Structured Products Calendar

BANK OF MONTREAL

• 7.8% autocallable cash-settled notes with fixed interest payments due Sept. 10, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via BMO Capital Markets Corp.; pricing June 6; Cusip: 06367TXJ4

BARCLAYS BANK PLC

• 0% notes due June 3, 2022 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 31; Cusip: 06741WCJ7

• 0% dual directional trigger Performance Leveraged Upside Securities due June 3, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; 80% trigger; via Barclays with Morgan Stanley Smith Barney LLC; pricing May 31; Cusip: 06746J393

• Contingent income callable securities due June 3, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays and Morgan Stanley Wealth Management; pricing May 31; Cusip: 06741VVQ2

• 0% trigger Performance Leveraged Upside Securities due June 3, 2021 linked to the Euro Stoxx 50 index; via Barclays as agent, Morgan Stanley Wealth Management as distributor; pricing May 31; Cusip: 06746K200

• 0% SuperTrack notes due June 3, 2022 linked to iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; 70% trigger; via Barclays; pricing May 31; Cusip: 06741VTN2

• 0% buffered SuperTrack notes due June 5, 2019 linked to the S&P 500 index; via Barclays; pricing May 31; Cusip: 06741VUC4

• Contingent income callable securities due June 3, 2027 linked to the S&P 500 index; 60% trigger; via Barclays with Morgan Stanley Wealth Management; pricing May 31; Cusip: 06741VVP4

• Dual directional notes due Dec. 4, 2019 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Barclays; pricing May 31; Cusip: 06741VTM4

• Callable contingent coupon notes due June 3, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing May 31; Cusip: 06741VTL6

• Callable contingent coupon notes due June 4, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Regional Banking exchange-traded fund; 70% trigger; via Barclays; pricing May 31; Cusip: 06741VTR3

• Phoenix autocallable notes due June 5, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing May 31; Cusip: 06741VTK8

• 0% Accelerated Return Notes due July 2018 linked to a basket of three equally weighted financial sector stocks (Citigroup Inc., JPMorgan Chase & Co. and Morgan Stanley); via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due May 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due June 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

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

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

• 0% autocallable market-linked step-up notes due June 2020 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in May

• Floored floating-rate notes due June 16, 2020; via Barclays; pricing June 16; Cusip: 06741VW24

• Step-up fixed-rate callable notes due June 20, 2022; via Barclays; settling June 20; Cusip: 06741VW81

BOFA FINANCE LLC

• 0% Accelerated Return Notes due July 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due June 2019 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in May

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

CREDIT SUISSE AG, LONDON BRANCH

• 0% accelerated barrier notes due June 3, 2021 linked to the Dow Jones industrial average and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B3C5

• 0% Buffered Accelerated Return Equity Securities due Dec. 5, 2018 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2J1

• 0% digital barrier notes due July 5, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B4Y6

• Contingent coupon autocallable yield notes due Sept. 5, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2Y8

• Absolute return barrier securities due June 3, 2021 linked to the lowest performing of the Russell 2000 index and the Dow Jones industrial average; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B3C5

• Absolute return barrier securities due June 3, 2021 linked to the lowest performing of the Russell 2000 index and the Dow Jones industrial average; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B3C5

• 0% absolute return digital barrier securities due June 3, 2022 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B3B7

• Contingent coupon autocallable yield notes due Sept. 5, 2018 linked to the S&P 500 index and the Russell 2000 index; 72.5% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2X0

• Contingent coupon callable yield notes due June 5, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2L6

• 0% accelerated barrier notes due June 3, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2K8

• Contingent coupon callable yield notes due June 5, 2020 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2M4

• 0% trigger Performance Leveraged Upside Securities due July 5, 2018 linked to the Tokyo Stock Price index; 90% trigger; via Credit Suisse Securities (USA) LLC with Morgan Stanley Smith Barney LLC; pricing May 31; Cusip: 22549C154

• 0% Accelerated Return Notes due July 2018 linked to a basket of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2018 linked to the JPX-Nikkei Index 400; via BofA Merrill Lynch; pricing in May

• 0% capped Leveraged Index Return Notes due May 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

• 8.5%-10.5% autocallable reverse convertible securities due June 11, 2018 linked to the class A stock of Skechers U.S.A., Inc.; via Credit Suisse Securities (USA) LLC; pricing June 6; Cusip: 22549JGY0

• 0% digital buffered notes due Dec. 31, 2020 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22550B6J7

• 0% autocallable securities due June 28, 2019 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 27; Cusip: 22550B5R0

• 0% absolute return barrier securities due July 6, 2021 linked to the Dow Jones industrial average and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22550B6E8

• 0% accelerated barrier notes due July 3, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; June 30; Cusip: 22550B6G3

• 0% absolute return digital barrier securities due July 6, 2022 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22550B6H1

DEUTSCHE BANK AG, LONDON BRANCH

• 0% autocallable market-linked step-up notes due May 2022 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due 2020; via Goldman Sachs & Co. and Incapital LLC; pricing in June; Cusip: 38150A3M5

GS FINANCE CORP.

