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Published on 5/25/2016 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Accelerated Return Notes due J017 linked to Anthem, Inc., AT&T Inc., Danaher Corp., McDonald's Corp., PepsiCo, Inc., Pfizer Inc., Philip Morris International Inc. and Qualcomm Inc.; via Bank of America Merrill Lynch; pricing in May

• 0% Capped Leveraged Index Return Notes due May 2018 linked to the Dow Jones U.S. Real Estate index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due August 2017 linked to the gold spot price; via Merrill Lynch & Co.; pricing in May

• 6% to 7% coupon-bearing notes due June 2017 linked to Microsoft Corp. common stock; via BofA Merrill Lynch; pricing in May

• 0% market-linked step-up notes due May 2018 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step up notes due May 2018 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in May

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

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

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

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

• 0% Accelerated Return Notes due July 2017 linked to the S&P MidCap 400 index; via BofA Merrill Lynch; pricing in May

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TED8

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEF3

• 0% upside booster notes with barrier due May 31, 2019 linked to Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEK2

• 0% upside booster notes with barrier due May 31, 2019 linked to Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEJ5

• 0% buffered bullish enhanced return notes due Nov. 30, 2017 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEM8

• 0% upside booster notes with barrier due May 31, 2019 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEH9

• 0% buffered bullish digital plus notes due May 29, 2020 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TES5

• 0% contingent risk absolute return notes due May 31, 2022 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TER7

• 0% buffered bullish enhanced return notes due Aug. 31, 2017 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEZ9

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TFB1

• 0% buffered bullish enhanced return notes due Aug. 31, 2017 linked to the iShares MSCI Emerging Markets exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TFA3

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TFC9

• 7.8% autocallable cash-settled notes with conditional interest payments due May 31, 2017 linked to the lesser performing of the iShares MSCI Emerging Markets exchange-traded fund and the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDZ0

• 9.6% autocallable cash-settled notes with conditional interest payments due May 31, 2017 linked to the lesser performing of the iShares MSCI Emerging Markets exchange-traded fund and the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEA4

• 6.6% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDV9

• 8.4% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDY3

• 0% contingent risk absolute return notes with digital upside due May 31, 2018 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEL0

• 10.2% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDU1

• 12% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDX5

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TFD7

• 0% barrier bullish return notes due May 28, 2021 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEU0

• 0% bullish enhanced return notes due May 31, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEB2

• 0% bullish enhanced return notes due May 31, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEC0

• 0% barrier bullish return notes due May 28, 2021 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TET3

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to a basket containing the S&P 500 index, the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEQ9

• 0% buffered bullish enhanced return notes due Nov. 30, 2018 linked to a basket containing the S&P 500 index, the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets ETF; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEP1

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the SPDR Dow Jones REIT exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEE6

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the SPDR Dow Jones REIT exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEG1

• 9% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDT4

• 10.8% autocallable cash-settled notes with fixed interest payments due May 31, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TDW7

• 0% buffered bullish enhanced return notes due Aug. 31, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing May 26; Cusip: 06367TEY2

BANK OF NOVA SCOTIA

• 24- to 27-month 0% capped buffered enhanced participation notes, series A, linked to Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; 90% trigger; via Scotia Capital (USA) Inc. with Goldman Sachs & Co.; Cusip: 064159HR0

BARCLAYS BANK PLC

• Trigger autocallable contingent yield notes due May 28, 2021 linked to AbbVie Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing May 26; Cusip: 06744K368

• Trigger autocallable contingent yield notes due May 28, 2021 linked to Alphabet Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing May 26; Cusip: 06744K343

• Trigger autocallable contingent yield notes due May 28, 2021 linked to Caterpillar Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing May 26; Cusip: 06744K350

• Phoenix autocallable notes due June 1, 2018 linked to Celgene Corp. shares; via Barclays; pricing May 26; Cusip: 06741V3Z3

• Trigger callable contingent yield notes with daily coupon observation due May 31, 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 Barclays; pricing May 26; Cusip: 06744K327

• Trigger callable contingent yield notes with daily coupon observation due May 31, 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 Barclays; pricing May 26; Cusip: 06744K319

• Phoenix autocallable notes due June 1, 2018 linked to least performing of the iShares Nasdaq Biotechnology exchange-traded fund, the Financial Select Sector SPDR fund and the Technology Select Sector SPDR fund; via Barclays; pricing May 26; Cusip: 06741V4A7

• Trigger autocallable contingent yield notes due May 28, 2021 linked to McDonald’s Corp. common stock; via UBS Financial Services Inc. and Barclays; pricing May 26; Cusip: 06744K335

