Structured Products Calendar

BANK OF AMERICA

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

• Market-linked step-up notes due June 2018 linked to the Euro Stoxx 50 index; via BofA 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

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

• 0% Capped Leveraged Index Return Notes due June 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in June

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

BANK OF NOVA SCOTIA

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due July 6, 2021 linked to the S&P 500 index; via Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC; pricing June 30; Cusip: 064159HS

• Autocallable market-linked step-up notes due June 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in June

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

BARCLAYS BANK PLC

• Contingent income autocallable securities due July 6, 2021 linked to the worse performing of the Russell 2000 index and the S&P 500 index; via Barclays with Morgan Stanley Smith Barney LLC as dealer; pricing June 30; Cusip 06744K194

• 0% buffered Performance Leveraged Upside Securities due Jan. 3, 2019 linked to the S&P 500 index; via Barclays with Morgan Stanley Wealth Management as a dealer; pricing June 30; Cusip: 06744K186

• 0% Accelerated Return Notes due August 2017 linked to the MSCI Emerging Markets index; via Merrill Lynch & Co.; pricing in June

• 0% Accelerated Return Notes due August 2017 linked to the Nasdaq Biotechnology index; via BofA Merrill Lynch; pricing in June

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

• 0% Accelerated Return Notes due August 2017 linked to the S&P 500 index; via Merrill Lynch & Co.; pricing in June

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

• 0% Accelerated Return Notes due July 2017 linked to the common stock of Apple Inc.; via Goldman Sachs & Co.; pricing in July

• 0% 24- to 27-month capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741V5K4

• 18- to 21-month 0% capped leveraged notes linked to the S&P 500 index; via Barclays; Cusip: 06741V5N8

• 0% 18- to 21-month capped leveraged notes linked to the Euro Stoxx 50 index and the FTSE 100 index; via Barclays; Cusip: 06741V5Q1

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due July 6, 2020 linked to the Financial Select Sector SPDR fund; via Wells Fargo Securities, LLC; pricing June 30; Cusip: 13605WBP5

• 0% Accelerated Return Notes due August 2017 linked to the stocks of Citigroup Inc., JPMorgan Chase & Co. and Wells Fargo & Co.; via BofA Merrill Lynch; pricing in June

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

• 0% Accelerated Return Notes due August 2017 linked to 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 June

• 7% to 8% coupon bearing notes due June 2017 linked to Morgan Stanley shares; via Bank of America Merrill Lynch; pricing in June

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% enhanced barrier digital plus securities due July 2, 2021 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing June 29; Cusip: 17324C3R5

• 0.4% market-linked notes due Jan. 3, 2022 linked to iShares Core U.S. Aggregate Bond exchange-traded fund, the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing June 29; Cusip: 17324C3Y0

• 0% barrier securities due July 2, 2021 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via Citigroup Global Markets Inc.; pricing June 29; Cusip: 17324C4C7

• 0% market-linked notes due July 2, 2021 linked to the iShares Core U.S. Aggregate Bond ETF, the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing June 29; Cusip: 17324C3Z7

• 0% dual directional barrier securities due Jan. 4, 2019 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing June 30; Cusip: 17324C6B7

• 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

• 24- to 27-month 0% buffered digital notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing July 1; Cusip: 17324C6G6

• 0% Performance Leveraged Upside Securities due Aug. 4, 2017 linked the S&P 500 index, the Euro Stoxx 50 index, the WisdomTree Japan Hedged Equity Fund, the Technology Select Sector SPDR Fund, the Energy Select Sector SPDR Fund and the iShares Russell 2000 exchange-traded fund; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing July 1; Cusip: 17324P388

CREDIT SUISSE AG

• 0% trigger jump securities due July 5, 2018 linked to the common stock of Apple Inc.; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22548R616

• Callable contingent income securities due July 5, 2018 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 60% trigger; via Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management; pricing June 30; Cusip: 22548QBF1

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon callable yield notes due July 5, 2019 linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing June 29; Cusip: 22548QBV6

• 0% trigger jump securities due July 5, 2018 linked to the common stock of Apple Inc.; via Credit Suisse Securities (USA) LLC is the agent and Morgan Stanley Wealth Management; pricing June 30; Cusip: 22548R616

• 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

• 0% Performance Leveraged Upside Securities due Oct. 4, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC and Morgan Stanley Wealth Management; pricing June 30; Cusip: 22548R582

• 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

• Contingent coupon autocallable yield notes due July 7, 2021 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 1; Cusip: 22548QB61

• 0% Performance Leveraged Upside Securities due Aug. 4, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC and Morgan Stanley Wealth Management; pricing July 1; Cusip: 22548R657

