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Published on 2/4/2015 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Leveraged Index Return Notes due August 2016 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

BANK OF MONTREAL

• 0% notes due March 4, 2016 linked to the BMO Q-30 Strategy; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip 06366RZZ1

• 0% contingent risk absolute return notes due Feb. 26, 2021 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZU2

• 0% buffered bullish enhanced return notes due Feb. 28, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZX6

• Tracking notes due March 4, 2016 linked to the Morningstar MLP Composite index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RA21

• 0% buffered bullish enhanced return notes due Feb. 28, 2017 linked to the Russell 2000 index; 90% trigger; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZY4

• 0% bullish enhanced return notes due Feb. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZS7

• 0% buffered bullish enhanced return notes due Feb. 28, 2019 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZT5

• 0% buffered bullish enhanced return notes due Feb. 28, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RA47

• 0% contingent risk absolute return notes due Feb. 26, 2021 linked to the SPDR Dow Jones Industrial Average exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZR9

• 0% contingent risk absolute return notes due Feb. 26, 2021 linked to the SPDR Euro Stoxx 50 exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZQ1

• 0% buffered bullish enhanced return notes due Feb. 28, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZW8

• 15% autocallable cash-settled notes due Feb. 29, 2016 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 25; Cusip: 06366RZV0

BANK OF NOVA SCOTIA

• 0% series A enhanced participation notes due Aug. 30, 2019 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via Scotia Capital (USA) Inc.; pricing Feb. 23; Cusip: 064159EB8

BARCLAYS BANK PLC

• 9% autocallable reverse convertible notes due Feb. 10, 2016 linked to Chicago Bridge & Iron Co. NV; via Barclays; pricing Feb. 5; Cusip: 06741JZ28

• Airbag autocallable yield optimization notes due Feb. 11, 2016 linked to the common stock of Anadarko Petroleum Corp.; via UBS Financial Services Inc. and Barclays; pricing Feb. 6; Cusip: 06743P707

• Airbag autocallable yield optimization notes due Feb. 11, 2016 linked to the common stock of Apache Corp.; via UBS Financial Services Inc. and Barclays; pricing Feb. 6; Cusip: 06743P400

• Callable contingent coupon notes due Feb. 9, 2017 linked to Facebook, Inc. class A shares; via Barclays; pricing Feb. 6; Cusip: 06741JZ44

• Airbag autocallable yield optimization notes due Feb. 11, 2016 linked to the common stock of Intel Corp.; via UBS Financial Services Inc. and Barclays; pricing Feb. 6; Cusip: 06743P608

• Airbag autocallable yield optimization notes due Feb. 11, 2016 linked to the common stock of Morgan Stanley; via UBS Financial Services Inc. and Barclays; pricing Feb. 6; Cusip: 06743P509

• 10.5% autocallable notes due Aug. 12, 2016 linked to the least performing of three stocks; via Barclays; pricing Feb. 9; Cusip: 06741UQL1

• Callable step-up fixed-rate notes due Feb. 18, 2020; via Barclays; pricing Feb. 12; Cusip: 06741UQK3

• 0% trigger performance securities due Feb. 28, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via UBS Financial Services Inc. and Barclays; pricing Feb. 24; Cusip: 06740D418

• 0% trigger performance securities due Feb. 28, 2020 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing Feb. 24; Cusip: 06740D426

• 15-18-month 0% digital notes linked to the iShares MSCI Emerging Markets exchange-traded fund; via Barclays; Cusip: 06741UPK4

• 0% leveraged notes due in 24 to 27 months linked to Euro Stoxx 50 index, the FTSE 100, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via Barclays; Cusip: 06741UPY4

• 0% capped leveraged buffered notes linked to a basket of indexes (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); via Barclays; Cusip: 06741UQB3

• 0% capped leveraged notes du in 24 to 27 months linked to the Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via Barclays; Cusip: 06741UQA5

