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Published on 2/16/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due Aug. 28, 2024; via Merrill Lynch Capital Services, Inc.; pricing Feb. 28; Cusip: 06048WUB4

• Step-up callable notes due Feb. 28, 2029; via Merrill Lynch Capital Services, Inc.; pricing Feb. 28; Cusip: 06048WUA6

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due Feb. 28, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TTB6

• 6.6% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to iShares Nasdaq Biotechnology exchange-traded fund; 80% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRV4

• 8.4% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to iShares Nasdaq Biotechnology exchange-traded fund; 80% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRZ5

• Autocallable cash-settled notes with step-up call due Feb. 28, 2020 linked to iShares U.S. Real Estate exchange-traded fund; 85% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSG6

• 0% buffered bullish enhanced return notes due March 29, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSS0

• 0% buffered bullish enhanced return notes due Feb. 28, 2019 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TTA8

• 0% buffered bullish enhanced return notes due March 29, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSR2

• Autocallable cash-settled notes with conditional interest payments due Feb. 28, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 65% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TST8

• 9% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to SPDR S&P Metals and Mining exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRW2

• 10.8% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to SPDR S&P Metals and Mining exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSA9

• 8.4% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRT9

• 0% contingent risk absolute return notes with digital upside due Feb. 28, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSP6

• 10.2% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRX0

• 0% contingent risk absolute return notes with digital upside due Feb. 28, 2019 linked to the VanEck Vectors Gold Miners exchange-traded fund; 60% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSQ4

• 12.6% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to VanEck Vectors Gold Miners exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRY8

• 10.8% autocallable cash-settled notes with fixed interest payments due Feb. 28, 2018 linked to VanEck Vectors Gold Miners exchange-traded fund; 65% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TRU6

• Autocallable barrier notes with contingent coupon due Feb. 28, 2020 linked to VanEck Vectors Gold Miners exchange-traded fund; 60% trigger; via BMO Capital Markets Corp.; pricing Feb. 23; Cusip: 06367TSE1

BARCLAYS BANK PLC

• Step-up fixed-rate callable notes due Feb. 17, 2032 with 3.75% initial rate; via Barclays; pricing Feb. 17; Cusip: 06741VK68

• Contingent income autocallable securities with step-up redemption threshold level feature due Feb. 21, 2020 linked to Apple Inc. common stock; via Barclays and Morgan Stanley Wealth Management; pricing Feb. 17; Cusip: 06746W121

• 0% notes due Feb. 23, 2024 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Feb. 17; Cusip: 06741VJ94

• Contingent income callable securities with step-up redemption threshold level feature due Feb. 21, 2020 linked to common stock of Chevron Corp.; via Barclays; pricing Feb. 17; Cusip: 06745T889

• Contingent income callable securities due Aug. 22, 2019 linked to worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Barclays; pricing Feb. 17; Cusip: 06741VKQ4

• Trigger callable contingent yield notes due Aug. 26, 2019 with daily coupon observation linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and Barclays Capital Inc.; pricing Feb. 17; Cusip: 06745T863

• 0% digital notes due May 23, 2018 linked to the S&P 500 index; via Barclays; pricing Feb. 17; Cusip: 06741VKU5

• 0% notes due Aug. 22, 2018 linked to the S&P 500 index; via Barclays; pricing Feb. 17; Cusip: 06741VKV3

• 9% to 10% callable contingent coupon notes due Feb. 21, 2020 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 Feb. 17; Cusip: 06741VJ78

• 0% annual autocallable notes due Feb. 23, 2021 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 Feb. 17; Cusip: 06741VJ86

• Step-up fixed-rate callable notes due Feb. 22, 2019; via Barclays; settlement on Feb. 22; Cusip: 06741VKF8

• 0% notes due Aug. 27, 2020 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Feb. 23; Cusip: 06741VJK9

• 0% buffered SuperTrack notes due Feb. 28, 2022 linked to the Dow Jones industrial average; via Barclays; pricing Feb. 23; Cusip: 06741VJD5

