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Published on 7/30/2018 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due July 31, 2030; via BofA Merrill Lynch; settlement on July 31; Cusip: 06048WXB1

• Step-up callable notes due July 31, 2028; via BofA Merrill Lynch; settlement on July 31; Cusip: 06048WXC9

• Step-up callable notes due Aug. 28, 2023; via BofA Merrill Lynch; settlement on Aug. 28; Cusip: 06048WXF2

BANK OF NOVA SCOTIA

• 0% Accelerated Return Notes due September 2019 linked to a basket of indexes; via BofA Merrill Lynch; pricing in July

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

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

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

• 0% autocallable market-linked step-up notes due July 2021 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in July

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

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

• 0% autocallable market-linked step-up notes due July 2020 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in July

• 0% capped buffered enhanced participation notes due in 23 to 26 months linked to the iShares MSCI Emerging Markets exchange-traded fund; via Scotia Capital (USA) Inc.; Cusip: 064159LW4

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

BARCLAYS BANK PLC

• 0% notes due Feb. 5, 2020 linked to the Euro Stoxx 50 index; via Barclays; pricing July 31; Cusip: 06746XGZ0

• 0% dual directional notes due Feb. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing July 31; Cusip: 06746XGX5

• 0% notes due Aug. 4, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing July 31; Cusip: 06746XHP1

• 0% buffered SuperTrack notes due Aug. 3, 2022 linked to the S&P 500 index; via Barclays; pricing July 31; Cusip: 06746XGU1

• 0% market-linked notes – leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 3, 2023 linked to the S&P 500 index; via Barclays and Wells Fargo Securities, LLC; pricing July 31; Cusip: 06746XGA5

• Phoenix autocallable notes due Aug. 5, 2019 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; 75% trigger; via Barclays; pricing July 31; Cusip: 06746XHA4

• 0% buffered SuperTrack notes due Aug. 5, 2020 linked to the S&P 500 index; via Barclays; pricing July 31; Cusip: 06746XGW7

• 0% buffered SuperTrack notes due Aug. 5, 2020 linked to the SPDR S&P Oil & Gas Exploration & Production ETF; via Barclays; pricing July 31; Cusip: 06746XHM8

• Buffered phoenix autocallable notes due Feb. 4, 2026 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing July 31; Cusip: 06746XK69

• Phoenix autocallable notes due Aug. 5, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Barclays; pricing July 31; Cusip: 06746XK77

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

• Contingent income autocallable securities due Aug. 6, 2021 linked to Netflix Inc. stock; 60% trigger; via Barclays; pricing Aug. 3; Cusip: 06746T243

• Contingent income autocallable securities due Aug. 6, 2021 linked to Marathon Oil Corp. stock; 60% trigger; via Barclays; pricing Aug. 3; Cusip: 06746T235

• 0% partial principal at risk securities due Sept. 3, 2020 linked to the MSCI Europe index; via Barclays; pricing Aug. 15; Cusip: 06746T219

• Buffered Performance Leveraged Upside Securities due Sept. 3, 2020 linked to the Euro Stoxx 50 index; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 15; Cusip: 06746T227

• 0% notes due Aug. 27, 2020 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Aug. 24; Cusip: 06746XKG7

• 0% annual autocallable notes due Aug. 29, 2022 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing Aug. 24; Cusip: 06746XKE2

• Annual autocallable notes due Aug. 29, 2022 linked to the least performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production ETF; 70% trigger; via Barclays; pricing Aug. 24; Cusip: 06746XKD4

• Callable contingent coupon notes due Aug. 31, 2028 linked to the least performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Barclays; pricing Aug. 28; Cusip: 06746XK93

• Callable contingent coupon notes due Aug. 31, 2028 linked to the least performing of the Russell 2000 index and the S&P 500 index; 55% trigger; via Barclays; pricing Aug. 28; Cusip: 06746XKA0

• 0% buffered digital notes due Aug. 31, 2020 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06746XKN2