BNP PARIBAS

• 0% buffered notes due Feb. 27, 2020 linked to the Dow Jones industrial average; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAT3

• 7.25% to 8.25% phoenix notes due Feb. 27, 2018 linked to the worst of the Russell 2000 index and the S&P 500 index; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAZ9

• 5.25% to 6.75% phoenix notes due Feb. 27, 2017 linked to the Russell 2000 index; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAY2

• 0% buffered return enhanced notes due Aug. 29, 2017 linked to the Russell 2000 index; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAS5

• 0% buffered notes due Aug. 27, 2019 linked to the S&P 500 index; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAR7

• 0% buffered notes due Feb. 27, 2020 linked to the S&P 500 index, the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund; via BNP Paribas; pricing Feb. 24; Cusip: 05579TB21

• 0% buffered notes due Feb. 27, 2020 linked to the S&P 500 index, the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund; via BNP Paribas; pricing Feb. 24; Cusip: 05579TAX4

CANADIAN IMPERIAL BANK OF COMMERCE

• Redeemable step-up notes due 2025; via Janney Montgomery Scott LLC; settlement Feb. 23; Cusip: 13605WAG6

CITIGROUP INC.

• Callable step-up coupon notes due Feb. 25, 2020; via Citigroup Global Markets Inc.; pricing Feb. 20; Cusip: 1730T04E6

• 0% contingent return optimization securities due Feb. 28, 2018 linked to the S&P 500 index; via Citigroup Global Markets Inc. with UBS Financial Services Inc.; pricing Feb. 24; Cusip: 17323B307

• 0% trigger Performance Leveraged Upside Securities due March 2, 2018 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 27; Cusip: 17323B208

CREDIT SUISSE AG

• 0% autocallable securities due Feb. 12, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Barclays; pricing Feb. 6; Cusip: 22546V4R4

• 0% absolute return barrier securities due March 1, 2021 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing Feb. 20; Cusip: 22546V3S3

• 0% accelerated barrier notes due March 1, 2021 linked to the Euro Stoxx 50 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 20; Cusip: 22546V3U8

• Contingent coupon callable yield notes due Feb. 27, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 20; Cusip: 22546V3W4

• 0% digital-plus barrier notes due March 1, 2021 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 20; Cusip: 22546V3R5

• Contingent coupon callable yield notes due Feb. 27, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 20; Cusip: 22546V3V6

• Callable step-up securities due Feb. 27, 2022; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V3X2

• Callable daily range accrual securities due Aug. 29, 2022 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V4B9

• Step-up contingent coupon callable yield notes due Feb. 27, 2030 linked to the S&P 500 index; via Incapital LLC as placement agent; pricing Feb. 24; Cusip: 22546V3Z7

• 0% accelerated barrier notes due Feb. 28, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V3E4

• 0% absolute return barrier securities due Feb. 27, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V3D6

• Contingent coupon autocallable yield notes due Feb. 27, 2025 linked to the S&P 500 index and the Russell 2000 index; via Incapital LLC; pricing Feb. 24; Cusip: 22546V4K9

• 0% trigger performance securities due Feb. 28, 2025 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Feb. 24; Cusip: 22547T696

• High/low coupon callable yield notes due Sept. 6, 2016 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 27; Cusip: 22546V3Q7

• 0% absolute return barrier securities due March 3, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 27; Cusip: 22546V3H7

• 0% digital barrier notes due March 3, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 27; Cusip: 22546V3K0

• 0% Market Index Target-Term Securities due February 2022 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2016 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due February 2017 linked to the S&P Oil & Gas Exploration and Production Select Industry index; via BofA Merrill Lynch; pricing in February

• Leveraged Index Return Notes due February 2020 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in February

• 0% notes due April 2016 linked to the NYSE Arca Gold Miners index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due February 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due February 2020 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

• 0% Strategic Accelerated Redemption Securities due March 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due February 2017 linked to the S&P Oil & Gas Exploration & Production Select Industry index; via BofA Merrill Lynch; pricing in February

