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Published on 4/6/2018 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due April 25, 2025; via BofA Merrill Lynch; pricing April 23; Cusip: 06048WWD8

• Step-up callable notes due April 27, 2033; via BofA Merrill Lynch; pricing April 24; Cusip: 06048WWE6

• Step-up callable notes due April 27, 2028; via BofA Merrill Lynch; pricing April 25; Cusip: 06048WWC0

BANK OF MONTREAL

• 0% contingent risk absolute return notes with digital upside due Oct. 30, 2020 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing April 25; Cusip 06367T4M9

• 0% contingent risk absolute return notes with digital upside due Oct. 30, 2020 linked to the VanEck Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing April 25; Cusip 06367T4L1

BANK OF NOVA SCOTIA

• 0% market-linked securities – leveraged upside participation and contingent downside due May 4, 2020 linked to the Euro Stoxx 50 index; via Scotia Capital (USA) Inc. and Wells Fargo Securities, LLC; pricing April 27; Cusip 064159LC8

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

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

• Autocallable market-linked step-up notes due April 2021 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in April

• Autocallable market-linked step-up notes due April 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in April

• 0% autocallable market-linked step-up notes due April 2024 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in April

BARCLAYS BANK PLC

• Phoenix autocallable notes due April 15, 2021 linked to the least performing of the common stocks of Raymond James Financial, Inc., Applied Materials, Inc. and Carmax, Inc.; via Barclays; pricing April 12; Cusip 06746X3E1

• Floating-rate notes due April 12, 2028 linked to the Consumer Price Index; via Barclays; settlement April 12; Cusip: 06746X2S1

• 7.75% phoenix autocallable notes due April 18, 2023 linked to the lesser performing of the Dow Jones Industrial average and the Russell 2000 index; via Barclays; pricing April 13; Cusip 06746X5R0

• Fixed- to floating-rate notes due April 20, 2023 linked to the 10-year U.S. dollar ICE swap rate; via Barclays; settlement April 20; Cusip: 06746X2T9

• Step-up fixed-rate callable notes due Oct. 23, 2025; via Barclays; settlement April 23; Cusip: 06746X5Q2

BOFA FINANCE LLC

• Issuer callable capped notes due Oct. 27, 2021 linked to the difference between the 30-year and two-year U.S. dollar ICE swap rates; via BofA Merrill Lynch; pricing April 25; Cusip: 09709TEH0

• Autocallable market-linked step-up notes due April 2023 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

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

• Capped Leveraged Index Return Notes due April 2020 linked to a basket of the 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 April

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% capped Leveraged Index Return Notes due June 2019 tied to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

• 0% market-linked step-up notes due June 2019 tied to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

• 0% capped Leveraged Index Return Notes due April 2020 tied to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in April

• 0% capped Leveraged Index Return Notes due April 2020 tied to the Russell 2000 index; via BofA Merrill Lynch; pricing in April

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

• 0% capped Leveraged Index Return Notes due April 2020 tied to the S&P 500 index; via BofA Merrill Lynch; pricing in April

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Fixed- to floating-rate notes due April 18, 2023 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; pricing April 16; Cusip: 17324CTV8

• 0% market-linked notes due April 23, 2021 linked to S&P 500 index, Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF; via Citigroup Global Markets Inc.; pricing April 20; Cusip: 17324CTE6

• 0% market-linked notes due April 30, 2020 linked to the iStoxx Europe Economic Growth Select 50 index; via Citigroup Global Markets Inc.; pricing April 27; Cusip: 17324CTH9

• Fixed-to-floating notes due May 3, 2033 linked to 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; pricing April 30; Cusip: 17324CU53

• 0% barrier securities due April 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing in April; Cusip 17324CTQ9

CREDIT SUISSE AG

• Market linked securities – autocallable with contingent coupon and contingent downside due April 21, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Wells Fargo Securities LLC; pricing April 16; Cusip 22550WNF0

• Callable step-up securities due April 30, 2023; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WNN3

CREDIT SUISSE AG, LONDON BRANCH

• 0% digital barrier notes due May 14, 2019 linked to the S&P 500 index and the Russell 2000 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing April 9; Cusip: 22550WLJ4

• 0% CS notes due April 18, 2023 linked to the Swiss Market index; via Credit Suisse Securities (USA) LLC; pricing April 13; Cusip 22550WNS2

• Contingent coupon autocallable yield notes due Oct. 21, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 16; Cusip: 22550WKH9

