Structured Products Calendar

BANK OF AMERICA

• Step-up callable notes due June 16, 2031; via BofA Merrill Lynch; settling June 16; Cusip: 06048WSU5

• 0% Accelerated Return Notes due August 2017 linked to the Euro Stoxx 50 index; via Bank of America Merrill Lynch; pricing in June

• 0% Accelerated Return Notes due August 2017 linked to the JPX-Nikkei Index 400; via Bank of America Merrill Lynch; pricing in June

BANK OF MONTREAL

• 0% contingent risk absolute return notes due June 30, 2022 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing June 27; Cusip: 06367TFE5

BARCLAYS BANK PLC

• Callable contingent coupon notes due June 30, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing June 27; Cusip: 06741V3S9

• Callable contingent coupon notes due June 27, 2019 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing June 17; Cusip: 06741V4E9

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

BNP PARIBAS

• 0% buffered return enhanced notes due June 30, 2021 linked to a basket of 15 clean energy stocks; via BNP Paribas; pricing June 27; Cusip 05579TN0

• 0% digital notes due Dec. 31, 2018 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via BNP Paribas; pricing June 27; Cusip 05579TPM2

• 0% leveraged notes due June 30, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via BNP Paribas; pricing June 27; Cusip 05579TPK6

• 0% buffered notes due June 30, 2020 linked to the S&P 500 index; via BNP Paribas; pricing June 27; Cusip 05579TPH3

• 0% leveraged notes due June 30, 2021 linked to the S&P 500 index; via BNP Paribas; pricing June 27; Cusip 05579TPL4

• 0% leveraged notes due June 30, 2021 linked to the S&P 500 index, the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund; via BNP Paribas; pricing June 27; Cusip 05579TPJ9

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% trigger gears due June 30, 2021 linked to the iShares MSCI EAFE exchange-traded fund; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing June 27; Cusip: 17324P289

• 0% trigger gears due June 30, 2021 linked to the iShares MSCI EAFE exchange-traded fund; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing June 27; Cusip: 17324P263

• 0% trigger gears due June 30, 2026 linked to the Bloomberg Commodity Index 3 Month Forward; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing June 28; Cusip: 17324P271

• 0% trigger Performance Leveraged Upside Securities due July 6, 2022 linked to the Euro Stoxx 50 index; 65% trigger; via Citigroup Global Markets Inc. with Morgan Stanley Wealth Management; pricing June 30; Cusip: 17324P305

CREDIT SUISSE AG, LONDON BRANCH

• 0% dual directional capped knock-out notes due June 21, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing June 3; Cusip: 22548QAK1

• 8% to 10% autocallable reverse convertible securities due June 12, 2017 linked to Amazon.com, Inc. shares; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing June 7; Cusip: 22545FAC6

• 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

• Contingent coupon callable yield notes due June 12, 2017 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 7; Cusip: 22548QA62

• 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

• Contingent coupon callable yield notes due June 24, 2019 linked to the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing June 17; Cusip: 22548QAA3

• 0% absolute return barrier securities due June 24, 2019 linked to the S&P 500 index; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing June 17; Cusip: 22548QAD7

• Buffered accelerated return equity securities due July 2, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22548QA54

• 0% digital plus barrier notes due July 1, 2021 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22548QA21

• Accelerated barrier notes due July 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22548Q7E9

• Absolute return barrier securities due July 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22548Q7G4

• 0% digital buffered notes due July 1, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 28; Cusip: 22548QA88

• Contingent coupon callable yield notes due July 8, 2019 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548QA39

• 0% absolute return barrier securities due July 3, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548Q7H2

• Buffered accelerated return equity securities due Jan. 4, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548Q7L3

• 0% digital plus barrier notes due July 3, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548Q7J8

• Contingent coupon autocallable 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 June 30; Cusip: 22548QA47

• Accelerated barrier notes due July 6, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548Q7K5

• 0% market-linked step-up notes due June 2020 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in June

DEUTSCHE BANK AG, LONDON BRANCH

• Phoenix autocallable securities due June 21, 2017 linked to the common stock of Citigroup Inc.; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing June 3; Cusip: 25152R3G6

• 0% digital return notes due Sept. 13, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing June 3; Cusip: 25152R3F8

GS FINANCE CORP.

• Contingent income autocallable securities due June 8, 2017 linked to Bank of America Corp. common stock; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing June 3; Cusip: 36250Y221

• Contingent income autocallable securities due June 8, 2017 linked to class A Facebook Inc. common stock; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing June 3; Cusip: 36250Y239

• 0% leveraged notes due June 24, 2022 linked to the Dow Jones industrial average; 70% trigger; via Goldman Sachs & Co.; pricing June 17; Cusip: 40054KDB9

• 0% index-linked notes due June 26, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing June 17; Cusip: 40054KD86

• 0% leveraged buffered notes due June 29, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing June 24; Cusip: 40054KD37

• Callable CMS spread and Russell 2000 index-linked range accrual notes due June 30, 2031; 50% trigger; via Goldman Sachs & Co.; pricing June 28; Cusip: 40054KD60

• 0% 48-month index-linked notes linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; Cusip: 40054KD78

• 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.

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

• 6% to 7.4% airbag autocallable yield notes due June 9, 2017 linked to the common stock of Citigroup Inc.; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing June 3; Cusip: 40434V681

• 6% to 7.15% airbag autocallable yield notes due June 9, 2017 linked to the common stock of Ford Motor Co.; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing June 3; Cusip: 40434V673

• 0% autocallable growth barrier notes due June 28, 2019 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing June 27; Cusip: 40433UPA8

JPMORGAN CHASE & CO.

