the tructured roducts daily - wealth management...2014/03/25 · fx u.s. structured products...

Tuesday March 25, 2014 StructuredDaily

The Prospect News

Products

Structured Products

▮ ▮PROSPECTNEWS ▮▮ © Copyright 2014 by Prospect News Inc. Electronic redistribution, photocopying and any other electronic or mechanical reproduction is strictly prohibited without prior written approval by Prospect News. Information contained herein is provided by sources believed to be accurate and reliable, however, Prospect News makes no warranty, and each such source makes no warranty, either express or implied, as to any matter whatsoever, including but not limited to those of merchantability or fitness for a particular purpose.

$11.568 billion in 1998 deals














EXCHANGE-TRADED NOTES

BREAKDOWN OF YEAR TO DATE DEALS

Quarter to Date:

Month to Date:

ALL U.S. STOCK AND EQUITY INDEX DEALS

SINGLE STOCK U.S. STRUCTURED PRODUCTS

ALL U.S. STRUCTURED PRODUCTSYear to Date:

STOCK INDEX U.S. STRUCTURED PRODUCTS

FX U.S. STRUCTURED PRODUCTS

COMMODITY U.S. STRUCTURED PRODUCTS

Current Year

Previous Year

INTEREST RATE STRUCTURED PRODUCTS

INTEREST RATE STRUCTURED COUPONS









By Emma Trincal New York, March 24 – Goldman Sachs Group, Inc.’s 0% leveraged notes due June 30, 2020 linked to the S&P 500 index offer an attractive risk-reward trade-off combining full downside protection with a minimum guaranteed return as well as upside leverage. In exchange, investors have to take the credit risk of the issuer for six years and accept a cap on their return, but one that was seen as reasonable. The payout at maturity will be par plus 1.25 times any index gain, up to a maximum settlement amount of $1,600 for each $1,000 principal amount. If the index falls, the payout will be $1,105 per $1,000 principal amount of notes, according to a 424B2 fi ling with the Securities and Exchange Commission.

Protection plus leverage “I kind of like it,” said Carl Kunhardt, wealth Adviser at Quest Capital Management. “If offers the principal protection, in this case the full protection. That’s what I like to see in a structured note. “The leverage is attractive because it’s only on the upside. “The 10.5% minimum return on the downside is not huge, but it’s not very common to get more than par if the index declines. That’s more than your typical principal protection. “It’s a nice mix. The fact that they’re still able to give you leverage even though there’s full downside protection is pretty unusual. Normally you get one or the other. For instance, you may get a buffer but with a little bit of downside leverage, which is not the case here.”

Goldman Sachs’ six-year leveraged notes linked to S&P offer full protection, enticing upside

Credit Suisse plans accelerated barrier notes on S&P 500, Russell 2000By Toni Weeks San Luis Obispo, Calif., March 24 – Credit Suisse AG plans to price 0% accelerated barrier notes due April 13, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 fi ling with the Securities and Exchange Commission. If the fi nal level of the lowest-performing index is greater than or equal to its initial level, the payout at maturity will be par plus 160% to 170% of the index return. If the fi nal level of the lowest-performing index is less than the initial

level but greater than the knock-in level, the payout will be par. Investors will be fully exposed to losses from the initial level if the lowest-performing index falls to or below the knock-in level. The knock-in level is expected to be 70% of the initial level. The exact knock-in level and upside participation rate will be set at pricing. Credit Suisse Securities (USA) LLC is the underwriter. The notes are expected to price April 10 and settle April 14. The Cusip number is 22547QL20.

Continued on page 2

Tuesday March 25, 2014

Structured Products NewsProspect News

Structured

Daily

The

Products

Quarterly averaging The payout is calculated based on the averaging of the index return. The fi nal index level with be the arithmetic average of the closing levels of the index on each of the averaging dates, expected to be the 25th of each March, June, September and December, beginning June 25, according to the prospectus. Using the arithmetic average of several closing dates may in some cases lower the overall return, the prospectus warned in its risk section. For instance, a sudden surge in the index performance toward maturity could easily be offset by a series of declines on other averaging dates. “Sure, they may have been able to partly pay for that leverage with the quarterly averaging, which has its disadvantages. Chances are the averaging will give you less return than a point to point,” Kunhardt said. “But I don’t mind because the principal protection is such a big piece of it. It’s got to be paid somehow.”

Bond or equity substitute Kirk Chisholm, principal and wealth manager at NUA Advisors, said that assessing the notes is “challenging” because the structure is complex. One way to analyze the notes is to compare them to a bond since investors are guaranteed the minimum 10.5% return over six years regardless of the performance of the index. But the product could also be analyzed as a pure equity play since it offers

upside participation in the S&P 500 index. Chisholm ruled out the latter. “I wouldn’t compare this note with a direct investment in the S&P 500 index,” he said. “Trying to predict the return of the S&P over six years is a fool’s errand. “The notes offer a reasonable alternative to the index on the downside because you’re getting the principal protection. But on the other hand, you’re locked in for six years with credit risk exposure and your return is capped at 60% while the S&P 500 would have no limit on the upside. “So I think it makes more sense to evaluate this note by comparing it to an investment that carries the same credit risk, and that would be a Goldman Sachs corporate bond.”

Goldman Sachs paper Chisholm said that the yield to maturity of a six-year Goldman Sachs corporate bond is 3.18%, which is nearly 20% over the six-year term. In comparison, the notes offer a minimum return and a maximum return. On the maximum end, investors in the notes could gain up to 60% in the six-year period, which, he said, is the equivalent of 8.15% compounded per annum. On the lower end of the range, the noteholders would get 10.5% over the period, or 1.6% compounded per year.

Risk “So with the bond, you’re guaranteed to get an annual yield of

3.18%. With the notes, you know that you’re going to earn at least a 1.6% annual return,” he said. “If you compare the risk of investing in the notes versus the bonds, you can eliminate credit risk. It’s the same for the two. It’s not a factor. “Your risk when choosing the notes is going to be making 1.6% instead of 3.18% a year. You’re basically incurring the risk of losing 1.58% per year.”

Reward “Now let’s look at the maximum upside potential,” he said. “Obviously the reward of the notes is much higher. While the bond only gives you the coupon, the notes give you upside participation in the S&P 500 up to a 60% cap. That’s an 8.15% compounded rate of return per annum versus 3.18%. You’re talking about a 5% difference in potential upside. “From my perspective, I’d rather take the risk of losing 1.58% a year for the reward of gaining an additional 5%. It’s a no-brainer. “If you’re comfortable with Goldman Sachs credit quality, the note would be a preferable way to get credit exposure to this issuer. While the credit risk is the same as with the corporate paper, the notes give you a much better risk-reward.” Goldman Sachs & Co. is the underwriter. The notes will price Tuesday and settle Friday. The Cusip number is 38147QXK7.

Goldman Sachs’ six-year leveraged notes linked to S&P offer full protection, enticing upsideContinued from page 1

Barclays to price capped leveraged notes linked to S&P 500 indexBy Angela McDaniels Tacoma, Wash., March 24 – Barclays Bank plc plans to price 0% capped leveraged notes linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission. The tenor of the notes is expected to be 15 to 18 months. If the index return is positive, the payout at maturity will be par plus three times the index return, subject to a maximum payout of

$1,120 to $1,150 for each $1,000 principal amount of notes. If the index return is negative, investors will have one-to-one exposure to the decline. The exact maturity date and maximum payout will be set at pricing. Barclays is the agent. The Cusip number is 06741UAL8.



Structured

Daily

The

Products

Credit Suisse plans accelerated barrier notes on Euro Stoxx, EM ETFBy Toni Weeks San Luis Obispo, Calif., March 24 – Credit Suisse AG plans to price 0% accelerated barrier notes due April 13, 2018 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 fi ling with the Securities and Exchange Commission. If the fi nal level of the lowest-

performing underlying component is greater than or equal to its initial level, the payout at maturity will be par plus 225% to 235% of the component return. If the fi nal level of the lowest-performing component is less than the initial level but greater than the knock-in level, the payout will be par. Investors will be fully exposed to losses from the initial level if the lowest-performing underlying component falls to

or below the knock-in level. The knock-in level is expected to be 60% of the initial level. The exact knock-in level and upside participation rate will be set at pricing. Credit Suisse Securities (USA) LLC is the underwriter. The notes are expected to price April 10 and settle April 14. The Cusip number is 22547QL38.

Credit Suisse plans 8% autocallable reverse convertibles on VeriFoneBy Toni Weeks San Luis Obispo, Calif., March 24 – Credit Suisse AG plans to price 8% autocallable reverse convertible securities due April 3, 2015 linked to VeriFone Systems, Inc. shares, according to a 424B2 fi ling with the Securities and Exchange Commission. Interest will be payable monthly. The notes will be called at par if the stock closes at or above the initial share price on any quarterly call date.

The payout at maturity will be par unless VeriFone stock closes at or below the knock-in price, about 65% of the initial share price, during the life of the notes and fi nishes below the initial share price, in which case the payout will be a number of VeriFone shares equal to $1,000 divided by the initial share price. The exact terms will be set at pricing. Credit Suisse Securities (USA) LLC is the agent. The notes will price March 31 and settle April 3. The Cusip number is 22547QL46.

Barclays plans callable contingent coupon notes linked to TransoceanBy Susanna Moon Chicago, March 24 – Barclays Bank plc plans to price callable contingent coupon notes due March 31, 2016 linked to Transocean Ltd. shares, according to a 424B2 fi ling with the Securities and Exchange Commission. The notes will pay a contingent quarterly coupon an annual rate of 10.15% if Transocean shares close at or above the barrier level, 70% of the initial share price, on the valuation date for that quarter. The notes are callable at par plus the contingent coupon on any

interest payment date. The payout at maturity will be par unless the stock fi nishes below the 70% barrier level, in which case investors will be fully exposed to any losses or, at Barclays’ option, they will receive a number of Transocean shares equal to $1,000 divided by the initial share price. Barclays is the agent. The notes will price on March 26 and settle on March 31. The Cusip number is 06741J7A1.

Goldman Sachs plans leveraged notes due 2020 with cap tied to S&P 500By Susanna Moon Chicago, March 24 – Goldman Sachs Group, Inc. plans to price 0% leveraged notes due June 30, 2020 linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission. The payout at maturity will be par plus 1.25 times any index

gain, up to a maximum settlement amount of $1,600 for each $1,000 principal amount. Investors will be exposed to any losses. Goldman Sachs & Co. is the underwriter. The notes will price on March 25 and settle on March 28. The Cusip number is 38147QXK7.



Structured

Daily

The

Products

Goldman Sachs plans leveraged notes with cap linked to S&P 500By Susanna Moon Chicago, March 24 – Goldman Sachs Group, Inc. plans to price 0% leveraged notes linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission. The notes will mature between 24 and 27 months after pricing The payout at maturity will be par plus triple any index gain,

up to a maximum settlement amount of $1,202.50 to $1,240.00 for each $1,000 principal amount. Investors will be exposed to any losses. Goldman Sachs & Co. is the underwriter. The exact details, including maturity and payment cap, will be set at pricing.

RBC to price leveraged buffered notes linked to S&P 500 indexBy Jennifer Chiou New York, March 24 – Royal Bank of Canada plans to price 0% leveraged buffered notes linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission.

The notes are expected to mature between 24 and 27 months after pricing. The payout at maturity will be par plus 1.2 times any index gain, up to a maximum settlement amount of $1,147.60 to $1,183.60 per $1,000 principal amount.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for each 1% decline beyond 10%. The Cusip is 78010UTK3. RBC Capital Markets, LLC is the underwriter.

RBC to price trigger phoenix callable securities linked to FacebookBy Toni Weeks San Luis Obispo, Calif., March 24 – Royal Bank of Canada plans to price trigger phoenix callable optimization securities due March 31, 2015 linked to the common stock of Facebook Inc., according to an FWP fi ling with the Securities and Exchange Commission. If the share price closes at or above

the coupon barrier, 60% of the initial share price, on any quarterly contingent coupon payment date, the notes will pay a contingent coupon at an annualized rate of 14.5% for that quarter. The notes are callable on any interest payment date at par plus the contingent coupon, if any. If the notes are not called, the payout

at maturity will be par plus the contingent coupon unless the stock fi nishes below the 60% trigger level, in which case investors will be fully exposed to the share price decline. RBC Capital Markets, LLC and UBS Financial Services Inc. are the underwriters. The notes (Cusip: 78010Y851) are expected to price March 25 and settle March 28.