• Step-down callable contingent payment notes due Feb. 26, 2027 linked to the Euro Stoxx 50 index and the Russell 2000 index; 65% trigger; via Barclays; pricing Feb. 23; Cusip: 06741VKE1

• Step-up callable contingent payment notes due Feb. 26, 2027 linked to the Euro Stoxx 50 index and the Russell 2000 index; 50% trigger; via Barclays; pricing Feb. 23; Cusip: 06741VJM5

• Autocallable notes due Feb. 28, 2019 linked to the least performing of the commons stocks of Marathon Oil Corp., Chevron Corp. and Valero Energy Corp.; 50% trigger; via Barclays; pricing Feb. 23; Cusip: 06741VJQ6

• 0% buffered digital notes due Aug. 28, 2019 linked to the Russell 2000 index; via Barclays; pricing Feb. 23; Cusip: 06741VJR4

• Phoenix autocallable notes due Aug. 28, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via Barclays; pricing Feb. 23; Cusip: 06741VK35

• 0% buffered digital notes due Aug. 27, 2020 linked to the S&P 500 index; via Barclays; pricing Feb. 23; Cusip: 06741VJT0

• 0% buffered SuperTrack notes due Feb. 28, 2022 linked to the S&P 500 index; via Barclays; pricing Feb. 23; Cusip: 06741VJA1

• Digital plus notes due Feb. 28, 2022 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Barclays; pricing Feb. 23; Cusip: 06741VJX1

• 0% trigger autocallable contingent yield notes due Feb. 26, 2027 linked to the lesser performing of the MSCI EAFE index and the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing Feb. 24; Cusip: 06745T830

• Phoenix autocallable notes due June 1, 2018 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Barclays; pricing Feb. 28; Cusip: 06741VK43

• Dual directional notes due Sept. 3, 2019 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Barclays; pricing Feb. 28; Cusip: 06741VJU7

• Callable contingent coupon notes due March 3, 2022 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Barclays; pricing Feb. 28; Cusip: 06741VJF0

• Notes due February 2018 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in February

BOFA FINANCE LLC

• Notes due February 2018 linked to a basket of the common stocks of Amazon.com, Inc., Steel Dynamics, Inc., General Dynamics Corp., JPMorgan Chase & Co. and Frontier Communications Corp.; via BofA Merrill Lynch; pricing in February

• Capped leveraged index return notes due February 2019 linked to Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

CANADIAN IMPERIAL BANK OF COMMERCE

• Capped Leveraged Index Return Notes due January 2019 linked to a basket of the S&P 500 Index, the MSCI EAFE Index and the MSCI Emerging Markets Index; via BofA Merrill Lynch; pricing in February

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 8.25% to 9.25% autocallable contingent coupon equity-linked securities due Feb. 25, 2020 linked to the common stock of Caterpillar Inc.; via Citigroup Global Markets Inc.; pricing Feb. 17; Cusip: 17324CF76

• Autocallable securities due Feb. 24, 2021 linked to Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund; 60% trigger; via Citigroup Global Markets Inc.; pricing Feb. 17; Cusip: 17324CEL6

• 8.5% to 10% autocallable contingent coupon equity-linked securities due Aug. 24, 2018 linked to the lesser-performing of the common stock of Apple Inc. and the class A common stock of Alphabet Inc.; via Citigroup Global Markets Inc.; pricing Feb. 21; Cusip: 17324XBB5

• 0.75% Market-linked notes due Aug. 26, 2022 linked to an equally weighted basket of the Dow Jones industrial average, the Euro Stoxx 50 index and shares of the iShares iBoxx $ High Yield Corporate Bond ETF; via Citigroup Global Markets Inc.; pricing Feb. 23; Cusip: 17324CEW2

