regatta strikes during market sell off

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▌▌PROSPECTNEWS▐▐ © Copyright 2011 by Prospect News Inc. Electronic redistribution, photocopying and any other electronic or mechanical reproduction is strictly prohibited without prior written approval by Prospect News. Information contained herein is provided by sources believed to be accurate and reliable, however, Prospect News makes no warranty, and each such source makes no warranty, either express or implied, as to any matter whatsoever, including but not limited to those of merchantability or fitness for a particular purpose.

$43.850 billion in 4118 deals











With volatility up, skip reverse convertibles and think digital, says portfolio managerBy Emma Trincal New York, Aug. 9 – The recent record gains in volatility offer a buying opportunity for investors looking for digital returns on the view that growth will be subdued or even flat, Eric Greschner, portfolio manager at Regatta Research & Money Management, told Prospect News. “In order to take advantage of the market sell-off and the spike in implied volatilities, we struck two bespoke digitals on Thursday’s and Friday’s close,” he said. He added a third deal on Tuesday.

Three deals On Thursday, Greschner bought his first bespoke product: $1 million of 0% jump securities due Sept. 12, 2012 linked to the iShares MSCI Pacific ex-Japan index fund issued by Morgan Stanley. The Dow Jones Industrial Average fell by more than 500 points on that day, and the VIX index rose 29% to nearly 32. The structure is based on a final-day

barrier, or European barrier, and does not necessitate any growth on the part of the underlying. If the final Japan fund level is greater than the initial fund level, the payout at maturity will be par plus an 18% upside payment. On Friday, Greschner bought his second deal: $750,000 of single review notes due Sept. 10, 2012 linked to the iShares MSCI Japan index fund issued by JPMorgan Chase & Co. The custom-made offering gives his investors a premium of 11.25% under the same conditions – 0% growth or positive growth at maturity from the initial price. There is a 5% buffer on the downside with a 1% loss per point of decline beyond the buffer. Finally on Tuesday, Greschner said he bought $564,000 of additional JPMorgan notes: non-buffered single review notes due Sept. 9, 2012 linked to the SPDR S&P 500 index fund. If the final fund level is greater than

Continued on page 2

Morgan Stanley plans contingent income autocallables on Brent crudeBy Marisa Wong Madison, Wis., Aug. 9 – Morgan Stanley plans to price contingent income autocallable securities due August 2012 based on the performance of Brent blend crude oil, according to a 424B2 filing with the Securities and Exchange Commission. If price of Brent crude oil closes at or above the downside threshold level –

80% of the initial price – on a quarterly determination date, investors will receive a contingent payment of $25.00 to $32.50 for each $1,000 note. Otherwise, no contingent payment will be made for that quarter. The exact contingent payment will be set at pricing. If the commodity price is greater than or equal to the initial price on











EXCHANGE-TRADED NOTES

BREAKDOWN OF YEAR TO DATE DEALS

Quarter to Date:

Month to Date:

ALL U.S. STOCK AND EQUITY INDEX DEALS

SINGLE STOCK U.S. STRUCTURED PRODUCTS

ALL U.S. STRUCTURED PRODUCTSYear to Date:

STOCK INDEX U.S. STRUCTURED PRODUCTS

FX U.S. STRUCTURED PRODUCTS

COMMODITY U.S. STRUCTURED PRODUCTS

Current Year

Previous Year

INTEREST RATE STRUCTURED PRODUCTS

Continued on page 3

INTEREST RATE STRUCTURED COUPONS

Wednesday August 10, 2011

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or equal to the initial fund level, the notes will be automatically called at par plus a premium of 15.35%.

Not another reverse convertible “A sell-off offers a great opportunity to buy structures that benefit from a spike in volatility,” said Greschner. “You can do that with reverse convertibles too. But we’re not interested in reverse convertibles. One, because the underlying are not good quality. The names in the offerings tend to be stocks with a significant beta.” Another disadvantage of reverse convertibles, he said, compared to the notes he bought is that they are built around so-called American barriers, which can be triggered any time during the term and not just at maturity, an additional factor of risk. “And the barrier levels themselves are really not attractive,” he added. Finally, reverse convertibles are linked to single stocks, while Greschner prefers to invest in broad sectors or geographic areas. “It’s so hard to find a good reverse convertible based on a broad, high-quality index of blue chip stocks,” he said. The three notes purchased by Greschner could in theory fall under the category of autocallables with one review date only. But Greschner disagrees. “An autocallable most of the time has several call dates during the term. It means you don’t know when and if you’re going to get called. With these, you have a fixed maturity. That’s a big difference,” he said.

Short volatility But the three types of structures have one thing in common: the investor gets a higher coupon as volatility goes up. The investor in those notes is selling a put, he explained. As a result, the coupon payment increases with spikes in implied

volatility because the premium rises when the risk of a price decline increases. “An investor is a seller of volatility,” he said. “With the VIX ramping up to 50, we saw it as a huge opportunity to step in,” said Greschner. The VIX started last week at 23. It closed on Monday this week at 48. “These deals do well with volatility spikes. This is reflected in the coupon, and we are definitely sellers of volatility right now. Our bet is that volatility will decrease.” Greschner said that he is not interested in notes with a payout linked to the appreciation of the underlying. “We didn’t want growth products. We have an outlook from low to mild growth,” he said. Knowing what he was looking for but unable to find it off-the-shelf, Greschner sought a customized deal. “We came out with the idea. We bid it to four underwriters to find the most attractive product out there,” he said. “[Morgan Stanley and JPMorgan] did all the filing, the pricing, the hedging. “Only our clients got this.”

Buffer versus put Among the three deals, only one offers some downside protection. For Greschner, it was not necessarily a requirement as the strong sell-off has provided a floor to the equity markets at least for the one-year timeframe he chose for his investments. In addition, Greschner said that Morgan Stanley offered its jump securities at price of 98. “With the 18% coupon, it’s an additional 2% for our clients. That’s a 20% return. It’s fairly substantial,” he said. Greschner is also bullish on Asian

equity, at least in the short term. “Emerging markets economies are fairly strong. Their only problem is inflation. There is the issue of interest rates hikes, but in 13 months, we will be OK. All we need is for things to stay positive,” he said. Finally, Greschner said that he hedges his notes using options and shorting various securities. Marc Gerstein, research consultant at Portfolio 123 – who doesn’t follow the Asian markets – said that the JPMorgan notes linked to the S&P 500 fund are attractive. “It’s not a bad deal. I like the structure. It’s simple, easy to understand,” he said. “It’s also nice to be able to get 15% even if the index doesn’t do anything. “The absence of a buffer may be a problem. If my upside is capped, I want a downside cap. But you can do it yourself, cutting a little bit of your upside by buying a put.” Gerstein said that he would also stay away from reverse convertibles at the moment. “Volatility is so crazy … a lot of those barriers are going to be breached,” he said. He agreed with Greschner that a final-day barrier is preferable to the American-style barriers built into reverse convertibles. “When the performance is reviewed just once, at the end, it’s different,” he said. “In the meantime, you can go down and go back up. “But with a reverse convertible, you hit the trigger and that’s a done deal. “I would look at a reverse convertible if I had a good feel for a stock and if I didn’t mind owning it. “Otherwise, volatility being what it is – and it’s going to get worse because people don’t realize how bad it is – I would stay away from them.”

With volatility up, skip reverse convertibles and think digital, says portfolio managerContinued from page 1



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UBS plans to price trigger autocallable securities linked to S&P 500By Toni Weeks San Diego, Aug. 9 – UBS AG, London Branch plans to price 0% trigger autocallable optimization securities due Aug. 25, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. If the closing index level is greater than the initial level on any quarterly observation date beginning after one year, the notes will be called at par plus an annualized call return of 7.6% to

10.1%. The exact call return will be set at pricing. If the notes are not called and the final index level is greater than or equal to 55% of the initial level, the payout at maturity will be par. Otherwise, investors will share fully in losses. The notes (Cusip: 90268B681) are expected to price Aug. 19 and settle Aug. 24. UBS Financial Services Inc. and UBS Investment Bank are the agents.

JPMorgan to price capped seven-year notes linked to S&P 500 indexBy Jennifer Chiou New York, Aug. 9 – JPMorgan Chase & Co. plans to price 0% notes due Aug. 28, 2018 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission. The payout will be par plus the additional amount, if any. The

additional amount will be at least 100% of any index gain, capped at a maximum return of at least 68%. The notes (Cusip: 48125XH58) are expected to price on Aug. 23 and settle on Aug. 26. J.P. Morgan Securities LLC is the agent.

RBC plans autocallable access notes on iShares MSCI Emerging MarketsBy Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada plans to price autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the iShares MSCI Emerging Markets index fund via Wells Fargo Securities, LLC, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be automatically called at par plus a premium if the fund’s closing share price is greater than the initial share price on any of the call dates. The premium is 7% to 9% for the first call

date of Sept. 4, 2012, 10.5% to 13.5% for the second call date of March 1, 2013 and 14% to 18% for the final call date of Aug. 26, 2013. The exact call premium will be determined at pricing. If the notes are not called and the fund’s final share price is at least 90% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the fund declines beyond 10%. The notes (Cusip: 78008TMQ4) are expected to price in August and settle in September.

RBC plans autocallable access securities tied to iShares Russell 2000By Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada plans to price autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the iShares Russell 2000 index fund via Wells Fargo Securities, LLC, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be automatically called at par plus a premium if the fund’s closing share price is greater than the initial share price on any of the call dates. The premium is 7% to 9% for the first call

date of Sept. 4, 2012, 10.5% to 13.5% for the second call date of March 1, 2013 and 14% to 18% for the final call date of Aug. 26, 2013. The exact call premium will be determined at pricing. If the notes are not called and the fund’s final share price is at least 90% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the fund declines beyond 10%. The notes (Cusip: 78008TMN1) are expected to price in August and settle in September.

any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment. If the notes are not called and the final commodity price is greater than or equal to the downside threshold level, the payout at

maturity will be par plus the contingent payment. If the final price is less than the downside threshold level, the payout will be par plus the commodity return. The notes (Cusip: 617482VS0) will price and settle in August. Morgan Stanley & Co. LLC is the agent.

Morgan Stanley plans contingent income autocallables on Brent crudeContinued from page 1



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UBS plans trigger phoenix autocallable securities linked to MicrosoftBy Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch plans to price trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to Microsoft Corp. shares, according to an FWP filing with the Securities and Exchange Commission. If Microsoft stock closes at or above the trigger price – 75% of the initial share price – on a quarterly observation date, the issuer will pay a contingent coupon of 8.5% to 13.15% per year for that quarter. The exact rate will be set at pricing. If the share price closes at or above the initial price on any

observation date, the notes will be called at par of $10 plus the contingent coupon. If the notes are not called and Microsoft shares finish at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. The notes will price on Aug. 12 and settle on Aug. 17. The Cusip number is 90268B715.

RBC plans to price growth securities tied to S&P 500 via Wells FargoBy Marisa Wong Madison, Wis., Aug. 9 – Royal Bank of Canada plans to price 0% growth securities with capped upside due Nov. 1, 2012 linked to the S&P 500 index,

according to a 424B2 filing with the Securities and Exchange Commission. The payout at maturity will be par plus triple any index gain, subject to a maximum return of 11% to 15%. The exact cap will

be set at pricing. Investors will share in losses. The securities (Cusip: 78008TMX9) will price in August and settle in September. Wells Fargo Securities, LLC is the agent.

RBC to price Capped Leveraged Index Return Notes linked to S&P 500By Angela McDaniels Tacoma, Wash., Aug. 9 – Royal Bank of Canada plans to price 0% Capped Leveraged Index Return Notes due August 2013 linked to the S&P 500 index, according to an FWP filing with the

Securities and Exchange Commission. The payout at maturity will be par of $10 plus double any increase in the index, subject to a maximum return of 16% to 20% that will be set at pricing. Investors will receive par if the index declines by

10% or less and will lose 1% for every 1% that it declines beyond 10%. The notes are expected to price and settle in August. Bank of America Merrill Lynch is the agent.

JPMorgan plans four-year 90% protected capped notes on SPDR Gold trustBy Susanna Moon Chicago, Aug. 9 – JPMorgan Chase & Co. plans to price capped notes due Aug. 14, 2015 linked to the SPDR Gold trust, according to an FWP filing with the Securities and Exchange Commission. The payout at maturity will be par plus any fund gain, up to a maximum return of at least $1,350 per $1,000 principal amount.

The exact cap will be set at pricing Investors will be exposed to losses, with a minimum payout of 90% of par. J.P. Morgan Securities LLC will be the agent. The notes will price on Aug. 11 and settle on Aug. 16. The Cusip is 48125XK47.

UBS plans trigger phoenix autocallable securities linked to 3M sharesBy Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch plans to price trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to 3M Co. shares, according to an FWP filing with the Securities and Exchange Commission. If 3M stock closes at or above the trigger price – 75% of the initial share price

– on a quarterly observation date, the issuer will pay a contingent coupon of 8.15% to 12.15% per year for that quarter. The exact rate will be set at pricing. If the share price closes at or above the initial price on any observation date, the notes will be called at par of $10 plus the contingent coupon. If the notes are not called and 3M

shares finish at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters. The notes will price on Aug. 12 and settle on Aug. 17. The Cusip number is 90268B723.



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Barclays plans capped market plus notes linked to krone via JPMorganBy Susanna Moon Chicago, Aug. 9 – Barclays Bank plc plans to price 0% capped market plus notes due Feb. 16, 2012 linked to the performance of the Norwegian krone relative to the dollar, according to an FWP filing with the Securities and Exchange Commission. If the krone gains against the dollar, the payout at maturity will be par plus the currency return, subject to a minimum return of

7.75% and a maximum return of 8%. Investors will receive par if the currency falls by up to 10% and will be exposed to 100% of the loss from the initial level if the currency falls by more than 10%. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents. The notes will price on Aug. 12 and settle on Aug. 17. The Cusip number is 06738KRU7.

Barclays to price return enhanced notes linked to BRIC currenciesBy Jennifer Chiou New York, Aug. 9 – Barclays Bank plc plans to price 0% return enhanced notes due Feb. 19, 2013 linked to the performance of a basket of currencies relative to the dollar, according to an FWP with the Securities and Exchange Commission.

The equally weighted basket includes the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi. If the basket return is greater than zero, the payout at maturity will be par plus 138% of the basket return. The exact upside leverage factor will be set at pricing. Investors will share in losses of up to

5% and will receive at least 95% of par. The notes (Cusip: 06738KRT0) are expected to price on Aug. 12 and settle on Aug. 17. Barclays Capital Inc. is the underwriter with JPMorgan Chase Bank, NA and JPMorgan Securities LLC as placement agents.

Citi plans 15-year range accrual notes linked to Russell 2000, LiborBy Susanna Moon Chicago, Aug. 9 – Citigroup Funding Inc. plans to price callable range accrual notes due Aug. 26, 2026 linked to the Russell 2000 index and Libor, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 8% for the first year. After that, it will accrue at 8% for each day that Libor is 6.5% or less and the Russell 2000 closes at or above the trigger, which will be 72% of the initial level. Interest is payable quarterly. The payout at maturity will be par.

The notes will be callable at par on any interest payment date beginning Aug. 26, 2012. Citigroup Global Markets Inc. is the underwriter. The notes will price on Aug. 23. The Cusip number is 1730T0NJ4.

Goldman plans buffered basket-linked notes on S&P 500, MSCI EAFEBy Jennifer Chiou New York, Aug. 9 – Goldman Sachs Group, Inc. plans to price 0% buffered basket-linked notes tied to the S&P 500 index with a 67% weight and the MSCI EAFE index with a 33% weight, according to a 424B2

filing with the Securities and Exchange Commission. The maturity is expected to be between 24 and 28 months after issue. The payout at maturity will be par plus any basket gain, up to a to a maximum settlement amount of $1,255 to

$1,300 per $1,000 principal amount. Investors will receive par if the basket falls by up to 15% and will lose 1% for every 1% decline beyond 15%. The exact deal terms will be set at pricing. Goldman Sachs & Co. is the agent.



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JPMorgan to price capped index knock-out notes tied to S&P 500 indexBy Jennifer Chiou New York, Aug. 9 – JPMorgan Chase & Co. plans to price 0% capped index knock-out notes due Aug. 29, 2012 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission. A knock-out event occurs if the index falls by more than 20% during the life of the notes. If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.

If a knock-out event does not occur, the payout will be par plus the greater of the index return and a contingent minimum return of at least 8.75%. In either case, the payout is subject to a maximum return of at least 20%. The exact contingent minimum return and cap will be fixed at pricing. The notes (Cusip: 48125XH74) are expected to price on Aug. 12 and settle on Aug. 17. J.P. Morgan Securities LLC is the agent.

Goldman plans callable step-up notes due 2029 with 5% initial rateBy Marisa Wong Madison, Wis., Aug. 9 – Goldman Sachs Group, Inc. plans to price callable step-up fixed-rate notes due August 2029, according to a 424B2 filing with the Securities and Exchange Commission. The coupon will be 5% for the first eight years. It will step up to 6% in August 2019, to 7.125% in August 2024 and to 8% in

August 2027. Interest will be payable semiannually. The payout at maturity will be par. The notes will be callable at par on any quarterly redemption date beginning in February 2012. Goldman Sachs & Co. is the underwriter. The notes will settle in August. The Cusip is 38143UXT3.

JPMorgan plans 9% autocallable yield notes on Russell, metals fundBy Toni Weeks San Diego, Aug. 9 – JPMorgan Chase & Co. plans to price 9% annualized autocallable yield notes due Feb. 15, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission. Interest is payable monthly. The notes will be called automatically at par plus accrued interest if both the index and the fund close above their initial levels on Nov. 9.

A trigger event will occur if either the index or the fund falls below the trigger level, 65% of the initial level, on any trading day. If a trigger event does not occur, investors will receive par at maturity. If a trigger event occurs and the return of the least-performing underlying is positive, investors will receive par. If a trigger event occurs and the return of the least-performing underlying is negative, investors will share in those losses. The notes (Cusip: 48125XG67) will price Aug. 10 and settle Aug. 15. J.P. Morgan Securities LLC will be the agent.

