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Structured Products Calendar
BANK OF AMERICA CORP.
• Step-up callable notes due June 27, 2023; via Bank of America Merrill Lynch; settlement June 27; Cusip: 06048WGK0
• Step-up callable notes due June 27, 2031; via Bank of America Merrill Lynch; settlement June 27; Cusip: 06048WGL8
• Callable capped notes due June 27, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via Bank of America Merrill Lynch; settlement June 27; Cusip: 06048WGG9
• Fixed-to-floating-rate notes with maximum interest rate due June 28, 2016; via Bank of America Merrill Lynch; settle June 28; Cusip: 06048WGM6
• Six-year variable-coupon notes linked to the common stocks of Aflac, Inc., Apple Inc., Barrick Gold Corp., Cisco Systems, Inc., Deere & Co., Ford Motor Co., Halliburton Co., JPMorgan Chase & Co., Las Vegas Sands Corp., Potash Corp. of Saskatchewan Inc., Priceline.com Inc., Salesforce.com, Inc., Schlumberger Ltd., UnitedHealth Group Inc., Wal-Mart Stores, Inc. and Yahoo! Inc.; via Bank of America Merrill Lynch; pricing in June
• 0% Market Index Target-Term Securities due June 2016 linked to the Chinese renminbi versus the dollar; via Bank of America Merrill Lynch; pricing in June
• Leveraged Index Return Notes due June 2013 linked to the Dow Jones Global Titans 50 index; via Bank of America Merrill Lynch; pricing in June
• 0% enhanced market-linked step-up notes with buffer due June 2014 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in June
• 0% Market Index Target-Term Securities due June 2016 linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in June
• 0% Strategic Accelerated Redemption Securities due July 2012 linked to the common stock of Ford Motor Co.; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in June
• Two-year 0% Capped Leveraged Index Return Notes linked to the gold spot price; via Bank of America Merrill Lynch; pricing in June
• 0% Strategic Return Notes due June 2016 linked to the Investable Volatility index; via Bank of America Merrill Lynch; pricing in June
• 0% Accelerated Return Notes due August 2012 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in June
• Callable range accrual notes due June 2026 linked to six-month Libor; via Bank of America Merrill Lynch; pricing in June
• 0% Strategic Accelerated Redemption Securities due July 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in June
• 0% two-year Capped Leveraged Index Return Notes linked to the S&P 500 index; 90% trigger; via Bank of America Merrill Lynch; pricing in June
• 0% market-linked step-up notes due June 2015 linked to S&P 500 index; via Bank of America Merrill Lynch; pricing in June
• 0% Accelerated Return Notes due August 2012 linked to the S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via Bank of America Merrill Lynch; pricing in June
• 0% Market Index Target-Term Securities due June 2017 linked to the S&P 500, MSCI EAFE and MSCI Emerging Markets indexes; via Bank of America Merrill Lynch; pricing in June
• Two-year 0% Capped Leveraged Index Return Notes linked to the spot price of silver; pricing in June; via Bank of America Merrill Lynch
• Currency-linked coupon-bearing notes due June 2016 linked to the Turkish lira/dollar exchange rate; via Bank of America Merrill Lynch; pricing in June
• Floating-rate notes due July 7, 2021 linked to the Consumer Price Index; via Bank of America Merrill Lynch; settling July 7; Cusip 06048WGN4
BANK OF MONTREAL
• 0% currency-linked notes due June 2013 tied to Brazilian real, the Australian dollar, the Canadian dollar and the Norwegian krone relative to the U.S. dollar; 91.75% trigger; via BMO Capital Markets Corp.; pricing June 24
• 0% buffered currency-linked notes due June 2013 linked to Brazilian real, the Australian dollar, the Canadian dollar and the Norwegian krone; 91.75% trigger; via BMO Capital Markets Corp.; pricing June 24; Cusip: 06366QPV3
• 12.5% reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of AMR Corp.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPD3
• 18.25% reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Acme Packet, Inc.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPE1
• 17.75% reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Aruba Networks Inc.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPF8
• 13.5% reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of ATP Oil & Gas Corp.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPG6
• 13.5% annualized reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Baidu, Inc.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPH4
• 12.25% annualized reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Cirrus Logic, Inc.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPJ0
• 14.75% annualized reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Delta Air Lines, Inc.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPK7
• 17.5% annualized reverse exchangeable notes due Sept. 30, 2011 linked to the common stock of Eastman Kodak Co.; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPL5
• 11.25% reverse exchangeable notes due Sept. 30, 2011 linked to Goodyear Tire & Rubber Co. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPM3
• 12% reverse exchangeable notes due Sept. 30, 2011 linked to Hecla Mining Co. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPN1
• 0% buffered bullish digital return notes due June 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QNV5
• 0% buffered bullish digital return notes due June 28, 2013 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QNU7
• 0% bullish contingent risk digital return notes due July 31, 2012 linked to the iShares Russell 2000 index fund; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QNZ6
