Regatta Strikes During Market Sell Off

Wednesday August 10, 2011
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Current Year
Year to Date: $43.850 billion in 4118 deals Quarter to Date: $4.990 billion in 672 deals Month to Date: $0.524 billion in 94 deals
Previous Year
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$35.411 billion in 4125 deals $5.880 billion in 479 deals $2.410 billion in 47 deals
With volatility up, skip reverse convertibles and think digital, says portfolio manager
By 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 Thursdays and Fridays close, he said. He added a third deal on Tuesday. 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
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$16.562 billion in 278 deals $18.761 billion in 2862 deals $8.016 billion in 1878 deals $10.434 billion in 947 deals $1.054 billion in 104 deals $6.184 billion in 380 deals $3.299 billion in 171 deals $62.076 billion in 1599 deals
$11.125 billion in 93 deals $15.711 billion in 3003 deals $5.745 billion in 2183 deals $9.749 billion in 787 deals $1.242 billion in 129 deals $3.589 billion in 278 deals $4.371 billion in 230 deals
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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
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Morgan Stanley plans contingent income autocallables on Brent crude

By 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 Continued on page 3
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Continued from page 1 or equal to the initial fund level, the notes will be automatically called at par plus a premium of 15.35%. 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 didnt 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.
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With volatility up, skip reverse convertibles and think digital, says portfolio manager
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 doesnt follow the Asian markets said that the JPMorgan notes linked to the S&P 500 fund are attractive. Its not a bad deal. I like the structure. Its simple, easy to understand, he said. Its also nice to be able to get 15% even if the index doesnt 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 finalday barrier is preferable to the Americanstyle barriers built into reverse convertibles. When the performance is reviewed just once, at the end, its different, he said. In the meantime, you can go down and go back up. But with a reverse convertible, you hit the trigger and thats a done deal. I would look at a reverse convertible if I had a good feel for a stock and if I didnt mind owning it. Otherwise, volatility being what it is and its going to get worse because people dont realize how bad it is I would stay away from them.
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 were 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. Its 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 dont know when and if youre going to get called. With these, you have a fixed maturity. Thats a big difference, he said.
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, its an additional 2% for our clients. Thats a 20% return. Its fairly substantial, he said. Greschner is also bullish on Asian
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
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By 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
JPMorgan to price capped seven-year notes linked to S&P 500 index

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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 Markets

By 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 funds 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 funds 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 2000

By 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 funds 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 funds 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.
UBS plans to price trigger autocallable securities linked to S&P 500

By 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.
Morgan Stanley plans contingent income autocallables on Brent crude

Continued from page 1 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.
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By 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
RBC plans to price growth securities tied to S&P 500 via Wells Fargo

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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 500
By 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 trust
By 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 Microsoft

By 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.
UBS plans trigger phoenix autocallable securities linked to 3M shares

By 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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By 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
Barclays plans capped market plus notes linked to krone via JPMorgan
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.

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Barclays to price return enhanced notes linked to BRIC currencies

By 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, Libor
By 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 EAFE

By 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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By 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
Goldman plans callable step-up notes due 2029 with 5% initial rate

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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 fund

By 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 leastperforming 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 Apple

By 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.
JPMorgan to price capped index knock-out notes tied to S&P 500 index
By 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.
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Deutsche now to price buffered return optimization notes linked to Brent crude on Aug. 19
By 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.

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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 index
By 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 indexs 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 500

By 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.
JPMorgan plans two-year knock-out buffered equity notes on S&P 500

By 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.
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By 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%
Morgan Stanley plans 0% buffered PLUS linked to index, fund basket

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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 500

By Jennifer Chiou New York, Aug. 9 Morgan Stanley plans to price 0% knockout 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 SPDR
By 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 funds 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 funds 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.
RBC plans autocallable access notes tied to SPDR S&P Metals & Mining
By 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 funds 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 funds 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.
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Bank of America to price 15-year dual range accrual notes linked to six-month Libor, S&P 500 index
By 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.

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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 JPMorgan
By 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 fund

By 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 rate
New York, Aug. 9 - Federal Home Loan Banks upsized to $160 million its sale of 2.5% initial rate 10-year callable step up notes at par, according to the agency s web Issuer: Issue: Amount: Maturity: Coupon: Price: site. The bonds will mature on Aug. 25, 2021 and have a Bermuda call. FHLB originally priced $150 million of Call: Pricing date: Settlement date: Underwriter: Cusip: the issue. Incapital is the manager. Bermuda call Aug. 3 Aug. 25 Incapital 313375A49

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Prospect News
Federal Home Loan Banks Step up notes $160 million Aug. 25, 2021 2.5% initial rate Par
New Issue: FHLB upsizes to $65 million five-year callable step up notes at 1% initial rate
New York, Aug. 9 - Federal Home Loan Banks upsized to $65 million its sale of 1% initial rate five-year callable step up notes at par, according to the agency s web Issuer: Issue: Amount: Maturity: Coupon: Price: site. The bonds will mature on Aug. 25, 2016 and have a Canary call. FHLB originally priced $55 million of Call: Pricing date: Settlement date: Underwriters: Cusip: the issue. Morgan Keegan and Vining Sparks are the managers. Canary call Aug. 3 Aug. 25 Morgan Keegan and Vining Sparks 3133756W2
Federal Home Loan Banks Step up notes $65 million Aug. 25, 2016 1% initial rate Par
Page 10
New Issue: FHLB prices $35 million five-year callable step up notes at 1% initial rate
New York, Aug. 9 - Federal Home Loan Banks priced $35 million of 1% initial rate five-year callable step up notes at Issuer: Issue: Amount: Maturity: Coupon: Price: par, according to the agency s web site. The bonds will mature on Sept. 7, 2016 and have a Bermuda call. Call: Pricing date: Settlement date: Underwriter: Cusip: Incapital is the manager.