Structured

Daily

The

Products

Issuer: Bank of MontrealIssue: Contingent risk absolute return notesUnderlying ETF: iShares MSCI EAFEAmount: $1.3 millionMaturity: March 28, 2016Coupon: 0%Price: ParPayout at maturity: If ETF return is positive, par plus ETF

return; if ETF return is not positive and barrier event does not occur, par plus absolute value of ETF return; if ETF return is not positive and barrier event

does occur, 1% loss for every 1% that final share price is less than initial share price

Barrier event: ETF’s shares close below barrier level on any day during life of notes

Initial share price: $65.29Barrier level: $47.34, 72.5% of initial levelPricing date: March 20Settlement date: March 25Agent: BMO Capital Markets Corp.Fees: NoneCusip: 06366RTQ8

New Issue:Bank of Montreal prices $1.3 million contingent risk absolute return notes on MSCI EAFE ETF

By Angela McDaniels Tacoma, Wash., March 24 – Bank of Montreal priced $1.3 million of 0% contingent risk absolute return notes due March 28, 2016 linked to the iShares MSCI EAFE exchange-traded fund, according to a 424B2 fi ling with the Securities and Exchange Commission.

A barrier event will occur if the ETF’s closing share price is less than the barrier level, 72.5% of the initial share price, on any day during the life of the notes. If the ETF return is positive, the payout at maturity will be par plus the ETF return. If the ETF return is not positive and a barrier event does not occur, the

payout will be par plus the absolute value of the ETF return. If the ETF return is not positive and a barrier event does occur, investors will lose 1% for every 1% that the fi nal share price is less than the initial share price. BMO Capital Markets Corp. is the agent.

Issuer: Bank of MontrealIssue: Buffered bullish return notesUnderlying index: S&P 500 indexAmount: $822,000Maturity: March 28, 2016Coupon: 0%Price: ParPayout at maturity: Par plus any index gain, capped at

13.5%; par if index falls by up to 15%;

1% loss for every 1% drop beyond 15%Initial level: 1,872.01Buffer level: 1,591.21, 85% of initial levelPricing date: March 20Settlement date: March 25Agent: BMO Capital Markets Corp.Fees: NoneCusip: 06366RTN5

New Issue:Bank of Montreal prices $822,000 buffered bullish notes tied to S&P 500

By Susanna Moon Chicago, March 24 – Bank of Montreal priced $822,000 of 0% buffered bullish return notes due March 28, 2016 linked to the S&P 500 index, according

to a 424B2 fi ling with the Securities and Exchange Commission. The payout at maturity will be par plus any index gain, up to a maximum return of 13.5%.

Investors will receive par if the index falls by up to 15% and will lose 1% for every 1% decline beyond 15%. BMO Capital Markets Corp. is the agent.



Structured

Daily

The

Products

Issuer: Bank of MontrealIssue: Contingent risk absolute return notesUnderlying ETF: iShares MSCI Emerging MarketsAmount: $1,244,000Maturity: March 28, 2016Coupon: 0%Price: ParPayout at maturity: If ETF return is positive, par plus ETF

return; if ETF return is not positive and barrier event does not occur, par plus absolute value of ETF return; if ETF return is not positive and barrier event

does occur, 1% loss for every 1% that final share price is less than initial share price

Barrier event: ETF’s shares close below barrier level on any day during life of notes

Initial share price: $38.74Barrier level: $29.06, 75% of initial levelPricing date: March 20Settlement date: March 25Agent: BMO Capital Markets Corp.Fees: NoneCusip: 06366RTR6

New Issue:Bank of Montreal prices $1.24 million contingent risk absolute return notes on MSCI EM ETF

By Angela McDaniels Tacoma, Wash., March 24 – Bank of Montreal priced $1.24 million of 0% contingent risk absolute return notes due March 28, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 fi ling with the Securities and Exchange Commission.

A barrier event will occur if the ETF’s closing share price is less than the barrier level, 75% of the initial share price, on any day during the life of the notes. If the ETF return is positive, the payout at maturity will be par plus the ETF return. If the ETF return is not positive and a barrier event does not occur, the

payout will be par plus the absolute value of the ETF return. If the ETF return is not positive and a barrier event does occur, investors will lose 1% for every 1% that the fi nal share price is less than the initial share price. BMO Capital Markets Corp. is the agent.

Issuer: Bank of MontrealIssue: Buffered bullish return notesUnderlying fund: iShares MSCI EAFE index fundAmount: $697,000Maturity: March 28, 2016Coupon: 0%Price: ParPayout at maturity: Par plus any fund gain, capped at 19%;

par if shares fall by up to 15%; 1% loss

for every 1% drop beyond 15%Initial share price: $65.29Buffer level: $55.50, 85% of initial levelPricing date: March 20Settlement date: March 25Agent: BMO Capital Markets Corp.Fees: NoneCusip: 06366RTP0

New Issue:Bank of Montreal prices $697,000 buffered bullish notes on iShares MSCI EAFE

By Susanna Moon Chicago, March 24 – Bank of Montreal priced $697,000 of 0% buffered bullish return notes due March 28, 2016 linked to the iShares MSCI EAFE index

fund, according to a 424B2 fi ling with the Securities and Exchange Commission. The payout at maturity will be par plus any gain in the fund, up to a maximum return of 19%.

Investors will receive par if the fund falls by up to 15% and will lose 1% for every 1% decline beyond 15%. BMO Capital Markets Corp. is the agent.



Structured

Daily

The

Products

Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares 3x Long Natural Gas

ETNUnderlying index: S&P GSCI Natural Gas Index Excess

ReturnAmount: $1,756,124,871, increased from original

$5 millionProceeds: $1,120,680 for latest $2.5 millionMaturity: Feb. 9, 2032Coupon: 0%Prices: Par of $50.00 for original $5 million;

44.8272 for latest $2.5 millionPayout at maturity: Amount equal to closing indicative

value of notes on Feb. 2, 2032Closing indicative value: Closing indicative value on preceding

day times daily ETN performance on that day minus daily investor fee; daily

ETN performance equals one plus daily accrual plus three times index’s return over previous day’s closing level

Put option: Subject to minimum of 25,000 notes and 0.05% early redemption charge

Acceleration: If intraday indicative value of notes on any day is 15% or less of prior day’s closing indicative value

Pricing date: Feb. 7, 2012 for original issue; March 21 for latest add-on

Settlement date: Feb. 10, 2012 for original issue; March 26 for latest add-on

Agent: Credit Suisse Securities (USA) LLCFees: 0.00%Listing: NYSE Arca: UGAZCusip: 22542D571

New Issue:Credit Suisse prices $1.12 million more VelocityShares 3x Long Natural Gas ETNs

New York, March 24 – Credit Suisse AG, Nassau Branch priced another $1.12 million of 0% VelocityShares 3x Long Natural Gas ETNs due Feb. 9, 2032 linked to the S&P GSCI Natural Gas Index Excess Return index, according to a 424B2 fi ling with the Securities and Exchange Commission. The $2.5 million principal amount add-on priced at 44.8272 for proceeds of $1,120,680. The original $5 million of notes priced on Feb. 7, 2012. The payout at maturity will equal the closing indicative value of the notes on Feb. 2, 2032. The closing indicative value of the notes on the inception date was $50.00. On subsequent days, it equals (a) (i) the closing

indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. The closing indicative value will never be less than zero. If the intraday indicative value of the notes is zero or less at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero. The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. The daily investor fee is an annualized

amount equal to 1.65% of the closing indicative value on the preceding day. The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%. The company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “UGAZ.” Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand.



Structured

Daily

The

Products

Issuer: Credit Suisse AG, Nassau BranchIssue: VelocityShares 3x Long Gold ETNUnderlying index: S&P GSCI Gold Index Excess ReturnAmount: $209,564,050, increased from original

$5 millionProceeds: $1,294,290 for latest $3.75 millionMaturity: Oct. 14, 2031Coupon: 0%Prices: Par of $50.00 for original $5 million;



day times daily ETN performance on that day minus daily investor fee; daily ETN performance equals one plus daily

accrual plus three times index’s return over previous day’s closing level





Agent: Credit Suisse Securities (USA) LLCFees: 0.00%Listing: NYSE Arca: UGLDCusip: 22542D688

New Issue:Credit Suisse prices $1.29 mln more VelocityShares 3x Long Gold ETNs

New York, March 24 – Credit Suisse AG, Nassau Branch priced another $1.29 million of 0% VelocityShares 3x Long Gold ETNs due Oct. 14, 2031 linked to the S&P GSCI Gold Index Excess Return index, according to a 424B2 fi ling with the Securities and Exchange Commission. The $3.75 million principal amount add-on priced at 34.5144 for proceeds of $1,294,290. The original $5 million of notes priced on Oct. 14, 2011. The payout at maturity will equal the closing indicative value of the notes on Oct. 8, 2031. The closing indicative value of the notes on the inception date was $50.00. On subsequent days, it equals (a) (i) the closing

indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. The closing indicative value will never be less than zero. If the intraday indicative value of the notes is zero or less at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero. The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times three. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. The daily investor fee is an annualized

amount equal to 1.35% of the closing indicative value on the preceding day. The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%. The company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “UGLD.” Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand.



Structured

Daily

The

Products

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

Medium Term ETNUnderlying index: S&P 500 Vix Medium-Term FuturesAmount: $54,659,500, increased from original $5

millionProceeds: $3,872,360 for latest $1.25 millionMaturity: Dec. 4, 2030Coupon: 0%Prices: Par of $12.50 for original $5 million;



day times daily ETN performance on that day minus daily investor fee; daily

ETN performance equals one plus daily accrual plus negative one times index’s return over previous day’s closing level





Agent: Credit Suisse Securities (USA) LLCFees: 0.00%Listing: NYSE Arca: ZIVCusip: 22542D829

New Issue:Credit Suisse prices $3.87 million more VelocityShares Daily Inverse VIX Medium Term ETNs

New York, March 24 – Credit Suisse AG, Nassau Branch priced another $3.87 million of 0% VelocityShares Daily Inverse VIX Medium Term ETNs due Dec. 4, 2030 linked to the S&P 500 Vix Medium-Term Futures index, according to a 424B2 fi ling with the Securities and Exchange Commission. The $1.25 million principal amount add-on priced at 309.7888 for proceeds of $3,872,360. The original $5 million of notes priced on Nov. 29, 2010. The payout at maturity will equal the closing indicative value of the notes on Nov. 29, 2030. On June 27, 2011 the company implemented an eight-for-one split of the notes, reducing the principal amount of each note to $12.50 from $100.

The closing indicative value of the notes on the inception date was $12.50. On subsequent days, it equals (a) (i) the closing indicative value on the preceding day times (ii) the daily ETN performance of the notes on that day minus (b) the daily investor fee. The closing indicative value will never be less than zero. If the intraday indicative value of the notes is zero or less at any time or the closing indicative value is equal to zero, the closing indicative value of the notes on that day and on all following days will be zero. The daily ETN performance equals (a) one plus (b) the daily accrual plus (c) the index return over the previous day’s closing index level times negative one. The daily accrual is the rate of interest that could be earned on a notional capital reinvestment at

the 91-day Treasury rate. The daily investor fee is an annualized amount equal to 1.35% of the closing indicative value on the preceding day. The notes are putable at a minimum of 25,000 notes. Holders will receive the closing indicative value minus an early redemption charge of 0.05%. The company can accelerate the notes if their intraday indicative value is ever 20% or less of the prior day’s closing indicative value. The notes are listed on the NYSE Arca under the ticker symbol “ZIV.” Credit Suisse Securities (USA) LLC is the agent. VLS Securities, LLC will receive all or part of the daily investor fee in consideration for its role in marketing and placing the securities under the VelocityShares brand.



Structured

Daily

The

Products

Issuer: JPMorgan Chase & Co.Issue: Dual directional knock-out buffered

equity notesUnderlying index: S&P 500Amount: $1.03 millionMaturity: March 24, 2016Coupon: 0%Price: ParPayout at maturity: If index gains, par plus return; if index

falls but never closes below knock-

in level, par plus absolute value of return; otherwise, full exposure to any losses

Initial index level: 1,872.01Knock-in level: 78% of initial levelPricing date: March 20Settlement date: March 25Agent: J.P. Morgan Securities LLCFees: NoneCusip: 48127DAX6

New Issue:JPMorgan prices $1.03 million dual directional knock-out buffered notes on S&P 500

By Jennifer Chiou New York, March 24 – JPMorgan Chase & Co. priced $1.03 million of 0% dual directional knock-out buffered equity notes due March 24, 2016 linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission.