• 0% buffered bullish digital return notes due June 28, 2013 linked to the iShares Silver Trust; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QNW3
• 12.75% reverse exchangeable notes due Sept. 30, 2011 linked to lululemon athletica inc. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPQ4
• 11.5% reverse exchangeable notes due Sept. 30, 2011 linked to Netflix Inc. shares; 80% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPR2
• 0% bullish contingent risk digital return notes due Dec. 31, 2012 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QNY9
• 19.5% reverse exchangeable notes due Sept. 30, 2011 linked to Silvercorp Metals Inc. shares; 80% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPT8
• 23.5% reverse exchangeable notes due Sept. 30, 2011 linked to Suntech Power Holdings Co., Ltd. shares; 70% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPS0
• 15.75% reverse exchangeable notes due Sept. 30, 2011 linked to US Airways Group, Inc. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPP6
• 13.5% reverse exchangeable notes due Sept. 30, 2011 linked to Western Refining Inc. shares; 70% trigger; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06366QPU5
BANK OF THE WEST
• Contingent variable income market-linked certificates of deposit due June 30, 2016 linked to the stocks of Altria Group, Inc., Bristol-Myers Squibb Co., Cablevision Systems Corp., Campbell Soup Co., CenturyLink, Inc., General Mills, Inc., M&T Bank Corp., Newmont Mining Corp., Nvidia Corp. and Sprint Nextel Corp.; via BNP Paribas Securities Corp. and distributor Advisors Asset Management, Inc.; pricing June 27; Cusip: 06426XBA7
• Contingent variable income market-linked certificates of deposit due June 30, 2017 linked to the stocks of Altria Group, Inc., Bristol-Myers Squibb Co., Cablevision Systems Corp., Campbell Soup Co., CenturyLink, Inc., General Mills, Inc., M&T Bank Corp., Newmont Mining Corp., Nvidia Corp. and Sprint Nextel Corp.; via BNP Paribas Securities Corp. and distributor Advisors Asset Management, Inc.; pricing June 27; Cusip: 06426XBB5
• Contingent variable income market-linked certificates of deposit due June 30, 2017 linked to the stocks of AstraZeneca plc, AT&T Inc., Barrick Gold Corp., Entergy Corp., Hershey Co., Kimberly-Clark Corp., Kroger Co., Nokia Corp., Reynolds American Inc. and Teva Pharmaceutical Industries Ltd.; via BNP Paribas Securities Corp. and distributor Advisors Asset Management, Inc.; pricing June 27; Cusip: 06426XBC3
BARCLAYS BANK PLC
• 0% return enhanced notes due Dec. 27, 2012 linked to the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing June 24; Cusip: 06738KME8
• Notes due June 29, 2015 linked to Brent Crude oil, gasoline RBOB, lead, nickel, gold, corn, cotton and sugar; via Barclays Capital Inc.; pricing June 24; Cusip: 06738KJZ5
• 0% Performance Leveraged Upside Securities due July 27, 2012 linked to the S&P 500 index; via Morgan Stanley Smith Barney LLC and Barclays Capital Inc.; pricing June 24; Cusip: 06741K353
• 11% reverse convertible notes due Sept. 30, 2011 linked to AK Steel Holding Corp. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHX0
• 11.75% reverse convertible notes due Dec. 30, 2011 linked to Arch Coal, Inc. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHP7
• 0% double short leverage securities due June 30, 2014 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing June 27; Cusip: 06738KLH2
• 0% notes due June 30, 2014 linked to a basket of Asian currencies (Chinese renminbi, Malaysian ringgit and Korean won); via Barclays Capital Inc.; pricing June 27; Cusip: 06738KMD0
• 10.3% reverse convertible notes due Dec. 30, 2011 linked to Continental Resources, Inc. stock; via Barclays Capital; pricing June 27; Cusip: 06741JHY8
• 0% buffered Super Track notes due June 30, 2016 linked to the Dow Jones Industrial Average; via Barclays Capital Inc.; pricing June 27; Cusip: 06738KTR2
• 10.75% reverse convertible notes due Dec. 30, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via Barclays Capital; pricing June 27; Cusip: 06741JHZ5
• 15.1% reverse convertible notes due Sept. 30, 2011 linked to Hecla Mining Co. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHV4
• 0% trigger performance securities due June 30, 2016 linked to a the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing June 27; Cusip: 06741K320
• 10.6% reverse convertible notes due Dec. 30, 2011 linked to Joy Global Inc. stock; via Barclays Capital; pricing June 27; Cusip: 06741JJC4
• 11% reverse convertible notes due Dec. 30, 2011 linked to MGM Resorts International stock; via Barclays Capital; pricing June 27; Cusip: 06741JJB6
• 10.65% reverse convertible notes due Sept. 30, 2011 linked to Micron Technology, Inc. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHW2
• 10.5% reverse convertible notes due Dec. 30, 2011 linked to National Oilwell Varco, Inc. stock; via Barclays Capital; pricing June 27; Cusip: 06741JJD2
• 10% reverse convertible notes due June 29, 2012 linked to Nokia Corp. (American depositary shares) stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHR3
• 12.1% reverse convertible notes due June 29, 2012 linked to Patriot Coal Corp. stock; via Barclays Capital; pricing June 27; Cusip: 06741JJE0
• 10.5% reverse convertible notes due Dec. 30, 2011 linked to Peabody Energy Corp. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHN2
• 11.5% reverse convertible notes due Dec. 30, 2011 linked to Petrohawk Energy Corp. stock; via Barclays Capital; pricing June 27; Cusip: 06741JJA8
• 9% reverse convertible notes due June 29, 2012 linked to Research in Motion Ltd. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHQ5
• 0% contingent return optimization securities due June 28, 2013 linked to the Russell 2000 index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing June 27; Cusip: 06741K338