JPMorgan plans capped daily observation knock-out notes tied to AppleBy Jennifer Chiou New York, Aug. 9 – JPMorgan Chase & Co. plans to price 0% capped daily observation knock-out notes due Aug. 29, 2012 linked to the common stock of Apple Inc., according to an FWP with the Securities and Exchange Commission. If the price of Apple stock falls by more than 25% from the initial share price during the life of the notes, the payout at maturity will be par plus the stock return, which could be positive or negative.

Otherwise, the payout will be par plus the greater of the stock return and a contingent minimum return of at least 15%. In either case, the payout will be subject to a maximum return of at least 20%. The exact minimum and maximum returns will be set at pricing. The notes (Cusip: 48125XH90) will price on Aug. 12 and settle on Aug. 17. J.P. Morgan Securities LLC is the agent.



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JPMorgan plans two-year knock-out buffered equity notes on S&P 500By Susanna Moon Chicago, Aug. 9 – JPMorgan Chase & Co. plans to price 0% knock-out buffered equity notes due Feb. 15, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission. A knock-out event will occur if the

index ever falls by more than 30.5% during the life of the notes. If the index gains, the payout at maturity will be par plus the gain. If the index finishes at or below the initial level and a knock-out event never occurs, the payout will be par. If the index finishes at or below the

initial level and a knock-out event does occur, investors will lose 1% for each 1% decline beyond the initial level. J.P. Morgan Securities LLC is the agent. The notes will price on April 12 and settle on Aug. 17. The Cusip is 48125XH82.

Deutsche now to price buffered return optimization notes linked to Brent crude on Aug. 19By Jennifer Chiou New York, Aug. 9 – Deutsche Bank AG, London Branch plans to price the previously announced offering of buffered return optimization securities due Feb. 20, 2013 linked to Brent crude futures contracts on Aug. 19, a week later than the originally anticipated pricing date, according to an FWP with the Securities and Exchange Commission. UBS Financial Services Inc. and Deutsche Bank Securities Inc.

are the agents. The payout at maturity will still be par of $10 plus 1.5 times any gain in the price of brent crude oil, up to a maximum return of 18% to 24%. The exact cap will be set at pricing. Investors will receive par if the price of brent crude falls by up to 10% and will be exposed to any losses beyond 10%. The notes (Cusip: 25154W324) are expected to settle on Aug. 24.

Goldman Sachs plans index-linked trigger notes tied to S&P 500 indexBy Jennifer Chiou New York, Aug. 9 – Goldman Sachs Group, Inc. plans to price 0% index-linked trigger notes due 18 months after issue tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A trigger event occurs if the index’s closing level falls by more than 40% during the life of the notes. If a trigger event occurs, the payout at maturity will be par plus the index return, which could be positive or negative. If a trigger event does not occur, the payout

will be par plus the greater of the index return and the 13.3% to 14.3% contingent minimum return. In either case, the return for the notes (Cusip: 38143UXU0) is capped at 13.3% to 14.3%. Exact terms are to be set at pricing. Goldman Sachs & Co. is the agent.

Goldman to price leveraged buffered index-linked notes on S&P 500By Jennifer Chiou New York, Aug. 9 – Goldman Sachs Group, Inc. plans to price 0% leveraged buffered index-linked notes tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. The maturity is expected to be between

18 and 21 months after issue. If the index return is positive, the payout at maturity will be par plus 300% of the index gain, subject to a maximum return that is expected to be between $1,172.50 and $1,202.50 per note. Investors will receive par if the index

falls by up to 10% and will share in losses at a rate of 1.1111% per 1% drop beyond 10%. The exact deal terms will be set at pricing. Goldman, Sachs & Co. is the underwriter.



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RBC plans autocallable access notes tied to SPDR S&P Metals & MiningBy Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada plans to price autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the SPDR S&P Metals & Mining exchange-traded fund via Wells Fargo Securities, LLC, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be automatically called at par plus a premium if the fund’s closing share price is greater than the initial share price on any of the call dates. The premium is 8% to 10% for the

first call date of Sept. 4, 2012, 12% to 15% for the second call date of March 1, 2013 and 16% to 20% for the final call date of Aug. 26, 2013. The exact call premium will be determined at pricing. If the notes are not called and the fund’s final share price is at least 90% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the fund declines beyond 10%. The notes (Cusip: 78008TMP6) are expected to price in August and settle in September.

Morgan Stanley plans 0% buffered PLUS linked to index, fund basketBy Susanna Moon Chicago, Aug. 9 – Morgan Stanley plans to price 0% buffered Performance Leveraged Upside Securities due February 2013 linked to an index and two exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission. The basket consists of the S&P 500 index with a 60% weight, the iShares MSCI EAFE index fund with a 25% weight and the iShares MSCI Emerging Markets index fund with a 15%

weight. The payout at maturity will be par plus double any basket gain, up to a maximum return of $1,175 to $1,195 per $1,000 principal amount. The exact cap will be set at pricing. Investors will receive par if the basket falls by up to 10% and will be exposed to any decline beyond 10%. Morgan Stanley & Co. Inc. is the agent. The notes will price and settle in August. The Cusip number is 617482XA7.

Morgan Stanley plans to price knock-out notes linked to S&P 500By Jennifer Chiou New York, Aug. 9 – Morgan Stanley plans to price 0% knock-out notes due Feb. 15, 2013 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission. If the index falls by more than 25% from its initial level during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the

payout will be par plus the index return, subject to a minimum return of at least 5.25%. The exact terms will be set at pricing. The notes (Cusip: 617482XF6) are to price on Aug. 12 and settle on Aug. 19. Morgan Stanley & Co. LLC is the underwriter with J.P. Morgan Securities LLC as placement agent.

RBC plans autocallable access notes tied to Energy Select Sector SPDRBy Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada plans to price autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the Energy Select Sector SPDR fund via Wells Fargo Securities, LLC, according to a 424B2 filing with the Securities and Exchange Commission. The securities will be automatically called at par plus a premium if the fund’s closing share price is greater than the initial share price on any of the call dates. The premium is 7% to 9% for the first call

date of Sept. 4, 2012, 10.5% to 13.5% for the second call date of March 1, 2013 and 14% to 18% for the final call date of Aug. 26, 2013. The exact call premium will be determined at pricing. If the securities are not called and the fund’s final share price is at least 90% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the fund declines beyond 10%. The securities (Cusip: 78008TMR2) are expected to price in August and settle in September.



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Bank of America to price 15-year dual range accrual notes linked to six-month Libor, S&P 500 indexBy Toni Weeks San Diego, Aug. 9 – Bank of America Corp. plans to price callable dual range accrual notes due Aug. 24, 2026 linked to six-month Libor and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 8% for the first year. After that, it will be 8% per year multiplied by the proportion of days on which six-month Libor is 6.5% or less and the S&P 500 is at or above 950. Interest will be payable quarterly. The payout at maturity will be par of

$10. The notes will be callable at par on any interest payment date after one year. The notes (Cusip: 06048WHG8) are expected to settle Aug. 24. Bank of America Merrill Lynch is the agent.

Credit Suisse plans return enhanced notes tied to S&P 500 via JPMorganBy Susanna Moon Chicago, Aug. 9 – Credit Suisse AG, Nassau Branch plans to price 0% return enhanced notes due Aug. 29, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. The payout at maturity will be par plus double any index gain,

up to a maximum return of 23.5%. Investors will share in any losses. J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents. The notes will price on Aug. 12 and settle on Aug. 17. The Cusip is 22546TDF5.

Morgan Stanley plans 0% PLUS linked to iShares MSCI EAFE fundBy Jennifer Chiou New York, Aug. 9 – Morgan Stanley plans to price 0% buffered Performance Leveraged Upside Securities due October 2012 linked to the iShares MSCI EAFE

index fund, according to an FWP with the Securities and Exchange Commission. The payout at maturity will be par of $10 plus 300% of any fund gain, capped at 15% to 19%.

Investors will share in losses. The securities (Cusip: 61760E267) will price in August and settle in September. Morgan Stanley & Co. LLC is the agent.



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New Issue:FHLB upsizes to $160 million 10-year callable step up notes at 2.5%initial rateNew York, Aug. 9 - Federal Home

Loan Banks upsized to $160 million its saleof 2.5% initial rate 10-year callable step upnotes at par, according to the agency s web

site.The bonds will mature on Aug. 25,

2021 and have a Bermuda call.FHLB originally priced $150 million of

the issue.

Incapital is the manager.

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $160 millionMaturity: Aug. 25, 2021Coupon: 2.5% initial ratePrice: Par

Call: Bermuda callPricing date: Aug. 3Settlement date: Aug. 25Underwriter: IncapitalCusip: 313375A49

New Issue:FHLB upsizes to $65 million five-year callable step up notes at 1%initial rateNew York, Aug. 9 - Federal Home

Loan Banks upsized to $65 million its saleof 1% initial rate five-year callable step upnotes at par, according to the agency s web


2016 and have a Canary call.FHLB originally priced $55 million of

the issue.

Morgan Keegan and Vining Sparks are

the managers.

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $65 millionMaturity: Aug. 25, 2016Coupon: 1% initial ratePrice: Par

Call: Canary callPricing date: Aug. 3Settlement date: Aug. 25Underwriters: Morgan Keegan and Vining SparksCusip: 3133756W2



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New Issue:FHLB prices $35 million five-year callable step up notes at 1% initialrateNew York, Aug. 9 - Federal Home

Loan Banks priced $35 million of 1%initial rate five-year callable step up notes at

par, according to the agency s web site.The bonds will mature on Sept. 7, 2016

and have a Bermuda call.


Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $35 millionMaturity: Sept. 7, 2016Coupon: 1% initial ratePrice: Par

Call: Bermuda callPricing date: Aug. 8Settlement date: Sept. 7Underwriter: IncapitalCusip: 313375BC0

New Issue:FHLB upsizes to $25 million 3.25-year callable step up notes at 0.5%initial rateNew York, Aug. 9 - Federal Home

Loan Banks upsized to $25 million its saleof 0.5% initial rate 3.25-year callable stepup notes at par, according to the agency s

web site.The bonds will mature on Nov. 25,


the issue.


Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $25 millionMaturity: Nov. 25, 2014Coupon: 0.5% initial ratePrice: Par

Call: Bermuda callPricing date: Aug. 3Settlement date: Aug. 25Underwriter: IncapitalCusip: 3133756U6



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New Issue:FHLB upsizes to $25 million 15-year callable step up notes at 3%initial rateNew York, Aug. 9 - Federal Home

Loan Banks upsized to $25 million its saleof 3% initial rate 15-year callable step upnotes at par, according to the agency s web



the issue.



Call: Bermuda callPricing date: Aug. 8Settlement date: Aug. 25Underwriter: IncapitalCusip: 313375B97

New Issue:Freddie Mac prices $25 million five-year non-call 0.25-year step upnotes at 1% initial rateNew York, Aug. 9 - Freddie Mac price-

d $25 million of 1% initial rate five-yearnon-call 0.25-year step up medium-termnotes at par, according to the agency s web


2016 and have a Bermuda call beginningNov. 25.

First Tennessee Bank NA Memphis is

the manager.

Issuer: Freddie MacIssue: Step up medium-term notesAmount: $25 millionMaturity: Aug. 25, 2016Coupon: 1% from Aug. 25, 3.25% from Aug. 25,

2013

Price: ParCall: Bermuda call beginning Nov. 25Pricing date: Aug. 8Settlement date: Aug. 25Underwriter: First Tennessee Bank NA MemphisCusip: 3134G2XG2



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New Issue:Freddie Mac prices $25 million five-year non-call 0.5-year step upnotes at 1.5% initial rateNew York, Aug. 9 - Freddie Mac price-

d $25 million of 1.5% initial rate five-yearnon-call 0.5-year step up medium-term notes

at par, according to the agency s web site.The bonds will mature on Aug. 24,

2016 and have a Bermuda call beginning

Feb. 24, 2012.

Stifel Nicolaus is the manager.

Issuer: Freddie MacIssue: Step up medium-term notesAmount: $25 millionMaturity: Aug. 24, 2016Coupon: 1.5% from Aug. 24, 1.75% from Aug.

24, 2013, 2% from Aug. 24, 2014,2.375% from Aug. 24, 2015, 3.25%

from Feb. 24, 2016Price: ParCall: Bermuda call beginning Feb. 24, 2012Pricing date: Aug. 8Settlement date: Aug. 24Underwriter: Stifel NicolausCusip: 3134G2XK3

New Issue:FHLB prices $15 million 12-year callable step up notes at 2% initialrateNew York, Aug. 9 - Federal Home

Loan Banks priced $15 million of 2%initial rate 12-year callable step up notes at

par, according to the agency s web site.The bonds will mature on Aug. 25,

2023 and have a Canary call.

Mesirow is the manager.


Call: Canary callPricing date: Aug. 8Settlement date: Aug. 25Underwriter: MesirowCusip: 313375BB2

New Issue:FHLB prices $15 million 8.25-year callable step up notes at 2% initialrateNew York, Aug. 9 - Federal Home

Loan Banks priced $15 million of 2%initial rate 8.25-year callable step up notes at

par, according to the agency s web site.The bonds will mature on Nov. 25,

2019 and have a Bermuda call.


Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $15 millionMaturity: Nov. 25, 2019Coupon: 2% initial ratePrice: Par

Call: Bermuda callPricing date: Aug. 9Settlement date: Aug. 25Underwriter: IncapitalCusip: 313375BF3



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New Issue:FHLB prices $15 million 10-year callable step up notes at 1.5% initialrateNew York, Aug. 9 - Federal Home

Loan Banks priced $15 million of 1.5%initial rate 10-year callable step up notes at

par, according to the agency s web site.The bonds will mature on Aug. 23,

2021 and have a Bermuda call.

First Tennessee is the manager.

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $15 millionMaturity: Aug. 23, 2021Coupon: 1.5% initial ratePrice: Par

Call: Bermuda callPricing date: Aug. 9Settlement date: Aug. 23Underwriter: First TennesseeCusip: 313375BL0

New Issue:UBS prices $150,000 trigger phoenix autocallables tied to Dow Chemical

By Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch priced $150,000 of trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to Dow Chemical Co. shares, according to a 424B2 filing with the Securities and Exchange Commission. If Dow Chemical stock closes at or above the trigger price – 60% of the initial share price – on any monthly observation date, the issuer will pay a contingent coupon of 19.85%. If the share price is greater than or equal to the initial price on

any of the observation dates, the notes will be called at par of $10 plus the contingent coupon. The payout at maturity will be par plus the contingent coupon if the notes are not called and the Dow Chemical share price finishes at or above the trigger price. If the shares finish below the trigger, investors will be exposed to the decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable

optimization securitiesUnderlying stock: Dow Chemical Co. (NYSE: DOW)Amount: $150,000Maturity: Aug. 16, 2012Coupon: 19.85%, payable monthly, if stock

closes at or above trigger price on observation date for that month

Price: Par of $10.00Payout at maturity: If notes are not called and shares

finish at or above trigger price, par plus contingent coupon; otherwise,

full exposure to decline in share priceInitial price: $29.36Trigger price: $17.62, or 60% of initial priceCall option: At par plus contingent coupon if share

price at or above initial price on any monthly observation date

Pricing date: Aug. 9Settlement date: Aug. 12Underwriters: UBS Financial Services Inc. and UBS

Investment BankFees: 1.25%Cusip: 90268B764



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New Issue:Barclays prices $90,000 more callable step-up notes with 4.25% initial rate

By Jennifer Chiou New York, Aug. 9 – Barclays Bank plc priced another $90,000 of step-up fixed-rate callable notes due Aug. 11, 2026 to upsize the amount to about $12.1 million, up from the original $1 million, according

to a 424B2 filing with the Securities and Exchange Commission. The coupon is 4.25% for the first six years. It will step up to 5.25% on Aug. 11, 2017, to 6.25% on Aug. 11, 2021 and to 8.25% on Aug. 11, 2024. Interest is payable

semiannually. The payout at maturity will be par. After one year, the notesa will be callable at par on any interest payment date. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Step-up fixed-rate callable notesAmount: $12,095,000, up from original $1

millionMaturity: Aug. 11, 2026Coupon: 4.25% initially, steps up to 5.25% on

Aug. 11, 2017, to 6.25% on Aug. 11, 2021 and to 8.25% on Aug. 11, 2024; payable semiannually

Price: Variable

Payout at maturity: ParCall option: At par on interest payment dates

starting June 15, 2012Pricing date: July 11 for $1 million; Aug. 8 for

$11,005,000 and $90,000Settlement date: Aug. 11Agent: Barclays Capital Inc.Fees: 3%Cusip: 06738KPG0

New Issue:Barclays prices $54.76 million notes linked to S&P 500 via JPMorgan

By Susanna Moon Chicago, Aug. 9 – Barclays Bank plc priced $54.76 million of 0% notes due Feb. 8, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index’s closing level remains at or above the barrier level – 75% of the initial level – during the life of the notes, the payout

at maturity will be par plus the greater of the index return and a contingent minimum return of 5%. Otherwise, the payout will be par plus the index return with exposure to losses. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.

Issuer: Barclays Bank plcIssue: NotesUnderlying index: S&P 500Amount: $54,761,000Maturity: Feb. 8, 2013Coupon: 0%Price: ParPayout at maturity: If index never dips below 75% trigger,

par plus greater of index return and

5%; otherwise, par plus index return with exposure to losses

Initial level: 1,199.38Pricing date: Aug. 5Settlement date: Aug. 10Agents: JPMorgan Chase Bank, NA and J.P.

Morgan Securities LLCFees: 1.25%Cusip: 06738KRS2



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New Issue:Barclays prices $308,000 0% Barclays Prosper ETF notes due 2016

By Angela McDaniels Tacoma, Wash., Aug. 9 – Barclays Bank plc priced $308,000 of 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due Sept. 8, 2016 linked to the Barclays Prosper ETF portfolio, according to a 424B2 filing with the Securities and Exchange Commission. The portfolio tracks the value of a notional investment in (a) index-linked cash deposits and (b) a basket of ETFs and index-linked cash deposits representing the notional amount of cash distributed as dividends by those ETFs during the term of the notes, net of hypothetical withholding tax. The ETF basket includes the iShares Russell 1000 index fund, the iShares S&P MidCap 400 index fund, the iShares Russell

2000 index fund, the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund, the SPDR Dow Jones REIT ETF, the PowerShares DB Commodity index tracking fund and the iShares Barclays Aggregate bond fund. The allocation will vary according to a dynamic allocation mechanism, and the goal is to maximize the portfolio’s exposure to the performance assets while maintaining the value of the portfolio at or above a minimum protection level. The portfolio is divided into units, with each unit representing the value and performance of a single security. On the pricing date, the value of each unit will be equal to the face amount of each security, or $1,000. This value is recalculated each day based on the performance of the underlying ETF shares and the cash component.

