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Published on 2/3/2016 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes with 3.5% initial rate due Feb. 18, 2031; via BofA Merrill Lynch; settling Feb. 18; Cusip: 06048WSE1

• Autocallable market-linked step up notes due February 2018 linked to the PHLX Housing Sector index; via BofA Merrill Lynch; pricing in February

• 0% Accelerated Return Notes due April 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due May 10, 2017 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Feb. 5; Cusip: 06366R7K5

• Redeemable step-up coupon notes due Feb. 18, 2026; via BMO Capital Markets Corp.; pricing Feb. 12; Cusip: 06366R7H2

• Redeemable step-up coupon notes due Feb. 18, 2031; via BMO Capital Markets Corp.; pricing Feb. 12; Cusip: 06366R7J8

• 0% buffered bullish enhanced return notes due Feb. 28, 2018 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAL4

• 7.2% autocallable cash-settled notes due Feb. 28, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAD2

• 9% autocallable cash-settled notes due Feb. 28, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAG5

• 12.6% autocallable cash-settled notes due Feb. 28, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAF7

• 10.8% autocallable cash-settled notes due Feb. 28, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAC4

• 0% upside booster notes with buffer due Feb. 28, 2019 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06366R7L3

• 0% upside booster notes with buffer due Feb. 28, 2019 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06366R7M1

• 13.8% autocallable cash-settled notes due Feb. 28, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAE0

• 12% autocallable cash-settled notes due Feb. 28, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Feb. 24; Cusip: 06367TAB6

BANK OF NOVA SCOTIA

Feb. 25, 2019 linked to the Raymond James CEFR Domestic Equity Total Return index; via Scotia Capital (USA); pricing Feb. 19; Cusip: 064159HF6

• 0% 13- to 15-month capped enhanced participation notes linked to the S&P 500 index; via Scotia Capital (USA) Inc.; Cusip: 064159HG4

BARCLAYS BANK PLC

• 0% notes due Feb. 7, 2019 linked to the EquityCompass Share Buyback index; via Barclays; pricing Feb. 4; Cusip: 06741U2Z6

• Aautocallable notes due Aug. 10, 2017 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via Barclays; pricing Feb. 5; Cusip 06741U4U5

• Trigger callable contingent yield notes due Feb. 8, 2018 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing Feb. 5; Cusip: 06740Q864

• Contingent income autocallable securities due Feb. 8, 2019 linked to Home Depot, Inc. shares; via agent Barclays and dealer Morgan Stanley Wealth Management; pricing Feb. 5; Cusip: 06740Q708

• Contingent income callable securities due Feb. 13, 2018 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 75% trigger; via Barclays with Morgan Stanley Smith Barney LLC; pricing Feb. 8; Cusip: 06741U4Z4

• Contingent income callable securities due Feb. 13, 2018 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 65% trigger; via Barclays with Morgan Stanley Smith Barney LLC; pricing Feb. 8; Cusip: 06741U4Y7

• Callable step-up coupon notes due Feb. 16, 2021; via Citigroup Global Markets Inc.; pricing Feb. 10; Cusip: 17298C6M5

• Contingent income autocallable securities due Feb. 15, 2018 linked to the Euro Stoxx 50 index; via Barclays; pricing Feb. 12; Cusip: 06740Q872

• 0% jump securities due Feb. 15, 2018 linked to the Euro Stoxx 50 index; via Morgan Stanley Wealth Management; pricing Feb. 12; Cusip: 06744K202

• Trigger phoenix autocallable optimization securities due Feb. 15, 2019 linked to the Russell 2000 index; 65% trigger; via UBS Financial Services Inc. and Barclays; pricing Feb. 12; Cusip: 06740Q609

• Contingent income autocallable securities due Feb. 15, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 index; via Barclays and Morgan Stanley Smith Barney LLC; pricing Feb. 12; Cusip: 06740Q880

• Contingent income autocallable securities due Feb. 15, 2018 linked to the S&P 500 index; via Barclays and Morgan Stanley Smith Barney LLC; pricing Feb. 12; Cusip: 06740Q856

