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Published on 3/4/2015 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

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

• 0% Accelerated Return notes due May 2016 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

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

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

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

• 0% autocallable market-linked step-up notes due March 2018 tied to the S&P 500 index; via BofA Merrill Lynch; pricing in March

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

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

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

BANK OF MONTREAL

• 0% oil markets equity-linked notes due Sept. 12, 2016 tied to equal weights of Basic Energy Services, Inc., Bonanza Creek Energy, Inc., Chevron Corp., Concho Resources Inc., Energy Transfer Equity, LP, Chart Industries, Inc., LinnCo, LLC, Nabors Industries Ltd., Oasis Petroleum Inc., Occidental Petroleum Corp., Plains GP Holdings, LP, Phillips 66, Patterson-UTI Energy, Inc., RSP Permian, Inc., Targa Resources Corp., Valero Energy Corp. and Whiting Petroleum Corp.; via BMO Capital Markets Corp. with Raymond James; settlement March 11; Cusip: 06366RB53

• 0% notes due April 8, 2016 linked to the BMO Q-30 Strategy; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RC94

• 0% contingent risk absolute return notes due March 31, 2021 linked to the Euro Stoxx 50 index; 65% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RD36

• Tracking notes due April 8, 2016 linked to the Morningstar MLP Composite index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RD28

• 0% buffered bullish enhanced return notes due March 29, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RB95

• 0% buffered bullish enhanced return notes due March 29, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RB87

• 0% buffered bullish enhanced return notes due March 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; 85% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RC45

• 0% contingent risk absolute return notes due March 31, 2021 linked to the iShares MSCI EAFE ETF; 70% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RC29

• 0% buffered bullish enhanced return notes due March 31, 2017 linked to the Russell 2000 index; 90% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RC52

• 0% contingent risk absolute return notes due March 31, 2021 linked to the S&P 500 index; 65% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RC37

• 0% contingent risk absolute return notes due March 31, 2021 linked to the S&P 500 index; 75% trigger; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RD44

• 0% buffered bullish enhanced return notes due March 31, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing March 26; Cusip: 06366RB79

BANK OF NOVA SCOTIA

• Floored and capped floating-rate notes due March 13, 2020; via Scotia Capital (USA) Inc.; pricing March 10; Cusip: 064159GF7

• 0% equity-linked index notes due March 20, 2018 linked to the Raymond James Analyst Current Favorites Total Return index; via Scotia Capital (USA) Inc.; pricing March 20; Cusip: 064159GG5

BARCLAYS BANK PLC

• Fixed-to-floating notes due March 11, 2020; via Barclays; pricing March 6; Cusip: 06741URV8

• Contingent income autocallable securities due March 9, 2018 linked to Applied Materials, Inc. shares; via Barclays with Morgan Stanley Wealth Management handling distribution; pricing March 6; Cusip: 06743P822

• Contingent income autocallable securities due March 10, 2016 linked to Tesoro Corp. shares; via Barclays with Morgan Stanley Wealth Management handling distribution; pricing March 6; Cusip: 06743P814

• Phoenix autocallable notes due March 30, 2016 linked to Bank of America Corp. shares; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 6; Cusip: 06741USG0

• Phoenix autocallable notes due March 30, 2016 linked to MGM Resorts International shares; via Barclays with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 6; Cusip: 06741USH8

• Step-up fixed-rate callable notes due March 18, 2025; via Barclays; pricing March 13; Cusip: 06741URU0

• Trigger phoenix autocallable optimization securities due March 19, 2025 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing March 13; Cusip: 06743P749

• Trigger phoenix autocallable optimization securities due March 19, 2025 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing March 13; Cusip: 06743P756

• Callable contingent coupon notes due March 23, 2017 linked to Microsoft Corp. shares; via Barclays; pricing March 20; Cusip: 06741WAG5

• Callable contingent payment notes due March 29, 2018 linked to the least performing of the S&P 500 index and the Market Vectors Oil Services exchange-traded fund; via Barclays; pricing March 20; Cusip: 06741URR7

• Step-up callable notes due March 31, 2025 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing March 26; Cusip: 06741USB1

