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Published on 8/1/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due Aug. 20, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 14; Cusip 06367TZR4

BARCLAYS BANK PLC

• 0% SuperTrack notes due Aug. 7, 2019 linked to the FX adjusted performance of the OMX Stockholm 30 index; via Barclays; pricing Aug. 2; Cusip: 06744CFM8

• Callable contingent coupon notes due Aug. 5, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Aug. 2; Cusip: 06744CFC0

• Trigger autocallable contingent yield notes due Aug. 7, 2020 linked to AbbVie Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing Aug. 4; Cusip: 06746L562

• Trigger autocallable contingent yield notes due Aug. 7, 2020 linked to Altria Group, Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing Aug. 4; Cusip: 06746L539

• Trigger autocallable contingent yield notes due Aug. 7, 2020 linked to Citigroup Inc. common stock; via UBS Financial Services Inc. and Barclays; pricing Aug. 4; Cusip: 06746L554

• Contingent income callable securities due Feb. 7, 2020 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Barclays and Morgan Stanley Wealth Management; pricing Aug. 4; Cusip: 06744CFD8

• Trigger autocallable contingent yield notes due Aug. 7, 2020 linked to Intel Corp. common stock; via UBS Financial Services Inc. and Barclays; pricing Aug. 4; Cusip: 06746L547

• Phoenix autocallable notes due May 7, 2021 linked to the least performing of the SPDR S&P MidCap 400 exchange-traded fund, the Technology Select Sector SPDR Fund and the SPDR S&P Biotech exchange-traded fund; via Barclays; pricing Aug. 4; Cusip: 06744CDJ7

• Callable contingent coupon notes due May 7, 2021 linked to the least performing of the VanEck Vectors Gold Miners exchange-traded fund and the SPDR S&P Biotech ETF; via Barclays; pricing Aug. 4; Cusip: 06744CFB2

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the Dow Jones industrial average; via Barclays; pricing Aug. 28; Cusip: 06744CDR9

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06744CDN8

• SuperTrack notes due Sept. 6, 2022 linked to the lesser-performing index of the Russell 2000 index and the Dow Jones industrial average; via Barclays; pricing Aug. 31; Cusip: 06744CEE7

• 0% dual directional notes due March 4, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing Aug. 31; Cusip: 06744CEG2

• Autocallable market-linked step-up notes due August 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

BOFA FINANCE LLC

• Contingent income autocallable notes due Aug. 12, 2019 linked to the common stock of Snap Inc.; via BofA Merrill Lynch; settlement Aug. 11; Cusip: 09709TAV3

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

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% Accelerated Return Notes due August 2018 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in August

• 6.5% STEP Income Securities due August 2018 linked to Microsoft Corp. common shares; via BofA Merrill Lynch; pricing in August

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% capped trigger gears due Aug. 6, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing Aug. 2; Cusip: 17325K321

• 0% buffer securities due August 2020 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17324CLP9

• 0% dual directional barrier securities due March 1, 2021 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip 17324XCV0

• VelocityShares Long Libor exchange-traded notes due 2032 linked to the Janus Velocity Long Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K743

• VelocityShares Short Libor exchange-traded notes due 2032 linked to the Janus Velocity Short Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K529

• 0% buffered index-linked notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; Cusip 17324CL38

CREDIT SUISSE AG, LONDON BRANCH

• Autocallable contingent income securities due Aug. 8, 2019 linked to Amazon.com Inc. and Facebook Inc.; via Credit Suisse Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Aug. 4; Cusip: 22549C642

• 0% accelerated barrier notes due Feb. 7, 2020 linked to the lowest performing of the S&P 500 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 4; Cusip 22550BDM2

• 0% Buffered Accelerated Return Equity Securities due Sept. 12, 2018 linked to the S&P 500, Russell 2000 and Euro Stoxx 50 indexes; via Credit Suisse Securities (USA) LLC; pricing Aug. 7; Cusip: 22550BEX7

• 0% absolute return barrier securities due Sept. 3, 2021 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE82

• 8%-10% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE25

• 7%-9% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BDZ3

• 0% absolute return digital barrier securities due Sept. 6, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE90

• Autocallable market-linked step-up notes due August 2020 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

DEUTSCHE BANK AG, LONDON BRANCH

• 0% buffered return enhanced notes due Sept. 5, 2018 linked to the Euro Stoxx 50 index; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 4; Cusip: 25155MCS8

• 0% knock-out notes due Feb. 6, 2019 linked to the Euro Stoxx 50 index; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 4; Cusip: 25155MCU3

• Phoenix autocallable securities due Sept. 5, 2018 linked to the Euro Stoxx Banks index; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Aug. 4; Cusip: 25155MCV1

GS FINANCE CORP.