A knock-out event occurs if the index ever falls by more than 22% on any day during the life of the notes. If the index fi nishes at or above the index level, the payout at maturity will be par plus any index gain. If the index fi nishes below the initial

level and a knock-out event never occurs, the payout will be par plus the absolute value of the index return. Otherwise, investors will be fully exposed to any losses. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Reverse exchangeable notesUnderlying stock: lululemon athletica inc. (Symbol:

LULU)Amount: $1 millionMaturity: June 25, 2014Coupon: 9%, payable monthlyPrice: ParPayout at maturity: Par in cash unless lululemon athletica

shares fall below the protection price of $33.13, 67.9729% of the initial price,

and finish below the initial price, in which case 20.5170 shares of lululemon athletica stock

Initial price: $48.74Protection price: $33.13, 67.9729% of $48.74Exchange ratio: 20.5170Pricing date: March 20Settlement date: March 25Agent: JPMorganFees: 1.25%Cusip: 48127DCF3

New Issue:JPMorgan prices $1 million 9% reverse exchangeables linked to lululemon athletica

New York, March 24 - JPMorgan Chase & Co. priced $1 million of 9% reverse exchangeable notes due June 25, 2014 linked to lululemon athletica inc. shares, according to a 424B2 fi ling with the

Securities and Exchange Commission. The payout at maturity will be par in cash unless lululemon athletica shares fall below the protection price of $33.13, 67.9729% of the initial price of $48.74,

during the life of the notes and fi nish below the initial price in which case the payout will be 20.5170 shares of lululemon athletica stock. JPMorgan is the agent.



Structured

Daily

The

Products

Issuer: JPMorgan Chase & Co.Issue: Capped dual directional knock-out

buffered notesUnderlying ETF: SPDR Barclays International Treasury

Bond ETFAmount: $763,000Maturity: March 24, 2016Coupon: 0%Price: ParPayout at maturity: If final share price is greater than

initial share price, par plus ETF return, capped at 10%; if final share price is less than initial share price and knock-out event has not occurred, par

plus absolute value of ETF return; if final share price is less than initial share price and knock-out event has occurred, full exposure to share price decline

Knock-out event: Closing share price is less than initial share price by more than 14.6% on any day during life of notes

Initial share price: $58.85Pricing date: March 20Settlement date: March 25Agent: J.P. Morgan Securities LLCFees: NoneCusip: 48127DBA5

New Issue:JPMorgan prices $763,000 capped dual directional knock-out notes linked to T-bond fund

By Jennifer Chiou New York, March 24 – JPMorgan Chase & Co. priced $763,000 of 0% capped dual directional knock-out buffered notes due March 24, 2016 linked to the SPDR Barclays International Treasury Bond exchange-traded fund, according to a 424B2 fi ling with the Securities and Exchange Commission.

A knock-out event occurs if the fund closes below the initial share price by more than 14.6% on any day during the life of the notes. If the fund fi nishes above the initial share price, the payout at maturity will be par plus the fund return, up to a maximum return of 10%. If the fund fi nishes at the initial share

price, the payout will be par. If the fund fi nishes below the initial level and a knock-out event has not occurred, the payout will be par plus the absolute value of the return. Otherwise, investors will be fully exposed to any losses. J.P. Morgan Securities LLC is the agent.



Structured

Daily

The

Products

Issuer: JPMorgan Chase & Co.Issue: Autocallable yield notesUnderlying components: iShares MSCI Emerging Markets ETF,

Euro Stoxx 50 index and Russell 2000 index

Amount: $763,000Maturity: June 25, 2015Coupon: 6.2%, payable quarterlyPrice: ParPayout at maturity: Par unless any underlying component

declines by more than buffer amount during life of notes and any underlying component finishes below its initial level, in which case full exposure to losses of worst-performing component

Call: Automatically at par if each underlying component closes at or above its initial level on June 20, 2014, Sept. 22, 2014, Dec. 22, 2014 or March 20, 2015

Initial levels: $38.74 for ETF, 3,088.90 for Euro Stoxx 50 and 1,198.9705 for Russell 2000

Buffer amounts: $15.496 for ETF, 1,235.56 for Euro Stoxx 50 and 479.5882 for Russell 2000, 40% of initial levels

Pricing date: March 20Settlement date: March 25Agent: J.P. Morgan Securities LLCFees: 2.35%Cusip: 48127DBP2

New Issue:JPMorgan prices $763,000 6.2% autocallable yield notes on ETF, indexes

By Angela McDaniels Tacoma, Wash., March 24 – JPMorgan Chase & Co. priced $763,000 of 6.2% autocallable yield notes due June 25, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 fi ling with the

Securities and Exchange Commission. Interest is payable quarterly. The notes will be called at par if each underlying component closes at or above its initial level on any quarterly call date. The payout at maturity will be par unless any underlying component declines by more than 40% during the life of the

notes and the fi nal level of any underlying component is less than its initial level, in which case investors will lose 1% for every 1% that the fi nal level of the worst-performing underlying component is less than its initial level J.P. Morgan Securities LLC is the agent.



Structured

Daily

The

Products

Issuer: JPMorgan Chase & Co.Issue: Knock-out buffered notesUnderlying index: S&P 500Amount: $510,000Maturity: March 23, 2017Coupon: 0%Price: ParPayout at maturity: If index gains, par plus the return;

if index falls but never closes below

knock-out level, par; otherwise, full exposure to any losses

Initial index level: 1,872.01Knock-out level: 62.5% of initial levelPricing date: March 20Settlement date: March 25Agent: J.P. Morgan Securities LLCFees: NoneCusip: 48127DAY4

New Issue:JPMorgan prices $510,000 knock-out buffered notes tied to S&P 500

By Jennifer Chiou New York, March 24 – JPMorgan Chase & Co. priced $510,000 of 0% knock-out buffered notes due March 23, 2017 linked to the S&P 500 index, according to a 424B2 fi ling with the Securities and Exchange Commission.

A knock-out event occurs if the index ever falls by more than the 37.5% knock-out buffer on any day during the life of the notes. If the index fi nishes above its initial level, the payout at maturity will be par plus the gain.

If the index falls but a knock-out event never occurs, the payout at maturity will be par. Otherwise, investors will be fully exposed to any losses. J.P. Morgan Securities LLC is the agent.

Issuer: JPMorgan Chase & Co.Issue: Reverse exchangeable notesUnderlying stock: Joy Global Inc. (Symbol: JOY)Amount: $663,000Maturity: June 25, 2014Coupon: 7.05%, payable monthlyPrice: ParPayout at maturity: Par in cash unless Joy Global shares fall

below the protection price of $41.3625, 75% of the initial price, and finish

below the initial price, in which case 18.1324 shares of Joy Global stock

Initial price: $55.15Protection price: $41.3625, 75% of $55.15Exchange ratio: 18.1324Pricing date: March 20Settlement date: March 25Agent: JPMorganCusip: 48127DBB3

New Issue:JPMorgan prices $663,000 7.05% reverse exchangeables linked to Joy Global

New York, March 24 - JPMorgan Chase & Co. priced $663,000 of 7.05% reverse exchangeable notes due June 25, 2014 linked to Joy Global Inc. shares, according to a 424B2 fi ling with the Securities and Exchange Commission. The payout at maturity will be par in cash unless Joy Global

shares fall below the protection price of $41.3625, 75% of the initial price of $55.15, during the life of the notes and fi nish below the initial price in which case the payout will be 18.1324 shares of Joy Global stock. JPMorgan is the agent.



Structured

Daily

The

Products

Issuer: Royal Bank of CanadaIssue: Buffered bullish return notesUnderlying ETF: iShares MSCI Emerging MarketsAmount: $832,000Maturity: March 24, 2016Coupon: 0%Price: ParPayout at maturity: If ETF return is positive, par plus ETF

return, capped at 20.5%; par if ETF falls

by 15% or less; 1% loss for every 1% decline beyond 15%

Initial share price: $38.74Buffer level: $32.93, 85% of initial share pricePricing date: March 20Settlement date: March 25Agent: RBC Capital Markets, LLCFees: NoneCusip: 78010UTG2

New Issue:RBC prices $832,000 buffered bullish return notes linked to iShares MSCI EM

By Angela McDaniels Tacoma, Wash., March 24 – Royal Bank of Canada priced $832,000 of 0% buffered bullish return notes due March 24, 2016 linked to the iShares MSCI

Emerging Markets exchange-traded fund, according to a 424B2 fi ling with the Securities and Exchange Commission. If the ETF return is positive, the payout at maturity will be par plus the ETF return,

subject to a maximum return of 20.5%. Investors will receive par if the fund falls by up to 15% and will lose 1% for every 1% that it declines beyond 15%. RBC Capital Markets, LLC is the agent.

Issuer: Royal Bank of CanadaIssue: Autocallable notesUnderlying indexes: Russell 2000, MSCI EAFEAmount: $6 millionMaturity: Sept. 24, 2015Coupon: 0%Price: ParPayout at maturity: Par if lesser performing index

finishes at or above barrier level; otherwise, 1.25% loss per 1% drop beyond 20%

Call: Par plus 9.7% annualized if both indexes close at or above their initial levels on any quarterly call date

Initial levels: 1,198.97 for Russell, 1,864.01 for MSCI EAFE

Barrier levels: 80% of initial levelsPricing date: March 20Settlement date: March 25Agent: RBC Capital Markets LLCFees: 0.1%Cusip: 78010UUA3

New Issue:RBC prices $6 mln autocallable notes linked to Russell 2000, MSCI EAFE

By Susanna Moon Chicago, March 24 – Royal Bank of Canada priced $6 million of 0% autocallable notes due Sept. 24, 2015 linked to the lesser performing of the MSCI EAFE index and the Russell 2000

index, according to a 424B2 fi ling with the Securities and Exchange Commission. The notes will be called at par plus an annualized premium of 9.7% if each index closes at or above its initial level on a quarterly call date.

The payout at maturity will be par unless either index fi nishes below the 80% barrier level, in which case investors will lose 1.25% per 1% decline of the lesser performing index. RBC Capital Markets LLC is the agent.



Structured

Daily

The

Products

Issuer: Royal Bank of CanadaIssue: Reverse convertible notesUnderlying stock: Cliffs Natural Resources Inc. (Symbol:

CLF)Amount: $500,000Maturity: Sept. 25, 2014Coupon: 14.5%, payable monthlyPrice: ParPayout at maturity: Par in cash unless Cliffs Natural shares

fall below the protection price of $13.04, 70% of the initial price, and

finish below the initial price, in which case Cliffs Natural shares equal to $1,000 principal amount divided by the initial price

Initial price: $18.63Protection price: $13.04, 70% of $18.63Pricing date: March 20Settlement date: March 25Agent: RBC Capital Markets Corp.Fees: 1%Cusip: 78010UUB1

New Issue:RBC prices $500,000 14.5% reverse convertibles linked to Cliffs Natural

New York, March 24 - Royal Bank of Canada priced $500,000 of 14.5% reverse convertible notes due Sept. 25, 2014 linked to Cliffs Natural Resources Inc. shares, according to a 424B2 fi ling with the

Securities and Exchange Commission. The payout at maturity will be par in cash unless Cliffs Natural shares fall below the protection price of $13.04, 70% of the initial price of $18.63, during the life of the

notes and fi nish below the initial price in which case the payout will be Cliffs Natural shares equal to $1,000 principal amount divided by the initial price. RBC Capital Markets Corp. is the agent.

Issuer: Royal Bank of CanadaIssue: Reverse convertible notesUnderlying stock: Kansas City Southern (Symbol: KSU)Amount: $726,000 Maturity: June 25, 2014Coupon: 8%, payable monthlyPrice: ParPayout at maturity: Par in cash unless Kansas City Southern

shares fall below the protection price of $74.63, 75% of the initial price, and finish below the initial price, in which

case Kansas City Southern shares equal to $1,000 principal amount divided by the initial price

Initial price: $99.51Protection price: $74.63, 75% of $99.51Pricing date: March 20Settlement date: March 25Agent: RBC Capital Markets Corp.Fees: 0%Cusip: 78010UTE7

New Issue:RBC prices $726,000 8% reverse convertibles linked to Kansas City Southern

New York, March 24 - Royal Bank of Canada priced $726,000 of 8% reverse convertible notes due June 25, 2014 linked to Kansas City Southern shares, according to a 424B2 fi ling with the Securities and

Exchange Commission. The payout at maturity will be par in cash unless Kansas City Southern shares fall below the protection price of $74.63, 75% of the initial price of $99.51, during the life

of the notes and fi nish below the initial price in which case the payout will be Kansas City Southern shares equal to $1,000 principal amount divided by the initial price. RBC Capital Markets Corp. is the agent.



