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Published on 7/30/2012 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Strategic Accelerated Redemption Securities due August 2013 linked to Brent crude oil futures contract; via Bank of America Merrill Lynch; pricing in July

• 0% Market Index Target-Term Securities due July 2014 linked to the Chinese renminbi/dollar exchange rate measure; via Bank of America Merrill Lynch; pricing in July

• 8% coupon bearing notes due August 2013 linked to Deere & Co. shares; 93% to 97% trigger; via Bank of America Merrill Lynch; pricing in July

• 11% STEP Income Securities due August 2013 linked to the common stock of Freeport-McMoRan Copper & Gold Inc.; via Bank of America Merrill Lynch; pricing in July

• 0% currency-linked step-up notes due August 2015 tied to an equally weighted basket of a long position in the Mexican peso and the Brazilian real measured against the dollar; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due September 2013 linked to the Nasdaq 100 index; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due September 2013 linked to the PHLX Housing Sector index; via Bank of America Merrill Lynch; pricing in July

• Capped Leveraged Index Return Notes due July 2014 linked to the Rogers International Commodity Index - Excess Return; 90% trigger; via Bank of America Merrill Lynch; pricing in July

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

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

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

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

• Leveraged Index Return Notes due July 2015 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

• Capped Leveraged Index Return Notes due July 2014 linked to S&P 500 index, MSCI EAFE index and MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in July

• 0% Currency Market Index Target-Term Securities due August 2015 linked to the Chinese renminbi/dollar exchange rate measure; via Bank of America Merrill Lynch; pricing in August

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

• 0% Strategic Accelerated Redemption Securities due August 2013 linked to iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 95% trigger; via Bank of America Merrill Lynch; pricing in August

• 0% autocallable step-up notes due Aug. 7, 2032; via Bank of America Merrill Lynch; settlement Aug. 7; Cusip: 06048WMW7

• Autocallable range accrual notes due Aug. 13, 2027 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing Aug. 8; Cusip: 06048WMY3

• 0% enhanced market-linked step-up notes with buffer due August 2015 linked to the Dow Jones industrial average; 90% trigger; via Bank of America Merrill Lynch; pricing in August

• 0% Market Index Target-Term Securities due August 2018 linked to the Dow Jones industrial average; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2013 linked to the NYSE Arca Gold Miners index; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2013 linked to the Rogers International Commodity Index - Excess Return; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2013 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in August

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

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

• 0% market-linked step-up notes due August 2014 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

• Capped Leveraged Index Return Notes due September 2014 linked to the spot price of gold; 90% trigger; via Bank of America Merrill Lynch; pricing in August

• Capped Leveraged Index Return Notes due August 2014 linked to S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; 90% trigger; via Bank of America Merrill Lynch; pricing in August

BANK OF MONTREAL

• 0% contingent risk absolute return notes due Aug. 7, 2014 linked to the iShares MSCI EAFE index fund; via BMO Capital Markets Corp.; pricing Aug. 2; Cusip: 06366RGF6

• 0% contingent risk absolute return notes due Aug. 7, 2014 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing Aug. 2; Cusip: 06366RGE9

• 0% contingent risk absolute return notes due Aug. 7, 2014 linked to the PowerShares QQQ Trust, Series 1; via BMO Capital Markets Corp.; pricing Aug. 2; Cusip: 06366RGD1

• 0% contingent risk absolute return notes due Aug. 7, 2014 linked to the S&P 500 index; 66% to 70% trigger; via BMO Capital Markets Corp.; pricing Aug. 2; Cusip: 06366RGC3

• 0% contingent risk absolute return notes due Aug. 29, 2014 linked to the iShares MSCI EAFE index fund; via BMO Capital Markets Corp.; pricing Aug. 29; Cusip: 06366RGP4

• 0% contingent risk absolute return notes due Aug. 29, 2014 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing Aug. 29; Cusip: 06366RGN9

