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Published on 11/8/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due Nov. 16, 2032; via BofA Merrill Lynch; settling Nov. 16; Cusip: 06048WVD9

BANK OF MONTREAL

• 0% bullish enhanced return notes due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP61

• 0% bullish enhanced return notes due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP79

• 0% bullish enhanced return notes due Dec. 31, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP53

• 0% bullish enhanced return notes due Dec. 31, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP46

• Autocallable barrier notes with contingent coupon due Dec. 31, 2018 linked to the SPDR S&P Biotech exchange-traded fund; 80% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TN89

• Autocallable barrier notes with contingent coupon due Dec. 31, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TN63

• 0% contingent risk absolute return notes with digital upside due May 29, 2020 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP38

• Autocallable cash-settled notes with conditional interest payments due Nov. 30, 2021 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners ETF; 65% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TM98

• 0% contingent risk absolute return notes with digital upside due Dec. 31, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TP20

• Autocallable barrier notes with contingent coupon due Dec. 31, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Nov. 27; Cusip: 06367TN71

BARCLAYS BANK PLC

• Contingent income autocallable securities due Nov. 16, 2020 linked to LyondellBasell Industries NV ordinary shares; via Barclays and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 06746N725

• Step-up callable notes due Nov. 22, 2022; via Barclays; pricing Nov. 15; Cusip: 06744CJV4

• 0% SuperTrack notes due Nov. 30, 2022 linked to the lesser performing of the Russell 2000 index and the Dow Jones industrial average; 60% trigger; via Barclays; pricing Nov. 27; Cusip: 06744CKC4

• Phoenix autocallable notes due May 31, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via Barclays; pricing Nov. 30; Cusip: 06744CH95

• 0% Leveraged Index Return Notes due November 2019 linked to Euro Stoxx 50 index, the FTSE 100 index, the Nikkei 225 index, the Swiss Market index, the S&P/ASX 200 index and the Hang Seng index; via BofA Merrill Lynch; pricing in November

• Notes due December 2018 linked to Microsoft Corp. stock; via BofA Merrill Lynch; pricing in November

• Market-linked step-up notes due November 2022 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in November

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

BOFA FINANCE LLC

• Issuer callable capped notes due Nov. 16, 2037 linked to the two- and 10-year U.S. dollar ICE swap rates; via BofA Merrill Lynch; pricing Nov. 16; Cusip: 09709TBQ3

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

• 0% Market Index Target-Term Securities due November 2022 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in November

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% dual directional barrier securities due Nov. 24, 2020 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Nov. 17; Cusip 17324CNL6

• 0% dual directional barrier securities due Nov. 24, 2020 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Nov. 17; Cusip 17324CNM4

• Callable barrier leveraged CMS spread range accrual securities due Nov. 22, 2032 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Nov. 20; Cusip: 17324CP34

• 0% enhanced buffered digital securities due Dec. 3, 2020 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Nov. 27; Cusip: 17324CNN2

• 0% enhanced barrier digital plus securities due Dec. 1, 2022 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Nov. 28; Cusip: 17324CNR3

• 0% buffer securities due Dec. 3, 2022 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Nov. 28; Cusip 17324CNS1

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due Nov. 18, 2019 linked to the lowest performing of the common stocks of Morgan Stanley, SVB Financial Group and Wynn Resorts, Ltd.; via Credit Suisse Securities (USA) LLC; pricing Nov. 10; Cusip 22550BP80

• Contingent coupon autocallable yield notes due Nov. 18, 2019 linked to the lowest performing of the common stocks of Morgan Stanley, SVB Financial Group and Wynn Resorts, Ltd.; via Credit Suisse Securities (USA) LLC; pricing Nov. 10; Cusip 22550BP98

• 0% Buffered Accelerated Return Equity Securities due Nov. 19, 2020 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Nov. 15; Cusip 22550BP23

• 0% Buffered Accelerated Return Equity Securities due Nov. 19, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Nov. 15; Cusip 22550BNZ2

• 0% Buffered Accelerated Return Equity Securities due Nov. 19, 2020 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Nov. 15; Cusip 22550BPC1

• 0% Buffered Accelerated Return Equity Securities due Nov. 19, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Nov. 15; Cusip 22550BP31

• Contingent coupon callable yield notes due Dec. 5, 2022 linked to the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Nov. 30; Cusip: 22550BNE9

• Callable step-up fixed-rate notes due November 2022; via Goldman, Sachs & Co.; pricing in November; Cusip: 38150A5B7

• 0% Accelerated Return Notes due January 2019 linked to a basket consisting of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average 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 Merrill Lynch & Co.; pricing in November

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due November 2025; via Goldman, Sachs & Co.; pricing in November; Cusip: 38150A5A9

GS FINANCE CORP.