• Autocallable contingent coupon equity-linked securities due Feb. 28, 2019 linked to the worst performing of the common stocks of Valero Energy Corp., Bank of America Corp. and Nordstrom, Inc.; 50% trigger; via Citigroup Global Markets Inc.; pricing Feb. 23; Cusip: 17324CEX0

• 0% buffer securities due March 3, 2022 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing Feb. 27; Cusip: 17324CF68

• 0% 18- to 21-month buffered notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; Cusip: 17324CF43

CREDIT SUISSE AG

• Autocallable contingent income securities due Feb. 23, 2018 linked to American Airlines Group Inc. common stock; via Credit Suisse Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Feb. 17; Cusip: 22549A380

• Autocallable contingent income securities due Aug. 22, 2017 linked to Netflix Inc. common stock; via Credit Suisse Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Feb. 17; Cusip: 22549A364

• Autocallable contingent income securities due Feb. 21, 2020 linked to Netflix Inc. common stock; via Credit Suisse Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Feb. 17; Cusip: 22549A372

CREDIT SUISSE AG, LONDON BRANCH

• 0% accelerated barrier notes due Feb. 26, 2019 linked to the Financial Select Sector SPDR fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QU37

• 0% Accelerated Return Equity Securities due March 26, 2018 linked to the iShares China Large-Cap exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QVF9

• Digital plus barrier notes due Feb. 27, 2023 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QTZ8

• Buffered Accelerated Return Equity Securities due Feb. 23, 2022 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QVP7

• Digital barrier notes due Aug. 24, 2018 linked to lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QTY1

• Contingent coupon callable yield notes due Feb. 27, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QU29

• Digital barrier notes due March 22, 2018 linked to lowest performing of the S&P 500 index and the SPDR S&P biotech ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 17; Cusip: 22548QV69

• 6% to 8% autocallable reverse convertible securities due Feb. 27, 2018 linked to the class A common stock of Facebook, Inc.; via Credit Suisse Securities (USA) LLC; pricing Feb. 22; Cusip: 22549JEL0

• Step-up contingent coupon callable yield notes due Feb. 26, 2027 linked to the lowest performing of the Euro Stoxx 50 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22548QUD5

• Autocallable yield notes due Feb. 28, 2018 linked to lowest performing of International Business Machines Corp., Microsoft Corp., Intel Corp., Cisco Systems, Inc. and Oracle Corp.; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22549JEJ5

• 0% Buffered Accelerated Return Equity Securities due Feb. 28, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22548QTE5

• Digital plus barrier notes due Feb. 26, 2021 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22548QU60

• Contingent coupon callable yield notes due Feb. 28, 2022 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22548QU94

• Contingent coupon callable yield notes due Feb. 28, 2022 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 23; Cusip: 22548QTW5

• Contingent coupon autocallable yield notes due June 4, 2018 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22548QTL9

• Digital plus barrier notes due March 4, 2020 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22548QTQ8

• Accelerated barrier notes due March 3, 2022 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22548QU45

• Absolute return digital barrier securities due March 3, 2022 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22548QTP0

• 0% Accelerated Return Notes due April 2018 linked to a basket of Citigroup Inc., JPMorgan Chase & Co. and Morgan Stanley; via BofA Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2020 linked to the Russell 2000 index; via Credit Suisse International and Merrill Lynch & Co.; pricing in February

• Autocallable market-linked step-up notes due February 2020 linked to the S&P 500 index; via Credit Suisse International and Merrill Lynch & Co.; pricing in February

• 0% Accelerated Return Notes due February 2019 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2018 linked to the S&P MidCap 400 index; via BofA Merrill Lynch; pricing in February

• 0% 23- to 26-month leveraged notes linked to 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 Credit Suisse Securities (USA) LLC; Cusip: 22548QV77

GOLDMAN SACHS BANK USA

• Variable-coupon basket-linked certificates of deposit due Feb. 25, 2022 linked to a basket of 10 equally weighted stocks (Altria Group, Inc., Apple, Inc., AT&T, Inc., McDonald’s Corp., Medtronic plc, Merck & Co., Inc., Pfizer, Inc., UnitedHealth Group Inc., Verizon Communications, Inc. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co. with Incapital LLC as distributor; pricing Feb. 22; Cusip: 38148DS47