Structured

Daily

The

Products

Issuer: Bank of Nova ScotiaIssue: Equity-linked index notesUnderlying index: Raymond James Analyst Current

Favorites Total Return indexAmount: $70 millionProceeds: $72.1 millionMaturity: March 23, 2017Coupon: 0%Price: 103Payout at maturity: Par plus index return, which could be

positive or negative

Initial index level: 3,073.01Final index level: Index’s closing level on March 20,

2017 minus aggregate index adjustment amount, which may be up to $10 per note

Pricing date: March 20Settlement date: March 25Underwriter: Scotia Capital (USA) Inc.Fees: 2.5% underwriting commission plus up

to 0.05% structuring and development fee

Cusip: 064159CZ7

New Issue:Scotiabank prices $72.1 mln notes linked to Raymond James favorites

By Angela McDaniels Tacoma, Wash., March 24 – Bank of Nova Scotia priced $70 million principal amount of 0% equity-linked index notes due March 23, 2017 linked to the Raymond James Current Favorites Total Return index, according to a 424B2 fi ling with the Securities and Exchange Commission. The notes priced at 103 for $72.1 million of proceeds. The payout at maturity will be par plus the index return, which could be negative.

Due to the 103 issue price and the index adjustment amount (described below), investors will receive less than their initial investments if the index does not increase by at least 4%. The fi nal level of the index will be its closing level on March 20, 2017 minus the aggregate index adjustment amount. The index adjustment amount is $1.25 per note. Index adjustment amounts will accrue quarterly beginning on the next rebalancing date of the index to occur

following the fi rst anniversary of settlement. The aggregate amount of index adjustment amounts that may accrue over the tenor of the notes is $10 per note. Any secondary market transaction executed by Scotia Capital (USA) Inc. will be subject to an early redemption fee of 0.75% through March 23, 2015, 0.5% from and excluding March 23, 2015 to and including March 23, 2016 and 0.25% from and excluding March 23, 2016 through maturity. Scotia Capital (USA) is the underwriter.

Issuer: Bank of Nova ScotiaIssue: Capped fixed-to-floating-rate notesAmount: $50 millionMaturity: March 27, 2017Coupon: 0.75% for first year; after that, Libor

plus 55 bps, subject to 2% cap year; payable quarterly

Price: ParPayout at maturity: ParPricing date: March 20Settlement date: March 27Underwriter: Scotia Capital (USA) Inc.Fees: 0.1%Cusip: 064159ED4

New Issue:Scotiabank prices $50 million capped fi xed-to-fl oating notes

By Angela McDaniels Tacoma, Wash., March 24 – Bank of Nova Scotia priced $50 million of capped fi xed-to-fl oating-rate notes due March 27, 2017, according to a 424B2 fi ling with the Securities and Exchange Commission.

The interest rate is 0.75% for the fi rst year. After that, it will be Libor plus 55 basis points, subject to a cap of 2% per year. Interest is payable quarterly. The payout at maturity will be par. Scotia Capital (USA) Inc. is the underwriter.



Structured

Daily

The

Products

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Petroleo Brasileiro SA (NYSE: PBR)Amount: $219,888.9Maturity: March 27, 2015Coupon: 8.18%, payable monthlyPrice: Par of $11.97Payout at maturity: If final share price is less than trigger

price, one Petroleo Brasileiro share;

otherwise, parInitial share price: $11.97Trigger price: $8.38, 70% of initial pricePricing date: March 24Settlement date: March 27Underwriters: UBS Financial Services Inc. and UBS

Investment BankFees: 2%Cusip: 90272G700

New Issue:UBS prices $219,888 8.18% trigger yield optimization notes linked to Petroleo Brasileiro

New York, March 24 – UBS AG, London Branch priced $219,888.9 of 8.18% trigger yield optimization notes due March 27, 2015 linked to the American depositary shares of Petroleo Brasileiro SA, according to a 424B2 fi ling with the

Securities and Exchange Commission. The face amount of each note is $11.97, which is equal to the initial share price of Petroleo Brasileiro stock. Interest is payable monthly. The payout at maturity will be par

unless the fi nal price of Petroleo Brasileiro stock is less than 70% of the initial share price, in which case investors will receive one Petroleo Brasileiro share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: lululemon athletica inc.Amount: $104,959.7Maturity: March 27, 2015Coupon: 9.43%, payable monthlyPrice: Par of $49.30Payout at maturity: If final share price is less than trigger

price, one lululemon athletica share;


Investment BankFees: 1.75%Cusip: 90272G684

New Issue:UBS prices $104,959 9.43% trigger yield optimization notes linked to lululemon athletica

New York, March 24 – UBS AG, London Branch priced $104,959.7 of 9.43% trigger yield optimization notes due March 27, 2015 linked to the common stock of lululemon athletica inc., according to a 424B2 fi ling with the Securities and

Exchange Commission. The face amount of each note is $49.30, which is equal to the initial share price of lululemon athletica stock. Interest is payable monthly. The payout at maturity will be par

unless the fi nal price of lululemon athletica stock is less than 80% of the initial share price, in which case investors will receive one lululemon athletica share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.



Structured

Daily

The

Products

Issuer: UBS AG, London BranchIssue: Trigger phoenix autocallable

optimization securitiesUnderlying stock: Gilead Sciences, Inc. (Nasdaq: GILD)Amount: $130,000Maturity: March 31, 2015Coupon: 11.05%, payable quarterly if stock

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

Price: Par of $10.00Payout at maturity: Par plus contingent coupon if Gilead

Sciences shares finish at or above trigger price; otherwise, par plus stock

returnCall: Automatically at par plus contingent

coupon if Gilead Sciences shares close at or above initial price on a quarterly observation date

Initial share price: $72.14Trigger price: $54.10, 75% of initial pricePricing date: March 24Settlement date: March 27Underwriters: UBS Financial Services Inc. and UBS

Investment BankFees: 1.5%Cusip: 90272G676

New Issue:UBS prices $130,000 trigger phoenix autocallable optimization securities linked to Gilead Sciences

New York, March 24 – UBS AG, London Branch priced $130,000 of trigger phoenix autocallable optimization securities due March 31, 2015 linked to the common stock of Gilead Sciences, Inc., according to a 424B2 fi ling with the Securities and Exchange Commission. If Gilead Sciences 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 for that quarter at the rate of 11.05%. Otherwise, no coupon will be paid that quarter. If the shares close at or above the initial price on a quarterly observation date, the notes will be called at par plus the contingent coupon.

If the notes are not called and Gilead Sciences shares fi nish 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 from the initial price. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: Fortinet, Inc. (Nasdaq: FTNT)Amount: $100,995.99Maturity: March 27, 2015Coupon: 7.05%, payable monthlyPrice: Par of $22.29Payout at maturity: If final share price is less than trigger

price, one Fortinet share; otherwise, par

Initial share price: $22.29Trigger price: $15.60, 70% of initial pricePricing date: March 24Settlement date: March 27Underwriters: UBS Financial Services Inc. and UBS


New Issue:UBS prices $100,995 7.05% trigger yield optimization notes on Fortinet

New York, March 24 – UBS AG, London Branch priced $100,995.99 of 7.05% trigger yield optimization notes due March 27, 2015 linked to the common stock of Fortinet, Inc., according to a 424B2 fi ling with the Securities and Exchange

Commission. The face amount of each note is $22.29, which is equal to the initial share price of Fortinet stock. Interest is payable monthly. The payout at maturity will be par

unless the fi nal price of Fortinet stock is less than 70% of the initial share price, in which case investors will receive one Fortinet share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.



Structured

Daily

The

Products

Issuer: UBS AG, London BranchIssue: Trigger yield optimization notesUnderlying stock: salesforce.com, inc. (NYSE: CRM)Amount: $99,982.64Maturity: March 27, 2015Coupon: 5.94%, payable monthlyPrice: Par of $56.36Payout at maturity: If final share price is less than trigger

price, one salesforce.com share;



New Issue:UBS prices $99,982 5.94% trigger yield optimization notes linked to salesforce.com

New York, March 24 – UBS AG, London Branch priced $99,982.64 of 5.94% trigger yield optimization notes due March 27, 2015 linked to the common stock of salesforce.com, inc., according to a 424B2 fi ling with the Securities and

Exchange Commission. The face amount of each note is $56.36, which is equal to the initial share price of salesforce.com stock. Interest is payable monthly. The payout at maturity will be par

unless the fi nal price of salesforce.com stock is less than 70% of the initial share price, in which case investors will receive one salesforce.com share per note. UBS Financial Services Inc. and UBS Investment Bank are the underwriters.

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $250 millionMaturity: March 26, 2019Coupon: 1% initial ratePrice: Par

Call: Bermuda callPricing date: Feb. 26Settlement date: March 26Underwriters: Amherst and MBSCusip: 3130A15L8

New Issue:FHLB upsizes to $250 million fi ve-year callable step up notes at 1% initial rate

New York, March 24 - Federal Home Loan Banks upsized to $250 million its sale of 1% initial rate fi ve-year callable step up notes at par, according to the agency’s web site.

The bonds will mature on March 26, 2019 and have a Bermuda call. FHLB originally priced $235 million of the issue. Amherst and MBS are the managers.



Structured

Daily

The

Products

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $70 millionMaturity: April 17, 2019Coupon: 1.75% initial ratePrice: Par

Call: Bermuda callPricing date: March 19Settlement date: April 17Underwriters: Incapital and MesirowCusip: 3130A1G44

New Issue:FHLB upsizes to $70 million fi ve-year callable step up notes at 1.75% initial rate

New York, March 24 - Federal Home Loan Banks upsized to $70 million its sale of 1.75% initial rate fi ve-year callable step up notes at par, according to the agency’s web site.

The bonds will mature on April 17, 2019 and have a Bermuda call. FHLB originally priced $60 million of the issue. Incapital and Mesirow are the managers.


Call: Bermuda callPricing date: March 20Settlement date: April 17Underwriters: Duncan-Williams Inc. and IncapitalCusip: 3130A1GT9



The bonds will mature on April 17, 2019 and have a Bermuda call. FHLB originally priced $45 million of the issue. Duncan-Williams Inc. and Incapital are the managers.


Call: Bermuda callPricing date: March 20Settlement date: April 2Underwriter: Deutsche BankCusip: 3130A1GJ1



The bonds will mature on April 2, 2019 and have a Bermuda call. FHLB originally priced $100 million of the issue. Deutsche Bank is the manager.



Structured

Daily

The

Products

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $35 millionMaturity: March 26, 2019Coupon: 1% initial ratePrice: Par

Call: Bermuda callPricing date: March 11Settlement date: March 26Underwriters: Amherst and MBSCusip: 3130A1DH8

New Issue:FHLB upsizes to $35 million fi ve-year callable step up notes at 1% initial rate

New York, March 24 - Federal Home Loan Banks upsized to $35 million its sale of 1% initial rate fi ve-year callable step up notes

at par, according to the agency’s web site. The bonds will mature on March 26, 2019 and have a Bermuda call.

FHLB originally priced $25 million of the issue. Amherst and MBS are the managers.


Call: Bermuda callPricing date: March 20Settlement date: April 17Underwriter: SunTrustCusip: 3130A1H27



The bonds will mature on April 17, 2019 and have a Bermuda call. FHLB originally priced $15 million of the issue. SunTrust is the manager.



Structured

Daily

The

Products

Issuer: Federal Home Loan BanksIssue: Step up notesAmount: $15 millionMaturity: April 17, 2024Coupon: 1% initial ratePrice: Par

Call: Bermuda callPricing date: March 21Settlement date: April 17Underwriters: Duncan-Williams Inc. and IncapitalCusip: 3130A1HF8

New Issue:FHLB prices $15 million 10-year callable step up notes at 1% initial rate

New York, March 24 - Federal Home Loan Banks priced $15 million of 1% initial rate 10-year callable step

up notes at par, according to the agency’s web site. The bonds will mature on April 17,

2024 and have a Bermuda call. Duncan-Williams Inc. and Incapital are the managers.


Call: Bermuda callPricing date: March 24Settlement date: April 23Underwriter: JLCusip: 3130A1HP6

New Issue:FHLB prices $15 mln fi ve-year callable step up notes at 1.8% initial rate

New York, March 24 - Federal Home Loan Banks priced $15 million of 1.8% initial rate fi ve-year callable step up notes at par, according to the agency’s web site.

The bonds will mature on April 23, 2019 and have a Bermuda call. JL is the manager.


Prospect NewsThe

Structured

DailyProductsStructured Products Calendar

BANK OF AMERICA CORP.