• Phoenix autocallable notes due March 31, 2025 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing March 26; Cusip: 06741USC9

• 0% buffered Super Track notes due March 31, 2020 linked to the Dow Jones industrial average; via Barclays; pricing March 26; Cusip: 06741URX4

• 0% buffered Super Track notes due March 31, 2020 linked to the S&P 500 index; via Barclays; pricing March 26; Cusip: 06741URW6

• 0% trigger performance securities due March 31, 2020 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and Barclays; pricing March 26; Cusip: 06743P764

• 0% buffered Super Track notes due Sept. 29, 2017 linked to the Russell 2000 index; via Barclays; pricing March 27; Cusip: 06741URZ9

• 0% Accelerated Return Notes due May 2016 linked to the JPX-Nikkei 400 index; via BofA Merrill Lynch; pricing in March

• 0% capped Leveraged Index Return notes due March 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in March

• 0% Capped Leveraged Index Return Notes due March 2017 linked to the S&P 500, MSCI EAFE and MSCI Emerging Markets indexes; via BofA Merrill Lynch; pricing in March

• 0% Capped Leveraged Index Return Notes due March 2017 linked to the S&P 500, MSCI EAFE and MSCI Emerging Markets indexes; via BofA Merrill Lynch; pricing in March

• 0% capped leveraged buffered notes linked to the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Tokyo Stock Price 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: 06741URQ9

CANADIAN IMPERIAL BANK OF COMMERCE

• Redeemable step-up notes due March 31, 2025; via Janney Montgomery Scott LLC; pricing March 26; Cusip: 13605WAJ0

• Redeemable step-up notes due March 31, 2020; via Janney Montgomery Scott LLC; pricing March 26; Cusip: 13605WAH4

CITIGROUP INC.

• Non-callable floating-rate notes due March 13, 2020; via Citigroup Global Markets Inc.; pricing March 10; Cusip: 1730T05F2

• Autocallable contingent coupon equity-linked securities due March 19, 2020 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing March 16; Cusip: 1730T05N5

• Callable step-up coupon notes due March 26, 2020; via Citigroup Global Markets Inc.; pricing March 23; Cusip: 1730T05L9

• Callable step-up coupon notes due March 30, 2020; via Citigroup Global Markets Inc.; pricing March 25; Cusip: 1730T05Z8

• 0% trigger performance securities due March 29, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via UBS Financial Services Inc. and Citigroup Global Markets Inc.; pricing March 26; Cusip: 17323B778

• 0% contingent return optimization securities due March 29, 2018 linked to the S&P 500 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing March 26; Cusip: 17323B760

• 0% trigger return optimization securities due March 29, 2018 linked to the S&P MidCap 400 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing March 26; Cusip: 17323B752

CREDIT SUISSE AG

• 0% dual directional buffered return enhanced notes due Sept. 14, 2016 linked to the S&P 500 index; via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA; pricing March 6; Cusip: 22546V6S0

• 0% dual directional capped knock-out notes due Sept. 14, 2016 linked to the S&P 500 index; via J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA; pricing March 6; Cusip: 22546V6R2

• 8%-10% autocallable reverse convertible securities due March 14, 2016 linked to Alexion Pharmaceuticals, Inc.; via Credit Suisse Securities (USA) LLC; pricing March 10; Cusip: 22546V6J0

• 11% to 13% autocallable reverse convertible securities due March 14, 2016 linked to GameStop Corp. shares; via Credit Suisse Securities (USA) LLC; pricing March 10; Cusip: 22546V6Q4

• 0% absolute return barrier securities due March 29, 2021 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing March 20; Cusip: 22547QZ90

• 0% accelerated barrier notes due March 29, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing March 20; Cusip: 22546V6D3

• Contingent coupon callable yield notes due March 27, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 20; Cusip: 22546V6C5

• Contingent coupon callable yield notes due March 27, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 20; Cusip: 22546V6A9

• Coupon digital barrier notes due March 29, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 20; Cusip: 22546V3L8

• 8% to 10% autocallable reverse convertible securities due March 28, 2016 linked to Delta Air Lines, Inc. shares; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing March 23; Cusip: 22546V6K7

