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Structured Products Calendar
BANK OF AMERICA CORP.
• Callable capped notes due Feb. 24, 2031 linked to the 30-year Constant Maturity Swap rate and two-year CMS rate; via Merrill Lynch, Pierce, Fenner & Smith Inc.; settlement Feb. 24; Cusip: 06048WFG0
• Step-up callable notes due Feb. 24, 2026; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February; Cusip: 06048WFF2
• Five-year variable coupon notes linked to the stocks of American Express Co., Apple Inc., Barrick Gold Corp., Cisco Systems, Inc., Citigroup Inc., Halliburton Co., Home Depot Inc., Kraft Foods Inc., Las Vegas Sands Corp., Qualcomm, Inc., SanDisk Corp., UnitedHealth Group Inc., United Parcel Service, Inc., United Technologies Corp., Walgreen Co. and Walt Disney Co.; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Accelerated Return Notes due March 2013 linked to ArcelorMittal shares; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 6% fixed-to-floating-rate notes due February 2021 linked to Consumer Price; via Merrill Lynch & Co.; pricing in February
• Variable-coupon certificates of deposit due February 2016 linked to crude oil, soybeans, sugar, copper and gold; via Merrill Lynch, Pierce, Fenner & Smith Inc. and distributor Incapital LLC; pricing in February
• 0% market-linked step-up notes due February 2013 linked to the DAX Price Return index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Market Index Target-Term Securities due February 2016 linked to the Dow Jones Industrial Average; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Leveraged Index Return Notes due Feb. 2013 with a participation rate of 120% to 135% linked to the Dow Jones Global Titans 50 Index; via Merrill Lynch & Co.; pricing in February
• 7% one-year coupon-bearing notes linked to Halliburton Co. stock; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% autocallable access securities due March 4, 2013 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities; pricing in February
• 0% autocallable access securities due March 4, 2013 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in February
• One-year 0% Strategic Accelerated Redemption Securities linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Capped Leveraged Index Return Notes due February 2013 linked to the S&P 500 index; via Merrill Lynch & Co., pricing in February
• Step-up callable range accrual notes due February 2023 linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Accelerated Return Notes due March 2012 linked to S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• One-year 0% Strategic Accelerated Redemption Securities linked to the iShares MSCI Brazil index fund; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• One-year 0% Strategic Accelerated Redemption Securities linked to the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• Three-year 0% currency-linked step-up notes tied to the Norwegian krone, Swedish krona and Turkish lira; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• One-year 0% Strategic Accelerated Redemption Securities linked to the Russell 2000 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• Two-year 0% Capped Leveraged Index Return Notes linked to the spot price of silver; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• Six-month 0% Strategic Accelerated Redemption Securities linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• Callable capped notes due March 4, 2031 linked to the 10-year Constant Maturity Swap rate and two-year CMS rate; via Merrill Lynch, Pierce, Fenner & Smith Inc.; settlement on March 4; Cusip 06048WFJ4
BARCLAYS BANK PLC
• 0% buffered Super Track notes due Aug. 21, 2012 linked to the iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing Feb. 16; Cusip: 06741JCG2
• 0% buffered Super Track notes due Aug. 21, 2012 linked to the iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing Feb. 16; Cusip: 06741JCF4
• 0% buffered Super Track notes due Aug. 21, 2012 linked to the iShares Russell 2000 index fund; via Barclays Capital Inc.; pricing Feb. 16; Cusip: 06741JCH0
• 0% buffered Super Tr ack notes due Feb. 20, 2013 linked to the S&P GSCI Excess Return index; via Barclays Capital Inc.; pricing Feb. 16; Cusip: 06741JCL1
• 0% return enhanced notes due March 7, 2012 linked to the S&P 500 index; via leads JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC with Barclays Capital Inc.; pricing Feb. 17; Cusip: 06738KCH2
• 0% buffered Super Track digital notes due Feb. 22, 2013 linked to the S&P 500 index; via Barclays Capital Inc.; pricing Feb. 18; Cusip: 06738KAZ4
• 0% return enhanced notes due May 23, 2012 linked to equal weights of the Brazilian real, Indian rupee and Indonesian rupiah relative to the dollar; via Barclays Capital Inc.; pricing Feb. 18; Cusip: 06738KCF6
• 10.5% reverse convertible notes due Aug. 26, 2011 linked to Akamai Technologies, Inc stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDE6
• 12% reverse convertible notes due Aug. 26, 2011 linked to AK Steel Holding Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDF3
• 12% reverse convertible notes due May 31, 2011 linked to Alpha Natural Resources, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDA4
• 9.25% reverse convertible notes due Feb. 28, 2012 linked to Bank of America Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCT4
• 0% double short leverage securities due Feb. 27, 2014 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KAH4
• 10% reverse convertible notes due Feb. 28, 2012 linked to Carpenter Technology Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCU1
• 10.5% reverse convertible notes due Aug. 26, 2011 linked to Cree, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDG1
