D aily. Bank of America s step-up autocallable notes linked to PHLX Housing Sector index offer access. Prospect News

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1 Tuesday May 12, 2015 S tructured Structured Products Current Year ALL U.S. STRUCTURED PRODUCTS Year to Date: $ billion in 3454 deals Quarter to Date: $5.530 billion in 920 deals Month to Date: $0.471 billion in 106 deals $ billion in 3556 deals $4.775 billion in 987 deals $0.620 billion in 216 deals BREAKDOWN OF YEAR TO DATE DEALS EXCHANGE-TRADED NOTES $6.308 billion in 379 deals $3.592 billion in 330 deals ALL U.S. STOCK AND EQUITY INDEX DEALS $ billion in 2621 deals $ billion in 2842 deals SINGLE STOCK U.S. STRUCTURED PRODUCTS $3.150 billion in 1223 deals Previous Year $4.160 billion in 1678 deals STOCK INDEX U.S. STRUCTURED PRODUCTS $ billion $8.780 billion in 1343 deals in 1115 deals FX U.S. STRUCTURED PRODUCTS $0.140 billion in 37 deals $0.144 billion in 33 deals COMMODITY U.S. STRUCTURED PRODUCTS $4.418 billion in 372 deals $2.549 billion in 257 deals INTEREST RATE STRUCTURED PRODUCTS $0.419 billion in 33 deals $0.848 billion in 74 deals INTEREST RATE STRUCTURED COUPONS $ billion in 902 deals $ billion in 608 deals PROSPECTNEWS Copyright 2015 by Inc. Electronic redistribution, photocopying and any other electronic or mechanical reproduction is strictly prohibited without prior written approval by. Information contained herein is provided by sources believed to be accurate and reliable, however, 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. Bank of America s step-up autocallable notes linked to PHLX Housing Sector index offer access By Emma Trincal New York, May 11 Bank of America Corp. s 0% autocallable market-linked step-up notes due May 2017 tied to the PHLX Housing Sector index offer investors exposure to a hard-to-access index and the potential to outperform in a mildly bullish environment, sources said. notes will be called at par of $10 plus an annualized call premium of 9% if the index closes at or above the initial level on the call observation date in June 2016, according to a 424B2 filing with the Securities and Exchange Commission. If the index finishes above the step-up level 114% to 120% of the initial value the payout at maturity will be par plus the index return. If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 14% to 20%. Otherwise, investors will be fully exposed to any losses. Benefits of estimated initial value disclosure still debated three years later By Emma Trincal New York, May 11 Three years after the requirement by the Securities and Exchange Commission that issuers disclose on their prospectuses the estimated initial value of their notes, or EIV, market participants still do not agree on the benefits of the additional rule. Some said that the disclosure helps investors better understand the cost structure of the products they re buying, but others argued that the EIV is only a snapshot of the cost on the issue date and that it gives little additional information to investors except to confuse them even more sweep letter EIV reveals the cost of the product on the issue date. It does not give any indication of pricing on the secondary market, a lawyer explained, offering an example: An issuer on the pricing date Continued on page 2 would sell $1,000 in principal amount with 2.5% in commission to the agent. Say the EIV disclosed in the prospectus is $965. difference between that and the issue price reflects the 2.5% commission plus a 1% differential, which represents the cost of hedging the options and the profit to the issuer. In this example, the $965 EIV has two components: the value of the bond, which takes into account the issuer s funding rate, and the value of the embedded options. In April 2012, the SEC in a sweep letter required firms to disclose the difference between an issuer s initial price and the estimate of the notes initial value. issue was really addressed in depth by Finra with its Notice to members in 2005, the lawyer said. Finra has been doing that for years. SEC has finally got involved in this in the wake of the financial crisis. Continued on page 3