• Variable-coupon basket-linked certificates of deposit due Feb. 27, 2024 linked to a basket of 10 equally weighted stocks (Altria Group, Inc., Apple, Inc., AT&T, Inc., McDonald’s Corp., Medtronic plc, Merck & Co., Inc., Pfizer, Inc., UnitedHealth Group Inc., Verizon Communications, Inc. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co. with Incapital LLC as distributor; pricing Feb. 22; Cusip: 38148DS39

• Variable-coupon basket-linked certificates of deposit due Feb. 27, 2024 linked to a basket of 10 equally weighted stocks (Altria Group, Inc., Apple, Inc., AT&T, Inc., McDonald’s Corp., Medtronic plc, Merck & Co., Inc., Pfizer, Inc., UnitedHealth Group Inc., Verizon Communications, Inc. and Wal-Mart Stores, Inc.); via Goldman Sachs & Co. with Incapital LLC as distributor; pricing Feb. 22; Cusip: 38148DS54

• 0% certificates of deposit due Feb. 27, 2024 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 22; Cusip: 38148DRT3

• 0% certificates of deposit due Feb. 25, 2022 linked to the Russell 2000 index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 22; Cusip: 38148DRW6

• 0% certificates of deposit due Feb. 27, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 22; Cusip: 38148DRU0

• 0% certificates of deposit due Feb. 27, 2024 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 22; Cusip: 38148DRV8

• 0% certificates of deposit due Feb. 27, 2024 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 22; Cusip: 38148DRF3

• 0% certificates of deposit due Feb. 28, 2024 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 23; Cusip: 38148DRA4

• 0% certificates of deposit due Feb. 28, 2024 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co. and Incapital LLC; pricing Feb. 23; Cusip: 38148DRB2

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due February 2022; via Goldman, Sachs & Co. and Incapital LLC; pricing February; Cusip: 38150A2A2

GS FINANCE CORP.

• Leveraged notes due Feb. 27, 2023 linked to the Dow Jones Industrial Average; via Goldman, Sachs & Co.; pricing Feb. 17; Cusip: 40054KUY0

• Notes due Aug. 26, 2024 linked to GS Momentum Builder Multi-Asset 5 ER index; via Goldman, Sachs & Co.; pricing Feb. 17; Cusip: 40054KV29

• Contingent income autocallable securities due Feb. 21, 2020 linked to Halliburton Co. stock; 75% trigger; via Goldman, Sachs & Co. with Morgan Stanley Smith Barney LLC; pricing Feb. 17; Cusip: 36251U863

• 0% buffered notes due Feb. 25, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 17; Cusip: 40054KX68

• Autocallable contingent coupon index-linked notes due Feb. 25, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman, Sachs & Co.; pricing Feb. 17; Cusip: 40054KW93

• Contingent income callable securities due Feb. 22, 2019 linked to the lesser performing of the S&P 500 index, Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Feb. 17; Cusip: 40054KWR3

• Trigger notes due May 23, 2018 linked to Stoxx Europe 600 index; via Goldman, Sachs & Co.; pricing Feb. 17; Cusip: 40054KWX0

• Notes due Aug. 22, 2018 linked to Stoxx Europe 600 index; via Goldman, Sachs & Co.; pricing Feb. 17; Cusip: 40054KWZ5

• 0% capped gears due April 30, 2018 linked to the MSCI EAFE index; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 36251U822

• Callable CMS spread and index-linked range accrual notes due Feb. 28, 2027 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 40054KW51

• Callable CMS spread and index-linked range accrual notes due Feb. 28, 2032 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 40054KW44

• Autocallable contingent coupon index-linked notes due May 30, 2018 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 40054KW69

• 0% trigger autocallable contingent yield notes due Feb. 26, 2027 linked to the S&P 500 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Feb. 24; Cusip: 36251V135