• 0% performance securities due Feb. 28, 2013 tied to equal weights of the Chinese renminbi, the Singapore dollar, the Korean won and the Philippine peso; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Feb. 23; Cusip: 06740P510
• 10.5% reverse convertible notes due Aug. 26, 2011 linked to Delta Airlines, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDJ5
• Notes due Feb. 28, 2018 linked to Dow Jones Industrial Average; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KAN1
• 10.5% reverse convertible notes due Aug. 26, 2011 linked to DryShips Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDK2
• 14% reverse convertible notes due May 31, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JEC9
• 0% Super Track notes due March 28, 2012 linked to the Hang Seng China Enterprises index; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KAX9
• 15.5% reverse convertible notes due Aug. 26, 2011 linked to Hecla Mining Co. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDM8
• 11.5% reverse convertible notes due Feb. 28, 2012 linked to InterOil Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDW6
• 0% buffered Super Track notes due Aug. 28, 2012 linked to iShares MSCI Emerging Markets index fund; 90% trigger; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KBT7
• 0% trigger return optimization securities due Feb. 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Feb. 23; Cusip: 06740P544
• 0% annual autocallable notes due Feb. 27, 2014 linked to the iShares MSCI Emerging Markets index fund; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KAJ0
• 0% notes due Aug. 28, 2012 linked to the performance of a basket of the Korean won, the Malaysian ringgit, the Singapore dollar and the Indonesian rupiah relative to the U.S. dollar; via Barclays Capital Inc.; pricing Feb. 23; Cusip 06738KCD1
• 12.5% reverse convertible notes due Aug. 26, 2011 linked to Las Vegas Sands Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDN6
• 15.5% reverse convertible notes due Aug. 26, 2011 linked to McMoRan Exploration Co. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDP1
• 10.5% reverse convertible notes due Feb. 28, 2012 linked to Micron Technology, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDY2
• 11% reverse convertible notes due Feb. 28, 2012 linked to MGM Resorts International stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDX4
• 11% reverse convertible notes due Aug. 26, 2011 linked to Netflix, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDQ9
• 10% reverse convertible notes due Aug. 26, 2011 linked to Nokia Corp. (American Depositary Shares) stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCR8
• 9% reverse convertible notes due Feb. 28, 2012 linked to Nordstrom, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCX5
• 11% reverse convertible notes due May 31, 2011 linked to Patriot Coal Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDB2
• 9.25% reverse convertible notes due Aug. 26, 2011 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCV9
• 10% reverse convertible notes due Aug. 26, 2011 linked to Research In Motion Ltd. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCS6
• 10.5% reverse convertible notes due Feb. 28, 2012 linked to Research in Motion Ltd. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCZ0
• 11.5% reverse convertible notes due Aug. 26, 2011 linked to Royal Caribbean Cruises Ltd. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDR7
• 9%-12% digital notes due Feb. 26, 2016 linked to the Russell 2000 index; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06738KAK7
• 12.5% reverse convertible notes due Aug. 26, 2011 linked to salesforce.com, inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDH9
• 9% reverse convertible notes due Feb. 28, 2012 linked to Schlumberger N.V. (Schlumberger Ltd.) stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCY3
• 9.5% reverse convertible notes due Aug. 26, 2011 linked to Seagate Technology stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCJ6
• 13.5% reverse convertible notes due Aug. 26, 2011 linked to Silver Wheaton Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDS5
• Fixed-rate callable range accrual notes due Feb. 28, 2031 linked to S&P 500 index; via Barclays Capital Inc.; pricing Feb. 23; Cusip 06741JBW8
• 12% reverse convertible notes due May 31, 2011 linked to SunPower Corp. (Class A) stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDC0
• 10.25% reverse convertible notes due Aug. 26, 2011 linked to SunTrust Banks, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JCW7
• 14% reverse convertible notes due May 31, 2011 linked to Trina Solar Ltd. (American Depositary Shares) stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDD8
• 12% reverse convertible notes due Aug. 26, 2011 linked to United Continental Holdings, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDT3
• 10.5% reverse convertible notes due Aug. 26, 2011 linked to United States Steel Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDV8
• 11% reverse convertible notes due Feb. 28, 2012 linked to USG Corp. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDZ9
• 12% reverse convertible notes due Aug. 26, 2011 linked to Walter Energy, Inc. stock; via Barclays Capital; pricing Feb. 23; Cusip: 06741JDU0
• 0% buffered Super Track notes due March 5, 2012 linked to WTI crude, gasoline RBOB, heating oil, copper, nickel, gold, corn, cotton, soybean and sugar; via Barclays Capital Inc.; pricing Feb. 23; Cusip: 06741JCQ0
CITIBANK, NA
• Market-linked certificates of deposit due Feb. 24, 2017 linked to silver, corn, copper, zinc, nickel, platinum, soybean, sugar, the S&P GSCI Crude Oil Excess Return index and the S&P GSCI Livestock Excess Return index; via Citigroup Global Markets Inc. and Advisors Asset Management, Inc.; pricing Feb. 23; Cusip: 172986CR0
CITIGROUP FUNDING INC.