2 Bank of America s step-up autocallable notes linked to PHLX Housing Sector index offer access Continued from page 1 exact step-up level and step-up level payment will be set at pricing. Access I find it interesting because there are a very few ways to play the housing sector. Getting access to this index is appealing in its own right, said Kirk Chisholm, wealth manager and principal at Innovative Advisory Group. index is currently comprised of 19 stocks of companies in the building and prefabrication of residential homes, mortgage insurers and suppliers of building materials. re is no exchange-traded note or exchange-traded fund listed in the United States that tracks the index, according to a spokesperson at Nasdaq OMX, the index sponsor. Likely call upside to this is certainly attractive as you can get almost 10% automatically in just one year if the index is just flat or up, he added. You d have to be negative on the first year to really benefit from the bump-up offered by the step payment. If you look at the past return, the index was up 15% in the past 12 months. It s more likely that you re going to get 9% after the first year. In the past five years, the index has gained more than 112%. For a few years it has been moving at a good clip. step-up payment is not the most probable outcome in his view. It s highly unlikely that you ll collect the 20% bonus at the end because that would mean the index was negative on the first year and then up. However, if it happens, if the index is down in a year and then just moves up a little bit, you could make 20%. So that s a nice component. Both the autocall and the step-up are attractive. Even if all you get is the 9% on the autocall after one year, it s still a pretty decent return. So based on those probabilities, it s a good note. Not too bullish note is not a good option for bearish or very bullish investors, however. I don t see a huge growth in this market in the next few years, so that makes the notes even more attractive, at least from that standpoint, he said. If you envision a very bullish scenario, if you expect growth to be over 20%, the notes offer no advantage: you re long the index and you don t get the dividends. But for someone who expects modest or flattish returns, it s quite appealing. Unless things turn down pretty sharply, we can pretty much predict the outcome. autocall will kick in, delivering a 9% return in just one year. less attractive aspect of the deal, not receiving cash distributions paid on stocks, is common to most structured notes. It s a stock index, and you re not getting the dividends, he said. On a weighted average basis, the yield for the index is 1.29%, according to the weightings listed in the prospectus. But even if you re not getting the dividends, I think 9% based on the riskreturn is still decent. You re potentially giving up some of the upside, but it s still a reasonable note if you re positive on the index, he said. Hedging interest rates risk Jerrod Dawson, director of investment research at Quest Capital Management, said that he likes the risk-return profile of the notes in both the autocall and step-up scenarios. For someone looking to get exposure to the housing space, this note offers a pretty good way to do it by adding after two years some potential alpha with the kicker, he said. If investors get called automatically, it s a good outcome too. Most people would be happy with a 9% return. You are capped, but it s a pretty reasonable risk-return in this interest rate environment where interest rate risk is increasing. prospect of higher rates is real with the Fed articulating that it is willing to raise rates. That wouldn t be good for a portfolio of housing stocks, he noted. He does not see the lack of any buffer or barrier as a drawback. re is no downside protection, but you re not giving up anything. You re not getting protection, but you wouldn t have it anyway if you owned the shares, he said. Someone who thinks there is a strong upside potential for housing stocks would not want to be invested in the notes. y would risk being capped out. But someone who is moderately bullish in the sector would be an ideal buyer. As of April 30, the top three holdings in the index were Weyerhaeuser Co. with a 14.09% weighting, Vulcan Materials Co. with an 11.24% weighting and Masco Corp. with an 8.47% weighting. BofA Merrill Lynch is the underwriter. notes will price in May and settle in June. Tuesday May 12, 2015 Page 2

3 Benefits of estimated initial value disclosure still debated three years later Continued from page 1 In the years following the Lehman Brothers demise, they became even more involved because matters were more serious. Lehman after all was the most significant distributor of structured notes. Sanity check Carl Kunhardt, wealth adviser at Quest Capital Management, said the EIV disclosure makes a difference. It is helpful. I see it as some kind of sanity check, he said. You do a quick calculation. If the value is materially lower than par, then you can start asking some questions. Is there something else that I missed? What is it? What s driving that value down? I haven t called a desk for a structured note, but I know I can. I did call once about a REIT. I couldn t get from point A to point B, and so I called the desk, which for us is Raymond James. But if I didn t have Raymond James, I would certainly call the syndicate desk. y usually have a number to call on the prospectus. Confusing A structurer on the other hand downplayed the benefits of EIV disclosure. Now you see all those disclosures. I am not a big fan of them because they re not saying anything, he said. His focus was on transparency in the secondary market. All it says is that the EIV is less than the initial price, and it gives you a value only on that day, he said. But the value varies with time. You could get less than the EIV if you put the notes back to the issuer a month later, a year later. What s the point? People can easily get confused and assume they re being given the price at which the bank would buy back the securities. I know that the docs say it s not a minimum price. Assuming investors understand this or even read it, the EIV doesn t tell them anything. It looks like a bid, but it s not a bid of course. How could they show you a bid anyway? market moves all the time. Profits are a function of costs and hedging. This part is constantly changing. It s based on the volatility of the underlying, interest rates, time, dividend yields, everything. re is no way you can disclose the value of a structured note beyond the initial price. And nobody sells on day one except a fool. So what s the point really? lawyer agreed to a degree. Yes, it is a snapshot. value will change as you move away from the issue date, of course. value of the bonds is not going to vary that much except over time. But the value of the derivatives could move tremendously in a very short time. whole point though is to make the cost clear to the investor. And that s what it does. Approved A sellsider said the disclosure marks a progress. It s been very helpful. It s not perfect because of the liquidity that the product provides, but it s a progress, he said. It tells you if you bought something today, if everything including the market was frozen and the bank insisted on keeping its fees how much the bank would give you back. rest would be used to build the product, to sell it and to give a margin of profit to the issuer. Compared to the old, old days when you didn t know what you were getting into, when you had no disclosure of fees, no disclosure of costs or anything whatsoever, it s a real improvement. This was an effort at standardizing disclosure and to look at a structure versus another one. You have the fee disclosure, and in addition, you get a pretty good idea of what other costs are such as the cost of constructing the product. If the broker gets 2% and the prospectus says that there is an additional 1%, you know that the cost to you is going to be about 3%. It may not be the exact amount, but it s pretty close. Knowing that kind of information goes a long way of what it used to be. Of course it s not perfect. Getting pure price transparency would require having real-time quotes, which you don t have with structured notes. But I can tell you one thing: it was universally approved. Imperfect yet necessary An industry source had a more skeptical view. It s required. Whether it s helpful or not is another issue. It gives people a sense that it s a buy-and-hold instrument, so it s informative, this source said. It hasn t made a difference for the sellsiders and doesn t seem to make any difference for investors. While conceding that the EIV disclosure has a very, very limited utility, the lawyer said the rule is still necessary. We know of investors that have invested millions in structured notes who still claim that the disclosure was less than adequate. Even the most sophisticated investors are going to claim that the disclosure is less than perfect. biggest concern was to be as transparent as possible with investors. Structured products are complex because they have a derivative component. So you have to make sure that investors are told as much as possible about the value of what they re investing. re is nothing wrong about disclosing the cost on the initial day of trading, this lawyer added. It s not very practical to expect full disclosure at any time. You can t give a dynamic picture of the value unless you are updating the prospectus every single day, which would be impossible given the administrative costs. Tuesday May 12, 2015 Page 3

