Structured Products Calendar

BARCLAYS BANK PLC

• 0% capped Leveraged Index Return Notes due September 2021 linked to the S&P 500 index; via BofA Securities Inc.; pricing in September

BANK OF MONTREAL

• Redeemable step-up coupon notes due Sept. 30, 2024; via BMO Capital Markets Corp.; pricing Sept. 26; Cusip: 06367WQH9

BANK OF NOVA SCOTIA

• 0% capped buffered enhanced participation notes due in 24 to 27 months linked to the Russell 2000 index; via Scotia Capital (USA) Inc.; Cusip: 064159PW0

BOFA FINANCE LLC

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

CANADIAN IMPERIAL BANK OF COMMERCE

• 45- to 48-month 0% capped leveraged index-linked notes tied to the Russell 2000 index; via CIBC World Markets; Cusip: 13605WRB9

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Callable range accrual notes due Sept. 24, 2036 linked to six-month Libor; via Citigroup Global Markets Inc.; pricing Sept. 20; Cusip: 17327THF6

• Contingent income autocallable securities due Sept. 24, 2024 linked to JPMorgan Chase & Co. common stock; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing Sept. 20; Cusip: 17327P328

• Contingent coupon autocallable notes due Sept. 28, 2021 linked to Microsoft Corp.; via Citigroup Global Markets Holdings Inc.; pricing Sept. 23; Cusip: 17324XTU4

• 7%-8% Single Observation Equity Linked Securities due Sept. 29, 2020 linked to the common stock of Cigna Corp.; via Citigroup Global Markets Inc.; pricing Sept. 24; Cusip: 17324XTJ9

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Alphabet Inc., Apple Inc., Facebook, Inc. and Netflix, Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XRZ5

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Amazon.com, Inc., Home Depot, Inc., Lowe’s Cos., Inc. and Walmart Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XTX8

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Intel Corp., Qualcomm Inc., salesforce.com, inc. and Square Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XTQ3

• 0% geared buffer securities due Oct. 2, 2023 linked to a basket holding the S&P MidCap 400 index and the iShares Core S&P Small-Cap ETF; via Citigroup Global Markets Inc.; pricing Sept. 27; Cusip: 17327TGT7

• 0% market-linked notes due April 4, 2022 linked to the worst performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Holdings Inc.; pricing Sept. 30; Cusip: 17327TXD3

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due Dec. 30, 2020 linked to the lesser performing of the VanEck Vectors Oil Services exchange-traded fund and the SPDR S&P Oil &Gas Exploration & Production exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 25; Cusip: 22552FX72

GS FINANCE CORP.

• 0% index-linked trigger notes due Oct. 7, 2020 based on the S&P 500 index; via Goldman Sachs & Co. LLC with J.P. Morgan Securities LLC as placement agent; pricing Sept. 20; Cusip: 40056XDJ2

• Callable contingent coupon notes due Oct. 1, 2029 linked to least performing of the Dow Jones industrial average, the Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Sept. 25; Cusip: 40056XDE3

• 0% leveraged index-linked notes due Nov. 30, 2020 to the S&P 500 index; via Goldman Sachs & Co.; pricing Sept. 25; Cusip: 40056XDH6

• 0% autocallable notes due Oct. 3, 2022 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing Sept. 26; Cusip: 40056XDD5

• Quarterly CMS spread-linked notes due September 2023; via Goldman Sachs & Co. LLC; pricing in September; Cusip: 40056XCT1

HSBC USA INC.

• Autocallable contingent income barrier notes due March 26, 2021 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40435UXZ2

• Autocallable contingent income barrier notes due March 26, 2021 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40435UYA6

• Autocallable contingent income barrier notes due June 28, 2021 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40435UXY5

JEFFERIES GROUP LLC

• $15 million of 0% capped buffered senior notes due Oct. 7, 2020 linked to the S&P 500 index; via Jefferies LLC; pricing Oct. 1; Cusip: 47233JCF3

JPMORGAN CHASE FINANCIAL CO. LLC

• Autocallable contingent interest notes due Sept. 23, 2021 linked to the least performing of the Dow Jones industrial average, the Nasdaq-100 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FNC6

• Contingent income autocallable securities due Sept. 24, 2020 tied to the common stock of Delta Air Lines, Inc.; via J.P. Morgan Securities LLC as agent with Morgan Stanley Smith Barney LLC handling distribution; pricing Sept. 20; Cusip: 48132G666

