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Published on 12/2/2015 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

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

BANK OF MONTREAL

• 0% notes due Dec. 19, 2016 linked to Raymond James Analysts’ Best Picks for 2016; via BMO Capital Markets Corp.; settling Dec. 15; Cusip: 06366R4N2

BARCLAYS BANK PLC

• 0% notes due Dec. 7, 2018 linked to the EquityCompass Share Buyback index; via Barclays; Dec. 4; Cusip: 06741UT79

• Step-up fixed-rate callable notes due Dec. 14, 2018; via Barclays Capital Inc.; pricing Dec. 14; Cusip: 06741UV92

• Buffered SuperTrack notes due June 28, 2019 linked to the lesser-performing index of the Dow Jones industrial average and the Russell 2000 index; via Barclays; pricing Dec. 28; Cusip: 06741UX33

• Annual reset coupon buffered notes due Dec. 31, 2021 linked to the Russell 2000 index; via Barclays; pricing Dec. 28; Cusip: 06741UW91

• Callable contingent coupon notes due Dec. 31, 2025 linked to the lesser performing index of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Dec. 28; Cusip: 06741UX58

• 0% return optimization securities due Jan. 31, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing Dec. 28; Cusip: 06743T675

• 18- to 21-month 0% capped leveraged notes linked to the Euro Stoxx 50 index; via Barclays; Cusip: 06741UV50

• 27- to 30-month 0% capped leveraged buffered notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UU85

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% two-year market-linked step-up notes linked to the S&P 500 index; via BofA Merrill Lynch.; pricing in December

CITIGROUP INC.

• 0% Performance Leveraged Upside Securities due March 21, 2017 linked to the Russell 2000 index; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing Dec. 16; Cusip: 17323P538

• 0% buffer securities due Dec. 28, 2020 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing Dec. 22; Cusip: 17298C4P0

• 0% market-linked notes due July 2023 linked to the S&P 500 index; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing in December; Cusip: 17323P496

CREDIT SUISSE AG, LONDON BRANCH

• 0% trigger performance securities due Dec. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J168

• 0% trigger performance securities due Dec. 31, 2020 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J150

• 0% digital plus barrier notes due Dec. 31, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VRE8

• 0% trigger performance securities due Dec. 31, 2020 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J192

• 0% trigger step performance securities due Dec. 31, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc.; pricing Dec. 29; Cusip: 22548J176

• 0% trigger step performance securities due Dec. 31, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC and UBS Financial Services Inc.; pricing Dec. 29; Cusip: 22548J200

•0% accelerated barrier notes due Jan. 6, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VQZ2

• 0% buffered return equity securities due July 3, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR65

• High/low coupon callable yield notes due July 6, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR32

• 0% absolute return barrier securities due Jan. 6, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR57

• 0% accelerated barrier notes due Jan. 6, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR40

• 0% Accelerated Return Notes linked to an international equity index basket containing Euro Stoxx 50 index with a 40% weight, FTSE 100 index and the Nikkei Stock Average 1ndex with weights of 20% each, Swiss Market index and S&P/ASX 200 index with weights of 7.5% each and Hang Seng index with a 5% weight; via Merrill Lynch & Co.; pricing in December

CREDIT SUISSE AG, NASSAU BRANCH

• Fixed-to-floating-rate notes due Dec. 23, 2025 linked to the 10-year Constant Maturity Swap rate; via Morgan Stanley & Co. LLC; pricing Dec. 18; Cusip: 22546VRL2

• 0% CS notes due Oct. 3, 2019 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR81

DEUTSCHE BANK AG, LONDON BRANCH

• 0% return optimization securities due Jan. 31, 2017 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 28; Cusip: 25190F483

• 0% contingent return optimization securities due Dec. 31, 2018 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 29; Cusip: 25190F475

• 0% Accelerated Return Notes due February 2017 linked to the common stocks of American Airlines Group Inc., Southwest Airlines Co. and United Continental Holdings, Inc.; via BofA Merrill Lynch; pricing in December

• 0% Accelerated Return Notes due February 2017 linked to the S&P MidCap 400 index; via Merrill Lynch & Co.; pricing in December

GOLDMAN SACHS GROUP, INC.