4 Bank of Montreal plans enhanced return notes tied to ishares MSCI EAFE By Angela McDaniels Tacoma, Wash., May 11 Bank of Montreal plans to price 0% buffered bullish enhanced return notes due Aug. 31, 2016 linked to the ishares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission. If the ETF return is positive, the payout at maturity will be par plus 200% of the ETF return, subject to a maximum redemption amount of $1,170 per $1,000 principal amount of notes. Investors will receive par if the ETF declines by 5% or less and will lose 1% for every 1% that it declines beyond 5%. BMO Capital Markets Corp. is the agent. notes are expected to price May 22 and settle May 28. Cusip number is 06366RN50. Bank of Montreal plans enhanced return notes tied to ishares MSCI EM By Angela McDaniels Tacoma, Wash., May 11 Bank of Montreal plans to price 0% buffered bullish enhanced return notes due Aug. 31, 2016 linked to the ishares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission. If the ETF return is positive, the payout at maturity will be par plus 200% of the ETF return, subject to a maximum redemption amount of $1,175 per $1,000 principal amount of notes. Investors will receive par if the ETF declines by 5% or less and will lose 1% for every 1% that it declines beyond 5%. BMO Capital Markets Corp. is the agent. notes are expected to price May 22 and settle May 28. Cusip number is 06366RN43. Bank of Montreal plans contingent risk absolute return notes on S&P 500 By Marisa Wong Madison, Wis., May 11 Bank of Montreal plans to price 0% contingent risk absolute return notes due May 30, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission. If the index finishes above its initial level, the payout at maturity will be par plus the return. If the index return is less than or equal to zero and a barrier event has not occurred, the payout will be par plus the absolute value of the index return. A barrier event will occur if the index closes below the barrier level on any during the life of the notes. barrier level is expected to be 76.5% to 80.5% of the initial index level and will be set at pricing. If the index return is less than or equal to zero and a barrier event has occurred, investors will be fully exposed to the index s decline. BMO Capital Markets Corp. is the agent. notes will price on May 22 and settle on May 28. Cusip number is 06366RM77. Barclays plans to price phoenix autocallable notes linked to Apple By Angela McDaniels Tacoma, Wash., May 11 Barclays Bank plc plans to price phoenix autocallable notes due May 20, 2020 linked to the common stock of Apple Inc., according to a 424B2 filing with the Securities and Exchange Commission. Each month, the notes will pay a contingent coupon at the rate of 8.65% per year if Apple shares close at or above the barrier price, 75% of the initial share price, on the observation date for that month. Otherwise, no coupon will be paid for that month. Beginning in May 2016, the notes will be called at par plus the contingent coupon if the shares close at or above the initial price on any monthly observation date. If the notes are not called and the shares finish at or above the barrier price, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price. Barclays is the agent. notes will price May 15 and settle May 20. Cusip number is 06741UWE0. Tuesday May 12, 2015 Page 4