• Contingent coupon autocallable yield notes due Oct. 21, 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 April 16; Cusip: 22550WKF3

• 0% CS notes due April 18, 2023 linked to the Swiss Market index; via Credit Suisse Securities (USA) LLC; pricing April 16; Cusip: 22550WNS2

• 0% digital barrier notes due Oct. 28, 2019 linked to the lowest performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing April 20; Cusip 22550WNE3

• 0% absolute return barrier securities due April 27, 2021 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing April 20; Cusip 22550WNK9

• 7.15% to 8.15% contingent coupon callable yield notes due April 27, 2021 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 20; Cusip 22550WN86

• 9% to 10% contingent coupon callable yield notes due April 27, 2021 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 20; Cusip 22550WNB9

• Contingent coupon autocallable yield notes due April 30, 2021 linked to the least performing of the common stock of Amazon.com, Inc., the class A common stocks of Facebook, Inc. and Alphabet Inc. and the common stock of Netflix, Inc.; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22549JA91

• 0% accelerated barrier notes due April 28, 2023 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WL21

• 0% digital buffered notes due Oct. 28, 2021 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip 22550WMN4

• Contingent coupon autocallable yield notes due Oct. 30, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WKP1

• Contingent coupon callable yield notes due April 28, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WLR6

• Contingent coupon autocallable yield notes due Oct. 30, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WKN6

• 0% Buffered Accelerated Return Equity Securities due May 31, 2019 tied to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 25; Cusip: 22550WKJ5

• Contingent coupon autocallable yield notes due Aug. 5, 2019 linked to the lesser performing of the iShares MSCI EAFE ETF and the Euro Stoxx 50 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WLQ8.

• 0% absolute return digital barrier securities due May 3, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WLG0

• Contingent coupon autocallable yield notes due May 3, 2019 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WKW6

• Contingent coupon callable yield notes due May 3, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WLX3

• 0% digital plus barrier notes due May 3, 2023 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WLL9

• 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 April 30; Cusip: 22550WL47

• 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; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 30; Cusip: 22550WLC9

DEUTSCHE BANK AG, LONDON BRANCH

• 0% trigger return enhanced securities due May 3, 2023 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the Euro Stoxx 50 index; via Deutsche Bank Securities Inc.; pricing April 30; Cusip 25155MKQ3

GS FINANCE CORP.

• 0% leveraged buffered notes due April 14, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co.; pricing April 9; Cusip: 40055AXE2

• 0% autocallable notes due April 18, 2022 linked to the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co.; pricing April 9; Cusip: 40055AVA2

• Callable contingent coupon notes due April 12, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing April 9; Cusip: 40055AXC6

• 0% autocallable notes due April 28, 2025 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co.; pricing April 12; Cusip: 40055ATK3

• 0% autocallable notes due April 28, 2025 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co.; pricing April 12; Cusip 40055ATK3

• Fixed-coupon autocallable notes due July 22, 2019 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing April 12; Cusip 40055ATP2

• 0% trigger jump securities due May 6, 2020 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. as agent, Morgan Stanley Wealth Management as distributor; pricing April 13; Cusip 36254G366

• 0% buffered Performance Leveraged Upside Securities due Nov. 4, 2020 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. as agent, Morgan Stanley Wealth Management as distributor; pricing April 13; Cusip 36254G374

• 8% contingent income callable securities due April 18, 2023 linked to the Russell 2000 index; via Goldman Sachs & Co. as agent, Morgan Stanley Wealth Management as distributor; pricing April 13; Cusip 40055AUN5

• 0% autocallable index-linked notes due May 9, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; pricing April 25; Cusip 40055AUD7

• 0% autocallable index-linked notes due May 9, 2028 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; pricing April 25; Cusip 40055AUC9

• Autocallable contingent coupon notes due Nov. 1, 2019 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co. LLC; pricing April 25; Cusip 40055AWN3

• Callable buffered monthly range accrual notes due April 30, 2024 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing April 26; Cusip 40055AX69

• 0% leveraged buffered index-linked notes due May 3, 2023 tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing April 30; Cusip: 40055AWF0

• 0% index-linked notes due Nov. 3, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman, Sachs & Co.; pricing April 30; Cusip 40055AWV5

• Callable contingent coupon notes due May 3, 2023 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing April 30; Cusip 40055AWX1

• Callable contingent coupon underlier-linked notes due in 48 months linked to the lesser performing of the Russell 2000 index, the S&P 500 index and the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co.; Cusip 40055ATQ0

HSBC USA, INC.