• 0% buffered performance securities due Feb. 21, 2014 linked to the S&P 100 index; via Citigroup Global Markets Inc.; pricing Feb. 18; Cusip 17316G354
• 0.5% market-linked notes due Aug. 24, 2016 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip: 17316G420
• 0% jump securities due Aug. 27, 2012 linked to the iShares Dow Jones U.S. Real Estate index fund; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip: 17316G461
• 0% buffered Performance Leveraged Upside Securities due Feb. 26, 2013 linked to a basket of the iShares iBoxx $ High Yield Corporate bond fund, the S&P 500 index, the iShares MSCI Emerging Markets index fund, the iShares MSCI Pacific ex-Japan index fund and the iShares Dow Jones U.S. Real Estate index fund; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip 17316G347
• 0% mandatory callable participation notes due Feb. 27, 2012 linked to the iShares MSCI Emerging Markets index fund; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip: 17316G438
• 10%-12% annualized Equity LinKed Securities due Aug. 24, 2011 linked to J.C. Penney Co. shares; 80% trigger; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip: 17316G396
• 7%-9% Equity LinKed Securities due Aug. 24, 2011 linked to Amazon.com, Inc. stock; via Citigroup Global Markets Inc.; pricing in February
• 0% Performance Leveraged Upside Securities due February 2013 based on the common stock of ArcelorMittal; via Citigroup Global Markets Inc.; pricing in February; Cusip 17316G339
• Callable leveraged market-linked certificates of deposit due 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; pricing in February; Cusip: 172986CS8
• 0.50% market-linked notes due Aug. 24, 2016 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing in February; Cusip: 17316G420
• 0% Performance Leveraged Upside Securities due February 2013 based on the S&P 500 index; via Citigroup Global Markets Inc.; pricing in February; Cusip 17316G370
• 0% index Leading Stockmarket Return Securities due Feb. 25, 2015 linked to S&P 500 index; 75% trigger; via Citigroup Global Markets Inc.; settlement in February; Cusip: 17316G453
• 0% Performance Leveraged Upside Securities due February 2013 based on the WisdomTree India Earnings Fund; via Citigroup Global Markets Inc.; pricing in February; Cusip 17316G388
• Callable leveraged CMS spread notes due Jan. 26, 2026 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; Cusip: 1730T0LN7
• Callable CMS spread range accrual notes due 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; Cusip: 1730T0LQ0
CREDIT SUISSE AG, NASSAU BRANCH
• 0% CS notes due Feb. 27, 2015 linked to the lowest-performing of these commodities: copper, sugar, Brent crude, gold and corn; via Credit Suisse Securities (USA) LLC; pricing Feb. 18; Cusip: 22546EN75
• 0% Accelerated Return Equity Securities due Aug. 31, 2012 linked to Energy Select Sector SPDR fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 18; Cusip: 22546EU93
• 0% Accelerated Return Equity Securities due Aug. 31, 2012 linked to Financial Select Sector SPDR fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 18; Cusip: 22546EU85
• 0% capped knock-out notes due Feb. 24, 2012 linked to the performance of the Indonesian rupiah relative to the dollar; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 18; Cusip 22546ER55
• 7%-8% annualized callable yield notes due Aug. 31, 2012 linked to the Russell 2000 index and the iShares MSCI Emerging Markets index fund; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 18; Cusip: 22546EU69
• Zero-coupon buffered accelerated return notes linked to S&P 500 due Feb. 27, 2015; via Credit Suisse Securities (USA) LLC; pricing Feb. 18; Cusip: 22546EU77
• 0% capped knock-out notes due Feb. 29, 2012 linked to the S&P GSCI Brent Crude Index Excess Return; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 18; Cusip 22546EV84
• 8.5%-10.5% annualized callable yield notes due Aug. 29, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 77.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; 22546ER71
• 9%-11% annualized callable yield notes due Aug. 29, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 77.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ET79
• 9.5%-11.5% callable yield notes due Feb. 28, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546EU36
• 9.5%-11.5% callable yield notes due Feb. 28, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23
• 10%-12% callable yield notes due Feb. 28, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546EU28
• 10.5%-12.5% callable yield notes due Feb. 28, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546EU51
• High/low coupon callable yield notes due Feb. 29, 2012 linked to the S&P 500 index and the Russell 2000 index; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ES47
• 0% callable Cert PLUS securities due Aug. 31, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ES54
• 8%-10% annualized callable yield notes due Aug. 29, 2011 linked to the S&P 500 index and the SPDR S&P Metals & Mining exchange-traded fund; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ET87
• 9%-11% annualized callable yield notes due Aug. 29, 2011 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ET95
• 12%-14% annualized callable yield notes due Aug. 29, 2011 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546EU44
• 12%-14% annualized callable yield notes due Sept. 6, 2011 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ET46
• High/low coupon callable yield notes due Feb. 29, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22546ES39
• 9% callable yield notes due March 2, 2012 linked to the performance of the Russell 2000 index, United States Natural Gas Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 25; Cusip 22546EV92
• 8%-10% annualized callable yield notes due Sept. 6, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 77.5% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546ET38
• 10.5%-12.5% callable yield notes due March 5, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546ET53
• 0% callable Cert PLUS securities due March 4, 2013 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546ER89
• 0% callable Cert PLUS securities due March 5, 2012 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546ER97
• High/low coupon callable yield notes due March 5, 2012 linked to the S&P 500 and Russell 2000 indexes; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22546ES21
DEUTSCHE BANK AG, LONDON BRANCH
• 0% alpha overlay securities due Feb. 24, 2014 linked to the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc.; pricing Feb. 18; Cusip: 2515A13M1
• 0% buffered return enhanced notes due March 7, 2012 linked to the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 18; Cusip: 2515A14K4
• 0% fixed payment knock-out notes due Aug. 23, 2011 linked to the performance of the Polish zloty relative to the dollar; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 18; Cusip 2515A14G3
• 0% return enhanced notes due March 7, 2012 linked to the S&P 500 400 index; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Feb. 18; Cusip: 2515A14L2
• 0% trigger step performance securities due Feb. 28, 2013 tied to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing on Feb. 23; Cusip: 25154P451
• 0% market contribution securities due March 13, 2014 linked to the Deutsche Bank Liquid Commodity Index - Mean Reversion Total Return; via Deutsche Bank Securities Inc.; pricing March 9; Cusip 2515A14B4
EKSPORTFINANS ASA
• 0% autocallable notes due Feb. 24, 2012 linked to the S&P 500 index; via Natixis Securities North America Inc.; pricing Feb. 17; Cusip: 282645VK3
• 0% autocallable access securities with fixed percentage buffered downside due March 4, 2013 linked to the SPDR S&P Metals and Mining fund; via Wells Fargo Securities, LLC; pricing in February
• One-year 0% Strategic Accelerated Redemption Securities linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February or March
• 14- to 16-month 0% equity index-linked notes tied to the Topix index; via Goldman Sachs & Co.