• 0% Market Index Target-Term Securities due April 2020 linked to the Dow Jones-UBS Commodity Index - Excess Return; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2015 linked to the NYSE Arca Gold Miners index; via BofA Merrill Lynch; pricing in March

BANK OF MONTREAL

• Rising-rate notes due March 31, 2020 linked to the 30-year Constant Maturity Swap rate; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTL9

• 0% buffered bullish enhanced return notes due March 31, 2017 linked to the iShares China Large-Cap exchange-traded fund; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTF2

• 3.25% autocallable cash-settled notes with step-up call price due March 31, 2016 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTE5

• 0% bullish enhanced return notes with lookback feature due March 31, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTH8

• 0% buffered bullish enhanced return notes due March 31, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTG0

• 0% upside booster notes with barrier due March 29, 2019 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTJ4

• 0% upside booster notes with barrier due March 29, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production ETF; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RTK1

• Fixed-to-fl oating-rate conditional interest notes with buffered downside protection due April 30, 2021 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing April 25; Cusip: 06366RTM7

BANK OF NOVA SCOTIA

• Capped fi xed-to-fl oating-rate notes due March 28, 2019; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159DY9

• Callable step-up rate notes due March 28, 2024; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159DW3

• Callable step-up rate notes due March 28, 2029; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159DX1

• Autocallable contingent interest barrier notes due March 28, 2017 linked to the common stock of Apple Inc.; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159DS2

• Floored fl oating-rate notes due March 28, 2024 linked to 10-year Constant Maturity Swap Rate; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159EC6

• Callable contingent interest range accrual barrier notes due March 28, 2029 linked to the S&P 500 index; via Scotia Capital (USA) Inc.; pricing March 25; Cusip: 064159DT0

• 0% equity-linked index notes, series A, due April 21, 2016 tied to the S-Network Bank Loan/Limited Duration Closed-End Fund index; via Scotia Capital (USA) Inc.; pricing April 17; Cusip: 064159DU7

• 0% series A capped buffered notes due 36 to 39 months after issue linked to the MSCI EAFE index; via Scotia Capital (USA) Inc. with Goldman Sachs & Co.; Cusip: 064159247

BANK OF THE WEST

• Contingent variable-income market-linked certifi cates of deposit due March 29, 2021 linked to a basket of common stocks (AbbVie Inc., Altria Group, Inc., Apple Inc., AT&T Inc., Intel Corp., Lorillard Inc., Noble Corp. plc, PPL Corp., Southern Co. and Verizon Communications Inc.); via BNP Paribas Securities Corp. with Advisors Asset Management, Inc. as distributor; pricing March 25; Cusip: 06426XKE9

• Income advantage market-linked certifi cates of deposit due March 28, 2019 linked to a basket of common stocks (Altria Group, Inc., Intel Corp., Noble Corp., PPL Corp. and Verizon Communications Inc.); via BNP Paribas Securities Corp. with Advisors Asset Management, Inc. as distributor; pricing March 25; Cusip: 06426XKD1

• Income advantage market-linked certifi cates of deposit due March 29, 2021 linked to a basket of common stocks (Altria Group, Inc., Intel Corp., Noble Corp., PPL Corp. and Verizon Communications Inc.); via BNP Paribas Securities Corp. with Advisors Asset Management, Inc. as distributor; pricing March 25; Cusip: 06426XKF6

BARCLAYS BANK DELAWARE

• Certifi cates of deposit due March 30, 2020 linked to Apple Inc., Duke Energy Corp., Ford Motor Co., Hewlett-Packard Co. and Nike, Inc.; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AM63

Continued on page 24


Prospect NewsThe

Structured


• Certifi cates of deposit due March 28, 2019 linked to Apple Inc., AT&T Inc., Bristol-Myers Squibb Co., Cisco Systems, Inc., Duke Energy Corp., Ford Motor Co., Hewlett-Packard Co., McDonald’s Corp., Nike, Inc. and Yahoo! Inc.; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AM97

• Certifi cates of deposit due March 26, 2021 linked to Apple Inc., AT&T Inc., Bristol-Myers Squibb Co., Cisco Systems, Inc., Duke Energy Corp., Ford Motor Co., Hewlett-Packard Co., McDonald’s Corp., Nike, Inc. and Yahoo! Inc.; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AN21

• Certifi cates of deposit due March 26, 2021 linked to Apple Inc., AT&T Inc., Altria Group, Inc., Duke Energy Corp., Intel Corp., Lorillard Inc., McDonald’s Corp., Microsoft Corp., Verizon Communications Inc. and Williams Cos., Inc.; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AN39

• Certifi cates of deposit due March 30, 2020 linked to the Hang Seng index, Euro Stoxx 50 index, FTSE 100 index and S&P 500 index; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AN62

• 0% certifi cates of deposit due March 28, 2019 linked to the Russell 2000 index; via Barclays with Incapital LLC; pricing March 25; Cusip: 06740AN47

• 0.4% to 0.6% certifi cates of deposit due March 30, 2021 linked to the Shiller Barclays CAPE US Sector Risk Controlled 7% USD Excess Return index; via Barclays and Incapital LLC; pricing March 25; Cusip: 06740AN70

BARCLAYS BANK PLC

• Capped callable steepener notes due March 28, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year Constant Maturity Swap rate; via Barclays; pricing March 25; Cusip: 06741T6S1

• 8% reverse convertible notes due Sept. 30, 2014 linked to Yahoo! Inc. stock; via Barclays Capital; pricing March 25; Cusip: 06741J6Z7

• 0% buffered Super Track notes due March 29, 2019 linked to the Dow Jones industrial average; via Barclays; pricing March 26; Cusip: 06741T6Y8

• Callable contingent coupon notes due March 31, 2016 linked to Transocean Ltd. shares; 70% trigger; via Barclays; pricing March 26; Cusip: 06741J7A1

• Zero-coupon pay at maturity notes due March 31, 2022 linked to the 30-year Constant Maturity Swap rate and contingent on Libor; via Barclays; March 26; Cusip: 06741UAM6

• 0% airbag performance securities due April 1, 2024 linked to the Dow Jones industrial average; via UBS Financial Services Inc. and Barclays; pricing March 26; Cusip: 06742K824

• 0% annual autocallable notes due March 30, 2017 linked to the performance of the Korea Composite Stock Price Index 200 and the MSCI Taiwan index; via Barclays; pricing March 26; Cusip: 06741T6V4

• 0% trigger performance securities due March 29, 2019 linked to the S&P 500 index; via UBS Financial Services and Barclays; pricing March 26; Cusip: 06742K816

• Callable buffered range accrual notes due March 31, 2021 linked to the S&P 500 index; 80% trigger; via Barclays; pricing March 26; Cusip: 06741T7E1

• Annual reset coupon buffered notes due March 29, 2019 linked to the Russell 2000 index; via Barclays; pricing March 27; Cusip: 06741T6Z5

• 8.25%-9% callable yield notes due Dec. 2, 2015 linked to the lesser-performing of the Russell 2000 index, the iShares MSCI Canada exchange-traded fund and the iShares MSCI Japan ETF; via Barclays; pricing March 27; Cusip: 06741UAT1

• 0% Performance Leveraged Upside Securities due May 7, 2015 linked to the Euro Stoxx 50 index; via Barclays with Morgan Stanley Wealth Management; pricing March 31; Cusip: 06742B444

• 0% Performance Leveraged Upside Securities due May 7, 2015 linked to the Russell 2000 index; via Barclays with Morgan Stanley Wealth Management; pricing March 31; Cusip: 06742B436

• 0% trigger Performance Leveraged Upside Securities due April 3, 2020 linked to the S&P 500 index; 60% trigger; via Barclays with Morgan Stanley Wealth Management; pricing March 31; Cusip: 06742B261

• 0% Accelerated Return Notes due June 2015 linked to Apple Inc., Facebook, Inc. and Yahoo! Inc.; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due June 2015 linked to Ford Motor Co. common stock; via BofA Merrill Lynch; pricing in March

Continued from page 23



Prospect NewsThe

Structured


• 0% Accelerated Return Notes due May 2015 linked to the MSCI EAFE index; via BofA Merrill Lynch; pricing in March

• 0% notes due April 6, 2017 linked to the EquityCompass Share Buyback index; via Barclays; pricing April 3; Cusip: 06741T7B7

• Callable step-up rate notes, series A, due April 8, 2019; via Scotia Capital (USA) Inc.; pricing April 3; Cusip: 064159EF9

• 15- to 18-month 0% capped leveraged notes linked to the S&P 500 index; via Barclays; Cusip: 06741UAL8 Bank of Nova Scotia

• 24-27-month 0% capped leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741UAN4

BMO HARRIS BANK

• Annual digital yield generator certifi cates of deposit due March 29, 2019 linked to the common stocks of Apple Inc., Bristol-Myers Squibb Co., Dollar General Corp., Ford Motor Co., Lorillard, Inc., McDonald’s Corp., Potash Corp. of Saskatchewan Inc., Seagate Technology plc, Vodafone Group plc and Walgreen Co.; via BMO Capital Markets Corp. and Advisors Asset Management, Inc.; pricing March 26; Cusip: 05573JXD1

BNP PARIBAS

• 0% digital certifi cate plus notes due March 29, 2019 linked to the Dow Jones industrial average; via BNP Paribas Securities Corp. and Advisors Asset Management, Inc.; pricing March 26; Cusip: 05574LX29

• 0% buffered return enhanced notes due Sept. 30, 2016 linked to the Russell 2000 index; via BNP Paribas Securities Corp.; pricing March 26; Cusip: 05574LWV6

• 0% buffered return enhanced notes due Sept. 30, 2016 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing March 26; Cusip: 05574LWW4

• 23- to 26-month 0% notes linked to the Russell 2000 index; via BNP Paribas Securities Corp.; Cusip: 05574LRC4

CITIGROUP INC.

• Fixed-to-fl oating-rate range accrual notes due March 28, 2021; via Citigroup Global Markets Inc.; pricing March 25; Cusip: 1730T0L72

• Leveraged callable CMS curve-linked notes due March 28, 2029 linked to the 30-year Constant Maturity Swap rate and the fi ve-year CMS rate; via Citigroup Global Markets Inc. with Morgan Stanley Smith Barney LLC; pricing March 25; Cusip: 1730T0L23

• Leveraged callable CMS curve-linked notes due March 28, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via Citigroup Global Markets Inc. with Morgan Stanley Smith Barney LLC; pricing March 25; Cusip: 1730T0L31

• 0% buffer securities due March 28, 2019 linked to a basket that includes S&P 500 index, iShares MSCI EAFE exchange-traded fund and iShares MSCI Emerging Markets ETF; via Citigroup Global Markets Inc.; pricing March 25; Cusip: 1730T0M22

• Market-linked notes due Oct. 1, 2019 tied to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing March 26; Cusip: 1730T0K99

• 0% barrier securities due March 29, 2018 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing March 26; Cusip: 1730T0L56

• 0% barrier securities due March 29, 2018 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing March 26; Cusip: 1730T0M48

• 0% trigger performance securities due March 29, 2019 linked to the S&P 500 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing March 26; Cusip: 17321F219

• 0% trigger autocallable optimization securities due March 31, 2016 linked to the S&P 500 index; via UBS Financial Services Inc. and Citigroup Global Markets Inc.; pricing March 27; Cusip: 17321F144

• Autocallable contingent coupon equity-linked securities due April 2, 2015 linked to Facebook Inc. shares; 70% trigger; via Citigroup Global Markets Inc.; pricing March 28; Cusip: 1730T0L80

• Step-up callable notes due April 3, 2019; via Citigroup Global Markets Inc.; pricing March 31; Cusip: 1730T0M55

CREDIT SUISSE AG

• Contingent coupon callable yield notes due March 28, 2024 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 25; Cusip: 22547QKB1




Prospect NewsThe

Structured


• Callable daily Russell 2000 index-linked range accrual notes due June 29, 2020; via Credit Suisse Securities (USA) LLC; pricing March 25; Cusip: 22547QKC9

• 0% accelerated barrier notes due March 30, 2018 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22547QJR8

• 0% buffered SuperTrack notes due March 29, 2019 linked to the Dow Jones industrial average; via Barclays; pricing March 26; Cusip: 06741T6Y8

• 0% Accelerated Return Securities due Sept. 29, 2017 linked to equal weights of the Hang Seng China Enterprises index, MSCI Taiwan index, Hang Seng index and Korea Stock Price index 200; via Barclays; pricing March 26; Cusip: 22547QK47

• High/low coupon callable yield notes due June 30, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund and the iShares MSCI Brazil Capped ETF; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22547QJS6

