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Structured Note Issuance September 21, 2012

Structured note issuance on September 21st 2012 has been 91.831 MM for all asset classes. 83 MM notional structured notes tied to Equity as underlying asset class, 6.82MM for FX related notes and 2MM for rates related notes.

Among the issuers, Goldman Sachs and HSBC dominated the issuance by 23.7 MM and 32.22 MM respectively.

Distribution of the note issuance by underlying index

There has been good amount of issuance of notes based on SX5E index; Euro Stoxx index. HSBC has issued 25 MM worth of a Knock out Buffer note tied to SX5E index.

Note type

Issuer

CUSIP

Note Summary

Autocallable Range Accrual Notes

Bank of America Corporation

06048WNE6

Bank of America Priced 7MM of 15Y Auto Callable Range Accrual Notes on SPX Index to the public based on 42B2 Filings at SEC. This Note pays Quarterly Coupon (6% (years 1 to 5),7%(5y to 10y) & 8%(10y to 15y) ) when the underlying is above 1168.4. This note will be called if the underlying is above 2045.47

Autocallable Securities Linked to the Lesser Performing

Deutsche Bank AG, London Branch

US2515A1LT60

Deutche Bank priced 3MM of 1y Auto Callable notes on common stock of Goldman and Halliburton to the public based on 424b2 filings at SEC. This note pays monthly coupon of 10.10%. When the underlying is above initial level note will be called. At maturity Note will pay 1:1 downside worst performance stock below threshold level

Autocallable Leveraged Buffered

The Goldman Sachs Group

US38147H1068

Goldman Sachs Priced 13.46 MM of 2y Auto callable notes on MSCI EAFE Index to the public based on 424b2 filings at SEC. This note pays at maturity, performance of EAFE index with double the leverage on upside and 1.25 leverage on the down side. These notes will be called Automatically when underlying index is above initial level.

Leveraged Buffered

The Goldman Sachs Group

US38147B8853

Goldman Sachs Priced 10.298 MM of 2y Leveraged buffer notes on SX5E index to the public based on 424b2 filings at SEC. These Notes pay at maturity performance of SX5E with double leverage and is capped at 14.15%. On the downside, Note will participate 1:1 downside performance.

Knock-Out Buffer Notes

HSBC USA Inc

US4042K15D16

HSBC priced 6.82 MM of 1y Knock out buffer notes on USDMXN currency to the public based on 424b2 filings at SEC. These notes pay at maturity appreciation of the USDMXN with a minimum of 5.75%. On the down side, note will be exposed to depreciation if the USDMXN depreciates more than 15%

Knock-Out Buffer Notes

HSBC USA Inc

US4042K15B59

HSBC Priced 25.4 MM of 2y Knock out buffer notes on SX5E index to the public based on 424b2 filings at SEC. These Notes pay at maturity performance of SX5E with mimum coupon of 8.72%. On the downside, Note will participate 1:1 downside performance beyond the buffer level of 20%.

Capped Buffered Return Enhanced Notes

JP Morgan Chase

48126DAC3

JP Morgan Priced 3.108 MM of 1y buffered Return notes on SX5E index to the public based on 424b2 filings at SEC. These Notes pay at maturity performance of SX5E with double leverage and is capped at 10.15%. On the downside, Note will participate 1:1 downside performance beyond buffer level of 10%.

Reverse Exchangeable Notes

JP Morgan Chase

48126DAD1

JP Morgan Priced 1 MM of3M reverse Exchangeable notes on Teterex Corporation to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 0.75%. On the downside, Note will participate 1:1 downside performance beyond buffer level of 43.1452%.

Reverse Exchangeable Notes

JP Morgan Chase

48125V5U0

JP Morgan Priced 593K of 6M reverse Exchangeable notes on Hess Corporation to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 4.125% PA. On the downside, Note will participate 1:1 downside performance beyond buffer level of 35%.

Callable Step up Notes

Royal Bank of Canada

78008SEY8

Royal Bank of Canada priced 2 MM of 12y Redeemable Step up Notes to public based on 424b2 filings at SEC. These notes pay semi annually 2% (1y-2y), 2.5% (3y-7y), 3.5% (8y-12y).

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270A7211

UBS Priced 199,992.72 of 12M Trigger Yield Optimization notes on Market Vector Oil Services to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 5.87 Per annum%. On the downside, Note will participate 1:1 downside performance if underlying is below knock out level of 75%.

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B3987

UBS Priced 158,409.75 of 12M Trigger Yield Optimization notes on Spring Nextel Corporation to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 12.85 Per annum%. On the downside, Note will participate 1:1 downside performance if underlying is below knock out level of 70%.

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B3805

UBS Priced 99982.75 of 9M Trigger Yield Optimization notes on Spring Nextel Corporation to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 12.80% Per annum. On the downside, Note will participate 1:1 downside performance if underlying is below knock out level of 70%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4068

UBS Priced 170000 of 12M Phoenix Autocallable Optimization notes on VMware Corporation to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 19.44% Per annum if underlying is above coupon barrier of 80% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 70%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4142

UBS Priced 221000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 11.09% Per annum if underlying is above coupon barrier of 75% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 75%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4225

UBS Priced 350000 of 12M Phoenix Autocallable Optimization notes on Freeport Mc Moran Corporation to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 11.07% Per annum if underlying is above coupon barrier of 65% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 65%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4308

UBS Priced 100000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation to the public based on 424b2 filings at SEC. These Notes pay Semi Annual Coupon of 18.59% Per annum if underlying is above coupon barrier of 75% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 75%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4480

UBS Priced 250000 of 12M Phoenix Autocallable Optimization notes on Marvel Technology to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 13.80% Per annum if underlying is above coupon barrier of 70% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 70%.

Trigger Autocallable Optimization Securities

UBS AG, London Branch

US90270B4480

UBS Priced 600000 of 12M Trigger Autocallable Optimization notes on Micron Technology to the public based on 424b2 filings at SEC. These Notes pay Monthly Coupon of 28.51% Per annum.If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 60%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4639

UBS Priced 180000 of 12M Phoenix Autocallable Optimization notes on Joy Global to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 13.55% Per annum if underlying is above coupon barrier of 60% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 60%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4712

UBS Priced 180000 of 12M Phoenix Autocallable Optimization notes on AAPL to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 13.55% Per annum if underlying is above coupon barrier of 60% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 60%.

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B4894

UBS Priced 1031445.42 of 12M Trigger Yield Optimization notes on AAPL to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 8.03% Per annum. On the downside, Note will participate 1:1 downside performance if underlying is below knock out level of 85%.

Trigger Phoenix Autocallable Optimization Securities

UBS AG, London Branch

US90270B4977

UBS Priced 180000 of 12M Phoenix Autocallable Optimization notes on JC Penny to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 18.00% Per annum if underlying is above coupon barrier of 60% of initial level. If the underlying level is above initial level, these notes will redeemed.On the downside, Note will participate 1:1 downside performance if underlying is below Trigger price level of 60%.

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B5057

UBS Priced 99974.82 of 18M Trigger Yield Optimization notes on Hartford Financial to the public based on 424b2 filings at SEC. These Notes pay monthly Coupon of 8.03% Per annum. On the downside, Note will participate 1:1 downside performance if underlying is below knock out level of 85%.

Market Linked Notes

WellsFargo

94986RLS8

Wells Fargo priced 15 MM Market Linked notes tied to a basket (SPX,RTY,MXEA) to the public based on 424b2 filings at SEC. These notes pay at maturity performance of the basket on the upside. These notes do not participate in downside

Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.