• 8.5% to 10.5% autocallable contingent income barrier notes due April 22, 2019 linked to the common stock of Amazon.com, Inc.; via HSBC Securities (USA) Inc.; pricing April 16; Cusip 40435FYN1

• Autocallable barrier notes with contingent return and step-down call threshold feature due May 16, 2022 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 20; Cusip 40435FWY9

• Autocallable barrier notes with contingent return and step-down call threshold feature due May 16, 2022 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 20; Cusip 40435FWX1

• 0% leveraged performance notes due May 1, 2023 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc.; pricing April 25; Cusip 40435FXS1

• Autocallable barrier notes with contingent return due April 28, 2028 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip 40435FYJ0

• 7% autocallable yield notes due Aug. 5, 2019 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 30; Cusip 40435FYE1

JPMORGAN CHASE FINANCIAL CO. LLC

• 7% to 9% autocallable contingent interest notes due April 30, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip 48129MJS6

• 0% notes due April 30, 2021 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing April 30; Cusip 48129MKS4

MORGAN STANLEY FINANCE LLC

• 0% dual directional trigger Performance Leveraged Upside Securities due May 5, 2020 linked to Apple Inc. stock; via Morgan Stanley & Co. LLC; pricing April 13; Cusip: 61768P652

• 10.15% contingent income autocallable securities due April 16, 2021 linked to the common stock of Lowe’s Cos., Inc.; via Morgan Stanley & Co. LLC; pricing April 13; Cusip 61768P785

• 13.5% contingent income autocallable securities due Oct. 18, 2018 linked to the common stock of Intel Corp.; via Morgan Stanley & Co. LLC; pricing April 13; Cusip 61768P793

• 0% buffered Performance Leveraged Upside Securities due Oct. 29, 2020 linked to the Dow Jones Industrial average; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CS40

• 0% enhanced buffered jump securities due April 29, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CQ91

• 0% buffered Performance Leveraged Upside Securities due April 28, 2023 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CP76

• 0% trigger Performance Leveraged Upside Securities due April 28, 2023 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CP27

• 0% buffered Performance Leveraged Upside Securities due April 28, 2023 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip: 61768CS65

• 0% enhanced buffered jump securities due April 29, 2021 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CP84

• Contingent income autocallable securities due Oct. 30, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CP35

• 0% trigger Performance Leveraged Upside Securities due April 28, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CQ26

• 0% trigger jump securities due April 28, 2023 linked to the worst performing of the S&P 500 index and the Dow Jones Industrial average; via Morgan Stanley & Co. LLC; pricing April 25; Cusip 61768CT80

• 0% trigger Performance Leveraged Upside Securities due April 28, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Morgan Stanley & Co. LLC; pricing April 25; Cusip: 61768CQ26

• 0% buffered Performance Leveraged Upside Securities due May 5, 2022 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 30; Cusip 61768CS32

• 0% dual directional trigger Performance Leveraged Upside Securities due May 4, 2023 linked to the S&P 500 index; 70% trigger; via Morgan Stanley & Co. LLC; pricing April 30; Cusip: 61768CR41

• 0% dual directional trigger Performance Leveraged Upside Securities due April 2023 linked to the S&P 500 index; 70% trigger; via Morgan Stanley & Co. LLC; pricing in April; Cusip: 61768CN86

ROYAL BANK OF CANADA

• Redeemable leveraged steepener notes due April 13, 2028 linked to the 30-year and two-year Constant Maturity Swap rates; via RBC Capital Markets, LLC; pricing April 11; Cusip: 78014RAE0

• Autocallable contingent coupon barrier notes due April 16, 2021 linked to the least performing of the stocks of Walt Disney Co. and Netflix Inc.; via RBC Capital Markets, LLC; pricing April 13; Cusip 78013XKJ6

• 0% capped Leveraged Index Return Notes due April 2021 tied to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

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

TORONTO-DOMINION BANK

• Callable step-up notes due April 20, 2023; via TD Securities (USA) LLC; pricing April 17; Cusip: 89114QMA3

• Callable step-up notes due April 30, 2021; via TD Securities (USA) LLC; pricing April 25; Cusip: 89114QME5

WELLS FARGO & CO.

• Fixed- to floating-rate notes due April 20, 2028 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing April 18; Cusip: 95001D2G4

• Capped floating-rate notes due Oct. 25, 2021 linked to Libor; via Wells Fargo Securities, LLC; pricing April 20; Cusip: 95001D2H2


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