Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due Feb. 28, 2024; via BofA Merrill Lynch; settlement Feb. 28; Cusip: 06048WVS6

BANK OF NOVA SCOTIA

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

• 0% autocallable market-linked step-up notes due February 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February

BARCLAYS BANK PLC

• Leveraged steepener notes due March 5, 2025 based on the spread between the 10-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate; via Barclays; pricing Feb. 28; Cusip: 06744CTM3

• 0% notes due March 3, 2023 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Feb. 28; Cusip: 06744CUQ2

• 0% trigger Performance Leveraged Upside Securities due March 5, 2024 linked to the S&P 500 index; 65% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Feb. 28; Cusip: 06746Q603

• Autocallable market-linked step-up notes due February 2021 linked to the S&P 500 index; via Barclays; pricing in February

• Floating-rate notes due March 16, 2023 linked to the Consumer Price Index; via Barclays; settlement March 16; Cusip: 06744CXA4

BOFA FINANCE LLC

• Issuer callable capped notes due Feb. 28, 2025 linked to the difference between the 10-year and two-year U.S. dollar ICE swap rates; via BofA Merrill Lynch; settlement Feb. 28; Cusip: 09709TDE8

• Issuer callable capped notes due Feb. 28, 2038 linked to the difference between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate; via BofA Merrill Lynch; pricing Feb. 28; Cusip: 09709TDB4

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

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

• 0% Accelerated Return Notes due April 2019 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in February

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Floating-rate notes due March 6, 2028 linked to the Consumer Price Index; via Citigroup Global Markets Inc.; pricing March 2; Cusip: 17324CS56

CITIGROUP INC.

• Fixed- to floating-rate notes due March 5, 2028 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 17298CFY9

CREDIT SUISSE AG, LONDON BRANCH

• 0% Buffered Accelerated Return Equity Securities due Sept. 3, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22550WBV8

• 0% absolute return digital barrier securities due March 3, 2023 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 28; Cusip: 22550WCJ4

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due March 2023; via Goldman Sachs & Co. LLC and Incapital LLC; pricing in March; Cusip: 38150A6C4

• Callable step-up fixed-rate notes due March 2026; via Goldman Sachs & Co. LLC; pricing in March; Cusip: 38150A6A8

GS FINANCE CORP.

• 0% leveraged buffered notes due March 3, 2023 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing Feb. 28; Cusip: 40055AHZ3

• 0% notes due Dec. 3, 2020 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; pricing Feb. 28; Cusip: 40055AHQ3

• 0% notes due March 3, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; pricing Feb. 28; Cusip: 40055AHP5

• 0% underlier-linked notes due Sept. 3, 2021 linked to the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets ETF; via Goldman, Sachs & Co.; pricing Feb. 28; Cusip: 40055AJA6

HSBC BANK USA, NA

• Certificates of deposit with annual interest due March 6, 2023 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc. with Incapital LLC as distributor; pricing Feb. 28; Cusip: 40434YVE4

HSBC USA INC.

• 0% barrier enhanced participation notes due March 6, 2023 linked to the Dow Jones industrial average and the Russell 200 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FTC1

• 0% buffered Accelerated Market Participation Securities due March 5, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSR9

• 0% buffered Accelerated Market Participation Securities due March 5, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSS7

• 0% buffered Accelerated Market Participation Securities due March 5, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSQ1

• 0% buffered Performance Leveraged Upside Securities due Sept. 2, 2020 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61768CZR1

• 0% buffered Accelerated Market Participation Securities due March 5, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSP3

• 0% buffered uncapped market participation securities due March 5, 2021 tied to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSM0

• 0% buffered uncapped market participation securities due March 7, 2022 tied to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSN8

• 0% digital dual directional barrier securities due March 6, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 28; Cusip: 40435FSH1

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

• 0% Accelerated Return Notes due April 2019 tied to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due February 2023 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2019 tied to Euro Stoxx 50 index, the FTSE 100 index, the Nikkei Stock Average index, the Swiss Market index, the S&P/ASX 200 index and the Hang Seng index; via BofA Merrill Lynch; pricing in February

• 0% autocallable market-linked step-up notes due March 2021 linked to the Nikkei Stock Average index; 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 & CO.

• Callable step-up notes due March 16, 2038; via J.P. Morgan Securities LLC; pricing in March 14; Cusip: 48128GJ68

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYX9

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYV3

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYW1

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYU5

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYT8

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the Topix index; via J.P. Morgan Securities LLC; pricing Feb. 28; Cusip: 48129HYY7

• Callable step-up fixed-rate notes due March 16, 2033; via J.P. Morgan Securities LLC; pricing March 14; Cusip: 48128GH78

MORGAN STANLEY

• Floating-rate notes due March 2, 2028 linked to the Consumer Price Index; via Morgan Stanley & Co. LLC; settlement March 2; Cusip: 61760QKY9

MORGAN STANLEY FINANCE LLC

• 0% market-linked notes due March 3, 2022 linked to the Morgan Stanley ETF-MAP 2 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61768M592

• 0% market-linked notes due March 3, 2023 linked to the MSCI Europe index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61768M584

• 0% dual directional trigger Performance Leveraged Upside Securities due March 3, 2023 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61768CA23

• 0% buffered Performance Leveraged Upside Securities due Sept. 2, 2020 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61768CZQ3

• Leveraged CMS curve securities due Feb. 28, 2033 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; settling Feb. 28; Cusip: 61766YCF0

ROYAL BANK OF CANADA

• Capped fixed-to-floating notes due March 6, 2023; via RBC Capital Markets, LLC; pricing March 2; Cusip: 78013XGQ5

TORONTO-DOMINION BANK

• Callable step-up notes due March 29, 2023; via TD Securities (USA) LLC; pricing in March 26; Cusip: 89114QLN6

WELLS FARGO & CO.

• Capped floating-rate notes due Sept. 14, 2021 linked to three-month Libor; via Wells Fargo Securities, LLC; pricing March 12; Cusip: 95001D2C3

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