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Published on 1/6/2016 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Accelerated Return Notes due March 2017 linked to the S&P 100 index (70% weight), the Euro Stoxx 50 index (20% weight) and the Nikkei Stock Average index (10% weight); via BofA Merrill Lynch; pricing in January

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

• 0% capped Leveraged Index Return Notes due January 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due January 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in January

BANK OF MONTREAL

• 0% notes due Jan. 27, 2017 linked to Raymond James Analysts’ Best Picks for 2016 (Allstate Corp., Alexion Pharmaceuticals, Inc., American Homes 4 Rent, AmSurg Corp., Becton, Dickinson and Co., Concho Resources, Inc., Halliburton Co., Lazard Ltd., Mohawk Industries, Inc., Microsoft Corp., Northern Trust Corp., Regal Entertainment Group, Tractor Supply Co. and Zayo Group Holdings, Inc.); via BMO Capital Markets Corp. and Raymond James; settling Jan. 25; Cusip: 06366R5Z4

BANK OF NOVA SCOTIA

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 5, 2019 linked to the Euro Stoxx 50 index; via Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC; pricing Jan. 29; Cusip: 064160708

BANK OF THE WEST

• Contingent variable-income market-linked certificates of deposit due Jan. 30, 2023 linked to the stocks of Apple Inc., AT&T Inc., Cisco Systems, Inc., Duke Energy Corp., Hershey Co., Merck & Co., Inc., Philip Morris International Inc., Target Corp., Verizon Communications Inc. and Xcel Energy Inc.; via BNP Paribas Securities Corp.; pricing Jan. 25; Cusip: 06426XPV6

• Income advantage market-linked certificates of deposit due Jan. 30, 2023 linked to the stocks are Apple Inc., AT&T Inc., Duke Energy Corp., Philip Morris International Inc. and Target Corp.; via BNP Paribas Securities Corp.; pricing Jan. 25; Cusip: 06426XPW4

• 0% market-linked certificates of deposit due Jan. 30, 2023 linked to the DWA Large Cap Sector Rotation Target Volatility 7 index; via BNP Paribas Securities Corp.; pricing Jan. 26; Cusip: 06426XPY0

• 0% market-linked certificates of deposit due Jan. 31, 2023 linked the Euro Stoxx 50 index, the Hang Seng index and the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26; Cusip: 06426XQA1

• 0% market-linked certificates of deposit due Jan. 30, 2023 linked to the Morningstar Ultimate Stock-Pickers Target Volatility 7 index; via BNP Paribas Securities Corp.; pricing Jan. 26; Cusip: 06426XPX2

• 0% market-linked certificates of deposit due Feb. 3, 2023 linked to the Euro Stoxx 50 index, the S&P 500 index and the Nikkei 225 index; via BNP Paribas Securities Corp.; pricing Jan. 29; Cusip: 06426XPZ7

BARCLAYS BANK PLC

• Trigger phoenix autocallable optimization securities due Jan. 22, 2026 linked to the lesser performing of the Nasdaq-100 index and the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing Jan. 15; Cusip: 06743T287

• Trigger phoenix autocallable optimization securities due Jan. 18, 2019 linked to the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing Jan. 15; Cusip: 06743T329

• 0% annual autocallable notes due Jan. 27, 2020 linked to the lesser performing index of the S&P 500 index and the Euro Stoxx 50 index; via Barclays; pricing Jan. 22; Cusip: 06741U2K9

• 0% buffered Super Track notes due Jan. 29, 2021 linked to the Dow Jones industrial average; via Barclays; pricing Jan. 26; Cusip: 06741U2F0

• Annual reset coupon buffered notes due Jan. 28, 2022 linked to the Russell 2000 index; via Barclays; pricing Jan. 26; Cusip: 06741U2G8

• 0% callable contingent coupon notes due Jan. 29, 2026 linked to the lesser performing index of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Barclays; pricing Jan. 26; Cusip: 06741U2U7

• 0% return optimization securities due Feb. 28, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Barclays; pricing Jan. 27; Cusip: 06743T345

• 0% trigger return optimization securities due Jan. 31, 2019 linked to the Euro Stoxx 50 index; 80% trigger; via UBS Financial Services Inc. and Barclays; pricing Jan. 27; Cusip: 06743T352

• 0% return optimization securities due Feb. 28, 2017 linked to the Nikkei 225 index; via UBS Financial Services Inc. and Barclays; pricing Jan. 27; Cusip: 06743T337

• 0% one-look notes due January 2017 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due March 2017 linked to the Euro Stoxx 50 index; via Barclays; pricing in January