5 Barclays to price leveraged notes linked to 30-year Euro CMS rate By Marisa Wong Madison, Wis., May 11 Barclays Bank plc plans to price 0% leveraged 30- year Euro Constant Maturity Swap ratelinked notes, according to a 424B2 filing with the Securities and Exchange Commission. Barclays to price notes linked to EquityCompass Share Buyback index By Angela McDaniels Tacoma, Wash., May 11 Barclays Bank plc plans to price 0% notes due June 7, 2018 linked to the EquityCompass Share Buyback index, according to a 424B2 filing with the Securities and Exchange Commission. index seeks to capture returns that may be available from investing in a basket of stocks that are selected using the EquityCompass Share BuyBack Strategy, a trading restriction filter and concentration procedures. strategy selects a portfolio of stocks of up to 30 companies with the most significant share buyback announcements in the prior three months. It is based on the premise that stocks of companies that announce share buybacks may be more likely to perform well because share buybacks are a signal to the market Barclays plans phoenix autocallables linked to S&P 500, Russell 2000 By Angela McDaniels Tacoma, Wash., May 11 Barclays Bank plc plans to price phoenix autocallable notes due May 20, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission. Each quarter, the notes will pay a contingent coupon at the rate of 7.45% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date for that quarter. Otherwise, no coupon will be paid for that quarter. notes are expected to mature between 45 and 60 months after issue. payout at maturity will be the greater of (a) $900 and (b) $1,000 plus the product of (i) $1,000 times (ii) 10 times (iii) the difference of the final swap rate minus that the management of a company believes the company s shares are undervalued. notes are putable subject to a minimum of $10,000 principal amount of notes. If the closing indicative note value falls to or below $250, the notes will be automatically called. For each $1,000 principal amount of notes, the payout at maturity or upon redemption will be 97.5% of the sum of (a) $1,000 plus (b) $1,000 multiplied by the closing indicative note return. indicative note return on any day is the percentage change of the closing indicative note value from the initial closing indicative note value to the current closing indicative note value on that day. initial closing indicative note value is $1,000. On any business day, it will be (a) the closing indicative note value on the last the strike swap rate. strike swap rate will be the initial swap rate plus a spread of 0 to 50 basis points, which will be set at pricing. Barclays is the agent. Cusip number is 06741UVZ4. note rebalancing date multiplied by (b) one plus the net index periodic return as of that business day. note rebalancing dates are the sixth calendar day of each month. net index periodic return equals the index periodic return as of that business day minus the investor fee, which is 0.9% per year. index periodic return equals the performance of the index from its closing level on the last note rebalancing date to its closing level on that business day. Barclays is the agent. One or more affiliates of the index selection agent, Choice Financial Partners, Inc., may act as a dealer in the offering and may receive a selling commission. notes will price June 4 and settle June 9. Cusip number is 06741UWB6. Beginning in May 2016, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date. If the notes are not called and the final level of the lesserperforming index is greater than or equal to its barrier level, 50% of its initial level, the payout at maturity will be par plus the contingent coupon. Otherwise, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level. Barclays is the agent. notes will price May 15 and settle May 20. Cusip number is 06741UWD2. Tuesday May 12, 2015 Page 5

6 Goldman Sachs to price five-year step-up notes with 2% initial rate By Angela McDaniels Tacoma, Wash., May 11 Goldman Sachs Group, Inc. plans to price callable step-up fixed-rate notes due May 2020, according to a 424B2 filing with the Securities and Exchange Commission. interest rate will be 2% in years one through three, 3% in year four and 4% in year five. Interest will be payable semiannually. payout at maturity will be par. notes will be callable at par on any quarterly redemption date. Goldman Sachs & Co. and Incapital LLC are the underwriters. notes will price and settle in May. Cusip number is 38148T3H0. JPMorgan plans callable accrual CDs linked to Euro Stoxx 50, CMS rates By Susanna Moon Chicago, May 11 JPMorgan Chase Bank, NA plans to price callable accrual certificates of deposit due May 29, 2030 linked to the Euro Stoxx 50 index, the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a term sheet. Interest will accrue at a rate for each day that the spread of the 30-year CMS rate over the two-year CMS rate is at least zero and the index closes at or above the 75% barrier level. Interest will be payable quarterly. interest rate will be 4.25% for the first five years, stepping up to 5% for the next five years and to 6% after that. payout at maturity will be par. Beginning Oct. 17, 2015, the CDs will be callable at par on any interest payment date. J.P. Morgan Securities LLC is the agent. Incapital LLC is distributor. CDs will price on May 27 and settle on May 29. Cusip number is 48125YDF8. JPMorgan plans seven-year CDs linked to JPMorgan ETF Efficiente 5 By Susanna Moon Chicago, May 11 JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 31, 2022 linked to the JPMorgan ETF Efficiente 5 index, according to a term sheet. payout at maturity will be par plus at least 130% of any index gain, with the exact participation rate to be set at pricing. If the index falls, the payout will be par. level of the index reflects the deduction of a fee of 0.5% that accrues daily. J.P. Morgan Securities LLC is the agent. Incapital LLC is the distributor. CDs will price on May 26 and settle on May 29. Cusip number is 48125YCL6. JPMorgan plans seven-year CDs tied to J.P. Morgan Efficiente Plus DS 5 By Susanna Moon Chicago, May 11 JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 31, 2022 linked to the J.P. Morgan Efficiente Plus DS 5 index, according to a term sheet. payout at maturity will be par plus at least 200% of any index gain, with the exact participation rate to be set at pricing. If the index falls, the payout will be par. level of the index reflects the deduction of a fee of 0.85% that accrues daily. J.P. Morgan Securities LLC is the agent. Incapital LLC is the distributor. CDs will price on May 26 and settle on May 29. Cusip number is 48125YCU6. Tuesday May 12, 2015 Page 6

