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Published on 4/6/2016 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• 0% Capped Leveraged Index Return Notes due April 2018 linked to the Dow Jones U.S. Real Estate Index; via BofA Merrill Lynch; pricing in April

• 0% market-linked step-up notes due June 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

• 0% Accelerated Return Notes due June 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

• 0% Accelerated Return Notes due July 2017 linked to the gold spot price; via BofA Merrill Lynch; pricing in April

• 8%-9% autocallable coupon bearing notes due May 2017 linked to NIKE Inc. shares; via BofA Merrill Lynch; pricing in April

• 0% Capped Leveraged Index Return Notes due April 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in April

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

• Market-linked step-up notes due April 2018 tied to the S&P 500 index; via BofA Merrill Lynch; pricing in April

• 0% Capped Leveraged Index Return Notes due April 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in April

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due April 30, 2018 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCZ1

• 0% buffered bullish enhanced return notes due April 30, 2018 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCX6

• 7.2% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCP3

• 9% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCS7

• 10.8% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCN8

• 12.6% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCR9

• 0% contingent risk absolute return notes with digital upside due April 30, 2018 linked to the Market Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TDE7

• 8.4% autocallable cash-settled notes with fixed interest payments due April 28, 2017 linked to the lesser performing of the S&P 500 index and the iShares MSCI Emerging Markets exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCT5

• 0% buffered bullish enhanced return notes due April 30, 2018 linked to the SPDR Dow Jones REIT exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TDA5

• 0% buffered bullish enhanced return notes due April 30, 2018 linked to the SPDR Dow Jones REIT exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCY4

• 11.4% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCM0

• 13.2% autocallable cash-settled notes with fixed interest payments due on April 28, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TCQ1

BANK OF NOVA SCOTIA

• Callable step-up rate notes due April 27, 2031; via Scotia Capital (USA) Inc.; pricing April 22; Cusip: 064159HP4

• 0% Capped Leveraged Index Return Notes due April 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in April

• 0% Autocallable market-linked step-up notes due April 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in April

• Autocallable market-linked step-up notes due April 2019 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in April

BANK OF THE WEST

• Contingent variable-income market-linked certificates of deposit due April 28, 2023 linked to a basket of common stocks; via BNP Paribas Securities Corp.; pricing April 25; Cusip 06426XQJ2

• Income advantage market-linked certificates of deposit due April 28, 2023 linked to a basket of common stocks; via BNP Paribas Securities Corp.; pricing April 25; Cusip 06426XQK9

• Income advantage market-linked certificates of deposit due April 28, 2023 linked to a basket of common stocks; via BNP Paribas Securities Corp.; pricing April 25; Cusip 06426XQL7

• 0% market-linked certificates of deposit due April 28, 2023 linked to the Morningstar Ultimate Stock-Pickers Target Volatility 7 index, via BNP Paribas Securities Corp.; pricing April 26; Cusip 06426XQM5

BARCLAYS BANK PLC

• Phoenix autocallable notes due April 26, 2017 linked to the Euro Stoxx 50 index; via Barclays, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing April 8; Cusip: 06741V2A9

• 0% notes due Oct. 11, 2017 linked to the Euro Stoxx 50 index; via Barclays, J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA; pricing April 8; Cusip: 06741U7M0

• Contingent income autocallable securities due April 11, 2019 linked to Facebook, Inc. class A common stock; via Barclays and Morgan Stanley Wealth Management; pricing April 8; Cusip: 06744K582

• 0% capped return enhanced notes due April 26, 2017 linked to the S&P 500 index; via Barclays; pricing April 8; Cusip: 06741V2B7

• Phoenix autocallable notes due April 13, 2021 linked to the S&P MidCap 400 index; via Barclays; pricing April 8; Cusip: 06741U7L2

• 0% buffered Performance Leveraged Upside Securities due Nov. 5, 2018 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing April 15; Cusip: 06744K616

• Contingent income autocallable securities due April 19, 2018 linked to the S&P 500 index and the Russell 2000 index; via Barclays and Morgan Stanley Wealth Management; pricing April 15; Cusip: 06744K624

• Callable contingent coupon notes due April 25, 2019 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Barclays; pricing April 22; Cusip: 06741U6X7

• Callable contingent coupon notes due April 25, 2019 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing April 22; Cusip: 06741U6W9