• 0% Accelerated Return Notes due March 2017 linked to an international equity index basket composed of the Euro Stoxx 50 index (40%), the FTSE 100 index (20%), the Nikkei Stock Average index (20%), the Swiss Market index (7.5%), the S&P/ASX 200 index (7.5%) and the Hang Seng index (5%); via Barclays; pricing in January

• 0% Accelerated Return Notes due in April 2017 linked to the JPX-Nikkei index 400; via BofA Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due March 2017 linked to the Russell 1000 Value index; via Barclays; pricing in January

• 0% Accelerated Return Notes due March 2017 linked to the Russell 2000 index; via Barclays; pricing in January

• Three-year autocallable market-linked step-up notes linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in January

• Autocallable market-linked step-up notes due January 2019 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in January

• 16- to 19-month 0% capped leveraged notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UY24

BNP PARIBAS

• Phoenix notes due Jan. 29, 2021 linked to the worst of the Euro Stoxx 50 index and the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26.; Cusip: 05579TKK1

• 0% buffered notes due Jan. 29, 2020 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26.; Cusip: 05579TKH8

• 0% dual directional notes due Jan. 29, 2020 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26.; Cusip: 05579TKM7

• 0% dual directional notes due Jan. 29, 2020 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26.; Cusip: 05579TKJ4

• 0% leveraged notes due Jan. 29, 2021 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing Jan. 26.; Cusip: 05579TKL9

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leverage upside participation to a cap and fixed percentage downside due Aug. 3, 2018 linked to the Russell 2000 index; via Wells Fargo Securities, LLC; pricing Jan. 29; Cusip: 13605WBD2

• 0% Capped Leveraged Index Return Notes due January 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in January

• 0% Accelerated Return Notes due March 2017 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in January

CITIGROUP INC.

• 0% Performance Leveraged Upside Securities due April 25, 2017 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Jan. 20; Cusip: 17323P835

• 0% buffer securities due Jan. 29, 2021 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing Jan. 26; Cusip: 17298C5N4

• 0.25% market-linked notes due July 2021 linked to the S&P 500 index, with a 33.34% weight, the Euro Stoxx 50 index and the iShares Core U.S. Aggregate Bond ETF, each with a 33.33% weight each; via Citigroup Global Markets Inc.; pricing Jan. 27; Cusip: 17298C5L8

• 0% market-linked notes due Aug. 3, 2023 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Jan. 29; Cusip: 17323P249

• 0% enhanced barrier digital plus securities due January 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing in January; Cusip: 17298C5M6

CREDIT SUISSE AG, LONDON BRANCH

• Contingent income autocallable securities due Jan. 17, 2017 linked to Alibaba Group Holding Ltd. American Depositary Shares; via J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128A582

• Contingent income autocallable securities due Jan. 11, 2019 linked to salesforce.com, inc. common stock; via J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128A574

• 8% to 10% autocallable reverse convertible securities due Jan. 17, 2017 linked to Apple Inc. shares; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 12; Cusip: 22546VTA4

• 0% digital buffered notes due Jan. 18, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 12; Cusip: 22546VT97

• 6.5% to 8.5% autocallable reverse convertible securities due Jan. 23, 2017 linked to Apple Inc. common shares; via Credit Suisse Securities (USA) LLC; pricing Jan. 19; Cusip: 22546VSG2

• 9% to 11% autocallable reverse convertible securities due Jan. 23, 2017 linked to the common stock of Vertex Pharmaceuticals Inc.; via Credit Suisse Securities (USA) LLC; pricing Jan. 19; Cusip: 22546VTW6

• 0% digital plus barrier notes due Jan. 31, 2022 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTJ5

• Contingent coupon callable yield notes due Jan. 29, 2019 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTK2

• 0% digital buffered notes due Jan. 29, 2018 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTG1

• 0% digital buffered notes due Jan. 29, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTH9

• 0% digital barrier notes due July 31, 2017 linked to the worse performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTF3

• Contingent coupon callable yield notes due Jan. 31, 2022 linked to the Russell 2000 index; via Incapital LLC; pricing Jan. 26; Cusip: 22546VTX4

• 0% digital plus barrier notes due Jan. 29, 2021 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 26; Cusip: 22546VTL0

• 0% accelerated barrier notes due Jan. 29, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 26; Cusip: 22546VTM8

• 0% autocallable securities due Jan. 29, 2018 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 26; Cusip: 22546VTQ9

• High/low coupon callable yield notes due July 31, 2017 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 26; Cusip: 22546VTB2

• 0% digital buffered notes due July 31, 2019 linked to the Russell 2000 index; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 27; Cusip: 22546VTR7