• Callable contingent coupon notes due Nov. 15, 2022 linked to least performing of the Russell 2000 index and the S&P 500 index; 65% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 10; Cusip: 40054LYH1

• Callable contingent coupon notes due May 15, 2023 linked to least performing of the Russell 2000 index and the S&P 500 index; 55% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 10; Cusip: 40054LYE8

• 0% buffered index-linked notes due Nov. 16, 2022 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Nov. 10; Cusip: 40054LYA6

• 4.25% callable fixed coupon buffered notes due Nov. 30, 2022 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Nov. 27; Cusip: 40054LZJ6

• 0% autocallable notes due Dec. 2, 2020 linked to least performing of the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 27; Cusip: 40055A2B2

• Callable buffered monthly range accrual notes due Nov. 30, 2023 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 40054LZF4

• Callable monthly range accrual notes due Nov. 30, 2027 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 0054LZA5

• Callable contingent coupon notes due Nov. 30, 2022 linked to least performing of the Russell 2000 index and the S&P 500 index; 65% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 40055A2Q9

• Callable contingent coupon notes due May 30, 2023 linked to least performing of the Russell 2000 index and the S&P 500 index; 55% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 40055A2J5

• Autocallable contingent coupon notes due Dec. 6, 2027 linked to least performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 40055A2F3

• Callable monthly range accrual notes due Nov. 30, 2032 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 28; Cusip: 40054LZN7

• 0% index-linked notes due June 4, 2021 tied to the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing Nov. 30; Cusip: 40055A2C0

• Callable step-up fixed-rate notes due November 2023; via Goldman, Sachs & Co.; pricing in November; Cusip: 38150A4V4

• 0% 21-month leveraged buffered index-linked notes tied to the Euro Stoxx 50 index; via Goldman, Sachs & Co.; Cusip: 40054LX66

• 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.

• 36- to 39-month 0% autocallable buffered notes linked to a basket of the 25 stocks included in the Euro Stoxx Banks index; via Goldman Sachs & Co.

• 0% 34- to 37-month leveraged buffered index-linked notes tied to the Dow Jones industrial average; via Goldman, Sachs & Co.

HSBC USA INC.

• Trigger autocallable contingent yield notes due Nov. 15, 2019 linked to the Euro Stoxx Banks index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Nov. 10; Cusip: 40435H210

• Autocallable barrier notes with contingent return due Nov. 29, 2021 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Nov. 17; Cusip: 40435FJW8

• Autocallable barrier notes with contingent return due Nov. 29, 2021 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; 70% trigger; via HSBC Securities (USA) Inc.; pricing Nov. 17; Cusip: 40435FJX6

• 0% barrier enhanced participation notes due May 24, 2021 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Nov. 17; Cusip: 40435FLN5

• 0% barrier enhanced participation notes due Nov. 22, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Nov. 17; Cusip: 40435FLP0

• 4.25% fixed-rate buffered notes due Dec. 2, 2024 linked to Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Nov. 27; Cusip: 40435FKX4

• Autocallable barrier notes with contingent return due Nov. 30, 2027 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Nov. 27; Cusip 40435FLA3

• 0% trigger step securities due Nov. 30, 2021 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Nov. 28; Cusip: 40435H194

• 0% trigger absolute return step securities due Nov. 30, 2022 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Nov. 28; Cusip: 40435H228

• 0% dual directional trigger jump securities due Dec. 5, 2022 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Nov. 30; Cusip: is 40435H236

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

• 0% Strategic Accelerated Redemption Securities due November 2023 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in November

• Autocallable market-linked step-up notes due November 2022 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in November

• Market-linked step-up notes due December 2019 linked to the Hang Seng China Enterprises index, the Kospi 200 index and the Taiwan Stock Exchange Capitalization Weighted index; via BofA Merrill Lynch; pricing in November

• 0% Accelerated Return Notes due January 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in November

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

JPMORGAN CHASE FINANCIAL CO. LLC

• Contingent income autocallable securities due Nov. 15, 2018 linked to Delta Air Lines, Inc. common stock; via J.P. Morgan Securities LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 48129K803

• Autocallable contingent interest notes due Feb. 21, 2019 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 Nov. 15; Cusip: 48129HJP3

• 0% uncapped contingent buffered return enhanced notes due Nov. 22, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Nov. 17; Cusip: 48129HMU8