• 0% contingent risk absolute return notes due Aug. 29, 2014 linked to the PowerShares QQQ Trust, Series 1; via BMO Capital Markets Corp.; pricing Aug. 29; Cusip: 06366RGM1

• Range accrual notes with contingent downside protection due Aug. 31, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 29; Cusip: 06366RGJ8

BANK OF THE WEST

• Five-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Six-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Seven-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

• Seven-year contingent variable income market-linked certificates of deposit linked to Altria Group, Inc., Apple Inc., AT&T, Inc., Campbell Soup Co., ConocoPhillips, Eli Lilly & Co., Exelon Corp., Goldcorp Inc., St. Jude Medical Inc. and Valero Energy Corp.; via BNP Paribas Securities Corp. with Advisors Asset Management, Inc.

BARCLAYS BANK DELAWARE

• Certificates of deposit due July 28, 2017 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via Barclays Capital Inc.; Cusip: 06740AUY3

BARCLAYS BANK PLC

• Contingent income autocallable securities due Aug. 2, 2013 linked to Schlumberger Ltd. shares; via Barclays Capital Inc. with Morgan Stanley Smith Barney LLC handling distribution; pricing July 30; Cusip: 06738G316

• Contingent income autocallable securities due Aug. 2, 2013 linked to the common stock of Schlumberger NV; via Barclays Capital Inc.; pricing July 31; Cusip: 06738G274

• 0% bearish notes due Aug. 8, 2016 linked to the Barclays 10Y Treasury Futures index; via Barclays Capital Inc.; pricing Aug. 2; Cusip: 06741TDC8

• 0% notes due Aug. 7, 2017 linked to the Barclays Voyager II DJ-UBSCI Total Return index; via Barclays Capital Inc.; pricing Aug. 2; Cusip: 06741TDB0

• 15% to 17% reverse convertible notes due Feb. 7, 2013 linked to Best Buy Co., Inc. stock; via Barclays Capital; pricing Aug. 2; Cusip: 06741JK73

• 15% to 17% reverse convertible notes due Feb. 7, 2013 linked to Netflix, Inc. stock; via Barclays Capital; pricing Aug. 2; Cusip: 06741JK81

• 0% buffered Super Track notes due Aug. 7, 2014 linked to the iShares MSCI Emerging Markets index fund; 85% trigger; via Barclays Capital Inc.; pricing Aug. 2; Cusip: 06741TCZ8

• 0% buffered Super Track notes due Aug. 7, 2014 linked to the PowerShares QQQ Trust, Series 1; 85% trigger; via Barclays Capital Inc.; pricing Aug. 2; Cusip: 06741TDA2

• 0% buffered Super Track notes due Aug. 7, 2014 linked to the SPDR S&P 500 ETF Trust; 85% trigger; via Barclays Capital Inc.; pricing Aug. 2; Cusip: 06741TCY1

• 0% notes due Aug. 10, 2015 linked to the EquityCompass Share Buyback index; via Barclays Capital Inc.; pricing Aug. 7; Cusip: 78008SDL7

• 0% relative performance securities due Aug. 21, 2017 linked to the S&P 500 index and the Barclays US 5Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 16

• Notes due Aug. 31, 2016 linked to the S&P GSCI Sugar Index Excess Return, the S&P GSCI Cocoa Index Excess Return, the S&P GSCI Corn Index Excess Return, the S&P GSCI Cotton Index Excess Return, the S&P GSCI Lean Hogs Index Excess Return, the S&P GSCI Gold Index Excess Return, the S&P GSCI Natural Gas Index Excess Return, the S&P GSCI Lead Index Excess Return, the S&P GSCI Nickel Index Excess Return and the S&P GSCI Zinc Index Excess Return; via Barclays Capital Inc.; pricing Aug. 28; Cusip: 06741TDG9

CITIGROUP FUNDING INC.