• 0% dual directional contingent buffered return enhanced notes due Sept. 25, 2025 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLM6

• 0% digital dual directional contingent buffered notes due Sept. 25, 2025 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLL8

• Autocallable contingent interest notes due Dec. 24, 2020 tied to the common stock of Emerson Electric Co.; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLQ7

• Autocallable contingent interest notes due Dec. 24, 2020 linked to the common stock of Netflix, Inc.; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FMC7

• 0% dual directional trigger Performance Leveraged Upside Securities due Sept. 23, 2022 linked to the Russell 2000 index; via J.P. Morgan Securities LLC as agent, with distribution through Morgan Stanley Wealth Management; pricing Sept. 20; Cusip: 48132G641

• 0% capped buffered equity notes due Sept. 23, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FB21

• Contingent income callable securities due Sept. 25, 2029 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management as dealer; pricing Sept. 20; Cusip: 48132FLN4

• Autocallable contingent interest notes due Sept. 28, 2022 tied to the least performing of the common stocks of NIKE, Inc., Walt Disney Co., Coca-Cola Co. and Procter & Gamble Co.; via J.P. Morgan Securities LLC; pricing Sept. 23; Cusip: 48132FML7

• Autocallable contingent interest notes due Dec. 30, 2020 tied to the common stock of Nvidia Corp.; via J.P. Morgan Securities LLC; pricing Sept. 24; Cusip: 48132FMF0

• Autocallable contingent interest notes due Dec. 30, 2020 tied to the common stock of Schlumberger NV; via J.P. Morgan Securities LLC; pricing Sept. 24; Cusip: 48132FMD5

• 0% capped enhanced participation notes due Nov. 29, 2021 linked to a basket of indexes (Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight); via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FLV6

• 0% capped buffered return enhanced notes due March 31, 2022 linked to the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FJK3

• 0% capped dual directional buffered equity notes due Sept. 30, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FNA0

• 0% digital notes due Oct. 30, 2020 linked to the lesser performing of the Russell 2000 index and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FFJ0

• 0% capped dual directional buffered equity notes due March 30, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FME3

• 0% uncapped contingent buffered return enhanced notes due Sept. 30, 2024 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FMZ6

• Autocallable contingent interest notes due Sept. 29, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 25

• Autocallable contingent interest notes due Dec. 31, 2020 tied to the common stock of Bank of America Corp.; via J.P. Morgan Securities LLC; pricing Sept. 26; Cusip: 48132FMJ2

• Autocallable contingent interest notes due Dec. 31, 2020 tied to the common stock of Prudential Financial, Inc.; via J.P. Morgan Securities LLC; pricing Sept. 26; Cusip: 48132FMQ6

• 0% uncapped dual directional buffered equity notes due Sept. 30, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLT1

• 0% uncapped contingent buffered equity notes due Oct. 2, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLK0

• 0% capped contingent buffered return enhanced notes due Oct. 2, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLJ3

• 8.6% autocallable yield notes due Dec. 24, 2020 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Sept. 29; Cusip: 48132FCP9

• 0% trigger jump securities due Oct. 5, 2021 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC as agent and Morgan Stanley Wealth Management handling distribution; pricing Sept. 30; Cusip: 48132G674

• 8.85% autocallable yield notes due Jan. 5, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FLW4

• 0% dual directional trigger participation securities due Nov. 4, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132G682

• 0% capped buffered return enhanced notes due April 5, 2021 linked to the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FMV5

• 0% capped buffered return enhanced notes due April 5, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FMU7

• 0% capped buffered return enhanced notes due Oct. 7, 2022 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Oct. 4; Cusip: 48132FND4

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Sept. 23, 2021 linked to the worst performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HVM4

• 0% trigger step securities due July 31, 2023 linked to a basket of indexes including the Stoxx Europe 600 index with a 70% weight and the Euro Stoxx Mid index with a 30% weight; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C236

• 0% enhanced trigger jump securities due March 29, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HUB9

• 0% enhanced trigger jump securities due March 29, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HUC7

• Contingent income autocallable securities due Sept. 23, 2022 linked to Apple Inc. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C251

• Contingent income autocallable securities due Sept. 23, 2022 linked to Caterpillar Inc. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C244

• 0% market-linked notes due April 3, 2024 linked to the Morgan Stanley ETF-Map 2 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61770C111

• 0% buffered jump securities due Oct. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61769HTS4

• 0% Performance Leveraged Upside Securities due Jan. 5, 2021 tied to the S&P 500 index; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management as dealer; pricing Sept. 30; Cusip: 61770C210