• 10% to 12% autocallable reverse convertible securities due July 13, 2017 linked to Amazon.com, Inc. shares; via Credit Suisse Securities (USA) LLC; pricing July 8; Cusip: 22549JAR1

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

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

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

DEUTSCHE BANK AG, LONDON BRANCH

• 0% notes due August 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in June

• 0% Bear Accelerated Return Notes due August 2017 linked to the S&P 500 index; via Merrill Lynch & Co.; pricing in June

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due July 2021; via Goldman Sachs & Co. and Incapital LLC; pricing in June; Cusip: 38148TNA3

• Callable step-up fixed-rate notes due July 2028; via Goldman Sachs & Co. and Incapital LLC; pricing in June; Cusip: 38148TNB1

• Callable step-up fixed-rate notes due July 2036; via Goldman Sachs & Co. and Incapital LLC; pricing in June; Cusip: 38148TN96

GS FINANCE CORP.

• Contingent income callable securities due July 3, 2019 linked to the least performing of the MSCI EAFE index, the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing June 30; Cusip: 40054KEJ1

• Contingent income callable securities due July 5, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co. with Morgan Stanley Wealth Management as dealer; pricing June 30; Cusip: 40054KEN2

• 0% leveraged buffered notes due July 19, 2017 linked to the Stoxx Europe 600 index; 90% trigger; via Goldman Sachs & Co.; pricing July 1; Cusip: 40054KER3

• 0% notes due July 19, 2017 linked to the Stoxx Europe 600 index; 81.25% trigger; via Goldman Sachs & Co.; pricing July 1; Cusip: 40054KES1

• 48-month 0% notes linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; Cusip: 40054KDX1

• 18- to 21-month 0% leveraged notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 13- to 15-month 0% leveraged notes linked to the Russell 2000 index; via Goldman Sachs & Co.

• 14-month 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054KEH5

• 24- to 27-month 0% digital notes linked to the Russell 2000 index; via Goldman Sachs & Co.

• Three-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054KE85

• Two-year 0% digital notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KE44

• Three-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KE77

• Three-year 0% autocallable buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KE93

HSBC USA INC.

• 0% dual directional trigger Performance Leveraged Upside Securities due July 3, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing June 30; Cusip: 40434V715

• 0% dual directional trigger Performance Leveraged Upside Securities due July 3, 2019 linked to the MSCI World index; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management handling distribution; pricing June 30; Cusip: 40434K115

• 0% trigger Performance Leveraged Upside Securities due July 6, 2022 linked to the S&P 500 index; 65% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing June 30; Cusip: 40434V723

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

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

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

• Autocallable market-linked step-up notes due June 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in June

• Contingent income autocallable securities due Jan. 6, 2017 linked to Netflix, Inc. shares; 70% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing July 1; Cusip: 40434K123

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% buffered digital notes due Aug. 4, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 29; Cusip: 46646EKC5

• 0% capped dual directional buffered notes due Aug. 16, 2017 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing June 29; Cusip: 46646EKR2

• Autocallable yield notes due July 6, 2017 linked to the common stock of CSX Corp.; via J.P. Morgan Securities LLC; pricing June 30; Cusip: 46646EJJ2

• 0% Performance Leveraged Upside Securities due Oct. 4, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing June 30; Cusip: 46646W490

• 0% capped buffered enhanced participation equity notes due March 8, 2018 linked to the MSCI EAFE index; via J.P. Morgan Securities LLC; pricing June 30; Cusip: 46646EJS2

• 0% dual directional trigger Performance Leveraged Upside Securities due July 3, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 30; Cusip: 46646W615

• Autocallable contingent interest notes due Oct. 5, 2017 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 June 30; Cusip: 46646EHW5

• 0% capped dual directional contingent buffered equity notes due Jan. 4, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 30; Cusip: 46646EKY7

• Contingent income callable securities due July 6, 2026 linked to the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing June 30; Cusip: 46646EGZ9

• 0% capped dual directional contingent buffered equity notes due Jan. 4, 2018 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing June 30; Cusip: 46646EKT8

• Autocallable contingent interest notes due July 7, 2017 linked to Apple Inc. common stock; via J.P. Morgan Securities LLC; pricing July 1; Cusip: 46646EJB9

• 0% capped enhanced participation notes due July 6, 2018 linked to Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via J.P. Morgan Securities LLC; pricing July 1; Cusip: 46646EKF8

• 0% capped buffered return enhanced notes due July 7, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 1; Cusip: 46646EKL5

• 0% capped enhanced participation equity notes due July 6, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 1; Cusip: 46646EKG6

• Callable contingent interest notes due Jan. 13, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange; 55% trigger; via J.P. Morgan Securities LLC; pricing July 6; Cusip: 46646EKT8