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Prospect News
Federal Home Loan Banks Step up notes $35 million Sept. 7, 2016 1% initial rate Par
Bermuda call Aug. 8 Sept. 7 Incapital 313375BC0
New Issue: FHLB upsizes to $25 million 3.25-year callable step up notes at 0.5% initial rate
New York, Aug. 9 - Federal Home Loan Banks upsized to $25 million its sale of 0.5% initial rate 3.25-year callable step up notes at par, according to the agency s Issuer: Issue: Amount: Maturity: Coupon: Price: web site. The bonds will mature on Nov. 25, 2014 and have a Bermuda call. FHLB originally priced $15 million of Call: Pricing date: Settlement date: Underwriter: Cusip: the issue. Incapital is the manager. Bermuda call Aug. 3 Aug. 25 Incapital 3133756U6
Federal Home Loan Banks Step up notes $25 million Nov. 25, 2014 0.5% initial rate Par
Page 11
New Issue: FHLB upsizes to $25 million 15-year callable step up notes at 3% initial rate
New York, Aug. 9 - Federal Home Loan Banks upsized to $25 million its sale of 3% initial rate 15-year callable step up notes at par, according to the agency s web Issuer: Issue: Amount: Maturity: Coupon: Price: site. The bonds will mature on Aug. 25, 2026 and have a Bermuda call. FHLB originally priced $15 million of Call: Pricing date: Settlement date: Underwriter: Cusip: the issue. Incapital is the manager. Bermuda call Aug. 8 Aug. 25 Incapital 313375B97

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Prospect News
New Issue: Freddie Mac prices $25 million five-year non-call 0.25-year step up notes at 1% initial rate
New York, Aug. 9 - Freddie Mac price- site. d $25 million of 1% initial rate five-year The bonds will mature on Aug. 25, non-call 0.25-year step up medium-term 2016 and have a Bermuda call beginning notes at par, according to the agency s web Nov. 25. Issuer: Issue: Amount: Maturity: Coupon: Freddie Mac Step up medium-term notes $25 million Aug. 25, 2016 1% from Aug. 25, 3.25% from Aug. 25, 2013 Price: Call: Pricing date: Settlement date: Underwriter: Cusip: First Tennessee Bank NA Memphis is the manager. Par Bermuda call beginning Nov. 25 Aug. 8 Aug. 25 First Tennessee Bank NA Memphis 3134G2XG2
Page 12
New Issue: Freddie Mac prices $25 million five-year non-call 0.5-year step up notes at 1.5% initial rate
New York, Aug. 9 - Freddie Mac price- at par, according to the agency s web site. d $25 million of 1.5% initial rate five-year The bonds will mature on Aug. 24, non-call 0.5-year step up medium-term notes 2016 and have a Bermuda call beginning Issuer: Issue: Amount: Maturity: Coupon: Freddie Mac Step up medium-term notes $25 million Aug. 24, 2016 1.5% from Aug. 24, 1.75% from Aug. 24, 2013, 2% from Aug. 24, 2014, 2.375% from Aug. 24, 2015, 3.25% Feb. 24, 2012.

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Prospect News
Stifel Nicolaus is the manager. from Feb. 24, 2016 Par Bermuda call beginning Feb. 24, 2012 Aug. 8 Aug. 24 Stifel Nicolaus 3134G2XK3
Price: Call: Pricing date: Settlement date: Underwriter: Cusip:
New Issue: FHLB prices $15 million 12-year callable step up notes at 2% initial rate
New York, Aug. 9 - Federal Home Loan Banks priced $15 million of 2% initial rate 12-year callable step up notes at Issuer: Issue: Amount: Maturity: Coupon: Price: par, according to the agency s web site. The bonds will mature on Aug. 25, 2023 and have a Canary call. Call: Pricing date: Settlement date: Underwriter: Cusip: Mesirow is the manager.
Canary call Aug. 8 Aug. 25 Mesirow 313375BB2
New Issue: FHLB prices $15 million 8.25-year callable step up notes at 2% initial rate
New York, Aug. 9 - Federal Home par, according to the agency s web site. Loan Banks priced $15 million of 2% The bonds will mature on Nov. 25, initial rate 8.25-year callable step up notes at 2019 and have a Bermuda call. Issuer: Issue: Amount: Maturity: Coupon: Price: Federal Home Loan Banks Step up notes $15 million Nov. 25, 2019 2% initial rate Par Call: Pricing date: Settlement date: Underwriter: Cusip: Incapital is the manager.
Bermuda call Aug. 9 Aug. 25 Incapital 313375BF3
Page 13
New Issue: FHLB prices $15 million 10-year callable step up notes at 1.5% initial rate
New York, Aug. 9 - Federal Home Loan Banks priced $15 million of 1.5% initial rate 10-year callable step up notes at Issuer: Issue: Amount: Maturity: Coupon: Price: par, according to the agency s web site. The bonds will mature on Aug. 23, 2021 and have a Bermuda call. Call: Pricing date: Settlement date: Underwriter: Cusip: First Tennessee is the manager.