GOLDMAN SACHS GROUP, INC.
• 10-year fixed-to-floating notes; via Goldman Sachs & Co.; settlement on Feb. 16; Cusip: 38143URK9
• Callable step-up fixed-rate notes due Feb. 18, 2022 with 4.5% initial rate; via Goldman Sachs & Co. and Incapital LLC; settling Feb. 18; Cusip: 38143URF0
• Fixed and floating swap rate-linked notes tied to the 10-year Constant Maturity Swap rate; via Goldman, Sachs & Co.; pricing in February; Cusip: 38143URN3
• Callable step-up fixed-rate notes due Feb. 28, 2016; via Goldman Sachs & Co.; pricing in February; Cusip: 38143URP8
• Callable step-up fixed-rate notes due Feb. 28, 2026; via Goldman Sachs & Co. and Incapital LLC; pricing in February; Cusip: 38143URQ6
• Six- to seven-month 0% autocallable buffered index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.
• 15- to 17-month 0% leveraged index-linked notes linked to the MSCI EAFE index, subject to a maximum settlement of $1,232.50 to $1,270; via Goldman Sachs & Co.
• 19- to 22-month 0% leveraged buffered index-linked notes based on the MSCI EAFE index; 85% trigger; via Goldman, Sachs & Co.
• 24- to 27-month 0% leveraged buffered index-linked notes based on the MSCI EAFE index; 90% trigger; via Goldman, Sachs & Co.
• 31- to 35-month 0% buffered notes tied to S&P 100; via Goldman, Sachs & Co.
• 24- to 27-month 0% leveraged index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.
• Zero-coupon 41- to 47-month buffered basket-linked notes tied to the S&P 500 index and the MSCI EAFE index; via Goldman, Sachs & Co.
• Six-year 0% callable index-linked notes tied to the S&P 500 index; via Goldman, Sachs & Co.; Cusip: 38143URJ2
• 15-year callable quarterly index-linked range accrual notes tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143URH6
• 15-year callable quarterly range accrual notes linked to the S&P 500 index and Libor; 70%-75% trigger; via Goldman Sachs & Co.; Cusip: 38143URG8
HARRIS, NA
• Redeemable range accrual certificates of deposit due March 2, 2026 linked to six-month Libor and the S&P 500 index; pricing Feb. 25; Cusip 41456TMR7
• Stepped rate callable Libor range accrual certificates of deposit due Feb. 25, 2026 linked to six-month Libor; settlement Feb. 25; Cusip: 41456TMK2
HSBC BANK USA, NA
• 0% Far East opportunity certificates of deposit due Feb. 23, 2018 linked to the Hang Seng, TWSE, MSCI Singapore Free and Kospi 200 indexes; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40431GLX5
• 0.75%-1% income and performance certificates of deposit due Feb. 25, 2016 linked the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 40431GMS5
• 0% certificates of deposit with minimum return due Feb. 24, 2017 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 40431GMC0
• 0% knock-out barrier certificates of deposit due Feb. 23, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 40431GME6
• Annual income opportunity certificates of deposit with auto cap feature due Feb. 27, 2017 linked to the common stocks of Aluminum Corp. of China Ltd., Baidu, Inc., China Unicom, Chunghwa Telecom Co., Ltd., Cnooc Ltd., Icici Bank Ltd., Infosys Technologies Ltd., LG Display Co. Ltd., SK Telecom Co., Ltd. and Tata Motors Ltd.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GLV9
• Series 3 annual income opportunity certificates of deposit with auto cap feature due Feb. 26, 2015 linked to American Express Co., Amgen Inc., Applied Materials, Inc., Hershey Co., Home Depot, Inc., McDonald's Corp., McGraw-Hill Cos., Inc., Medtronic, Inc., Merck & Co., Inc., Monsanto Co., Proctor & Gamble and United Parcel Service, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GMH9
• Series 3 annual income opportunity certificates of deposit with auto cap feature due Feb. 27, 2018 linked to American Express Co., Amgen Inc., Applied Materials, Inc., Hershey Co., Home Depot, Inc., McDonald's Corp., McGraw-Hill Cos., Inc., Medtronic, Inc., Merck & Co., Inc., Monsanto Co., Proctor & Gamble and United Parcel Service, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GLT4
• Income plus certificates of deposit due Feb. 27, 2018 with 4.5% potential coupon linked to the common stocks of Home Depot, Inc., Kraft Foods, Inc., McDonald's Corp., Merck & Co., Inc. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GMM8
• Income plus certificates of deposit due Feb. 27, 2018 with 7% potential coupon linked to the common stocks of Home Depot, Inc., Kraft Foods, Inc., McDonald's Corp., Merck & Co., Inc. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GMN6
• Income plus certificates of deposit due Feb. 27, 2018 with 9% potential coupon linked to the common stocks of Home Depot, Inc., Kraft Foods, Inc., McDonald's Corp., Merck & Co., Inc. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GMP1
• Income plus certificates of deposit due Feb. 27, 2018 with 12% potential coupon linked to the common stocks of Home Depot, Inc., Kraft Foods, Inc., McDonald's Corp., Merck & Co., Inc. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40431GMQ9
• Annual income opportunity certificates of deposit with auto cap feature due Feb. 26, 2016 linked to the common stocks of 3M Co., Analog Devices, Inc., Comcast Corp., Dow Chemical Co., Duke Energy Corp., Freeport-McMoRan Copper & Gold Inc., Limited Brands, Inc., Marathon Oil Corp., Pfizer Inc., Qwest Communications, Travelers Cos., Inc. and Williams Cos., Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40431GLP2
• Annual income opportunity certificates of deposit with auto cap feature due Feb. 28, 2017 linked to the common stocks of 3M Co., Analog Devices, Inc., Comcast Corp., Dow Chemical Co., Duke Energy Corp., Freeport-McMoRan Copper & Gold Inc., Limited Brands, Inc., Marathon Oil Corp., Pfizer Inc., Qwest Communications, Travelers Cos., Inc. and Williams Cos., Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40431GLN7
• Annual income opportunity certificates of deposit with auto cap feature due Feb. 28, 2017 linked to the common stocks of Credit Suisse Group AG, Gold Fields Ltd., Kraft Foods Inc., Mechel, Nokia Corp., Petroleo Brasiliero SA, Raytheon Co., Taiwan Semiconductor Manufacturing Co. Ltd., Teva Pharmaceutical Industries Ltd., Toyota Motor Corp., Vodafone Group plc and Wal-Mart Stores, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40431GLR8
HSBC USA INC.