• 0% buffered digital notes due Feb. 28, 2022 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06746XKP7

• 0% buffered SuperTrack notes due Aug. 31, 2023 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06746XKL6

• 0% buffered digital plus notes due Aug. 31, 2023 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06746XKR3

• 4.5% buffered notes due Aug. 31, 2023 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06746XKS1

• 4.75% buffered notes due Aug. 29, 2025 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06746XKT9

• 0% buffered SuperTrack notes due July 31, 2021 linked to the Euro Stoxx 50 index; via Barclays; pricing Aug. 31; Cusip: 06746XKK8

• 0% Leveraged Index Return Notes due August 2020 linked to a basket of indexes; via BofA Merrill Lynch; pricing in August

• 0% Leveraged Index Return Notes due August 2020 linked to 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; 70% trigger; via BofA Merrill Lynch; pricing in August

BOFA FINANCE LLC

• 0% Leveraged Index Return Notes due July 2023 linked to the Dow Jones Industrial Average; via BofA Merrill Lynch; pricing in July

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

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

• Autocallable market-linked step-up notes due July 2023 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in July

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

• Autocallable market-linked step-up notes due July 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July

• 0% market-linked step-up notes due July 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July

• 0% leveraged buffered notes due in 22 to 25 months linked to the S&P 500 index; via BofA Merrill Lynch; Cusip: 09709TFS5

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 3, 2020 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing July 31; Cusip: 13605WLR0

• 9% STEP Income Securities due August 2019 linked to D.R. Horton, Inc. common shares; via BofA Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due July 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July

• 0% Capped Leveraged Index Return Notes due July 2020 linked to a basket of unequally weighted indexes; via BofA Merrill Lynch; pricing in July

• 0% leveraged notes due July 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 July

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

• 0% market-linked step-up notes due July 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due July 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% buffered securities due Aug. 5, 2020 linked to the iShares MSCI Emerging Markets ETF; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 17324CXW1

• 0% market-linked notes due Aug. 5, 2020 linked to the MSCI Europe index; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 17326K718

• 0% Performance Leveraged Upside Securities due Nov. 5, 2019 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 17326K635

• 0% market-linked notes due Aug. 3, 2023 linked to the worse performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 17324CX27

• Autocallable contingent coupon equity linked securities due Aug. 4, 2023 linked to the worse performing of the Euro Stoxx Banks index and the SPDR S&P Oil & Gas Exploration & Production ETF; 60% trigger; via Citigroup Global Markets Inc.; pricing Aug. 1; Cusip: 17324CYS9.

• Fixed-to-floating notes due Aug. 7, 2028 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing Aug. 2; Cusip: 17324CY83

• 0% contingent absolute return market-linked notes due Feb. 13, 2020 linked to the S&P 500 index; 82% to 84% trigger; via Citigroup Global Markets Inc.; pricing Aug. 8; Cusip: 17324CYN0

• 0% digital securities due Feb. 13, 2020 linked to the iShares U.S. Real Estate ETF; via Citigroup Global Markets Inc.; pricing Aug. 8; Cusip: 17324XMA5

• Callable barrier fixed-to-floating range accrual securities due Aug. 16, 2033 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Citigroup Global Markets Inc.; pricing Aug. 13; Cusip: 17324CYQ3

• 0% buffered digital plus securities due Sept. 5, 2023 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip: 17324CYL4

• 0% market-linked notes due Aug. 27, 2020 linked to the iStoxx Europe Economic Growth Select 50 index; via Citigroup Global Markets Inc.; pricing Aug. 24; Cusip: 17324CYP5

• 0% notes due Sept. 2, 2021 tied to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip 17324CYD2

• 0% market-linked notes due Sept. 6, 2023 linked to the worse performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Aug. 31; Cusip: 17324CYC4

• 0% index-linked notes due in 17 to 20 months tied to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 17324CXU5

• 0% notes due in 25 to 28 months linked to a basket of indexes; via Citigroup Global Markets Inc.; Cusip: 17324CXX9