On the pricing date, 80% of the value of each unit was allocated to the performance assets and 20% was allocated to the cash assets. The payout at maturity will be the greater of the unit value on Sept. 5, 2016 and the minimum protection level on that date. The minimum protection level on any day is equal to 85% of the highest unit value recorded up to that point. An investor fee will be deducted from the unit value each day. If the unit value on the immediately preceding day is less than or equal to the minimum protection level, the investor fee rate will be the lesser of (a) 1.75% per year and (b) the Federal Funds rate minus 15 basis points. Otherwise, it will be 1.75% per year. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Barclays Perpetual Rolling Open

Structure Protecting Equity Returns exchange-traded fund notes

Underlying: Barclays Prosper ETF portfolio, which includes the iShares Russell 1000 index fund, the iShares S&P MidCap 400 index fund, the iShares Russell 2000 index fund, the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund, the SPDR Dow Jones REIT ETF, the PowerShares DB Commodity index tracking fund and the iShares Barclays Aggregate bond fund

Amount: $308,000Maturity: Sept. 8, 2016

Coupon: 0%Price: Variable pricesPayout at maturity: Greater of unit value on July 26, 2016

and minimum protection level, which is 85% of highest unit value recorded up to that point

Unit value: Initially $1,000; recalculated each day based on performance of underlying ETF shares and index-linked cash deposits; investor fee of up to 1.75% per year deducted from unit value daily

Pricing date: Aug. 5Settlement date: Sept. 8Agent: Barclays Capital Inc.Fees: NoneCusip: 06738KRA1



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New Issue:Credit Suisse prices $20 million more VelocityShares Daily 2x VIX Short-Term ETNs

By Jennifer Chiou New York, Aug. 9 – Credit Suisse AG, Nassau Branch priced an additional $20 million principal amount of 0% VelocityShares Daily 2x VIX Short-Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission. The notes priced at 34.66 for proceeds of $6,932,000. In November 2010, the issuer said it planned to issue up to $100 million of the notes. It increased this amount to $200 million on March 30, to $300 million on April 8, to $500 million on May 31 and to $700 million on June 27. Since inception, it has priced $812 million principal amount of the notes at

prices ranging from 15.76 to 102.88. The index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve. The closing indicative value on the pricing date was $100. On each day after that, the closing indicative value equals (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee. The closing indicative value will never be less than zero. The daily ETN performance will equal (a) one plus (b) the daily accrual plus (c) (i) the index return on that day times (ii) two. The daily accrual is the rate of interest that could be earned on a notional capital

reinvestment at the 91-day U.S. Treasury rate. The daily investor fee will equal the closing indicative value on the preceding day times the daily ETN performance times 0.0095 divided by 365. The payout at maturity will be the closing indicative value on Nov. 29, 2030. The notes are putable at a minimum of 25,000 notes. Holders will receive a cash payment per ETN equal to the greater of zero and the closing indicative value on the early redemption valuation date – three business days before the early redemption date – minus an early redemption charge of 0.05%. The notes are listed on the NYSE Arca under the ticker symbol “TVIX.” Credit Suisse Securities (USA) LLC is the agent.

Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares Daily 2x VIX Short-

Term exchange-traded notesUnderlying index: S&P 500 VIX Short-Term FuturesAmount: $812 million, increased from original

$15 millionMaturity: Dec. 4, 2030Coupon: 0%Price: Par of $100 for original $15 million;

34.66 for add-onPayout at maturity: Closing indicative value on Nov.

29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily

ETN performance minus (b) the daily investor fee; floor of zero; daily ETN performance equals one plus the daily accrual plus two times the index return

Initial value $100Put option: At minimum of 25,000 notesPricing dates: Nov. 29, 2010 for original $15

million; Aug. 5 for latest add-onSettlement dates: Dec. 2, 2011 for original issue; Aug.

10 for latest add-onUnderwriter: Credit Suisse Securities (USA) LLCListing: NYSE Arca: TVIXCusip: 22542D761



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New Issue:Credit Suisse prices $2.5 million more VelocityShares ETNs on S&P 500 VIX Short-Term

By Jennifer Chiou New York, Aug. 9 – Credit Suisse AG, Nassau Branch priced an additional $2.5 million principal amount of 0% VelocityShares VIX short-term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission. The notes priced at 66.06 for proceeds of $1,651,500. The company plans to issue up to $100 million of the notes from time to time. So far, it has priced $24.5 million. The index is designed to provide investors with exposure to one or more maturities of future contracts on the CBOE

Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve. The payout at maturity will be the closing indicative value on Nov. 29, 2030. The closing indicative value on the initial pricing date was $100. On each day after that, the closing indicative value equals (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee. The closing indicative value will never be less than zero. The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return on that day. The daily accrual is the rate of interest that could be earned

on a notional capital reinvestment at the 91-day U.S. Treasury rate. The daily investor fee equals the closing indicative value on the preceding day times the daily ETN performance times 0.0095 divided by 365. The notes are putable at a minimum of 25,000 notes. Holders will receive a cash payment per ETN equal to the greater of zero and the closing indicative value on the early redemption valuation date – three business days before the early redemption date – minus an early redemption charge of 0.05%. The notes are listed on the NYSE Arca under the symbol “VIIX.” Credit Suisse Securities (USA) LLC is the agent.

Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares VIX short-term

exchange-traded notesUnderlying index: S&P 500 VIX Short-Term FuturesAmount: $24.5 million, increased from original

$5 millionMaturity: Dec. 4, 2030Coupon: 0%Price: Par for $5 million, 101.82 for $2

million, 69.74 for $2.5 million, 50.51 for $5 million, 48.44 for $5 million, 50.68 for $2.5 million; 66.06 for $2.5 million

Payout at maturity: Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily

ETN performance minus (b) the daily investor fee; floor of zero

Initial value: $100Put option: At minimum of 25,000 notesPricing dates: Nov. 29 for $5 million, Dec. 1 for

$2 million, Jan. 21 for $2.5 million, May 12 for $5 million, July 19 for $5 million, July 29 for $2.5 million; Aug. 5 for $2.5 million

Settlement dates: Dec. 2 for $5 million, Dec. 6 for $2 million, Jan. 26 for $2.5 million, May 17 for $5 million, July 22 for $5 million, Aug. 3 for $2.5 million; Aug. 10 for $2.5 million

Underwriter: Credit Suisse Securities (USA) LLCListing: NYSE Arca: VIIXCusip: 22542D811



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New Issue:Credit Suisse prices $30 million more VelocityShares Daily Inverse VIX Short Term ETNs

By Jennifer Chiou New York, Aug. 9 – Credit Suisse AG, Nassau Branch priced an additional $30 million of 0% VelocityShares Daily Inverse VIX Short Term exchange-traded notes due Dec. 4, 2030 linked to the S&P 500 VIX Short-Term Futures index, according to a 424B2 filing with the Securities and Exchange Commission. The notes priced at 116.2 for proceeds of $34.86 million. In November 2010, the issuer said it planned to issue up to $100 million of the notes. That amount was increased to $200 million on March 30. The cap was again changed on June 27, when the issuer increased the maximum principal amount to $400 million and effected a 10-for-1 split of the notes, which now have a stated principal amount of $10. The issuer has priced a total of $281.25 million principal

amount of the notes at prices ranging from par to 181.7. The index is designed to provide investors with exposure to one or more maturities of futures contracts on the CBOE Volatility index, which reflect implied volatility of the S&P 500 index at various points along the volatility forward curve. The closing indicative value on the inception date was $10 (for notes priced after June 27). On each day after the inception date, the closing indicative value equals (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily ETN performance minus (b) the daily investor fee. The closing indicative value will never be less than zero. The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) (i) the index return on that day times (ii) negative one. The daily accrual is the rate of interest

that could be earned on a notional capital reinvestment at the 91-day U.S. Treasury rate. The daily investor fee equals the closing indicative value on the preceding day times the daily ETN performance times 0.0095 divided by 365. The payout at maturity will be the closing indicative value on Nov. 29, 2030. The notes are putable at a minimum of 25,000 notes. Holders will receive a cash payment per ETN equal to the greater of zero and the closing indicative value on the early redemption valuation date – three business days before the early redemption date – minus an early redemption charge of 0.05%. The notes are listed on the NYSE Arca under the ticker symbol “XIV.” Credit Suisse Securities (USA) LLC is the agent.

Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares Daily Inverse VIX

Short Term exchange-traded notesUnderlying index: S&P 500 VIX Short-Term FuturesAmount: $281.25 million, increased from

original $5 millionMaturity: Dec. 4, 2030Coupon: 0%Price: Par for original $5 million; 116.2 for

latest add-onPayout at maturity: Closing indicative value on Nov.

29, 2030 equal to (a) (i) the closing indicative value on the immediately

preceding day times (ii) the daily ETN performance minus (b) the daily investor fee; floor of zero

Initial value: $10Put option: At minimum of 25,000 notesPricing dates: Nov. 29, 2010 for original $5 million;

Aug. 5 for latest add-onSettlement dates: Dec. 2, 2010 for original $5 million;

Aug. 10 for latest add-onUnderwriter: Credit Suisse Securities (USA) LLCFees: NoneListing: NYSE Arca: XIVCusip: 22542D795



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New Issue:JPMorgan prices $3.57 mln callable step-up notes with 2% initial rate

By Angela McDaniels Tacoma, Wash., Aug. 9 – JPMorgan Chase & Co. priced $3.57 million of callable fixed-rate step-up notes due Feb. 10, 2017, according to a 424B2 filing with

the Securities and Exchange Commission. The interest rate is 2% in year one, 2.25% in year two, 2.5% in year three, 3% in year four, 3.5% in year five and 4% in year six. Interest is payable semiannually.

The payout at maturity will be par. Beginning Aug. 10, 2012, the notes are callable at par on any interest payment date. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Callable fixed-rate step-up notesAmount: $3.57 millionMaturity: Feb. 10, 2017Coupon: 2% in year one, 2.25% in year two,

2.5% in year three, 3% in year four, 3.5% in year five and 4% in year six; payable semiannually

Price: Variable prices

Payout at maturity: ParCall option: At par on any interest payment date

from Aug. 10, 2012 onwardPricing date: Aug. 5Settlement date: Aug. 10Agent: J.P. Morgan Securities LLCFees: 0.975%, including up to 0.463% for

selling concessionsCusip: 48125XC38

New Issue:Barclays prices $3 million more five-year capped fixed-to-floaters

By Jennifer Chiou New York, Aug. 9 – Barclays Bank plc priced another $3 million of capped fixed-to-floating notes due Aug. 12, 2016, upsizing its issue to $4 million, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate for the first year is 4%. Beginning on Aug. 12, 2012, the interest rate will be Libor plus 100 basis points, subject to a maximum rate of 6.5%. Interest is payable quarterly. The payout at maturity will be par. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Capped fixed-to-floating notesAmount: $4 million (upsized from $1 million)Maturity: Aug. 12, 2016Coupon: Initially 4%; beginning Aug. 12, 2012,

Libor plus 100 bps, cap of 6.5%; payable quarterly

Price: Variable

Payout at maturity: ParPricing date: July 28Upsize date: Aug. 9Settlement date: Aug. 12Agent: Barclays Capital Inc.Fees: 1%Cusip: 06738KPR6



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New Issue:Barclays prices $5 million five-year capped fixed-to-floating notes

By Angela McDaniels Tacoma, Wash., Aug. 9 – Barclays Bank plc priced $5 million of capped fixed-to-floating-rate notes due Aug. 26, 2016, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate is initially 3.25%. Beginning Aug. 26, 2013, the interest rate will be Libor plus 120 basis points, up to a maximum rate of 6.5% per year. Interest is payable quarterly. The payout at maturity will be par. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Capped fixed-to-floating-rate notesAmount: $5 millionMaturity: Aug. 26, 2016Coupon: Initially 3.25%; beginning Aug. 26,

2013, Libor plus 120 bps, subject to cap of 6.5% per year; payable quarterly

Price: Variable pricesPayout at maturity: ParPricing date: Aug. 9Settlement date: Aug. 26Agent: Barclays Capital Inc.Fees: 1%Cusip: 06738KRX1

New Issue:Barclays prices $1.79 million trigger phoenix autocallables on Avon

By Jennifer Chiou New York, Aug. 9 – Barclays Bank plc priced $1.79 million of trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to the common stock of Avon Products, Inc., according to a 424B2 filing with the Securities and Exchange Commission. If the price of Avon stock closes at or

above the trigger price – 80% of the initial share price – on a quarterly observation date, the issuer will pay a contingent coupon of 15.13% per year for that quarter. Otherwise, no coupon will be paid for that quarter. If the share price is greater than or equal to the initial price on any of the four quarterly observation dates, the notes will

be called at par of $10 plus the contingent coupon. If the notes are not called and the Avon share price finishes at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Trigger phoenix autocallable

optimization securitiesUnderlying stock: Avon Products, Inc. (NYSE: AVP)Amount: $1,789,310Maturity: Aug. 9, 2012Coupon: 15.13% per year, payable quarterly,

only if Avon closes at or above trigger price on observation date for that quarter

Price: Par of $10Payout at maturity: If Avon shares finish at or above

trigger price, par plus contingent coupon; otherwise, exposure to losses

Call option: At par plus contingent coupon if shares close at or above initial price on any quarterly observation date

Initial share price: $23.21Trigger price: $18.57, 80% of initial share pricePricing date: Aug. 5Settlement date: Aug. 10Agent: Barclays Capital Inc.Fees: 1.5%Cusip: 06738G530



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New Issue:Barclays prices $15.8 million trigger phoenix autocallables on Caterpillar

By Jennifer Chiou New York, Aug. 9 – Barclays Bank plc priced $15.8 million of trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to the common stock of Caterpillar Inc., according to a 424B2 filing with the Securities and Exchange Commission. If the price of Caterpillar stock closes

at or above the trigger price – 75% of the initial share price – on a quarterly observation date, the issuer will pay a contingent coupon of 18.48% per year for that quarter. Otherwise, no coupon will be paid for that quarter. If the share price is greater than or equal to the initial price on any of the four quarterly observation dates, the notes will

be called at par of $10 plus the contingent coupon. If the notes are not called and the Caterpillar share price finishes at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to the share price decline. Barclays Capital Inc. is the agent.

Issuer: Barclays Bank plcIssue: Trigger phoenix autocallable

optimization securitiesUnderlying stock: Caterpillar Inc. (NYSE: CAT)Amount: $15,803,890Maturity: Aug. 9, 2012Coupon: 18.48% per year, payable quarterly,

only if Caterpillar closes at or above trigger price on observation date for that quarter

Price: Par of $10Payout at maturity: If Caterpillar shares finish at or above

trigger price, par plus contingent coupon; otherwise, exposure to losses

Call option: At par plus contingent coupon if shares close at or above initial price on any quarterly observation date

Initial share price: $90.99Trigger price: $68.24, 75% of initial share pricePricing date: Aug. 5Settlement date: Aug. 10Agent: Barclays Capital Inc.Fees: 1.5%Cusip: 06738G548

New Issue:Citigroup prices $2.19 million Pacers linked to S&P 500 index

By Angela McDaniels Tacoma, Wash., Aug. 9 – Citigroup Funding Inc. priced $2.19 million of 0% Premium Mandatorily Callable Equity-Linked Securities due Aug. 8, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be called at par plus 10.5% per year if the index

closes at or above the initial index level on Aug. 6, 2012, Aug. 5, 2013 or Aug. 5, 2014. If the notes are not called, the payout at maturity will be par if the final index level is at least 80% of the initial level. Otherwise, investors will be exposed to the decline from the initial level. Citigroup Global Markets Inc. is the underwriter.

Issuer: Citigroup Funding Inc.Issue: Premium Mandatorily Callable

Equity-Linked SecuritiesUnderlying index: S&P 500 indexAmount: $2,187,000Maturity: Aug. 8, 2014Coupon: 0%Price: ParPayout at maturity: Par if final index level is at least

80% of initial level; otherwise, par multiplied by quotient of final index

level divided by initial index levelCall: Automatically at par plus 10.5% per

year if index closes at or above initial index level on Aug. 6, 2012, Aug. 5, 2013 or Aug. 5, 2014

Initial index level: 1,199.38Pricing date: Aug. 5Settlement date: Aug. 10Underwriter: Citigroup Global Markets Inc.Fees: 0.5%Cusip: 1730T0MZ9



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New Issue:Credit Suisse sells $14.87 million 13.2% callable yield notes on Russell, two funds

By Toni Weeks San Diego, Aug. 9 – Credit Suisse AG, Nassau Branch priced $14.87 million of 13.2% callable yield notes due Feb. 13, 2012 linked to the Russell 2000 index, the SPDR S&P Metals & Mining exchange-traded fund and the Market Vectors Gold Miners ETF, according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable monthly.

The notes are callable at par on any interest payment date beginning Nov. 14. The payout at maturity will be par unless any component falls to or below its knock-in level – 65% of its initial level – during the life of the notes, in which case investors will receive par plus the return of the worst-performing component, up to a maximum payout of par. Credit Suisse Securities (USA) LLC is the agent.

Issuer: Credit Suisse AG, Nassau BranchIssue: Callable yield notesUnderlying components: Russell 2000 index, SPDR S&P

Metals & Mining ETF and Market Vectors Gold Miners ETF

Amount: $14,865,000Maturity: Feb. 13, 2012Coupon: 13.2%, payable monthlyPrice: ParPayout at maturity: Par, unless any component falls to

or below 65% of its initial level during life of notes, in which case par plus return of worst-performing

component, maximum of parInitial levels: 696.16 for Russell, $55.69 for metals

& mining, $57.72 for gold fundKnock-in levels: 452.504 for Russell, $36.1985 for

metals & mining, $37.518 for gold fund; 65% of initial levels

Call option: At par on any interest payment date beginning Nov. 14

Pricing date: Aug. 9Settlement date: Aug. 12Agent: Credit Suisse Securities (USA) LLCFees: 1.75%Cusip: 22546TDC2

New Issue:Deutsche Bank prices $31.35 million S&P plus tracker notes linked to two indexes

By Toni Weeks San Diego, Aug. 9 – Deutsche Bank AG, London Branch priced $31.35 million of 0% S&P plus tracker notes due Aug. 11, 2014 linked to a basket of indexes that includes the S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald),

according to a 424B2 with the Securities and Exchange Commission. The basket level on any day equals 100 plus the return of the S&P 500 Total Return plus two times the return of the Emerald index. The return of each index is reduced by an adjustment factor, which is a flat 0.9975 for the S&P 500 Total Return and

1% per year for the Emerald index. The payout at maturity will be par plus the basket return, which could be positive or negative. The notes will be called at par plus the basket return if the basket level falls below 40. Deutsche Bank Securities Inc. is the agent.