• 0% buffered SuperTrack notes due June 28, 2019 linked to the S&P 500 index; via Barclays; pricing March 26; Cusip: 06741T6X0

• 0% accelerated barrier notes due March 30, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22547QJT4

• 0% absolute return barrier securities due March 29, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22547QJY3

• 0% leveraged notes due April 1, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QTT3

• 8.25% autocallable reverse convertible notes due April 1, 2015 linked to the common stock of Gilead Sciences, Inc.; via Credit Suisse Securities (USA) LLC; pricing March 27; Cusip: 22547QKR6

• 0% buffered notes due April 1, 2019 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QTF3

• Contingent coupon callable yield notes due April 1, 2024 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing March 27; Cusip: 22547QKZ8

• 0% accelerated barrier notes linked to the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing March 28; Cusip: 22547QKE5

• 0% Buffered Accelerated Return Equity Securities due Oct. 3, 2016 linked to the iShares MSCI EAFE exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing March 28; Cusip: 22547QKJ4

• High/low coupon callable yield notes due Oct. 2, 2015 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing March 28; Cusip: 22547QKW5

• High/low coupon callable yield notes due July 3, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund and the iShares MSCI Brazil Capped ETF; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QJQ0

• 0% Buffered Accelerated Return Equity Securities due Oct. 5, 2015 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QKN5

• 0% accelerated barrier notes due April 4, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QJV9

• 0% absolute return barrier securities due April 3, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QJ64

• High/low coupon callable yield notes due Oct. 5, 2015 linked to the United States Oil Fund, LP and the Market Vectors Gold Miners exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QKV7

• 8% autocallable reverse convertible securities due April 3, 2015 linked to VeriFone Systems, Inc.; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22547QL46

• 9.5% STEP Income Securities due April 2015 linked to Delta Air Lines, Inc.; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2015 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

• 0% autocallable market-linked step-up notes due March 2017 tied to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March




Prospect NewsThe

Structured


• 0% autocallable market-linked step-up notes due March 2017 linked to an equally weighted basket of the Nasdaq 100 index and the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

• Autocallable market-linked step-up notes due March 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in March

• Autocallable market-linked step-up notes due March 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

• 0% accelerated barrier notes due April 13, 2018 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing April 10; Cusip: 22547QL38

• 0% accelerated barrier notes due April 13, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 10; Cusip: 22547QL20

• 0% autocallable market-linked step-up notes due April 2017 linked to the MSCI EAFE index; via BofA Merrill Lynch; pricing in April

• 0% Credit Suisse FI Enhanced S&P 500 Total Return index exchange-traded notes due 2019 linked to the S&P 500 Total Return index; via Credit Suisse Securities (USA) LLC; Cusip: 22542D431

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon callable yield notes due Jan. 23, 2020 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing April 17; Cusip: 22547QKY1

DEUTSCHE BANK AG, LONDON BRANCH

• CMS slope steepener notes due March 31, 2034; via Deutsche Bank Securities Inc.; pricing March 26; Cusip: 25152RVT7

• 0% autocallable securities due March 30, 2017 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; 80% trigger; via Deutsche Bank Securities Inc.; pricing March 26; Cusip: 25152RJE4

• 0% trigger return optimization securities due March 31, 2017 linked to the Euro Stoxx 50 index; via Deutsche Bank Securities Inc. and UBS Financial Services Inc.; pricing March 27; Cusip: 25155P286

• 0% trigger performance securities due March 29, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 27; Cusip: 25155P294

• Trigger phoenix autocallable optimization securities due March 29, 2019 linked to General Electric Co. shares; via Deutsche Bank Securities Inc. with UBS Financial Services Inc. as placement agent; pricing March 27; Cusip: 25155P120

• 0% market-linked step-up notes due March 2016 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

• 0% market-linked step-up notes due March 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due March 2016 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

• 0% market-linked step-up notes due March 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

• Capped Leveraged Index Return Notes due March 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

GOLDMAN SACHS BANK USA

• 0% certifi cates of deposit due Sept. 30, 2020 linked to the GS Momentum Builder Multi-Asset 2 ER index; via Goldman Sachs & Co. with Incapital LLC as distributor; pricing March 25; Cusip: 38147JVC3

• Variable-coupon certifi cates of deposit due March 26, 2021 linked to the GS Momentum Builder Multi-Asset 2 ER index; via Goldman Sachs & Co. with Incapital LLC as distributor; pricing March 25; Cusip: 38147JVB5

• 0% certifi cates of deposit due March 30, 2020 linked to the S&P 500 index; via Goldman Sachs & Co. with Incapital LLC as distributor; pricing March 25; Cusip: 38147JVA7

• Contingent coupon certifi cates of deposit due March 31, 2021 linked to a basket of 10 stocks (AT&T Inc., Chevron Corp., Cisco Systems, Inc., Intel Corp., Johnson & Johnson, McDonald’s Corp., Merck & Co., Inc., Pfi zer Inc., Proctor & Gamble Co. and Verizon Communications Inc.); via Goldman Sachs & Co.; pricing March 26; Cusip: 38147JVD1




Prospect NewsThe

Structured


• Variable-coupon basket-linked certifi cates of deposit due March 31, 2020 linked to a basket of 10 stocks (Apple Inc., AbbVie Inc., Caterpillar Inc., Cisco Systems, Inc., McDonald’s Corp., Merck & Co., Inc., Microsoft Corp., Occidental Petroleum Corp., Walgreen Co. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co.; pricing March 26; Cusip: 38147JUZ3

• Variable-coupon basket-linked certifi cates of deposit due March 31, 2021 linked to a basket of 10 stocks (Apple Inc., AbbVie Inc., Caterpillar Inc., Cisco Systems, Inc., McDonald’s Corp., Merck & Co., Inc., Microsoft Corp., Occidental Petroleum Corp., Walgreen Co. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co.; pricing March 26; Cusip: 38147JVE9

• Variable-coupon basket-linked certifi cates of deposit due March 25, 2022 linked to a basket of 10 stocks (Apple Inc., AbbVie Inc., Caterpillar Inc., Cisco Systems, Inc., McDonald’s Corp., Merck & Co., Inc., Microsoft Corp., Occidental Petroleum Corp., Walgreen Co. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co.; pricing March 26; Cusip: 38147JVF6

• Equity index-linked certifi cates of deposit due Oct. 1, 2020 linked to a basket the S&P 500 index, the Russell 2000 index and the S&P MidCap 400 index; via Goldman Sachs & Co. with Incapital LLC as distributor; pricing March 26; Cusip: 38147JUY6

GOLDMAN SACHS GROUP, INC.

• Callable monthly Russell 2000 index-linked range accrual notes due March 28, 2029; via Goldman Sachs & Co.; pricing March 25; Cusip: 38147QXB7

• Callable monthly Russell 2000 index-linked range accrual notes due March 28, 2029; via Goldman Sachs & Co.; pricing March 25; Cusip: 38147QVK9

• Callable monthly index-linked range accrual notes due March 28, 2029 tied to the Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing March 25; Cusip: 38147QVF0

• 0% leveraged notes due June 30, 2020 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing March 25; Cusip: 38147QXK7

• 0% leveraged trigger notes due Dec. 29, 2017 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing March 26; Cusip: 38147QUB0

• Callable contingent coupon notes due April 3, 2017 linked to the S&P 500 index, Russell 2000 index and Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing March 26; Cusip: 38147QUP9

• 0% trigger performance securities due March 28, 2024 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38148A431

• Callable monthly range accrual notes due March 31, 2024 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QUX2

• Callable monthly range accrual notes due March 31, 2029 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QVB9

• Callable monthly range accrual notes due March 31, 2024 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QUF1

• 0% index-linked notes due Sept. 30, 2021 tied to the S&P 500 index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QTP1

• Callable step-up fi xed-rate notes due March 2024; via Goldman Sachs & Co. and Incapital LLC; settlement in March; Cusip: 38147QWT9

• Floating-rate notes due March 2024; via Goldman, Sachs & Co.; pricing in March; Cusip: 38147QRP3

• 15-year callable quarterly CMS spread-linked notes linked to 30-year Constant Maturity Swap rate and fi ve-year CMS rate; via Goldman Sachs & Co.; Cusip: 38147QWX0

• 15-year callable quarterly CMS spread-linked notes linked to 30-year Constant Maturity Swap rate and two-year CMS; via Goldman Sachs & Co; Cusip: 38147QXF8

• 18-21-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 0% digital notes linked to the Euro Stoxx 50 index due in 18 to 21 months; 85% trigger; via Goldman Sachs & Co.

• 0% digital index-linked notes tied to the Euro Stoxx 50 index due in 18 to 21 months; 90% trigger; via Goldman Sachs & Co.

• 24- to 27-month 0% notes linked to the Euro Stoxx 50 index; 90% trigger; via Goldman Sachs & Co.




Prospect NewsThe

Structured


• 0% 36- to 40-month leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QAT3

• 0% digital index-linked notes tied to the Euro Stoxx 50 index due in 48 to 51 months; via Goldman Sachs & Co.

• 22-25-month 0% leveraged buffered notes due linked to the Industrial Select Sector SPDR fund; via Goldman Sachs & Co.

• 18-21-month 0% digital index-linked notes tied to the MSCI EAFE index; via Goldman Sachs & Co.

• 25- 28-month 0% leveraged notes tied to the MSCI EAFE index; 90% trigger; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147QSK3

• 13- to 24-month 0% autocallable buffered index-linked notes tied to the Russell 2000 index; via Goldman Sachs & Co.

• 0% digital index-linked notes tied to the Russell 2000 index due in 18 to 21 months; 90% trigger; via Goldman Sachs & Co.

• 0% leveraged buffered notes due 2016 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QGX8

• 18- to 21-month 0% leveraged buffered index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.

• 0% leveraged notes linked to the S&P 500 index due in 24 to 27 months; via Goldman Sachs & Co.

• 0% leveraged notes linked to the S&P 500 index due in 36 to 39 months; via Goldman Sachs & Co.

• 0% 60-month leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QAP1

• 0% buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QGF7

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

• 24-month 0% autocallable leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged buffered notes linked to the S&P Banks Select Industry index; via Goldman Sachs & Co.

• 36- to 39-month 0% notes linked to the Topix index; via Goldman Sachs & Co.

HSBC USA INC.

• 0% Accelerated Market Participation Securities due Sept. 28, 2015 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XW23

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVT5

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVX6

• 0% buffered uncapped market participation securities due March 28, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVM0

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVW8

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVS7

• 0% buffered uncapped market participation securities due March 28, 2019 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVP3

• 0% Accelerated Market Participation Securities due Sept. 28, 2015 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVZ1

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVR9

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the Russell 2000 index; via




Prospect NewsThe

Structured


HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVV0

• 0% Accelerated Market Participation Securities due Sept. 28, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVY4

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVU2

• 0% buffered Accelerated Market Participation Securities due March 28, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVQ1

• 0% buffered leveraged tracker notes due March 28, 2024 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XUS8

• 0% buffered uncapped market participation securities due Sept. 28, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVL2

• 0% buffered uncapped market participation securities due March 28, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XVN8

• Autocallable yield notes due June 29, 2015 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 25; Cusip: 40432XUN9

• 0% performance barrier notes due Oct. 2, 2017 linked to the Euro Stoxx 50 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing March 26; Cusip: 40432XUP4

• 0% trigger performance securities due March 28, 2024 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 26; Cusip: 40434C303

• 0% airbag performance securities due March 29, 2018 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing March 26; Cusip: 40434C873

• 0% airbag performance securities due March 29, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc. with UBS Financial Services Inc. as placement agent; pricing March 26; Cusip: 40434C873

• 0% trigger performance securities due March 29, 2019 linked to the Vanguard FTSE Emerging Markets ETF; 75% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing March 26; Cusip: 40434C501

• 0% trigger performance securities due March 29, 2019 linked to the Vanguard FTSE Emerging Markets ETF; 60% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing March 26; Cusip: 40434C600

• 0% Performance Leveraged Upside Securities due May 4, 2015 linked to the S&P 500 index; via HSBC Securities (USA) Inc. with Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 40434B123

• 0% Performance Leveraged Upside Securities due May 4, 2015 linked to the S&P MidCap 400 index; via HSBC Securities (USA) Inc. with Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 40434B115

• 9% STEP Income Securities due April 2015 linked to the common stock of Celgene Corp.; via BofA Merrill Lynch; pricing in March

• 0% Market Index Target-Term Securities due March 2021 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2015 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in March

• 0% Accelerated Return Notes due May 2015 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in March

JPMORGAN CHASE BANK NA

• 0% certifi cates of deposit due March 29, 2019 linked to the JPMorgan ETF Effi ciente 5 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125THT5

• 0% certifi cates of deposit due March 29, 2018 linked to the JPMorgan Optimax Market-Neutral index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125TGX7

• Digital contingent coupon certifi cates of deposit due March 31, 2021 linked to the common stocks of Altria Group, Inc., Bristol-Myers Squibb Co., Coca-Cola Co., Kimberly-Clark Corp., McDonald’s Corp., Philip Morris International Inc., Potash Corp. of Saskatchewan Inc., Procter & Gamble Co., Starbucks Corp. and




Prospect NewsThe

Structured


Southern Co.; via J.P. Morgan Securities LLC and Incapital LLC; pricing March 26; Cusip: 48125TJH9

• Digital contingent coupon certifi cates of deposit due March 31, 2021 linked to a basket of common stocks (Duke Energy Corp., Hewlett-Packard Co., Kinross Gold Corp., Lorillard, Inc., McDonald’s Corp., Mead Johnson Nutrition Co., Raytheon Co., Time Warner Cable Inc., Verizon Communications Inc. and Walgreen Co.); via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125THY4

• 0% certifi cates of deposit due March 31, 2020 linked to the JPMorgan ETF Effi ciente 5 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing March 26; Cusip: 48125THU2

• 0% certifi cates of deposit due Sept. 30, 2019 linked to the JPMorgan Optimax Market-Neutral index; via J.P. Morgan Securities LLC and Incapital LLC; pricing March 26; Cusip: 48125TGY5

JPMORGAN CHASE & CO.