• Callable contingent coupon notes due Feb. 22, 2019 linked to the lesser performing index of the Euro Stoxx 50 index and the Russell 2000 index; via Morgan Stanley Wealth Management; pricing Feb. 19; Cusip: 06741U4N1

• Autocallable notes due Feb. 24, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; via Barclays; pricing Feb. 19; Cusip 06741U4M3

• Callable contingent coupon notes due Feb. 22, 2019 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 Feb. 19; Cusip: 06741U4P6

• Callable contingent coupon notes due March 1, 2018 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Barclays; pricing Feb. 24; Cusip: 06741U4S0

• 0% buffered digital notes due Aug. 29, 2018 linked to the Russell 2000 index; via Barclays; pricing Feb. 24; Cusip: 06741U4W1

• 48- to 51-month 0% capped leveraged notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; Cusip: 06741U2V5

• 18- to 21-month 0% capped leveraged buffered notes linked to a basket of five indexes; via Barclays; Cusip: 06741U3R3

CITIGROUP INC.

• 0% 13- to 15-month buffered securities linked to the S&P 500 index; 90% trigger; via Citigroup Global Markets Inc.; pricing Feb. 4; Cusip: 17298C6T0

• 0% buffered securities due Aug. 9, 2017 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 4; Cusip: 17298C6N3

• Callable step-up coupon notes due Feb. 26, 2041; via Citigroup Global Markets Inc.; pricing Feb. 23; Cusip: 17298C7D4

• 0.25% market-linked notes due Aug. 27, 2021 linked to a basket of the Dow Jones industrial average, with a 33.34% weight, and the Nikkei 225 index and the iShares Core U.S. Aggregate Bond ETF, each with a 33.33% weight; via Citigroup Global Markets Inc.; pricing Feb. 24; Cusip: 17298C6Y9

• 0% accelerated return notes due Aug. 29, 2019 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Feb. 24; Cusip: 17298C7F9

• 0% market-linked notes due March 1, 2023 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Feb. 24; Cusp: 17298C6Z6

• 0% buffer securities due August 2019 linked to the worst performing of the Dow Jones industrial average and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17298C6U7

• 0% enhanced buffered digital securities due Feb. 28, 2019 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17298C6V5

• 0% enhanced barrier digital plus securities due March 2, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17298C7B8

• 0% market-linked notes due Sept. 1, 2023 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 29; Cusip: 17323P140

CREDIT SUISSE AG, LONDON BRANCH

• Trigger phoenix autocallable optimization securities due Feb. 11, 2019 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; 65% trigger; via UBS Financial Services Inc.; pricing Feb. 5; Cusip: 22548J523

• Contingent coupon autocallable yield notes due Feb. 10, 2020 linked to the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 5; Cusip: 22546VW85

• 0% digital buffered notes due Feb. 8, 2018 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 5; Cusip: 22546VWR3

• 0% digital plus barrier notes due Feb. 13, 2017 linked to the S&P 500 index; 80% trigger; via Credit Suisse Securities (USA) LLC; settling Feb. 5; Cusip: 22546VV86

• Trigger callable contingent yield notes due Feb. 9, 2018 linked to least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 65% trigger; via UBS Financial Services Inc.; pricing Feb. 5; Cusip: 22548J531

• Contingent coupon callable yield notes due Feb. 11, 2019 linked to the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 5; Cusip: 22546VQZ2

• 0% trigger autocallable optimization securities due Feb. 19, 2021 linked to the Dow Jones industrial average; via UBS Financial Services Inc.; pricing Feb. 12; Cusip: 22548J549

• Callable contingent income securities due Feb. 18, 2026 linked to the S&P 500 index; 60% trigger; via Morgan Stanley & Co. LLC; pricing Feb. 12; Cusip: 22546VWC6

• 0% CS notes due Feb. 26, 2021 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Feb. 19; Cusip: 22546VW77

• 0% digital plus barrier notes due March 4, 2020 linked to the Euro Stoxx 50 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 19; Cusip: 22546VW93

• 0% digital plus barrier notes due March 1, 2022 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 19; Cusip: 22546VW93

• Contingent coupon autocallable yield notes due Feb. 25, 2019 linked to the common stock of Netflix, Inc.; 50% trigger; via Incapital LLC; pricing Feb. 19; Cusip: 22546VWF9