• 9.5%-10.5% autocallable notes due April 30, 2019 linked to the least performing of the class A common stock of Alphabet Inc., the common stock of Amazon.com, Inc., the class A common stock of Facebook, Inc. and the common stock of Netflix, Inc.; via Barclays; pricing April 26; Cusip: 06741U6Z2

• 0% buffered Super Track notes due April 29, 2021 linked to the Dow Jones industrial average; via Barclays; pricing April 26; Cusip: 06741U7A6

• Callable contingent coupon notes due April 30, 2026 linked to the Euro Stoxx 50 index and the Russell 2000 index; via Barclays; pricing April 26; Cusip: 06741U7D0

• 0% buffered digital notes due Oct. 29, 2018 linked to the Russell 2000 index; via Barclays; pricing April 26; Cusip: 06741U7B4

• 0% dual directional notes due April 30, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing April 26; Cusip: 06741U7J7

• Buffered phoenix autocallable notes due April 29, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing April 26; Cusip: 06741U7F5

• Phoenix autocallable notes due May 1, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing April 26; Cusip: 06741U7G3

• 0% buffered digital notes due Oct. 29, 2019 linked to the S&P 500 index; via Barclays; pricing April 26; Cusip: 06741U7C2

• 0% capped trigger gears due April 30, 2019 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing April 26; Cusip: 06740Q716

• 0% trigger step securities due April 30, 2020 linked to the Euro Stoxx 50 index; via Barclays and UBS Financial Services Inc.; pricing April 27; Cusip: 06744K657

• 0% capped trigger gears due April 30, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Barclays; pricing April 27; Cusip: 06740Q690

• 0% dual directional trigger Performance Leveraged Upside Securities due May 3, 2019 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing April 29; Cusip: 06744K590

• 24- to 27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741U6Q2

BNP PARIBAS

• 0% buffered return enhanced notes due April 29, 2021 linked to a basket of 15 clean energy stocks; via BNP Paribas; pricing April 26; Cusip 05579TMU7

• 0% buffered return enhanced notes due April 29, 2021 linked to a basket of 15 clean energy stocks; via BNP Paribas; pricing April 26; Cusip 05579TMV5

• 0% buffered notes due April 29, 2020 linked to the S&P 500 index; via BNP Paribas; pricing April 26; Cusip 05579TMM5

• 0% digital buffered notes due April 29, 2019 linked to the S&P 500 index; via BNP Paribas; pricing April 26; Cusip 05579TMN3

• 0% leveraged notes due April 29, 2021 linked to the S&P 500 index; via BNP Paribas; pricing April 26; Cusip 05579TMP8

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% buffered notes due April 29, 2021 linked to the S&P 500 index; via CIBC World Markets; pricing April 26; Cusip: 13605WBL4

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due May 4, 2021 linked to the S&P 500 index; via Wells Fargo Securities, LLC; pricing April 29; Cusip: 13605WBM2

• 0% market-linked step-up notes due April 2018 tied to the Energy Select Sector index; via BofA Merrill Lynch; pricing in April

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

• 0% Accelerated Return Notes due June 2017 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in April

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% buffer securities due Oct. 31, 2018 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324C2K1

• Non-callable fixed-to-floating-rate notes due April 29, 2019 linked to three-month Libor; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324C2N5

• 0% buffer securities due April 29, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324C2L9

• 0.25% market-linked notes due Oct. 29, 2021 linked to the Dow Jones industrial average, the Nikkei 225 index and the iShares Core U.S. Aggregate Bond exchange-traded fund; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324C2G0

• 0% enhanced buffered digital securities due May 1, 2019 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324C2M7

• Annual reset coupon securities due April 2021 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17324P131

• 0% enhanced barrier digital plus securities due April 30, 2021 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing April 27; Cusip: 17324C2E5

• 0% barrier digital plus securities due Oct. 31, 2019 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing April 28; Cusip: 17324C2P0

• 0% enhanced barrier digital plus securities due May 4, 2021 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing April 29; Cusip: 17324C2D7

• 0% market-linked notes due November 2023 based on an equally weighted basket of the S&P 500 index, the Euro Stoxx 50 index and the Topix index; via Citigroup Global Markets Inc.; pricing April 29; Cusip: 17324P156

CITIGROUP INC.

