Structured Products Calendar

BANK OF AMERICA CORP.

• Floating-rate notes due July 7, 2021 linked to the Consumer Price Index; via Bank of America Merrill Lynch; settlement July 7; Cusip: 06048WGN4

• 0% currency-linked step-up notes due July 2014 linked to the Chinese renminbi, the Indonesian rupiah, the Singapore dollar and the Turkish lira; via Bank of America Merrill Lynch; pricing in July

• 0% Market Index Target-Term Securities due August 2016 linked to the Dow Jones-UBS Commodity Index - Excess Return; via Bank of America Merrill Lynch; pricing in July

• 0% buffered enhanced market-linked step-up notes due July 2014 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in July

• Variable coupon notes due August 2016 linked to a basket of gold, palladium, platinum and copper spot prices and Brent crude oil, RBOB gasoline, heating oil, natural gas, soybeans, sugar, wheat and corn futures contracts; via Bank of America Merrill Lynch; pricing in July

• 0% Strategic Accelerated Redemption Securities due August 2012 linked to an equally weighted basket that includes the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Bank of America Merrill Lynch; pricing in July

• 0% Strategic Accelerated Redemption Securities due August 2012 linked to the iShares S&P Latin America 40 index fund; 95% trigger; via Bank of America Merrill Lynch; pricing in July

• 0% Capped Leveraged Index Return Notes due July 2013 linked to the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in July

• 0% Market Index Target-Term Securities due July 2017 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

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

BANK OF MONTREAL

• 12.82%-15.82% reverse exchangeable notes due Jan. 17, 2012 linked to Cummins Inc. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing July 12; Cusip: 06366QPY7

• 0% buffered bullish enhanced return notes due July 17, 2013 linked to the gold spot price; via BMO Capital Markets Corp., pricing July 12; Cusip: 06366QQB6

• 0% buffered bullish enhanced return notes due July 15, 2013 linked to the iShares MSCI EAFE index fund; via BMO Capital Markets Corp.; pricing July 12; Cusip: 06366QPZ4

• 0% buffered bullish enhanced return notes due July 15, 2013 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing July 12; Cusip: 06366QQA8

BARCLAYS BANK PLC

• 0% return enhanced notes due Jan. 14, 2013 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi relative to the dollar; via JPMorgan Chase Bank, NA and JPMorgan Securities LLC with Barclays Capital Inc.; pricing July 1; Cusip: 06738KMR9

• 0% capped market plus notes due July 12, 2012 linked to platinum and palladium; via J.P. Morgan Chase Bank, NA and JPMorgan Securities LLC; pricing July 1; Cusip: 06738KMT5

• 12% single observation reverse convertible notes due July 13, 2012 linked to the common stock of Peabody Energy Corp.; via Barclays Capital Inc.; pricing July 11; Cusip: 06741JJH3

• 0% notes due July 15, 2016 linked to the Barclays Capital Voyager II DJ-UBSCI Total Return index; via Barclays Capital Inc.; pricing July 12; Cusip: 06738KMF5

• 0% buffered Super Track notes due July 17, 2013 linked to the S&P MidCap 400 index; via Barclays Capital Inc.; pricing July 12; Cusip: 06738KMJ7

• 0% buffered Super Track notes due Jan. 24, 2013 linked to the Russell 2000 index; via Barclays Capital Inc.; pricing July 18; Cusip: 06738KMP3

• 7% STEP Income Securities due July 2012 linked to General Electric Co. common stock; via Bank of America Merrill Lynch; pricing in July

• 10% STEP Income Securities due July 2012 linked to Goodyear Tire & Rubber Co. common stock; via Bank of America Merrill Lynch; pricing in July

• 11.5% STEP Income Securities due July 2012 linked to MGM Resorts International common stock; via Bank of America Merrill Lynch; pricing in July

CITIGROUP FUNDING INC.