• Autocallable contingent coupon index-linked notes due Feb. 19, 2019 linked to the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 11; Cusip: 40054LLV4

• Autocallable contingent coupon index-linked notes due Feb. 19, 2019 linked to the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 11; Cusip: 40054LLW2

• Callable contingent coupon index-linked notes due Aug. 16, 2022 linked to the Russell 2000 index and the S&P 500 index; 55% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 11; Cusip: 40054LLZ5

• Callable step-up fixed-rate notes due August 2025; via Goldman, Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38150A3V5

• 36- to 39-month 0% autocallable buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged buffered notes liked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.

HSBC USA INC.

• 0% buffered uncapped market participation securities due Aug. 9, 2021 linked to a basket of the iShares MSCI Emerging Markets ETF, the iShares MSCI EAFE ETF, the S&P MidCap 400 index, the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 4; Cusip: 40435FCM7

• 0% barrier digital return notes due Sept. 10, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 4; Cusip: 40435FEB9

• Autocallable market-linked step-up notes due August 2020 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in August

JPMORGAN CHASE FINANCIAL CO. LLC

• Capped buffered enhanced participation notes due July 19, 2019 linked to a basket of indexes; via J.P. Morgan Securities LLC; pricing Aug. 2; Cusip 46647MYD9

• 0% capped trigger gears due Aug. 6, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC and UBS Financial Services Inc.; pricing Aug. 2; Cusip: 48129J509

• 0% capped buffered return enhanced notes due Nov. 8, 2018 linked to the iShares MSCI EAFE exchange-traded fund; pricing J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 46647MYU1

• 0% capped buffered return enhanced notes due Nov. 8, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 46647MYV9

• 0% capped buffered return enhanced notes due Nov. 8, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 46647MYT4

• Callable contingent interest notes due Feb. 6, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 46647MG49

• Contingent income autocallable securities due Aug. 7, 2020 linked to the common stock of Gilead Sciences, Inc.; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing Aug. 4; Cusip: 48129J103

• Autocallable contingent interest notes due Feb. 13, 2019 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 8; Cusip: 46647MF73

• Autocallable contingent interest notes due Nov. 20, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 15; Cusip: 46647M3C5

• Autocallable contingent interest notes due Feb. 21, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 15; Cusip: 46647M3E1

• Autocallable contingent interest notes due Aug. 20, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 15; Cusip: 46647M3B7

• Autocallable contingent interest notes due Nov. 20, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 15; Cusip: 46647M3D3

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2T9

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2U6

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2X0

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2W2

• Autocallable contingent interest notes due Sept. 2, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2Z5

• Autocallable contingent interest notes due Sept. 2, 2027 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M3A9

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD67

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME58

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD42

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME33

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME41

•0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD59

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD34

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME25

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2N2

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2Q5

• Autocallable contingent interest notes due Sept. 6, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2S1

• Autocallable contingent interest notes due Sept. 6, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2P7

• Autocallable contingent interest notes due Sept. 3, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2R3

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD26

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Topix index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD75

MORGAN STANLEY FINANCE LLC

• Fixed-to-floating notes due Aug. 2, 2027 linked to the 10-year U.S. dollar ICE swap rate; via Morgan Stanley & Co. LLC; settlement Aug. 2; Cusip 61760QKQ6

• 4.5% fixed income buffered securities due Aug. 9, 2019 linked to the Euro Stoxx 50 index; 80% barrier; via Morgan Stanley & Co. LLC; pricing Aug. 4; Cusip: 61768CMS3

• Contingent income securities due Aug. 9, 2027 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 4; Cusip: 61768CNG8

• 0% trigger Performance Leveraged Upside Securities due Aug. 9, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Aug. 4; Cusip: 61768CNN3

• 0% trigger jump securities due March 4, 2020 linked to the common stock of Apple Inc.; via Morgan Stanley & Co. LLC; pricing Aug. 15; Cusip: 61766X434

ROYAL BANK OF CANADA

• Autocallable contingent coupon barrier notes due Aug. 7, 2020 linked to the least performing of the common stocks of Amazon.com, Inc., Facebook, Inc., Alphabet Inc. and Netflix Inc.; via RBC Capital Markets, LLC; pricing Aug. 4; Cusip: 78012K3X3

• Autocallable contingent coupon barrier notes due Aug. 9, 2022 linked to the lesser performing of the common stocks of Chipotle Mexican Grill, Inc. and Starbucks Corp.; via RBC Capital Markets, LLC; pricing Aug. 4; Cusip: 78012K4E4

• 0% barrier booster notes due Sept. 1, 2022 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Aug. 29; Cusip: 78012K3Z8

AB SVENSK EXPORTKREDIT

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


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