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable reverse convertible securities due Nov. 4, 2019 linked to Amazon.com, Inc. stock; 65% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22549JVT4

• 0% CS notes due Aug. 4, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYM3

• 0% Buffered Accelerated Return Equity Securities due Aug. 3, 2022 linked to the iShares MSCI Emerging Markets ETF; 80% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550BUV3

• 7.25% callable yield notes due Nov. 4, 2019 linked to the lowest performing of the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550BVV2

• Contingent coupon callable yield notes due Aug. 3, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WZ91

• Contingent income issuer callable notes due Aug. 5, 2020 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index; 70% trigger; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 22550BV26

• 0% Buffered Accelerated Return Equity Securities due Feb. 5, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYU5

• 0% equity-linked partial principal at risk securities due Aug. 3, 2022 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22549M780

• 0% Buffered Accelerated Return Equity Securities due Sept. 5, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WZ42

• Contingent coupon callable yield notes due Aug. 3, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WZ34

• Contingent coupon callable yield notes due Aug. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WZW0

• 0% digital plus barrier securities due Aug. 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 July 31; Cusip: 22550WYW1

• Callable contingent income securities due Feb. 3, 2021 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550BWP4

• 0% autocallable securities due Aug. 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 July 31; Cusip: 22550BTX1

• Contingent coupon autocallable yield notes due Aug. 3, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYV3

• 0% jump securities due Nov. 5, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22549R102

• 0% absolute return digital barrier securities due Aug. 8, 2022 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 Aug. 3; Cusip: 22550WZ83

• 0% autocallable securities due Aug. 10, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 7; Cusip: 22551L2A7

• Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the iShares MSCI Emerging Markets ETF; via Credit Suisse Securities (USA) LLC with Morgan Stanley Wealth Management; pricing Aug. 15; Cusip: 22549R110

• Contingent coupon autocallable reverse convertible securities due Nov. 22, 2019 linked to Marathon Oil Corp. stock; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 17; Cusip: 22549JVV9

• Autocallable market-linked step-up notes due August 2021 linked to Euro Stoxx 50 index, FTSE 100 index, Nikkei Stock Average index, Swiss Market index, S&P/ASX 200 index and Hang Seng index; via BofA Merrill Lynch; pricing in August

• 0% digital buffered notes due in 17 to 20 months linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; Cusip: 22550BUZ4

• 0% leveraged notes tied to the iShares MSCI Emerging Markets exchange-traded fund due in 13 to 15 months; via Credit Suisse Securities (USA) LLC; Cusip: 22550BUS0

• 0% leveraged buffered notes linked to the S&P 500 index due in 20 to 23 months; via Credit Suisse Securities (USA) LLC; Cusip: 22550BUT8

• 0% leveraged notes tied to the SPDR S&P Regional Banking ETF; via Credit Suisse Securities (USA) LLC; Cusip: 22550BVG5

GOLDMAN SACHS GROUP, INC.

• Floating-rate notes due January 2020 tied to Libor; via Goldman Sachs & Co. LLC and Incapital LLC; pricing in July; Cusip: 38150AAW5

• Callable step-up fixed-rate notes due July 2021; via Goldman Sachs & Co. and Incapital LLC; pricing in July; Cusip: 38150AAU9

• Callable step-up fixed-rate notes due January 2024; via Goldman Sachs & Co.; pricing in July; Cusip: 38150AAV7

• Callable step-up fixed-rate notes due August 2025; via Goldman Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38150AAX3

GS FINANCE CORP.