• 0% digital barrier notes due Feb. 3, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22546VSW7

• High/low coupon callable yield notes due Aug. 3, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22546VRY4

• 7.25% to 9.25% autocallable yield notes due Feb. 3, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Jan. 29; Cusip: 22546VS23

• 0% absolute return barrier securities due Feb. 3, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22546VRX6

• 0% accelerated barrier notes due Feb. 3, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22546VSV9

CREDIT SUISSE AG, NASSAU BRANCH

• 0% CS notes due Jan. 29, 2021 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Jan. 22; Cusip: 22546VTS5

• 0% CS notes due July 30, 2020 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Jan. 26; Cusip: 22546VTT3

• 0% CS notes due Nov. 1, 2019 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22546VTU0

DEUTSCHE BANK AG, LONDON BRANCH

• Call warrants expiring Jan. 11, 2019 linked to the JPX-Nikkei Index 400; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Jan. 8; Cusip: 25190F574

• Call warrants expiring Jan. 11, 2019 linked to the MDAX Index (Total Return); via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Jan. 8; Cusip: 25190F566

• 8.5% STEP Income Securities due January 2017 linked to the common stock Ford Motor Co.; via BofA Merrill Lynch; pricing in January

• 0% Strategic Accelerated Redemption Securities due January 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in January

• 11% STEP Income Securities due January 2017 linked to Under Armour, Inc. shares; via BofA Merrill Lynch; pricing in January

GOLDMAN SACHS GROUP, INC.

• 0% buffered Performance Leveraged Upside Securities due Jan. 18, 2019 linked to the S&P 500 index; via Goldman, Sachs & Co. with Morgan Stanley Wealth Management; pricing Jan. 15; Cusip: 36250E167

• 0% Performance Leveraged Upside Securities due April 20, 2017 linked to the Energy Select Sector SPDR fund; via Goldman, Sachs & Co. with Morgan Stanley Wealth Management; pricing Jan. 15; Cusip: 36250E159

• Callable monthly Russell 2000 index-linked range accrual notes due Jan. 29, 2026; via Goldman Sachs & Co.; pricing Jan. 27; Cusip: 40054CAN4

• Callable monthly Russell 2000 index-linked range accrual notes due Jan. 29, 2026; 50% trigger; via Goldman Sachs & Co.; pricing Jan. 27; Cusip: 40054CAP9

• 0% leveraged notes linked to 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 Goldman Sachs & Co.

• 24- to 27-month 0% leveraged notes linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co.

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

• 13- to 15-month 0% digital notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.

• 13- to 15-month 0% leveraged notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.

GS FINANCE CORP.

• 0% trigger notes due July 12, 2017 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. and JPMorgan; pricing Jan. 8; Cusip: 40054CAV6

• 0% leveraged notes due Jan. 25, 2017 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Jan. 8; Cusip: 40054CAW4

• 0% notes due July 12, 2017 linked to the S&P 500 index; via Goldman Sachs & Co. and JPMorgan; pricing Jan. 8; Cusip: 40054CAY0

• 60-month 0% trigger notes linked to the Bloomberg Commodity index; 70% trigger; via Goldman Sachs & Co.; Cusip: 40054CAA2

HSBC USA INC.

• 0% dual directional trigger Performance Leveraged Upside Securities due Jan. 18, 2019 linked to the Energy Select Sector SPDR fund; 80% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 15; Cusip: 40434K230

• 0% dual directional barrier notes due Jan. 31, 2022 linked to the Euro Stoxx 50 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 22; Cusip: 40433UFH4

• 0% autocallable notes with contingent return due Jan. 29, 2020 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 22; Cusip: 40433UFG6

• 0% trigger performance securities due Jan. 29, 2021 linked to the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc. with UBS Financial Services Inc.; pricing Jan. 26; Cusip: 40434K222

• 0% barrier participation notes due Jan. 29, 2019 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 26; Cusip: 40433UFU5

• 0% autocallable growth barrier notes due Jan. 29, 2019 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 26; Cusip: 40433UFV3

• 0% autocallable growth barrier notes due Jan. 29, 2020 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 26; Cusip: 40433UFW1

• 0% trigger performance securities due Jan. 29, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Jan. 26; Cusip: 40434K198

• 0% trigger jump securities due Feb. 3, 2022 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Jan. 29; Cusip: 40434K214

• 0% Market Index Target-Term Securities due January 2023 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in January

• Autocallable market-linked step-up notes due January 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in January

• Autocallable market-linked step-up notes due January 2019 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in January

• 0% autocallable market-linked step-up notes due January 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in January

• 0% Strategic Accelerated Redemption Securities due February 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in January

JPMORGAN CHASE & CO.