• Callable floating-rate notes due July 2, 2013 linked to the Russell 2000 index; via Barclays Capital Inc.; pricing June 27; Cusip: 06738KLS8
• 0% annual autocallable notes due July 2, 2014 linked to the Russell 2000 index; via Barclays Capital Inc.; pricing June 27; Cusip: 06738KLR0
• 10.25% reverse convertible notes due Dec. 30, 2011 linked to SunTrust Banks, Inc. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHT9
• 10.5% reverse convertible notes due Dec. 30, 2011 linked to United States Steel Corp. stock; via Barclays Capital Inc.; pricing June 27; Cusip: 06741JHS1
• 0% Accelerated Return Notes due August 2012 linked to the Financial Select Sector index; via Bank of America Merrill Lynch and Barclays Capital Inc.; pricing in June
• 0% two-year notes linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in June
• 14-month 0% Accelerated Return Notes due August 2012 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in June
• Market-linked step-up notes linked to the S&P 500 index due June 2013; via Bank of America Merrill Lynch; pricing in June
• 8% Step Income Securities due July 2012 linked to the common stock of the Valero Energy Corp.; via Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in June
• 0% buffered Super Track notes due June 19, 2014 linked to the S&P MidCap 400 index, Russell 2000 index and iShares MSCI Emerging Markets exchange-traded fund; via Barclays Capital Inc.; Cusip: 06738KTL5
CITIBANK, NA
• Principal-protected market-linked certificates of deposit due June 24, 2016 linked to silver, platinum, copper, cotton, corn, soybeans, gasoline, the S&P GSCI Brent Crude Oil Excess Return index, the S&P GSCI Natural Gas Excess Return index and the S&P GSCI Livestock Excess Return index; via Citigroup Global Markets Inc.; pricing June 27; Cusip: 172986DE8
CITIGROUP FUNDING INC.
• 7%-9% annualized Equity LinKed Securities due Dec. 21, 2011 linked to the common stock of Dow Chemical Co.; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 17317U865
• 0.5% market-linked notes due Dec. 21, 2016 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 17308CRW8
• 6%-8% annualized Equity LinKed Securities due Dec. 21, 2011 linked to the common stock of Ford Motor Co.; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 17317U782
• 11%-13% annualized Equity LinKed Securities due Dec. 21, 2011 linked to the common stock of Goodyear Tire & Rubber Co.; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 17317U873
• 0% trigger Performance Leveraged Upside Securities due June 27, 2013 linked to the iShares MSCI Emerging Markets index fund; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 17317U881
• Callable step-up coupon notes due June 28, 2026; via Citigroup Global Markets Inc.; settling June 28; Cusip: 1730T0MS5
• 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
• 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
• 0% notes due June 30, 2016 linked to the Credit Suisse Merger Arbitrage Liquid Risk Controlled index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22546TAL5
• 10% callable yield notes due June 29, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Natural Gas Fund, LP; 62.5% trigger; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22546TAS0
• 9% annualized callable yield notes due Dec. 30, 2011 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the United States Natural Gas Fund, LP; 71% trigger; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22546TAT8
• 7.4% callable yield notes due June 29, 2012 linked to the Russell 2000 index, the SPDR S&P Homebuilders exchange-traded fund and the U.S. Natural Gas Fund, LP; via Credit Suisse Securities (USA) LLC pricing June 27; Cusip: 22546TAU5
• 7%-9% callable yield notes due Dec. 30, 2011 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; pricing June 27; Cusip: 22546E7L2
• 8.5%-10.5% callable yield notes due Dec. 30, 2011 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; pricing June 27; Cusip: 22546E7K4
• High/low coupon callable yield notes due June 29, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22546TAC5
• 0% Cert PLUS securities due June 30, 2017 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22546TAM3
• 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
• 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% buffered return enhanced notes due July 5, 2012 linked to the price of copper; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing June 24; Cusip: 2515A18C8
• 0% buffered return enhanced notes due July 11, 2012 linked to the Hang Seng China Enterprises, Korea Composite Stock Price 200, MSCI Taiwan, Hang Seng and MSCI Singapore indexes and their related currencies; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing June 24; Cusip: 2515A18G9
• 0% review notes due June 27, 2013 linked to the S&P 500 index; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing June 24; Cusip: 2515A18F1
• 0% review notes due July 3, 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 June 24; Cusip: 2515A18D6
• 0% alternative alpha securities due June 30, 2014 linked to the Deutsche Bank Fed Funds Total Return, Deutsche Bank X-Alpha USD Excess Return, Deutsche Bank Trends x12 Excess Return, Deutsche Bank Haven Plus Excess Return and Deutsche Bank Commodity Harvest-10 USD ERAC indexes; via Deutsche Bank Securities Inc.; pricing June 27; Cusip: 2515A18H7
• 0% rebalancing tracker notes due June 30, 2016 linked to the Deutsche Bank Fed Funds Total Return Index, the Deutsche Bank X-Alpha USD Excess Return Index, the Deutsche Bank Trends x12 Excess Return Index, the Deutsche Bank Haven Plus Excess Return Index and the Deutsche Bank Commodity Harvest ERAC Index; via Deutsche Bank Securities Inc.; pricing June 27; Cusip: 2515A17P0