• Non-callable notes due June 20, 2021 linked to the Consumer Price Index; via Citigroup Global Markets Inc.; pricing in June; Cusip: 1730T0MR7

• 0% market-linked notes due June 27, 2018 linked to the price of gold; via Citigroup Global Markets Inc.; pricing in June; Cusip: 1730T0MQ9

• 8% to 10% annualized Equity LinKed Securities due Jan. 25, 2012 linked to the common stock of Broadcom Corp.; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 17317U766

• 11% to 13% annualized Equity LinKed Securities due Jan. 25, 2012 linked to the common stock of Las Vegas Sands Corp.; via Citigroup Global Markets Inc.; pricing July 25; Cusip: 17317U774

• Market-linked notes due 2016 linked to copper, silver, platinum, palladium, soybeans, sugar, wheat, cocoa, coffee and the S&P GSCI Livestock Index Excess Return; via Citigroup Global Markets Inc.; Cusip: 1730T0MT3

CREDIT SUISSE AG, NASSAU BRANCH

• 9%-11% callable yield notes due July 6, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22546TAB7

• 0% Cert PLUS securities due July 6, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22546TAA9

• 0% notes due July 25, 2012 linked to Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight and related currencies; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing July 1; Cusip: 22546TBN0

• 0% digital-plus barrier notes due July 29, 2015 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 22; Cusip: 22546TBL4

• 8.75%-10.75% annualized callable yield notes due Jan. 6, 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; Cusip: 22546E7M0

DEUTSCHE BANK AG, LONDON BRANCH

• 0% S&P plus tracker notes due July 3, 2014 linked to S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc., pricing June 30; Cusip: 2515A18N4

• 0% review notes due July 9, 2012 linked to the S&P GSCI Brent Crude Oil Index Excess Return; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing July 1; Cusip: 2515A18P9

EKSPORTFINANS ASA

• 0% autocallable access securities with fixed percentage buffered downside due July 1, 2013 linked to the iShares Russell 2000 index fund; 90% trigger; via Wells Fargo Securities, LLC; pricing in June

• 0% autocallable access securities with fixed percentage buffered downside due July 1, 2013 linked to the SPDR S&P Metals and Mining fund; 90% trigger; via Wells Fargo Securities, LLC; pricing in June

• 0% Accelerated Return Notes due September 2012 linked to the Rogers International Commodity Index-Agriculture Excess Return; via Bank of America Merrill Lynch; pricing in July

• 0% Strategic Accelerated Redemption Securities due August 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

GOLDMAN SACHS GROUP, INC.

• Callable quarterly range accrual notes linked to the S&P 500 index and Libor; via Goldman Sachs & Co.; pricing in June; Cusip: 38143UWD9

• 0% autocallable index-linked notes due 2013 linked to the S&P 500 index; via JPMorgan with Goldman Sachs & Co.; pricing July 1; Cusip: 38143UWK3

• 0% index-linked trigger notes due Jan. 7, 2013 tied to the S&P 500 index; via JPMorgan with Goldman Sachs & Co.; pricing July 1; Cusip: 38143UWJ6

• 0% leveraged index-linked notes due July 25, 2012 tied to the S&P 500 index; via JPMorgan with Goldman Sachs & Co.; pricing July 1; Cusip: 38143UWH0

• 0% 10-year notes linked to the 10-year Constant Maturity Swap rate; via Goldman Sachs & Co.; Cusip: 38143UUY5

• Five-year inflation-linked notes tied to the Consumer Price Index; via Goldman Sachs & Co.; Cusip: 38143UUQ2

• 0% six-year equity index-linked notes tied to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UVH1

• Two-year 0% leveraged buffered index fund-linked notes linked to the iShares MSCI Emerging Markets index fund; via Goldman Sachs & Co.; Cusip: 38143UTP6

• Two-year 0% leveraged buffered fund-linked notes tied to the iShares Silver Trust; 85% trigger; via Goldman Sachs & Co.; Cusip: 38143UUE9

• 0% currency-linked notes tied to the performance of the Norwegian krone, Russian ruble and Canadian dollar relative to the U.S. dollar; via Goldman Sachs & Co.

• 0% autocallable buffered index-linked notes due Feb. 6, 2013 linked to the Russell 2000 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143USL6

• 0% leveraged buffered index-linked notes due May 1, 2013 tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UTV3

• 0% buffered index-linked notes due Dec. 31, 2014 tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UVJ7

• 60- to 70-month 0% threshold leveraged equity index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.

• 15-year callable quarterly range accrual notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: is 38143UUT6

• 0% five-year notes linked to the S&P 500 index, the MSCI EAFE index, the Russell 2000 index, the Dow Jones - UBS Commodity index and the iShares MSCI Emerging Markets index fund; via Goldman Sachs & Co.; Cusip: 38143UTH4

HSBC USA INC.