• 0% enhanced trigger jump securities due Jan. 20, 2017 linked to American Airlines Group Inc. shares; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Jan. 7; Cusip: 48128A558

• Autocallable contingent interest notes due Jan. 25, 2017 linked to Apple Inc. shares; 77% trigger; via J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128GHU7

• Autocallable contingent interest notes due Jan. 25, 2017 linked to Bristol-Myers Squibb Co. shares; 82.9% trigger; via J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128GHV5

• Autocallable contingent interest notes due Jan. 25, 2017 linked to Eli Lilly and Co. shares; 79% trigger; via J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128GHW3

• Trigger callable contingent yield notes due Jan. 12, 2018 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Jan. 8; Cusip: 48128A56

• Autocallable contingent interest notes due Jan. 21, 2020 linked to the S&P GSCI Crude Oil Index Excess Return; via J.P. Morgan Securities LLC; pricing Jan. 14; Cusip: 48128GHT0

• 8% to 10% autocallable reverse exchangeable due Jan. 23, 2017 linked to the common stock of Amazon.com, Inc.; via J.P. Morgan Securities LLC; pricing Jan. 15; Cusip: 48128AAD5

• 0% dual directional trigger Performance Leveraged Upside Securities due Jan. 19, 2018 linked to Apple Inc. shares; 85% trigger; via J.P. Morgan Securities LLC; pricing Jan. 15; Cusip: 48128A590

• 8% to 10% autocallable reverse exchangeable due Jan. 23, 2017 linked to the common stock of Facebook, Inc.; via J.P. Morgan Securities LLC; pricing Jan. 15; Cusip: 48128AAC7

• 0% Performance Leveraged Upside Securities due April 20, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 15; Cusip: 48128A632

• 0% jump securities due Jan. 19, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC; pricing Jan. 15; Cusip: 48128A616

• 0% digital notes due Jan. 24, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 19; Cusip: 48128GHY9

• 6% autocallable yield notes due April 25, 2017 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 63% trigger; via J.P. Morgan Securities LLC; pricing Jan. 20; Cusip: 48128GGV6

• 0% review notes due Jan. 27, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 22; Cusip: 48128GGU8

• 0% trigger performance securities due Jan. 29, 2021 linked to the Energy Select Sector SPDR fund; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing Jan. 26; Cusip: 48128A624

• 0% dual directional contingent buffered return enhanced notes due Jan. 31, 2020 linked to the Euro Stoxx 50 index; 65% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHN3

• 0% capped buffered return enhanced notes due Jan. 31, 2018 linked to Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHF0

• 0% uncapped buffered return enhanced notes due Jan. 31, 2020 linked to Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHH6

• 0% capped buffered return enhanced notes due Jan. 31, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHC7

• 0% capped buffered return enhanced notes due Jan. 31, 2018 linked to the iShares Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHD5

• 0% capped buffered return enhanced notes due Jan. 31, 2018 linked to Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHB9

• 0% capped buffered return enhanced notes due Jan. 31, 2018 linked to S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHE3

• 0% uncapped buffered return enhanced notes due Jan. 31, 2020 linked to S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHG8

• 0% dual directional contingent buffered return enhanced notes due Jan. 31, 2020 linked to the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHJ2

• 0% dual directional contingent buffered return enhanced notes due Jan. 29, 2021 linked to the S&P 500 index; 65% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHK9

• 0% dual directional notes due Jan. 29, 2021 linked to the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHQ6

• Autocallable yield notes due Jan. 31, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GGW4

• Autocallable contingent interest notes due May 1, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GGZ7

• Autocallable contingent interest notes due May 1, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHA1

• Autocallable contingent interest notes due Jan. 31, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GGX2

• Autocallable contingent interest notes due Jan. 31, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GGY0

• 0% review notes due Jan. 31, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHP8

• 0% dual directional contingent buffered return enhanced notes due Jan. 31, 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 Jan. 26; Cusip: 48128GHL7

• 0% review notes due Jan. 31, 2020 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 Jan. 26; Cusip: 48128GHR4

• 0% dual directional contingent buffered return enhanced notes due Jan. 31, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 65% trigger; via J.P. Morgan Securities LLC; pricing Jan. 26; Cusip: 48128GHM5

MORGAN STANLEY

• Contingent income autocallable securities due July 19, 2018 linked to the common stock of Chipotle Mexican Grill, Inc.; via Morgan Stanley & Co. LLC; pricing Jan. 13; Cusip: 61761JT82

• Contingent income autocallable securities due July 19, 2018 linked to the common stock of Netflix, Inc.; via Morgan Stanley & Co. LLC; pricing Jan. 13; Cusip: 61761JT90

