Structured Products Calendar

BANK OF MONTREAL

• 0% buffered bullish digital return notes with barrier due Nov. 30, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Oct. 26; Cusip: 06367TLN8

• 0% buffered bullish digital return notes with barrier due Nov. 30, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Oct. 26; Cusip: 06367TLQ1

BARCLAYS BANK PLC

• 14- to 16-month 0% capped leveraged notes linked to the Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via Barclays; Cusip: 06741VC75

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% barrier digital plus securities due April 30, 2020 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Oct. 26; Cusip: 17324CBE5

• 0% market-linked notes due Nov. 2, 2021 linked to the iShares Core U.S. Aggregate Bond ETF, the Dow Jones Industrial Average and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Oct. 28; Cusip: 17324CBN5

• 15- to 17-month 0% buffered notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 17324CB47

• 0% buffered digital notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 17324CB54

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due Oct. 11, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 5; Cusip: 22548QJC0

• 0% Performance Leveraged Upside Securities due Feb. 5, 2018 linked to the Financial Select Sector SPDR fund; via Barclays; pricing Oct. 14; Cusip: 06745B219

• 0% Buffered Accelerated Return Equity Securities due Oct. 31, 2018 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 222548QJN6

• 0% Buffered Accelerated Return Equity Securities due Oct. 31, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJP1

• 7% to 9% contingent coupon autocallable yield notes due Jan. 31, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJX4

• Contingent coupon autocallable yield notes due Oct. 31, 2019 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJZ9

• 0% digital plus barrier notes due Oct. 29, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QK20

• 0% autocallable securities due Oct. 31, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJL0

• Contingent coupon autocallable yield notes due Oct. 31, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJZ9

• 0% absolute return digital barrier securities due Oct. 29, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJM8

• 9% to 11% contingent coupon callable yield notes due Oct. 31, 2019 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Oct. 26; Cusip: 22548QJU0

• 0% Buffered Accelerated Return Equity Securities due May 3, 2018 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJS5

• Contingent coupon autocallable yield notes due Feb. 2, 2018 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QK46

• 0% Buffered Accelerated Return Equity Securities due May 3, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJR7

• Contingent coupon autocallable yield notes due Feb. 2, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QK46

• Contingent coupon callable yield notes due Nov. 1, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QK38

• 0% digital plus barrier notes due Nov. 4, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip; 22548QJY2

• 0% absolute return digital barrier securities due Nov. 4, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJW6

• 0% digital plus barrier notes due Nov. 4, 2020 linked to the worse performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJY2

• 0% absolute return digital barrier securities due Nov. 3, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJQ9

• 10% to 12% contingent coupon callable yield notes due Nov. 1, 2019 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Oct. 31; Cusip: 22548QJT3

GS FINANCE CORP.

• Contingent income autocallable securities due Oct. 19, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Oct. 14; Cusip: 40054KL61

• 0% index-linked notes due Oct. 28, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Oct. 25; Cusip: 40054KLL8

• Two-year 0% leveraged buffered notes linked to the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co.; Cusip: 40054KJX5

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

• Two-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054KJW7

• 0% 17- to 20-month digital notes linked to the S&P 500 index; via Goldman Sachs & Co.

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

HSBC USA INC.

• Callable notes with contingent return due Oct. 15, 2019 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Oct. 7; Cusip: 40433UWW2

• Contingent income autocallable securities due Oct. 12, 2017 linked to Wynn Resorts Ltd. common stock; via HSBC Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Oct. 7; Cusip: 40435B593

• Callable step-up rate notes due Oct. 20, 2026; via HSBC Securities (USA) Inc.; pricing Oct. 17; Cusip: 40433UVU7

• 0% buffered accelerated market participation securities due April 30, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Oct. 26; Cusip: 40433UKR6

• 0% buffered accelerated market participation securities due April 30, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Oct. 26; Cusip: 40433UKR6

• 0% buffered accelerated market participation securities due April 30, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Oct. 26; Cusip: 40433UKR6

• 0% Leveraged Index Return Notes due September 2019 linked to S&P 500 index, the Euro Stoxx 50 index and the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in October

• 18- to 21-month 0% capped leveraged notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UVE3

• 18- to 21-month 0% leveraged buffered capped notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UVT0

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% capped enhanced participation notes due Oct. 4, 2018 linked to a basket of the 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 Oct. 3; Cusip: 46646EE40

• 0% digital equity notes due April 5, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Oct. 3; Cusip: 46646EF80

• 0% digital equity notes due Oct. 4, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Oct. 3; Cusip: 46646EE57

• 0% capped buffered return enhanced notes due Oct. 9, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Oct. 3; Cusip: 46646EP97

• 0% uncapped buffered return enhanced notes due Oct. 9, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Oct. 4; Cusip: 46646EB27

• 0% capped buffered enhanced participation equity notes due Oct. 10, 2018 linked to the S&P 500 index; 77.5% trigger; via J.P. Morgan Securities LLC; pricing Oct. 4; Cusip: 46646EF56

• 0% capped buffered return enhanced notes due April 9, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Oct. 4; Cusip: 46646EH62

• 0% capped buffered return enhanced notes due April 10, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Oct. 4; Cusip: 46646ER87

• Autocallable contingent interest notes due Jan. 10, 2018 linked to Apple Inc. shares; 72.5% trigger; via J.P. Morgan Securities LLC; pricing Oct. 5; Cusip: 46646EG55

• 0% capped buffered enhanced participation equity notes due Oct. 11, 2018 linked to the S&P 500 index; 90% trigger; via J.P. Morgan Securities LLC; pricing Oct. 5; Cusip: 46646ED41

• 0% capped buffered return enhanced notes due April 11, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Oct. 6; Cusip: 46646EQ88

• 0% review notes due Oct. 12, 2020 linked to the Energy Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via J.P. Morgan Securities LLC; pricing Oct. 7; Cusip: 46646EH21

• Callable contingent interest notes due Oct. 15, 2019 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via J.P. Morgan Securities LLC; pricing Oct. 7; Cusip: 46646EG22

• 0% review notes due Oct. 12, 2020 linked to the SPDR Gold Trust and the iShares Silver Trust; via J.P. Morgan Securities LLC; pricing Oct. 7; Cusip: 46646EG97

• Autocallable contingent interest notes due Oct. 18, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Oct. 14; Cusip: 46646EG71

• 0% capped buffered enhanced participation equity notes due Oct. 25, 2018 linked to a basket of two indexes and an exchange-traded fund; via J.P. Morgan Securities LLC; pricing Oct. 20; Cusip: 46646EF98

MORGAN STANLEY FINANCE LLC

• 0% capped leveraged notes linked to a basket of the Euro Stoxx 50 index, the FTSE 100 index, the Tokyo Stock Price index, the Swiss Market index and the S&P/ASX 200 index; via Morgan Stanley; Cusip: 61768CAH0

ROYAL BANK OF CANADA

• 0% direct investment notes due Nov. 8, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets LLC; pricing Oct. 5; Cusip: 78012KTL1

• 0% Accelerated Return Notes due December 2017 linked to AstraZeneca plc, Eli Lilly and Co. and Pfizer Inc.; via BofA Merrill Lynch; pricing in October

WELLS FARGO & CO.

• 0% 23- to 26-month enhanced return securities with capped upside and one-to-one downside exposure linked to the S&P 500 index; via Wells Fargo Securities LLC; Cusip: 94986RX22

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