Issuer: Deutsche Bank AG, London BranchIssue: S&P plus tracker notesUnderlying indexes: S&P 500 Total Return index and

Deutsche Bank Equity Mean Reversion Alpha index (Emerald)

Amount: $31.35 millionMaturity: Aug. 11, 2014Coupon: 0%Price: ParPayout at maturity: Par plus the basket return

Initial levels: 2,039.044 for S&P, 197.04 for Emerald

Call option: At par plus basket return if basket level falls below 40

Pricing date: Aug. 5Settlement date: Aug. 11Agent: Deutsche Bank Securities Inc.Fees: 0.25%Cusip: 2515A1C74



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New Issue:Deutsche Bank prices $10.45 million S&P plus tracker notes linked to two indexes

By Marisa Wong Madison, Wis., Aug. 9 – Deutsche Bank AG, London Branch priced $10.45 million of 0% S&P plus tracker notes due Aug. 11, 2014 linked to a basket of indexes that includes the S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to a 424B2

filing with the Securities and Exchange Commission. The basket level on any day equals 100 plus the return of the S&P 500 Total Return plus triple the return of the Emerald index. The return of each index is reduced by an adjustment factor, which is a flat 0.25% plus 0.1% per year for the S&P 500 Total Return and 1% per year for the Emerald

index. The payout at maturity will be par plus the basket return, which could be positive or negative. The notes will be called at par plus the basket return if the basket level falls below 40. Deutsche Bank Securities Inc. is the agent.

Issuer: Deutsche Bank AG, London BranchIssue: S&P plus tracker notesUnderlying indexes: S&P 500 Total Return index and

the Deutsche Bank Equity Mean Reversion Alpha index (Emerald)

Amount: $10.45 millionMaturity: Aug. 11, 2014Coupon: 0%Price: ParPayout at maturity: Par plus basket returnCall: At par plus basket return if basket

level falls below 40Initial index levels: 2,039.044 for S&P 500 Total Return

and 197.04 for EmeraldBasket level: On any day, 100 plus S&P 500 Total

Return index return on that day and three times Emerald index return; returns reduced by adjustment factor of flat 0.25% and 0.1% per year for S&P 500 Total Return and 1% per year for Emerald

Pricing date: Aug. 5Settlement date: Aug. 11Agent: Deutsche Bank Securities Inc.Fees: 0.25%Cusip: 2515A1C82

New Issue:Goldman prices $2.99 mln leveraged index-linked notes on S&P 500

By Jennifer Chiou New York, Aug. 9 – Goldman Sachs Group, Inc. priced $2.99 million of 0% leveraged index-linked notes due Aug. 22, 2012 linked to the S&P 500 index,

according to a 424B2 filing with the Securities and Exchange Commission. The payout at maturity will be par plus double any index gain, up to the maximum settlement amount of $1,191 per $1,000

principal amount of notes. Investors will be exposed to any losses. Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as placement agent.

Issuer: Goldman Sachs Group, Inc.Issue: Leveraged index-linked notesUnderlying index: S&P 500Amount: $2,993,000Maturity: Aug. 22, 2012Coupon: 0%Price: ParPayout at maturity: Par plus 200% of any index gain,

capped at 19.1%; exposure to losses

Initial index level: 1,199.38Pricing date: Aug. 5Settlement date: Aug. 10Managers: J.P. Morgan Securities LLC

(placement agent), Goldman Sachs & Co. (underwriter)

Fees: 1.1%Cusip: 38143UXL0



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New Issue:Goldman prices $1.65 million trigger notes linked to YUM! Brands

By Jennifer Chiou New York, Aug. 9 – Goldman Sachs Group, Inc. priced $1.65 million of 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of YUM! Brands, Inc., according to a 424B2 filing with the Securities and Exchange Commission. A trigger event occurs if the stock closes below 80% of its

initial price on any day during the life of the notes. If a trigger event occurs, the payout at maturity will be par plus the stock return, whether it is positive or negative. If a trigger event does not occur, the payout will be par plus the greater of the stock return and 5%. Goldman Sachs & Co. is the underwriter with J.P. Morgan Securities LLC as placement agent.

Issuer: Goldman Sachs Group, Inc.Issue: Equity-linked trigger notesUnderlying stock: YUM! Brands, Inc. (NYSE: YUM)Amount: $1.65 millionMaturity: Feb. 8, 2013Coupon: 0%Price: Variable pricesPayout at maturity: If stock closes below 80% of initial

price on any day during life of notes, par plus stock return; otherwise, par

plus greater of stock return and 5%Initial share price: $50.71Pricing date: Aug. 5Settlement date: Aug. 10Managers: J.P. Morgan Securities LLC

(placement agent), Goldman Sachs & Co. (underwriter)

Fees: 1.35%Cusip: 38143UXK2

New Issue:HSBC prices $13.18 million annual income opportunity securities linked to 12 stocks

By Angela McDaniels Tacoma, Wash., Aug. 9 – HSBC USA Inc. priced $13.18 million of annual income opportunity securities with auto cap due Aug. 12, 2016 linked to a basket of 12 common stocks, according to a 424B2 filing with the Securities and Exchange Commission. The issuer released most of the terms of

the deal on Monday but not the issue size. As previously reported, the basket includes the common shares of CME Group Inc., Eli Lilly and 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. Interest is payable annually and will

equal the average of the performances of the basket stocks, subject to a floor of zero. If the return of a stock is zero or positive, its performance will be 7%. Otherwise, its performance will be the greater of its return and negative 30%. The payout at maturity will be par. HSBC Securities (USA) Inc. is the agent.

Issuer: HSBC USA Inc.Issue: Annual income opportunity securities

with auto capUnderlying stocks: CME Group Inc., Eli Lilly and 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.

Amount: $13,179,000Maturity: Aug. 12, 2016Coupon: The average of the performances of

the basket stocks, subject to a floor of zero; if the return of a stock is zero or positive, its performance will be 7%; otherwise, its performance will be the greater of its return and negative 30%; payable annually

Price: ParPayout at maturity: ParPricing date: Aug. 5Settlement date: Aug. 12Agent: HSBC Securities (USA) Inc.Fees: 3%Cusip: 4042K1MEO



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New Issue:JPMorgan plans $750,000 single review notes tied to iShares MSCI Japan

By Toni Weeks San Diego, Aug. 9 – JPMorgan Chase & Co. priced $750,000 of 0% single review notes due Sept. 10, 2012 linked to the iShares MSCI Japan index

fund, according to a 424B2 filing with the Securities and Exchange Commission. If the final level is greater than or equal to the initial level, the payout at maturity will be par plus a premium of 11.25%.

Investors will receive par if the fund declines by 5% or less and will lose 1% for every 1% that it declines beyond 5%. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Single review notesUnderlying fund: iShares MSCI Japan index fundAmount: $750,000Maturity: Sept. 10, 2012Coupon: 0%Price: $750,000Payout at maturity: Par plus 11.25% if final level is

greater than or equal to initial level;

par if fund declines by up to 5%; exposure to losses beyond 5%

Initial price: $9.99Pricing date: Aug. 5Settlement date: Aug. 10Agent: J.P. Morgan Securities LLCFees: 1.7%, which includes selling

concessions of 0.25%Cusip: 48125XH33

New Issue:JPMorgan prices $1.71 million capped daily observation knock-out notes on Oracle

By Susanna Moon Chicago, Aug. 9 – JPMorgan Chase & Co. priced $1.71 million of 0% capped daily observation knock-out notes due Aug. 22, 2012 linked to Oracle Corp. shares, according to a 424B2 filing with the

Securities and Exchange Commission. If Oracle stock falls by more than 25% during the life of the notes, the payout at maturity will be par plus the stock return, with exposure to any losses. Otherwise, the payout will be par plus

the greater of any gain in the stock and a contingent minimum return of 10%. The maximum payment at maturity in either case will be $1,250 per $1,000 principal amount. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Capped daily observation knock-out

notesUnderlying stock: Oracle Corp. (Nasdaq: ORCL)Amount: $1,707,000Maturity: Aug. 22, 2012Coupon: 0%Price: ParPayout at maturity: If Oracle stock never falls by more

than 25%, par plus greater of stock

return and 10%; otherwise, par plus Oracle return with exposure to losses; gains capped at 25% in either case

Initial price: $28.35Pricing date: Aug. 5Settlement date: Aug. 10Agents: JPMorgan Chase Bank, NA and J.P.

Morgan Securities LLCFees: 1%Cusip: 48125XE85



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New Issue:JPMorgan prices $10.66 mln return enhanced notes linked to S&P 500

By Marisa Wong Madison, Wis., Aug. 9 – JPMorgan Chase & Co. priced $10.66 million of 0% return enhanced notes due Aug. 22, 2012

linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. The payout at maturity will be par plus

two times any index gain, up to a maximum return of 19.1%. Investors will share in losses. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Return enhanced notesUnderlying stock: S&P 500Amount: $10,662,000Maturity: Aug. 22, 2012Coupon: 0%Price: ParPayout at maturity: Par plus double any index gain,

capped at 19.1%; full exposure to losses

Initial price: 1,199.38Pricing date: Aug. 5Settlement date: Aug. 10Agent: J.P. Morgan Securities LLCFees: 0.1%Cusip: 48125XE77

New Issue:RBC prices $1.79 million 9.77% trigger yield optimization notes linked to Staples

By Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada priced $1.79 million of 9.77% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Staples, Inc., according

to a 424B2 filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Staples stock. The payout at maturity will be par in

cash unless the final price of Staples stock is less than 80% of the initial share price, in which case investors will receive one Staples share per note. UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

Issuer: Royal Bank of CanadaIssue: Trigger yield optimization notesUnderlying stock: Staples, Inc. (Symbol: SPLS)Amount: $1,791,696.96Maturity: Feb. 10, 2012Coupon: 9.77%, payable monthlyPrice: Par of $14.34Payout at maturity: If final share price is less than trigger

price, one Staples share; otherwise,

parInitial share price: $14.34Trigger price: $11.47, 80% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and RBC

Capital Markets, LLCFees: 1%Cusip: 78010T837



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New Issue:RBC prices $1.46 million 10.54% trigger yield optimization notes linked to Talisman

By Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada priced $1.46 million of 10.54% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Talisman Energy Inc., according

to a 424B2 filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Talisman stock. The payout at maturity will be par in

cash unless the final price of Talisman stock is less than 80% of the initial share price, in which case investors will receive one Talisman share per note. UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

Issuer: Royal Bank of CanadaIssue: Trigger yield optimization notesUnderlying stock: Talisman Energy Inc. (Symbol: TLM)Amount: $1,464,792.26Maturity: Feb. 10, 2012Coupon: 10.54%, payable monthlyPrice: Par of $17.02Payout at maturity: If final share price is less than trigger

price, one Talisman share; otherwise,

parInitial share price: $17.02Trigger price: $13.62, 80% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and RBC


New Issue:RBC prices $2.52 million 12% trigger yield optimization notes tied to Southwestern Energy

By Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada priced $2.52 million of 12% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Southwestern Energy Co., according to a 424B2

filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Southwestern Energy stock. The payout at maturity will be par in

cash unless the final price of Southwestern Energy stock is less than 80% of the initial share price, in which case investors will receive one Southwestern Energy share per note. UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

Issuer: Royal Bank of CanadaIssue: Trigger yield optimization notesUnderlying stock: Southwestern Energy Co. (Symbol:

SWN)Amount: $2,517,869.90Maturity: Feb. 10, 2012Coupon: 12%, payable monthlyPrice: Par of $37.70Payout at maturity: If final share price is less than trigger

price, one Southwestern Energy share;

otherwise, parInitial share price: $37.70Trigger price: $30.16, 80% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and RBC




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New Issue:RBC prices $3.02 million 12.75% trigger yield notes linked to Vertex Pharmaceuticals

By Toni Weeks San Diego, Aug. 9 – Royal Bank of Canada priced $3.02 million of 12.75% annualized trigger yield optimization notes due Feb. 10, 2012 linked to the common stock of Vertex Pharmaceuticals Inc.,

according to a 424B2 filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Vertex stock. The payout at maturity will be par in

cash unless the final price of Vertex stock is less than 75% of the initial share price, in which case investors will receive one Vertex share per note. UBS Financial Services Inc. and RBC Capital Markets, LLC are the agents.

Issuer: Royal Bank of CanadaIssue: Trigger yield optimization notesUnderlying stock: Vertex Pharmaceuticals Inc. (Symbol:

VRTX)Amount: $3,018,858Maturity: Feb. 10, 2012Coupon: 12.75%, payable monthlyPrice: Par of $43.00Payout at maturity: If final share price is less than trigger

price, one Vertex share; otherwise, parInitial share price: $43.00Trigger price: $32.25, 75% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and RBC


New Issue:UBS prices $100,000 trigger phoenix autocallables linked to JPMorgan

By Jennifer Chiou New York, Aug. 9 – UBS AG, London Branch priced $100,000 of trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to the common stock of JPMorgan Chase & Co., according to a 424B2 filing with the Securities and Exchange Commission. If the price of JPMorgan stock closes

at or above the trigger price – 70% of the initial share price – on any of four quarterly observation dates, the issuer will pay a contingent coupon of 22.81% per year. Otherwise, no coupon will be paid for that quarter. If the share price is greater than or equal to the initial price on any of the observation dates, the notes will be called at

par of $10 plus the contingent coupon. If the notes are not called and the JPMorgan share price finishes at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to any share price decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


optimization securitiesUnderlying stock: JPMorgan Chase & Co. (NYSE: JPM)Amount: $100,000Maturity: Aug. 16, 2012Coupon: 22.81% per year, payable quarterly, if

stock closes at or above trigger price on observation date for that quarter

Price: ParPayout at maturity: If notes are not called and shares


full exposure to decline in share priceInitial price: $36.40Trigger price: $25.48, 70% of initial priceCall option: At par plus contingent coupon if share

price at or above initial price on any quarterly observation date


Investment BankFees: 1%Cusip: 90268B780



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New Issue:UBS prices $2.2 million trigger autocallable optimization notes linked to SPDR S&P 500

By Angela McDaniels Tacoma, Wash., Aug. 9 – UBS AG, London Branch priced $2.2 million of 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be called at par of $10 plus an annualized call return of 10.28% if the trust’s shares close at or above the initial

share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014. The payout at maturity will be par if the trust’s final share price is at least 75% of the initial share price. Otherwise, investors will be exposed to the decline from the initial share price to the final share price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Trigger autocallable optimization

securitiesUnderlying trust: SPDR S&P 500 ETF TrustAmount: $2,201,550Maturity: Aug. 11, 2014Coupon: 0%Price: Par of $10.00Payout at maturity: If trust’s shares finish at or above

trigger price, par; otherwise, par plus trust return

Call: At par plus premium of 10.28% per

year if trust’s shares close at or above initial share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014

Initial share price: $119.98Trigger price: $89.99, 75% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Underwriters: UBS Financial Services Inc. and UBS


New Issue:UBS prices $1.76 million 13.25% trigger yield notes linked to Pan American Silver

By Toni Weeks San Diego, Aug. 9 – UBS AG, London Branch priced $1.76 million of 13.25% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Pan American Silver Corp., according to a 424B2 filing with the Securities and Exchange Commission. Interest will be payable monthly.