• 0% 16- to 19-month buffered notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; pricing April 8; Cusip: 17298CEE4

• 0% buffered Performance Leveraged Upside Securities due Nov. 5, 2018 linked to the WisdomTree Japan Hedged Equity fund; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing April 18; Cusip: 17323P165

• Callable step-up coupon notes due April 29, 2021; via Citigroup Global Markets Inc.; pricing April 26; Cusip: 17298CEG9

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due April 13, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing April 8; Cusip: 22548Q3H6

• 0% trigger autocallable contingent yield notes due April 12, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc.; pricing April 8; Cusip: 22548R137

• 0% Buffered Accelerated Return Equity Securities due July 17, 2017 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing April 12; Cusip: 22548Q3B9

• 0% Buffered Accelerated Return Equity Securities due July 17, 2017 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 12; Cusip: 22548Q3G8

• 0% Buffered Accelerated Return Equity Securities due May 17, 2017 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing April 12; Cusip: 22548Q3A1

• 5.5% callable yield notes due April 22, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 13; Cusip: 22548Q3K9

• 11% to 12% autocallable yield notes due April 22, 2019 linked to stocks of Alphabet Inc., Amazon.com, Inc., Facebook, Inc. and Netflix, Inc.; via Incapital LLC; pricing April 18; Cusip: 22548Q2N4

• 6%-8% autocallable reverse convertible securities due April 24, 2017 linked to the common stock of Apple Inc.; via Credit Suisse Securities (USA) LLC; pricing April 19; Cusip: 22548Q3F0

• 0% digital buffered notes due April 30, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22548Q2D6

• 0% digital plus barrier notes due April 29, 2022 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22548Q3L7

• 0% autocallable securities due April 29, 2020 linked to the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22548Q2F1

• 0% digital barrier notes due Oct. 30, 2017 linked to the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22548Q2E4

• Contingent coupon callable yield notes due April 29, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 22; Cusip: 22548Q2C8

• 0% trigger gears due April 30, 2021 linked to the Energy Select Sector SPDR fund; via UBS Financial Services Inc.; pricing April 26; Cusip: 22548J879

• 9% to 10% autocallable yield notes due April 29, 2019 linked to the class P common stock of Kinder Morgan, Inc., the common stock of Exxon Mobil Corp. and the common stock of ConocoPhillips; via Incapital LLC; pricing April 26; Cusip: 22548Q2U8

• 0% digital buffered notes due Oct. 31, 2017 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22546VZN9

• 0% capped trigger gears due April 30, 2019 linked to the Russell 2000 index; via UBS Financial Services Inc.; pricing April 26; Cusip: 22548J853

• 0% trigger step securities due April 30, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC and UBS Financial Services Inc.; pricing April 26; Cusip: 22548R103

• 0% digital plus barrier notes due April 29, 2021 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22546VZZ2

• 0% trigger gears due April 30, 2026 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing April 26; Cusip: 22548J861

• 0% autocallable securities due April 30, 2018 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22546VZU3

• Contingent coupon callable yield notes due May 3, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22548Q2T1

• 0% accelerated barrier notes due April 29, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22546VZT6

• 0% contingent coupon autocallable yield notes due April 29, 2021 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 26; Cusip: 22546VZY5

• 0% trigger gears due April 30, 2021 linked to the Vanguard FTSE Emerging Markets exchange-traded fund; via UBS Financial Services Inc.; pricing April 26; Cusip: 22548J887

• 0% digital buffered notes due Oct. 30, 2019 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing April 27; Cusip: 22548Q2K0

• 0% digital buffered notes due April 30, 2020 linked to the S&P 500 index; via Credit Suisse; pricing April 27; Cusip: 22548Q2J3

• 0% buffered return equity securities due Nov. 1, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing April 29; Cusip: 22546VZX7

• 0% digital buffered notes due May 4, 2020 linked to the S&P 500 index; via Credit Suisse; pricing April 29; Cusip: 22548Q2M6

• High/low coupon callable yield notes due Nov. 6, 2017 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing April 29; Cusip: 22548Q2A2

• 14-month accelerated return notes linked to the JPX-Nikkei Index 400; via Credit Suisse International and BofA Merrill Lynch; pricing in April

• Autocallable market-linked step-up notes due April 2019 linked to the Russell 2000 index; via Credit Suisse International and BofA Merrill Lynch; pricing in April

• 0% Strategic Accelerated Redemption Securities due May 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in April

• Autocallable market-linked step-up notes due April 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in April

CREDIT SUISSE AG, NASSAU BRANCH

• Fixed-to-floating-rate notes due April 14, 2026; via Barclays; pricing April 11; Cusip: 22548Q3E3

DEUTSCHE BANK AG, LONDON BRANCH

• 0% capped buffer gears due April 30, 2019 linked to the MSCI EAFE index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing April 27; Cusip: 25190F681

GS FINANCE CORP.