• 0% capped buffered return enhanced notes due Dec. 11, 2017 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 6; Cusip: 46646EDZ2

• Callable step-up fixed-rate notes due June 16, 2023; via J.P. Morgan Securities LLC; pricing June 13; Cusip: 48128GUP3

• Callable step-up fixed-rate notes due June 16, 2031; via J.P. Morgan Securities LLC; pricing June 13; Cusip: 48128GUQ1

• 8% to 10% callable reverse exchangeable notes due June 23, 2017 linked to Amazon.com, Inc. shares; via J.P. Morgan Securities LLC; pricing June 17; Cusip: 46625HRR3

JPMORGAN CHASE FINANCIAL CO. LLC

• Callable contingent interest notes due June 16, 2017 linked to Apple Inc. shares; 70% trigger; via J.P. Morgan Securities LLC; pricing June 10; Cusip: 46625HRN2

• 7% to 9% callable reverse exchangeable notes due June 16, 2017 linked to the class A common stock of Facebook, Inc.; 65% trigger; via J.P. Morgan Securities LLC; pricing June 10; Cusip: 46625HRP7

• 7.5% to 9.5% callable reverse exchangeable notes due June 16, 2017 linked to the common stock of Gilead Sciences, Inc.; 65% trigger; via J.P. Morgan Securities LLC; pricing June 10; Cusip: 46625HRQ5

• Autocallable contingent interest notes due June 20, 2017 linked to the 10-year U.S. dollar ICE swap rate; via J.P. Morgan Securities LLC; pricing June 15; Cusip: 46646EGB2

• Autocallable contingent interest notes due June 20, 2017 linked to the 10-year U.S. dollar ICE swap rate; via J.P. Morgan Securities LLC; pricing June 15; Cusip: 46646EGA4

• 0% dual directional trigger Performance Leveraged Upside Securities due July 5, 2018 linked to the Apple Inc. shares; 80% trigger; via J.P. Morgan Securities LLC; pricing June 15; Cusip: 46646W649

• 0% capped buffered return enhanced notes due June 29, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEJ7

• 0% capped buffered return enhanced notes due June 29, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEH1

• 0% capped gears due Aug. 31, 2017 linked to the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646W680

• 0% capped buffered return enhanced notes due June 29, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEG3

• 0% capped buffered return enhanced notes due June 28, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEN8

• 0% uncapped buffered return enhanced notes due June 30, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEM0

• 0% uncapped buffered return enhanced notes due June 30, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EEP3

• Autocallable yield notes due June 30, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFG2

• Autocallable contingent interest notes due June 30, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27

• Autocallable contingent interest notes due June 30, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFP2

• Autocallable yield notes due Oct. 2, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFN7

• Autocallable yield notes due Oct. 2, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFQ0

• Autocallable yield notes due Oct. 2, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFR8

• Autocallable contingent interest notes due Oct. 2, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 27; Cusip: 46646EFJ6

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due June 6, 2019 linked to Nike Inc. common stock; via Morgan Stanley & Co. LLC; pricing June 3; Cusip: 61766B549

• Contingent income securities due June 18, 2026 linked to the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing June 15; Cusip: 61766BAY7

• 0% trigger gears due June 30, 2026 linked to the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing June 27; Cusip: 61766B515

• 0% trigger gears due June 30, 2026 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing June 28; Cusip: 61766B523

• 0% trigger gears due June 30, 2021 linked to the Euro Stoxx 50 index; 75% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing June 28; Cusip: 61766B531

ROYAL BANK OF CANADA

• 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

• Contingent income autocallable securities due Dec. 8, 2016 linked to Regeneron Pharmaceuticals, Inc. shares; 75% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing June 3; Cusip: 78014C277

• 0% trigger gears due June 30, 2021 linked to the iShares MSCI Emerging Markets exchange-traded fund; 75% trigger; via RBC Capital Markets, LLC with UBS Financial Services Inc.; pricing June 27; Cusip: 78014C244

• 0% trigger gears due June 28, 2019 linked to the Euro Stoxx 50 index; 70% trigger; via RBC Capital Markets, LLC with UBS Financial Services Inc.; pricing June 28; Cusip: 78014C269

TORONTO-DOMINION BANK

• 0% 14- to 17-month leveraged capped buffered notes linked a basket of the 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 TD Securities (USA) LLC and Goldman, Sachs & Co.; Cusip: 89114QVR6

• 0% 24- to 27-month leveraged capped buffered notes linked the S&P 500 index; via TD Securities (USA) LLC and Goldman, Sachs & Co.; Cusip: 89114QVQ8

UBS AG, LONDON BRANCH

• 0% trigger gears due June 30, 2021 linked to the Energy Select Sector SPDR fund; 75% trigger; via UBS Financial Services Inc.; pricing June 27; Cusip: 90275R679

• 0% capped trigger gears due June 28, 2019 linked to the Financial Select Sector SPDR fund; 75% trigger; via UBS Financial Services Inc.; pricing June 27; Cusip: 90275R653

• 0% trigger gears due June 30, 2021 linked to the S&P 500 index; 60% trigger; via UBS Financial Services Inc.; pricing June 27; Cusip: 90275R661

WELLS FARGO & CO.

• 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

• Market-linked securities with contingent coupon and contingent downside due June 23, 2022 linked to the Russell 2000 index; 70% trigger; via Wells Fargo Securities, LLC; pricing June 17; Cusip: 94986RN64

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