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Published on 1/30/2018 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF NOVA SCOTIA

• 0% Accelerated Return Notes due March 2019 linked to a basket of three common stocks (Citigroup Inc., JPMorgan Chase & Co. and Morgan Stanley); via BofA Merrill Lynch; pricing in January

• 0% autocallable market-linked step-up notes due January 2021 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in January

BARCLAYS BANK PLC

• Floating-rate notes due Feb. 6, 2023 linked to 30-Year U.S. dollar ICE swap rate; via Barclays Capital Inc.; pricing Jan. 31; Cusip: 06744CS69

• 1% notes due Feb. 3, 2023 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Jan. 31; Cusip: 06744CQJ3

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Feb. 5, 2021 linked to the Energy Select Sector SPDR fund; via Wells Fargo Securities, LLC and Barclays; pricing Jan. 31; Cusip: 06744CRE3

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Feb. 6, 2023 linked to the S&P 500 index; via Wells Fargo Securities, LLC and Barclays; pricing Jan. 31; Cusip: 06744CRD5

• 0% dual directional notes due Feb. 3, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Barclays; pricing Jan. 31; Cusip: 06744CQG9

• Phoenix autocallable notes due Aug. 5, 2019 linked to the least performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via Barclays; pricing Jan. 31; Cusip: 06744CQD6

• 0% buffered Performance Leveraged Upside Securities due Aug. 5, 2020 linked to the Topix index; via Barclays with Morgan Stanley Wealth Management as dealer; pricing Jan. 31; Cusip: 06746P381

• Phoenix autocallable notes due Aug. 5, 2019 linked to the least performing of the VanEck Vectors Gold Miners exchange-traded fund; 70% trigger; via Barclays; pricing Jan. 31; Cusip: 06744CQL8

• 0% Leveraged Index Return Notes due January 2023 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in January

• 0% Leveraged Index Return Notes due January 2023 linked to a global equity index basket (Dow Jones industrial average with a 40% weight, the Euro Stoxx 50 index with a 40% weight and the MSCI Emerging Markets index with a 20% weight); via BofA Merrill Lynch; pricing in January

• 0% market-linked step-up notes due January 2020 linked to the Nikkei 225 index; via BofA Merrill Lynch; pricing in January

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

• Fixed- to floating-rate notes due Feb. 2, 2023 based on spread between the 10-year U.S. dollar ICE swap rate and two-year U.S. dollar ICE swap rate; via Barclays; pricing Feb. 2; Cusip: 06744CT76

• Capped and floored floating-rate notes due Feb. 5, 2025; via Barclays; settlement Feb. 5; Cusip: 06744CUR0

• Step-up fixed-rate callable notes due Feb. 15, 2023; via Barclays; pricing Feb. 8; Cusip: 06744CTJ0

• Step-up fixed-rate callable notes due Feb. 8, 2028; via Barclays; pricing Feb. 8; Cusip: 06744CUS8

• Callable contingent coupon notes due Feb. 22, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Feb. 16; Cusip: 06744CSG7

BOFA FINANCE LLC

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

• 0% Accelerated Return Notes due March 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in January

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% Accelerated Return Notes due March 2019 linked to the S&P Biotechnology Select Industry index; via BofA Merrill Lynch; pricing January

• 0% Capped Leveraged Index Return Notes due January 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in January

• 0% 21- to 24-month capped leveraged notes linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WJH5

• 0% 24- to 27-month capped leveraged buffered notes linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WJE2

• 0% 30- to 33-month capped leveraged buffered notes linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WJF9

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% jump securities with autocallable feature due Feb. 3, 2023 linked to the Euro Stoxx 50 index; 85% trigger; via Citigroup Global Markets Inc. with Morgan Stanley Wealth Management; pricing Jan. 31; Cusip: 17326E316

• 0% enhanced barrier digital plus securities due Feb. 27, 2023 linked to the Stoxx Europe 600 index; via Citigroup Global Markets Inc.; pricing Feb. 22; Cusip: 17324CR57

CREDIT SUISSE AG, LONDON BRANCH

• 6.35% autocallable reverse convertible securities due May 6, 2019 linked to Amazon.com, Inc. shares; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22549JPJ3

• 0% trigger jump securities due Feb. 5, 2024 linked to the Euro Stoxx 50 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22549E184

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W7H4

• Contingent coupon autocallable yield notes due Aug. 5, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 2550W7F8

• Contingent coupon callable yield notes due Feb. 6, 2023 linked to the least performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W3U9

• Contingent coupon callable yield notes due Feb. 6, 2023 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W3V7

• 0% absolute return digital barrier securities due Feb. 3, 2023 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W4C8

• Contingent coupon callable yield notes due Aug. 5, 2019 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W3N5

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2019 linked to a basket consisting of the SPDR S&P Midcap 400 exchange-traded fund and the iShares Russell 2000 ETF; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W7H4

• 0% Buffered Accelerated Return Equity Securities due Aug. 5, 2019 linked to a basket consisting of the SPDR S&P Midcap 400 exchange-traded fund and the iShares Russell 2000 ETF; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550W7J0

• 0% digital barrier notes due March 5, 2019 linked to the least performing of the VanEck Vectors Gold Miners exchange-traded fund, the SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Retail ETF; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Jan. 31; Cusip: 22550WA31

• 0% autocallable securities due Feb. 8, 2021 linked to the lowest performing of the iShares MSCI Emerging Markets exchange-traded fund and the iShares MSCI EAFE ETF; via Credit Suisse Securities (USA) LLC; pricing Feb. 5; Cusip: 22550WAN7

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due January 2023; via Goldman Sachs & Co. LLC; pricing in January; Cusip: 38150A5S0

• Callable step-up fixed-rate notes due January 2026; via Goldman Sachs & Co. LLC; pricing in January; Cusip: 38150A5Q4

• Callable step-up fixed-rate notes due February 2030; via Goldman Sachs & Co. LLC; pricing in January; Cusip: 38150A5T8

GS FINANCE CORP.