• 0% trigger notes due July 19, 2017 linked to the common stock of Apple Inc.; via Goldman Sachs & Co. and J.P. Morgan Securities LLC; pricing April 8; Cusip: 40054KAD8

• Contingent income autocallable securities due April 13, 2017 linked to the common stock of Eli Lilly and Co.; via Goldman Sachs & Co. with Morgan Stanley Wealth Management as dealer; pricing April 8; Cusip: 36250E738

• 0% digital notes due Oct. 12, 2017 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing April 8; Cusip: 40054KAH9

• 0% index-linked notes due April 26, 2017 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing April 8; Cusip: 40054KAC0

• 0% Performance Leveraged Upside Securities due Aug. 3, 2017 linked to the Russell 2000 index; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing April 15; Cusip: 36250E662

• Contingent income callable securities due April 20, 2026 linked to the S&P 500 index; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing April 15; Cusip: 36250E688

• 0% leveraged notes due April 29, 2019 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing April 22; Cusip: 40054K7F7

• 0% leveraged notes due April 29, 2019 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing April 22; Cusip: 40054K7E0

• 0% notes due May 1, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing April 22; Cusip: 40054K7D2

• 0% index-linked notes due April 30, 2024 tied to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing April 25; Cusip: 40054K7L4

• 0% leveraged buffered notes due April 29, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing April 25; Cusip: 40054K7M2

• 0% notes due July 30, 2020 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing April 26; Cusip: 40054K7G5

• 0% notes due April 29, 2022 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing April 26; Cusip: 40054K7H3

• 0% notes due May 1, 2024 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing April 26; Cusip: 40054K7J9

• 0% notes due April 30, 2026 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing April 26; Cusip: 40054K7K6

• 0% autocallable notes due May 2, 2019 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing April 26; Cusip: 40054KA30

• Callable CMS spread and Russell 2000 index-linked range accrual notes due April 29, 2031; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KA55

• Callable CMS spread and Russell 2000 index-linked range accrual notes due April 29, 2031; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KA48

• Callable buffered monthly range accrual notes due April 29, 2021 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KA63

• Callable monthly range accrual notes due April 29, 2026 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KA71

• 0% callable contingent coupon notes due April 29, 2020 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KA97

• 0% autocallable contingent coupon notes due May 4, 2026 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing April 27; Cusip: 40054KAA4

• 0% trigger gears due April 30, 2026 linked to the Solactive Eurozone 50 Equal Weight 5% AR index; via Goldman Sachs & Co.; pricing April 27; Cusip: 36250E621

• Three-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054K6U5

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

• Three-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054K6R2

• Three-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054K6T8

• Six-month autocallable contingent coupon notes linked to the West Texas Intermediate light sweet crude oil futures contract; 80% trigger; via Goldman Sachs & Co.; Cusip: 40054K6C5

HSBC USA INC.

• Contingent income autocallable securities due Oct. 13, 2016 linked to American Airlines Group Inc. shares; 75% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing April 8; Cusip: 40434N432

• 0% Performance Leveraged Upside Securities due Aug. 3, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 15; Cusip: 40434N440

• 0% trigger autocallable contingent yield notes due April 21, 2026 linked to the Euro Stoxx 50 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 15; Cusip: 40434N390

• 0% trigger autocallable contingent yield notes due April 21, 2026 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing April 15

• 0% buffered Performance Leveraged Upside Securities due Nov. 5, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing April 15; Cusip: 40434N457

• 0% buffered Accelerated Market Participation Securities due Oct. 27, 2017 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 22; Cusip: 40433ULG9

• 0% digital barrier notes due April 30, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 22; Cusip: 40433UKH8