• Contingent income callable securities due Aug. 3, 2023 linked to the S&P 500 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QMT6

• 0% leveraged buffered notes due Aug. 3, 2023 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLV2

• 0% notes due Jan Aug. 5, 2020 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLZ3

• 0% notes due Jan Aug. 3, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLQ3

• 0% autocallable notes due Aug. 14, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLX8

• 0% trigger jump securities due Feb. 5, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co. with Morgan Stanley Wealth Management as distributor; pricing July 31; Cusip: 36255U422

• 0% index-linked notes due Feb. 3, 2022 linked to the lesser performing of the iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; 70% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLY6

• Callable contingent coupon notes due Feb. 3, 2022 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 65% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QQ88

• 0% notes due Nov. 3, 2021 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLS9

• 0% index-linked notes due Feb. 3, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLR1

• 0% index-linked notes due Aug. 3, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QL34

• 0% index-linked notes due Aug. 3, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLT7

• Contingent coupon notes due Aug. 3, 2023 linked to the least performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLW0

• Contingent income autocallable securities due Aug. 3, 2023 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 60% trigger; via Goldman Sachs & Co.; pricing July 31; Cusip: 40055QMV1

• Autocallable contingent coupon notes due Feb. 7, 2020 linked to the lesser performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing July 31; Cusip: 40055QHG0

• Autocallable contingent coupon notes due Feb. 7, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing July 31; Cusip: 40055QJR4

• 0% leveraged buffered notes due Aug. 5, 2020 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLP5

• 0% leveraged buffered notes due Aug. 3, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing July 31; Cusip: 40055QLU4

• 0% leveraged buffered notes due Jan. 3, 2023 linked to a basket of two indexes and an exchange-traded fund; 60% trigger; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QKN1

• 0% leveraged buffered notes due Feb. 4, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QK50

• 0% index-linked notes due Feb. 4, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QK76

• Contingent coupon notes due Aug. 6, 2024 linked to the least performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QK35

• 0% leveraged buffered notes due Aug. 5, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QK43

• 0% buffered digital notes due Aug. 4, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QKE1

• 0% leveraged buffered digital notes due Aug. 6, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QKD3

• Autocallable contingent coupon notes due Feb. 6, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 1; Cusip: 40055QLM2

• 9.5% to 10.5% autocallable contingent coupon notes due Feb. 21, 2020 linked to the S&P 500 index, Euro Stoxx 50 index and Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNL2

• Autocallable contingent coupon notes due Feb. 21, 2020 linked to the least performing of the S&P 500 index, Dow Jones industrial average, the Russell 2000 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNP3

• Callable contingent coupon notes due Aug. 16, 2028 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNV0

• Callable contingent coupon notes due Aug. 16, 2023 linked to the least performing of the S&P 500 index, Dow Jones industrial average, the Russell 2000 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QP22

• 0% autocallable notes due Aug. 21, 2023 linked to the least performing of the S&P 500 index, Dow Jones industrial average, the Russell 2000 index; 65% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNW8

• 0% autocallable notes due Aug. 27, 2025 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNS7

• 0% autocallable notes due Aug. 27, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNT5

• 0% autocallable notes due Aug. 27, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNQ1

• 0% autocallable notes due Aug. 27, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing Aug. 13; Cusip: 40055QNR9

• 0% leveraged buffered notes due Aug. 24, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 17; Cusip: 40055QPQ9

• 0% leveraged buffered notes due March 3, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 24; Cusip: 40055QPZ9

• 0% leveraged buffered notes due Aug. 31, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 24; Cusip: 40055QQ21

• 0% leveraged notes due Sept. 2, 2026 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPB2

• 0% leveraged buffered notes due Aug. 31, 2023 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPM8

• 0% index-linked notes due Aug. 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 65% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QP30

• 4.6% fixed coupon callable buffered notes due Aug. 31, 2023 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QP48

• 4.2% fixed coupon callable buffered notes due May 31, 2022 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QP97

• 0% leveraged buffered notes due March 3, 2021 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPG1

• 0% leveraged buffered notes due Aug. 31, 2023 linked to the MSCI EAFE index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPN6

• 0% autocallable notes due Sept. 5, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QQ39

• 0% leveraged buffered notes due March 3, 2021 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40055QPK2

• 0% leveraged buffered index-linked notes due March 3, 2021 tied to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40055QPH9

• 0% leveraged index-linked notes due Sept. 7, 2021 tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40055QPA4

• 0% buffered notes due Aug. 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40055QPR7