• Collared floating-rate notes due July 6, 2015; via HSBC Securities (USA) Inc.; pricing June 30; Cusip: 4042K1JZ7

JPMORGAN CHASE BANK, NA

• Callable variable-rate certificates of deposit due June 30, 2026 linked to six-month Libor; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; settlement June 30; Cusip: 48123YC87

JPMORGAN CHASE & CO.

• 0% capped daily observation knock-out notes due July 25, 2012 linked to General Electric Co. shares; via J.P. Morgan Securities LLC; pricing July 1; Cusip: 48125XXD3

• 9%-10.5% reverse exchangeable notes due Jan. 12, 2012 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing July 7; Cusip: 48125XWJ1

• 0% daily liquidity notes due July 13, 2016 linked to the J.P. Morgan Contag Beta Alternate Benchmark Class A Total Return index; via J.P. Morgan Securities LLC; pricing July 8; Cusip: 48125XUU8

• 8% autocallable yield notes due Dec. 15, 2011 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 12; Cusip: 4812XXA9

• 0% Performance Leveraged Upside Securities due Aug. 30, 2012 linked to the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing in July; Cusip: 46634X120

• 0% buffered return enhanced notes due 2012 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; Cusip: 48125XWZ5

MORGAN STANLEY

• CMS curve and Russell 2000 index-linked range accrual notes due June 30, 2031; via Morgan Stanley & Co. LLC; settlement June 30; Cusip: 61745EX63

• CMS curve and S&P 500 index-linked notes due June 30, 2026; via Morgan Stanley & Co. LLC; settlement June 30; Cusip: 61745EY47

• Indian rupee-denominated senior fixed-rate step-up notes due June 30, 2015; via Morgan Stanley & Co. LLC; settlement June 30; Cusip: 61745EZ20

• Contingent income autocallable securities due June 2014 linked to Caterpillar Inc. shares; 80% trigger; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61760E382

• Leveraged CMS curve and S&P 500 index-linked accrual notes due June 30, 2026; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61745EZ87

• Fixed-to-floating-rate notes due July 7, 2020; via Morgan Stanley & Co. LLC; settlement July 7; Cusip: 61745E2L4

• Fixed-to-floating notes due July 11, 2023 linked to the Consumer Price Index; via Morgan Stanley & Co. LLC; settlement July 11; Cusip: 61745E2E0

• Range accrual notes due July 13, 2031 linked to six-month Libor and the S&P 500 index; via Morgan Stanley & Co. Inc.; settlement July 13; Cusip: 61745E2S9

• Floating-rate notes due July 15, 2017 with variable maximum and minimum interest rates; via Morgan Stanley & Co. LLC; settlement July 15; Cusip: 61745E3E9

• 8% autocallable yield notes due Dec. 15, 2011 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 12; Cusip: 4812XXA9

• Contingent annual interest notes due July 28, 2016 linked to a basket of common stocks of Abbott Laboratories, Altria Group, Inc., Bristol-Myers Squibb Co., Consolidated Edison, Inc., Duke Energy Corp., FirstEnergy Corp., Frontier Communications Corp., Johnson & Johnson, Kraft Foods Inc., Lockheed Martin Corp., McDonald's Corp., Merck & Co., Inc., Pepco Holdings, Inc., Pfizer Inc., Pitney Bowes Inc., PPL Corp., Sysco Corp., TECO Energy, Inc., Verizon Communications Inc. and Windstream Corp.; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 617482WE0

• Contingent income autocallable securities due July 25, 2012 linked to the common stock of Caterpillar Inc.; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 61760E465

• Contingent coupon commodity-linked notes due Jan. 29, 2015 tied to copper, corn, cotton, gasoline RBOB, nickel, palladium, silver, sugar, the S&P GSCI Brent Crude Index - Excess Return and the S&P GSCI Livestock Index - Excess Return; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 617482VJ0

• 0% trigger Performance Leveraged Upside Securities due Aug. 30, 2012 linked to the price of corn; 90% trigger; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482VL5

• 0% equity-linked notes due July 28, 2017 linked to the Dow Jones Industrial Average; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482WC4

• 9% to 11% annualized Equity LinKed Securities due Jan. 25, 2012 linked to Mosaic Co. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 61760E515

• 0% buffered jump securities due Jan. 29, 2015 linked to the S&P 500 index; via Morgan Stanley & Co. Inc.; pricing July 25; Cusip: 617482WD2