• 0% accelerated return notes due Nov. 1, 2018 linked to the Russell 2000 index; via Barclays; Cusip: 22546V3N4

CREDIT SUISSE AG, NASSAU BRANCH

• Callable step-up securities due Feb. 27, 2020; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V3Y0

• Callable step-up securities due Feb. 27, 2025; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546V4C7

DEUTSCHE BANK AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Aug. 12, 2016 linked to AbbVie Inc. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 6; Cusip: 25190E767

• Trigger phoenix autocallable optimization securities due Aug. 12, 2016 linked to Ford Motor Co. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 6; Cusip: 25190E759

• Trigger phoenix autocallable optimization securities due Aug. 12, 2016 linked to Fortinet, Inc. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 6; Cusip: 25190E742

• Trigger phoenix autocallable optimization securities due Aug. 12, 2016 linked to Yahoo! Inc. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 6; Cusip: 25190E734

0% capped return enhanced notes due Feb. 24, 2016 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 6; Cusip: 25152RUN1

• 0% trigger performance securities due Feb. 28, 2025 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 24; Cusip: 25190E700

• 0% trigger performance securities due Feb. 28, 2019 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 24; Cusip: 25190E726

• 0% trigger performance securities due Feb. 28, 2025 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Feb. 25; Cusip: 25190E718

• 0% uncapped buffered underlying securities due March 1, 2019 linked to the Euro Stoxx 50 index; via Deutsche Bank Securities Inc.; pricing Feb. 26; Cusip: 25152RKQ5

• Phoenix autocallable securities due March 2, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Deutsche Bank Securities Inc.; pricing Feb. 26; Cusip: 25152RKP7

• 0% uncapped buffered underlying securities due March 2, 2020 linked to the S&P 500 index; via Deutsche Bank Securities Inc.; pricing Feb. 26; Cusip: 25152RKR3

• 23-25-month 0% capped leveraged currency-linked notes tied to the dollar relative to the euro; via Deutsche Bank Securities Inc.; Cusip: 25152RTW3

GOLDMAN SACHS GROUP, INC.

• 0% leveraged currency-linked notes due March 1, 2016 tied to the dollar relative to the euro; via Goldman Sachs & Co.; pricing Feb. 6; Cusip: 38147QTU0

• Notes due Feb. 28, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 20; Cusip: 38147QT89

• 0% notes due Feb. 28, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 23; Cusip 38147QT97

• Notes due Feb. 28, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 23; Cusip: 38147QT97

• Callable monthly index-linked range accrual notes due Feb. 27, 2019 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 38147QT71

• 0% trigger performance securities due Feb. 28, 2020 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 38148L551

• 0% trigger performance securities due Feb. 28, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 38148L577

• Callable monthly Russell 2000 index-linked range accrual notes due Feb. 27, 2025; via Goldman Sachs & Co.; pricing Feb. 25; Cusip: 38147QTL0

• Autocallable contingent coupon notes due March 11, 2025 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing Feb. 25; Cusip: 38147QSU1

• Callable monthly Russell 2000 index-linked range accrual notes due Feb. 27, 2025; via Goldman Sachs & Co.; settling Feb. 27; Cusip: 38147QTM8

• Callable monthly S&P 500 index-linked range accrual notes due Aug. 27, 2022; via Goldman Sachs & Co.; settling Feb. 27; Cusip: 38147QTQ9

• Callable step-up fixed-rate notes due February 2020; via Goldman Sachs & Co. and Incapital LLC; settlement in February; Cusip: 38147QTC0

• Callable step-up fixed-rate notes due February 2025; via Goldman Sachs & Co. and Incapital LLC; settlement in February; Cusip: 38147QTD8

• Callable step-up fixed-rate notes due February 2030; via Goldman Sachs & Co. and Incapital LLC; settling in February; Cusip: 38147QTG1

• 0% 60-month leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QSZ0

• 60-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QRY4

• 60-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QMM5

• 60-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147QER3

• 13-month 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QSV9

• 14-month 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 38147QTH9

• 0% 60-month leveraged buffered notes linked to the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; Cusip: 38147QQ90

• 0% digital notes due 13 to 16 months after issue linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.