• Callable step-up coupon notes due Aug. 22, 2027; via Citigroup Global Markets Inc.; pricing Aug. 17; Cusip: 1730T0YF0

CREDIT SUISSE AG, NASSAU BRANCH

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2014 linked to the iShares MSCI Emerging Markets index fund; 90% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVZ1

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2014 linked to the Russell 2000 index; 90% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TWA5

• 11.5%-12.5% callable yield notes due Nov. 4, 2013 linked to the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVL2

• 0% digital-plus barrier notes due Aug. 3, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVX6

• High/low coupon callable yield notes due Nov. 4, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22546TVW8

• 0% absolute return barrier securities due Aug. 21, 2014 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TWT4

• High/low coupon callable yield notes due Nov. 27, 2013 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 22; Cusip: 22546TWX5

• Capped Leveraged Index Return Notes due August 2014 linked to the S&P 500 index; 90% trigger; via Bank of America Merrill Lynch; pricing in August

DEUTSCHE BANK AG, LONDON BRANCH

• Callable step-up fixed-rate notes due Aug. 17, 2024; via Deutsche Bank Securities Inc.; pricing Aug. 14; Cusip: 2515A1PK1

GOLDMAN SACHS BANK USA

• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWC5

• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWE1

• Contingent coupon certificates of deposit due 2019 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWF8

• Contingent coupon certificates of deposit due 2018 linked to Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; via Goldman Sachs & Co. with Incapital LLC; Cusip: 38143AWG6

• Variable-coupon basket-linked certificates of deposit due 2019 linked to the common stocks of Altria Group, Inc., Amgen Inc., Apple Inc., Barrick Gold Corp., Bristol-Meyers Squibb Co., Intel Corp., McDonald's Corp., PepsiCo, Inc., Southern Co., Inc. and Verizon Communications Inc.; Cusip: 38143AWD3

• 0% equity index-linked certificates of deposit due 2019 linked to the Euro Stoxx 50 index, the MSCI Taiwan index, the S&P/TSX 60 index and the Dow Jones industrial average; via Goldman, Sachs & Co. as agent and Incapital LLC as distributor; Cusip: 38143AWH4

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due February 2019; via Goldman, Sachs & Co. and Incapital LLC; settlement in August; Cusip: 38143U5F4

• Callable step-up fixed-rate notes due August 2027; via Goldman, Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38143U5E7

• 0% leveraged buffered index-linked notes due in 24 to 28 months linked to the S&P 500 index; 85% trigger; via Goldman Sachs & Co.

• Five-year 0.25%-0.75% basket-linked notes linked to the best performing of three baskets each containing different weights of the currency component (Brazilian real, British pound, euro and Japanese yen), the S&P GSCI Excess Return index, the equity component (S&P 500 index, Euro Stoxx 50 index, Topix index and iShares MSCI Emerging Markets index fund) and the iShares Barclays 7-10 Year Treasury bond fund; via Goldman Sachs & Co.; Cusip: 38143U4G3

• 42-month 0% notes linked to the Dow Jones industrial average; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143U4E8

• 66-month 0% notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38143U4D0

• 0% leveraged buffered index-linked notes due in 18 to 21 months tied to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147B604

• 24-month 0% buffered index fund-linked notes tied to the iShares MSCI Emerging Markets index fund; 85% trigger; via Goldman Sachs & Co.; Cusip: 38143U3S8

• 13-month 0% index-linked digital notes tied to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143U3R0

• 0% notes tied to the S&P 500 index due in 12 to 14 months; 85% trigger; via Goldman Sachs & Co.; Cusip: 38147B612

• 0% leveraged buffered index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147B620

• 18-month 0% leveraged buffered index-linked notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U3Q2

• 0% buffered index-linked notes due in 18 to 21 months tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38417B638

• Two-year 0% index-linked notes tied to the S&P 500 index; via Goldman, Sachs & Co.; Cusip: 38143U4R9

• Two-year 0% index-linked digital notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4H1

• 2.5-year 0% S&P 500 index-linked medium-term notes; via Goldman Sachs & Co.; Cusip: 38143UY88

• 36-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 80% trigger; via Goldman Sachs & Co.; Cusip: 38143U4M0

• Five-year buffered annual reset coupon notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4J7

• Five-year buffered index-linked range accrual notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143U4F5

• Five-year 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UY62

• 15-year callable range accrual notes linked to the S&P 500 index; 75% to 80% trigger; via Goldman Sachs & Co.; Cusip: 38143U5D9

HSBC USA INC.