• 0% autocallable notes due June 7, 2022 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing May 31; Cusip: 40054LDH4

• 0% Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing May 31; Cusip: 36251V739

• 0% dual directional trigger jump securities due June 3, 2022 linked to the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing May 31; Cusip: 36251V622

• 0% capped leveraged buffered notes due Feb. 6, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co. LLC; pricing June 1; Cusip: 40054LCZ5

• 0% capped leveraged buffered notes due Feb. 6, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co. LLC; pricing June 1; Cusip: 40054LD27

• 0% capped leveraged buffered notes due Feb. 6, 2019 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing June 1; Cusip: 40054LCY8

• 0% capped leveraged buffered notes due Feb. 6, 2019 linked to the S&P MidCap 400 index; via Goldman Sachs & Co. LLC; pricing June 1; Cusip: 40054LCX0

• 36- to 39-month 0% digital notes linked to the 25 stocks of the European companies included in the Euro Stoxx Banks index; via Goldman Sachs & Co.

HSBC USA INC.

• 0% market-linked securities – leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 6, 2021 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 31; Cusip: 40433U5A0

• 0% dual directional trigger Performance Leveraged Upside Securities due June 3, 2020 linked to the S&P 500 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing May 31; Cusip: 40435D664

• 0% Leveraged Index Return Notes due May 2022 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing May

• 0% Capped Leveraged Index Return Notes due May 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% trigger Performance Leveraged Upside Securities due June 5, 2023 linked to the Euro Stoxx 50 index; 65% trigger; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 48129F259

• 0% Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 48129F176

• 0% digital notes due June 30, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAZ6

• 0% capped contingent buffered equity notes due June 4, 2021 linked to the stocks of Illumina, Inc., Incyte Corp., Infosys Ltd., Jazz Pharmaceuticals plc, Micron Technology, Inc., Skyworks Solutions, Inc. and Tesla, Inc.; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MDR1

• 0% uncapped contingent buffered equity notes due May 28, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46646QSA4

• 0% uncapped contingent buffered equity notes due May 28, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46646QRZ0

• 0% uncapped buffered return enhanced notes due June 3, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAA1

• 0% uncapped buffered return enhanced notes due June 3, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAB9

• 0% trigger Performance Leveraged Upside Securities due June 3, 2020 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index and the Topix index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 48129G208

• Autocallable contingent interest notes due June 5, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MBG7

• Autocallable contingent interest notes due June 3, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 57.5% trigger; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46646QRY3

• Autocallable contingent interest notes due June 4, 2020 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 31; Cusip: 46646QRX5

• Autocallable yield notes due Sept. 6, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAC7

• 0% dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MJJ3

• 0% dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MJK0

• 0% Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Topix index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 48129F168

• Contingent income autocallable securities due June 5, 2018 linked to the common stock of United States Steel Corp.; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 48129G869

• 0% capped buffered return enhanced notes due June 11, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 5; Cusip: 46647MCK7

• 6% autocallable yield notes due Sept. 13, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 67% trigger; via J.P. Morgan Securities LLC; pricing June 8; Cusip: 46647MKM4

• Callable step-up fixed-rate notes due June 14, 2022; via J.P. Morgan Securities LLC; pricing June 9; Cusip: 48128GJ35

• 0% capped buffered return enhanced notes due June 30, 2020 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: 46647MDZ3

MORGAN STANLEY

• 0% Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766A731

MORGAN STANLEY FINANCE LLC

• 0% trigger jump securities due June 5, 2019 linked to Apple Inc. stock; via Morgan Stanley; pricing May 31; Cusip: 61766W519

• 0% trigger jump securities due June 5, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766W527

• 0% buffered Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766W535

• 0% buffered Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61766W543

• 0% autocallable securities due June 21, 2022 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing June 16; Cusip: 61766W667

• 0% autocallable securities due June 21, 2022 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing June 16; Cusip: 61766W675

ROYAL BANK OF CANADA

• Contingent income autocallable securities due June 7, 2018 linked to Marathon Petroleum Corp. common stock; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing June 2; Cusip: 78014E752

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due July 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

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