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

• Autocallable barrier notes with a contingent coupon due Dec. 31, 2020 linked to the SPDR S&P Oil & Gas Exploration and Production ETF and the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367WPU1

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

• Contingent income issuer callable yield notes due Oct. 2, 2024 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index; via BofA Securities Inc.; pricing Sept. 27; Cusip: 09709TVL2

• Contingent income issuer callable yield notes due Sept. 30, 2022 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index; via BofA Securities Inc.; pricing Sept. 27; Cusip: 09709TVK4

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

• Contingent income autocallable yield notes due May 3, 2023 linked to the Dow Jones industrial average and Russell 2000 index; via BofA Securities Inc.; pricing Oct. 28; Cusip: 09709TVN8

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.

• Contingent income autocallable securities due Sept. 30, 2022 linked to AT&T Inc. common stock; via Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC ; pricing Sept. 27; Cusip: 17327P450

• 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

• 25- to 28-month 0% absolute return trigger notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 17327TYG5

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon callable yield notes due Sept. 30, 2021 linked to the common stock of Energy Transfer LP; via Credit Suisse Securities (USA) LLC; pricing Sept. 27; Cusip: 22549J2H2

• Autocallable contingent income securities due Sept. 30, 2022 linked to the common stock of Microsoft Corp.; via Credit Suisse Securities (USA) LLC and Morgan Stanley Smith Barney LLC; pricing Sept. 27; Cusip: 22550K343

• Market-linked securities due Sept. 28, 2023 – autocallable with contingent coupon and contingent downside linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing Sept. 27; Cusip: 22552FUF7

• 0% market-linked securities due Oct. 3, 2022 – autocallable with contingent downside linked to the VanEck Vectors Oil Services ETF; via Wells Fargo Securities, LLC; pricing Sept. 27; Cusip: 22552FUJ9

• Contingent coupon autocallable reverse convertible securities due Dec. 28, 2020 linked to the common stock of Ulta Beauty, Inc.; via Credit Suisse Securities (USA) LLC; pricing Sept. 27; Cusip: 22549JY87

GS FINANCE CORP.

• Contingent income autocallable securities due Sept. 30, 2022 linked to JPMorgan Chase & Co. common stock; via Goldman Sachs & Co. LLC and Morgan Stanley Smith Barney LLC ; pricing Sept. 27; Cusip: 36258L510

• 0% leveraged buffered notes due Sept. 30, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Sept. 27; Cusip: 40056XBR6

• 0% index-linked notes due Oct. 4, 2023 to the S&P 500 index; via Goldman Sachs & Co.; pricing Sept. 27; Cusip: 40056XDM5

• 8% autocallable fixed-coupon notes due Jan. 5, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing Sept. 27; Cusip: 40056XDW3

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

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co. LLC; Cusip: 40056XDS2

HSBC USA INC.

• Autocallable contingent income barrier notes due Oct. 2, 2023 linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the Euro Stoxx Banks index; via HSBC Securities (USA) Inc.; pricing Sept. 27; Cusip: 40435UYD0

• 0% leveraged buffered capped notes due in 21 to 24 months linked to the MSCI EAFE index; via HSBC Securities (USA) Inc.; Cusip: 40435UYH1

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

• Contingent income autocallable securities due Oct. 1, 2020 linked to JD.com, Inc. American Depositary Shares; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC ; pricing Sept. 27; Cusip: 48132G575

• Autocallable contingent interest notes due Sept. 30, 2021 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FPE0

• 0% digital contingent buffered notes due Oct. 15, 2020 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FNU6

• Autocallable contingent interest notes due Oct. 1, 2020 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLA2

• Autocallable contingent interest notes due April 1, 2021 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FNW2

• Autocallable contingent interest notes due Oct. 15, 2020 tied to the common stock of FedEx Corp.; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FNS1

• Autocallable contingent interest notes due Oct. 1, 2020 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FPR1

• 0% digital contingent buffered notes due Oct. 15, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FNQ5

• Autocallable contingent interest notes due Oct. 1, 2020 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: 48132FNN2

• 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

• Autocallable contingent interest notes due April 2, 2027 linked to the lesser performing of the Nasdaq-100 index and the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FC20

• 0% uncapped dual directional buffered return enhanced notes due Oct. 5, 2023 linked to the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FC61

• 0% capped buffered absolute return notes due Dec. 15, 2021 linked to the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FC79

• 9.4% autocallable yield notes due Oct. 5, 2020 linked to the least performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FNH5

• Contingent income autocallable securities due April 4, 2022 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index; via J.P. Morgan Securities LLC and Morgan Stanley Wealth Management; pricing Sept. 30; Cusip: 48132FC46

• 10% autocallable yield notes due Jan. 5, 2021 linked to the common stock of Nvidia Corp.; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FA97

• Contingent income autocallable securities due April 5, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC and Morgan Stanley Wealth Management; pricing Sept. 30; Cusip: 48132FMR4

• 0% digital equity notes due June 9, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FNM4