• Collared floating-rate notes due Feb. 23, 2016; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 4042K1EA7
• 0% buffered Accelerated Market Participation Securities due May 23, 2012 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DC4
• 0% buffered Accelerated Market Participation Securities due Aug. 23, 2012 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DG5
• 0% buffered Accelerated Market Participation Securities due May 23, 2012 linked to the iShares FTSE/Xinhua China 25 index fund,; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DB6
• 0% buffered Accelerated Market Participation Securities due Aug. 23, 2012 linked to the iShares FTSE/Xinhua China 25 index fund,; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DF7
• 10%-14% autocallable yield notes due Feb. 24, 2012 linked to the Market Vectors Gold Miners ETF and the SPDR S&P Metals & Mining ETF; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1CX9
• 0% buffered Accelerated Market Participation Securities due May 23, 2012 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DA8
• 0% Accelerated Market Participation Securities due Aug. 23, 2012 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DJ9
• 0% Accelerated Market Participation Securities due Aug. 23, 2012 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DL4
• 0% buffered Accelerated Market Participation Securities due Aug. 23, 2012 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DE0
• 0% buffered Accelerated Market Participation Securities due Feb. 21, 2014 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DP5
• 0% buffered Accelerated Market Participation Securities due Feb. 21, 2014 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DN0
• 0% buffered Accelerated Market Participation Securities due May 23, 2012 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1CZ4
• 0% buffered Accelerated Market Participation Securities due Aug. 23, 2012 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DD2
• 0% Accelerated Market Participation Securities due Aug. 23, 2012 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DH3
• 0% Accelerated Market Participation Securities due Aug. 23, 2012 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1DK6
• 8%-12% autocallable yield notes due Feb. 24, 2012 linked to S&P 500 index and Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip: 4042K1CY7
• 9%-13% autocallable yield notes due Feb. 24, 2012 linked to the S&P 500 index and Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 18; Cusip 4042K1DY6
• 10.5% callable yield notes due Feb. 27, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 4042K1DZ31
• 0% Performance Leveraged Upside Securities due March 26, 2012 linked to S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 22; Cusip: 40432R245
• 0% emerging markets Currency Accelerated Return Securities due Feb. 28, 2013 linked the Brazilian real, Indian rupee and Chinese renminbi; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 4042K1DS9
• 0% tiered return notes due Feb. 28, 2012 linked to the performance of the Chinese renminbi relative to the dollar; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 4042K1DV2
• 0% trigger return optimization securities due Feb. 28, 2014 linked to the iShares MSCI Emerging Markets index fund, iShares MSCI EAFE index fund and SPDR Trust, series 1; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40432R237
• 0% Asian Currency Accelerated Return Securities due Feb. 28, 2013 linked to the Philippine peso, Malaysian ringgit, Indonesian rupiah and Singapore dollar; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 4042K1DR1
• 0% trigger performance securities due Feb. 29, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40432R229
• Three-year 0% enhanced buffer market-linked step-up notes tied to the Dow Jones Industrial Average; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• One-year 0% gold participation notes linked to the price of gold; via HSBC Securities (USA) Inc.; Cusip: 4042K1CQ4
• 0% Accelerated Market Participation Securities due 2015 linked to the S&P 500 index, capped at 50.5%; via HSBC Securities (USA) Inc.; Cusip: 4042K1DU
JPMORGAN CHASE BANK, NA
• Annual interest certificates of deposit due Feb. 25, 2018 linked to the Brazilian real; via J.P. Morgan Securities LLC; pricing Feb. 22; Cusip: 48123YUE4
• Contingent coupon certificates of deposit due Feb. 27, 2018 linked to the stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Newmont Mining Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; pricing Feb. 23; Cusip: 48123YTT3
• Digital contingent coupon certificates of deposit due Feb. 26, 2016 linked to the stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Newmont Mining Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; pricing Feb. 23; Cusip: 48123YTN6
• Digital contingent coupon certificates of deposit due Feb. 27, 2017 linked to the stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Newmont Mining Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; pricing Feb. 23; Cusip: 48123YTQ9
• Digital contingent coupon certificates of deposit due Feb. 27, 2018 linked to the stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Newmont Mining Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC as agent and Incapital LLC as distributor; pricing Feb. 23; Cusip: 48123YTR7
• 0% certificates of deposit due Feb. 29, 2016 linked to JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing Feb. 23; Cusip: 48123YTJ5
• Callable six-month Libor range accrual certificates of deposit due Feb. 25, 2026; via J.P. Morgan Securities LLC and Incapital LLC; settlement Feb. 25; Cusip: 48123YTU0
• Callable variable-rate range accrual certificates of deposit due Feb. 28, 2026 linked to Libor and the S&P 500 index; via J.P. Morgan Securities LLC; settling Feb. 28; Cusip: 48123YUF1
JPMORGAN CHASE & CO.