HSBC BANK USA, NA

• Income Plus certificates of deposit due Feb. 28, 2022 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YEV5

• Income Plus certificates of deposit due Feb. 28, 2022 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YEW3

• Income Plus certificates of deposit due Feb. 28, 2022 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YEX1

• Income Plus certificates of deposit due Feb. 28, 2022 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YEY9

• Income Plus certificates of deposit due Feb. 27, 2024 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YEZ6

• Income Plus certificates of deposit due Feb. 27, 2024 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YFA0

• Income Plus certificates of deposit due Feb. 27, 2024 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YFB8

• Income Plus certificates of deposit due Feb. 27, 2024 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Feb. 22; Cusip: 40434YFC6

HSBC USA INC.

• Callable step-up notes due Feb. 23, 2022; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UR81

• 7% to 8.9% airbag autocallable yield notes due Feb. 27, 2018 linked to Chicago Bridge & Iron Co. NV shares; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Feb. 17; Cusip: 40435H103

• 7.4% to 9.4% airbag autocallable yield notes due Feb. 27, 2018 linked to Credit Suisse Group AG American Depositary Receipts; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Feb. 17; Cusip: 40435H202

• Barrier accelerated market participation securities due Feb. 15, 2022 linked to Euro Stoxx Banks index; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UQ74

• 0% leveraged buffered uncapped market participation securities due Feb. 28, 2022 tied to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UM94

• 0% barrier Accelerated Market Participation Securities due Feb. 15, 2022 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UQ66

• 7.4% to 9.4% airbag autocallable yield notes due Feb. 27, 2018 linked to Micron Technology, Inc. shares; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Feb. 17; Cusip: 40435H301

• 0% autocallable barrier notes with contingent return due March 1, 2021 linked to the Russell 2000 index and the SPDR S&P Bank exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UN28

• 0% Accelerated Market Participation Securities due April 27, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UN36

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 17; Cusip: 40433UM86

• 0% leveraged buffered uncapped market participation securities due Feb. 24, 2022 linked to the iShares MSCI EAFE index fund; via HSBC Securities (USA) Inc.; pricing Feb. 21; Cusip: 40433US23

• 0% autocallable barrier notes with contingent return due Feb. 28, 2018 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40435C237

• Autocallable barrier notes with contingent return due May 29, 2018 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40435C195

• 7% autocallable yield notes due May 29, 2018 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40435C229

• 5% autocallable yield notes due Aug. 28, 2018 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Feb. 23; Cusip: 40435C211

• 0% dual directional trigger Performance Leveraged Upside Securities due March 4, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Feb. 28; Cusip: 40435C468

• Buffered Performance Leveraged Upside Securities due Sept. 5, 2019 linked to S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435C153

• 0% dual directional trigger jump securities due March 3, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Feb. 28; Cusip: 40435C450

• Autocallable market-linked step-up notes due February 2020 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in February

JPMORGAN CHASE BANK, NA

• Capped certificates of deposit due Aug. 28, 2024 linked to Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 48126XYA7

• 0% certificates of deposit due Feb. 26, 2021 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48121C8U3

• 0% certificates of deposit due Feb. 28, 2022 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48121C8V1

• 0% certificates of deposit due Feb. 28, 2023 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48121C8W9

• 0% certificates of deposit due Feb. 29, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48126XVX0

• Variable annual income certificates of deposit due Feb. 29, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48126XWJ0

• Certificates of deposit with contingent annual interest due Feb. 29, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48126XWZ4

• Certificates of deposit due Feb. 29, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48126XXB6

• 0% autocallable certificates of deposit with step-up call value due Feb. 29, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC with Incapital LLC as distributor; pricing Feb. 23; Cusip: 48126XWU5

• Capped quarterly observation certificates of deposit due Feb. 26, 2021 linked to S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 48126XXM2

• Capped certificates of deposit due Aug. 28, 2024 linked to S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 48126XXV2

