Investment Bank

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

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