• 0% digital barrier notes due April 29, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 22; Cusip: 40433UKD7

• 0% worst of digital dual directional barrier securities due April 27, 2018 linked to the worse performing of the S&P 500 index and the Russell 2000 index; 80% trigger; via HSBC Securities (USA) Inc.; pricing April 22; Cusip: 40433ULH7

• Autocallable barrier notes with contingent return due April 29, 2020 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 22; Cusip: 40433UKB1

• 0% buffered Accelerated Market Participation Securities due April 2, 2018 linked to Apple Inc. shares; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433ULB0

• Income plus notes due May 1, 2023 linked to basket containing common stocks of Cisco Systems, Inc., International Business Machines Corp., Merck & Co., Inc., Procter & Gamble Co. and Verizon Communications, Inc.; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKE5

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKS4

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKS4

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKW5

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKT2

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKT2

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKX3

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKR6

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKR6

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKV7

• 6% autocallable yield notes due Oct. 31, 2017 linked to the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKG0

• 7% autocallable yield notes due Oct. 31, 2017 linked to the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKF2

• 0% barrier enhanced participation notes due Oct. 29, 2019 linked to the S&P 500 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433ULD6

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKQ8

• 0% buffered Accelerated Market Participation Securities due April 30, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKQ8

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 26; Cusip: 40433UKU9

JPMORGAN CHASE & CO.

• 0% capped enhanced participation equity notes due July 10, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 7; Cusip: 48128GSQ4

• Trigger autocallable contingent yield notes due April 14, 2021 linked to the common stock of Delta Air Lines, Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing April 8; Cusip: 48128B762

• Trigger autocallable contingent yield notes due April 14, 2021 linked to the common stock of Eli Lilly and Co.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing April 8; Cusip: 48128B754

• Trigger autocallable contingent yield notes due April 14, 2021 linked to the common stock of MetLife, Inc.; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing April 8; Cusip: 48128B747

• 0% digital dual directional contingent buffered notes due July 19, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 8; Cusip: 48128GVS6

• 0% dual directional trigger Performance Leveraged Upside Securities due May 3, 2018 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing April 15; Cusip: 48128B788

• Autocallable contingent interest notes due April 21, 2020 linked to the S&P GSCI Crude Oil Index Excess Return; via J.P. Morgan Securities LLC; pricing April 15; Cusip: 48128GVJ6

• Review notes due April 27, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 22; Cusip: 48128GRX0

• 0% capped dual directional contingent buffered return enhanced notes due April 25, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 22; Cusip: 48128GRY8

• Callable contingent interest notes due May 2, 2019 linked to the least performing of the American Depositary Shares of BP plc, the class C capital stock of Alphabet Inc. and the common stock of T-Mobile US, Inc.; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 48128GVT4

• 0% capped buffered return enhanced notes due April 30, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSD3

• Callable contingent interest notes due May 1, 2017 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVA5

• Contingent coupon callable yield notes due May 3, 2019 linked to the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVL1

• 0% capped buffered return enhanced notes due April 30, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSA9

• 0% uncapped contingent buffered equity notes due April 30, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVC1

• 0% uncapped contingent buffered equity notes due April 30, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSH4

• 0% capped buffered return enhanced notes due April 30, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSB7

• 0% capped buffered return enhanced notes due April 30, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSE1

• Callable yield notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUU2

• Callable yield notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUX6

• Callable contingent interest notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUZ1

• Callable contingent interest notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUW8

• Callable contingent interest notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUV0

• Callable contingent interest notes due May 1, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GUY4

• 0% dual directional contingent buffered return enhanced notes due April 30, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVF4

• 0% dual directional contingent buffered return enhanced notes due April 30, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVG2

• 0% uncapped contingent buffered return enhanced notes due April 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 April 26; Cusip: 48128GSP6

• 0% capped buffered return enhanced notes due April 30, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSC5

• 0% digital notes due April 30, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GSF8

• 0% capped dual directional contingent buffered return enhanced notes due April 30, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVD9

• 0% capped dual directional contingent buffered return enhanced notes due April 30, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVE7

• Review notes due April 30, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 48128GVH0

• Autocallable contingent interest notes due April 30, 2026 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 April 26; Cusip: 48128GVP2

MORGAN STANLEY

• 0% capped gears due June 30, 2017 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing April 27; Cusip: 61766A251