The face amount of each note will be equal to the initial price of Pan American stock. The payout at maturity will be par in cash unless the final price of Pan American stock is less than 75% of the initial share price, in which case investors will receive one Pan American share per note. UBS Financial Services Inc. and UBS Investment Bank are the agents.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Pan American Silver Corp. (Symbol:

PAAS)Amount: $1,760,665.20Maturity: Aug. 10, 2012Coupon: 13.25%, payable monthlyPrice: Par of $28.68Payout at maturity: If final share price is less than trigger

price, one Pan American Silver share;

otherwise, parInitial share price: $28.68Trigger price: $21.51, 75% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and UBS




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New Issue:UBS prices $2.03 million 12% trigger yield notes linked to Wynn Resorts

By Toni Weeks San Diego, Aug. 9 – UBS AG, London Branch priced $2.03 million of 12% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Wynn Resorts Ltd., according to a 424B2

filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Wynn Resorts stock. The payout at maturity will be par in

cash unless the final price of Wynn Resorts stock is less than 75% of the initial share price, in which case investors will receive one Wynn Resorts share per note. UBS Financial Services Inc. and UBS Investment Bank are the agents.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Wynn Resorts Ltd. (Symbol: WYNN)Amount: $2,026,596.35Maturity: Aug. 10, 2012Coupon: 12%, payable monthlyPrice: Par of $139.91Payout at maturity: If final share price is less than trigger

price, one Wynn Resorts share;



New Issue:UBS prices $209,922 8.59% trigger yield optimization notes linked to GE

By Angela McDaniels Tacoma, Wash., Aug. 9 – UBS AG, London Branch priced $209,922 of 8.59% trigger yield optimization notes due Aug. 14, 2012 linked to the common stock of General Electric Co., according

to a 424B2 filing with the Securities and Exchange Commission. The face amount of each note is equal to the initial price of General Electric stock. Interest is payable monthly. The payout at maturity will be par

in cash unless the final price of General Electric stock is less than 70% of the initial share price, in which case investors will receive one General Electric share per note. UBS Financial Services Inc. and UBS Investment Bank are the agents.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: General Electric Co. (NYSE: GE)Amount: $209,921.88Maturity: Aug. 14, 2012Coupon: 8.59%, payable monthlyPrice: Par of $15.96Payout at maturity: If final share price is less than trigger

price, one General Electric share;





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New Issue:UBS prices $214,846 6.69% trigger yield optimization notes on Microsoft

By Marisa Wong Madison, Wis., Aug. 8 – UBS AG, London Branch priced $214,846 of 6.69% trigger yield optimization securities due Aug. 14, 2012 linked to Microsoft Corp. shares, according to an FWP filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price

of Microsoft stock. The payout at maturity will be par in cash unless the final price of Microsoft stock is less than 75% of the initial share price, in which case investors will receive one Microsoft share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization securitiesUnderlying stock: Microsoft Inc. (Nasdaq: MSFT)Amount: $214,846.42Maturity: Aug. 14, 2012Coupon: 6.69%, payable monthlyPrice: Par of $25.58Payout at maturity: If final share price is less than trigger

price, one Microsoft share per note;

otherwise, parInitial price: $25.58Trigger price: $19.18, 75% of initial pricePricing date: Aug. 9Settlement date: Aug. 12Underwriters: UBS Financial Services Inc. and UBS


New Issue:UBS prices $3.71 million trigger autocallable optimization notes linked to iShares Russell 2000

By Angela McDaniels Tacoma, Wash., Aug. 9 – UBS AG, London Branch priced $3.71 million of 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the iShares Russell 2000 index fund, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be called at par of $10 plus an annualized call return of 13.9% if the ETF’s shares close at or above the initial

share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014. The payout at maturity will be par if the ETF’s final share price is at least 70% of the initial share price. Otherwise, investors will be exposed to the decline from the initial share price to the final share price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


securitiesUnderlying ETF: iShares Russell 2000 index fundAmount: $3,714,800Maturity: Aug. 11, 2014Coupon: 0%Price: Par of $10.00Payout at maturity: If ETF’s shares finish at or above

trigger price, par; otherwise, par plus ETF return


year if ETF’s shares close at or above initial share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014





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New Issue:UBS prices $629,000 trigger autocallables linked to iShares MSCI EM

By Angela McDaniels Tacoma, Wash., Aug. 9 – UBS AG, London Branch priced $629,000 of 0% trigger autocallable optimization securities due Aug. 11, 2014 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission. The notes will be called at par of $10 plus an annualized call return of 11.7% if the ETF’s shares close at or above the initial

share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014. The payout at maturity will be par if the ETF’s final share price is at least 75% of the initial share price. Otherwise, investors will be exposed to the decline from the initial share price to the final share price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


securitiesUnderlying ETF: iShares MSCI Emerging Markets

index fundAmount: $629,000Maturity: Aug. 11, 2014Coupon: 0%Price: Par of $10.00Payout at maturity: If ETF’s shares finish at or above

trigger price, par; otherwise, par plus ETF return


year if ETF’s shares close at or above initial share price on Feb. 6, 2012, Aug. 9, 2012, Feb. 5, 2013, Aug. 5, 2013, Feb. 5, 2014 or Aug. 5, 2014



New Issue: UBS prices $215,000 17.57% reverse convertibles linked to Ford stockBy Jennifer Chiou New York, Aug. 9 – UBS AG, London Branch priced $215,000 of 17.57% annualized reverse convertible securities due Feb. 14, 2012 linked to Ford Motor Co. shares, according to a 424B2 filing with the Securities and Exchange Commission. Interest will be payable monthly.

The payout at maturity will be par unless Ford shares fall below the trigger price – 75% of the initial share price – during the life of the notes and finish below the initial share price, in which case the payout will be 91.659 Ford shares per $1,000 of notes. UBS Securities LLC and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Reverse convertible notesUnderlying stock: Ford Motor Co. (Symbol: F)Amount: $215,000Maturity: Feb. 14, 2012Coupon: 17.57%, payable monthlyPrice: ParPayout at maturity: Par in cash unless Ford shares fall

below the trigger price of $11.45 and finish below the initial price, in which

case 91.659 shares of Ford stockInitial price: $10.91Trigger price: $8.18, 75% of initial pricePricing date: Aug. 9Settlement date: Aug. 12Underwriters: UBS Financial Services Inc. and UBS

Investment BankFees: 2.65%Cusip: 902674FE5



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New Issue:UBS prices $7.03 million 9.5% trigger yield optimization notes linked to Oracle

By Toni Weeks San Diego, Aug. 9 – UBS AG, London Branch priced $7.03 million of 9.5% trigger yield optimization notes due Aug. 10, 2012 linked to the common stock of Oracle Corp., according to a 424B2

filing with the Securities and Exchange Commission. Interest will be payable monthly. The face amount of each note will be equal to the initial price of Oracle stock. The payout at maturity will be par in

cash unless the final price of Oracle stock is less than 80% of the initial share price, in which case investors will receive one Oracle share per note. UBS Financial Services Inc. and UBS Investment Bank are the agents.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Oracle Corp. (Symbol: ORCL)Amount: $7,031,508.75Maturity: Aug. 10, 2012Coupon: 9.5%, payable monthlyPrice: Par of $28.35Payout at maturity: If final share price is less than trigger

price, one Oracle share; otherwise, par

Initial share price: $28.35Trigger price: $22.68, 80% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: UBS Financial Services Inc. and UBS


New Issue:UBS sells $100,000 trigger phoenix autocallable securities tied to General Electric

By Toni Weeks San Diego, Aug. 9 – UBS AG, London Branch priced $100,000 of trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to the common stock of General Electric Co., according to a 424B2 filing with the Securities and Exchange Commission. If the price of General Electric stock closes at or above the trigger price – 68% of the initial share price – on any of 12 monthly observation dates, the issuer will pay a contingent coupon of 21.68% per year. Otherwise, no coupon will be paid for that

month. If the share price is greater than or equal to the initial price on any of the observation dates, the notes will be called at par of $10 plus the contingent coupon. If the notes are not called and the General Electric share price finishes at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will be exposed to any share price decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


optimization securitiesUnderlying stock: General Electric Co. (NYSE: GE)Amount: $100,000Maturity: Aug. 16, 2012Coupon: 21.68% per year, payable monthly, if

stock closes at or above trigger price on observation date for that quarter

Price: ParPayout at maturity: If notes are not called and shares


full exposure to decline in share priceInitial price: $15.96Trigger price: $10.85, 68% of initial priceCall option: At par plus contingent coupon if share






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New Issue:Barclays prices $6.99 million capped market plus notes linked to gold

By Susanna Moon Chicago, Aug. 9 – Barclays Bank plc priced $6.99 million of 0% capped market plus notes due Aug. 16, 2012 linked to the price of gold, according to a 424B2 filing with the Securities and Exchange

Commission. If the price of gold remains at or above 90% of the initial price during the life of the notes, the payout at maturity will be par plus the greater of the gold return and 8.02%.

Otherwise, the payout will be par plus the gold return with exposure to losses. In either case, the maximum return at maturity will be 10%. JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.

Issuer: Barclays Bank plcIssue: Capped market plus notesUnderlying commodity: GoldAmount: $6.99 millionMaturity: Aug. 16, 2012Coupon: 0%Price: ParPayout at maturity: If gold price stays at 90% of initial

price or above, par plus greater of gold return and 8.02%; otherwise, par

plus gold return; any gains capped at 10%

Initial price: $1,658.75Pricing date: Aug. 5Settlement date: Aug. 10Agent: JPMorgan Chase Bank, NA and J.P.

Morgan Securities LLCFees: 1%Cusip: 06738KQY0

New Issue:Citigroup sells $15.3 mln 90% protected notes linked to commodities

By Susanna Moon Chicago, Aug. 9 – Citigroup Funding Inc. priced $15.3 million of 0% notes due Aug. 8, 2013 linked to a basket of commodities, according to a 424B2 filing with the Securities and Exchange Commission.

The equally weighted basket includes gold, West Texas Intermediate crude oil, gasoline, sugar and copper. The payout at maturity will be par plus any basket gain. If the basket falls, the payout will be 90% of par. Citigroup Global Markets Inc. is the underwriter.

Issuer: Citigroup Funding Inc.Issue: NotesUnderlying basket: Gold, West Texas Intermediate crude

oil, gasoline, sugar and copper, equally weighted

Amount: $15,296,000Maturity: Aug. 8, 2013Coupon: 0%Price: ParPayout at maturity: Par plus any basket gain; 90% of par

if basket declinesInitial levels: 1,658.75 for gold, 86.88 for WTI

crude oil, 280.52 for gasoline, 27.54 for sugar and 9,190 for copper

Pricing date: Aug. 5Settlement date: Aug. 10Underwriter: Citigroup Global Markets Inc.Fees: 1.75%Cusip: 1730T0NB1



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New Issue:Goldman Sachs prices $2.45 million equity-linked trigger notes linked to PepsiCo

By Toni Weeks San Diego, Aug. 9 – Goldman Sachs Group, Inc. priced $2.45 million of 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of PepsiCo, Inc., according to a 424B2 filing with the

Securities and Exchange Commission. A trigger event occurs if the stock closes below 75% of its initial price on any day during the life of the notes. If a trigger event occurs, the payout at maturity will be par plus the stock return,

which could be positive or negative. If a trigger event does not occur, the payout will be par plus the greater of the stock return and 3.1%. J.P. Morgan Securities LLC is the agent with Goldman Sachs & Co. as co-agent.

Issuer: Goldman Sachs Group, Inc.Issue: Equity-linked trigger notesUnderlying stock: PepsiCo, Inc.Amount: $2,451,000Maturity: Feb. 8, 2013Coupon: 0%Price: ParPayout at maturity: If stock closes below 75% of initial

price during life of notes, par plus stock return; otherwise, par plus

greater of stock return and 3.1%Initial price: $64.67Trigger price: $48.5025, 75% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Agents: J.P. Morgan Securities LLC and

Goldman Sachs & Co.Fees: 1.35%Cusip: 38143UXJ5

New Issue:UBS prices $150,000 trigger phoenix autocallables linked to Ford

By Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch priced $150,000 of trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to Ford Motor Co. shares, according to a 424B2 filing with the Securities and Exchange Commission. If Ford stock closes at or above the trigger price – 65% of the initial share price – on any quarterly observation date, the issuer will pay a contingent coupon of 16.89%. If the share price is greater than or equal to the initial price on

any of the observation dates, the notes will be called at par of $10 plus the contingent coupon. The payout at maturity will be par plus the contingent coupon if the notes are not called and the Ford share price finishes at or above the trigger price. If the shares finish below the trigger, investors will be exposed to the decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


optimization securitiesUnderlying stock: Ford Motor Co. (NYSE: F)Amount: $150,000Maturity: Aug. 16, 2012Coupon: 16.89%, payable quarterly, if stock

closes at or above trigger price on observation date for that quarter



full exposure to decline in share priceInitial price: $10.91Trigger price: $7.09, or 65% of initial priceCall option: At par plus contingent coupon if share






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New Issue:Morgan Stanley prices $1 million jump securities linked to iShares MSCI Pacific ex-Japan

By Angela McDaniels Tacoma, Wash., Aug. 9 – Morgan Stanley priced $1 million of 0% jump securities due Sept. 12, 2012 linked to the iShares MSCI Pacific ex-Japan index fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the final share price is greater than the initial share price, the payout at maturity will be par plus 18%. Otherwise, investors will be exposed to the decline from the initial share price to the final share price. Morgan Stanley & Co. LLC is the agent.

Issuer: Morgan StanleyIssue: Jump securitiesUnderlying ETF: iShares MSCI Pacific ex-Japan index

fundAmount: $1 millionMaturity: Sept. 12, 2012Coupon: 0%Price: ParPayout at maturity: Par plus 18% if final share price

is greater than initial share price; exposure to decline if final share price is less than initial share price

Initial share price: $42.60Pricing date: Aug. 5Settlement date: Aug. 12Agent: Morgan Stanley & Co. LLCFees: 0.25%Cusip: 617482WZ3

New Issue:UBS prices $1.98 mln trigger phoenix autocallables tied to Goldcorp

By Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch priced $1.98 million of trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to Goldcorp Inc. shares, according to a 424B2 filing with the Securities and Exchange Commission. If Goldcorp stock closes at or above the trigger price – 75% of the initial share price – on a quarterly observation date, the issuer will pay a contingent coupon that quarter at the rate of 15.4% per year.

If the closing share price is greater than or equal to the initial price on any of the observation dates, the notes will be called at par of $10 plus the contingent coupon. The payout at maturity will be par plus the contingent coupon if the notes are not called and the Goldcorp share price finishes at or above the trigger price. If the shares finish below the trigger, investors will be exposed to the decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


optimization securitiesUnderlying stock: Goldcorp Inc. (NYSE: GG)Amount: $1,984,500Maturity: Aug. 9, 2012Coupon: 15.4%, payable quarterly if stock

closes at or above trigger price on observation date for that quarter



full exposure to decline in share priceCall: At par plus contingent coupon if share


Initial price: $46.34Trigger price: $34.76, or 75% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Underwriters: UBS Financial Services Inc. and UBS




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New Issue:UBS prices $3.1 million trigger phoenix autocallables tied to Petrobras

By Susanna Moon Chicago, Aug. 9 – UBS AG, London Branch priced $3.1 million of trigger phoenix autocallable optimization securities due Aug. 9, 2012 linked to the American Depositary Shares of Petroleo Brasileiro SA, according to a 424B2 filing with the Securities and Exchange Commission. If Petrobras ADSs close at or above the trigger price – 80% of the initial price – on a quarterly observation date, the issuer will pay contingent coupon that quarter at the rate of 19.75% per year.

If the closing ADSs price is greater than or equal to the initial price on any of the observation dates, the notes will be called at par of $10 plus the contingent coupon. The payout at maturity will be par plus the contingent coupon if the notes are not called and the Petrobras ADSs price finishes at or above the trigger price. If the ADSs finish below the trigger, investors will be exposed to the decline. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.


optimization securitiesUnderlying ADSs: Petroleo Brasileiro SA (NYSE: PBR)Amount: $3,102,850Maturity: Aug. 9, 2012Coupon: 19.75%, payable quarterly if ADSs

close at or above trigger price on observation date for that quarter

Price: Par of $10.00Payout at maturity: If notes are not called and ADSs finish

at or above trigger price, par plus contingent coupon; otherwise, full

exposure to decline in ADS priceCall option: At par plus contingent coupon if share

price closes at or above initial price on any quarterly observation date

Initial price: $29.07Trigger price: $23.26, or 80% of initial pricePricing date: Aug. 5Settlement date: Aug. 10Underwriters: UBS Financial Services Inc. and UBS


New Issue:Wells Fargo prices $2.2 mln callable step-up notes with 3.4% initial rate

By Susanna Moon Chicago, Aug. 9 – Wells Fargo & Co. priced $2.2 million of callable step-up fixed-rate notes due Aug. 12, 2024, according to a 424B2 filing with the

Securities and Exchange Commission. The coupon is 3.4% for 5.5 years, then 4.25% through year 8.75, 5.25% through year 12 and 7% after that. Interest is payable quarterly.

The payout at maturity will be par. The notes will be callable at par on any interest payment date after 5.5 years. Wells Fargo Securities LLC is the agent.

Issuer: Wells Fargo & Co.Issue: Callable step-up fixed-rate notesAmount: $2.2 millionMaturity: Aug. 12, 2024Coupon: 3.4% through year 5.5, 4.25% through

year 8.75, 5.25% through year 12 and 7% after that; payable quarterly

Price: Par

Payout at maturity: ParCall option: At par on interest payment dates

beginning Feb. 12, 2017Pricing date: Aug. 5Settlement date: Aug. 12Agent: Wells Fargo Securities LLCFees: 0.5%Cusip: 94986RFD8



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New Issue:JPMorgan sells $1 million more daily liquidity notes linked to Dow Jones - UBS Crude Oil

By Susanna Moon Chicago, Aug. 9 – JPMorgan Chase & Co. priced another $1 million of 0% daily liquidity notes due Jan. 9, 2015 linked to the Dow Jones-UBS Crude Oil Sub-Index 3 Month Forward Total Return, according to a 424B2 filing with the Securities and Exchange Commission. JPMorgan originally priced $60 million of the notes on Jan. 6 and sold $35.8 million of them. By Aug. 5, a total of $60 million of the notes had been sold, of which $22.055 million had then been repurchased and retired, leaving $37.945 million outstanding. With the additional $1 million, there will be $38.945 million outstanding. The payout at maturity will be the indicative note value on Jan. 6, 2015.

The indicative value of each note was $1,000 on the pricing date. On each subsequent trading day, it equals the indicative note value on the preceding day multiplied by the index factor and minus the investor fee. The index factor equals the index closing level on that day divided by the index closing level on the preceding day. On any trading day, the investor fee equals 0.75% of the indicative note value on the preceding day multiplied by the quotient of the number of calendar days from the preceding trading day to the current trading day divided by 360. The notes are putable at any time, subject to a repurchase fee of 0.2%. They are callable on a daily basis beginning Jan. 11, 2012. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Daily liquidity notesUnderlying index: Dow Jones - UBS Crude Oil Subindex

3 Month Forward Total ReturnAmount: $61 million, up from $60 millionMaturity: Jan. 9, 2015Coupon: 0%Price: ParPayout at maturity: Cash amount equal to indicative note

value on Jan. 6, 2015; on any day, indicative note value equals indicative note value on preceding day plus

index return minus investor fee of approximately 0.75% per year

Put option: At any time, subject to repurchase fee of 0.2%

Call option: Beginning Jan. 11, 2012Initial index level: 1,519.449Pricing date: Aug. 5 for additional $1 million, Jan.