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% review notes due Feb. 22, 2021 linked to the lesser performing of the Alerian MLP index and the VanEck Vectors Oil Services exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QC29

• Autocallable contingent interest notes due May 22, 2018 linked to Amazon.com, Inc. common shares; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QYT6

• Autocallable contingent interest notes due May 22, 2018 linked to Apple Inc. common shares; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QYY5

• 0% trigger jump securities due Feb. 21, 2020 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing Feb. 17; Cusip: 48129F820

• Autocallable contingent interest notes due May 22, 2018 linked to Bank of America Corp. common shares; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QYV1

• Autocallable contingent interest notes due May 22, 2018 linked to Celgene Corp. common shares; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QYZ2

• Callable contingent interest notes due Feb. 25, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QXE0

• Autocallable contingent interest notes due May 22, 2018 linked to Faceboaok, Inc. common shares; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip:46646QYU3

• 0% review notes due Feb. 22, 2021 linked to the lesser performing of the Financial Select Sector SPDR fund and the SPDR S&P Regional Banking exchange-traded fund; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QZW8

• Trigger callable contingent yield notes with daily coupon observation due Aug. 26, 2019 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48129F838

• Autocallable contingent interest notes due Feb. 22, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QE43

• Review notes due Feb. 22, 2021 linked to lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 46646QXD2

• Autocallable contingent interest notes due May 25, 2018 linked to Exelon Corp. stock; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 22; Cusip: 46646QA54

• Callable contingent interest notes due March 2, 2022 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 46646QB38

• 0% capped buffered equity notes due Feb. 28, 2020 linked to Financial Select Sector SPDR fund; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 46646QLA1

• 0% capped buffered equity notes due Feb. 28, 2020 linked to Health Care Select Sector SPDR fund; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 46646QKZ7

• 0% capped buffered equity notes due Feb. 28, 2020 linked to Materials Select Sector SPDR fund; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 46646QLB9

• Callable contingent interest notes due Feb. 26, 2027 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 23; Cusip: 46646QB46

• Autocallable contingent interest notes due Feb. 28, 2022 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 Feb. 23; Cusip: 46646QKW4

• Autocallable contingent interest notes due June 1, 2018 linked to lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 46646QB61

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Feb. 27, 2032 linked to the worst performing of the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 17; Cusip: 61768CEH6

• Autocallable notes due Feb. 28, 2020 linked to the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 23; Cusip: 61768CES2

• 0% enhanced buffered jump securities due Aug. 28, 2020 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Feb. 23; Cusip: 61768CEW3

• Trigger absolute return step securities due Feb. 28, 2022 linked to S&P 500 index; via UBS Financial Services Inc.; pricing Feb. 23; Cusip: 61766V347

• 0% trigger Performance Leveraged Upside Securities due March 3, 2023 linked to the S&P 500 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 23; Cusip: 61766V297

• 0% trigger Performance Leveraged Upside Securities due Feb. 28, 2022 linked to the S&P 500 index; 69% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 23; Cusip: 61768CER4

• 0% trigger Performance Leveraged Upside Securities due Aug. 29, 2025 linked to the worst performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 23; Cusip: 61768CEY9

• Autocallable notes due Sept. 4, 2018 with fixed percentage buffered downside linked to the Energy Select Sector SPDR fund; via Morgan Stanley & Co. LLC and Wells Fargo Securities, LLC; pricing Feb. 28; Cusip: 61761J3W7

• 0% trigger jump securities due March 5, 2019 linked to the Euro Stoxx 50 index; 90% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61766V271

• 0% buffered Performance Leveraged Upside Securities due March 3, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61766V289

• 0% buffered Performance Leveraged Upside Securities due March 3, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61766V289

• Trigger Performance Leveraged Upside Securities due February 2021 linked to S&P 500 index; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61768CFK8

• 0% 63- to 66-month digital notes linked to 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 Morgan Stanley & Co. LLC; Cusip: 61768CFF9