• 0% 22- to 25-month leveraged buffered notes linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC; pricing in April; Cusip: 61761J2U2

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due April 11, 2019 linked to SunTrust Banks, Inc. common stock; via Morgan Stanley & Co. LLC; pricing April 8; Cusip: 61766B291

• 0% dual directional trigger jump securities due May 3, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 80% trigger; via Morgan Stanley & Co. LLC; pricing April 19; Cusip: 61766B275

• Contingent income autocallable securities due April 29, 2019 linked to the common stock of Apple Inc.; via Morgan Stanley & Co. LLC; pricing April 26; Cusip: 61766BAK7

• 0% trigger Performance Leveraged Upside Securities due April 28, 2023 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing April 26; Cusip: 61766BAG6

• Contingent income autocallable securities due April 29, 2031 linked to the worse performing of the Euro Stoxx 50 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing April 26; Cusip: 61766BAM3

• Contingent income autocallable securities due April 29, 2019 linked to Netflix, Inc. shares; 60% trigger; via Morgan Stanley & Co. LLC with Morgan Stanley Wealth Management; pricing April 26; Cusip: 61766BAJ0

• 0% trigger gears due April 30, 2021 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing April 26; Cusip: 61766B234

• 0% trigger gears due April 30, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing April 27; Cusip: 61766B226

• 0% trigger gears due April 30, 2026 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing April 27; Cusip: 61766B218

• 0% trigger Performance Leveraged Upside Securities due May 5, 2022 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing April 29; Cusip: 61766B283

• 0% accelerated return securities due Oct. 31, 2019 linked to the Euro Stoxx 50 index; 75% trigger; via Morgan Stanley & Co. LLC; pricing April 29; Cusip: 61766BAH4

• 0% market-linked notes due Nov. 3, 2023 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing April 29; Cusip: 61766B259

ROYAL BANK OF CANADA

• Trigger phoenix autocallable notes due April 13, 2017 linked to the common stock of Under Armour, Inc.; via RBC Capital Markets, LLC; pricing April 8; Cusip: 78013GAU9

• Redeemable step-up notes due April 19, 2024; via RBC Capital Markets, LLC; pricing April 14; Cusip: 78012KMT1

• Direct investment notes due May 8, 2017 linked to the RBC Capital Markets U.S. Equity Small Cap Focus List; via RBC Capital Markets, LLC; pricing April 26; Cusip: 78012KML8

• 0% bullish enhanced return notes due June 30, 2017 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing April 26; Cusip: 78012KMQ7

• 0% trigger step securities due April 30, 2020 linked to the S&P 500 index; via RBC Capital Markets, LLC and UBS Financial Services Inc.; pricing April 26; Cusip: 780082152

• 0% Leveraged Index Return Notes due April 2021 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in April

TORONTO-DOMINION BANK

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Nov. 4, 2020 linked to SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF, the iShares MSCI EAFE ETF, the iShares MSCI Emerging Markets ETF, the PowerShares DB Commodity Index Tracking fund and the Vanguard REIT ETF; via Wells Fargo Securities, LLC; pricing April 29; Cusip: 89114QVB1

UBS AG, LONDON BRANCH

• 0% trigger autocallable contingent yield notes due April 12, 2019 linked to the Nasdaq-100 index and the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing April 8; Cusip: 90275R356

• Inverse phoenix autocallable notes with static buffer and memory interest due Oct. 13, 2016 linked to the inverse performance of the relevant nearby Nymex-traded West Texas Intermediate light sweet crude oil futures contract; via J.P. Morgan Securities LLC and UBS Investment Bank; pricing April 8; Cusip: 90270KGN3

WELLS FARGO & CO.

• Collared floating-rate notes due April 22, 2019; via Wells Fargo Securities LLC; pricing April 19; Cusip: 94986RK42

• Market-linked securities with contingent coupon and contingent downside due April 28, 2022 linked to the Russell 2000 index; via Wells Fargo Securities LLC; pricing April 22; Cusip: 94986RJ77

• 0% market-linked autocallable securities with fixed percentage buffered downside due May 6, 2019 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing April 29; Cusip: 94986RJ85

• 0% 18- to 21-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 April; Cusip: 94986RJ44

• 0% 21- to 24-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 April; Cusip: 94986RJ69


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