6 for original $60 millionAgent: J.P. Morgan Securities LLCFees: NoneCusip: 48124A7H4


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DailyProductsStructured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due Aug. 10, 2031; via Bank of America Merrill Lynch; settlement Aug. 10; Cusip: 06048WGY0

• Step-up callable notes due Aug. 10, 2021; via Bank of America Merrill Lynch; settlement Aug. 10; Cusip: 06048WHB9

• Callable capped notes due Aug. 15, 2031 linked to the two-year and 30-year Constant Maturity Swap Rates; via Bank of America Merrill Lynch; settlement Aug. 15; Cusip: 06048WGZ7

• Floating-rate notes due Aug. 15, 2023 linked to the Consumer Price Index; via Bank of America Merrill Lynch; settlement Aug. 15; Cusip: 06048WHA1

• Callable dual range accrual notes due Aug. 24, 2026 linked to six-month Libor and the S&P 500 index; via Bank of America Merrill Lynch; settlement Aug. 24; Cusip: 06048WHG8

• Callable capped notes due Aug. 26, 2031 linked to the 30-year and two-year Constant Maturity Swap Rates; via Bank of America Merrill Lynch; pricing Aug. 26; Cusip: 06048WHF0

• Variable coupon notes due August 2015 linked to Aflac Inc., Altria Group, Inc., Apple, Inc., Barrick Gold Corp., Chevron Corp., Citigroup Inc., Comcast Corp., CVS Caremark Corp., Eastman Chemical Co., Honeywell International Inc., Las Vegas Sands Corp., Netflix, Inc., Potash Corp. of Saskatchewan Inc., Priceline.com Inc., Prudential Financial, Inc. and Walgreen Co.; pricing in August; via Bank of America Merrill Lynch

• 0% Accelerated Return Notes due August 2013 linked to the Dow Jones-UBS Agriculture Sub-Index – Excess Return; via Bank of America Merrill Lynch; pricing in August

• Callable range accrual notes due August 2026 linked to six-month Libor; via Bank of America Merrill Lynch; pricing in August

• Floating-rate notes linked to the 10-year U.S. Dollar Constant Maturity Swap Rate; via Bank of America Merrill Lynch; pricing in September

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

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

• 0% Market Index Target-Term Securities due September 2017

linked to the Dow Jones Industrial Average; via Bank of America Merrill Lynch; pricing in September

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the Energy Select Sector SPDR fund; via Bank of America Merrill Lynch; pricing in September

• 0% Market Index Target-Term Securities due September 2016 linked to gold spot price; via Bank of America Merrill Lynch; pricing in September

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

• 0% Capped Leveraged Index Return Notes due August 2013 linked to the Hang Seng China Enterprises index, the Bovespa index and the Russian Depository index; via Bank of America Merrill Lynch; pricing in September

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

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

• Callable dual range accrual notes due September 2023 linked to six-month Libor and the S&P 500 index; via Bank of America Merrill Lynch; pricing in September

BANK OF MONTREAL

• 10.02%-13.02% annualized reverse exchangeable notes due Feb. 16, 2011 linked to Comcast Corp. shares; 85% trigger; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSN8

• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the iShares MSCI Emerging Markets index fund; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSP3

• 13.13%-16.13% annualized reverse exchangeable notes due Feb. 16, 2011 linked to Valero Energy Corp. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 11; Cusip: 06366QSM0

• 20.25% annualized reverse exchangeable notes due Nov. 18, 2011 linked to Acme Packet, Inc. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSS7

Continued on page 41


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• 19.25% annualized reverse exchangeable notes due Nov. 18, 2011 linked to AMR Corp. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366SR9

• 10.5% reverse exchangeable notes due Feb. 21, 2012 linked to Bank of America Corp. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSF4

• 11.25% reverse exchangeable notes due Feb. 21, 2012 linked to CF Industries Holdings, Inc. shares; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTG2

• 17.5% annualized reverse exchangeable notes due Nov. 18, 2011 linked to Ciena Corp. shares; 80% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QST5

• 12.5% annualized reverse exchangeable notes due Nov. 18, 2011 linked to Delta Air Lines, Inc. shares; 80% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSU2

• 10.5% reverse exchangeable notes due Feb. 21, 2012 linked to Goodyear Tire & Rubber Co. shares; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTH0

• 17.25% annualized reverse exchangeable notes due Nov. 18, 2011 linked to JDS Uniphase Corp. shares; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSV0

• 26.5% reverse exchangeable notes due Nov. 18, 2011 linked to LDK Solar Co., Ltd.; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSX6

• 11.75% reverse exchangeable notes due Nov. 18, 2011 linked to MGM Resorts International; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSY4

• 15% reverse exchangeable notes due Feb. 21, 2012 linked to Netflix Inc. shares; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTJ6

• 14% reverse exchangeable notes due Nov. 18, 2011 linked to Nokia Corp.; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSZ1

• 16% reverse exchangeable notes due Nov. 18, 2011 linked to Research In Motion Ltd.; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTA5

• 15% reverse exchangeable notes due Nov. 18, 2011 linked to Riverbed Technology, Inc. common stock; 75% trigger; via BMO

Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSB3

• 12.5% reverse exchangeable notes due Feb. 21, 2012 linked to SanDisk Corp. shares; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTK3

• 19.5% reverse exchangeable notes due Nov. 18, 2011 linked to Suntech Power Holdings Co., Ltd. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSC1

• 14% reverse exchangeable notes due Nov. 18, 2011 linked to Walter Energy, Inc. common stock; 80% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSD9

• 12% reverse exchangeable notes due Nov. 18, 2011 linked to Western Refining, Inc. common stock; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSE7

• 11.5% reverse exchangeable notes due Feb. 21, 2012 linked to United States Steel Corp. shares; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QTL1

• 16.5% reverse exchangeable notes due Nov. 18, 2011 linked to US Airways Group, Inc.; via BMO Capital Markets Corp.; pricing Aug. 15; Cusip: 06366QSW8

BANK OF THE WEST

• Contingent variable income market-linked certificates of deposit due Aug. 30, 2017 linked to Alcatel-Lucent, Baidu, Inc., Barclays plc, Companhia Siderurgica Nacional, Cummins Inc., Elan Corp., plc, First Solar, Inc., Lockheed Martin Corp., Transocean Ltd. and Valero Energy Corp.; via Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 06426XBN9

• Contingent variable income market-linked certificates of deposit due Aug. 30, 2016 linked to Analog Devices, Inc., Broadcom Corp., CenturyLink, Inc., Eli Lilly and Co., Exelon Corp., Freeport-McMoRan Copper & Gold Inc., International Paper Co., Lorillard, Inc., M&T Bank Corp. and Sprint Nextel Corp.; via Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 06426XBL3

• Contingent variable income market-linked certificates of deposit due Aug. 30, 2017 linked to Analog Devices, Inc., Broadcom Corp., CenturyLink, Inc., Eli Lilly and Co., Exelon Corp., Freeport-McMoRan Copper & Gold Inc., International Paper Co., Lorillard, Inc., M&T Bank Corp. and Sprint Nextel Corp.; via Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 06426XBM1

• Contingent variable income market-linked certificates of deposit Continued on page 42

Continued from page 40


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due Aug. 30, 2018 linked to Analog Devices, Inc., Broadcom Corp., CenturyLink, Inc., Eli Lilly and Co., Exelon Corp., Freeport-McMoRan Copper & Gold Inc., International Paper Co., Lorillard, Inc., M&T Bank Corp. and Sprint Nextel Corp.; via Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 06426XBP4

BARCLAYS BANK PLC

• 0% notes due Aug. 16, 2016 linked to the Barclays Capital Voyager II DJ–UBSCI Total Return index; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KQB0

• Buffered iSuper Track notes due Aug. 16, 2013 linked to the iShares Dow Jones U.S. Real Estate index fund; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KPY1

• 0% Super Track notes due Feb. 19, 2013 linked to the iShares MSCI EAFE index fund; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KQA2

• 0% Super Track notes due Aug. 15, 2013 linked to the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Barclays Capital Inc.; pricing Aug. 11; Cusip: 06738KQZ7

• Buffered return optimization securities due Aug. 15, 2013 linked to the price of gold; via UBS Financial Services Inc. and Barclays Capital Inc.; 90% trigger; via pricing Aug. 12; Cusip: 06741L880

• 0% capped market plus notes due Feb. 16, 2012 linked to the Norwegian krone relative to the dollar; 90% trigger; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 06738KRU7

• 8.5%-10.5% autocallable yield notes due Feb. 22, 2012 linked to the S&P 500 index, the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via Barclays Capital Inc.; pricing Aug. 16; Cusip: 06738QR5

• 0% Performance Leveraged Upside Securities due Sept. 29, 2012 linked to the S&P 500 index; via Morgan Stanley Smith Barney LLC and Barclays Capital Inc.; pricing Aug. 25; Cusip: 06738G589

• 0.25% to 1% certificates of deposit due March 2, 2017 linked to the S&P 500 index; via Barclays Capital Inc., agent, and Advisors Asset Management, Inc., distributor; pricing Aug. 25; Cusip: 06740AQG7

• Certificates of deposit due Aug. 30, 2018 linked to a basket of 10 stocks (Verizon Communications Inc., Apollo Group, Inc., Pfizer Inc., Apple Inc., Marriott International, Inc., Netflix, Inc.,

Coventry Health Care, Inc., McGraw-Hill Cos., Inc., Intuit Inc. and Dr Pepper Snapple Group, Inc.; via Barclays Capital Inc., agent, and Advisors Asset Management, Inc., distributor; pricing Aug. 25; Cusip: 06740AQE2

• Certificates of deposit due Aug. 30, 2018 linked to a basket of 10 stocks (Verizon Communications Inc., Alpha Natural Resources Inc., Eli Lilly and Co., Nvidia Corp., Marriott International, Inc., Netflix, Inc., Berkshire Hathaway Inc., Freeport-McMoRan Copper & Gold Inc., Wynn Resorts, Ltd. and Intel Corp.); via Barclays Capital Inc., agent, and Advisors Asset Management, Inc., distributor; pricing Aug. 25; Cusip: 06740AQF9

• 10% reverse convertible notes due Aug. 31, 2012 linked to Abercrombie & Fitch Co. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMJ5

• 10.5% reverse convertible notes due Feb. 29, 2012 linked to Arch Coal, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLG2

• 10.25% reverse convertible notes due Feb. 29, 2012 linked to Baidu, Inc. (American Depositary Shares) stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLW7

• 8.5% reverse convertible notes due Feb. 29, 2012 linked to Bank of America Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLH0

• 0% double short leverage securities due Aug. 29, 2014 linked to the Barclays Capital 30Y Treasury Futures index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KRM5

• 0.25%-0.5% notes due Aug. 31, 2016 linked to the Barclays Capital Backwardation Excess Return index; via Barclays Capital Inc.; pricing Aug. 26

• 0% Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes due Aug. 22, 2012 linked to the Barclays Prosper ETF portfolio; via Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KQD6

• 10% reverse convertible notes due Feb. 29, 2012 linked to Boston Scientific Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLX5

• 11% reverse convertible notes due Nov. 30, 2011 linked to Century Aluminum Co. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLM9




Prospect NewsThe

Structured


• 9% reverse convertible notes due Feb. 29, 2012 linked to Citigroup Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLB3

• 11.25% reverse convertible notes due Nov. 30, 2011 linked to Citrix Systems, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLN7

• 0% buffered digital plus notes due Feb. 27, 2015 linked to the Dow Jones Industrial Average; via Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KQQ7

• 8.25% reverse convertible notes due Feb. 29, 2012 linked to eBay Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLJ6

• 10% reverse convertible notes due Feb. 29, 2012 linked to Electronic Arts Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLY3

• 10% reverse convertible notes due Feb. 29, 2012 linked to Freeport-McMoRan Copper & Gold Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLZ0

• 10% reverse convertible notes due Feb. 29, 2012 linked to Goodyear Tire & Rubber Co. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMA4

• 10% reverse convertible notes due Nov. 30, 2011 linked to Hecla Mining Co. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLP2

• 10% reverse convertible notes due Nov. 30, 2011 linked to Iamgold Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLQ0

• 11% reverse convertible notes due Feb. 29, 2012 linked to Las Vegas Sands Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMB2

• 8% reverse convertible notes due Feb. 29, 2012 linked to Marathon Oil Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLD9

• 8.25% reverse convertible notes due Feb. 29, 2012 linked to MetLife, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLC1

• 10.5% reverse convertible notes due Nov. 30, 2011 linked to MetroPCS Communications, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLU1

• 10.25% reverse convertible notes due Feb. 29, 2012 linked to MGM Resorts International stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMC0

• 13.25% reverse convertible notes due Nov. 30, 2011 linked to Molycorp, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLR8

• 10% reverse convertible notes due Feb. 29, 2012 linked to Nabors Industries Ltd. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMD8

• 10% reverse convertible notes due Nov. 30, 2011 linked to NetApp, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLT4

• 10% reverse convertible notes due Feb. 29, 2012 linked to Netflix, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JME6

• 8.75% reverse convertible notes due Feb. 29, 2012 linked to Noble Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLE7

• 17% reverse convertible notes due Nov. 30, 2011 linked to Northern Oil & Gas, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLS6

• 8.25% reverse convertible notes due Aug. 31, 2012 linked to Peabody Energy Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLK3

• Notes due Aug. 31, 2016 linked to the S&P 500 index; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMK4

• 10% reverse convertible notes due Feb. 29, 2012 linked to Silver Wheaton Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMF3

• 0% notes due Aug. 31, 2017 linked to the S&P BRIC 40 index; via Barclays Capital Inc.; pricing Aug. 26; Cusip: 06738KQF1

• 8.5% reverse convertible notes due Feb. 29, 2012 linked to Schlumberger N.V. (Schlumberger Ltd.) stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLF4

• 11.75% reverse convertible notes due Aug. 31, 2012 linked to Seagate Technology stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLL1




Prospect NewsThe

Structured


• 0% trigger return optimization securities due Aug. 29, 2014 linked to the SPDR S&P 500 exchange-traded fund trust, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Aug. 26

• 10% reverse convertible notes due Nov. 30, 2011 linked to Tesoro Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JLV9

• 10% reverse convertible notes due Aug. 31, 2012 linked to Valero Energy Corp. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMK2

• 14.5% reverse convertible notes due Feb. 29, 2012 linked to Western Refining, Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMG1

• 10.25% reverse convertible notes due Feb. 29, 2012 linked to Yahoo! Inc. stock; via Barclays Capital; pricing Aug. 26; Cusip: 06741JMH9

• 0% market-linked step-up notes due August 2013 linked to the Dow Jones Global Titans 50 index; via Bank of America Merrill Lynch; pricing in August

• 9% STEP Income Securities due August 2012 linked to the common stock of Goodyear Tire & Rubber Co.; via Bank of America Merrill Lynch; pricing in August

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the iShares MSCI Brazil index fund; via Bank of America Merrill Lynch; pricing in August

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; via Bank of America Merrill Lynch; pricing in August

• 0% market-linked step-up notes due August 2013 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

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

• One-year 0% notes linked to the Barclays Capital Series-2 WTI Crude 11M Deferred TR index; via Barclays Capital Inc.; Cusip: 06738KNC1

CITIBANK, NA

• 0% market-linked certificates of deposit due Aug. 28, 2017 linked to Brent crude oil, gasoline, silver, copper, nickel, soybeans, sugar, cotton and corn; via Citigroup Global Markets Inc. and distributor Advisors Asset Management, Inc.; pricing Aug. 23; Cusip: 172986FJ5

• Market-linked certificates of deposit due Aug. 31, 2018 linked to the common stocks of AT&T Inc., Barrick Gold Corp., Amazon.com Inc., Bristol-Myers Squibb Co., Coca-Cola Co., General Mills, Inc., Intel Corp., Time Warner Cable Inc., Wells Fargo & Co. and Whole Foods Market, Inc.; via Citigroup Global Markets Inc. and distributor Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 172986FL0

• Callable CMS leveraged spread range accrual market-linked certificates of deposit due 2031; via Citigroup Global Markets Inc.; Cusip: 172986FH9

CITIGROUP FUNDING INC.

• Callable range accrual notes due Aug. 26, 2026 linked to the Russell 2000 index and Libor; 72% trigger; via Citigroup Global Markets Inc.; pricing Aug. 23; Cusip: 1730T0NJ4

• Noncallable fixed-to-floating-rate notes due Aug. 30, 2016; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730T0NC9

• 7%-9% annualized Equity LinKed Securities due Feb. 23, 2012 linked to the common stock of Amazon.com, Inc.; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17317U725

• 0.5% market-linked notes due Feb. 24, 2017 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730T0NH8

• 8%-10% annualized Equity LinKed Securities due February 2012 linked to the common stock of Freeport-McMoRan Copper & Gold Inc.; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 1730TU733

• 0% jump securities due March 2012 linked to the Philadelphia Oil Service Sector index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17317U691

• 0% market-linked partial principal at risk notes due 2017 linked to the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing in August; Cusip: 17317U717




Prospect NewsThe

Structured


• 0% index-linked notes due Aug. 28, 2014 linked to the S&P 500 index; via Citigroup Global Markets Inc.; settlement in August; Cusip: 1730T0NG0

CREDIT SUISSE AG, NASSAU BRANCH

• High/low coupon autocallable yield notes due Aug. 15, 2012 linked to the S&P 500 index, the Russell 2000 index and the United States Oil Fund, LP; via Credit Suisse Securities (USA) LLC; pricing Aug. 10; Cusip: 22546TDE8

• High/low coupon callable yield notes due Aug. 15, 2012 linked to the Russell 2000 index, the United States Oil Fund, LP and the United States Natural Gas Fund, LP; via Credit Suisse Securities (USA) LLC; pricing Aug. 10; Cusip: 22546TDD0

• 0% return enhanced notes due Aug. 29, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Aug. 12; Cusip: 22546TDF5

• 0% digital plus barrier notes due Feb. 24, 2012 linked to the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 15; Cusip: 22546TDU2

• 7.5%-9.5% callable yield notes due Feb. 21, 2012 linked to the Market Vectors Gold Miners exchange-traded fund and the SPDR S&P Metals & Mining ETF; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCH2

• 11%-13% callable yield notes due Feb. 21, 2012 linked to the Market Vectors Gold Miners exchange-traded fund and the SPDR S&P Metals & Mining ETF; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCJ8

• 9% callable yield notes due Aug. 20, 2012 linked to the Russell 2000 index, the United States Natural Gas Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCY5

• 9.5% annualized callable yield notes due Feb. 21, 2012 linked to the Russell 2000 index, the United States Natural Gas Fund, LP and the SPDR S&P Metals & Mining exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TDA6

• 4%-6% callable yield notes due Aug. 20, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCK5

• 6.25%-8.25% callable yield notes due Sept. 6, 2012 linked to the

S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 16; Cusip: 22546TCR0

• 10.5% to 11.5% annualized callable yield notes due Feb. 22, 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; pricing Aug. 17; Cusip: 22546TDB4

• 0% digital plus barrier notes due Aug. 26, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 19; Cusip: 22546TCS8

• Contingent coupon autocallable notes due Aug. 26, 2014 linked to the S&P 500 index, the Russell 2000 index and the iShares MSCI Emerging Markets index fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 19; Cusip: 22546TCV1

• 4% callable yield notes due Aug. 31, 2012 linked to the iShares MSCI Emerging Markets index fund and the iShares MSCI EAFE index fund; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22546TCW9

• 7.75%-9.75% annualized callable yield notes due Feb. 29, 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; pricing Aug. 26; Cusip: 22546TCL3