• Zero-coupon notes linked to ETF Efficiente 5 index due Feb. 20, 2015; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48125XBY1
• 7% callable yield notes due Feb. 23, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48125XBX3
• 0% capped daily observation knock-out notes due March 7, 2012 on Broadcom stock; via J.P. Morgan Securities LLC; pricing Feb. 18; Cusip: 48125XET9
• 0% return enhanced notes due Aug. 23, 2012 linked to Euro Stoxx 50; via J.P. Morgan Securities LLC; pricing Feb. 18; Cusip: 48125XEU6
• 0% capped daily observation knock-out notes due March 7, 2012 linked to the common stock of General Motors Co.; via J.P. Morgan Securities LLC; pricing Feb. 18; Cusip 48125XES1
• 4% fixed-to-floating-rate notes due Feb. 25, 2021, linked to the Consumer Price index; via J.P. Morgan Securities LLC; pricing Feb. 22; Cusip: 48125XEH5
• Zero-coupon one-year PLUS due March 6, 2012 linked to basket of the Mexican peso, Brazilian real, Chilean peso, Polish zloty, Turkish lira, South African rand, Israeli new shekel, Chinese renminbi, Indian rupee, South Korean won, New Taiwan dollar and Malaysian ringgit; via J.P. Morgan Securities LLC; pricing Feb. 22; Cusip: 46634X419
• 13% reverse convertible notes due May 31, 2011 linked to AK Steel Holding Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDS2
• 13.75% reverse convertible notes due Aug. 31, 2011 linked to Arch Coal, Inc. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEA0
• 9% reverse convertible notes due Feb. 29, 2012 linked to Bank of America Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEC6
• 9% reverse convertible notes due Feb. 29, 2012 linked to Ford Motor Co. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEF9
• 12.5% reverse convertible notes due Aug. 31, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDX1
• 11.25% reverse convertible notes due May 31, 2011 linked to Green Mountain Coffee Roasters, Inc. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDV5
• Zero-coupon buffered return notes due Aug. 31, 2012 linked to iShares MSCI EAFE index; via J.P. Morgan Securities LLC; pricing on Feb. 23; Cusip: 48125XCX2
• 14.25% reverse convertible notes due May 31, 2011 linked to Las Vegas Sands Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDU7
• Callable range accrual notes due Feb. 17, 2026 linked to six-month Libor and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 22; Cusip 48125XER3
• 15.25% reverse convertible notes due May 31, 2011 linked to lululemon athletica inc. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDW3
• 18% reverse convertible notes due May 31, 2011 linked to McMoRan Exploration Co. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDT0
• 9% reverse convertible notes due Feb. 29, 2012 linked to Monsanto Co. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEE2
• 12.4% reverse convertible notes due Feb. 29, 2012 linked to Rio Tinto plc (ADSs) stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEG7
• Zero-coupon buffered return enhance notes due Aug. 31, 2012 linked to Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 48125XCY0
• 10.75% reverse convertible notes due Aug. 31, 2011 linked to SanDisk Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDZ6
• 15.5% reverse convertible notes due Aug. 31, 2011 linked to Silver Wheaton Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XDY9
• Zero-coupon buffered return enhanced notes due Aug. 31, 2012 linked to S&P 500 index; via J.P. Morgan Securities LLC; pricing on Feb. 23; Cusip: 48125XCV6
• Zero-coupon buffered return enhanced notes due Feb. 28, 2013 linked to S&P 500; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 48125XCW4
• 14.25% reverse convertible notes due Aug. 31, 2011 linked to United States Steel Corp. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XEB8
• 10.25% reverse convertible notes due Feb. 29, 2012 linked to Yamana Gold Inc. stock; via JPMorgan; pricing Feb. 23; Cusip: 48125XED4
MORGAN STANLEY
• 7%-9% ELKS due Aug. 25, 2011 linked to Baker Hughes Inc.; via Morgan Stanley & Co.; pricing Feb. 22; Cusip: 61759G281
• Variable-coupon notes due Feb. 25, 2016 linked to the Brazilian real; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482RX4
• 0% buffered jump securities due Feb. 26, 2015 linked to the Dow Jones Industrial Average; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482QV9
• 0% equity-linked notes due Feb. 27, 2017 linked to Dow Jones Industrial Average; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482RB2
• 10%-12% ELKS due Aug. 25, 2011 linked to Freeport-McMoRan Copper & Gold Inc.; via Morgan Stanley & Co.; pricing Feb. 22; Cusip: 61760E200
• 6%-8% ELKS due Aug. 25, 2011 linked to Wells Fargo & Co.; via Morgan Stanley & Co.; pricing Feb. 22; Cusip: 61759G299
• Non-callable contingent coupon notes due Feb. 27, 2026 linked to the S&P 500 index; via Morgan Stanley & Co.; pricing Feb. 23; Cusip: 617482RH9
• Multi-asset allocation market-linked notes due February 2018 linked the Barclays Capital U.S. Aggregate Bond index, Dow Jones - UBS Commodity index and S&P 500 index; via Morgan Stanley & Co. Inc.; pricing in February; Cusip: 61760E309
• 10-year Sifma CMS rate senior floating-rate notes due February 2020; via Morgan Stanley & Co. Inc.; pricing in February; Cusip: 61745E4R95
• Leveraged CMS curve and S&P 500 index-linked accrual notes due Feb. 14, 2031 with issuer fixed-rate conversion right; via Morgan Stanley & Co. Inc.; pricing in February; Cusip: 61745E3D1
• 0% trigger Performance Leveraged Upside Securities due February 2013 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. Inc.; pricing in February; Cusip 61760E705
• 0% autocallable access securities due March 4, 2013 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in February
• 0% autocallable access securities due March 4, 2013 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities; pricing in February
• 0% buffered performance securities due August 2013 linked to the S&P 100 index; via Morgan Stanley & Co. Inc.; pricing in February; Cusip 61760E606
NOMURA AMERICA FINANCE, LLC
• Callable step-up notes due Feb. 25, 2023; via Nomura Securities International, Inc.; settlement on Feb. 25; Cusip 65539AAR1