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Prospect News
Federal Home Loan Banks Step up notes $15 million Aug. 23, 2021 1.5% initial rate Par
Bermuda call Aug. 9 Aug. 23 First Tennessee 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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: UBS AG, London Branch Trigger phoenix autocallable optimization securities Dow Chemical Co. (NYSE: DOW) $150,000 Aug. 16, 2012 19.85%, payable monthly, if stock closes at or above trigger price on observation date for that month Par of $10.00 If notes are not called and shares finish at or above trigger price, par plus contingent coupon; otherwise, 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. full exposure to decline in share price $29.36 $17.62, or 60% of initial price At par plus contingent coupon if share price at or above initial price on any monthly observation date Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 1.25% 90268B764
Initial price: Trigger price: Call option:
Price: Payout at maturity:
Pricing date: Settlement date: Underwriters: Fees: Cusip:
Page 14
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 fixedrate callable notes due Aug. 11, 2026 to upsize the amount to about $12.1 million, up from the original $1 million, according Issuer: Issue: Amount: Maturity: Coupon: 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 Payout at maturity: Call option: Pricing date: Settlement date: Agent: Fees: Cusip:

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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. Par At par on interest payment dates starting June 15, 2012 July 11 for $1 million; Aug. 8 for $11,005,000 and $90,000 Aug. 11 Barclays Capital Inc. 3% 06738KPG0
Price:
Barclays Bank plc Step-up fixed-rate callable notes $12,095,000, up from original $1 million Aug. 11, 2026 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 Variable
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 indexs closing level remains at or above the barrier level 75% of the initial level during the life of the notes, the payout Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: Barclays Bank plc Notes S&P 500 $54,761,000 Feb. 8, 2013 0% Par If index never dips below 75% trigger, par plus greater of index return and 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. 5%; otherwise, par plus index return with exposure to losses 1,199.38 Aug. 5 Aug. 10 JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC 1.25% 06738KRS2
Initial level: Pricing date: Settlement date: Agents: Fees: Cusip:
Page 15
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 Issuer: Issue: 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 portfolios 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. Coupon: Price: Payout at maturity:

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Prospect News
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. 0% Variable prices Greater of unit value on July 26, 2016 and minimum protection level, which is 85% of highest unit value recorded up to that point 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 Aug. 5 Sept. 8 Barclays Capital Inc. None 06738KRA1
Underlying:
Amount: Maturity:
Barclays Bank plc Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes 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 $308,000 Sept. 8, 2016
Unit value:
Pricing date: Settlement date: Agent: Fees: Cusip:
Page 16
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 Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: 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

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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. 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 $100 At minimum of 25,000 notes Nov. 29, 2010 for original $15 million; Aug. 5 for latest add-on Dec. 2, 2011 for original issue; Aug. 10 for latest add-on Credit Suisse Securities (USA) LLC NYSE Arca: TVIX 22542D761
Credit Suisse AG, Nassau Branch VelocityShares Daily 2x VIX ShortTerm exchange-traded notes S&P 500 VIX Short-Term Futures $812 million, increased from original $15 million Dec. 4, 2030 0% Par of $100 for original $15 million; 34.66 for add-on Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily
Initial value Put option: Pricing dates: Settlement dates: Underwriter: Listing: Cusip:
Page 17
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 exchangetraded 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 Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: 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

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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. ETN performance minus (b) the daily investor fee; floor of zero $100 At minimum of 25,000 notes 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 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 Credit Suisse Securities (USA) LLC NYSE Arca: VIIX 22542D811
Payout at maturity:
Credit Suisse AG, Nassau Branch VelocityShares VIX short-term exchange-traded notes S&P 500 VIX Short-Term Futures $24.5 million, increased from original $5 million Dec. 4, 2030 0% 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 Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately preceding day times (ii) the daily
Initial value: Put option: Pricing dates:
Settlement dates:
Underwriter: Listing: Cusip:
Page 18
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 Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: 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

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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. preceding day times (ii) the daily ETN performance minus (b) the daily investor fee; floor of zero $10 At minimum of 25,000 notes Nov. 29, 2010 for original $5 million; Aug. 5 for latest add-on Dec. 2, 2010 for original $5 million; Aug. 10 for latest add-on Credit Suisse Securities (USA) LLC None NYSE Arca: XIV 22542D795
Credit Suisse AG, Nassau Branch VelocityShares Daily Inverse VIX Short Term exchange-traded notes S&P 500 VIX Short-Term Futures $281.25 million, increased from original $5 million Dec. 4, 2030 0% Par for original $5 million; 116.2 for latest add-on Closing indicative value on Nov. 29, 2030 equal to (a) (i) the closing indicative value on the immediately
Initial value: Put option: Pricing dates: Settlement dates: Underwriter: Fees: Listing: Cusip:
Page 19
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 Issuer: Issue: Amount: Maturity: Coupon: 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. Payout at maturity: Call option: Pricing date: Settlement date: Agent: Fees: Cusip: 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. Par At par on any interest payment date from Aug. 10, 2012 onward Aug. 5 Aug. 10 J.P. Morgan Securities LLC 0.975%, including up to 0.463% for selling concessions 48125XC38

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Price:
JPMorgan Chase & Co. Callable fixed-rate step-up notes $3.57 million Feb. 10, 2017 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 Variable prices
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. Issuer: Issue: Amount: Maturity: Coupon: Barclays Bank plc Capped fixed-to-floating notes $4 million (upsized from $1 million) Aug. 12, 2016 Initially 4%; beginning Aug. 12, 2012, Libor plus 100 bps, cap of 6.5%; payable quarterly Variable 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. Payout at maturity: Pricing date: Upsize date: Settlement date: Agent: Fees: Cusip: Par July 28 Aug. 9 Aug. 12 Barclays Capital Inc. 1% 06738KPR6
Price:
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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. Issuer: Issue: Amount: Maturity: Coupon: Barclays Bank plc Capped fixed-to-floating-rate notes $5 million Aug. 26, 2016 Initially 3.25%; beginning Aug. 26, 2013, Libor plus 120 bps, subject to cap of 6.5% per year; payable quarterly