• 7% to 9% autocallable yield notes due Aug. 6, 2013 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 4042K1Y56

• 10% to 12% autocallable yield notes due Aug. 6, 2013 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Russell 2000 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 4042K1Y64

• 0% performance notes due July 31, 2017 linked to the S&P 500 Low Volatility index; via HSBC Securities (USA) Inc.; pricing in July; Cusip: 4042K1Z63

• Annual income opportunity notes with auto cap due Aug. 30, 2019 linked to a basket of 10 common stocks (American Electric Power Co., Inc., Polo Ralph Lauren Corp., Biogen Idec Inc., Kimberly-Clark Corp., AT&T Inc., Lockheed Martin Corp., Mosaic Co., Maxim Integrated Products, Inc., Pfizer Inc. and Silver Wheaton Corp.); via HSBC Securities (USA) Inc.; pricing Aug. 27; Cusip: 4042K1Z55

• 0% averaging notes due Jan. 31, 2018 linked to Dow Jones industrial average, Euro Stoxx 50 index and the Taiwan Stock Exchange capitalization weighted stock index; via HSBC Securities (USA) Inc.; pricing Aug. 27; Cusip: 4042K1Z30

• 0% averaging notes due Feb. 28, 2018 linked to the S&P 500 Low Volatility index; via HSBC Securities (USA) Inc.; pricing Aug. 27; Cusip: 4042K1Z48

JPMORGAN CHASE & CO.

• 0% capped dual directional buffered equity notes due Aug. 7, 2013 linked to Apple Inc. shares; 78.65% trigger; via J.P. Morgan Securities LLC; pricing Aug. 2

• 12.9% to 15.9% annualized reverse convertible notes due Feb. 7, 2013 linked to Caterpillar Inc. shares; 80% trigger; via JPMorgan; pricing Aug. 2; Cusip: 48125VU65

• 16.5% to 19.5% annualized reverse convertible notes due Feb. 7, 2013 linked to Cummins Inc. shares; 80% trigger; via JPMorgan; pricing Aug. 2; Cusip: 48125VU73

• 12.9% to 15.9% annualized reverse convertible notes due Feb. 7, 2013 linked to Ingersoll-Rand plc shares; 75% trigger; via JPMorgan; pricing Aug. 2; Cusip: 48125VU57

• 0% trigger digital optimization securities due July 30, 2015 linked to the performance of a basket of currencies (Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the Mexican peso) relative to the dollar; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Aug. 10; Cusip: 46637G439

MORGAN STANLEY

• Fixed-to-floating-rate notes due Aug. 2, 2019 with 7% initial rate; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61760QBR4

• 0% Index Leading Stockmarket Return Securities due Aug. 2, 2015 linked to the Brazilian real relative to the dollar; via Morgan Stanley & Co. Inc.; pricing in July; Cusip: 617482SQ8

• 0% buffered Performance Leveraged Upside Securities due August 2013 linked to corn, soybeans and wheat; 85% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Smith Barney LLC; pricing in July; Cusip: 617482N91

• 0% dual directional trigger Performance Leveraged Upside Securities due July 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S438

• Market-linked notes with past performance-adjusted contingent coupon due July 2015 linked to the Morgan Stanley ETF-Map index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S446

• 0% market-linked notes due July 2018 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S412

• 0% Performance Leveraged Upside Securities due August 2013 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in July; Cusip: 61755S420

• Senior fixed-to-floating notes due Aug. 2, 2019; via Morgan Stanley & Co. LLC; settlement Aug. 2; Cusip: 61760QBR4