• 0% alpha overlay securities due July 31, 2012 linked to the Deutsche Bank Liquid Commodity Index - Mean Reversion Total Return, the Deutsche Bank Commodity Harvest - 10 Index USD Total Return and the Deutsche Bank 3-Month T-Bill index; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing June 27; Cusip: 2515A17N5
• 0% digital payment securities due Dec. 31, 2012 linked to the iShares MSCI EAFE index fund; via Deutsche Bank Securities Inc.; pricing June 27; Cusip: 2515A17F2
• Step performance securities due June 28, 2013 linked to the S&P 500 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing June 27; Cusip: 25154W571
• Buffered return optimization securities due June 28, 2013 linked to the S&P MidCap 400 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing June 27; Cusip: 25154W589
• 0% commodities strategy securities due Aug. 2, 2012 linked to the Deutsche Bank Commodity Booster - Dow Jones - UBS 14 TV Index Return and the Deutsche Bank Commodity Harvest - 10 Index USD Total Return; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing June 28; Cusip: 2515A17W5
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% Strategic Accelerated Redemption Securities due November 2011 linked to the front month palladium futures contract; via Bank of America Merrill Lynch; pricing in June
• Six-month 0% bear Accelerated Return Notes linked to the Russell 2000 index; via Bank of America Merrill Lynch; 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
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% 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
• 18- to 21-month 0% leveraged index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged buffered index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.
• 0% 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% leveraged buffered basket-linked notes due 18 to 21 months after issue tied to the S&P 500 index with a 67% weight and the MSCI EAFE index with a 33% weight; via Goldman Sachs & Co.
• 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 BANK USA, NA
• Annual income opportunity certificates of deposit with auto cap feature due June 28, 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 June 23; Cusip: 40431GTS8
• Annual income opportunity certificates of deposit with auto cap feature due June 30, 2017 linked to the common stocks of Banco Santander SA, Boeing Co., China Life Insurance Co., Ltd., Companhia Siderurgica Nacional SA, Research In Motion Ltd., Rio Tinto plc, Sanofi-Aventis, SAP AG, Sasol, Sony Corp., Southern Co. and Telefonaktiebolaget LM Ericsson; via HSBC Securities (USA) Inc.; pricing June 23; Cusip: 40431GUD9
• 0.5% accumulated annual return certificates of deposit due June 28, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing June 23; Cusip: 40431GUB3
• Income plus certificates of deposit due June 28, 2018 linked to Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co. with 4% potential coupon; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GTF6
• Income plus certificates of deposit due June 28, 2018 linked to Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co. with 6.5% potential coupon; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GTG4
• Income plus certificates of deposit due June 28, 2018 linked to Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co. with 9% potential coupon; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GTH2
• Income plus certificates of deposit due June 28, 2018 linked to Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co. with 11.5% potential coupon; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GTJ8
• Annual income opportunity certificates of deposit with auto cap feature due June 29, 2015 linked to the stocks of CME Group Inc., Eli Lilly & Co., Exxon Mobil Corp., Intel Corp., Lockheed Martin Corp., Lowe's Cos., Inc., Microsoft Corp., Northern Trust Corp., Qualcomm, Inc., Sysco Corp., Time Warner Cable Inc. and Wal-Mart Stores, Inc.; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GTA7
• Annual income opportunity certificates of deposit with auto cap feature due June 28, 2018 linked to the stocks of CME Group Inc., Eli Lilly & Co., Exxon Mobil Corp., Intel Corp., Lockheed Martin Corp., Lowe's Cos., Inc., Microsoft Corp., Northern Trust Corp., Qualcomm, Inc., Sysco Corp., Time Warner Cable Inc. and Wal-Mart Stores, Inc.; via HSBC Securities (USA) Inc.; pricing June 24; Cusip: 40431GSY6
• Annual income opportunity certificates of deposit with auto cap feature due June 30, 2017 linked to the common stocks of Bank of America Corp., Bristol-Myers Squibb Co., Broadcom Corp., Entergy Corp., Mosaic Co., Newmont Mining Corp., Schlumberger Ltd., Tiffany & Co., Verizon Communications, Waste Management, Inc., WellPoint Inc. and Yahoo! Inc.; via HSBC Securities (USA) Inc.; pricing June 27; Cusip: 40431GTN9
• Annual income opportunity certificates of deposit with auto cap feature due June 30, 2017 under the minimum return series to the common stocks of Bank of America Corp., Bristol-Myers Squibb Co., Broadcom Corp., Entergy Corp., Mosaic Co., Newmont Mining Corp., Schlumberger Ltd., Tiffany & Co., Verizon Communications, Waste Management, Inc., WellPoint Inc. and Yahoo! Inc.; via HSBC Securities (USA) Inc.; pricing June 27; Cusip: 40431GTV1
• Annual income opportunity certificates of deposit with auto cap feature due June 30, 201 linked to the common stocks of Bank of America Corp., Bristol-Myers Squibb Co., Broadcom Corp., Entergy Corp., Mosaic Co., Newmont Mining Corp., Schlumberger Ltd., Tiffany & Co., Verizon Communications, Waste Management, Inc., WellPoint Inc. and Yahoo! Inc.; via HSBC Securities (USA) Inc.; pricing June 27; Cusip: 40431GTP4
HSBC USA INC.