• Callable monthly Russell 2000 index-linked range accrual notes due Dec. 8, 2025; via Goldman Sachs & Co.; pricing Dec. 3; Cusip: 38148TJK6

• 0% leveraged buffered notes due Dec. 28, 2017 tied to the S&P 500 index; via Goldman Sachs & Co.; pricing Dec. 22; Cusip 38148TJQ3

• Autocallable index-linked notes due Jan. 12, 2023 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 38148TJT7

• 0% index-linked notes due July 3, 2024 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip 38148TJN0

• 0% buffered notes due Jan. 4, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Dec. 29; Cusip: 38148TK65

• 0% Performance Leveraged Upside Securities due Dec. 7, 2018 linked to the Energy Select Sector SPDR fund; via Goldman Sachs & Co.; pricing in December; Cusip: 38148X647

• Five-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38148TEL9

• 24- to 27-month 0% leveraged buffered notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.

• 0% index-linked notes due 2020 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; Cusip: 38148TJA8

• 0% digital notes due Dec. 30, 2016, linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co.

• 18- to 21-month 0% leveraged buffered notes linked to the MSCI EAFE index; via Goldman, Sachs & Co.

• 0% autocallable buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% digital notes due Dec. 30, 2016, linked to the Russell 2000 index; via Goldman Sachs & Co.

• 0% digital notes due Dec. 30, 2016 linked to the S&P 500 index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged notes linked to the S&P 500 index; via Goldman Sachs & Co.

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38148TEJ4

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38148TJ91

• 0% 36-month leveraged buffered notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 80% trigger; via Goldman Sachs & Co.; Cusip: 38148TGF0

• 0% leveraged buffered notes due 2020 on a basket of two indexes; via Goldman Sachs & Co.; Cusip: 38148TJB6

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due Dec. 29, 2017 linked to Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEK8

• 0% buffered Accelerated Market Participation Securities due June 29, 2018 linked to Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEN2

• 0% buffered market participation securities due Dec. 31, 2018 linked to Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEG7

• 0% buffered Accelerated Market Participation Securities due Dec. 29, 2017 linked to Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEJ1

• 0% buffered Accelerated Market Participation Securities due June 29, 2018 linked to Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEM4

• 0% buffered market participation securities due Dec. 31, 2018 linked to Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEF9

• 0% buffered Accelerated Market Participation Securities due Dec. 29, 2017 linked to S&P 500 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEH5

• 0% buffered Accelerated Market Participation Securities due June 29, 2018 linked to S&P 500 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEL6

• 0% buffered market participation securities due Dec. 31, 2018 linked to S&P 500 index; via HSBC Securities (USA) Inc.; pricing Dec. 23; Cusip: 40433UEE2

• 0% trigger jump securities due Jan. 4, 2022 linked to S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 40434K370

• 0% Leveraged Index Return Notes due December 2018 linked to the Euro Stoxx 50 index, the FTSE 100 index, the Nikkei 225 index, the S&P/ASX 200 index, the Swiss Market index and the Hang Seng index; via BofA Merrill Lynch; pricing in December

• Three-year autocallable yield notes linked to iShares Nasdaq Biotechnology exchange-traded fund; via HSBC Securities (USA) Inc.; pricing in December; Cusip: 40433UEU6

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

JPMORGAN CHASE & CO.