7 JPMorgan plans four-year CDs tied to J.P. Morgan Efficiente Plus DS 5 By Susanna Moon Chicago, May 11 JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due Nov. 29, 2019 linked to the J.P. Morgan Efficiente Plus DS 5 index, according to a term sheet. JPMorgan plans six-year CDs linked to J.P. Morgan Efficiente Plus DS 5 By Susanna Moon Chicago, May 11 JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 28, 2021 linked to the J.P. Morgan Efficiente Plus DS 5 index, according to a term sheet. payout at maturity will be par plus at least 100% of any index gain, with the exact participation rate to be set at pricing. If the index falls, the payout will be par. level of the index reflects the deduction of a fee of 0.85% that accrues payout at maturity will be par plus at least 140% of any index gain, with the exact participation rate to be set at pricing. If the index falls, the payout will be par. level of the index reflects the deduction of a fee of 0.85% that accrues daily. J.P. Morgan Securities LLC is the agent. Incapital LLC is the distributor. CDs will price on May 26 and settle on May 29. Cusip number is 48125YCS1. daily. J.P. Morgan Securities LLC is the agent. Incapital LLC is the distributor. CDs will price on May 26 and settle on May 29. Cusip number is 48125YCT9. JPMorgan plans to price CDs linked to TargetTracker: European Equities By Angela McDaniels Tacoma, Wash., May 11 JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 31, 2022 linked to the J.P. Morgan TargetTracker: European Equities 20/8 (EUR) index, according to a term sheet. payout at maturity will be par plus at least 100% of the index return, subject to a minimum payout of par. exact participation rate will be set at pricing. J.P. Morgan Securities LLC is the agent. Incapital LLC is distributor. CDs are expected to price May 26 and settle May 29. Cusip number is 48125YDC5 JPMorgan plans autocallable contingent interest notes on three stocks By Marisa Wong Madison, Wis., May 11 JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 25, 2018 linked to the least performing of the common stocks of Altria Group, Inc., United Technologies Corp. and UnitedHealth Group Inc., according to an FWP filing with the Securities and Exchange Commission. Each month, the notes will pay a coupon at an annualized rate of 9.5% to 11.5% if each stock closes at or above its barrier price, 65% of its initial share price, on the review date for that month. notes will be automatically called at par plus the coupon if each stock closes at or above its initial share price on any quarterly review date. If the notes have not been called, the payout at maturity will be par plus the contingent coupon, if any, unless any stock finishes below its 60% trigger price, in which case investors will be fully exposed to the share price decline. J.P. Morgan Securities LLC is the agent. notes are expected to price May 22 and settle May 28. Cusip number is 48125URU8. Tuesday May 12, 2015 Page 7

8 JPMorgan plans digital contingent coupon CDs due 2022 linked to stocks By Angela McDaniels Tacoma, Wash., May 11 JPMorgan Chase Bank, NA plans to price digital contingent coupon certificates of deposit due May 31, 2022 linked to a basket of stocks, according to a term sheet. equally weighted basket includes the class A common stock of CME Group Inc. and the common stocks of AT&T Inc., CenturyLink, Inc., Exelon Corp., Ford Motor Co., International Business Machines Corp., Lorillard, Inc., Marathon Petroleum Corp., Potash Corp. of Saskatchewan Inc. and Williams Cos. Inc. Interest is payable annually and will equal the sum of the weighted performances of the basket stocks, subject to a minimum interest rate that is expected to be at least 1%. If a stock s return is greater than or equal to zero, its performance will be equal to the coupon cap. Otherwise, its performance will be equal to the greater of its return and negative 15%. coupon cap is expected to be 5.25% to 5.75%. exact minimum interest rate and coupon cap will be set at pricing. payout at maturity will be par. J.P. Morgan Securities LLC is the agent. Incapital LLC is distributor. CDs are expected to price May 26 and settle May 29. Cusip number is 48125YDW1. Morgan Stanley plans contingent income autocallables linked to Chevron By Angela McDaniels Tacoma, Wash., May 11 Morgan Stanley plans to price contingent income autocallable securities due May 18, 2018 linked to the common stock of Chevron Corp., according to an FWP filing with the Securities and Exchange Commission. If Chevron shares close at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 8.05%. exact rate will be set at pricing. notes will be called at par of $10 plus the contingent coupon if Chevron shares close at or above the redemption threshold level, 105% of the initial share price, on any quarterly determination date other than the final determination date. If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, the payout will be a number of Chevron shares equal to $10 divided by the initial share price or, at the issuer s option, an amount in cash equal to the value of those shares. Morgan Stanley & Co. LLC is the agent. notes are expected to price May 15 and settle May 20. Cusip number is 61765G176. Morgan Stanley to price averaging notes linked to Dow via Wells Fargo By Angela McDaniels Tacoma, Wash., May 11 Morgan Stanley plans to price 0% market-linked notes due June 3, 2022 linked to the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission. payout at maturity will be par plus the index return, subject to a minimum return that is expected to be 5% to 9% and will be set at pricing. final index level will be the average of the index s closing level on 28 quarterly calculation days over the term of the notes. Morgan Stanley & Co. LLC and Wells Fargo Securities LLC are the agents. notes will price May 29 and settle June 3. Cusip number is 61761JZB8. Tuesday May 12, 2015 Page 8