• Trigger autocallable contingent yield notes due May 29, 2026 linked to the lesser performing of the Nasdaq-100 index and the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing May 26; Cusip: 06740Q468

• Phoenix autocallable notes due June 1, 2018 linked to Under Armour, Inc. shares; via Barclays; pricing May 26; Cusip: 06741V3Y6

• Performance Leveraged Upside Securities due Sept. 6, 2017 linked to the Russell 2000 index; via Barclays with Morgan Stanley Wealth Management; pricing May 31; Cusip: 06740Q476

• 0% Accelerated Return Notes due July 2017 linked the Euro Stoxx 50, FTSE 100, Nikkei Stock Average, Swiss Market, S&P/ASX 200 and Hang Seng indexes; via BofA Merrill Lynch; pricing in May

• 9% STEP Income Securities due April 2017 linked to the common stock of Facebook, Inc.; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2017 linked to the JPX-Nikkei index 400; via Barclays; pricing in May

• 0% bear Accelerated Return Notes due July 2017 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in May

• 0% Leveraged Index Return Notes due May 2019 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due May 2018 linked to the S&P Oil & Gas Exploration & Production Select Industry index; via BofA Merrill Lynch; pricing in May

• 21- to 24-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741V3W0.

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due June 3, 2021 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing May 31; Cusip: 13605WBN0

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% trigger gears due May 29, 2026 linked to the Bloomberg Commodity Index 3 Month Forward; 70% trigger; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 17324P206

• 0% barrier digital plus securities due Dec. 2, 2019 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing May 26; Cusip: 17324C3A2

• 0% capped gears due July 31, 2017 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 17324P214

• 0% trigger gears due May 29, 2026 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 17324P222

• Autocallable contingent coupon equity-linked securities due June 1, 2017 linked to Halliburton Co. shares; 75% trigger; via Citigroup Global Markets Inc.; pricing May 26; Cusip: 17324C3J3

• 0% enhanced barrier digital plus securities due June 1, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing May 26; Cusip: 17324C2Y1

• Barrier digital plus securities based on a basket of three equity indexes Due Dec. 2, 2019; via Citigroup Global Markets Inc.; pricing May 26; Cusip: 17324C3F1

• 0% market-linked notes due Dec. 5, 2023 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management as dealer; pricing May 31; Cusip: 17324P248

• 4.75% to 5.25% equity-linked securities with geared buffered downside due June 4, 2021 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing June 1; Cusip: 17324C3H7

CREDIT SUISSE AG, LONDON BRANCH

• 0% digital buffered notes due Nov. 29, 2019 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 26; Cusip: 22548Q5F8

• 0% digital buffered notes due May 28, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 26; Cusip: 22548Q5G6

• 0% trigger autocallable contingent yield notes due May 31, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via UBS Financial Services Inc.; pricing May 26; Cusip: 22548R426

• Trigger autocallable contingent yield notes due May 31, 2018 linked to the SPDR S&P 500 ETF Trust; via UBS Financial Services Inc.; pricing May 26; Cusip: 22548R467

• Contingent coupon autocallable yield notes due June 2, 2021 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22548Q6W0

• Contingent coupon autocallable yield notes due June 2, 2021 linked to the iShares Nasdaq Biotechnology exchange-traded fund; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing May 27; Cusip: 22548Q6V2

• 0% absolute return barrier securities due June 3, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q4T9

• 0% accelerated barrier notes due June 3, 2021 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q4W2

• 0% digital plus barrier notes due June 3, 2020 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q4Y8

• 0% buffered return equity securities due Dec. 5, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q4X0

• Callable contingent coupon notes due June 3, 2019 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q5A9

• 0% digital plus barrier notes due June 4, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22548Q6J9

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

• Autocallable market-linked step up notes due May 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

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

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

• 6.5%-8.5% autocallable reverse convertible securities due June 12, 2017 linked to Chevron Corp. common stock; via Credit Suisse Securities (USA) LLC; pricing June 7; Cusip: 22545FAD4

• 0% digital plus barrier notes due June 17, 2022 linked to the iShares MSCI Emerging Markets exchange-traded fund; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing June 10; Cusip: 22548Q6X8

GOLDMAN SACHS GROUP, INC.

• 0% buffered jump securities due July 2, 2017 linked to the 10-year Constant Maturity Swap rate; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing May 27; Cusip: 38148TMX4

• Callable step-up fixed-rate notes with 2% initial rate due May 2023; via Goldman Sachs & Co.; pricing in May; Cusip: 38148TMG1

• Callable step-up fixed-rate notes due May 2031; via Goldman Sachs & Co. and Incapital LLC; pricing in May; Cusip: 38148TMQ9

• Callable step-up fixed rate notes due May 2036; via Goldman Sachs & Co. and Incapital LLC; pricing in May; Cusip: 38148TMW6

GS FINANCE CORP.