• High/low coupon callable yield notes due Sept. 30, 2016 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22546V5X0

• 0% digital plus buffered notes due March 31, 2021 linked to the Dow Jones industrial average; via Credit Suisse Securities (USA) LLC; pricing March 27; Cusip: 22546V5Z5

• 0% digital buffered notes due Oct. 1, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing March 27; Cusip: 22546V5Y8

• 0% buffered Performance Leveraged Upside Securities due April 6, 2018 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing March 31; Cusip: 06743P830

• 0% autocallable trigger Performance Leveraged Upside Securities due April 6, 2018 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing March 31; Cusip: 06743P798

• 0% absolute return barrier securities due March 31, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 26; Cusip: 22546V5W2

• 0% absolute return barrier securities due April 3, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22546V5U6

• High/low coupon callable yield notes due Oct. 6, 2016 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing March 31; Cusip: 22546V5R3

DEUTSCHE BANK AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Sept. 12, 2016 linked to HCA Holdings, Inc. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 6; Cusip: 25190E387

• Trigger phoenix autocallable optimization securities due Sept. 12, 2016 linked to WhiteWave Foods Co. common stock; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 6; Cusip: 25190E395

• Call warrants expiring March 9, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing March 6; Cusip: 25190E379

Deutsche Bank Securities Inc.; pricing March 26; Cusip: 2515A1MH1

• 0% trigger performance securities due March 31, 2025 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 26; Cusip: 25190E353

• 0% trigger performance securities due March 29, 2019 linked to the S&P 500 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 26; Cusip: 25190E361

• 0% trigger performance securities due March 31, 2020 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing March 27; Cusip: 25190E346

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

• 0% autocallable market-linked step-up notes due April 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in March

GOLDMAN SACHS GROUP, INC.

• 0% notes due March 30, 2016 linked to the JPX-Nikkei Index 400; via Goldman Sachs & Co.; pricing March 6; Cusip: 38147QW36

• 0% index-linked trigger notes due March 30, 2016 tied to the S&P 500 index; via Goldman Sachs & Co.; pricing March 6; Cusip: 38147QW51

• 0% leveraged notes due March 30, 2016 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing March 6; Cusip: 38147QW44

• Notes due March 27, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing March 20; Cusip: 38147QV94

• 0% leveraged notes due Sept. 29, 2022 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing March 26; Cusip: 38147QVM5

• 0% trigger performance securities due March 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co.; pricing March 26; Cusip: 38146U223

• Callable buffered monthly Russell 2000 index-linked range accrual notes due Sept. 30, 2022; via Goldman Sachs & Co.; pricing March 26; Cusip: 38147QVR4

• 0% autocallable index-linked notes due March 29, 2018 tied to the Euro Stoxx 50 index and the S&P 500 index; via Goldman Sachs & Co.; pricing March 26; Cusip: 38147QVY9

• Notes due April 1, 2021 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QW77

• 0% buffered digital notes due Oct. 2, 2017 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing March 27; Cusip: Cusip: 38147QW85

• Callable monthly Russell 2000 index-linked range accrual notes due March 31, 2025; 50% trigger; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QVC7

• Callable monthly Russell 2000 index-linked range accrual notes due March 31, 2025; via Goldman Sachs & Co.; pricing March 27; Cusip: 38147QVD5

• Callable step-up fixed-rate notes due March 2027; via Goldman Sachs & Co. and Incapital LLC; pricing in March; Cusip: 38147QVL7

• Callable step-up fixed-rate notes due March 2035; via Goldman Sachs & Co.; pricing in March; Cusip: 38147QVG8

• 0% digital notes due between 53 and 60 weeks after issue linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

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

• 0% 60-month leveraged buffered notes linked to the MSCI EAFE index; 75% trigger; via Goldman, Sachs & Co.; Cusip: 38147QU38

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

• 0% five-year leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QU46

• 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

HSBC USA INC.