• Callable spread range accrual notes due Feb. 25, 2026 based on the 30-year and two-year Constant Maturity Swap rates; via Nomura Securities International, Inc.; settlement on Feb. 25; Cusip 65539AAP5
• Callable range accrual notes due Feb. 25, 2026 linked to Libor; via Nomura Securities International, Inc.; settlement on Feb. 25; Cusip 65539AAQ3
ROYAL BANK OF CANADA
• 13% reverse convertible notes due May 31, 2011 linked to AK Steel Holding Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK28
• 10.5% reverse convertible notes due Aug. 31, 2011 linked to Allegheny Technologies, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM34
• 13.75% reverse convertible notes due Aug. 31, 2011 linked to Arch Coal, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM26
• 13.5% reverse convertible notes due May 31, 2011 linked to ARM Holdings plc stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK36
• 13.25% reverse convertible notes due May 31, 2011 linked to ATP Oil & Gas Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK44
• 0% currency-linked notes due Feb. 26, 2016 linked to the performance of the dollar relative to the euro; via RBC Capital Markets, LLC; pricing Feb. 23; Cusip 78008KJ61
• 11.25% reverse convertible notes due May 31, 2011 linked to DryShips Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK69
• 11.75% reverse convertible notes due May 31, 2011 linked to First Solar, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK77
• 12.5% reverse convertible notes due Aug. 31, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM59
• 12% reverse convertible notes due Aug. 31, 2011 linked to Goodyear Tire & Rubber Co. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM67
• 11.5% reverse convertible notes due May 31, 2011 linked to Green Mountain Coffee Roasters, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK85
• 11.25% reverse convertible notes due May 31, 2011 linked to Interoil Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK93
• 11.75% reverse convertible notes due Aug. 31, 2011 linked to Las Vegas Sands Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM75
• 26% reverse convertible notes due May 31, 2011 linked to LDK Solar Co., Ltd. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL35
• 11% reverse convertible notes due May 31, 2011 linked to Manitowoc Co., Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL50
• 12% reverse convertible notes due Aug. 31, 2011 linked to Marvell Technology Group Ltd. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM83
• 15% reverse convertible notes due May 31, 2011 linked to MGM Resorts International stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL43
• 10.75% reverse convertible notes due Aug. 31, 2011 linked to Northern Oil and Gas, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KM91
• 12.5% reverse convertible notes due May 31, 2011 linked to Rackspace Hosting, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL68
• 13.25% reverse convertible notes due May 31, 2011 linked to Salesforce.com, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KK51
• 16.5% reverse convertible notes due May 31, 2011 linked to Silver Wheaton Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL76
• Annual reset coupon securities due Feb. 26, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KQU9
• 14.75% reverse convertible notes due May 31, 2011 linked to Supervalu Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL84
• 10.5% reverse convertible notes due May 31, 2011 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL92
• 14.25% reverse convertible notes due May 31, 2011 linked to US Airways Group, Inc. stock; via RBC Capital Markets Corp.; pricing Feb. 23; Cusip: 78008KL27
• 14-month 0% Accelerated Return Notes linked to the MSCI EAFE index; via Merrill Lynch, Pierce, Fenner and Smith Inc.; pricing in February
• Zero-coupon Accelerated Return Notes due April 2012 linked to Nasdaq 100; via Merrill Lynch & Co.; pricing in February
• 0% direct investment notes due April 10, 2012 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing March 3; Cusip 78008KM42
ROYAL BANK OF SCOTLAND NV
• 5.25% (initial rate) callable step-up fixed-rate notes due Feb. 25, 2026; via RBS Securities Inc.; price Feb. 22; Cusip: 78009KQX3
• 14.25% annualized reverse convertible securities due Aug. 25, 2011 linked to AK Steel Holding Corp. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482RC0
• Callable capped CMS steepener notes due February 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBS Securities Inc.; pricing Feb. 22; Cusip: 78009KQW5
• 13.5% annualized reverse convertible securities due Aug. 25, 2011 linked to Dean Foods Co. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482RD8
• 14.5% annualized reverse convertible securities due Aug. 25, 2011 linked to Sears Holding Co. shares; 75% trigger; via Morgan Stanley & Co. Inc.; pricing Feb. 22; Cusip: 617482RE6
• 10.25% reverse convertible notes due Aug. 28, 2011 linked to Consol Energy Inc. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRC8
• 12% reverse convertible notes due Aug. 28, 2011 linked to Delta Air Lines, Inc. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRA2
• 13.5% reverse convertible notes due May 28, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRF1
• 10% reverse convertible notes due Aug. 28, 2011 linked to International Paper Co. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRD6
• 14% reverse convertible notes due May 28, 2011 linked to Las Vegas Sands Corp. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRE4
• 0% digital buffer securities due Feb. 28, 2013 linked to S&P 500 index; 80% trigger; via RBS Securities Inc.; pricing Feb. 23; Cusip 78009KQY1
• 0% capped enhanced participation notes with fixed buffer due Feb. 28, 2013 linked to the S&P 500 index; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KQV7
• 11.5% reverse convertible notes due Aug. 28, 2011 linked to SanDisk Corp. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRB0
• 13.25% reverse convertible notes due May 28, 2011 linked to Silver Wheaton Corp. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRH7
• 13% reverse convertible notes due May 28, 2011 linked to United States Steel Corp. stock; via RBS Securities Inc.; pricing Feb. 23; Cusip: 78009KRG9
SG STRUCTURED PRODUCTS, INC.