• 9%-11% autocallable yield notes due June 21, 2012 linked to the iShares FTSE/Xinhua China 25 index fund and the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing June 23; Cusip: 4042K1JS3
• 0% knock-out buffer notes due July 11, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 24; Cusip: 4042K1KC6
• 0% knock-out buffer notes due Dec. 31, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 24; Cusip: 4042K1KD4
• 0% return enhanced notes due July 11, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 24; Cusip: 4042K1KB8
• 0% trigger performance securities due June 30, 2016 linked to the S&P 500 index; 50% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing June 27; Cusip: 40433C775
• Trigger performance securities due June 30, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC USA Inc.; pricing June 27; Cusip: 40433C742
• Collared floating-rate notes due July 6, 2015; via HSBC Securities (USA) Inc.; pricing June 30; Cusip: 4042K1JZ7
JPMORGAN CHASE BANK, NA
• Principal-protected market-linked certificates of deposit due June 29, 2016 linked to silver, corn, copper, cotton, nickel, gasoline, palladiun, sugar, the S&P GSCI Brent Crude Oil index - Excess Return and the S&P GSCI Livestock Index - Excess Return; via UnionBanc Investment Services, LLC; pricing June 24; Cusip: 48123YZQ2
• Certificates of deposit due June 29, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC (broker) and Advisors Asset Management, Inc. (distributor); pricing June 24; Cusip: 48123YZN9
• Contingent coupon certificates of deposit due June 29, 2018 linked to the common stocks of Altria Group, Inc., Amazon.com, Inc., AT&T Inc., Barrick Gold Corp., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing June 27; Cusip: 48123YB39
• 0% certificates of deposit due June 30, 2016 linked to Brazilian real, the Australian dollar, the Norwegian krone and the Canadian dollar; via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YZY5
• 0% digital contingent coupon certificates of deposit due June 30, 2016 linked to the common stocks of Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Altria Group, Inc., AT&T Inc., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YA55
• 0% digital contingent coupon certificates of deposit due June 30, 2017 linked to to the common stocks of Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Altria Group, Inc., AT&T Inc., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YA63
• 0% digital contingent coupon certificates of deposit due June 29, 2018 linked to to the common stocks of Barrick Gold Corp., Amazon.com, Inc., Bristol-Myers Squibb Co., General Mills, Inc., Intel Corp., Altria Group, Inc., AT&T Inc., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YA71
• Certificates of deposit due June 30, 2016 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD); via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YZV1
• Certificates of deposit due June 30, 2016 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing June 27; Cusip: 48123YZT6
• Annual income certificates of deposit due June 30, 2017 linked to the performance of the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing June 27; Cusip: 48123YA97
• 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; settling June 30; Cusip: 48123YC87
JPMORGAN CHASE & CO.