• 0% trigger performance securities due Sept. 12, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing March 6; Cusip: 40434F116

• Contingent income autocallable securities due March 10, 2016 linked to Valero Energy Corp. shares; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management handling distribution; pricing March 6; Cusip: 40434F215

• Fixed-to-floating notes due March 18, 2020; via HSBC Securities (USA) Inc.; settlement March 18; Cusip: 40433BF94

• 0% SelectInvest debt securities due March 28, 2016 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC55

• 0% SelectInvest debt securities due March 26, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BD21

• 0% barrier Accelerated Market Participation Securities due Sept. 27, 2018 linked to the Euro Stoxx 50 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BG44

• 0% leveraged buffered uncapped market participation securities due March 25, 2020 linked to the Hang Seng China Enterprises index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BE46

• 0% SelectInvest debt securities due March 28, 2016 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC48

• 0% SelectInvest debt securities due March 26, 2018 linked to the iShares MSCI Emerging Markets ETF; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC97

• 0% barrier Accelerated Market Participation Securities due Sept. 27, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; 75% trigger; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BG51

• 0% SelectInvest debt securities due March 28, 2016 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC30

• 0% SelectInvest debt securities due March 26, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC89

• 0% barrier Accelerated Market Participation Securities due Sept. 27, 2018 linked to the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BG36

• 0% SelectInvest debt securities due March 28, 2016 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC22

• 0% SelectInvest debt securities due March 26, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BC71

• 0% buffered market participation securities due March 26, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BYE2

• 0% barrier Accelerated Market Participation Securities due Sept. 27, 2018 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing March 20; Cusip: 40433BG28

• 0% SelectInvest debt securities due March 28, 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); pricing March 20; Cusip: 40433BC63

• 0% SelectInvest debt securities due March 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); pricing March 20; Cusip: 40433BD39

• Income plus notes due March 28, 2022 linked to a basket of common stocks of Altria Group, Inc., Apple Inc., Ford Motor Co., Kraft Foods Group Inc. and Microsoft Corp.; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BD47

• 0% buffered Accelerated Market Participation Securities due March 27, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE87

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF45

• 0% leveraged buffered uncapped market participation securities due Sept. 26, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BD88

• 0% leveraged buffered uncapped market participation securities due Sept. 26, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE38

• 0% buffered Accelerated Market Participation Securities due March 27, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE79

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF37

• 0% leveraged buffered uncapped market participation securities due March 26, 2018 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) LLC; pricing March 23; Cusip: 40433BD96

• 0% leveraged buffered uncapped market participation securities due March 26, 2020 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) LLC; pricing March 23; Cusip: 40433BE20

• 0% buffered uncapped market participation securities due March 26, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BB80

• 0% buffered Accelerated Market Participation Securities due March 27, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE61

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF29

• 0% buffered Accelerated Market Participation Securities due March 27, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE53

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE95

• 0% buffered uncapped market participation securities due March 26, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BD70

• 0% buffered uncapped market participation securities due March 26, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BB72

• 6% autocallable yield notes due June 27, 2016 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BD62

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF45

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the Energy Select Sector SPDR Fund; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF37

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BF29

• 0% buffered Accelerated Market Participation Securities due Sept. 26, 2017 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE95

• 0% leveraged buffered uncapped market participation securities due Sept. 26, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 23; Cusip: 40433BE38

• 0% buffered uncapped market participation securities due March 27, 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 March 24; Cusip: 40433BB98

• 0% performance barrier notes due Oct. 1, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing March 26; Cusip: 40433BG77

• 0% buffered digital notes due Oct. 1, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing March 27; Cusip: 40433BG69

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to the Russell 2000 index; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 40434F199

• 0% dual directional trigger Performance Leveraged Upside Securities due April 6, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing March 31; Cusip: 40434F173

• 0% trigger jump securities due April 6, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing March 31; Cusip: 40434F181

• 0% barrier leveraged tracker notes due March 2018 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing in March; Cusip: 40433BG85

• Floating-rate autocallable yield notes due March 2020 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing in March; Cusip: 40433BB56

JPMORGAN CHASE & CO.