• 24-month 0% leveraged buffered notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.; Cusip: 38147QRZ1

• 24- to 27-month 0% leveraged notes linked to the Topix index; via Goldman Sachs & Co.

HSBC USA INC.

• Callable step-up rate notes due Feb. 6, 2025; via HSBC Securities (USA) Inc.; settlement Feb. 6; Cusip: 40433BYH5

• Fixed-to-floating notes due Feb. 18, 2020; via HSBC Securities (USA) Inc.; settlement Feb. 18; Cusip: 40433BA65

• 0% SelectInvest debt securities due Feb. 24, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BYY8

• 0% SelectInvest debt securities due Feb. 26, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BZD3

• 0% SelectInvest debt securities due Feb. 24, 2016 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BYX0

• 0% SelectInvest debt securities due Feb. 26, 2018 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BZC5

• 0% SelectInvest debt securities due Feb. 24, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BYW2

• 0% SelectInvest debt securities due Feb. 26, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BZB7

• 0% SelectInvest debt securities due Feb. 24, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BYV4

• 0% SelectInvest debt securities due Feb. 26, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BZA9

• 0% SelectInvest debt securities due Feb. 24, 2016 linked to a basket of one exchange-traded fund and three indexes (S&P 500 index, Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets exchange-traded fund); via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BYZ5

• 0% SelectInvest debt securities due Feb. 26, 2018 linked to a basket of one exchange-traded fund and three indexes (S&P 500 index, Euro Stoxx 50 index, Russell 2000 index and iShares MSCI Emerging Markets exchange-traded fund); via HSBC Securities (USA) Inc.; pricing Feb. 19; Cusip: 40433BZE1

• 0% barrier Accelerated Market Participation Securities due Aug. 27, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYM4

• 0% barrier Accelerated Market Participation Securities due Aug. 27, 2018 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYN2

• 0% barrier Accelerated Market Participation Securities due Aug. 27, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYP7

• 0% barrier Accelerated Market Participation Securities due Aug. 27, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYQ5

• 0% buffered Accelerated Market Participation Securities due Aug. 25, 2017 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZW1

• 0% buffered Accelerated Market Participation Securities due Aug. 25, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZX9

• 0% buffered Accelerated Market Participation Securities due Aug. 25, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZV3

• 0% buffered Accelerated Market Participation Securities due Aug. 25, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZU5

• 0% leveraged buffered uncapped market participation securities due Aug. 27, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZK7

• 0% buffered uncapped market participation securities due Aug. 26, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZN1

• 0% buffered uncapped market participation securities due Feb. 25, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYT9

• 0% buffered uncapped market participation securities due Feb. 25, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYS1

• 0% buffered uncapped market participation securities due Feb. 25, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZJ0

• 0% buffered uncapped market participation securities due Feb. 26, 2018 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZL5

• 0% leveraged buffered uncapped market participation securities due Feb. 25, 2020 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZM3

• Income plus notes due Feb. 25, 2022 linked to Altria Group, Inc., Apple Inc., Kraft Foods Group Inc., Microsoft Corp. and Ford Motor Co.; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZF8

• 0% buffered Accelerated Market Participation Securities due Feb. 27, 2017 linked to the Energy Select Sector SPDR Fund; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZS0

• 0% buffered Accelerated Market Participation Securities due Feb. 27, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZT8

• 0% buffered Accelerated Market Participation Securities due Feb. 27, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZR2

• 0% buffered Accelerated Market Participation Securities due Feb. 27, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BZQ4

• 0% buffered uncapped market participation securities due Feb. 25, 2020 linked to equal weights of the S&P 500 index, the Euro Stoxx 50 index and the Hang Seng China Enterprises index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BYU6