• 0% digital buffered notes due Feb. 27, 2018 linked to the Russell 2000 index; via Credit Suisse; pricing Feb. 19; Cusip: 22546VW69

• Digital barrier notes due Aug. 28, 2017 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 19; Cusip: 22546VWA0

• 0% digital buffered notes due Feb. 27, 2018 linked to the S&P 500 index; via Credit Suisse; pricing Feb. 19; Cusip: 22546VW51

• Contingent coupon callable yield notes due Feb. 26, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Feb. 19; Cusip: 22546VWE2

• 0% CS notes due March 1, 2021 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip:22546VVU7
• 0% digital plus barrier notes due March 1, 2021 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVE3
• Callable daily range accrual securities due Feb. 28, 2031 linked to the S&P 500 index; via Incapital LLC; pricing Feb. 24; Cusip: 22546VWK8
• 0% autocallable securities due March 1, 2018 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVR4
• 0% accelerated barrier notes due March 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVF0
• Contingent coupon autocallable yield notes due Feb. 26, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Feb. 24; Cusip: 22546VQY5
• 0% absolute return barrier securities due March 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVG8
• 0% digital buffered notes due Aug. 28, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 25; Cusip: 22546VWJ1
• 0% digital buffered notes due Aug. 28, 2019 linked to the Russell 2000 index; via Credit Suisse; pricing Feb. 25; Cusip: 22546VWH5
• 0% CS notes due June 3, 2020 linked to the CS Retiree Consumer Expenditure 5% Blended Index Excess Return; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip:22546VVV5
• 0% Buffered Return Equity Securities due Aug. 31, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVM5
• 0% digital plus barrier notes due March 4, 2020 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVJ2
• 8% to 10% autocallable yield notes due March 3, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Feb. 29; Cusip: 22546VVP8
• High/low coupon callable yield notes due Sept. 5, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVN3
• 0% accelerated barrier notes due March 3, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVK9
• 0% absolute return barrier securities due March 4, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVL7
• 0% Accelerated Return Notes due April 2017 linked to the Euro Stoxx 50, FTSE 100, Nikkei Stock Average, Swiss Market, S&P/ASX 200 and Hang Seng indexes; via BofA Merrill Lynch; pricing in February
• 14-month accelerated return notes linked to the JPX-Nikkei Index 400; via Credit Suisse International and Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• 0% Capped Leveraged Index Return Notes due February 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February
• 0% Accelerated Return Notes due February 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February
DEUTSCHE BANK AG, LONDON BRANCH
• 0% tracker notes due Feb. 23, 2018 linked to S&P 500 Total Return index and one times the return of the Deutsche Bank ProVol Balanced index; via Deutsche Bank Securities Inc.; pricing Feb. 18; Cusip: 25152RV67
• 0% tracker notes due Feb. 23, 2018 linked to S&P 500 Total Return index and one times the return of the Deutsche Bank ProVol Balanced index; via Deutsche Bank Securities Inc.; pricing Feb. 18; Cusip: 25152RV75
• 0% autocallable market-linked step-up notes due February 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February
• 0% autocallable market-linked step-up notes due February 2019 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in February
• 24- to 27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RZF3
• 24- to 27-month 0% buffered digital notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RZL0
GOLDMAN SACHS GROUP, INC.
• Fixed-to-floating notes due February 2021; via Goldman Sachs & Co.; settling in February; Cusip: 38148TLK3
• Callable step-up fixed rate notes due February 2021; via Goldman Sachs & Co. and Incapital LLC; pricing in February; Cusip: 38148TLD9
• Callable step-up fixed rate notes due February 2036; via Goldman Sachs & Co. and Incapital LLC; pricing in February; Cusip: 38148TLE7
• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.
• 0% 24- to 27-month leveraged notes linked to a basket of the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.
• 24- to 27-month 0% leveraged notes linked to the Russell 2000 index; via Goldman Sachs & Co.
• 18- to 21-month 0% leveraged buffered notes linked to the S&P 500 Total Return index; via Goldman Sachs & Co.
GS FINANCE CORP.
• Contingent income autocallable securities due Feb. 8, 2019 linked to JPMorgan Chase & Co. common shares; via Goldman, Sachs & Co. and Morgan Stanley Wealth Management; pricing Feb. 5; Cusip: 36250E316