• 8%-10% autocallable yield notes due July 13, 2017 linked to Amazon.com, Inc. common stock; via J.P. Morgan Securities LLC; pricing July 8; Cusip: 46646EJP8

• 7%-9% autocallable yield notes due July 13, 2017 linked to Facebook, Inc. class A common stock; via J.P. Morgan Securities LLC; pricing July 8; Cusip: 46646EJQ6

• 7.5%-9.5% autocallable yield notes due July 13, 2017 linked to Gilead Sciences, Inc. common stock; via J.P. Morgan Securities LLC; pricing July 8; Cusip: 46646EJR4

• 0% capped buffered return enhanced notes due Jan. 11, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC ; pricing July 8; Cusip: 46646EKZ4

• Contingent income autocallable securities due July 18, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC handling distribution; pricing July 15; Cusip: 46646W417

• Autocallable contingent interest notes due July 24, 2019 linked to the least performing of the common shares of Bank of Montreal, Royal Bank of Canada and Toronto-Dominion Bank; 75% trigger; via J.P. Morgan Securities LLC; pricing July 19; Cusip: 46646EKM3

MORGAN STANLEY

• 0% 23- to 26-month leveraged buffered notes linked to the MSCI EAFE index; via Morgan Stanley & Co. LLC; pricing in June; Cusip: 61761J3E7

MORGAN STANLEY FINANCE LLC

• 0% Performance Leveraged Upside Securities due Oct. 4, 2017 linked to the Financial Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing June 30; Cusip: 61766A418

• 0% market-linked notes due Jan. 4, 2022 linked to the Morgan Stanley ETF-Map 2 index; via Morgan Stanley & Co. LLC; pricing June 30; Cusip: 61766B598

• 0% Performance Leveraged Upside Securities due Oct. 4, 2017 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing June 30; Cusip: 61766A426

• Fixed-to-floating rate securities due June 30, 2036 linked to the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing June 30; Cusip: 61766YAE1

• 0% market-linked notes due Jan. 3, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing June 30; Cusip: 61766B564

• 24- to 27-month 0% capped leveraged buffered notes linked to the Euro Stoxx 50, FTSE 100, Tokyo Stock Price, Swiss Market and S&P/ASX 200 indexes; via Morgan Stanley & Co. LLC; pricing in June; Cusip 61761J3B3

• Contingent income autocallable securities due July 5, 2019 linked to Amazon.com, Inc. shares; 75% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing July 1; Cusip: 61766B622

• Contingent income autocallable securities due July 10, 2017 linked to Citigroup Inc. shares 75% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing July 1; Cusip: 61766A442

ROYAL BANK OF CANADA

• 0% autocallable market-linked securities with fixed percentage buffered downside due July 6, 2018 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing June 30; Cusip: 78012KPU5

• 0% bullish barrier booster notes due June 30, 2022 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing June 30; Cusip: 78012KPT8

• 0% Performance Leveraged Upside Securities due Dec. 23, 2016 linked to the S&P 500 index, Euro Stoxx 50 index, Market Vectors Gold Miners ETF, SPDR S&P Bank ETF, WisdomTree Japan Hedged Equity Fund and WisdomTree India Earnings Fund; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing June 30; Cusip: 78014C343

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

• 10% STEP Income Securities due June 2017 linked to Hewlett-Packard Co. common stock; via BofA Merrill Lynch; pricing in June

• 0% direct investment notes due Aug. 8, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC: pricing July 6; Cusip: 78012KPZ4

• 17- to 20-month 0% leveraged buffered notes linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78012KQH3

TORONTO-DOMINION BANK

• 0% leveraged capped buffered notes due July 6, 2021 linked a basket of the 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 June 30; Cusip: 89114QVU9

WELLS FARGO & CO.

• Step-up callable notes with 1.3% initial rate due July 6, 2020; via Wells Fargo Securities LLC; pricing June 30; Cusip: 94986RP96

• Step-up callable notes due July 6, 2028; via Wells Fargo Securities LLC; pricing June 30; Cusip 94986RP62

• Fixed-to-floating notes due July 6, 2026 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing June 30; Cusip 94986RP70

• 0% autocallable securities with buffered downside due July 6, 2018 linked to the Energy Select Sector SPDR exchange-traded fund; via Wells Fargo Securities LLC; pricing June 30; Cusip 94986RP39

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due July 8, 2019 linked to SPDR S&P 500 ETF trust; via Wells Fargo Securities, LLC; pricing June 30; Cusip 94986RP21

• Step-up callable notes with 1.5% initial rate due July 7, 2021; via Wells Fargo Securities LLC; pricing July 1; Cusip: 94986RQ20

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