• Contingent income autocallable securities due March 9, 2018 linked to Apple Inc. shares; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing March 6; Cusip: 48127R164

• Callable range accrual notes due March 13, 2030 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing March 10; Cusip: 48127DQP6

• Callable step-up fixed-rate notes due March 17, 2023; via J.P. Morgan Securities LLC; pricing March 12; Cusip: 48125UCM2

• 0% buffered return enhanced notes due March 17, 2020 linked to the S&P 500 index; 85% trigger; via J.P. Morgan Securities LLC; pricing March 12; Cusip: 48125UFF4

• Trigger phoenix autocallable optimization securities due March 19, 2025 linked to the least performing of the MSCI EAFE index and the Russell 2000 index; 50% trigger; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing March 13; Cusip: 48127R156

• Autocallable contingent interest notes due March 16, 2018 linked to the S&P GSCI Crude Oil Index Excess Return; 70% trigger; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing March 13; Cusip: 48125UCQ3

• Autocallable contingent interest notes due March 16, 2018 linked to the S&P GSCI Crude Oil Index Excess Return; via J.P. Morgan Securities LLC; pricing March 13; Cusip: 48125UCR1

• Autocallable reverse exchangeable notes due June 22, 2016 linked to Apple Inc. shares; via J.P. Morgan Securities LLC; pricing March 17; Cusip: 48125UHL9

• 9.5% autocallable single observation reverse exchangeable notes due Sept. 22, 2016 linked to Keurig Green Mountain, Inc. shares; via J.P. Morgan Securities LLC; pricing March 19; Cusip: 48125UGR7

• 0% review notes due March 25, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 20; Cusip: 48125UGH9

• 0% capped contingent buffered return enhanced notes due Sept. 23, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 20; Cusip: 48125UGQ9

• Callable range accrual notes due March 29, 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 March 26; Cusip: 48125UCP5

JPMorgan Chase & Co.

• Trigger phoenix autocallable optimization securities due March 11, 2020 linked to Anadarko Petroleum Corp. shares; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing March 6; Cusip: 48127T509

• Trigger phoenix autocallable optimization securities due March 11, 2020 linked to Hewlett-Packard Co. shares; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing March 6; Cusip: 48127T608

• 0% capped return enhanced notes due March 23, 2016 linked to the performance of the dollar relative to the euro; via J.P. Morgan Securities LLC; pricing March 6; Cusip: 48125UCS9

• Trigger phoenix autocallable optimization securities due March 11, 2020 linked to Hilton Worldwide Holdings Inc. shares; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing March 6; Cusip: 48127T707

• Contingent income autocallable securities due Sept. 17, 2015 linked to the S&P GSCI Crude Oil Index - Excess Return; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing March 13; Cusip: 48125UCT7

• 0% contingent return optimization securities due March 29, 2018 linked to the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127R115

• 0% return optimization securities due April 29, 2016 linked to the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127R123

• 0% trigger return optimization securities due March 29, 2018 linked to the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing March 26; Cusip: 48127T202

• Contingent coupon callable yield notes due March 29, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund; 65% trigger; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHN5

• 0% trigger return optimization securities due March 29, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC with UBS Financial Services Inc.; pricing March 27; Cusip: 48127T103

• 0% Performance Leveraged Upside Securities due May 4, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 31; Cusip: 48127R131

• 0% capped buffered return enhanced notes due Dec. 30, 2016 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGW6

• 0% capped buffered return enhanced notes due Dec. 30, 2016 linked to the iShares MSCI EAFE ETF; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGT3

• 0% capped buffered return enhanced notes due Dec. 30, 2016 linked to the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGU0

• 0% return notes due April 29, 2016 linked to the J.P. Morgan U.S. Long Equity Dynamic Overlay 80 Index (Series 1); via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGY2

• 0% capped buffered return enhanced notes due Dec. 30, 2016 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGS5

• 0% digital notes due March 29, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UKH1

• 0% uncapped contingent buffered return enhanced notes due March 31, 2020 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHJ4

• Autocallable contingent interest notes due June 30, 2016 linked to the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHA3

• 0% uncapped buffered return enhanced notes due March 29, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGX4

• 0% uncapped contingent buffered return enhanced notes due March 31, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHG0