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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. Price: Payout at maturity: Pricing date: Settlement date: Agent: Fees: Cusip: Variable prices Par Aug. 9 Aug. 26 Barclays Capital Inc. 1% 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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: 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. trigger price, par plus contingent coupon; otherwise, exposure to losses At par plus contingent coupon if shares close at or above initial price on any quarterly observation date $23.21 $18.57, 80% of initial share price Aug. 5 Aug. 10 Barclays Capital Inc. 1.5% 06738G530
Barclays Bank plc Trigger phoenix autocallable optimization securities Avon Products, Inc. (NYSE: AVP) $1,789,310 Aug. 9, 2012 15.13% per year, payable quarterly, only if Avon closes at or above trigger price on observation date for that quarter Par of $10 If Avon shares finish at or above
Call option:
Initial share price: Trigger price: Pricing date: Settlement date: Agent: Fees: Cusip:
Page 21
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: 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

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Prospect News
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. trigger price, par plus contingent coupon; otherwise, exposure to losses At par plus contingent coupon if shares close at or above initial price on any quarterly observation date $90.99 $68.24, 75% of initial share price Aug. 5 Aug. 10 Barclays Capital Inc. 1.5% 06738G548
Barclays Bank plc Trigger phoenix autocallable optimization securities Caterpillar Inc. (NYSE: CAT) $15,803,890 Aug. 9, 2012 18.48% per year, payable quarterly, only if Caterpillar closes at or above trigger price on observation date for that quarter Par of $10 If Caterpillar shares finish at or above
Call option:
Initial share price: Trigger price: Pricing date: Settlement date: Agent: Fees: Cusip:
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 EquityLinked 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 Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: Citigroup Funding Inc. Premium Mandatorily Callable Equity-Linked Securities S&P 500 index $2,187,000 Aug. 8, 2014 0% Par Par if final index level is at least 80% of initial level; otherwise, par multiplied by quotient of final 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. level divided by initial index level 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 1,199.38 Aug. 5 Aug. 10 Citigroup Global Markets Inc. 0.5% 1730T0MZ9
Call:
Initial index level: Pricing date: Settlement date: Underwriter: Fees: Cusip:
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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. Issuer: Credit Suisse AG, Nassau Branch Issue: Callable yield notes Underlying components: Russell 2000 index, SPDR S&P Metals & Mining ETF and Market Vectors Gold Miners ETF Amount: $14,865,000 Maturity: Feb. 13, 2012 Coupon: 13.2%, payable monthly Price: Par Payout 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

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Prospect News
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. component, maximum of par 696.16 for Russell, $55.69 for metals & mining, $57.72 for gold fund 452.504 for Russell, $36.1985 for metals & mining, $37.518 for gold fund; 65% of initial levels At par on any interest payment date beginning Nov. 14 Aug. 9 Aug. 12 Credit Suisse Securities (USA) LLC 1.75% 22546TDC2
Initial levels: Knock-in levels:
Call option: Pricing date: Settlement date: Agent: Fees: Cusip:
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), Issuer: Issue: Underlying indexes: 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 Initial levels: Call option: Pricing date: Settlement date: Agent: Fees: Cusip: 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. 2,039.044 for S&P, 197.04 for Emerald At par plus basket return if basket level falls below 40 Aug. 5 Aug. 11 Deutsche Bank Securities Inc. 0.25% 2515A1C74
Amount: Maturity: Coupon: Price: Payout at maturity:
Deutsche Bank AG, London Branch S&P plus tracker notes S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index (Emerald) $31.35 million Aug. 11, 2014 0% Par Par plus the basket return
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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 Issuer: Issue: Underlying indexes: 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

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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. and 197.04 for Emerald 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 Aug. 5 Aug. 11 Deutsche Bank Securities Inc. 0.25% 2515A1C82
Amount: Maturity: Coupon: Price: Payout at maturity: Call: Initial index levels:
Deutsche Bank AG, London Branch S&P plus tracker notes S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald) $10.45 million Aug. 11, 2014 0% Par Par plus basket return At par plus basket return if basket level falls below 40 2,039.044 for S&P 500 Total Return
Basket level:
Pricing date: Settlement date: Agent: Fees: Cusip:
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, Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: 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 Initial index level: Pricing date: Settlement date: Managers: 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. 1,199.38 Aug. 5 Aug. 10 J.P. Morgan Securities LLC (placement agent), Goldman Sachs & Co. (underwriter) 1.1% 38143UXL0
Goldman Sachs Group, Inc. Leveraged index-linked notes S&P 500 $2,993,000 Aug. 22, 2012 0% Par Par plus 200% of any index gain, capped at 19.1%; exposure to losses
Fees: Cusip:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: Goldman Sachs Group, Inc. Equity-linked trigger notes YUM! Brands, Inc. (NYSE: YUM) $1.65 million Feb. 8, 2013 0% Variable prices If stock closes below 80% of initial price on any day during life of notes, par plus stock return; otherwise, par

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Prospect News
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. plus greater of stock return and 5% $50.71 Aug. 5 Aug. 10 J.P. Morgan Securities LLC (placement agent), Goldman Sachs & Co. (underwriter) 1.35% 38143UXK2
Initial share price: Pricing date: Settlement date: Managers:
Fees: Cusip:
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 Issuer: Issue: Underlying stocks: 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., Lowes 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. 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 Par Par Aug. 5 Aug. 12 HSBC Securities (USA) Inc. 3% 4042K1MEO
Amount: Maturity: Coupon:
HSBC USA Inc. Annual income opportunity securities with auto cap CME Group Inc., Eli Lilly and Co., Exxon Mobil Corp., Intel Corp., Lockheed Martin Corp., Lowes Cos., Inc., Microsoft Corp., Northern Trust Corp., Qualcomm Inc., Sysco Corp., Time Warner Cable Inc. and Wal-Mart Stores, Inc. $13,179,000 Aug. 12, 2016 The average of the performances of
Price: Payout at maturity: Pricing date: Settlement date: Agent: Fees: Cusip:
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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 Issuer: Issue: Underlying fund: Amount: Maturity: Coupon: Price: Payout at maturity: 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%.