ROYAL BANK OF CANADA

• 0% Accelerated Return Notes due September 2013 linked to the Energy Select Sector index; via Bank of America Merrill Lynch; pricing in July

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due Nov. 4, 2013 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in July; Cusip: 78008SDR4

• 0% autocallable access securities with fixed percentage buffered downside due Aug. 4, 2014 linked to the iShares Russell 2000 index fund; 90% trigger; via Wells Fargo Securities, LLC; pricing in July; Cusip: 78008SDP8

• 0% Accelerated Return Notes due September 2013 linked to the S&P 100 index; via Bank of America Merrill Lynch; pricing in July

• 0% autocallable access securities with fixed percentage buffered downside due Aug. 4, 2014 linked to the S&P 500 index; 90% trigger; via Wells Fargo Securities, LLC; pricing in July; Cusip: 78008SDN3

• 0% growth securities with capped leveraged upside and fixed percentage buffered downside due Aug. 4, 2014 linked to the iShares MSCI EAFE index fund; via Wells Fargo Securities, LLC; pricing in July; Cusip: 78008SDQ6

• 0% growth securities - leveraged upside participation to a cap and fixed percentage buffered downside due Feb. 2, 2016 linked to the S&P 500 index; 90% trigger; via Wells Fargo Securities, LLC; pricing in July; Cusip: 78008SDS2

• 0% Strategic Accelerated Redemption Securities due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

• 14% to 18% annualized reverse convertible notes due Feb. 7, 2013 linked to Freeport-McMoRan Copper & Gold Inc. shares; 75% trigger; via RBC Capital Markets Corp.; pricing Aug. 2; Cusip: 78008SEJ1

• 0% buffered bullish enhanced return notes due Aug. 7, 2014 linked to the iShares MSCI EAFE index fund; via RBC Capital Markets, LLC; pricing Aug. 2; Cusip: 78008SEL6

• 18.25% to 22.25% annualized reverse convertible notes due Feb. 7, 2013 linked to Pioneer Natural Resources Co. shares; 75% trigger; via RBC Capital Markets Corp.; pricing Aug. 2; Cusip: 78008SEK8

• 0% direct investment notes due Sept. 10, 2013 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Aug. 3; Cusip: 78008SDG8

• 0% jump securities due March 2013 linked to the iShares MSCI Emerging Markets index fund; via RBC Capital Markets, LLC (agent) and Morgan Stanley Smith Barney LLC (distribution); pricing Aug. 30; Cusip: 78008D752

• 0% bear Strategic Accelerated Redemption Securities due February 2013 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in August

• 0% Strategic Accelerated Redemption Securities due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

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

ROYAL BANK OF SCOTLAND

• 0% capped enhanced participation notes with fixed buffer due Aug. 29, 2016 linked to the S&P 500 index; 80% trigger; via RBS Securities Inc.; pricing Aug. 24; Cusip: 78009PDC2

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due October 2013 linked to the price of gold; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due October 2013 linked to the PHLX Oil Service Sector index; via Bank of America Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due October 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

WELLS FARGO & CO.

• Step-up callable notes due Aug. 17, 2027; via Wells Fargo Securities, LLC; pricing Aug. 14; Cusip: 94986RKX8

• 0% market-linked notes due August 2019 linked to the Dow Jones industrial average; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKN0

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKQ3

• 1% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2017 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKT7

• 1% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2018 linked to the S&P 500 index; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKU4

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2017 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 Markets index fund; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986RKS9

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due February 2015 linked to the SPDR S&P 500 ETF trust, the SPDR S&P MidCap 400 ETF Trust and the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; settlement in August; Cusip: 94986RKP5

• 0% growth securities with leveraged upside participation to a cap and fixed percentage buffered downside due May 2016 linked to the Vanguard REIT exchange-traded fund; via Wells Fargo Securities LLC; settlement in August; Cusip: 94986RKR1


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