9 Morgan Stanley plans trigger jump securities linked to Euro Stoxx 50 By Marisa Wong Madison, Wis., May 11 Morgan Stanley plans to price 0% trigger jump securities due May 20, 2019 linked to the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission. RBC plans bullish barrier enhanced return notes tied to Euro Stoxx 50 By Susanna Moon Chicago, May 11 Royal Bank of Canada plans to price 0% bullish barrier enhanced return notes due May 31, 2019 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission. payout at maturity will be par plus 115% to 125% of any index gain, up to a maximum return of 35% to 43%. exact cap will be set at pricing. Investors will receive par if the index falls by up to 30% and will be fully exposed to any losses if the index falls below the 70% barrier level. RBC Capital Markets, LLC is the underwriter. notes will price on May 26 and settle on May 29. Cusip number is 78012KEF0. RBC plans fixed-to-floating notes due 2020 with 1.5% initial rate By Marisa Wong Madison, Wis., May 11 Royal Bank of Canada plans to price fixed-to-floating notes due May 28, 2020, according to a 424B2 filing with the Securities and Exchange Commission. interest rate is fixed at 1.5% for the first two years. After that, the coupon will be Libor plus a spread of 50 basis points, subject to a coupon cap of 4%. Interest is payable quarterly and cannot be less than zero. payout at maturity will be par plus accrued interest. RBC Capital Markets, LLC is the underwriter. notes will settle on May 28. Cusip number is 78012KDD6. Wells Fargo plans variable annual interest CDs linked to 10 stocks By Susanna Moon Chicago, May 11 Wells Fargo Bank, NA plans to price variable annual interest market-linked certificates of deposit due April 1, 2022 linked to a basket of 10 equally weighted stocks, according to a term sheet. underlying companies are Apple Inc., Exelon Corp., AT&T Inc., Hewlett- If the final index level is at or above the initial level, the payout at maturity will be par of $10 plus the greater of the 40% upside payment and the index return. Investors will receive par if the index falls by up to 15% and will be fully exposed to losses from the initial level if the index Packard Co., Baxter International Inc., Merck & Co., Inc., Duke Energy Corp., Microsoft Corp., Eli Lilly and Co. and Wal-Mart Stores, Inc. CDs will pay a coupon equal to the sum of the basket components weighted returns, with a floor of 0.75%. On any valuation date, if a component s return is at least zero, it will be given a fixed return finishes below the 85% downside threshold level. Morgan Stanley & Co. LLC is the agent. notes will price on May 15 and settle on May 20. Cusip number is 61765G168. of 5% to 5.5%. Otherwise, its component return will equal the commodity return, floor of negative 15%. payout at maturity will be par. exact deal terms will be set at pricing. notes will price on May 26 and settle on May 28. Cusip number is 94986TTW7. Tuesday May 12, 2015 Page 9

10 New Barclays prices $129,000 basket-linked notes tied to five indexes By Marisa Wong Madison, Wis., May 11 Barclays Bank plc priced $129,000 of 0% notes due April 6, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight. payout at maturity will be par plus any basket gain. Investors will be exposed to any losses. Barclays is the underwriter. Barclays Bank plc Basket-linked notes Underlying basket: Euro Stoxx 50 (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight) Amount: $129,000 Maturity: April 6, 2017 Coupon: 0% Price: Payout at maturity: Par plus any basket gain; full exposure to losses Initial index levels: 3, for Euro Stoxx, 6, for FTSE, 1, for Topix, 8, for Swiss Market and 5, for S&P/ASX Pricing date: May 7 Settlement date: May 14 Agent: Barclays Fees: None 06741UVT8 New Credit Suisse prices $4.11 million 10.6% reverse convertibles on Royal Caribbean By Marisa Wong Madison, Wis., May 11 Credit Suisse AG, London Branch priced $4.11 million of 10.6% reverse convertible securities due May 12, 2016 linked to the common stock of Royal Caribbean Cruises Ltd., according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable monthly. A knock-in event occurs if the closing price of Royal Caribbean Cruises stock is at or below its knock-in price 75% of the initial price on any day during the life of the notes. payout at maturity will be par unless the final share price is less than the initial price and a knock-in event has occurred, in which case investors will receive a number of shares of Royal Caribbean Cruises stock equal to $1,000 divided by the initial price, with fractional shares paid in cash. Credit Suisse Securities (USA) LLC is the agent. Credit Suisse AG, London Branch Reverse convertible notes Underlying stock: Royal Caribbean Cruises Ltd. (Symbol: RCL) Amount: $4,113,000 Maturity: May 12, 2016 Coupon: 10.6%, payable monthly Price: Par Payout at maturity: Par unless final share price is less than initial price and a knock-in event has occurred, in which case a number of shares of Royal Caribbean Cruises stock equal to $1,000 divided by initial price, with fractional shares paid in cash Knock-in event: Closing share price is at or below knock-in price on any day during life of notes Initial price: $68.69 Knock-in price: $ , 75% of initial price Pricing date: May 8 Settlement date: May 12 Agent: Credit Suisse Securities (USA) LLC Fees: 0.25% 22546VDG8 Tuesday May 12, 2015 Page 10