• 0% uncapped contingent buffered return enhanced notes due March 31, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHF2

• 0% uncapped contingent buffered return enhanced notes due March 31, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHH8

• Autocallable contingent interest notes due June 30, 2016 linked to the S&P 500 index and the iShares MSCI Brazil Capped exchange-traded fund; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHB1

• Autocallable contingent interest notes due June 30, 2016 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UGZ9

• 0% review notes due March 29, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHC9

• Callable contingent interest notes due April 4, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing March 26; Cusip: 48125UHM7

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 48127'2

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 48127R180

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to the WisdomTree Japan Hedged Equity Fund; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 48127R149

MORGAN STANLEY

• Contingent income autocallable securities due March 10, 2016 linked to Melco Crown Entertainment Ltd.; via Morgan Stanley & Co. LLC; pricing March 6; Cusip: 61764V372

• Contingent income autocallable securities due March 20, 2017 linked to the common stock of Seadrill Ltd.; via Morgan Stanley & Co. LLC; pricing March 13; Cusip: 61761JXN4

• Contingent income autocallable securities due March 16, 2018 linked to the S&P GSCI Crude Oil Index – Excess Return; via Morgan Stanley & Co. LLC; pricing March 13; Cusip: 61762GDJ0

• 0% trigger autocallable optimization securities due March 19, 2020 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing March 13; Cusip: 61764V380

• Contingent income autocallable securities due March 16, 2018 linked to the S&P GSCI Crude Oil Index - Excess Return; 60% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing March 13; Cusip: 61762GDJ0

• 0% trigger performance securities due March 31, 2020 linked to the Bloomberg Commodity Index 3 Month Forward; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing March 26; Cusip: 61764V398

• Contingent income autocallable securities due March 31, 2025 linked to the Russell 2000 index and the S&P GSCI Crude Oil Index – Excess Return; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXG9

• Contingent income autocallable securities due March 31, 2025 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 March 26; Cusip: 61761JXG9

• 0% trigger Performance Leveraged Upside Securities due March 31, 2025 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXH7

• Contingent income autocallable securities due March 29, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXJ3

• Contingent income autocallable cannon securities due March 29, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXK0

• Contingent income securities due March 29, 2030 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXF1

• 0% trigger Performance Leveraged Upside Securities due March 31, 2025 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXE4

• Contingent income autocallable step-up securities due March 31, 2025 linked to the S&P GSCI Crude Oil Index – Excess Return; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61762GDG6

• 0% trigger Performance Leveraged Upside Securities due March 31, 2025 linked to the S&P GSCI Crude Oil Index – Excess Return; pricing March 26; Cusip: 61762GDH4

• Contingent income autocallable securities due March 31, 2025 linked to the worst performing of the S&P GSCI Crude Oil Index - Excess Return and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing March 26; Cusip: 61761JXJ9

• Fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due March 31, 2035; via Morgan Stanley & Co. LLC; settling March 31; Cusip: 61760QFU3

• 0% equity-linked partial principal at risk securities due April 5, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing March 31; Cusip: 61764V364

• 0% securities with leveraged upside participation to a cap and fixed percentage buffered downside due April 6, 2020 linked to the SPDR S&P 500 ETF Trust; via Morgan Stanley & Co. LLC and Wells Fargo Securities LLC; pricing March 31; Cusip: 61761JXQ7

ROYAL BANK OF CANADA

• Phoenix autocallable notes due March 24, 2016 linked to Alcoa Inc. shares; via RBC Capital Markets, LLC with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing March 5; Cusip: 78012KCJ4

• 0% buffered bullish enhanced return notes due March 15, 2019 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing March 12; Cusip: 78012KBP1

• Redeemable step-up notes due March 17, 2025; via RBC Capital Markets, LLC; pricing March 13; Cusip: 78012KAK3

• Collared floating-rate notes due March 13, 2020; via RBC Capital Markets, LLC; settling March 13; Cusip: 78012KCD7

• Redeemable step-up notes due March 19, 2021; via RBC Capital Markets, LLC; settling March 19; Cusip: 78012KAL1