• 0% callable CMS spread and Russell 2000 index-linked range accrual notes due May 31, 2031; 50% trigger; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KC20

• Callable CMS spread and Russell 2000 index-linked range accrual notes due May 31, 2031; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KBZ8

• 0% trigger gears due May 31, 2019 linked to the Euro Stoxx 50 index; 70% trigger; pricing May 26; Cusip: 36250E860

• Callable buffered monthly range accrual notes due May 31, 2021 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KB96

• Callable buffered monthly range accrual notes due Nov. 30, 2023 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KC95

• Callable monthly range accrual notes due May 31, 2026 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KBU9

• 0% callable contingent coupon notes due May 31, 2021 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KC46

• 0% callable contingent coupon notes due May 31, 2021 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KC38

• Autocallable contingent coupon notes due June 2, 2026 linked to the worse performing of the Russell 2000 index and the S&P 500 index; vi Goldman Sachs & Co.; pricing May 26; Cusip: 40054KBY1

• Callable contingent coupon notes due May 31, 2020 linked to the worse performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054KBX3

• 0% trigger gears due May 29, 2026 linked to the Solactive Eurozone 50 Equal Weight 5% AR index; via Goldman Sachs & Co.; pricing May 26; Cusip: 36250E878

• Contingent income autocallable securities due May 31, 2019 linked to Alphabet Inc. common stock; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing May 27; Cusip: 36250Y205

• Contingent income autocallable securities due May 31, 2019 linked to Apple Inc. common stock; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing May 27; Cusip: 36250Y197

• 0% Performance Leveraged Upside Securities due Sept. 6, 2017 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing May 31; Cusip: 36250Y163

• Buffered Performance Leveraged Upside Securities due Dec. 5, 2018 linked to the S&P 500 index; via Goldman, Sachs & Co. with Morgan Stanley Wealth Management; pricing May 31; Cusip: 36250Y171

• 36- to 39-month 0% leveraged notes linked to a basket of indexes consisting of the Euro Stoxx 50 index (37% weight), the FTSE 100 index (23% weight), the Topix index (23% weight), the Swiss Market index (9% weight) and the S&P/ASX 200 index (8% weight); via Goldman Sachs & Co.

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

• 0% 38-month leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KCU8

HSBC USA INC.

• 6%-7.4% airbag autocallable yield notes due June 2, 2017 linked to Bank of America Corp. common stock; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 40434V863

• 6%-7.8% airbag autocallable yield notes due June 2, 2017 linked to Chipotle Mexican Grill, Inc. common stock; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 40434V855

• 6%-7.1% airbag autocallable yield notes due June 2, 2017 linked to Nike Inc. common stock; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing May 26; Cusip: 40434V848

• Contingent income autocallable securities due Dec. 1, 2016 linked to Marathon Oil Corp. common stock; via HSBC Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing May 27; Cusip: 40434V889

• 0% buffered Accelerated Market Participation Securities due Dec. 4, 2017 linked to Amazon.com, Inc. shares; via HSBC Securities (USA) Inc.; pricing May 31; Cusip: 40433UNA0

• 0% dual directional trigger Performance Leveraged Upside Securities due June 5, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing May 31; Cusip: 40434N143

• 0% dual directional trigger Performance Leveraged Upside Securities due June 5, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing May 31; Cusip: 40434N135

• Income plus notes due May 2021 linked to Cisco Systems, Inc., International Business Machines Corp., Merck & Co., Inc., Procter & Gamble Co. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing in May; Cusip: 40433UNB8

• 0% Leveraged Index Return Notes due May 2019 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in May

• 0% Leveraged Index Return Notes due May 2021 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in May

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

• 0% autocallable market-linked step-up notes due May 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2019 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

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

• 0% Leveraged Index Return Notes due May 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• 0% Strategic Accelerated Redemption Securities due May 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

• Fixed-to-floating-rate notes due June 8, 2021; via HSBC Securities (USA) Inc.; pricing June 3; Cusip: 40433UPE0

JPMORGAN CHASE & CO.