• Callable fixed-rate step-up notes due June 28, 2023; via J.P. Morgan Securities LLC; pricing June 23; Cusip: 48125XUZ7
• 0% daily liquidity notes due June 26, 2014 linked to the J.P. Morgan C.P.P. Commodity index; via J.P. Morgan Securities LLC; pricing June 23; Cusip: 48125XWL6
• 0% capped daily observation knock-out notes due July 11, 2012 linked to General Electric Co. shares; via J.P. Morgan Securities LLC; pricing June 24; Cusip: 48125XWB8
• 0% return enhanced notes due June 27, 2014 linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD); via J.P. Morgan Securities LLC; pricing June 24; Cusip: 48125XUM6
• 0% capped equity-linked partial principal at risk securities due June 29, 2017 linked to the SPDR S&P 500 ETF trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing June 24; Cusip: 46634X187
• 0% buffered return enhanced notes due Dec. 31, 2012 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTH9
• 0% buffered return enhanced notes due Dec. 31, 2012 linked to the Russell 2000 index; 90% trigger; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTG1
• 10% callable yield notes due June 29, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 75% trigger; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTK2
• 10% callable yield notes due June 29, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTJ5
• 0% notes due July 31, 2012 linked to three buffered return enhanced components: Russell 3000 index, iShares MSCI EAFE index fund and iShares MSCI Emerging Markets index fund; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XVR4
• 0% buffered return enhanced notes due Dec. 31, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XUS3
• 0% capped index knock-out notes due Dec. 31, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTL0
• 0% capped index knock-out notes due June 28, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XTM8
• Callable quarterly range accrual notes due June 30, 2026 linked to the S&P 500 index and Libor; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XWK8
• 10% upside autocallable single observation reverse exchangeable notes due June 29, 2012 linked to Bank of America Corp.; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XVP8
• 11.5% upside autocallable reverse exchangeable notes due June 29, 2012 linked to Bank of America Corp. shares; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XVU7
• 0% capped market plus notes due July 17, 2012 linked to a Brent crude oil futures contract; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XWC6
• 14.35% reverse convertible notes due Dec. 30, 2011 linked to Cliffs Natural Resources Inc. stock; via JPMorgan; pricing June 28; Cusip: 48125XVM5
• 16.55% reverse convertible notes due Sept. 30, 2011 linked to DryShips Inc. stock; via JPMorgan; pricing June 28; Cusip: 48125XVD5
• 12.75% reverse convertible notes due Dec. 30, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via JPMorgan; pricing June 28; Cusip: 48125XVH6
• 16% reverse convertible notes due Dec. 30, 2011 linked to Goodyear Tire & Rubber Co. stock; via JPMorgan; pricing June 28; Cusip: 48125XVN3
• 14.65% reverse convertible notes due Dec. 30, 2011 linked to Las Vegas Sands Corp. stock; via JPMorgan; pricing June 28; Cusip: 48125XVJ2
• 19% reverse convertible notes due Sept. 30, 2011 linked to LDK Solar Co., Ltd. (ADS) stock; via JPMorgan; pricing June 28; Cusip: 48125XVC7
• 15.7% reverse convertible notes due Sept. 30, 2011 linked to McMoRan Exploration Co. stock; via JPMorgan; pricing June 28; Cusip: 48125XVB9
• 17% reverse convertible notes due Sept. 30, 2011 linked to MGM Resorts International stock; via JPMorgan; pricing June 28; Cusip: 48125XVG8
• 17.45% reverse convertible notes due Sept. 30, 2011 linked to Molycorp, Inc. stock; via JPMorgan; pricing June 28; Cusip: 48125XVF0
• High/low coupon callable yield notes due June 29, 2012 linked to the Russell 2000 index, the Market Vectors Gold Miners exchange-traded fund and the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XWD4
• 16.5% reverse convertible notes due Sept. 30, 2011 linked to Silver Wheaton Corp. stock; via JPMorgan; pricing June 28; Cusip: 48125XVE3
• 10% upside autocallable reverse exchangeable notes due June 29, 2012 linked to United States Steel Corp. shares; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XVV5
• 11.5% upside autocallable single observation reverse exchangeable notes due June 29, 2012 linked to United States Steel Corp.; via J.P. Morgan Securities LLC; pricing June 28; Cusip: 48125XVQ6
• 12.65% reverse convertible notes due Dec. 30, 2011 linked to Wynn Resorts, Ltd. stock; via JPMorgan; pricing June 28; Cusip: 48125XVL7
• 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
MORGAN STANLEY
• 12% reverse convertible securities due Sept. 29, 2011 linked to AK Steel Holding Corp. common stock; via Morgan Stanley & Co. LLC; pricing June 24: Cusip: 617482UU6
• 13% reverse convertible securities due Dec. 29, 2011 linked to the common stock of Abercrombie & Fitch Co.; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 617482UX0
• Contingent annual interest notes due June 29, 2016 linked to 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 June 24; Cusip: 617482UR3
• 15% reverse convertible securities due Dec. 29, 2011 linked to the American Depository Shares of Baidu, Inc.; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 617482UW2
• 0% Performance Leveraged Upside Securities due Dec. 28, 2012 linked to the Chilean peso, Korean won and the Philippine peso; via Morgan Stanley & Co. LLC; pricing June 24
• Contingent coupon commodity-linked notes due June 29, 2015 linked 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 June 24; Cusip: 617482VF8
• 8%-10% annualized Equity LinKed Securities due Dec. 23, 2011 linked to the common stock of Cummins Inc.; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 61760E325