• 0% leveraged notes due Feb. 23, 2017 linked to the JPX-Nikkei Index 400; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 40054K2K1
• 0% notes due Feb. 23, 2017 linked to the JPX-Nikkei Index 400; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 40054K2L9
• 0% leveraged buffered notes due Feb. 23, 2017 linked to the S&P 500 index; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 40054K2P0
• 0% trigger notes due Feb. 23, 2017 linked to the S&P 500 index; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 40054K2Q8
• 0% trigger notes due Aug. 9, 2017 linked to the S&P 500 index; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 40054K2N5
• 0% notes due Feb. 17, 2022 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 10; Cusip: 40054CBT0
• 0% Performance Leveraged Upside Securities due May 17, 2017 linked to the Euro Stoxx 50 index; via Goldman, Sachs & Co. with Morgan Stanley Wealth Management; pricing Feb. 12; Cusip: 36250E340
• 0% leveraged notes due Feb. 26, 2019 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054CBW3
• 0% leveraged notes due March 1, 2022 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054CBV5
• 0% notes due Feb. 28, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054CBU7
• 0% notes due March 1, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054K2D7
• 0% notes due March 1, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054CBX1
• 0% index-linked notes due Aug. 28, 2023 tied to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Feb. 23; Cusp: 40054K2H8
• 0% leveraged buffered notes due Feb. 28, 2019 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 23; Cusip: 40054K2G0
• 0% leveraged buffered notes due Feb. 26, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 23; Cusp: 40054K2F2
• 0% index-linked notes due Aug. 28, 2023 tied to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Feb. 23; Cusp: 40054K2J4
• 0% notes due Aug. 29, 2019 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 24; Cusp: 40054K2C9
• 0% notes due March 1, 2022 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 24; Cusp: 40054K2B1
• 0% autocallable notes due March 10, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman, Sachs & Co.; pricing Feb. 24; Cusip: 40054CCA0
• 0% notes due Feb. 29, 2024 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 24; Cusp: 40054CCB8
• 0% notes due Feb. 27, 2026 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Feb. 24; Cusp: 40054K2A3
• 0% autocallable notes due Feb. 28, 2019 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 24; Cusp: 40054CBZ6
• 0% digital notes due Feb. 28, 2019 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing Feb. 25; Cusip: 40054CBK9
• Callable range accrual notes due Feb. 28, 2031 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing Feb. 25; Cusip: 40054K2X3
• Callable range accrual notes due Feb. 28, 2031 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing Feb. 25; Cusip: 40054K2W5
• 0% 24-month notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054CBY9
HSBC USA INC.
• Income plus notes due Feb. 28, 2023 linked to a basket of the common stocks of Apple Inc., Bristol-Myers Squibb Co., Ford Motor Co., Philip Morris International Inc. and Wal-Mart Stores, Inc.; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UGQ3
• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 4; Cusip: 40433UHB5
• Autocallable yield notes due Aug. 9, 2017 linked to the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 4; Cusip: 40433UGJ9
• 0% market plus notes due Aug. 9, 2017 linked to the Euro Stoxx 50 index; 73.5% trigger; via HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing Feb. 5; Cusip: 40433UHQ2
• Autocallable contingent income barrier notes due Feb. 10, 2020 linked to the S&P MidCap 400 index; via HSBC Securities (USA) Inc.; pricing Feb. 5; Cusip: 40433UHP4
• 0% buffered uncapped market participation securities due Aug. 31, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UGX8
• 0% leveraged buffered uncapped market participation securities due March 1, 2021 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UGU4
• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UHA7
• 0% buffered uncapped market participation securities due March 1, 2021 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UGW0
• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UGZ3
• 0% Buffered Uncapped Market Participation Securities due Feb. 28, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UHK5
• 0% autocallable growth barrier notes due Feb. 28, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UHH2
• 0% autocallable growth barrier notes due March 2, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Feb. 24; Cusip: 40433UHJ8