• Callable step-up notes due May 31, 2036; via J.P. Morgan Securities LLC; pricing May 26; Cusip: 48128GUR9

• 0% capped buffered enhanced participation equity notes due July 31, 2018 linked to the MSCI EAFE index; via J.P. Morgan Securities LLC; pricing May 26; Cusip: 48128GYG9

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% trigger step securities due May 29, 2020 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing May 26; Cusip: 46646W102

• Contingent income autocallable securities due June 2, 2017 linked to the class A common stock of Facebook, Inc.; 75% trigger; via J.P. Morgan Securities LLC; pricing May 27; Cusip: 46646W763

• Autocallable contingent interest notes due June 2, 2021 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 May 27; Cusip: 46646EDG4

• 0% Performance Leveraged Upside Securities due Sept. 6, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing May 31; Cusip: 46646W821

MORGAN STANLEY

• 0% buffered Performance Leveraged Upside Securities due Dec. 5, 2018 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766A376

• 0% buffered Performance Leveraged Upside Securities due Dec. 5, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766A384

MORGAN STANLEY FINANCE LLC

• 0% trigger gears due May 28, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing May 26; Cusip: 61766B317

• 0% trigger autocallable notes due May 28, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 26; Cusip: 61766B473

• Contingent income autocallable securities due May 31, 2019 linked to the common stock of Goldman Sachs Group, Inc.; via Morgan Stanley & Co. LLC; pricing May 27; Cusip: 61766B481

• 0% trigger Performance Leveraged Upside Securities due June 3, 2022 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766B382

• 0% market-linked notes due Dec. 3, 2021 linked to the Morgan Stanley ETF-MAP 2 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766B408

• 0% trigger Performance Leveraged Upside Securities due June 3, 2022 linked to the S&P 500 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766B374

• 0% market-linked notes due Dec. 5, 2023 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766B366

• 0% buffered Performance Leveraged Upside Securities due June 8, 2020 linked to the S&P 500 index, the iShares MSCI EAFE exchange-traded fund, the S&P MidCap 400 index, the iShares MSCI Emerging Markets ETF and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing June 1; Cusip: 61766BAW1

ROYAL BANK OF CANADA

• Trigger phoenix autocallable notes due June 1, 2018 linked to the common stock of Apple Inc.; via RBC Capital Markets, LLC; pricing May 26; Cusip: 78013GBA2

• 0% absolute return barrier notes due May 31, 2018 linked to the S&P 500 index; via RBC Capital Markets LLC; pricing May 26; Cusip: 78012KPF8

• 0% buffered bullish enhanced return notes due May 31, 2018 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing May 26; Cusip: 78012KPG6

• 0% market-linked securities – autocallable with fixed percentage buffered downside due June 4, 2018 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing May 31; Cusip: 78012KNU7

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 3, 2019 linked to iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; via Wells Fargo Securities, LLC; pricing May 31; Cusip: 78012KNT0

• 0% direct investment notes due July 11, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing June 3; Cusip: 78012KPA9

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due July 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

TORONTO-DOMINION BANK

• Callable step-up notes due May 31, 2021; via TD Securities (USA) LLC; pricing May 26; Cusip: 89114QVK1

• Callable step-up notes due May 31, 2023; via TD Securities (USA) LLC; pricing May 26; Cusip: 89114QVL9

• 0% market linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 3, 2020 linked to a basket of the SPDR S&P 500 ETF Trust with a 50% weight, the iShares Russell 2000 ETF with a 15% weight, the iShares MSCI EAFE ETF with a 15% weight, the iShares MSCI Emerging Markets ETF with a 10% weight, the PowerShares DB Commodity Index Tracking fund with a 5% weight and the Vanguard REIT ETF with a 5% weight; via TD Securities (USA) LLC and Wells Fargo Securities, LLC; pricing May 31; Cusip: 89114QVJ4

• 0% 18- to 21-month leveraged capped notes linked to the MSCI EAFE index; via TD Securities (USA) LLC and Goldman Sachs & Co.; Cusip: 89114QVP0

WELLS FARGO & CO.

• 0% market-linked securities with leveraged upside participation to a cap and buffered downside with multiplier due Aug. 5, 2019 linked to the Russell 2000 index; via Wells Fargo Securities LLC; pricing May 27; Cusip: 94986RN49

• Market-linked autocallable securities with contingent coupon and contingent downside due June 2, 2026 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing May 27; Cusip: 94986RM99

• 0% market-linked securities – autocallable with fixed percentage buffered downside due June 3, 2019 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing May 31; Cusip: 94986RL82

• Market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due June 3, 2019 linked to SPDR S&P 500 ETF trust; via Wells Fargo Securities, LLC; pricing May 31; Cusip: 94986RL74

• Fixed-to-floating notes due June 7, 2021; via Wells Fargo Securities, LLC; pricing June 2; Cusip: 94986RN31

• Fixed-to-floating notes due June 8, 2026 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing June 3; Cusip: 94986RM81


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