• 8.5%-10.5% annualized callable yield notes due Feb. 29, 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; pricing Aug. 26; Cusip: 22546TCN9

• High/low coupon callable yield notes due Aug. 31, 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 Aug. 26; Cusip: 22546TCCM1

• 7.75%-9.75% callable yield notes due Sept. 6, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCQ2

• 0% digital plus barrier notes due Sept. 8, 2015 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCT6

• 0% Cert PLUS securities due Sept. 6, 2016 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546TCU3




Prospect NewsThe

Structured


• 8.25%-10.25% annualized callable yield notes due March 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; pricing Aug. 31; Cusip: 22546TCP4

DEUTSCHE BANK AG, LONDON BRANCH

• 0% capped buffered underlying securities due Feb. 18, 2015 linked to the S&P 500 index, the iShares MSCI EAFE index fund, the SPDR S&P MidCap 400 ETF Trust, the iShares MSCI Emerging Markets index fund and the iShares Russell 2000 index fund; via Deutsche Bank Securities Inc.; pricing Aug. 10; Cusip: 2515A1AB7

• 0% performance securities due Aug. 20, 2012 linked to Australian dollar, the Canadian dollar, the Norwegian krone and the Swedish krona versus U.S. dollar; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Aug. 12; Cusip: 25154W100

• Commodities strategy securities due Aug. 20, 2013 linked to the Deutsche Bank Commodity Booster DJ UBS 14 TV Index Excess Return and the Deutsche Bank Commodity Harvest – 10 Index USD Total Return; via Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas; pricing Aug. 15; Cusip: 2515A1B91

• 0% market contribution securities due Aug. 21, 2013 linked to the Deutsche Bank Liquid Commodity Apex 14 index; via Deutsche Bank Securities Inc.; pricing Aug. 16; Cusip: 2515A1AC5

• Buffered return optimization securities due Feb. 20, 2013 linked to Brent crude futures contracts; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Aug. 19; Cusip: 25154W324

• Tracker notes due Aug. 29, 2014 linked to the SPDR S&P Dividend ETF and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc.; pricing Aug. 26; Cusip: 2515A1AG6

• 0% contingent return optimization securities due Aug. 30, 2013 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Aug. 26; Cusip: 25154W332

• 0% S&P plus tracker notes due Aug. 30, 2013 linked to the S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index (Emerald); via Deutsche Bank Securities Inc.; pricing Aug. 26; Cusip: 2515A18S3

• 0% PowerShares DB 3x Inverse Japanese Govt Bond Futures

exchange-traded notes due 2021 linked to the DB USD Inverse JGB Futures index and the DB 3-Month T-Bill index; via Deutsche Bank Securities Inc.; Cusip: 25154P188

• 0% PowerShares DB Inverse Japanese Govt Bond Futures exchange-traded notes due 2021 linked to the DB USD Inverse JGB Futures index and the DB 3-Month T-Bill index; via Deutsche Bank Securities Inc.; Cusip: 25154P170

EKSPORTFINANS ASA

• 0% Accelerated Return Notes due November 2012 linked to the gold; via Bank of America Merrill Lynch; pricing in August

GOLDMAN SACHS GROUP, INC.

• 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of PepsiCo, Inc.; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXJ5

• 0% leveraged index-linked notes due Aug. 22, 2012 tied to the S&P 500 index; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXL0

• 0% equity-linked trigger notes due Feb. 8, 2013 linked to the common stock of YUM! Brands, Inc.; via J.P. Morgan Securities LLC with Goldman Sachs & Co.; pricing Aug. 10; Cusip: 38143UXK2

• Callable step-up fixed-rate notes due February 2019; Goldman Sachs & Co. and Incapital LLC; settlement in August; Cusip: 38143UXE6

• Callable step-up fixed-rate notes due August 2029 with 5% initial rate; via Goldman Sachs & Co.; settlement in August; Cusip: 38143UXT3

• Callable step-up fixed-rate notes due August 2020; via Goldman Sachs & Co. and Incapital LLC; settlement in August; Cusip: 38143UXQ9

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

• 0% equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UXG1

• 0% buffered equity index-linked notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 38143UWP2




Prospect NewsThe

Structured


• 18- to 21-month 0% leveraged commodity strategy-linked notes linked to the Enhanced E96 Strategy on the S&P GSCI Light Energy Index Excess Return; via Goldman Sachs & Co.

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

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

• 0% 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% index-linked trigger notes due 18 months after issue tied to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38143UXU0

• 0% buffered index-linked notes due Jan. 29, 2015 linked to the S&P 500; via Goldman Sachs & Co.; Cusip: 38143UWN7

• 60-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; Cusip: 38143UXS5

• 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 index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.

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

• Callable quarterly range accrual notes linked to the S&P 500 index and the Libor rate; via Goldman Sachs & Co.; Cusip: 38143UWL1

• 15-year callable quarterly range accrual notes linked to the S&P 500 index and Libor; via Goldman Sachs & Co.; Cusip: 38143UXH9

• 0% buffered basket-linked notes tied to the S&P 500 index with a 67% weight and the MSCI EAFE index with a 33% weight; via Goldman Sachs & Co.

• 39- to 45-month 0% leveraged buffered basket-linked notes linked to the S&P 500 index and the MSCI EAFE index; via Goldman Sachs & Co.

• Five-year 0% 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

• Autocallable buffered index-linked notes linked to the worse of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38143UXR7

HSBC BANK USA NA

• 0.25%-0.75% income and performance certificates of deposit due Aug. 26, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via HSBC Securities (USA) Inc.; pricing Aug. 22; Cusip: 40431GWJ4

• Far East Opportunity Certificates of Deposit due Aug. 28, 2017 linked to a basket of the Hang Seng index, the Kospi 200 index, the MSCI Singapore Free index and the TWSE index; via HSBC Securities (USA) Inc.; pricing Aug. 22; Cusip: 40431GVZ9

• Annual income opportunity CDs with auto cap due Aug. 28, 2017 linked to common stock 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 Aug. 23; Cusip: 40431GWG0

• 0% certificates of deposit due Feb. 28, 2018 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc.; pricing Aug. 23; Cusip: 40431GWS4

• 0.25% accumulated annual return certificates of deposit due Aug. 29, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 40431GWU9

• Up to 3% income plus certificates of deposit due Aug. 30, 2018 linked to the stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40431GWY1




Prospect NewsThe

Structured


• Up to 5% income plus certificates of deposit due Aug. 30, 2018 linked to the stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40431GWZ8

• Up to 7.5% income plus certificates of deposit due Aug. 30, 2018 linked to the stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40431GXA2

• Up to 10% income plus certificates of deposit due Aug. 30, 2018 linked to the stocks of Altria Group, Inc., Eli Lilly & Co., Lockheed Martin Corp., Johnson & Johnson and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40431GXB0

• Annual income opportunity CDs with auto cap due Aug. 30, 2018 linked to common stocks of Amazon.com, Inc., Avon Products, Inc., Coca-Cola Co., Colgate-Palmolive Co., Exxon Mobil Corp., Intel Corp., Maxim Integrated Products, Inc., McDonald’s Corp., Merck & Co., Inc., Pfizer Inc., Philip Morris International and Qualcomm Inc.; via HSBC Securities (USA) Inc; pricing Aug. 25; Cusip: 40431GVX4

• Annual income opportunity CDs with auto cap due Aug. 30, 2018 linked to common stocks of Applied Materials, Inc., Biogen Idec Inc., BlackRock, Inc., Boston Scientific Corp., Companhia de Bebidas, eBay Inc., Harley-Davidson, Inc., Johnson & Johnson, Maxim Integrated Products, Inc., Monsanto Co., Potash Corp. and Vulcan Materials Co.; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40431GVV8

• Annual income opportunity CDs with auto cap due Aug. 31, 2017 linked to common stocks of ABB Ltd., Amgen Inc., Baidu, Inc., Barrick Gold Corp., BP plc, Canon Inc., Duke Energy Corp., Ecopetrol SA, Elan Corp. plc, Grupo Televisa SA, HDFC Bank Ltd. and Marvell Technology Group Ltd.; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40431GWV7

• Annual income opportunity certificates of deposit with auto cap due Aug. 31, 2016 linked to the common stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40431GWQ8

• Annual income opportunity CDs with auto cap due Aug. 31,

2017 linked to common stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (LLC) Inc.; pricing Aug. 26; Cusip: 40431GWM7

• Annual income opportunity certificates of deposit with auto cap due Aug. 31, 2017 linked to the common stocks of Alpha Natural Resources, AT&T, El Paso Corp., Ford Motor Co., Freeport-McMoRan Copper & Gold, Gap Inc., Las Vegas Sands Corp., Nvidia Corp., Pfizer Inc., Salesforce.com Inc., Time Warner Inc. and Xerox Corp.; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40431GWK1

• Annual income opportunity CDs with auto cap due Aug. 28, 2015 linked to common stocks of Applied Materials, Inc., Biogen Idec Inc., BlackRock, Inc., Boston Scientific Corp., Companhia de Bebidas das Americas, eBay Inc., Harley-Davidson, Inc., Johnson & Johnson, Maxim Integrated Products, Inc., Monsanto Co., Potash Corp. and Vulcan Materials Co.; via HSBC Securities (LLC) Inc.; pricing Aug. 25; Cusip: 40431GVW6

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due Feb. 26, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 19; Cusip: 4042K1LL5

• 0% buffered performance plus securities due Feb. 26, 2015 linked to the Dow Jones Industrial Average; via HSBC Securities (USA) Inc.; pricing Aug. 23; Cusip: 4042K1LN1

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LS0

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LW1

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LV3

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the iShares MSCI Emerging Markets index fund; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LR2




Prospect NewsThe

Structured


• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LU5

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LQ4

• 0% buffered Accelerated Market Participation Securities due Aug. 29, 2013 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LY7

• 0% Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LZ4

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LT8

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LP6

• 0% buffered Accelerated Market Participation Securities due Aug. 29, 2013 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 4042K1LX9

• 0% trigger Performance Leveraged Upside Securities due Feb. 22, 2013 linked to the iShares MSCI Brazil index fund; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40433C627

• Buffered return optimization securities due Aug. 30, 2013 linked to the Russell 2000 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433C619

• 0% trigger performance securities due Aug. 31, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433C593

JPMORGAN CHASE BANK, NA

• Fixed-to-floating-rate certificates of deposit due Aug. 10, 2020 linked to the Consumer Price Index; via agent J.P. Morgan Securities LLC and distributor Incapital LLC; settlement Aug. 10; Cusip: 48123YJ49

• Contingent coupon market-linked certificates of deposit due Aug. 25, 2017 linked copper, corn, cotton, nickel, palladium, silver, sugar, Brent crude oil, gasoline RBOB and the S&P GSCI

Livestock Index Excess Return; via J.P. Morgan Securities LLC; pricing Aug. 25; Cusip: 48123YJ23

• Digital contingent coupon certificates of deposit due Aug. 31, 2016 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 Aug. 26; Cusip: 48123YK62

• Digital contingent coupon certificates of deposit due Aug. 31, 2017 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 Aug. 26; Cusip: 48123YK70

• Digital contingent coupon certificates of deposit due Aug. 31, 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 Aug. 26; Cusip: 48123YL53

• Contingent coupon certificates of deposit due Aug. 31, 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 Aug. 26; Cusip: 48123YL61

• 0% certificates of deposit due Aug. 31, 2016 linked to an equally weighted basket of the Brazilian real, the Australian dollar, the Norwegian krone and the Canadian dollar relative to the U.S. dollar; via J.P. Morgan Securities LLC with Incapital LLC; pricing Aug. 26; Cusip: 48123YM37

• 0% certificates of deposit due Feb. 28, 2019 linked to the Dow Jones Industrial Average; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48123YL79

• 0% certificates of deposit due Feb. 28, 2017 linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Aug. 26; Cusip: 48123YJ80

• Index annual income certificates of deposit due Aug. 31, 2018 Continued on page 50



Prospect NewsThe

Structured


linked to the JPMorgan ETF Efficiente 5 index; via J.P. Morgan Securities LLC and distributor Incapital LLC; pricing Aug. 26; Cusip: 48123YK54

JPMORGAN CHASE & CO.

• 9% annualized autocallable yield notes due Feb. 15, 2012 linked to the Russell 2000 index and the SPDR S&P Metals & Mining exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 10; Cusip: 48125XG67

• 0% notes due Aug. 14, 2014 linked to a basket of the Brazilian real, the Australian dollar, the Norwegian krone and the Canadian dollar, relative to the U.S. dollar; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZW9

• 0% buffered notes due Feb. 14, 2013 linked to the Dow Jones-UBS Commodity index; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZX7

• 13.32%-15.32% reverse exchangeable notes due Feb. 16, 2012 linked to the common stock of Prudential Financial, Inc.; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XZY5

• 0% semiannual review notes due Aug. 21, 2013 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48125XA22

• 16.1% reverse convertible notes due Nov. 17, 2011 linked to AK Steel Holding Corp. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF27

• 0% capped daily observation knock-out notes due Aug. 29, 2012 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 48125XH90

• 15.3% reverse convertible notes due Feb. 17, 2012 linked to Baidu, Inc. (ADS) stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF92

• 12.5% reverse convertible notes due Feb. 17, 2012 linked to Bank of America Corp. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XG34

• Floating-rate notes due Aug. 17, 2022 linked to the Consumer Price Index; via J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 48125XC95

• 0% return enhanced notes due Feb. 17, 2012 linked to the price

of gold; via J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 48125XJ31

• 14.1% reverse convertible notes due Feb. 17, 2012 linked to Goodyear Tire & Rubber Co. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF84

• Callable fixed-rate step-up notes due Feb. 17, 2017; via J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 48125XJ23

• 14.8% reverse convertible notes due Feb. 17, 2012 linked to Las Vegas Sands Corp. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF76

• 19.8% reverse convertible notes due Nov. 17, 2011 linked to McMoRan Exploration Co. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF35

• 14.6% reverse convertible notes due Nov. 17, 2011 linked to MGM Resorts International stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF50

• 0% knock-out buffered equity notes due Feb. 15, 2013 linked to the S&P 500 index; 69.5% trigger; via J.P. Morgan Securities LLC; pricing April 12; Cusip: 48125XH82

• 0% capped index knock-out notes due Aug. 29, 2012 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 48125XH74

• 16.1% reverse convertible notes due Nov. 17, 2011 linked to Silvercorp Metals Inc. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF68

• 11.85% reverse convertible notes due Nov. 17, 2011 linked to Silver Wheaton Corp. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XF43

• 13% reverse convertible notes due Feb. 17, 2012 linked to Valero Energy Corp. stock; via JPMorgan; pricing Aug. 12; Cusip: 48125XG26

• 6.5%-7.5% single observation callable yield notes due Nov. 27, 2012 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Aug. 19; Cusip: 48125XA48

• Callable fixed-rate step-up notes due Aug. 25, 2023 with 4% initial rate; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 48125XC79




Prospect NewsThe

Structured


• 0% notes due Aug. 28, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 23; Cusip: 48125XH58

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the iShares MSCI EAFE index fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD45

• 0% return notes due Nov. 30, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE51

• 0% return notes due Nov. 30, 2012 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE93

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD60

• 10% callable yield notes due Aug. 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD94

• 10% callable yield notes due Aug. 31, 2012 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE28

• 0% buffered return enhanced notes due Feb. 28, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD78

• 0% buffered return enhanced notes due Aug. 30, 2013 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XD86

• 0% buffered equity notes due Aug. 29, 2014 linked to S&P 500 index, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 90% trigger; via JPMorgan Securities LLC; pricing Aug. 26; Cusip: 48125XD52

• 10% callable yield notes due Aug. 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 48125XE36

• 10% callable yield notes due Aug. 31, 2012 linked to the SPDR S&P Metals & Mining exchange-traded fund and the iShares MSCI Brazil index fund; via J.P. Morgan Securities LLC; pricing Aug. 26;

Cusip: 48125XE44

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

MORGAN STANLEY

• 0% currency-linked participation notes due Feb. 19, 2013 linked to the Australian dollar, the Indonesian rupiah, the Malaysian ringgit and the South Korean won; via agent Morgan Stanley & Co. LLC and dealer J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 617482SC9

• Leveraged notes due Aug. 12, 2031 linked to 30-year Constant Maturity Swap rate and the two-year CMS rate; via Morgan Stanley & Co. LLC; settlement Aug. 12; Cusip: 61745E4S7

• Floating-rate notes due Aug. 12, 2023; via Morgan Stanley & Co. LLC; settlement Aug. 12; Cusip: 61745E4Y4

• Fixed-to-floating notes due Aug. 12, 2023 linked to the Consumer Price Index; via Morgan Stanley & Co. LLC; settlement Aug. 12; Cusip: 61745E6Y2

• Floating-rate notes due Aug. 26, 2016; via Morgan Stanley & Co. LLC; settlement Aug. 26; Cusip: 61745E6L0

• CMS curve and S&P 500 index-linked range accrual notes due Aug. 22, 2031; via Morgan Stanley & Co. LLC; settlement Aug. 22; Cusip: 61745E5Y3

• Non-callable contingent coupon notes due Aug. 26, 2031 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 23; Cusip: 617482XB5

• Fixed-to-floating notes due Aug. 24, 2023 linked to the Consumer Price Index; via Morgan Stanley & Co. LLC; settlement Aug. 24; Cusip: 61745E6E6

• 0% participation securities due Aug. 26, 2013 linked to the Backwardation Enhanced S&P GSCI Light Energy Commodity Index – Excess Return; via Morgan Stanley & Co. LLC; pricing Aug. 25; Cusip: 617482VR2

• 7%-9% annualized Equity LinKed Securities due Feb. 23, 2012 linked to Baker Hughes Inc. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Aug. 25; Cusip: 61760E192

• 7%-9% annualized Equity LinKed Securities due Feb. 23, 2012




Prospect NewsThe

Structured


linked to Freeport-McMoRan Copper & Gold Inc. shares; 80% trigger; via Morgan Stanley & Co. Inc.; pricing Aug. 25; Cusip: 61760E176

• Contingent income autocallable securities due Aug. 27, 2012 linked to Wells Fargo & Co. common stock; via Morgan Stanley & Co. LLC; pricing Aug. 25; Cusip: 61760E184

• Fixed-to-floating notes due Aug. 26, 2023 linked to the 10-year Constant Maturity Swap rate; via Morgan Stanley & Co. LLC; settlement Aug. 26; Cusip: 61745E6S5