• 0% trigger gears due Nov. 30, 2022 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Nov. 28; Cusip: 48129J111

• 0% capped buffer gears due Nov. 29, 2019 linked to the Euro Stoxx 50, Nikkei 225, FTSE 100, Swiss Market, S&P/ASX 200 and Hang Seng indexes; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Nov. 28; Cusip: 48129K878

• 0% contingent buffered digital notes due Dec. 19, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Dec. 15; Cusip: 48129HNA1

• 0% contingent buffered digital notes due July 18, 2025 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Dec. 15; Cusip: 48129HND5

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Nov. 16, 2020 linked to Apple Inc. common stock; via Morgan Stanley & Co. LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 61768K257

• Contingent income autocallable securities due Nov. 16, 2020 linked to Bristol-Myers Squibb Co. common stock; via Morgan Stanley & Co. LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 61768K224

• Trigger callable contingent yield notes with daily coupon observation due Nov. 16, 2020 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Morgan Stanley and UBS Financial Services Inc.; pricing Nov. 10; Cusip 61768K216

• Contingent income autocallable securities due May 15, 2018 linked to United States Steel Corp. common stock; via Morgan Stanley & Co. LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 61768K232

• 0% capped gears due Jan. 31, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 27; Cusip: 61768K141

• Callable contingent income securities due Dec. 2, 2032 linked to the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Nov. 27; Cusip: 61768CSV0

• 0% trigger absolute return step securities due Nov. 30, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 27; Cusip: 61768K166

• 0% trigger absolute return step securities due Nov. 30, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC, and UBS Financial Services Inc.; pricing Nov. 27; Cusip: 61768K158

• 0% capped trigger gears due Nov. 30, 2020 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 28; Cusip: 61768K182

• 0% trigger gears due Nov. 30, 2027 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 28; Cusip: 61768K174

• 0% trigger gears due Nov. 30, 2020 linked to the Euro Stoxx 50, FTSE 100, Nikkei 225, Swiss Market, S&P/ASX 200 and Hang Seng indexes; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 28; Cusip: 61768K208

• 0% trigger gears due Nov. 30, 2022 linked to the Euro Stoxx 50, FTSE 100, Nikkei 225, Swiss Market, S&P/ASX 200 and Hang Seng indexes; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Nov. 28; Cusip: 61768K190

ROYAL BANK OF CANADA

• Contingent income autocallable securities due May 15, 2018 linked to Marathon Oil Corp. common stock; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 78013F628

• Contingent income autocallable securities due Nov. 16, 2020 linked to Palo Alto Networks, Inc. common stock; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 78013F602

• Contingent income autocallable securities due Nov. 16, 2020 linked to WisdomTree Investments, Inc. common stock; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing Nov. 10; Cusip: 78013F610

• 0% absolute return notes due June 2, 2021 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Nov. 27; Cusip: 78013GLK9

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 5, 2019 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing Nov. 30; Cusip 78013XAC2

• 0% dual directional trigger Performance Leveraged Upside Securities due Dec. 3, 2020 linked to the iShares U.S. Real Estate exchange-traded fund; 80% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Nov. 30; Cusip: 78013F560

• 0% dual directional trigger jump securities due Dec. 5, 2022 linked to the S&P 500 index; via RBC Capital Markets, LLC as agent with Morgan Stanley Wealth Management as dealer; pricing Nov. 30; Cusip 78013F578

UBS AG, LONDON BRANCH

• 0% step down trigger autocallable notes due Nov. 16, 2022 linked to the lesser performing of the Euro Stoxx 50 index and the Nikkei 225 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Nov. 10; Cusip: 90280X646

• 0% capped gears due Jan. 31, 2019 linked to the Euro Stoxx Banks index; via UBS Securities LLC and UBS Investment Bank; pricing Nov. 28; Cusip 90280X596

WELLS FARGO & CO.

• Market-linked securities due Nov. 30, 2020 – autocallable with contingent coupon and contingent downside linked to the common stocks of E*Trade Financial Corp., Southwest Airlines Co., CVS Health Corp. and Norwegian Cruise Line Holdings Ltd.; 60% trigger; via Wells Fargo Securities LLC; pricing Nov. 27; Cusip: 95000E3W7

• Market-linked securities due Dec. 2, 2025 – callable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Wells Fargo Securities LLC; pricing Nov. 27; Cusip: 95000E4B2

• Market-linked securities due Nov. 30, 2027 – callable 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; 50% trigger; via Wells Fargo Securities LLC; pricing Nov. 27; Cusip: 95000E4C0


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