• Callable step-up fi xed-rate notes due March 28, 2032; via J.P. Morgan Securities LLC; pricing March 25; Cusip: 48126NUP0

• Floating-rate notes due March 28, 2024 linked to the 30-year Constant Maturity Swap rate; via J.P. Morgan Securities LLC; pricing March 25; Cusip: 48126N5N3

• Callable fi xed-to-fl oating notes due March 28, 2029 linked to 30-year Constant Maturity Swap rate over the fi ve-year CMS; via J.P. Morgan Securities LLC; pricing March 25; Cusip: 48126N5L7

• 0% buffered return enhanced notes due March 29, 2018 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAJ7

• Callable variable-rate range accrual notes due March 28, 2029 linked to the Euro Stoxx 50 index; 60% trigger; via J.P. Morgan Securities LLC; pricing March 25; Cusip: 48126N5R4

• Callable variable-rate range accrual notes due March 28, 2029 linked to the S&P 500 index and the Euro Stoxx 50 index; 55% trigger; via J.P. Morgan Securities LLC; pricing March 25; Cusip: 48126N5S2

• 0% capped buffered return enhanced notes due March 31, 2016 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAE8

• 0% buffered return enhanced notes due March 29, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAK4

• 0% capped buffered return enhanced notes due March 31, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAF5

• 0% return notes due June 30, 2015 linked to the J.P. Morgan Strategic Volatility index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAL2

• 0% airbag performance securities due March 31, 2016 linked to the performance of the Mexican peso relative to the Japanese yen; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127F400

• 0% capped buffered return enhanced notes due March 31, 2016 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAD0

• Autocallable contingent interest notes due March 31, 2015 linked to the Russell 2000 index and the iShares MSCI Brazil Capped exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAC2

• 0% capped buffered return enhanced notes due March 31, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAG3

• 0% buffered return enhanced notes due March 29, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAH1

• Autocallable contingent interest notes due March 31, 2015 linked to the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127DAB4

• 0% trigger performance securities due March 31, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing March 27; Cusip: 48127E569

• Callable variable-rate range accrual notes due March 29, 2029 linked to six-month Libor and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing March 27; Cusip: 48126N5P8

• 0% trigger autocallable optimization securities due March 31, 2016 linked to the Russell 2000 index; via UBS Financial Services




Prospect NewsThe

Structured


Inc. and J.P. Morgan Securities LLC; pricing March 27; Cusip: 48127F509

• 0% return notes due April 9, 2015 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1); via J.P. Morgan Securities LLC; pricing March 28; Cusip: 48127DBF4

• 0% return notes due April 9, 2015 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1); via J.P. Morgan Securities LLC; pricing March 28; Cusip: 48127DAR9

• Autocallable contingent interest notes due March 31, 2015 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 28; Cusip: 48127DAA6

• Contingent income autocallable securities due March 31, 2017 with step-up redemption threshold level linked to Gilead Sciences, Inc. shares; 75% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC; pricing March 28; Cusip: 48127E395

• Contingent income autocallable securities due April 5, 2017 linked to the S&P 500 index, the Euro Stoxx 50 index and the FTSE 100 index; 75% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 48127E411

• 0% dual directional trigger Performance Leveraged Upside Securities due April 5, 2016 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing March 31; Cusip: 48127E486

• 0% digital notes due April 5, 2016 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 31; Cusip: 48127DBN7

• 0% Performance Leveraged Upside Securities due May 5, 2015 linked to salesforce.com, inc., Google Inc., Qlik Technologies Inc., Palo Alto Networks, Inc. and Time Warner Inc.; via J.P. Morgan Securities LLC; pricing March 31; Cusip: 48127E478

MORGAN STANLEY

• Floating-rate notes due March 25, 2024 linked to the 30-year Constant Maturity Swap rate; via Morgan Stanley & Co. LLC; pricing March 25; Cusip: 61760QEB6

• 0% buffered jump securities due March 31, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPQ6

• 0% buffered Performance Leveraged Upside Securities with downside factor due March 28, 2024 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPP8

• Contingent income securities due March 29, 2029 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPK9

• Contingent income securities due March 29, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPN3

• Contingent income securities due March 29, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPM5

• 0% trigger Performance Leveraged Upside Securities due March 28, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPJ2

• 0% buffered jump securities due March 28, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JPL7

• 0% trigger performance securities due March 28, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing March 26; Cusip: 61760S472

• Commodity-linked notes with contingent coupon due March 29, 2029 linked to West Texas Intermediate light sweet crude oil; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61762GBF0

• Contingent income autocallable securities due March 31, 2016 linked to Facebook, Inc. shares; 60% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing March 26; Cusip: 61761JPT0

• 0% airbag performance securities due March 28, 2024 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing March 27; Cusip: 61760S480

• Fixed-to-fl oating leveraged CMS curve and S&P 500 index-linked notes due March 31, 2034; via Morgan Stanley & Co. LLC; settling March 31; Cusip: 61760QEE0

• Fixed-to-fl oating-rate leveraged CMS curve and Russell 2000 index-linked notes due March 31, 2034; via Morgan Stanley & Co. LLC; settlement March 31; Cusip: 61760QEC4




Prospect NewsThe

Structured


• Fixed-to-fl oating leveraged CMS curve and S&P 500 index-linked notes due March 31, 2034; via Morgan Stanley & Co. LLC; pricing March 31; Cusip: 61760QED2

• Contingent income autocallable securities due March 2017 with step-up redemption threshold level feature linked to Bank of America Corp. shares; 80% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in March; Cusip: 61760S647

• Contingent income autocallable securities due March 2016 linked to Boeing Co.; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S654

• 0% trigger Performance Leveraged Upside Securities due October 2014 linked to a basket of commodities (copper, RBOB gasoline, live cattle, palladium, soybeans and West Texas Intermediate light sweet crude oil); via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61762GBG8

• 0% market-linked notes due March 2021 tied to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S522

• Contingent income autocallable securities due March 2015 linked to Facebook, Inc. shares; 70% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing in March; Cusip: 61760S639

• 0% Buffered Performance Leveraged Upside Securities due September 2016 linked to the iShares MSCI Emerging Markets ETF; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S456

• 0% Performance Leveraged Upside Securities due May 2015 linked to the Nikkei 225 index; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S530

• 0% buffered Performance Leveraged Upside Securities due March 2016 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S662

• 0% Buffered Performance Leveraged Upside Securities due September 2016 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S506

• 0% dual directional trigger Performance Leveraged Upside Securities due March 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760A514

• 0% trigger Performance Leveraged Upside Securities due April 2020 linked to the S&P 500 index; 60% trigger; via Morgan Stanley & Co. LLC; pricing in March; Cusip: 61760S563

ROYAL BANK OF CANADA

• Trigger phoenix callable optimization securities due March 31, 2015 linked to the common stock of Facebook Inc.; via RBC Capital Markets, LLC and UBS Financial Services Inc.; pricing March 25; Cusip: 78010Y851 • 0% trigger return optimization securities due March 31, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 78010Y737

• 0% trigger step performance securities due March 29, 2018 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 78010Y711

• 14.5% reverse convertible notes due June 30, 2014 linked to 3D Systems Corp. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTM9

• 10.1% reverse convertible notes due June 30, 2014 linked to Cree, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTL1

• 11.25% reverse convertible notes due Sept. 30, 2014 linked to Delta Air Lines, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTT4

• 0% buffered bullish enhanced return notes due Sept. 29, 2017 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing March 27; Cusip: 78010USK4

• 12.25% reverse convertible notes due Sept. 30, 2014 linked to Expedia, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTU1

• 12.5% reverse convertible notes due June 30, 2014 linked to Facebook, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTN7

• 13% reverse convertible notes due June 30, 2014 linked to Green Mountain Coffee Roasters, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTP2




Prospect NewsThe

Structured


• 14.75% reverse convertible notes due June 30, 2014 linked to Netfl ix Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTQ0

• 0% buffered bullish enhanced return notes due March 29, 2019 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing March 27; Cusip: 78010USL2

• 14.25% reverse convertible notes due June 30, 2014 linked to Tesla Motors, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTR8

• 10.5% reverse convertible notes due June 30, 2014 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTS6

• 9.5% reverse convertible notes due Sept. 30, 2014 linked to United Rentals, Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTV9

• 10% reverse convertible notes due Sept. 30, 2014 linked to United States Steel Corp. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTX5

• 10% reverse convertible notes due Sept. 30, 2014 linked to Valero Energy Corp. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTW7

• 11% reverse convertible notes due Sept. 30, 2014 linked to Yahoo! Inc. stock; via RBC Capital Markets Corp.; pricing March 27; Cusip: 78010UTY3

• Contingent income autocallable securities due April 2015 linked to Blackstone Group LP shares; 75% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing March 28; Cusip: 78010Y844

• Contingent income autocallable securities due March 2017 with step-up redemption threshold level linked to Microsoft Corp. shares; 80% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing March 28; Cusip: 78010Y836

• Redeemable step-up notes due March 28, 2029; via RBC Capital Markets, LLC; pricing March 28; Cusip: 78010UEC7

• Redeemable leveraged steepener notes due March 28, 2034 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate; via RBC Capital Markets, LLC; settlement March 28; Cusip: 78010UEA1

• Floating-rate redeemable range accrual notes due April 2, 2019 linked to six-month Libor; via RBC Capital Markets, LLC; pricing March 28; Cusip: 78010UEB9

• 0% Performance Leveraged Upside Securities due May 2015 linked to iShares MSCI Taiwan index fund, the iShares MSCI Mexico Capped ETF, the iShares MSCI South Korea index fund and the iShares FTSE/Xinhua China 25 index fund; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing March 31; Cusip: 78010Y703

• 0% leveraged upside participation to a cap and fi xed percentage buffered downside principal at risk securities due Oct. 3, 2017 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing March 31; Cusip: 78010USG3

• Leveraged Index Return Notes due March 2019 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in March

• Leveraged Index Return Notes due March 2019 linked to the Euro Stoxx 50; via BofA Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due April 2015 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in March

• 0% Strategic Accelerated Redemption Securities due April 2015 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

• 0% direct investment notes due May 8, 2015 linked to the Equity Compass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing April 3; Cusip: 78010UTD9

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

SOCIETE GENERALE

• Callable CMS spread notes due March 31, 2034 linked to the 30- and two-year Constant Maturity Swap rates; via SG Americas Securities, LLC and Advisors Asset Management, Inc.; pricing March 26; Cusip: 83368WKZ3

AB SVENSK EXPORTKREDIT

• 14-month 0% Accelerated Return Notes due May 2015 linked to the PHLX Oil Service Sector index; via BofA Merrill Lynch; pricing in March




Prospect NewsThe

Structured


UBS AG, LONDON BRANCH

• 0% return optimization securities due April 30, 2015 linked to Anadarko Petroleum Corp., Celanese Corp., Continental Resources, Inc., Dominion Resources, Inc., Dow Chemical Co., Enterprise Products Partners LP, Energy Transfer Equity, LP, General Motors Co., Halliburton Co., Marathon Oil Corp., Nucor Corp., Occidental Petroleum Corp., Schlumberger NV and Southwestern Energy Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 90272V376