• 0% Market Index Target-Term Securities due February 2023 linked to the Dow Jones industrial average; via HSBC USA Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February
• Autocallable market-linked step-up notes due February 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February
• Autocallable market-linked step-up notes due February 2021 linked to the Russell 2000 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and HSBC Securities (USA) Inc.; pricing in February
• 0% autocallable market-linked step up notes due February 2021 linked to the Russell 2000 index; BofA Merrill Lynch; pricing in February
JPMORGAN CHASE & CO.
• 0% capped dual directional buffered equity notes due Feb. 10, 2021 linked to the Energy Select Sector SPDR fund; via J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 48128GKQ2
• Trigger phoenix autocallable optimization securities due Feb. 11, 2026 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 48128A244
• 9.15% callable reverse exchangeable notes due Feb. 13, 2017 linked to Gilead Sciences, Inc. stock; via J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 46625HQD5
• Callable contingent interest notes due Feb. 15, 2017 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 Feb. 8; Cusip: 48128GLZ1
• Callable contingent interest notes due Feb. 15, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 8; Cusip: 48128GMA5
• Callable range accrual notes due Feb. 12, 2021 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 9; Cusip: 48125U2L5
• 8.5%-10.5% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to Amazon.com, Inc. common stock; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQA1
• 7.5%-9.5% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to Apple Inc. common stock; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQB9
• 0% buffered Performance Leveraged Upside Securities due Feb. 15, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 48128A251
• 8.25%-10.25% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to the class A common stock of Facebook Inc.; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQC7
• Autocallable contingent interest notes due Feb. 19, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 16; Cusip: 48128GKZ2
• Autocallable contingent interest notes due Feb. 20, 2020 linked to the S&P GSCI Crude Oil Index Excess Return; 60% trigger; via J.P. Morgan Securities LLC; pricing Feb. 17; Cusip: 48128GLY4
• 0% capped dual directional contingent buffered return enhanced notes due Feb. 22, 2019 linked to the S&P 500 index; 80% trigger; via J.P. Morgan Securities LLC; pricing Feb. 19; Cusip: 48128GLF5
• 0% review notes due Feb. 24, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; pricing Feb. 19; Cusip: 48128GLE8
• 0% capped buffered return enhanced notes due Feb. 28, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLN8
• 0% capped dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the Euro Stoxx 50 index; 65% trigger; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMF4
• 0% capped buffered return enhanced notes due Feb. 28, 2018 linked to iShares MSCI Emerging Markets exchange-traded fund; J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLL2
• 0% capped buffered return enhanced notes due Feb. 28, 2018 linked to iShares MSCI Emerging Markets exchange-traded fund; J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLK4
• 0% capped buffered return enhanced notes due Feb. 28, 2018 linked to the Russell 2000 index; J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLJ7
High/low yield notes due March 1, 2022 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLD0
• Callable contingent interest notes due March 3, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLS7
• Callable contingent interest notes due March 3, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLT5
• Callable contingent interest notes due March 3, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLU2
• Callable contingent interest notes due March 3, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLV0
• 0% dual directional contingent buffered return enhanced notes due Feb. 28, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMD9
• 9% to 11% callable yield notes due March 3, 2017 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 Feb. 24; Cusip: 48128GLR9
• Review notes due Feb. 28, 2019 linked to the Russell 2000 index and the S&P 500 index; J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLW8
• 0% dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GME7
• Autocallable contingent interest notes due Feb. 27, 2026 linked to the Russell 2000 index and the S&P 500 index; J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMK3
• 0% capped dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMB3
• 0% uncapped buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GLP3