The
Prospect News
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. par if fund declines by up to 5%; exposure to losses beyond 5% $9.99 Aug. 5 Aug. 10 J.P. Morgan Securities LLC 1.7%, which includes selling concessions of 0.25% 48125XH33
JPMorgan Chase & Co. Single review notes iShares MSCI Japan index fund $750,000 Sept. 10, 2012 0% $750,000 Par plus 11.25% if final level is greater than or equal to initial level;
Initial price: Pricing date: Settlement date: Agent: Fees: Cusip:
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. return and 10%; otherwise, par plus Oracle return with exposure to losses; gains capped at 25% in either case $28.35 Aug. 5 Aug. 10 JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC 1% 48125XE85
JPMorgan Chase & Co. Capped daily observation knock-out notes Oracle Corp. (Nasdaq: ORCL) $1,707,000 Aug. 22, 2012 0% Par If Oracle stock never falls by more than 25%, par plus greater of stock
Initial price: Pricing date: Settlement date: Agents: Fees: Cusip:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. capped at 19.1%; full exposure to losses 1,199.38 Aug. 5 Aug. 10 J.P. Morgan Securities LLC 0.1% 48125XE77

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JPMorgan Chase & Co. Return enhanced notes S&P 500 $10,662,000 Aug. 22, 2012 0% Par Par plus double any index gain,
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. par $14.34 $11.47, 80% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and RBC Capital Markets, LLC 1% 78010T837
Royal Bank of Canada Trigger yield optimization notes Staples, Inc. (Symbol: SPLS) $1,791,696.96 Feb. 10, 2012 9.77%, payable monthly Par of $14.34 If final share price is less than trigger price, one Staples share; otherwise,
Initial share price: Trigger price: Pricing date: Settlement date: Agents: Fees: Cusip:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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

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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. par $17.02 $13.62, 80% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and RBC Capital Markets, LLC 1% 78010T845
Royal Bank of Canada Trigger yield optimization notes Talisman Energy Inc. (Symbol: TLM) $1,464,792.26 Feb. 10, 2012 10.54%, payable monthly Par of $17.02 If final share price is less than trigger price, one Talisman share; otherwise,
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. otherwise, par $37.70 $30.16, 80% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and RBC Capital Markets, LLC 1% 78010T852
Royal Bank of Canada Trigger yield optimization notes Southwestern Energy Co. (Symbol: SWN) $2,517,869.90 Feb. 10, 2012 12%, payable monthly Par of $37.70 If final share price is less than trigger price, one Southwestern Energy share;
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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., Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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

The
Prospect News
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. price, one Vertex share; otherwise, par $43.00 $32.25, 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and RBC Capital Markets, LLC 1% 78010T860
Royal Bank of Canada Trigger yield optimization notes Vertex Pharmaceuticals Inc. (Symbol: VRTX) $3,018,858 Feb. 10, 2012 12.75%, payable monthly Par of $43.00 If final share price is less than trigger
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: 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. full exposure to decline in share price $36.40 $25.48, 70% of initial price At par plus contingent coupon if share price at or above initial price on any quarterly observation date Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 1% 90268B780
UBS AG, London Branch Trigger phoenix autocallable optimization securities JPMorgan Chase & Co. (NYSE: JPM) $100,000 Aug. 16, 2012 22.81% per year, payable quarterly, if stock closes at or above trigger price on observation date for that quarter Par If notes are not called and shares finish at or above trigger price, par plus contingent coupon; otherwise,
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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. Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Trigger yield optimization notes Pan American Silver Corp. (Symbol: PAAS) $1,760,665.20 Aug. 10, 2012 13.25%, payable monthly Par of $28.68 If final share price is less than trigger price, one Pan American Silver share;

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Prospect News
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. otherwise, par $28.68 $21.51, 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2% 90268B475
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 trusts shares close at or above the initial Issuer: Issue: Underlying trust: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Trigger autocallable optimization securities SPDR S&P 500 ETF Trust $2,201,550 Aug. 11, 2014 0% Par of $10.00 If trusts shares finish at or above trigger price, par; otherwise, par plus trust return At par plus premium of 10.28% per 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 trusts 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. year if trusts 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 $119.98 $89.99, 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2.25% 90268B350
Initial share price: Trigger price: Pricing date: Settlement date: Underwriters: Fees: Cusip:
Call:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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

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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. otherwise, par $139.91 $104.93, 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2% 90268B467
UBS AG, London Branch Trigger yield optimization notes Wynn Resorts Ltd. (Symbol: WYNN) $2,026,596.35 Aug. 10, 2012 12%, payable monthly Par of $139.91 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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. otherwise, par $15.96 $11.17, 70% of initial price Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 2% 90268B772
UBS AG, London Branch Trigger yield optimization notes General Electric Co. (NYSE: GE) $209,921.88 Aug. 14, 2012 8.59%, payable monthly Par of $15.96 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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Trigger yield optimization securities Microsoft Inc. (Nasdaq: MSFT) $214,846.42 Aug. 14, 2012 6.69%, payable monthly Par of $25.58 If final share price is less than trigger price, one Microsoft share per note;