• 0% buffered notes due Aug. 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40055QPF3

• 0% leveraged buffered notes due March 3, 2021 linked to the MSCI EAFE index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPJ5

• 0% leveraged buffered notes due Aug. 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPD8

• 0% leveraged buffered notes due Aug. 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPE6

• 0% buffered notes due Aug. 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 28; Cusip: 40055QPW6

• Callable buffered monthly range accrual notes due Aug. 31, 2024 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 29; Cusip: 40055QP89

• Callable monthly range accrual notes due Aug. 31, 2028 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing Aug. 29; Cusip: 40055QP71

• Callable step-up fixed-rate notes due August 2028; via Goldman Sachs & Co. LLC; pricing in August; Cusip: 38150AB20

• 0% index-linked notes due in 24 months tied to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40055QMD1

• 13- to 15-month 0% leveraged notes linked to the Nasdaq-100 index; via Goldman Sachs & Co.; Cusip: 40055QND0

HSBC USA, INC.

• Zero-coupon 5% limited loss notes due Aug. 3, 2020 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 40435FM95

• Performance Leveraged Upside Securities due Nov. 5, 2019 linked to the iShares China Large-Cap exchange-traded fund; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 40435X744

• 0% dual directional barrier securities due Aug. 3, 2021 linked to the lesser performing of the iShares MSCI EAFE ETF and the Euro Stoxx 50 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 40435FP68

• 6.5% autocallable yield notes due Nov. 4, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing July 31; Cusip: 40435FM46

• Strategic Accelerated Redemption Securities due July 2021 linked to the worst performing of the common stocks of Citigroup Inc., Goldman Sachs Group, Inc. and JPMorgan Chase & Co.; via BofA Merrill Lynch; pricing in July

• 0% digital dual directional barrier securities due Aug. 8, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 3; Cusip: 40435FP92

• 0% buffered Accelerated Market Participation Securities due March 1, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FT80

• 0% buffered Accelerated Market Participation Securities due March 1, 2021 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FT98

• 0% buffered Accelerated Market Participation Securities due March 1, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FU21

• 0% buffered Accelerated Market Participation Securities due March 1, 2021 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FU39

• 0% buffered digital notes due Aug. 31, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FU62

• 0% barrier enhanced participation notes due Aug. 31, 2023 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FU54

• 0% buffered Accelerated Market Participation Securities due March 1, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FU47

• 0% digital dual directional barrier securities due Aug. 31, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip 40435FS65

• 0% buffered Accelerated Market Participation Securities due Sept. 8, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FT49

• 0% buffered Accelerated Market Participation Securities due Sept. 8, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FT56

• 0% buffered Accelerated Market Participation Securities due Sept. 8, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FT64

• 0% buffered Accelerated Market Participation Securities due Sept. 8, 2020 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FT72

• 0% barrier digital return notes due Oct. 7, 2019 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FU88

• 0% digital dual directional barrier securities due Sept. 6, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip 40435FS57

• 0% autocallable market-linked step-up notes due August 2023 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

• Autocallable market-linked step-up notes due August 2021 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in August

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% buffered return enhanced notes due Jan. 29, 2021 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6M3

• 0% trigger jump securities due Aug. 5, 2020 linked to the Euro Stoxx 50 index; 90% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129N393

• 0% contingent buffered return enhanced notes due July 31, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE ETF; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129ME44

• 0% buffered return enhanced notes due July 31, 2020 linked to a basket consisting of the iShares MSCI EAFE ETF and the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MR57

• 0% contingent buffered return enhanced notes due July 29, 2022 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE ETF; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MD94

• 0% buffered return enhanced notes due Aug. 5, 2020 linked to a basket consisting of the iShares MSCI EAFE ETF and the S&P 500 index; via J.P. Morgan Securities LL; pricing July 31; Cusip: 48129MR57

• Autocallable contingent interest notes due July 31, 2019 linked to the lesser performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6F8

• 0% autocallable contingent buffered equity notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6Z4