11 New Credit Suisse prices $111.8 million more VelocityShares 3x Long Crude Oil ETNs By Angela McDaniels Tacoma, Wash., May 11 Credit Suisse AG, Nassau Branch priced another $111.8 million of 0% VelocityShares 3x Long Crude Oil ETNs due Feb. 9, 2032 linked to the S&P GSCI Crude Oil Index Excess Return index, according to 424B2 filings with the Securities and Exchange Commission. $1.53 billion principal amount of additional notes priced at for proceeds of $111,799,620. original $5 million of notes priced on Feb. 7, payout at maturity will equal the closing indicative value of the notes on Feb. 2, closing indicative value of the notes on the inception date was $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. 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. 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. daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. daily investor fee is an annualized amount equal to 1.35% of the closing indicative value on the preceding day. 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%. company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day s closing indicative value. notes are listed on the NYSE Arca under the ticker symbol UWTI. 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. Credit Suisse AG, Nassau Branch VelocityShares 3x Long Crude Oil ETN Underlying index: S&P GSCI Crude Oil Index Excess Return Amount: $26,225,527,100, increased from original $5 million Proceeds: $111,799,620 for latest $1.53 billion Maturity: Feb. 9, 2032 Coupon: 0% Prices: Par of $50 for original $5 million; for latest $1.53 billion Payout at maturity: Amount equal to closing indicative value of notes on Feb. 2, 2032 Closing 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; May 8 Settlement date: for latest add-ons Feb. 10, 2012 for original issue; in latest add-ons, May 11 for $87.5 million, May 12 for $600 million and May 13 for $842.5 million Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: UWTI 22542D589 Tuesday May 12, 2015 Page 11

12 New Credit Suisse prices $5.2 million notes linked to Credit Suisse Managed Futures Liquid index By Angela McDaniels Tacoma, Wash., May 11 Credit Suisse AG, Nassau Branch priced $5.2 million of 0% daily redeemable notes due May 7, 2025 linked to the Credit Suisse Managed Futures Liquid index, according to a 424B2 filing with the Securities and Exchange Commission. issuer has registered to issue up to $50 million of the notes. $5.2 million initial tranche priced at par. remaining notes may be sold from time to time at varying prices. index is designed to give broad exposure that simulates a managed futures strategy that tracks a basket of currency futures, sovereign bond futures, equity index futures and commodity indexes. level of the index will be reduced by the notional transaction cost and holding cost for each index component. notes are callable at any time, and they are putable at any time subject to a minimum of 100 notes. minimum early redemption quantity may be reduced by Credit Suisse from time to time. Holders who put back their notes will have to pay an early redemption charge equal to 0.125% of the closing indicative value times. payout upon redemption or at maturity will be a cash payment equal to the closing indicative value of the notes. closing indicative value on the pricing date was $1,000. On subsequent days, it equals (a) (i) the closing indicative value on the immediately preceding calendar day times (ii) the daily index factor on that calendar day minus (b) the daily investor fee. closing indicative value will never be less than zero. If it is equal to zero on any trading day, the closing indicative value on that day and on all future days will be zero. daily index factor equals the closing level of the index on that trading days divided by its closing level on the immediately preceding trading day. On any day that is not a trading day, it will equal 1. daily investor fee equals (a) the closing indicative value on the immediately preceding calendar day times (b) the daily index factor on that day times (c) (i) 1% divided by (ii) 365. notes will not be listed on any securities exchange. Credit Suisse Securities (USA) LLC is the underwriter. Credit Suisse AG, Nassau Branch Daily redeemable notes Underlying index: Credit Suisse Managed Futures Liquid index Amount: $5.2 million Maturity: May 7, 2025 Coupon: 0% Price: Par Payout at maturity: Cash payment equal to closing indicative value of notes Call option: At any time Put option: At any time subject to minimum of 100 notes and payment of 0.125% fee Closing indicative value: $1,000 on pricing date; on subsequent days, (a) (i) closing indicative value on immediately preceding calendar day times (ii) daily index factor on that calendar day minus (b) daily investor fee Daily index factor: Closing level of index divided by closing level on immediately preceding trading day Daily investor fee: (a) Closing indicative value on immediately preceding calendar day times (b) daily index factor on that day times (c) (i) 1% divided by (ii) 365 Pricing date: May 7 Settlement date: May 12 Underwriter: Credit Suisse Securities (USA) LLC Fees: None 22546VCP9 Tuesday May 12, 2015 Page 12

