Structured Products Calendar

BARCLAYS BANK PLC

• 3.75% buffered fixed-coupon notes due Feb. 26, 2027 linked to the Euro Stoxx 50 index; via Barclays; pricing Feb. 25; Cusip: 06747PAC3

BOFA FINANCE LLC

• Contingent income autocallable yield notes due March 2, 2022 linked to the worst performing of the SPDR S&P Bank ETF, the SPDR S&P Retail ETF and the VanEck Vectors Semiconductor ETF; via BofA Securities, Inc.; pricing Feb. 25; Cusip: 09709TA68

• 0% enhanced return notes due March 2, 2023 linked to the Stoxx Global Select Dividend 100 index; via BofA Securities, Inc.; pricing Feb. 25; Cusip: 09709TZV6

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Autocallable contingent coupon equity-linked securities due Aug. 30, 2027 linked to the least performing of the S&P 500 Dynamic Participation index and the SPDR S&P Oil & Gas Exploration & Production ETF; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17327TD78

• 0% market-linked notes due March 2, 2021 linked to the SPDR Gold trust; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17327TN36

• 0% market-linked notes due June 2, 2023 linked to the Citi Radar 5 Excess Return index; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 17327T3N4

GS FINANCE CORP.

• 0% leveraged buffered index-linked notes due Feb. 28, 2025 tied to the Dow Jones U.S. Select Dividend index; via Goldman Sachs & Co. LLC; pricing Feb. 25; Cusip: 40056YHY3

• 0% buffer gears due March 2, 2027 linked to a basket consisting of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight; via Goldman Sachs & Co. LLC and UBS Financial Services Inc.; pricing Feb. 25; Cusip: 36259H518

• 0% bearish barrier early redeemable market-linked notes with daily barrier observation linked to the S&P 500 index, maturing between Feb. 25, 2022 and April 25, 2022; via Goldman Sachs & Co. LLC as underwriter and UBS Financial Services Inc. as selling agent; pricing Feb. 25; Cusip: 40056YJ47

• 0% allocation securities linked to a basket consisting of the S&P 500 index, the Euro Stoxx 50 index and the MSCI Emerging Markets index; via Goldman Sachs & Co. LLC as underwriter and UBS Financial Services Inc. as selling agent; pricing Feb. 26; Cusip: 36259H385

HSBC USA INC.

• 0% performance allocator notes due Feb. 28, 2025 linked to three regional baskets of indexes (U.S. region basket consists of the S&P 500 index and the Russell 2000 index; European region basket consists of the Euro Stoxx 50 index and the FTSE 100 index; Asia Pacific region basket consists of the S&P/ASX 200 index and the Nikkei 225 index); via HSBC Securities (USA) Inc.; pricing Feb. 25; Cusip: 40435U4L5

• Callable contingent income barrier notes due Feb. 28, 2030 linked to the least performing of the S&P 500 index and Euro Stoxx Banks index; via HSBC Securities (USA) Inc.; pricing Feb. 25; Cusip: 40435U6T6

JPMORGAN CHASE FINANCIAL CO. LLC

• Callable range accrual securities due Feb. 28, 2035 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Euro Stoxx Banks index; via J.P. Morgan Securities LLC; pricing Feb. 25; Cusip: 48130UTV7

MORGAN STANLEY FINANCE LLC

• 0% capped trigger in-step securities due Aug. 31, 2022 linked to the S&P 500 index; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing Feb. 25; Cusip: 61770G294

• Contingent income autocallable securities due Aug. 31, 2021 linked to the least performing of the Financial Select Sector SPDR fund, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing Feb. 26; Cusip: 61770FMJ2

• Contingent income autocallable securities due March 3, 2023 linked to the common shares of Amazon.com, Inc.; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61770G484

• Contingent income autocallable securities due March 3, 2023 linked to the common shares of Bank of America Corp.; via Morgan Stanley & Co. LLC; pricing Feb. 28; Cusip: 61770G500

ROYAL BANK OF CANADA

• 0% rules-based investment securities due Feb. 28, 2025 linked to the RBC Global Tactical Equity Total Return index; via RBC Capital Markets LLC; pricing Feb. 25; Cusip: 78013GUN3

• 0% rules-based investment securities due Feb. 28, 2025 linked to the RBC Large Cap US Tactical Equity Total Return index; via RBC Capital Markets LLC; pricing Feb. 25; Cusip: 78013GUP8

• 0% barrier booster notes due May 29, 2026 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Feb. 25; Cusip: 78015KMX9

UBS AG, LONDON BRANCH

• Trigger autocallable contingent yield notes due Feb. 28, 2025 linked to the lesser performing of the Technology Select Sector SPDR fund, the Materials Select Sector SPDR fund and the Energy Select Sector SPDR fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 25; Cusip: 90270K3T4

WELLS FARGO FINANCE LLC

• Market-linked securities due March 4, 2025 – callable with contingent coupon and contingent downside linked to the least performing of the Nasdaq-100 index, Dow Jones industrial average and the Russell 2000 index; via Wells Fargo Securities LLC; pricing on Feb. 27; Cusip: 95001HFF3

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