• 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 equity notes due Oct. 30, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FNT9

• 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

• Fixed-to-floating notes due March 27, 2023 linked to the federal funds effective rate; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61760QMR2

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Sept. 30, 2022 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. 27; Cusip: 61769HUP8

• 0% jump securities with autocallable feature due Oct. 2, 2023 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HUR4

• 0% jump securities with autocallable feature due Oct. 6, 2025 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HUZ6

• 0% trigger Performance Leveraged Upside Securities due Sept. 30, 2021 linked to the lesser performing of the iShares Silver trust and the iShares 20+ Year Treasury Bond ETF; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HWB7

• 0% jump notes with autocallable feature due Oct. 2, 2024 linked to the Morgan Stanley MAP Trend index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HUQ6

• 0% enhanced buffered jump securities due Sept. 30, 2021 linked to the worse performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HUS2

• 0% dual directional trigger jump securities due Oct. 2, 2024 linked to the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HUT0

• 0% capped dual directional contingent buffer equity notes due Oct. 15, 2020 tied to the S&P 500 index; via Morgan Stanley & Co. LLC, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Sept. 27; Cusip: 61769HWF8

• 0% market plus notes due March 31, 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Sept. 27; Cusip: 61769HWD3

• 0% capped dual directional contingent buffer equity notes due Sept. 29, 2022 tied to the S&P 500 index; via Morgan Stanley & Co. LLC, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Sept. 27; Cusip: 61769HWG6

• 0% trigger Performance Leveraged Upside Securities due Oct. 4, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HVW2

• 0% jump securities with autocallable feature due Oct. 2, 2024 linked to the worst performing of the S&P 500 index and Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61769HVZ5

• Contingent income autocallable securities due Sept. 30, 2022 linked to Kellogg Co. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61770C301

• Contingent income autocallable securities due Sept. 30, 2022 linked to Visa Inc. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 27; Cusip: 61770C293

• 0% Performance Leveraged Upside Securities due Jan. 5, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and Morgan Stanley Wealth Management; pricing Sept. 30; Cusip: 61770C277

• 0% buffered Performance Leveraged Upside Securities due Oct. 5, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61770C285

• 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

• 0% geared buffered return notes due Oct. 2, 2023 linked to the iShares Core MSCI Emerging Markets ETF; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip: 78015KDS0

• Autocallable contingent coupon barrier notes due Sept. 30, 2021 linked to the lesser performing of the SPDR Dow Jones industrial average exchange-traded fund, the Russell 2000 index and the Nasdaq-100 index; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip: 78015KBB9

• Autocallable contingent coupon barrier notes due Sept. 30, 2021 linked to the least performing of the SPDR S&P Bank ETF, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR fund; via RBC Capital Markets, LLC; pricing Sept. 27; Cusip: 78015KBF0

• 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

• 13- to 15-month 0% leveraged buffered notes linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78015KHW7

TORONTO-DOMINION BANK

• 0% contingent barrier return enhanced notes due Oct. 3, 2024 linked to the S&P 500 index; via TD Securities (USA) LLC, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Sept. 27; Cusip: 89114R2J4

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

• 20- to 23-month 0% leveraged capped buffered notes linked to the S&P 500 index; via TD Securities (USA) LLC; Cusip: 89114R2G0

• 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

• Contingent income autocallable securities due Sept. 30, 2022 linked to the common stocks of Mastercard Inc. and Visa Inc.; via UBS Securities LLC as agent, Morgan Stanley Wealth Management as dealer; pricing Sept. 27; Cusip: 90281E431

• Trigger autocallable contingent yield notes due Sept. 30, 2021 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI Eurozone ETF; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 27; Cusip: 90270KN88

• Trigger callable contingent yield notes with daily coupon observation due Oct. 4, 2024 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 27; Cusip: 90270KP60

• Trigger autocallable contingent yield notes due Oct. 5, 2022 linked to the common stocks of Alphabet Inc., Oracle Corp., Raytheon Co. and Wells Fargo & Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Sept. 30; Cusip: 90270KN54

• Contingent income autocallable securities due April 5, 2021 tied to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index; via UBS Securities LLC as agent with Morgan Stanley Wealth Management as dealer; pricing Sept. 30; Cusip: 90270KN62

• 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 FINANCE LLC

• 0% market-linked securities – leveraged upside participation and contingent downside due Oct. 4, 2021 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing Sept. 27; Cusip: 95001HAQ4

• 0% market-linked securities – leveraged upside participation to a cap and fixed percentage buffered downside due Oct. 4, 2021 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing Sept. 30; Cusip: 95001HAA9

• 0% market-linked securities with upside participation with averaging and principal return at maturity due April 6, 2026 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing Sept. 30; Cusip: 95001HA92

• 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% market-linked notes with leveraged upside participation to a cap and fixed percentage buffered downside due Sept. 30, 2021 linked to the iShares MSCI Emerging Markets trust; via Wells Fargo Securities LLC; pricing 95001HAS0

• 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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