Structured Notes Valuation & Risk Insights

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.

Total

Bank of America Corporation 8%

Deutsche Bank AG, London Branch 3%

UBS AG, London Branch 4%

WellsFargo 16% HSBC USA Inc 35%

The Goldman Sachs Group 26% Royal Bank of Canada 2%

JP Morgan Chase 6%

Distribution of the note issuance by underlying index

Underlying Index
MSCI EAFE index 15% SPX Index 11% USDMXN Curncy 8% GS & HAL 3% Terex Corporation 2% YieldCurve 2% AAPL 1% other 3%

SPX,RTY,MXEA 16%

Other 8%

SX5E Index 39%

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.

Chandra S Khandrika

Page 1

Structured Notes Valuation & Risk Insights

2012

Structured Note Type

Autocallable Leveraged Buffered 11% 16% 35% 7% 15% 8% 3% 2% 3% 2% 1% 2% 2% Autocallable Securities Linked to the Lesser Performing Callable Step up Notes Autocallable Range Accrual Notes

Note type
Autocallable Range Accrual Notes

Issuer Bank of America Corpora tion

Deutsch e Bank AG, London Branch

CUSIP
06048WNE6

Note Summary
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

US2515A 1LT60

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 performancing stock below threshold level

Autocallable Leveraged Buffered

The Goldman Sachs Group

US38147 H1068

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 Goldma n Sachs Group

HSBC USA Inc

US38147 B8853

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. 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

US4042K 15D16

Chandra S Khandrika

Page 2

Structured Notes Valuation & Risk Insights

Knock-Out Buffer Notes HSBC USA Inc US4042K 15B59

2012

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%. 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%.

Capped Buffered Return Enhanced Notes

JP Morgan Chase

48126DA C3

Reverse Exchangeabl e Notes

JP Morgan Chase

48126DA D1

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%. 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%. 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). 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%.

Reverse Exchangeabl e Notes

JP Morgan Chase

48125V5U 0

Callable Step up Notes

Royal Bank of Canada

78008SEY 8

Trigger Yield Optimization Notes

UBS AG, London Branch

US90270A7 211

Trigger Yield Optimization Notes Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B3 987

UBS AG, London Branch

US90270B3 805

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%. 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%.

Chandra S Khandrika

Page 3

Structured Notes Valuation & Risk Insights

2012

Trigger Phoenix Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities

UBS AG, London Branch

US90270B4 068

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%.

UBS AG, London Branch

US90270B4 142

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%.

UBS AG, London Branch

US90270B4 225

UBS Priced 350000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation to the public based on 424b2 filings at SEC. These Notes pay Quarterly Coupon of 11.07% 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%.

UBS AG, London Branch

US90270B4 308

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%.

UBS AG, London Branch

US90270B4 480

UBS Priced 250000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation 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%.

Chandra S Khandrika

Page 4

Structured Notes Valuation & Risk Insights

2012

Trigger Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities Trigger Phoenix Autocalla ble Optimizat ion Securities
Trigger Yield Optimization Notes

UBS AG, London Branch

US90270B4 480

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%.

UBS AG, London Branch

US90270B4 639

UBS Priced 180000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation 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%.

UBS AG, London Branch

US90270B4 712

UBS Priced 180000 of 12M Phoenix Autocallable Optimization notes on Metlife Corporation 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%.

UBS AG, London Branch

US90270B4 894

UBS Priced 1031445.42 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 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 Autocalla ble Optimizat ion Securities

UBS AG, London Branch

US90270B4 977

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%.

Chandra S Khandrika

Page 5

Structured Notes Valuation & Risk Insights

Trigger Yield Optimization Notes
UBS AG, London Branch US90270B5 057

2012

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

WellsFarg o

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

Chandra S Khandrika

Page 6