• 0% trigger performance securities due March 29, 2019 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 780082673

• 0% airbag performance securities due March 31, 2020 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 780082681

• 0% trigger return optimization securities due March 29, 2018 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 780082590

• 0% contingent return optimization securities due March 31, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing March 26; Cusip: 780082608

• Redeemable step-up notes due March 27, 2028; via RBC Capital Markets, LLC; settlement March 27; Cusip: 78012KAJ6

• 0% buffered bullish enhanced return notes due March 31, 2020 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing March 27; Cusip: 78012KCE5

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to the Energy Select Sector SPDR Fund; via RBC Capital Markets, LLC and Morgan Stanley Smith Barney LLC; pricing March 31; Cusip: 780082582

• 0% Performance Leveraged Upside Securities due July 6, 2016 linked to a basket of the WisdomTree India Earnings 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 RBC Capital Markets, LLC with Morgan Stanley Wealth Management handling distribution; pricing March 31; Cusip: 780082574

• 0% Strategic Accelerated Redemption Securities due March 2016 linked to Apple Inc. shares; via BofA Merrill Lynch; pricing in March

• 0% Leveraged Index Return notes due March 2020 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in March

• 8% STEP Income Securities due March 2016 linked to General Motors Co. shares; via BofA Merrill Lynch; pricing in March

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

• 0% Accelerated Return Notes due May 2016 linked to the S&P MidCap 400 index; via BofA Merrill Lynch; pricing in March

AB SVENSK EXPORTKREDIT

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

TORONTO-DOMINION BANK

• Callable step-up notes due March 31, 2018; via TD Securities (USA) LLC; pricing March 26; Cusip: 89114QSN9

• Callable step-up notes due March 31, 2020; via TD Securities (USA) LLC; pricing March 26; Cusip: 89114QSP4

• Callable step-up notes due March 31, 2022; via TD Securities (USA) LLC; pricing March 26; Cusip: 89114QSQ2

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due March 10, 2016 linked to Gilead Sciences, Inc. shares; via UBS Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing March 6; Cusip: 90274P336

• 0% contingent absolute return autocallable optimization securities due March 15, 2016 linked to LinkedIn Corp. shares; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 6; Cusip: 90274P419

• 0% contingent absolute return autocallable optimization securities due March 15, 2016 linked to Trinity Industries, Inc. shares; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 6; Cusip: 90274P427

• European-style, cash-settled call warrants due March 9, 2018 linked to the S&P 500 index; via UBS Investment Bank with J.P. Morgan Securities LLC; pricing March 6; Cusip: 90274P401

• Airbag autocallable yield optimization notes due March 11, 2016 linked to the common stock of Medivation, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 6; Cusip: 90274P435

• Airbag autocallable yield optimization notes due March 11, 2016 linked to the common stock of Palo Alto Networks, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 6; Cusip: 90274P443

• Airbag autocallable yield optimization notes due March 11, 2016 linked to the common stock of Range Resources Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 6; Cusip: 90274P450

• Contingent income autocallable securities due March 17, 2022 linked to the worst performing of the Euro Stoxx 50 index, the Nikkei 225 index and the Russell 2000 index; via UBS Securities LLC with Morgan Stanley Wealth Management; pricing March 13; Cusip: 90274P393

• 0% trigger return optimization securities due March 29, 2018 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90274P369

• 0% trigger performance securities due March 31, 2020 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90274P377

• 0% contingent absolute return performance securities due March 31, 2020 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90274P385

• 0% buffered return optimization securities due March 31, 2017 to the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing March 27; Cusip: 90274P351

WELLS FARGO & CO.

• 0% market-linked securities with upside participation, contingent minimum return and contingent downside due March 29, 2021 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing March 20; Cusip: 94986RWC1

• 0% market-linked securities with leveraged upside participation to a cap and fixed buffered downside due April 5, 2019 linked to the iShares Russell 2000 exchange-traded fund; via Wells Fargo Securities LLC; pricing March 31; Cusip: 94986RWE7

• 0% Accelerated Return Notes due May 2016 linked to the S&P MidCap 400 index; via BofA Merrill Lynch; pricing in March


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