• 0% buffered jump securities due Dec. 29, 2014 linked to the Dow Jones Industrial Average; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 617482UQ5
• 0% equity-linked notes due June 29, 2017 linked to the Dow Jones Industrial Average; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 617482UP7
• 10% reverse convertible securities due Sept. 29, 2011 linked to Gannett Co., Inc. common stock; via Morgan Stanley & Co. LLC; pricing June 24: Cusip: 617482UT9
• 14% reverse convertible securities due Sept. 29, 2011 linked to Goodyear Tire & Rubber Co. common stock; via Morgan Stanley & Co. LLC; pricing June 24: Cusip: 617482US1
• Contingent income autocallable securities due June 25, 2012 linked to the common stock of Hess Corp.; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 61760E333
• 1% equity-linked lock-in notes due June 24, 2026 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 61760E341
• 13.5% annualized reverse convertible securities due Dec. 29, 2011 linked to the common stock of Wynn Resorts Ltd.; via Morgan Stanley & Co. LLC; pricing June 24; Cusip: 617482UV4
• 0% market-linked notes due June 30, 2017 linked to the Dow Jones Industrial Average; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing June 27; Cusip: 61760E366
• Range accrual notes due June 30, 2026 linked to six-month Libor and the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 48125XUV6
• Non-callable contingent coupon notes due June 30, 2031 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing June 27; Cusip: 617482VB7
• 0% performance allocation securities linked to the S&P 500 index, the MSCI EAFE index and the MSCI Emerging Markets index; via UBS Financial Services Inc. is the dealer, and Morgan Stanley & Co. LLC; pricing June 27; Cusip: 61760E374
• 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
• Brazilian real-denominated fixed-rate step-up securities due March 25, 2015; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61747YCX1
• 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
• 0% Performance Leveraged Upside Securities due July 2012 linked to the Financial Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61760E416
• 0% trigger securities due June 2013 linked to the iShares FTSE China 25 index fund; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61760E432
• 0% bear market Performance Leveraged Upside Securities due December 2011 linked to the iShares Russell 2000 Growth index fund; via Morgan Stanley & Co. LLC; pricing in June
• 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; settling July 11; Cusip 61745E2E0
• 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
• 15.75% reverse convertible notes due Sept. 30, 2011 linked to AK Steel Holding Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGS7
• 16.25% reverse convertible notes due Sept. 30, 2011 linked to ATP Oil & Gas Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGT5
• 16% reverse convertible notes due Sept. 30, 2011 linked to Baidu, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGU2
• 0% commodity-linked notes due Dec. 29, 2017 linked to the BNP Paribas Oscillator Commodities Target Volatility 8 USD Excess Return index; via RBC Capital Markets, LLC; pricing June 27; Cusip: 78008TFA7
• 13.5% reverse convertible notes due Dec. 30, 2011 linked to Cliffs Natural Resources Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THT4
• 13.5% reverse convertible notes due Sept. 30, 2011 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGV0
• 17.75% reverse convertible notes due Sept. 30, 2011 linked to DryShips Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGW8
• 12.25% reverse convertible notes due Sept. 30, 2011 linked to Eldorado Gold Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGX6
• 12.25% reverse convertible notes due Dec. 30, 2011 linked to Freeport-McMoRan Copper & Gold Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THU1
• 16.5% reverse convertible notes due Sept. 30, 2011 linked to F5 Networks, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGY4
• 16% reverse convertible notes due Sept. 30, 2011 linked to Goodyear Tire & Rubber Co. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THA5
• 14% reverse convertible notes due Sept. 30, 2011 linked to Green Mountain Coffee Roasters, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008TGZ1
• 16.5% reverse convertible notes due Sept. 30, 2011 linked to Hecla Mining Co. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THC1
• 14% reverse convertible notes due Dec. 30, 2011 linked to InterOil Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THV9
• 18.75% reverse convertible notes due Sept. 30, 2011 linked to JDS Uniphase Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THD9
• 15.25% reverse convertible notes due Sept. 30, 2011 linked to Lululemon Athletica Inc stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THF4
• 18.25% reverse convertible notes due Sept. 30, 2011 linked to Manitowoc Co. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THH0
• 13.25% reverse convertible notes due Sept. 30, 2011 linked to MGM Resorts International stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THG2
• 14.75% reverse convertible notes due Sept. 30, 2011 linked to Netflix Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THJ6
• 17.5% reverse convertible notes due Sept. 30, 2011 linked to Northern Oil and Gas, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THK3
• 15.5% reverse convertible notes due Sept. 30, 2011 linked to Nvidia Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THL1
• 16.25% reverse convertible notes due Sept. 30, 2011 linked to Patriot Coal Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THM9
• 14% reverse convertible notes due Sept. 30, 2011 linked to Petrohawk Energy Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THB3
• 14% reverse convertible notes due Sept. 30, 2011 linked to Research In Motion Ltd. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THN7