13 New Credit Suisse prices $3.97 million more VelocityShares 3x Inverse Natural Gas ETNs New York, May 11 Credit Suisse AG, Nassau Branch priced another $3.97 million of 0% VelocityShares 3x Inverse Natural Gas ETNs due Feb. 9, 2032 linked to the S&P GSCI Natural Gas Index Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission. $35 million principal amount add-on priced at for proceeds of $3,966,760. original $5 million of notes priced on Feb. 7, payout at maturity will equal the closing indicative value of the notes on Feb. 2, closing indicative value of the notes on the inception date was $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. 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. 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 three. daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. daily investor fee is an annualized amount equal to 1.65% of the closing indicative value on the preceding day. 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%. company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day s closing indicative value. notes are listed on the NYSE Arca under the ticker symbol DGAZ. 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. Credit Suisse AG, Nassau Branch VelocityShares 3x Inverse Natural Gas ETN Underlying index: S&P GSCI Natural Gas Index Excess Return Amount: $8,850,000,000, increased from original $5 million Proceeds: $3,966,760 for latest $35 million Maturity: Feb. 9, 2032 Coupon: 0% Prices: Par of $50 for original $5 million; for latest $35 million Payout at maturity: Amount equal to closing indicative value of notes on Feb. 2, 2032 Closing 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 negative 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; May 8 for latest add-on Settlement date: Feb. 10, 2012 for original issue; May 13 for latest add-on Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: DGAZ 22542D530 Tuesday May 12, 2015 Page 13

14 New Credit Suisse prices $2.68 million 8.15% reverse convertibles on Fluor By Marisa Wong Madison, Wis., May 11 Credit Suisse AG, London Branch priced $2.68 million of 8.15% reverse convertible securities due May 12, 2016 linked to the common stock of Fluor Corp., according to a 424B2 filing with the Securities and Exchange Commission. Interest is payable monthly. A knock-in event occurs if the closing price of Fluor stock is at or below its knockin price 75% of the initial price on any day during the life of the notes. payout at maturity will be par unless the final share price is less than the initial price and a knock-in event has occurred, in which case investors will receive a number of shares of Fluor stock equal to $1,000 divided by the initial price, with fractional shares paid in cash. Credit Suisse Securities (USA) LLC is the agent. Credit Suisse AG, London Branch Reverse convertible notes Underlying stock: Fluor Corp. (Symbol: FLR) Amount: $2,678,000 Maturity: May 12, 2016 Coupon: 8.15%, payable monthly Price: Par Payout at maturity: Par unless final share price is less than initial price and a knock-in event has occurred, in which case a number of shares of Fluor stock equal to $1,000 divided by initial price, with fractional shares paid in cash Knock-in event: Closing share price is at or below knockin price on any day during life of notes Initial price: $58.63 Knock-in price: $ , 75% of initial price Pricing date: May 8 Settlement date: May 12 Agent: Credit Suisse Securities (USA) LLC Fees: 0.25% 22546VDH6 New Credit Suisse prices $129,000 basket-linked notes tied to five indexes By Marisa Wong Madison, Wis., May 11 Credit Suisse AG, London Branch priced $129,000 of 0% notes due Jan. 9, 2017 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission. basket consists of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Topix index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight. payout at maturity will be par plus any basket gain. Investors will be exposed to any losses. Credit Suisse Securities (USA) LLC is the agent. Credit Suisse AG, London Branch Basket-linked notes Underlying basket: Euro Stoxx 50 (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight) Amount: $129,000 Maturity: Jan. 9, 2017 Coupon: 0% Price: Payout at maturity: Par plus any basket gain; full exposure to losses Initial index levels: 3, for Euro Stoxx, 6, for FTSE, 1, for Topix, 8, for Swiss Market and 5, for S&P/ ASX Pricing date: May 7 Settlement date: May 14 Agent: Credit Suisse Securities (USA) LLC Fees: None 22546VDA1 Tuesday May 12, 2015 Page 14

15 New Credit Suisse prices $275,297 more VelocityShares 3x Long Gold ETNs New York, May 11 Credit Suisse AG, Nassau Branch priced another $275,297 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 filing with the Securities and Exchange Commission. $1.25 million principal amount add-on priced at for proceeds of $275, original $5 million of notes priced on Oct. 14, payout at maturity will equal the closing indicative value of the notes on Oct. 8, closing indicative value of the notes on the inception date was $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. 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. 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. daily accrual is the rate of interest that could be earned on a notional capital reinvestment at the 91-day Treasury rate. daily investor fee is an annualized amount equal to 1.35% of the closing indicative value on the preceding day. 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%. company can accelerate the notes if their intraday indicative value is ever 15% or less of the prior day s closing indicative value. 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. Credit Suisse AG, Nassau Branch VelocityShares 3x Long Gold ETN Underlying index: S&P GSCI Gold Index Excess Return Amount: $427,060,050, increased from original $5 million Proceeds: $275, for latest $1.25 million Maturity: Oct. 14, 2031 Coupon: 0% Prices: Par of $50 for original $5 million; for latest $1.25 million Payout at maturity: Amount equal to closing indicative value of notes on Feb. 2, 2032 Closing 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 Put option: Acceleration: daily accrual plus three times index s return over previous day s closing level Subject to minimum of 25,000 notes and 0.05% early redemption charge 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; May 8 for latest add-on Settlement date: Feb. 10, 2012 for original issue; May 13 for latest add-on Agent: Credit Suisse Securities (USA) LLC Fees: 0.00% Listing: NYSE Arca: UGLD 22542D688 Tuesday May 12, 2015 Page 15