• Contingent income autocallable securities due Dec. 7, 2018 linked to Amgen Inc. common stock; via J.P. Morgan Securities LLC; pricing Dec. 4; Cusip: 48128A400

• Contingent income autocallable securities due Dec. 7, 2018 linked to Facebook, Inc. class A common shares; via J.P. Morgan Securities LLC; pricing Dec. 4; Cusip: 48128A202

• 0% notes due Dec. 9, 2019 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC; pricing Dec. 4; Cusip: 48128GEF3

• Autocallable contingent interest notes due March 6, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities; pricing Dec. 4; Cusip: 48128GEA4

• 0% trigger Performance Leveraged Upside Securities due Dec. 9, 2021 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC with distribution through Morgan Stanley Wealth Management; pricing Dec. 4; Cusip: 48127Y136

• 0% capped buffered return enhanced notes due Dec. 29, 2017 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Dec. 23; Cusip: 48128GER7

• 0% capped buffered return enhanced notes due Dec. 29, 2017 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Dec. 23; Cusip: 48128GEQ9

• 0% return optimization securities due Jan. 31, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 29; Cusip: 48127Y177

MORGAN STANLEY

• Contingent income autocallable securities due Dec. 7, 2018 tied to the common stock of LinkedIn Corp.; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U365

• Contingent income autocallable securities due Dec. 7, 2018 tied to the common stock of Amazon.com, Inc.; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U357

• Contingent income autocallable securities due Dec. 7, 2018 tied to the common stock of HCA Holdings, Inc.; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U324

• 0% Performance Leveraged Upside Securities due Dec. 7, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U241

• Contingent income autocallable securities with step-up redemption feature due Dec. 7, 2018 tied to the common stock of Bristol-Myers Squibb Co.; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U340

• Contingent income autocallable securities with step-up redemption feature due Dec. 7, 2018 tied to the common stock of Walt Disney Co.; via Morgan Stanley & Co. LLC; pricing Dec. 4; Cusip: 61765U332

• Contingent income participation securities due Dec. 23, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Dec. 18; Cusip: 61761JR50

• Contingent income securities due Dec. 23, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Dec. 18; Cusip: 61761JR43

• 0% leveraged buffered index-linked notes linked to the MSCI EAFE index; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761JR35

NOMURA AMERICA FINANCE, LLC

• Autocallable notes due Dec. 21, 2017 linked to the worst-performing of the common stocks of McDonald’s Corp., Pfizer, Inc. and Wal-Mart Stores, Inc.; via Nomura Securities International, Inc.; pricing Dec. 16; Cusip: 65539ACE8

ROYAL BANK OF CANADA

• 0% direct investment notes due Jan. 10, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Dec. 3; Cusip: 78012KJL2

• Redeemable step-up notes due Dec. 24, 2025; via RBC Capital Markets, LLC; pricing Dec. 21; Cusip: 78012KHG5

• 0% bullish barrier enhanced return notes due June 28, 2019 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Dec. 23; Cusip: 78012KJW8

• 0% buffered bullish enhanced return notes due May 28, 2021 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Dec. 23; Cusip: 78012KJX6

• 0% buffered Performance Leveraged Upside Securities due Dec. 20, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing Dec. 24; Cusip: 78013C294

• 19- to 22-month 0% leveraged buffered notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via RBC Capital Markets, LLC; Cusip: 78012KJQ1

• 15- to 18-month 0% leveraged buffered notes linked to the MSCI EAFE index; 90% trigger; via RBC Capital Markets, LLC; Cusip: 78012KJR9

AB SVENSK EXPORTKREDIT

• 14-month 0% Accelerated Return Notes due February 2017 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in December

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due Dec. 7, 2018 linked to Bank of America Corp. common stock; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing Dec. 4; Cusip: 90275L128

• Contingent income autocallable securities due Dec. 7, 2018 linked to Delta Air Lines, Inc. common stock; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing Dec. 4; Cusip: 90275L110

• Trigger phoenix autocallable optimization securities due June 9, 2017 linked to the common stock of Morgan Stanley; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 4; Cusip: 90275L151

• Trigger phoenix autocallable optimization securities due June 9, 2017 linked to the common stock of Staples, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 4; Cusip: 90275L169

• Trigger phoenix autocallable optimization securities due June 9, 2017 linked to the common stock of Walt Disney Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 4; Cusip: 90275L144

WELLS FARGO & CO.

• 0% buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing in December; Cusip: 94986RA43


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