• Steepener notes due Feb. 28, 2031 linked to the 30-year and five-year Constant Maturity Swap rates; via agent SG Americas Securities, LLC and distributor Advisors Asset Management, Inc.; pricing Feb. 23; Cusip: 78423AF80
AB SVENSK EXPORTKREDIT
• 7.5% STEP Income Securities due February 2012 linked to Adobe Systems, Inc. shares; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 7% STEP Income Securities due March 2012 based on the performance of Apple Inc. shares; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Accelerated Return Notes due April 2012 based on copper; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% enhanced growth securities with leveraged upside and fixed percentage buffered downside due Sept. 5, 2014 linked to crude oil, platinum, copper, corn and cotton; via Wells Fargo Securities, LLC; pricing in February
• 0% Accelerated Return Notes due April 2012 linked to Energy Select Sector index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Accelerated Return Notes due April 2012 linked to Industrial Select Sector index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 7% STEP Income Securities due March 2012 based on the performance of International Paper Co. shares; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• Zero-coupon Accelerated Return Notes due May 2012 tied to Rogers International Commodity Index - Excess Return, capped at 11%-15%; via Merrill Lynch & Co.; pricing in February
• 0% Accelerated Return Notes due April 2012 linked to S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
UBS AG, JERSEY BRANCH
• 4% initial coupon callable step-up fixed-rate notes due Feb. 25, 2019; via UBS Securities LLC; settlement Feb. 25; Cusip: 90261JGJ6
• Callable step-up fixed-rate notes due Feb. 28, 2023 with 5% initial rate; via UBS Securities LLC; settlement Feb. 28; Cusip 90261JGK3
UBS AG, LONDON BRANCH
• Trigger phoenix autocallable optimization securities due Feb. 22, 2012 linked to International Paper Co. common stock; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 16; Cusip 90267G137
• 0% contingent real-return performance securities due Feb. 29, 2016 linked to the S&P 500 index and Consumer Price Index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 23; Cusip: 90267G616
UNION BANK, NA
• 0% trigger autocallable optimization securities due Feb. 24, 2012 linked to the common stock of Halliburton Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 16; Cusip 90267G129
• 0% annual high watermark return certificates of deposit due Feb. 24, 2016 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Feb. 18; Cusip: 90521AEF1
• Zero-coupon market-linked certificates of deposit due Feb. 22, 2018 linked to the Dow Jones-UBS Commodity index; via UnionBanc Investment Services, LLC as agent and Advisors Asset Management, Inc. as distributor; pricing Feb. 22; Cusip: 90521AES3
• 0% quarterly capped return market-linked certificates of deposit due March 2, 2015 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Feb. 23; Cusip: 90521AEQ7
• Zero-coupon principal-protected market-linked certificates of deposit due Feb. 29, 2016 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via UnionBanc Investment Services, LLC and Incapital LLC; pricing Feb. 24; Cusip: 90521AER5
• 0% quarterly capped return market-linked certificates of deposit due Aug. 28, 2014 linked to gold; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Feb. 24; Cusip: 90521AEP9
WELLS FARGO BANK, NA
• Callable range accrual certificates of deposit due Feb. 28, 2023; pricing Feb. 22; Cusip: 949748C54
• 0% market-linked certificates of deposit due Feb. 28, 2017 linked to Australian dollar, Brazilian real, Canadian dollar and Norwegian krone; via Incapital LLC; pricing Feb. 22; Cusip: 949748C39
• 0% certificates of deposit due Feb. 28, 2017 linked to the Dow Jones Industrial Average; via distributor Incapital LLC; pricing Feb. 22; Cusip 949748C88
• 0% market-linked certificates of deposit due Feb. 28, 2018 linked to the Dow Jones - UBS Commodity Index; pricing Feb. 22; Cusip: 949748C47
• Contingent annual interest market-linked certificates of deposit due Feb. 29, 2016 linked to the S&P GSCI Crude Oil Index Excess Return, S&P GSCI Wheat Index Excess Return, S&P GSCI Livestock Index Excess Return, gasoline, sugar, soybeans, zinc, gold, platinum and nickel; via Incapital LLC as distributor; pricing Feb. 22; Cusip: 949748B89
WELLS FARGO & CO.
• Fixed-to-floating notes due March 2016; via Wells Fargo Securities, LLC; pricing in March; Cusip: 94986RCY5
• Floating-rate notes due March 2021 with 2% floor and 7% cap; via Wells Fargo Securities LLC; settlement in March; Cusip 94986RCX7
• 0% enhanced growth securities due March 2014 linked to the iShares Dow Jones U.S. Real Estate index fund; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RCS8
• 0% enhanced growth securities due September 2014 linked to iShares MSCI Emerging Markets index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RCR0
• 0% enhanced growth securities due September 2013 linked to Russell 2000 index; 90% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RCF6
• 0% enhanced growth securities due December 2014 linked to the SPDR S&P 500 exchange-traded fund trust, iShares Russell 2000 index fund, iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 85% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip 94986RCT6
• 0% enhanced growth securities due March 2015 linked to the SPDR S&P 500 exchange-traded fund trust, iShares Russell 2000 index fund, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 60% trigger; via Wells Fargo Securities, LLC; settlement in March; Cusip: 94986RCU3
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