• 0% performance barrier notes due Aug. 27, 2018 linked to the FTSE 100 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433BA73

• 0% trigger return optimization securities due Feb. 28, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40434F363

• 0% trigger performance securities due Feb. 28, 2019 linked to the S&P 500 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40434F371

• 0% trigger performance securities due Feb. 28, 2020 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 25; Cusip: 40434F397

• 0% trigger performance securities due Feb. 28, 2020 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Feb. 25; Cusip: 40434F413

• 0% Performance Leveraged Upside Securities due June 2, 2016 linked to the Energy Select Sector SPDR Fund; via agent HSBC Securities (USA) Inc. and distributor Morgan Stanley Wealth Management; pricing Feb. 27; Cusip: 40434F439

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

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

• 0% Accelerated Return Notes due February 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

• Capped Leveraged Index Return Notes due February 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

• Four- to five-year 0% lookback allocator notes linked to the S&P 500, Euro Stoxx 50 and Hang Seng China Enterprises indexes; via HSBC Securities (USA) Inc.; pricing in February; Cusip: 40433BA40

JPMORGAN CHASE & CO.

• 0% capped return enhanced notes due Aug. 10, 2016 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 48127D6V5

• Contingent interest autocallable securities due Feb. 24, 2016 linked to AbbVie Inc.; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48125UBQ4

• Contingent income autocallable securities due Feb. 9, 2018 linked to Apple Inc. shares; 80% trigger; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip number is 48127R628

• Contingent interest autocallable securities due Feb. 24, 2016 linked to Biogen Idec Inc.; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48125UBR2

• 0% relative value notes due Feb. 24, 2016 linked to the capped upside return of a basket of indexes (Financial Select Sector index, Health Care Select Sector index and Consumer Discretionary Select Sector index) and the downside return of the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48125UBU5

• Contingent interest autocallable securities due Feb. 24, 2016 linked to Macy’s, Inc.; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48125UBS0

• Contingent income autocallable securities due Feb. 11, 2016 linked to Netflix, Inc. shares; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48127R636

• Autocallable contingent interest notes due Feb. 9, 2018 linked to the S&P GSCI Crude Oil Index Excess Return; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48127DQF8

• Autocallable contingent interest notes due Feb. 9, 2018 linked to Walt Disney Co. and CBS Corp.; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48125UAG7

• 0% return notes due Feb. 24, 2016 linked to the JPX-Nikkei Index 400; via J.P. Morgan Securities Inc.; pricing Feb. 6; Cusip: 48125UBT8

• Contingent income autocallable securities due Feb. 11, 2016 linked to American Airlines Group, Inc. shares; 65% trigger; via J.P. Morgan Securities LLC; pricing Feb. 6; Cusip: 48127R545

• 0% trigger jump securities due Feb. 16, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Feb. 13; Cusip: 48127R560

• Callable step-up fixed-rate notes due Feb. 18, 2020; via J.P. Morgan Securities LLC; pricing Feb. 13; Cusip: 48127DQD3

• Callable step-up fixed-rate notes due Feb. 19, 2020; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48127DQE1

• Callable step-up fixed-rate notes due Feb. 19, 2025; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48127DQC5

• Callable step-up fixed-rate notes due Feb. 19, 2030; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48127DQB7

• Autocallable contingent interest notes due Feb. 22, 2018 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 18; Cusip: 48125UBH4

• 0% review notes due Feb. 25, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 20; Cusip: 48127D7L6

• 0% contingent buffered return enhanced notes due Aug. 23, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 65% trigger; via J.P. Morgan Securities LLC; pricing Feb. 20; Cusip: 48127D7M4

• 0% contingent buffered equity notes due Feb. 28, 2020 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UBF8

• 0% review notes due March 1, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAQ5

• 0% uncapped buffered return enhanced notes due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAX0

• 0% uncapped buffered return enhanced notes due Feb. 28, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAW2

• 0% uncapped contingent buffered equity notes due Feb. 28, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAY8