• Contingent annual interest notes due Aug. 31, 2016 linked to the common stocks of Abbott Laboratories, Altria Group, Inc., Bristol-Myers Squibb Co., Consolidated Edison, Inc., Duke Energy Corp., FirstEnergy Corp., Frontier Communications Corp., Johnson & Johnson, Kraft Foods Inc., Lockheed Martin Corp., McDonald’s Corp., Merck & Co., Inc., Pepco Holdings, Inc., Pfizer Inc., Pitney Bowes Inc., PPL Corp., Sysco Corp., TECO Energy, Inc., Verizon Communications Inc. and Windstream Corp.; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WU4

• Contingent coupon commodity-linked notes due Aug. 31, 2015 linked to Brent blend crude oil, copper, corn, cotton, gasoline RBOB, nickel, palladium, silver, sugar and the S&P GSCI Livestock Index – Excess Return; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482VP6

• 0% commodity-linked notes due Aug. 31, 2017 linked to the Dow Jones-UBS Commodity index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482VQ4

• 0% equity-linked notes due Aug. 31, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WR1

• 0% buffered jump securities due Feb. 27, 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WS9

• 0% Target Optimized Participation Securities due Aug. 31, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 617482WT7

• 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.(dealer) and Morgan Stanley & Co. LLC (agent); pricing Aug. 26; Cusip: 61760E234

• Contingent income autocallable securities due August 2012 based on the performance of Brent blend crude oil; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 617482VS0

• 0% buffered Performance Leveraged Upside Securities due October 2012 linked to the iShares MSCI EAFE index fund; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61760E267

• 0% buffered jump securities due February 2015 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61760E242

• 0% buffered Performance Leveraged Upside Securities due February 2013 linked to S&P 500 index, the iShares MSCI EAFE index fund and the iShares MSCI Emerging Markets index fund; 90% trigger; via Morgan Stanley & Co. Inc.; pricing in August; Cusip: 617482XA7

NOMURA AMERICA FINANCE, LLC

• Callable step-up notes due Aug. 24, 2019; via Nomura Securities International, Inc.; settlement Aug. 24; Cusip: 65539AAY6

ROYAL BANK OF CANADA

• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Aug. 11; Cusip: 78008TLL6

• 0% buffered bullish enhanced return notes due Feb. 14, 2013 linked to the SPDR S&P MidCap 400 exchange-traded fund trust; via RBC Capital Markets, LLC; pricing Aug. 11; Cusip: 78008TLM4

• 11.5%-15.5% reverse convertible notes due Feb. 16, 2012 linked to Whirlpool Corp. shares; 80% trigger; via RBC Capital Markets Corp.; pricing Aug. 11; Cusip: 78008TLN2

• Redeemable step-up notes due Aug. 12, 2022; via RBC Capital Markets, LLC; settlement Aug. 12; Cusip: 78008TMD3

• 0% return enhanced notes due Feb. 19, 2013 linked to the performance of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi relative to the dollar; via Barclays Capital Inc. with JPMorgan Chase Bank, NA and JPMorgan Securities LLC; pricing Aug. 12; Cusip: 06738KRT0

• 0% target yield notes due Feb. 12, 2018 linked to the 10-year U.S. Constant Maturity Swap rate; via RBC Capital Markets, LLC; settlement Aug. 12; Cusip: 78008TML5




Prospect NewsThe

Structured


• 0% allocation optimizer notes due Aug. 15, 2014 linked to the S&P 500 index, the S&P Midcap 300 index and the Russell 2000 index; via RBC Capital Markets, LLC; pricing Aug. 12; Cusip: 78008TLR3

• 16.75% reverse convertible notes due Nov. 18, 2011 linked to Acme Packet, Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNF7

• 13% reverse convertible notes due Nov. 18, 2011 linked to AK Steel Holding Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNE0

• 13.75% reverse convertible notes due Nov. 18, 2011 linked to Arch Coal, Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TND2

• 17% reverse convertible notes due Nov. 18, 2011 linked to ATP Oil & Gas Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNG5

• 12.5% reverse convertible notes due Nov. 18, 2011 linked to Bank of America Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNH3

• 10.25% reverse convertible notes due Nov. 18, 2011 linked to Blackstone Group LP stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNK6

• 8.5% reverse convertible notes due Aug. 20, 2012 linked to Caterpillar Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPD0

• 15.25% reverse convertible notes due Nov. 18, 2011 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNL4

• 8% reverse convertible notes due Aug. 20, 2012 linked to Deer & Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPE8

• 13% reverse convertible notes due Feb. 21, 2012 linked to El Dorado Gold Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNW0

• 9.25% reverse convertible notes due Feb. 21, 2012 linked to Ford Motor Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNX8

• 11% reverse convertible notes due Nov. 18, 2011 linked to Foster

Wheeler AG stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNM2

• 15% reverse convertible notes due Nov. 18, 2011 linked to Goodyear Tire & Rubber Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNN0

• 10.25% reverse convertible notes due Feb. 21, 2012 linked to Halliburton Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNY6

• 10.5% reverse convertible notes due Feb. 21, 2012 linked to Hartford Financial Services Group stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNZ3

• 12.25% reverse convertible notes due Nov. 18, 2011 linked to Hecla Mining Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNP5

• 10.25% reverse convertible notes due Feb. 21, 2012 linked to International Paper Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPB4

• 18.5% reverse convertible notes due Nov. 18, 2011 linked to JDS Uniphase Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNQ3

• 14.75% reverse convertible notes due Nov. 18, 2011 linked to Las Vegas Sands Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNS9

• 8.25% reverse convertible notes due Aug. 20, 2012 linked to Lorillard, Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPF5

• 18.75% reverse convertible notes due Nov. 18, 2011 linked to Lululemon Athletica, Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNR1

• 11.25% reverse convertible notes due Feb. 21, 2012 linked to Mosaic Co. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPA6

• 15.25% reverse convertible notes due Nov. 18, 2011 linked to Netflix Inc. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNT7

• 14.5% reverse convertible notes due Nov. 18, 2011 linked to Sears Holdings Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNU4




Prospect NewsThe

Structured


• 10.75% reverse convertible notes due Nov. 18, 2011 linked to Tesoro Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TNV2

• 13.75% reverse convertible notes due Feb. 21, 2012 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing Aug. 15; Cusip: 78008TPC2

• Callable capped CMS steepener notes due Aug. 18, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBC Capital Markets, LLC; settlement Aug. 18; Cusip: 78008TLZ5

• 0% commodity-linked notes due Aug. 27, 2014 tied to the BNP Paribas Millenium Long/Short Commodities USD Excess Return index; via RBC Capital Markets, LLC; pricing Aug. 24; Cusip: 78008TLS1

• 0% market-linked notes due March 1, 2016 linked to the Dow Jones-UBS Commodity index; via RBS Securities Inc. with SIP America LLC; pricing Aug. 26; Cusip: 78009PBM2

• 0% buffered bullish enhanced return notes due Aug. 30, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Aug. 26; Cusip: 78008TMS0

• 0% buffered bullish enhanced return notes due Aug. 30, 2013 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Aug. 26; Cusip: 78008TMT8

• 0% return optimization securities due Sept. 28, 2012 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 26; Cusip: 780010T811

• Autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the Energy Select Sector SPDR fund; via Wells Fargo Securities, LLC; pricing in August; Cusip: 78008TMR2

• Autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in August; Cusip: 78008TMQ4

• Autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the iShares Russell 2000 index fund; via Wells Fargo Securities, LLC; pricing in August; Cusip: 78008TMN1

• 0% Strategic Accelerated Redemption Securities due September 2012 linked to the Russell 2000 index; via Bank of America Merrill

Lynch; pricing in August

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

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

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

• 0% growth securities with capped upside due Nov. 1, 2012 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing in August; Cusip: 78008TMX9

• 0% Accelerated Return Notes due October 2012 linked to the S&P MidCap 400 index; via Bank of America Merrill Lynch; pricing in August

• Autocallable access securities with fixed percentage buffered downside due Sept. 3, 2013 linked to the SPDR S&P Metals & Mining exchange-traded fund; via Wells Fargo Securities, LLC; pricing in August; Cusip: 78008TMP6

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

• 0% growth securities with capped upside and buffered downside due March 1, 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; pricing in August; Cusip: 78008TNC4

ROYAL BANK OF SCOTLAND PLC

• Annual reset coupon notes with fixed buffer due Aug. 15, 2014 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 10; Cusip: 78009PBJ9

• Annual reset coupon notes with fixed buffer due Aug. 15, 2016 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 10; Cusip: 78009PBH3

• Capped callable leveraged steepener notes due Aug. 26, 2031 linked to the 30-year and two-year Constant Maturity Swap rates; via RBS Securities Inc.; pricing Aug. 23; Cusip: 78009PBK6




Prospect NewsThe

Structured


• 0% capped enhanced participation notes with fixed buffer due Sept. 3, 2013 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 26; Cusip: 78009PBL4

• 0% capped market-linked notes due Feb. 28, 2017 linked to the S&P 500 index; via RBS Securities Inc.; pricing Aug. 26; Cusip: 78009PBG5

• 0% direct investment notes due Oct. 9, 2012 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Sept. 6; Cusip: 78008TMU5

• RBS BRIC Trendpilot notes due 2041; via RBS Securities Inc.; Cusip: 78009P119

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due November 2012 linked to the Front Month Palladium Futures Contract; via Bank of America Merrill Lynch; pricing in August

UBS AG, JERSEY BRANCH

• Callable step-up fixed-rate notes due Aug. 17, 2021; via UBS Securities LLC and UBS Investment Bank; settlement Aug. 17; Cusip: 90261JHK2

• Callable step-up fixed-rate notes due Aug. 24, 2018; via UBS Securities LLC and UBS Investment Bank; settlement Aug. 24; Cusip: 90261JHL0

UBS AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Aug. 16, 2012 linked to Apple Inc. common stock; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 12; Cusip: 90268B525

• 0% trigger autocallable optimization securities due Aug. 25, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 19; Cusip: 90268B681

• 0% trigger performance securities due Aug. 31, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Aug. 26; Cusip: 90268B251

UNION BANK, NA

• 0% quarterly capped return market-linked certificates of deposit due Aug. 26, 2015 linked to the S&P 500 index; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 23; Cusip: 90521AGP7

• 0% market-linked certificates of deposit due Aug. 26, 2016 linked to the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 24; Cusip: 90521AGQ5

• 0% quarterly capped return market-linked certificates of deposit due Feb. 26, 2015 linked to the price of gold; via agent UnionBanc Investment Services, LLC and distributor Incapital LLC; pricing Aug. 24; Cusip: 90521AGN2

WELLS FARGO BANK, NA

• 0% market-linked certificates of deposit due Aug. 25, 2017 linked to a basket of the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi, relative to the U.S. dollar; via Incapital LLC as distributor; pricing Aug. 22; Cusip: 949748J65

• 0% certificates of deposit due Aug. 31, 2018 linked to the S&P 500 index; via distributor Incapital LLC; pricing Aug. 24; Cusip: 949748K22

• Contingent annual interest market-linked certificates of deposit due Aug. 27, 2018 linked to the common stocks of Altria Group, Inc., American Electric Power, Bristol-Myers Squibb Co., Carnival Corp., Colgate Palmolive Co., Duke Energy Corp., Exxon Mobil Corp., Frontier Communications Corp., General Electric Co., International Business Machines Corp., International Paper Co., Johnson & Johnson, JPMorgan Chase & Co., Microsoft Corp., Nucor Corp., Occidental Petroleum Corp., Travelers Cos., Inc., Time Warner, Inc., Verizon Communications Inc. and Waste Management, Inc.; via distributor Advisors Asset Management, Inc.; pricing Aug. 25; Cusip: 949748J99

WELLS FARGO & CO.

• Step-up callable notes due August 2024; via Wells Fargo Securities, LLC; pricing in August; Cusip: 94986RFD8

• 0% growth securities with upside participation to a cap and fixed percentage buffered downside due March 2015 linked to the iShares MSCI Emerging Markets index fund; via Wells Fargo Securities, LLC; pricing in September; Cusip: 94986REZ0

• 0% growth securities due March 2015 linked to the S&P 500 index; 90% trigger; via Wells Fargo Securities, LLC; pricing in September; Cusip: 94986REY3

• 0% growth securities due March 2015 linked to silver, copper, nickel, corn, soybeans, cotton, Brent crude oil and RBOB gasoline; 85% trigger; via Wells Fargo Securities, LLC; pricing in September; Cusip: 94986RFC0



Prospect NewsThe

Structured

DailyProductsRecent Structured Products Deals

Priced Issuer Issue Manager Amount Coupon Maturity Fees($mln)

8/9/2011 Credit Suisse AG, Nassau Branch callable yield notes (Russell 2000 index, SPDR S&PMetals & Mining ETF and Market Vectors Gold Miners

Credit Suisse $14.865 13.20% 2/13/2012 1.75%

8/9/2011 UBS AG, London Branch reverse convertible notes (Ford Motor Co.) UBS $0.215 17.57% 2/14/2012 2.65%

8/9/2011 UBS AG, London Branch trigger phoenix autocallable optimization securities(General Electric Co.)

UBS $0.1 Formula 8/16/2012 1.00%

8/9/2011 UBS AG, London Branch trigger phoenix autocallable optimization securities(JPMorgan Chase & Co.)

UBS $0.1 Formula 8/16/2012 1.00%

8/9/2011 UBS AG, London Branch trigger yield optimization notes (General Electric Co.) UBS $0.20992188 8.590% 8/14/2012 2.00%

8/9/2011 UBS AG, London Branch trigger yield optimization securities (Microsoft Inc.) UBS $0.21484642 6.690% 8/14/2012 2.00%

8/5/2011 UBS AG, London Branch trigger yield optimization notes (Oracle Corp.) UBS $7.03150875 9.500% 8/10/2012 2.00%

8/5/2011 UBS AG, London Branch trigger yield optimization notes (Pan American SilverCorp.)

UBS $1.7606652 13.250% 8/10/2012 2.00%

8/5/2011 UBS AG, London Branch trigger yield optimization notes (Wynn Resorts Ltd.) UBS $2.02659635 12.000% 8/10/2012 2.00%

8/8/2011 UBS AG, London Branch trigger phoenix autocallable optimization securities(Adobe Systems Inc.)

UBS $0.1 Formula 8/15/2012 0.0137

8/8/2011 UBS AG, London Branch trigger phoenix autocallable optimization securities(Apple Inc.)

UBS $0.1 Formula 8/15/2012 0.0137

8/5/2011 Barclays Bank plc Barclays Perpetual Rolling Open Structure ProtectingEquity Returns exchange-traded fund notes (Barclays

Barclays $0.308 0.000% 9/8/2016 0.00%

8/5/2011 Barclays Bank plc notes (S&P 500) JPMorgan $54.761 0.000% 2/8/2013 1.25%

8/5/2011 Barclays Bank plc trigger phoenix autocallable optimization securities(Avon Products, Inc.)

Barclays $1.78931 Formula 8/9/2012 1.50%

8/5/2011 Barclays Bank plc trigger phoenix autocallable optimization securities(Caterpillar Inc.)

Barclays $15.80389 Formula 8/9/2012 1.50%

8/5/2011 Citigroup Funding Inc. Premium Mandatorily Callable Equity-LinkedSecurities (S&P 500 index)

Citigroup $2.187 0.000% 8/8/2014 0.50%

8/5/2011 Credit Suisse AG, Nassau Branch VelocityShares daily inverse VIX short-termexchange-traded notes (S&P 500 VIX Short-Term

Credit Suisse $30 0.000% 12/4/2030 0.00%

8/5/2011 Credit Suisse AG, Nassau Branch VelocityShares daily 2x VIX short-termexchange-traded notes (S&P 500 VIX Short-Term

Credit Suisse $20 0.000% 12/4/2030 0.00%

8/5/2011 Credit Suisse AG, Nassau Branch VelocityShares VIX short-term exchange-traded notes(S&P 500 VIX Short-Term Futures)

Credit Suisse $2.5 0.000% 12/4/2030 0.00%

8/5/2011 Deutsche Bank AG, LondonBranch

S&P plus tracker notes (S&P 500 Total Return indexand the Deutsche Bank Equity Mean Reversion Alpha

Deutsche Bank $10.45 0.000% 8/11/2014 0.25%

8/5/2011 Deutsche Bank AG, LondonBranch

S&P plus tracker notes (S&P 500 Total Return indexand Deutsche Bank Equity Mean Reversion Alpha

Deutsche Bank $31.35 0.000% 8/11/2014 0.25%

8/5/2011 Goldman Sachs Group, Inc. equity-linked trigger notes (PepsiCo, Inc.) JPMorgan $2.451 0.00% 2/8/2013 1.35%

8/5/2011 Goldman Sachs Group, Inc. leveraged index-linked notes (S&P 500) JPMorgan $2.993 0.000% 8/22/2012 1.10%

8/5/2011 HSBC USA Inc. annual income opportunity securities with auto cap(basket of stocks)

HSBC $13.179 Formula 8/12/2016 3.00%

8/5/2011 JPMorgan Chase & Co. return enhanced notes (S&P 500) JPMorgan $10.662 0.000% 8/22/2012 0.10%

8/5/2011 JPMorgan Chase & Co. single review notes (iShares MSCI Japan index fund) JPMorgan $0.75 0.000% 9/10/2012 0.25%

8/5/2011 Royal Bank of Canada trigger yield optimization notes (Southwestern EnergyCo.)

UBS $2.5178699 12.000% 2/10/2012 1.00%

8/5/2011 Royal Bank of Canada trigger yield optimization notes (Staples, Inc.) UBS $1.79169696 9.770% 2/10/2012 1.00%

8/5/2011 Royal Bank of Canada trigger yield optimization notes (Talisman Energy Inc.) UBS $1.46479226 10.540% 2/10/2012 1.00%

8/5/2011 Royal Bank of Canada trigger yield optimization notes (VertexPharmaceuticals Inc.)

UBS $3.018858 12.75% 2/10/2012 1.00%


Prospect NewsThe

Structured

DailyProductsMarket Data

Structured Products New Issue Volume by Week

($ blns)

$2

$4

$6

$8

8/8/

2010

9/12

/201

0

10/1

7/20

10

11/2

1/20

10

12/2

6/20

10

1/30

/201

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3/6/

2011

4/10

/201

1

5/15

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1

6/19

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7/24

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