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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. otherwise, par $25.58 $19.18, 75% of initial price Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 2% 90268B731
Initial price: Trigger price: Pricing date: Settlement date: Underwriters: Fees: Cusip:
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 ETFs shares close at or above the initial Issuer: Issue: Underlying ETF: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Trigger autocallable optimization securities iShares Russell 2000 index fund $3,714,800 Aug. 11, 2014 0% Par of $10.00 If ETFs shares finish at or above trigger price, par; otherwise, par plus ETF return At par plus premium of 13.9% per 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 ETFs 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. year if ETFs 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 $71.30 $49.91, 70% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2.25% 90268B335
Call:
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New Issue: UBS prices $215,000 17.57% reverse convertibles linked to Ford stock
By 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. Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Reverse convertible notes Ford Motor Co. (Symbol: F) $215,000 Feb. 14, 2012 17.57%, payable monthly Par Par in cash unless Ford shares fall below the trigger price of $11.45 and finish below the initial price, in which 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. case 91.659 shares of Ford stock $10.91 $8.18, 75% of initial price Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 2.65% 902674FE5

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Prospect News
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 ETFs shares close at or above the initial Issuer: Issue: Underlying ETF: Amount: Maturity: Coupon: Price: Payout at maturity: UBS AG, London Branch Trigger autocallable optimization securities iShares MSCI Emerging Markets index fund $629,000 Aug. 11, 2014 0% Par of $10.00 If ETFs shares finish at or above trigger price, par; otherwise, par plus ETF return At par plus premium of 11.7% per 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 ETFs 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. year if ETFs 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 $42.57 $31.93, 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2.25% 90268B343
Call:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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 Initial share price: Trigger price: Pricing date: Settlement date: Agents: Fees: Cusip: 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. $28.35 $22.68, 80% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 2% 90268B459

The
Prospect News
UBS AG, London Branch Trigger yield optimization notes Oracle Corp. (Symbol: ORCL) $7,031,508.75 Aug. 10, 2012 9.5%, payable monthly Par of $28.35 If final share price is less than trigger price, one Oracle share; otherwise, par
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: UBS AG, London Branch Trigger phoenix autocallable optimization securities General Electric Co. (NYSE: GE) $100,000 Aug. 16, 2012 21.68% per year, payable monthly, if stock closes at or above trigger price on observation date for that quarter Par If notes are not called and shares finish at or above trigger price, par plus contingent coupon; otherwise, 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. full exposure to decline in share price $15.96 $10.85, 68% of initial price At par plus contingent coupon if share price at or above initial price on any quarterly observation date Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 1% 90268B749
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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 Issuer: Issue: Underlying commodity: Amount: Maturity: Coupon: Price: Payout at maturity: 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. plus gold return; any gains capped at 10% $1,658.75 Aug. 5 Aug. 10 JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC 1% 06738KQY0

The
Prospect News
Barclays Bank plc Capped market plus notes Gold $6.99 million Aug. 16, 2012 0% Par If gold price stays at 90% of initial price or above, par plus greater of gold return and 8.02%; otherwise, par
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. Issuer: Issue: Underlying basket: Citigroup Funding Inc. Notes Gold, West Texas Intermediate crude oil, gasoline, sugar and copper, equally weighted $15,296,000 Aug. 8, 2013 0% Par Par plus any basket gain; 90% of par 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. if basket declines 1,658.75 for gold, 86.88 for WTI crude oil, 280.52 for gasoline, 27.54 for sugar and 9,190 for copper Aug. 5 Aug. 10 Citigroup Global Markets Inc. 1.75% 1730T0NB1
Initial levels:
Amount: Maturity: Coupon: Price: Payout at maturity:
Pricing date: Settlement date: Underwriter: Fees: Cusip:
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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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: Price: Payout at maturity: 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. greater of stock return and 3.1% $64.67 $48.5025, 75% of initial price Aug. 5 Aug. 10 J.P. Morgan Securities LLC and Goldman Sachs & Co. 1.35% 38143UXJ5

The
Prospect News
Goldman Sachs Group, Inc. Equity-linked trigger notes PepsiCo, Inc. $2,451,000 Feb. 8, 2013 0% Par If stock closes below 75% of initial price during life of notes, par plus stock return; otherwise, par plus
Initial price: Trigger price: Pricing date: Settlement date: Agents: Fees: Cusip:
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 Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: UBS AG, London Branch Trigger phoenix autocallable optimization securities Ford Motor Co. (NYSE: F) $150,000 Aug. 16, 2012 16.89%, payable quarterly, if stock closes at or above trigger price on observation date for that quarter Par of $10.00 If notes are not called and shares finish at or above trigger price, par plus contingent coupon; otherwise, 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. full exposure to decline in share price $10.91 $7.09, or 65% of initial price At par plus contingent coupon if share price at or above initial price on any quarterly observation date Aug. 9 Aug. 12 UBS Financial Services Inc. and UBS Investment Bank 1.5% 90268B756
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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. Issuer: Issue: Underlying ETF: Amount: Maturity: Coupon: Price: Payout at maturity: Morgan Stanley Jump securities iShares MSCI Pacific ex-Japan index fund $1 million Sept. 12, 2012 0% Par Par plus 18% if final share price