• Callable range accrual notes due Feb. 27, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48127DQH4

• 0% digital notes due Aug. 31, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UBE1

• 0% buffered return enhanced notes due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAX0

• 0% capped buffered return enhanced notes due Feb. 28, 2017 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAT9

• 0% capped buffered return enhanced notes due Feb. 28, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAU6

• 0% buffered return enhanced notes due Feb. 28, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAW2

• 0% capped buffered return enhanced notes due Feb. 28, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAV4

• Autocallable contingent interest notes due May 27, 2016 linked to the S&P 500 index and the iShares MSCI Brazil Capped exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAP7

• Autocallable contingent interest notes due May 27, 2016 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48125UAN2

• 0% trigger return optimization securities due Feb. 28, 2018 linked to the S&P MidCap 400 index; 80% trigger; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48127R552

• 0% trigger performance securities due Feb. 28, 2020 linked to the DAX index; 75% trigger; via J.P. Morgan Securities LLC; pricing Feb. 25; Cusip: 48127R537

• 0% Performance Leveraged Upside Securities due June 2, 2016 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing Feb. 27; Cusip: 48127R669

• 0% Performance Leveraged Upside Securities due June 2, 2016 linked to the iShares U.S. Real Estate exchange-traded fund; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Feb. 27; Cusip: 48127R651

• 0% trigger Performance Leveraged Upside Securities due March 2, 2018 linked to the iShares U.S. Real Estate exchange-traded fund; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Feb. 27; Cusip: 48127R594

• 0% Performance Leveraged Upside Securities due June 2, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Feb. 27; Cusip: 48127R677

MORGAN STANLEY

• Contingent income autocallable securities due Feb. 9, 2018 linked to Chevron Corp. shares; 80% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing Feb. 6; Cusip: 61764V158

• Contingent income autocallable securities due Feb. 9, 2018 linked to Halliburton Co. shares; 75% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing Feb. 6; Cusip: 61764V166

• Contingent income autocallable securities due Feb. 21, 2017 linked to the common stock of Chesapeake Energy Corp.; via Morgan Stanley & Co. LLC; pricing Feb. 13; Cusip: 61761JWK1

• Contingent income autocallable securities due Feb. 16, 2018 linked to the S&P GSCI Crude Oil Index - Excess Return; via Morgan Stanley & Co. LLC; pricing Feb. 13; Cusip: 61762GDA9

• Contingent income autocallable securities due Feb. 21, 2017 linked to the common stock of Tesla Motors, Inc.; via Morgan Stanley & Co. LLC; pricing Feb. 13; Cusip: 61761JWJ4

• Floating-rate CMS curve and Russell 2000 index-linked notes due Feb. 27, 2035; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61760QFR0

• Contingent income autocallable cannon securities due Feb. 27, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61761JWR6

• Contingent income securities due Feb. 27, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61761JWP0

• Contingent income participation securities due Feb. 27, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61761JWQ8

• Contingent income autocallable securities due Feb. 27, 2030 linked to the worst performing of the Russell 2000 index and the S&P GSCI Crude Oil Index - Excess Return; 50% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing Feb. 24; Cusip: 61761JWN5

• 0% trigger Performance Leveraged Upside Securities due Feb. 27, 2023 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61761JWM7

• Contingent income autocallable securities due Feb. 27, 2025 linked to the S&P GSCI Crude Oil Index - Excess Return; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61762GDB7

• 0% Buffered Performance Leveraged Upside Securities due March 4, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Feb. 27; 61764M844

• 0% dual directional trigger Performance Leveraged Upside Securities due March 4, 2021 linked to the S&P 500 index; 65% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing Feb. 27; 61764M810

• 0% trigger jump securities due March 4, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Feb. 27; Cusip: 61764M851

• 0% trigger jump securities due March 4, 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 27; Cusip: 61764M828

• Contingent income autocallable securities due August 2015 linked to the S&P GSCI Crude Oil Index - Excess Return; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61762GDC5