• 0% contingent buffered return enhanced notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the Nasdaq-100 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MD78

• 0% dual directional contingent buffered equity notes due July 31, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 85% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MF50

• 0% contingent buffered return enhanced notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129ME51

• Autocallable contingent interest notes due Oct. 31, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6G6

• 0% dual directional contingent buffered equity notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MD60

• 0% autocallable contingent buffered equity notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M7A8

• 0% buffered digital notes due Jan. 31, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MG34

• 0% buffered return enhanced notes due July 31, 2023 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6E1

• 0% buffered return enhanced notes due Aug. 4, 2022 linked to the S&P 500 index; 80% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MK54

• 0% contingent buffered return enhanced notes due July 29, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129MD86

• 0% contingent buffered return enhanced notes due July 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 July 31; Cusip: 48129MF76

• 0% buffered equity notes due July 31, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129ME77

• 0% digital dual directional notes due Aug. 8, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 48129M4Y9

• Autocallable contingent interest notes due Aug. 12, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LL; pricing Aug. 9; Cusip: 48129MR40

• 0% digital notes due Sept. 30, 2019 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 48130UAF2

• 0% digital notes due Sept. 30, 2019 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 48130UAH8

MORGAN STANLEY FINANCE LLC

• Fixed- to floating-rate notes due July 31, 2023 linked to the 10-year Constant Maturity Treasury rate; via Morgan Stanley & Co. LLC; settlement on July 31; Cusip: 61760QLN2

• 0% buffered Performance Leveraged Upside Securities due Feb. 3, 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 31; Cusip: 61768R385

• 0% Performance Leveraged Upside Securities due Nov. 5, 2019 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing July 31; Cusip: 61768R377

• 0% Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the S&P 500 index; via Morgan Stanley & Co. LLC, with Morgan Stanley Wealth Management handling distribution; pricing Aug. 15; Cusip: 61768R468

• Fixed-rate step-up notes due Feb. 28, 2020; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management handling distribution; settlement on Aug. 28; Cusip: 61760QLP7

• 0% leveraged buffered notes due in 24 to 27 months linked to a basket of indexes; via Morgan Stanley & Co. LLC; Cusip: 61768DAA3

• 0% buffered digital notes due in 48 to 51 months linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; Cusip: 61768DAM7

• 0% buffered digital notes due in 25 to 28 months linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61768C6V4

• 0% leveraged buffered notes due in 26 to 29 months linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61768C7L5

• 0% capped leveraged notes due in 25 to 28 months linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61768C6W2

ROYAL BANK OF CANADA

• 0% market-linked securities – autocallable with fixed percentage buffered downside due Aug. 3, 2021 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing July 31; Cusip: 78013XNM6

• 0% buffered Performance Leveraged Upside Securities due Feb. 3, 2021 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing July 31; Cusip: 78014G385

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

• 0% autocallable buffer notes due Aug. 11, 2022 linked to the least performing of the iShares MSCI EAFE ETF, iShares MSCI Emerging Markets ETF and the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Aug. 8; Cusip: 78013XQR2

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due September 2019 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in July

TORONTO-DOMINION BANK

• 8% STEP Income Securities due August 2019 linked to the common stock of Facebook, Inc.; via BofA Merrill Lynch; pricing in July

• 0% 18- to 21-month leveraged capped notes linked a basket of indexes; via TD Securities (USA) LLC; Cusip: 89114QPJ1

• 0% leveraged capped buffered 23- to 26-month notes linked to the MSCI EAFE index; via TD Securities (USA) LLC; Cusip: 89114QPK8

UBS AG, LONDON BRANCH

• 24- to 27-month 0% leveraged buffered notes linked to a basket of the Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via UBS Securities LLC; Cusip: 90270KSR1

WELLS FARGO & CO.

• Step-up callable notes due Aug. 24, 2022; via Wells Fargo Securities, LLC; pricing Aug. 22; Cusip: 95001D2Q2

• 0% market-linked step-up notes due August 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August


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