• 0% return optimization securities due July 31, 2012 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing June 27; Cusip: 78010T654
• 0% buffered bullish enhanced return notes due June 28, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing June 27; Cusip: 78008TGL2
• 0% buffered bullish enhanced return notes due June 28, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing June 27; Cusip: 78008TGM0
• 18.25% reverse convertible notes due Sept. 30, 2011 linked to Silver Wheaton Corp. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THP2
• 14% reverse convertible notes due Sept. 30, 2011 linked to Trina Solar Ltd. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THQ0
• 16.5% reverse convertible notes due Sept. 30, 2011 linked to US Airways Group, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THE7
• 15.75% reverse convertible notes due Sept. 30, 2011 linked to Veeco Instruments Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THR8
• 18% reverse convertible notes due Sept. 30, 2011 linked to Western Refining, Inc. stock; via RBC Capital Markets Corp.; pricing June 27; Cusip: 78008THS6
• 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
• 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% capped enhanced participation notes with fixed buffer due July 1, 2013 linked to the iShares Russell 2000 index fund; via RBS Securities Inc.; pricing June 27; Cusip: 78009PAR2
• 0% capped enhanced participation notes with fixed buffer due July 1, 2013 linked to the S&P 500 index; via RBS Securities Inc.; pricing June 27; Cusip: 78009PAQ4
• Annual reset coupon securities due June 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing June 27; Cusip: 78009PAT8
• Annual reset coupon securities due June 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing June 27; Cusip: 78009PAS0
• 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
AB SVENSK EXPORTKREDIT
• 0% Accelerated Return Notes due August 2012 linked to the PHLX Oil Service Sector index; via Bank of America Merrill Lynch; pricing in June
• 0% Accelerated Return Notes due August 2012 linked to Rogers International Commodity Index - Excess Return; via Bank of America Merrill Lynch; pricing in June
• 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% leveraged buffered index-linked notes due in 24 to 27 months tied to the MSCI EAFE index; via Goldman, Sachs & Co.
• 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
• 0% trigger step performance securities due Dec. 31, 2012 linked to the performance of the Norwegian krone, the Polish zloty and the Swedish krona.relative to the Japanese yen; via UBS Financial Services Inc. and UBS Investment Bank; pricing June 27; Cusip: 902669373
• 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; settling July 14; Cusip 90261JHH9
UBS AG, LONDON BRANCH
• 0% trigger return optimization securities due June 30, 2014 linked to a basket of exchange-traded funds; via UBS Financial Services Inc. and UBS Investment Bank; pricing June 27; Cusip: 90267X197
• 0% step return buffered securities due June 28, 2013 linked to the performance of the Brazilian real, the Russian ruble, the Indonesian rupiah, the Chinese renminbi and the Korean won relative to the Japanese yen; via Deutsche Bank Securities Inc.; pricing June 27; Cusip: 2515A16Z9
• 0% buffered return optimization securities due June 28, 2013 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing June 27; Cusip: 90267X189
• 0% buffered return optimization securities due June 28, 2013 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing June 27; Cusip: 90267X171
• 0% trigger return optimization securities due June 30, 2014 linked to the UBS Bloomberg Constant Maturity Commodity Index Excess Return; via UBS Financial Services Inc. and UBS Investment Bank; pricing June 27; Cusip: 90267X668
UNION BANK, NA
• 0% market-linked certificates of deposit due June 29, 2018 linked to the Dow Jones-UBS Gold Subindex; via Citigroup Global Markets Inc.; pricing June 24; Cusip: 90521AFT0
• 0% quarterly capped return market-linked certificates of deposit due Dec. 29, 2014 linked to the Russell 2000 index; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing June 24; Cusip: 90521AFW3
• 0% quarterly capped return market-linked certificates of deposit due June 29, 2015 linked to the S&P 500 index; via UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing June 24; Cusip: 90521AFX1
• 0% market-linked certificates of deposit due June 29, 2017 with average return linked to the S&P 500 index; via UnionBanc Investment Services, LLC; pricing June 24; Cusip: 90521AFZ6
• 0% market-linked certificates of deposit due June 29, 2015 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing June 27; Cusip: 90521AFY9
• 0% quarterly capped return market-linked certificates of deposit due Dec. 30, 2013 linked to the Dow Jones - UBS Commodity index; via UnionBanc Investment Services, LLC and distributors Advisors Asset Management, Inc. and Incapital LLC; pricing June 27; Cusip: 90521AFV5
WELLS FARGO BANK, NA
• 0% market-linked certificates of deposit due June 30, 2017 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi relative to the dollar; via Incapital LLC; pricing June 24; Cusip: 949748H67
• Contingent annual interest market-linked certificates of deposit due June 30, 2015 linked to the S&P GSCI Brent Crude Oil Index Excess Return, natural gas, copper, corn, cotton, gasoline, nickel, palladium, silver and sugar; via Incapital LLC as distributor; pricing June 24; Cusip: 949748H42
• 0% certificates of deposit due June 30, 2017 linked to the Dow Jones Industrial Average; via distributor Incapital LLC; pricing June 24; Cusip: 949748H34
WELLS FARGO & CO.
• Fixed-to-floating-rate notes due June 30, 2018 linked to Libor; via Wells Fargo Securities LLC; pricing June 27; Cusip: 94986REF4
• 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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