ROYAL BANK OF CANADA

• Contingent income autocallable securities due Feb. 11, 2016 linked to salesforce.com, inc.; via RBC Capital Markets, LLC; pricing Feb. 6; Cusip: 780082368

• 0% buffered market participation securities due Feb. 26, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 20; Cusip: 40433BA57

• Redeemable step-up notes due Feb. 23, 2023; via RBC Capital Markets, LLC; settling Feb. 23; Cusip: 78012KAF4

• 0% buffered bullish enhanced return notes due Feb. 27, 2019 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Feb. 25; Cusip: 78012KBB2

• 0% buffered bullish enhanced return notes due Feb. 27, 2020 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Feb. 25; Cusip: 78012KBC0

HSBC USA Inc.

• Redeemable step-up notes due Feb. 25, 2028; via RBC Capital Markets, LLC; settling Feb. 25; Cusip: 78012KAE7

• 0% Performance Leveraged Upside Securities due June 2, 2016 linked to the Russell 2000 index; via RBC Capital Markets, LLC; pricing Feb. 27; Cusip: 780082376

• 0% Performance Leveraged Upside Securities due June 2016 linked to the WisdomTree India Earning Fund, the iShares MSCI Malaysia ETF, the iShares MSCI Taiwan ETF, the iShares MSCI South Korea Capped ETF and the iShares China Large-Cap ETF; via agent RBC Capital Markets, LLC and distributor Morgan Stanley Wealth Management; pricing Feb. 27; Cusip: 780082384

• 9% STEP Income Securities due February 2016 linked to JetBlue Airways Corp.; via BofA Merrill Lynch; pricing in February

• 10% STEP Income Securities due February 2016 linked to United Rentals, Inc. shares; via BofA Merrill Lynch; pricing in February

TORONTO-DOMINION BANK

• Callable step-up notes due Feb. 26, 2022; via TD Securities (USA) LLC; pricing Feb. 23; Cusip: 89114QSI0

• Callable step-up notes due Feb. 26, 2020; via TD Securities (USA) LLC; pricing Feb. 23; Cusip: 89114QSH2

• Callable step-up notes due Feb. 26, 2025; via TD Securities (USA) LLC; pricing Feb. 23; Cusip: 89114QSJ8

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due Feb. 11, 2016 linked to Blackstone Group LP; via UBS Securities LLC; pricing Feb. 6; Cusip: 90274F833

• Contingent income autocallable securities due Feb. 11, 2016 linked to United Continental Holdings, Inc.; via UBS Securities LLC; pricing Feb. 6; Cusip: 90274F825

• Trigger phoenix autocallable optimization securities due Feb. 12, 2020 linked to Apple Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 6; Cusip: 90274P104

• Trigger phoenix autocallable optimization securities due Feb. 12, 2020 linked to International Paper Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 6; Cusip: 90274P138

• Trigger phoenix autocallable optimization securities due Feb. 12, 2020 linked to Nike, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 6; Cusip: 90274P112

• Trigger phoenix autocallable optimization securities due Feb. 12, 2020 linked to Royal Caribbean Cruises Ltd.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 6; Cusip: 90274P120

• Trigger phoenix autocallable optimization securities due Feb. 20, 2025 linked to the least performing of the Euro Stoxx 50 index and the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 13; Cusip: 90274F858

• Trigger phoenix autocallable optimization securities due Feb. 20, 2025 linked to the least performing of the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 13; Cusip: 90274F841

• 0% contingent return optimization securities due Feb. 28, 2018 linked to the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 24; Cusip: 90274F866

WELLS FARGO & CO.

• Autocallable access securities with contingent coupon and contingent downside due March 2, 2017 linked to the Market Vectors Oil Services ETF; via Wells Fargo LLC; pricing Feb. 24; Cusip: 94986RVV0

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Sept. 8, 2020 linked to the SPDR S&P 500 ETF Trust; via Wells Fargo Securities LLC; pricing Feb. 27; Cusip: 94986RVU2


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