The
Prospect News
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. is greater than initial share price; exposure to decline if final share price is less than initial share price $42.60 Aug. 5 Aug. 12 Morgan Stanley & Co. LLC 0.25% 617482WZ3
Initial share price: Pricing date: Settlement date: Agent: Fees: Cusip:
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. Issuer: Issue: Underlying stock: Amount: Maturity: Coupon: UBS AG, London Branch Trigger phoenix autocallable optimization securities Goldcorp Inc. (NYSE: GG) $1,984,500 Aug. 9, 2012 15.4%, payable quarterly if stock closes at or above trigger price on observation date for that quarter Par of $10.00 If notes are not called and shares finish at or above trigger price, par plus contingent coupon; otherwise, 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. full exposure to decline in share price At par plus contingent coupon if share price at or above initial price on any quarterly observation date $46.34 $34.76, or 75% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 1.5% 90268B400
Call:
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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. Issuer: Issue: Underlying ADSs: Amount: Maturity: Coupon: UBS AG, London Branch Trigger phoenix autocallable optimization securities Petroleo Brasileiro SA (NYSE: PBR) $3,102,850 Aug. 9, 2012 19.75%, payable quarterly if ADSs close at or above trigger price on observation date for that quarter Par of $10.00 If notes are not called and ADSs finish at or above trigger price, par plus contingent coupon; otherwise, full

The
Prospect News
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. exposure to decline in ADS price At par plus contingent coupon if share price closes at or above initial price on any quarterly observation date $29.07 $23.26, or 80% of initial price Aug. 5 Aug. 10 UBS Financial Services Inc. and UBS Investment Bank 1.5% 90268B418
Call option:
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 Issuer: Issue: Amount: Maturity: Coupon: 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. Payout at maturity: Call option: Pricing date: Settlement date: Agent: Fees: Cusip: 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. Par At par on interest payment dates beginning Feb. 12, 2017 Aug. 5 Aug. 12 Wells Fargo Securities LLC 0.5% 94986RFD8
Price:
Wells Fargo & Co. Callable step-up fixed-rate notes $2.2 million Aug. 12, 2024 3.4% through year 5.5, 4.25% through year 8.75, 5.25% through year 12 and 7% after that; payable quarterly Par
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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. Issuer: Issue: Underlying index: Amount: Maturity: Coupon: Price: Payout at maturity: JPMorgan Chase & Co. Daily liquidity notes Dow Jones - UBS Crude Oil Subindex 3 Month Forward Total Return $61 million, up from $60 million Jan. 9, 2015 0% Par 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

The
Prospect News
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. index return minus investor fee of approximately 0.75% per year At any time, subject to repurchase fee of 0.2% Beginning Jan. 11, 2012 1,519.449 Aug. 5 for additional $1 million, Jan. 6 for original $60 million J.P. Morgan Securities LLC None 48124A7H4
Put option: Call option: Initial index level: Pricing date: Agent: Fees: Cusip:
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Structured 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 sixmonth 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

The
Prospect News
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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Continued from page 40
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

The
Prospect News
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., FreeportMcMoRan 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., FreeportMcMoRan 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
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due Aug. 30, 2018 linked to Analog Devices, Inc., Broadcom Corp., CenturyLink, Inc., Eli Lilly and Co., Exelon Corp., FreeportMcMoRan 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 DJUBSCI 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.,

The
Prospect News
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 Continued on page 43
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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

The
Prospect News
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 Continued on page 44
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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

The
Prospect News
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 Continued on page 45
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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

The
Prospect News
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 exchangetraded 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 Continued on page 46
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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

The
Prospect News
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 Continued on page 47
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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

The
Prospect News
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 Continued on page 48
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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., McDonalds 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., FreeportMcMoRan 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,

The
Prospect News
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., FreeportMcMoRan 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 Continued on page 49
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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

The
Prospect News
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
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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 JonesUBS 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

The
Prospect News
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 Continued on page 51
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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

The
Prospect News
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
Continued on page 52
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Continued from page 51 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., McDonalds 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

The
Prospect News
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 Continued on page 53
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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

The
Prospect News
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 Continued on page 54
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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

The
Prospect News
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 Continued on page 55
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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

The
Prospect News
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
Page 55
Recent Structured Products Deals

Priced Issuer Issue Manager
Credit Suisse UBS UBS UBS

The
Prospect News
Amount Coupon ($mln)