• 0% capped dual directional contingent buffered return enhanced notes due Feb. 26, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMC1
MORGAN STANLEY
• 0% Performance Leveraged Upside Securities due May 17, 2017 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Feb. 12; Cusip: 61765U753
• 0% Performance Leveraged Upside Securities due May 17, 2017 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 12; Cusip: 61765U761
• 0% jump securities due Feb. 15, 2018 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Feb. 12; Cusip: 61765U779
• 0% buffered jump securities due Feb. 26, 2021 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing Feb. 24; Cusip: 61761JW21
• 0% trigger Performance Leveraged Upside Securities due Feb. 6, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley and UBS Financial Services Inc.; pricing Feb. 25; Cusip: 61765U837
• 0% 24- to 27-month leveraged buffered notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 90% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61761JV63
ROYAL BANK OF CANADA
• 0% bullish barrier enhanced return notes due Aug. 11, 2018 linked to equally weighted basket containing common stocks of BB&T Corp., Popular, Inc., Comerica Inc., Fifth Third Bancorp, JPMorgan Chase & Co., Morgan Stanley, M&T Bank Corp., PNC Financial Services Group, Inc., U.S. Bancorp and Wells Fargo & Co.; via RBC Capital Markets, LLC; pricing Feb. 5; Cusip: 78012KLD7
• 0% bullish barrier enhanced return notes due Aug. 9, 2018 linked to equally weighted basket of the common stocks of BB&T Corp., Popular, Inc., Comerica Inc., Fifth Third Bancorp, JPMorgan Chase & Co., Morgan Stanley, M&T Bank Corp., PNC Financial Services Group, Inc., U.S. Bancorp and Wells Fargo & Co.; via RBC Capital Markets, LLC pricing Feb. 5; Cusip: 78012KLE5
• Direct investment notes due March 8, 2017 linked to the Top 30 Global Ideas for 2016 (i.e., the stocks of Agrium Inc., Air Lease Corp., Allianz SE, Aramark, Alimentation Couche-Tard Inc., Avago Technologies Ltd., Brookfield Asset Management Inc., CBOE Holdings, Inc., Canadian National Railway Co., Cenovus Energy Inc., Dixons Carphone plc, Vinci SA, Dollar Tree, Inc., Enbridge Inc., Google Inc., Hexagon AB, Intact Financial Corp., InterXion Holding NV, Incitec Pivot Ltd., Lloyds Banking Group plc, Marathon Petroleum Corp., ServiceNow, Inc., Newell Rubbermaid Inc., PNC Financial Services Group. Inc., Royal Dutch Shell plc, Raytheon Co., Ryanair Holdings plc, Toronto-Dominion Bank, Whirlpool Corp. and Yum! Brands, Inc.); via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KLC9
• 0% bullish barrier enhanced return notes due Aug. 31, 2018 linked to the Euro Stoxx 50 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KKZ9
• 0% bullish barrier enhanced return notes due April 28, 2017 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KKY2
• 0% buffered bullish enhanced return notes due Feb. 26, 2021 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KLB1
• 0% bullish barrier enhanced return notes due Aug. 30, 2019 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KLA3
AB SVENSK EXPORTKREDIT
• 14-month 0% Accelerated Return Notes due April 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in February
UBS AG, LONDON BRANCH
• Trigger phoenix autocallable optimization securities due Feb. 11, 2019 linked to the common stock of General Electric Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 5; Cusip: 90275L581
• Trigger phoenix autocallable optimization securities due Feb. 11, 2019 linked to the common stock of Visa Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 5; Cusip: 90275L599
• Trigger phoenix autocallable optimization securities due Feb. 11, 2019 linked to the common stock of Citigroup Inc.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 5; Cusip: 90275L607
• 0% return optimization securities due April 18, 2017 linked to AbbVie Inc., Aetna Inc., Boeing Co., General Dynamics Corp., Gilead Sciences, Inc., Intel Corp., Lennar Corp., Pfizer Inc., Prologis, Inc. and Walt Disney Co.; via UBS Financial Services Inc. and UBS Investment Bank; pricing Feb. 12; Cusip: 90275L557
WELLS FARGO & CO.
• Step-up callable notes with 3% start rate due Feb. 19, 2031; via Wells Fargo Securities LLC; pricing Feb. 16; Cusip: 94986RE80
• Fixed-to-floating notes due Feb. 24, 2028 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities LLC; pricing Feb. 19; Cusip: 94986RE72
• Access securities with contingent coupon and contingent downside due Feb. 28, 2022 linked to the Russell 2000 index; 70% trigger; via Wells Fargo Securities, LLC; pricing Feb. 19; Cusip: 94986RE98
• 0% 24- to 27-month buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing in February; Cusip: 94986RE56
• 0% 24- to 27-month buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing in February; Cusip: 94986RE64

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