• 0% buffered Performance Leveraged Upside Securities due April 4, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61770C228

• 24- to 27-month 0% capped leveraged buffered notes linked to a basket of indexes (Euro Stoxx 50 index with a 36% weight, the Tokyo Stock Price index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight); via Morgan Stanley & Co. LLC; Cusip: 61769HVK8

• 0% 25- to 28-month leveraged buffered notes linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61769HVP7

ROYAL BANK OF CANADA

• 7.6% to 8.6% airbag autocallable yield notes due Sept. 28, 2020 linked to the common stock of CVS Health Corp.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Sept. 20; Cusip: 78014J470

• Issuer callable contingent coupon barrier notes due March 31, 2025 linked to the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index; via RBC Capital Markets, LLC; pricing Sept. 20; Cusip: 78015KFA7

• Phoenix autocallable notes with memory coupon due Oct. 7, 2020 linked to the iShares PHLX Semiconductor ETF; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 78015KGE8

• Phoenix autocallable notes with memory coupon due Oct. 7, 2020 linked to Nvidia Corp. shares; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 78015KGA6

• 0% levered market plus notes due Sept. 26, 2024 linked to the S&P 500 index; via RBC Capital Markets, LLC as underwriter with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing Sept. 20; Cusip: 78015KGJ7

• Redeemable step-up notes due Sept. 30, 2024; via RBC Capital Markets, LLC; pricing Sept. 26; Cusip: 78014RBE9

• 0% trigger Performance Leveraged Upside Securities due Oct. 5, 2021 linked to the Russell 2000 index; via RBC Capital Markets, LLC as agent with Morgan Stanley Wealth Management as dealer; pricing Sept. 30; Cusip: 78014J454

TORONTO-DOMINION BANK

• Autocallable contingent interest barrier notes due Sept. 29, 2022 linked to the least performing of the common stocks of Adobe Systems Inc., Broadcom Inc., Microsoft Corp. and Apple Inc.; via TD Securities (USA) LLC; pricing Sept. 24; Cusip: 89114R2A3

• 24- to 27-month 0% leveraged capped buffered notes linked to the S&P 500 index; via TD Securities (USA) LLC; Cusip: 89114R2B1

• 0% leveraged buffered notes due in 24 to 27 months linked to a basket of indexes (Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight); via TD Securities (USA) LLC; Cusip: 89114Q5N4

UBS AG, LONDON BRANCH

• Trigger autocallable contingent yield notes due Sept. 23, 2022 linked to the common stock of Amazon.com, Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 20; Cusip: 90281E381

• Trigger autocallable contingent yield notes due Sept. 23, 2022 linked to the common stock of Merck & Co., Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 20; Cusip: 90281E399

• Trigger autocallable contingent yield notes due Sept. 23, 2022 linked to the common stock of Royal Dutch Shell plc; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 20; Cusip: 90281E407

• Contingent income autocallable securities due March 25, 2020 linked to the common stock of Hess Corp.; via UBS Securities LLC and Morgan Stanley Wealth Management; pricing Sept. 20; Cusip: 90281E365

• 0% capped Performance Leverage Upside Securities due Jan. 5, 2021 tied to the Russell 2000 index; via UBS Securities LLC as agent with distribution through Morgan Stanley Smith Barney LLC; pricing Sept. 30; Cusip: 90281E340

• Callable step-up notes due April 4, 2022; via UBS Securities LLC and UBS Investment Bank; pricing Oct. 2; Cusip: 90270KM97

• 0% capped leveraged buffered notes due in 19 to 22 months linked to the MSCI EAFE index; via UBS Securities LLC; Cusip: 90270KM89

WELLS FARGO & CO.

• Step-up callable notes due Sept. 30, 2024; via Wells Fargo Securities LLC; pricing Sept. 26; Cusip: 95001D4W7

WELLS FARGO FINANCE LLC

• 8% STEP Income Securities due October 2020 linked to the common stock of Microsoft Corp.; via BofA Securities Inc.; pricing in September

• 0% buffered enhanced return securities with capped upside and buffered downside due in 24 to 27 months linked to the iShares MSCI Emerging Markets ETF; via Wells Fargo Securities, LLC; Cusip: 95001HAL5

• 0% buffered enhanced return securities with capped upside and buffered downside due in 26 to 29 months linked to the S&P 500 index; via Wells Fargo Securities, LLC; Cusip: 95001HAM3

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