• 0% return optimization securities due April 30, 2015 linked to the iShares Russell 2000 exchange-traded fund trust; via UBS Investment Bank and UBS Financial Services Inc.; pricing March 26; Cusip: 90272V418

• 0% contingent return optimization securities due Sept. 30, 2016 linked to the Russell 2000 index; 75% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 90272V160

• 0% trigger return optimization securities due March 31, 2017 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 9027V186

• 0% trigger performance securities due March 29, 2019 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 90272V202

• 0% contingent return optimization securities due Sept. 30, 2016 linked to the S&P 500 index; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 90272V152

• 0% trigger return optimization securities due March 31, 2017 linked to the S&P 500 index; 75% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 26; Cusip: 90272V194

• 0% return optimization securities due April 30, 2015 linked to the SPDR S&P 500 exchange-traded fund trust; via UBS Investment Bank and UBS Financial Services Inc.; pricing March 26; Cusip: 90272V400

• 0% trigger autocallable optimization securities due March 29, 2019 linked to the Euro Stoxx 50 index; 65% to 70% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90272V426

• 0% trigger step performance securities due March 31, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90272V210

• 0% trigger performance securities due March 29, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90272V178

• Trigger phoenix autocallable optimization securities due March 28, 2024 linked to the Euro Stoxx 50 index and the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90272V491

• Contingent income autocallable securities with step-up call threshold levels due March 31, 2017 linked to the common stock of JPMorgan Chase & Co.; via UBS Securities LLC with distribution through Morgan Stanley Smith Barney LLC; pricing March 28; Cusip: 90272V467

• Contingent income autocallable securities due March 31, 2017 linked to the common stock of Yahoo! Inc.; via UBS Securities LLC with distribution through Morgan Stanley Smith Barney LLC; pricing March 28; Cusip: 90272V475

• 0% dual directional trigger Performance Leveraged Upside Securities due Oct. 3, 2019 linked to the Euro Stoxx 50 index; via UBS Securities LLC with Morgan Stanley Wealth Management; pricing March 31; Cusip: 90270KBG3

• 0% trigger Performance Leveraged Upside Securities due Oct. 6, 2016 linked to the WisdomTree Japan Hedged Equity fund; via UBS Securities LLC with Morgan Stanley Smith Barney LLC as dealer; pricing March 31; Cusip: 90272V137

WELLS FARGO & CO.

• Step-up callable notes due March 28, 2024; via Wells Fargo Securities, LLC; pricing March 27; Cusip: 94986RTL5

• 5%-5.4% autocallable access securities with fi xed coupon and contingent downside due March 31, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities, LLC; pricing March 27; Cusip: 94986RTG6

• 0% market-linked securities with leveraged upside participation to a cap and buffered downside with multiplier due March 31, 2016 linked to the Russell 2000 index; via Wells Fargo Securities LLC; pricing March 27; Cusip: 94986RTJ0

• Access securities with upside participation and buffered downside with multiplier due March 29, 2019 linked to the S&P 500 index;




Prospect NewsThe

Structured

DailyProducts

via Wells Fargo Securities, LLC; pricing March 27; Cusip: 94986RTH4

• 0% market-linked securities with leveraged upside participation to a cap and fi xed percentage buffered downside due April 7, 2017 linked to the iShares Russell 2000 exchange-traded fund; via Wells Fargo Securities LLC; pricing March 31; Cusip: 94986RTE1

• 0% market-linked securities with leveraged upside participation to a cap and fi xed percentage buffered downside due Oct. 6, 2017 linked to a basket of unequally weighted exchange-traded funds (SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF, iShares MSCI EAFE ETF and iShares MSCI Emerging Markets ETF); via Wells Fargo Securities LLC; pricing March 31; Cusip: 94986RTF8

Market Data

Structured Products CalendarContinued from page 35

Structured Products New Issue Volume by Week

($ blns)

$1

$2

$3

3/24

/201

3

4/28

/201

3

6/2/

2013

7/7/

2013

8/11

/201

3

9/15

/201

3

10/2

0/20

13

11/2

4/20

13

12/2

9/20

13

2/2/

2014

3/9/

2014

Stock Equity index

Commodity FX

Interest rates Others/Multiple

ETNs


Prospect NewsThe

Structured

DailyProductsRecent Structured Products Deals

Priced Issuer Issue Manager Amount Coupon Maturity Fees($mln)

3/24/2014 UBS AG, London Branch trigger phoenix autocallable optimization securities(Gilead Sciences, Inc.)

UBS $0.13 Formula 3/31/2015 1.50%

3/24/2014 UBS AG, London Branch trigger yield optimization notes (Fortinet, Inc.) UBS $0.10099599 7.05% 3/27/2015 2.00%

3/24/2014 UBS AG, London Branch trigger yield optimization notes (lululemon athleticainc.)

UBS $0.1049597 9.43% 3/27/2015 1.75%

3/24/2014 UBS AG, London Branch trigger yield optimization notes (Petroleo BrasileiroSA)

UBS $0.2198889 8.18% 3/27/2015 2.00%

3/24/2014 UBS AG, London Branch trigger yield optimization notes (salesforce.com, inc.) UBS $0.09998264 5.94% 3/27/2015 2.00%

3/21/2014 Credit Suisse AG, Nassau Branch VelocityShares 3x Long Gold exchange-traded notes(S&P GSCI Gold Index Excess Return)

Credit Suisse $3.75 0.000% 10/14/2031 0.00%

3/21/2014 Credit Suisse AG, Nassau Branch VelocityShares 3x Long Natural Gas exchange-tradednotes (S&P GSCI Natural Gas Index Excess Return)

Credit Suisse $2.5 0.000% 2/9/2032 0.00%

3/21/2014 Credit Suisse AG, Nassau Branch VelocityShares daily inverse VIX medium-termexchange-traded notes (S&P 500 VIX Mid-Term

Credit Suisse $1.25 0.000% 12/4/2030 0.000%

3/21/2014 UBS AG, London Branch airbag yield optimization notes (Petroleo BrasileiroSA)

UBS $0.417 10.01% 4/15/2015 1.40%

3/21/2014 UBS AG, London Branch trigger phoenix autocallable optimization securities(Facebook, Inc.)

UBS $0.235 Formula 9/28/2015 1.50%

3/21/2014 UBS AG, London Branch trigger phoenix autocallable optimization securities(Market Vectors Gold Miners ETF)

UBS $0.34 Formula 3/29/2016 1.50%

3/21/2014 UBS AG, London Branch trigger phoenix autocallable optimization securities(United States Steel Corp.)

UBS $0.135 Formula 9/28/2015 1.50%

3/21/2014 UBS AG, London Branch trigger phoenix autocallable optimization securities(Yahoo! Inc.)

UBS $0.1 Formula 3/30/2015 1.50%

3/21/2014 UBS AG, London Branch trigger yield optimization notes (Facebook, Inc.) UBS $0.09998588 11.22% 3/27/2015 2.00%

3/21/2014 UBS AG, London Branch trigger yield optimization notes (General Motors Co.) UBS $0.21205557 3.30% 3/26/2015 2.00%

3/21/2014 UBS AG, London Branch trigger yield optimization notes (United Rentals, Inc.) UBS $0.09994023 5.24% 3/26/2015 2.00%

3/20/2014 Bank of Montreal buffered bullish return notes (iShares MSCI EAFEindex fund)

BMO $0.697 0.00% 3/28/2016 0.00%

3/20/2014 Bank of Montreal contingent risk absolute return notes (iShares MSCIEAFE)

BMO $1.3 0.00% 3/28/2016 0.00%

3/20/2014 Bank of Montreal contingent risk absolute return notes (iShares MSCIEmerging Markets)

BMO $1.244 0.00% 3/28/2016 0.00%

3/20/2014 Barclays Bank plc reverse convertible notes (Ocwen Financial Corp.) Barclays $0.542 13% 6/25/2014 ---

3/20/2014 Credit Suisse AG, Nassau Branch exchange-traded notes (Cushing 30 MLP) Credit Suisse $2 0.000% 4/20/2020 0.00%

3/20/2014 Credit Suisse AG, Nassau Branch VelocityShares 3x Long Silver exchange-traded notes(S&P GSCI Silver Index Excess Return)

Credit Suisse $25 0.000% 10/14/2031 0.00%

3/20/2014 JPMorgan Chase & Co. autocallable yield notes (iShares MSCI EmergingMarkets ETF, Euro Stoxx 50 index and Russell 2000

JPMorgan $0.763 6.20% 6/25/2015 2.35%

3/20/2014 JPMorgan Chase & Co. reverse exchangeable notes (Joy Global Inc.) JPMorgan $0.663 7.05% 6/25/2014 ---

3/20/2014 JPMorgan Chase & Co. reverse exchangeable notes (lululemon athletica inc.) JPMorgan $1 9% 6/25/2014 ---

3/20/2014 Royal Bank of Canada autocallable notes (Russell 2000, MSCI EAFE) RBC $6 0.00% 9/24/2015 0.10%

3/20/2014 Royal Bank of Canada buffered bullish return notes (iShares MSCI EmergingMarkets)

RBC $0.832 0.00% 3/24/2016 0.00%

3/20/2014 Royal Bank of Canada reverse convertible notes (Cliffs Natural ResourcesInc.)

RBC $0.5 14.50% 9/25/2014 1%

3/20/2014 Royal Bank of Canada reverse convertible notes (Kansas City Southern) RBC $0.726 8% 6/25/2014 0%

3/20/2014 UBS AG, London Branch contingent absolute return autocallable optimizationsecurities (Yahoo! Inc.)

UBS $0.122 0.00% 3/27/2015 1.50%

Emma TrincalStructured Products Reporter [email protected] 212 374 8328

Cristal CodyCLO/Investment Grade [email protected] 620 6682

Paul DeckelmanHigh Yield [email protected] 374 3036

Aleesia ForniHigh Yield/Investment Grade [email protected] 350 7985

Paul A. HarrisHigh Yield [email protected] 978 4485

Kali HaysDistressed Debt [email protected] 374 2802

Sheri KasprzakMunicipals [email protected] 914 2243

Lisa [email protected] 685 3910

Rebecca MelvinConvertibles [email protected] 534 5305

Devika PatelPIPE [email protected] 423 833 2917

Sara RosenbergBank Loan Reporter [email protected] 347 548 5115

Stephanie RotondoDistressed Debt/Preferred Stock [email protected] 225 4393

Caroline SallsBankruptcy Court [email protected] 752 1430

Christine Van DusenEmerging Markets [email protected] 613-8956

Matt MaileChief Copy [email protected] 563 1392

Jennifer ChiouCopy [email protected] 706 2263

E. Janene GeissCopy [email protected] 287 2641

Angela McDanielsCopy [email protected] 537 4766

Susanna MoonCopy [email protected] 520 0307

Toni WeeksCopy [email protected] 354 0525

Tali RacknerCopy [email protected] 596 6638

Marisa WongCopy [email protected] 255 0771

Thu [email protected]

Peter HeapPublisher, [email protected] 374 8108

Customer ServiceFor subscriptions or free trials e-mail: [email protected] or call: 212 374 2800 Feedback, comments and news tips are appreciated. Use the customer service number or e-mail above or contact reporters directly.

6 Maiden Lane, 9th FloorNew York, NY 10038

[email protected]

212 374 2800

PROSPECTNEWS

Prospect News Structured Products Daily ISSN: 1933-9356

Market newsletters for professionals.

Daily Newsletter Rates 1-5 e-mails at the same firm $5,200 total per year

6-10 e-mails at the same firm $7,070 total per year





51 plus e-mails at the same firm $22,030 total per year

Weekly Newsletter Rates1st user at a firm $500 each per year

2nd to 5th users at a firm $200 each per year

6th plus users at a firm $100 each per year

SUBSCRIPTIONRATES WEEKLYNEWS

Structured Products Weekly by Prospect News

Bond Market Weekly by Prospect News

DAILYNEWS Prospect News Convertibles Daily

Prospect News Distressed Debt Daily

Prospect News Emerging Markets Daily

Prospect News High Yield Daily

Prospect News Investment Grade Daily

Prospect News Liability Management Daily

Prospect News Municipals Daily

Prospect News PIPE Daily

Prospect News Private Placements & Mezzanine Daily

Prospect News Structured Products Daily

Prospect News Bank Loan Daily

Prospect News Preferred Stock Daily

Prospect News CLO Daily

the tructured roducts daily - wealth management...2014/03/25 · fx u.s. structured products...

Documents