• 0% 36- to 39-month leveraged buffered notes linked to the MSCI All Country World index; via Morgan Stanley & Co. LLC; Cusip: 61768CFE2

• 0% 24- to 27-month leveraged buffered notes linked to the MSCI EAFE index; via Morgan Stanley & Co. LLC; Cusip: 61768CFD4

ROYAL BANK OF CANADA

• Redeemable step-up notes due Feb. 23, 2027; via RBC Capital Markets, LLC; pricing Feb. 17; Cusip: 78012KWV5

• Autocallable contingent coupon barrier notes due Feb. 22, 2019 linked to Facebook, Inc. shares; via RBC Capital Markets, LLC; pricing Feb. 17; Cusip: 78013GCH6

• 0% barrier return notes due Feb. 23, 2022 linked to the S&P 500 index; via RBC Capital Markets LLC; pricing Feb. 17; Cusip: 78012KZY6

• 0% barrier booster notes due March 1, 2022 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KZZ3

• 0% trigger Performance Leveraged Upside Securities due March 3, 2023 linked to the Euro Stoxx 50 index; 65% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Feb. 28; Cusip: 78014E315

• 10.5% STEP Income Securities due February 2018 linked to Under Armour, Inc. shares; via BofA Merrill Lynch; pricing in February

• Geared buffered fixed coupon notes with averaging due March 8, 2021 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing March 3; Cusip: 78012KA49

• 0% 18- to 21-month leveraged buffered notes linked to the MSCI EAFE index; via RBC Capital Markets, LLC; Cusip: 78012KAG4

TORONTO-DOMINION BANK

• Callable step-up notes due Feb. 27, 2022; via TD Securities (USA) LLC; pricing Feb. 22; Cusip: 89114QZJ0

UBS AG, LONDON BRANCH

• Trigger autocallable contingent yield notes due Feb. 21, 2020 linked to the common stock of Delta Air Lines, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 17; Cusip: 90280M624

• Trigger autocallable contingent yield notes due Feb. 21, 2020 linked to the common stock of Pfizer Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 17; Cusip: 90280M632

• Trigger autocallable contingent yield notes due Feb. 21, 2020 linked to the common stock of Starbucks Corp.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 17; Cusip: 90280M640

• 0% 22- to 25-month capped leveraged buffered notes linked to 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 UBS Securities LLC; Cusip: 90270KJB6

• 0% 17- to 20-month capped leveraged buffered notes linked to the MSCI EAFE index; via UBS Securities LLC; Cusip: 90270KJA8

WELLS FARGO & CO.

• Capped fixed-to-floating notes due Feb. 23, 2022 linked to three-month Libor; via Wells Fargo Securities, LLC; pricing Feb. 17; Cusip: 95000N2A6

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage downside due Feb. 28, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Wells Fargo Securities, LLC; pricing Feb. 23; Cusip: 94986R4M0

• Market-linked securities due March 7, 2019 – autocallable with fixed percentage buffered downside linked to the Euro Stoxx 50 index; via Wells Fargo Securities LLC; pricing Feb. 28; Cusip: 94986R4D0

• Market-linked securities with leveraged upside participation and contingent downside due March 7, 2022 linked to the Health Care Select Sector SPDR fund; via Wells Fargo Securities, LLC; pricing Feb. 28; Cusip: 94986R4G3

• Market-linked securities due March 7, 2022 – leveraged upside participation and contingent downside linked to the S&P 500 index; 70% trigger; via Wells Fargo Securities LLC; pricing Feb. 28; Cusip: 94986R4H1

• Market-linked securities due March 6, 2019 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 75% trigger; via Wells Fargo Securities LLC; pricing Feb. 28; Cusip: 94986R4J7

• Market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Sep. 9, 2019 linked to the SPDR S&P 500 ETF Trust; via Wells Fargo Securities, LLC; pricing Feb. 28; Cusip: 94986R4C2


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