• 0% trigger Performance Leveraged Upside Securities due July 25, 2014 linked to the SPDR S&P 500 ETF trust, the iShares MSCI Emerging Markets index fund and the iShares MSCI EAFE index fund; via Morgan Stanley & Co. LLC; pricing July 25; Cusip: 61760E457

• 0% trigger securities due June 2013 linked to the S&P 500 index; 75% trigger; via Morgan Stanley & Co. LLC; Cusip: 61760E424

ROYAL BANK OF CANADA

• 0% direct investment notes due Aug. 8, 2012 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing July 6; Cusip: 78008TGF5

• 14.62%-17.41% annualized reverse convertible notes due Jan. 18, 2012 linked to Salesforce.com, Inc. shares; via RBC Capital Markets, LLC; pricing July 12; Cusip: 78008THX5

• 0% bullish barrier enhanced return notes due July 17, 2014 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing July 12; Cusip: 78008THW7

• 0% Accelerated Return Notes due September 2012 linked to the MSCI EAFE index; via Bank of America Merrill Lynch; pricing in July

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

• 0% Accelerated Return Notes due September 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

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

ROYAL BANK OF SCOTLAND PLC

• 0% Bonus Notes with contingent buffer due July 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 8; Cusip: 78009PAU5

• Annual reset coupon notes due July 15, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 12; Cusip: 78009PAV3

• Annual reset coupon notes with fixed buffer due July 15, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing July 12; Cusip: 78009PAW1

AB SVENSK EXPORTKREDIT

• 0% enhanced growth securities with capped upside due Oct. 5, 2012 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in June

• 0% enhanced growth securities with leveraged upside and buffered downside due April 10, 2015 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in June

• 0% Accelerated Return Notes due October 2012 linked to the spot price of copper; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due September 2012 linked to the Rogers International Commodity Index-Excess Return; via Bank of America Merrill Lynch; pricing in July

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

• 0% Accelerated Return Notes due September 2012 linked to the PHLX Semiconductor Sector index; via Bank of America Merrill Lynch; pricing in July

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

UBS AG, JERSEY BRANCH

• Fixed-to-floating-rate notes due June 29, 2021 linked to the Consumer Price Index; via UBS securities LLC; settlement June 29; Cusip: 90261JHE6

• Callable step-up fixed-rate notes due June 30, 2021; via UBS Securities LLC and UBS Investment Bank; settlement June 30; Cusip: 90261JHD8

• Callable step-up fixed-rate notes due July 19, 2019; via UBS Securities LLC and UBS Investment Bank; pricing in July; Cusip: 90261JHF3

• Callable step-up fixed-rate notes due July 21, 2026; via UBS Securities LLC and UBS Investment Bank; pricing in July; Cusip: 90261JHG1

• Fixed-to-floating-rate notes due July 14, 2014 linked to Libor; via UBS Securities LLC; settlement July 14; Cusip: 90261JHH9

WELLS FARGO & CO.

• 0% enhanced growth securities with upside participation and fixed percentage buffered downside due August 2012 linked to crude oil, platinum, copper, corn and cotton; via Wells Fargo Securities, LLC; settlement in June; Cusip: 94986RDS7

• 0% enhanced growth securities with capped upside due August 2012 linked to the Russell 2000 index; via Wells Fargo Securities, LLC; settlement in June; Cusip: 94986RDP3

• Market-linked notes due January 2018 linked to the Dow Jones - UBS Commodity index; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986RDX6

• 0% enhanced growth securities with upside participation to a cap and fixed percentage buffered downside due July 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986REB3

• 0% enhanced growth securities with upside participation to a cap and fixed percentage buffered downside due January 2014 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986REC1

• 0% enhanced growth securities due January 2016 with upside participation to a cap and contingent downside protection linked to the SPDR S&P 500 ETF Trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Market index fund; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986RDY4

• 0% enhanced growth securities due January 2016 linked to SPDR S&P 500 exchange-traded fund trust, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986RDZ1

• 0% enhanced growth securities due July 2015 linked to a commodity basket of gold, silver, platinum, aluminum, copper, lead, nickel, corn, wheat and soybeans, cotton, sugar, lean hogs, WTI crude oil, Brent crude oil and RBOB gasoline; via Wells Fargo Securities, LLC; settlement in July; Cusip: 94986REH0

• 0% enhanced growth securities with upside participation to a cap and fixed percentage buffered downside due January 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in July; Cusip: 94986REA5

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