$14.865 $0.215 $0.1 $0.1 13.20% 17.57% Formula Formula 8.590% 6.690% 9.500% 13.250% 12.000% Formula Formula 0.000% 0.000% Formula Formula 0.000% 0.000% 0.000% 0.000% 0.000% 0.000% 0.00% 0.000% Formula 0.000% 0.000% 12.000% 9.770% 10.540% 12.75%
Maturity
2/13/2012 2/14/2012 8/16/2012 8/16/2012 8/14/2012 8/14/2012 8/10/2012 8/10/2012 8/10/2012 8/15/2012 8/15/2012 9/8/2016 2/8/2013 8/9/2012 8/9/2012 8/8/2014 12/4/2030 12/4/2030 12/4/2030 8/11/2014 8/11/2014 2/8/2013 8/22/2012 8/12/2016 8/22/2012 9/10/2012 2/10/2012 2/10/2012 2/10/2012 2/10/2012
Fees
8/9/2011 Credit Suisse AG, Nassau Branch 8/9/2011 8/9/2011 8/9/2011 8/9/2011 8/9/2011 8/5/2011 8/5/2011 8/5/2011 8/8/2011 8/8/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011
callable yield notes (Russell 2000 index, SPDR S&P Metals & Mining ETF and Market Vectors Gold Miners UBS AG, London Branch reverse convertible notes (Ford Motor Co.) UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch UBS AG, London Branch trigger phoenix autocallable optimization securities (General Electric Co.) trigger phoenix autocallable optimization securities (JPMorgan Chase & Co.) trigger yield optimization notes (General Electric Co.) trigger yield optimization securities (Microsoft Inc.) trigger yield optimization notes (Oracle Corp.) trigger yield optimization notes (Pan American Silver Corp.) trigger yield optimization notes (Wynn Resorts Ltd.)
1.75% 2.65% 1.00% 1.00% 2.00% 2.00% 2.00% 2.00% 2.00% 0.0137 0.0137 0.00% 1.25% 1.50% 1.50% 0.50% 0.00% 0.00% 0.00% 0.25% 0.25% 1.35% 1.10% 3.00% 0.10% 0.25% 1.00% 1.00% 1.00% 1.00%
UBS $0.20992188 UBS $0.21484642 UBS $7.03150875 UBS $1.7606652
UBS $2.02659635 UBS UBS Barclays JPMorgan $0.1 $0.1 $0.308 $54.761 $1.78931 $15.80389 $2.187 $30 $20 $2.5 $10.45 $31.35 $2.451 $2.993 $13.179 $10.662 $0.75 $2.5178699
trigger phoenix autocallable optimization securities (Adobe Systems Inc.) UBS AG, London Branch trigger phoenix autocallable optimization securities (Apple Inc.) Barclays Bank plc Barclays Perpetual Rolling Open Structure Protecting Equity Returns exchange-traded fund notes (Barclays Barclays Bank plc notes (S&P 500) Barclays Bank plc Barclays Bank plc Citigroup Funding Inc.
8/5/2011 Credit Suisse AG, Nassau Branch 8/5/2011 Credit Suisse AG, Nassau Branch 8/5/2011 Credit Suisse AG, Nassau Branch 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 8/5/2011 Deutsche Bank AG, London Branch Deutsche Bank AG, London Branch Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. HSBC USA Inc. JPMorgan Chase & Co.
trigger phoenix autocallable optimization securities Barclays (Avon Products, Inc.) trigger phoenix autocallable optimization securities Barclays (Caterpillar Inc.) Premium Mandatorily Callable Equity-Linked Citigroup Securities (S&P 500 index) VelocityShares daily inverse VIX short-term Credit Suisse exchange-traded notes (S&P 500 VIX Short-Term VelocityShares daily 2x VIX short-term Credit Suisse exchange-traded notes (S&P 500 VIX Short-Term VelocityShares VIX short-term exchange-traded notes Credit Suisse (S&P 500 VIX Short-Term Futures) S&P plus tracker notes (S&P 500 Total Return index Deutsche Bank and the Deutsche Bank Equity Mean Reversion Alpha S&P plus tracker notes (S&P 500 Total Return index Deutsche Bank and Deutsche Bank Equity Mean Reversion Alpha equity-linked trigger notes (PepsiCo, Inc.) JPMorgan leveraged index-linked notes (S&P 500) annual income opportunity securities with auto cap (basket of stocks) return enhanced notes (S&P 500) JPMorgan HSBC JPMorgan JPMorgan UBS
JPMorgan Chase & Co. single review notes (iShares MSCI Japan index fund) Royal Bank of Canada trigger yield optimization notes (Southwestern Energy Co.) Royal Bank of Canada trigger yield optimization notes (Staples, Inc.) Royal Bank of Canada trigger yield optimization notes (Talisman Energy Inc.) Royal Bank of Canada trigger yield optimization notes (Vertex Pharmaceuticals Inc.)
UBS $1.79169696 UBS $1.46479226 UBS $3.018858
Page 56
Market Data

The
Prospect News
Structured Products New Issue Volume by Week

$8 $6 $4 $2 ($ blns) 8/8/2010 9/12/2010 1/30/2011 3/6/2011 4/10/2011 5/15/2011 6/19/2011 10/17/2010 11/21/2010 12/26/2010 7/24/2011
Stock Commodity Interest rates
Equity index FX Others
Page 57
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Wednesday August 10, 2011

tructured roducts aily

ALL U.S. STRUCTURED PRODUCTS

BREAKDOWN OF YEAR TO DATE DEALS

ALL U.S. STOCK AND EQUITY INDEX DEALS

SINGLE STOCK U.S. STRUCTURED PRODUCTS

STOCK INDEX U.S. STRUCTURED PRODUCTS

FX U.S. STRUCTURED PRODUCTS

COMMODITY U.S. STRUCTURED PRODUCTS

INTEREST RATE STRUCTURED PRODUCTS

INTEREST RATE STRUCTURED COUPONS

Morgan Stanley plans contingent income autocallables on Brent crude

Structured Products News

Structured P roducts Daily

Not another reverse convertible

Buffer versus put

Wednesday August 10, 2011

Structured Products News

JPMorgan to price capped seven-year notes linked to S&P 500 index

Structured P roducts Daily

RBC plans autocallable access notes on iShares MSCI Emerging Markets

RBC plans autocallable access securities tied to iShares Russell 2000

UBS plans to price trigger autocallable securities linked to S&P 500

Morgan Stanley plans contingent income autocallables on Brent crude

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

UBS plans trigger phoenix autocallable securities linked to Microsoft

UBS plans trigger phoenix autocallable securities linked to 3M shares

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

Barclays to price return enhanced notes linked to BRIC currencies

Goldman plans buffered basket-linked notes on S&P 500, MSCI EAFE

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

JPMorgan plans 9% autocallable yield notes on Russell, metals fund

JPMorgan plans capped daily observation knock-out notes tied to Apple

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

Goldman to price leveraged buffered index-linked notes on S&P 500

JPMorgan plans two-year knock-out buffered equity notes on S&P 500

Wednesday August 10, 2011

Structured Products News

Morgan Stanley plans 0% buffered PLUS linked to index, fund basket

Structured P roducts Daily

Morgan Stanley plans to price knock-out notes linked to S&P 500

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

Morgan Stanley plans 0% PLUS linked to iShares MSCI EAFE fund

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily

Bermuda call Aug. 8 Sept. 7 Incapital 313375BC0

Wednesday August 10, 2011

Structured Products News

Structured P roducts Daily