• Contingent income callable securities due Feb. 3, 2028 linked to the Euro Stoxx 50 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 40055AFL6

• 0% trigger jump securities due Feb. 5, 2020 linked to the Euro Stoxx 50 index; 90% trigger; via Goldman Sachs & Co. LLC with Morgan Stanley Wealth Management; pricing Jan. 31; Cusip: 36254F715

• 0% notes due Nov. 4, 2020 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 40055ADV6

• 0% notes due Feb. 3, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 40055ADU8

• 0% trigger Performance Leveraged Upside Securities due Feb. 5, 2025 linked to the iShares MSCI Emerging Markets exchange-traded fund; 50% trigger; via Goldman Sachs & Co. LLC with Morgan Stanley Wealth Management; pricing Jan. 31; Cusip: 36254F731

• 0% trigger Performance Leveraged Upside Securities due Feb. 3, 2021 linked to the MSCI Europe index; 80% trigger; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 36254F764

• 4.25% fixed coupon buffered notes due Feb. 3, 2021 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 40055ADP9

• 4.6% fixed coupon buffered notes due Feb. 3, 2023 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Jan. 31; Cusip: 40055ADQ7

• 0% leveraged buffered notes due Feb. 4, 2021 linked to a basket of the S&P 500 index with a 40% weight, the iShares MSCI EAFE exchange-traded fund with a 25% weight, the Russell 2000 index with a 20% and the iShares MSCI Emerging Markets ETF with a 15% weight; via Goldman Sachs & Co.; pricing Jan. 31; Cusip: 40055AH34

HSBC USA INC.

• 6% autocallable yield notes due May 6, 2019 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 31; Cusip: 40435FQS9

• Contingent income callable securities due Aug. 5, 2020 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; 65% trigger; via HSBC Securities (USA) Inc.; pricing Jan. 31; Cusip: 40435FTH0

• Long short notes due February 2019 linked to the MSCI Emerging Markets & Euro Stoxx 50/S&P 500 Long Short index; via BofA Merrill Lynch; pricing in January

• 0% Leveraged Index Return Notes due February 2023 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in February

• 0% Capped Leveraged Index Return Notes due February 2020 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

JPMORGAN CHASE FINANCIAL CO. LLC

• 7% to 9% autocallable yield notes due April 30, 2019 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE37

• Contingent income autocallable securities due Feb. 3, 2021 linked to General Electric Co. common shares; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129K183

• 0% buffered return enhanced notes due Jan. 31, 2020 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HQ34

• Autocallable contingent interest notes due April 30, 2019 linked to the least performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE60

• Autocallable contingent interest notes due April 30, 2019 linked to the least performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE78

• Autocallable contingent interest notes due Jan. 31, 2019 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE86

• Autocallable contingent interest notes due Jan. 29, 2021 linked to the lesser performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HF28

• Callable contingent interest notes due Aug. 7, 2019 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 Jan. 31; Cusip: 48129HM20

• 6.25% and 8.25% autocallable yield notes due April 30, 2019 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE52

• 0% dual directional contingent buffered return enhanced notes due July 30, 2021 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 Jan. 31; Cusip: 48129HB71

• 0% dual directional contingent buffered return enhanced notes due Jan. 31, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HB97

• 0% dual directional contingent buffered return enhanced notes due Jan. 29, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HB89

• 0% capped dual directional contingent buffered equity notes due Jan. 31, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HE29

• Autocallable contingent interest notes due Jan. 31, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48129HF36

• Autocallable contingent interest notes due Feb. 5, 2021 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 2; Cusip: 48129HYA9

• 0% capped dual directional contingent buffered equity notes due between Aug. 10, 2021 and Oct. 8, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 48129HYD3

• 0% review notes due Feb. 14, 2023 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 9; Cusip: 48129HXM4

MORGAN STANLEY FINANCE LLC

• 0% Performance Leveraged Upside Securities due May 3, 2019 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Jan. 31; Cusip: 61768M345

• 0% Performance Leveraged Upside Securities due May 3, 2019 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Jan. 31; Cusip: 61768M337

• 0% buffered Performance Leveraged Upside Securities due Feb. 5, 2021 linked to the S&P 500 index; 80% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 2; Cusip: 61768CYL5

• 0% jump notes with autocallable feature due Feb. 13, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund; 70% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 8; Cusip: 61768CYT8

ROYAL BANK OF CANADA

• 0% equity-linked partial principal at risk securities due Feb. 3, 2021 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Jan. 31; Cusip: 78013Q152

• 0% trigger Performance Leveraged Upside Securities due Aug. 5, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 80% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Jan. 31; Cusip: 78013Q269

• 0% digital notes linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78013XEQ7

TORONTO-DOMINION BANK

• Callable step-up notes due Feb. 26, 2023; via TD Securities (USA) LLC; pricing Feb. 21; Cusip: 89114QKX5

WELLS FARGO & CO.

• 0% market linked securities – autocallable with fixed percentage downside due Feb. 8, 2021 linked to the Euro Stoxx 50 index; via Wells Fargo Securities LLC; pricing Jan. 31; Cusip: 95000E4Z9


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