• 0% jump securities due Jan. 25, 2018 linked to the Energy Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing Jan. 20; Cusip: 61765U563

• 0% Performance Leveraged Upside Securities due April 25, 2017 linked to the iShares MSCI Japan index fund; via Morgan Stanley & Co. LLC; pricing Jan. 20; Cusip: 61765U555

• 0% trigger performance securities due Jan. 29, 2026 linked to the Euro Stoxx 50 index; 50% trigger; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Jan. 26; Cusip: 61765U605

• Contingent income securities due Jan. 29, 2031 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Jan. 26; Cusip: 61761JT41

• Contingent income securities due Jan. 29, 2031 linked to the worst performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Jan. 26; Cusip: 61761JT74

• Leveraged CMS curve securities due Jan. 29, 2031 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Jan. 26; Cusip: 61760QJG0

• 0% trigger Performance Leveraged Upside Securities due Jan. 29, 2021 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Jan. 26; Cusip: 61761JT58

• 0% autocallable trigger Performance Leveraged Upside Securities due Jan. 29, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Jan. 26; Cusip: 61761JT66

• 0% securities due Aug. 3, 2018 with leveraged upside participation to a cap and fixed percentage buffered downside linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC; pricing Jan. 29; Cusip: 61761JU56

• 0% market-linked notes due Aug. 3, 2021 linked to the Morgan Stanley ETF-MAP 2 index; via Morgan Stanley & Co. LLC; pricing Jan. 29; Cusip: 61765U597

• 0% dual directional trigger Performance Leveraged Upside Securities due Feb. 3, 2022 linked to the S&P 500 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing Jan. 29; Cusip: 61765U571

• 0% trigger Performance Leveraged Upside Securities due July 30, 2018 linked to the S&P GSCI Crude Oil Index – Excess Return; via Morgan Stanley & Co. LLC; pricing Jan. 26; Cusip: 61761JU49

• 0% buffered digital notes due November 2017 to February 2018 linked to the S&P 500 index; 85% trigger; via Morgan Stanley & Co. LLC; pricing in January; Cusip: 61761JT25

• 23- to 26-month 0% leveraged buffered notes linked to the S&P 500 index; via Morgan Stanley & Co. LLC ; pricing in January; Cusip: 61761JU31

ROYAL BANK OF CANADA

• Autocallable contingent interest notes due Jan. 23, 2017 linked to Apple Inc. shares; via J.P. Morgan Securities LLC; pricing Jan. 15; Cusip: 48128AAB9

• 0% Performance Leveraged Upside Securities due April 21, 2017 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Jan. 15; Cusip: 78013C559

• 0% Performance Leveraged Upside Securities due April 20, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management handling distribution; pricing Jan. 15; Cusip: 78013C492

• Redeemable step-up notes due Jan. 26, 2026; via RBC Capital Markets, LLC; pricing Jan. 21; Cusip: 78012KHK6

• 0% bullish barrier enhanced return notes due Jan. 31, 2019 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Jan. 26; Cusip: 78012KKN6

• 0% bullish barrier enhanced return notes due July 31, 2019 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Jan. 26; Cusip: 78012KKM8

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Feb. 3, 2021 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing Jan. 29; Cusip: 78012KKJ5

TORONTO-DOMINION BANK

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 3, 2020 linked to a basket of SPDR S&P 500 ETF Trust with a 50% weight, iShares Russell 2000 ETF with a 15% weight, iShares MSCI EAFE ETF with a 15% weight, iShares MSCI Emerging Markets ETF with a 10% weight, PowerShares DB Commodity Index Tracking Fund with a 5% weight and Vanguard REIT ETF with a 5% weight; via TD Securities (USA) LLC and Wells Fargo Securities, LLC; pricing Jan. 29; Cusip: 89114QUK2

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UBS AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Jan. 12, 2018 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 8; Cusip: 90275L375

• Trigger phoenix autocallable optimization securities due Jan. 12, 2018 linked to the SPDR S&P 500 ETF Trust; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 8; Cusip: 90275L383

• Trigger phoenix autocallable optimization securities due Jan. 22, 2019 linked to the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 15; Cusip: 90275L391

• 0% return optimization securities due Feb. 28, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 26; Cusip: 90275L326

• 0% trigger performance securities due Jan. 30, 2026 linked to the Bloomberg Commodity Index 3 Month Forward; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 27; Cusip: 90275L359

• 0% trigger performance securities due Jan. 29, 2021 linked to the Euro Stoxx 50 index; 75% trigger; via UBS Securities LLC; pricing Jan. 27; Cusip: 90275L334


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