Structured Products Calendar

BANK OF AMERICA CORP.

• 6% to 7% coupon bearing notes due September 2017 linked to the common stock of Citigroup Inc.; via BofA Merrill Lynch; pricing in August

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

• 0% market-linked step-up notes due August 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 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 August

• 0% Accelerated Return Notes due October 2017 linked to gold; via BofA Merrill Lynch; pricing in August

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

• 0% Accelerated Return Notes due October 2017 linked to the JPX-Nikkei Index 400; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2017 linked to the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in August

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

• 0% market-linked step-up notes due August 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due November 2017 linked to the common stocks of General Dynamics Corp., Lockheed Martin Corp. and Raytheon Co.; via BofA Merrill Lynch; pricing in September

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

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

BANK OF MONTREAL

• 7.2% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the iShares Nasdaq Biotechnology exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKF6

• 0% buffered bullish enhanced return notes due Oct. 31, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKL3

• 0% buffered bullish enhanced return notes due Oct. 31, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKJ8

• 0% buffered bullish enhanced return notes due Oct. 31, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKK5

• 0% buffered bullish enhanced return notes due Oct. 31, 2017 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKH2

• 8.7% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the SPDR S&P Metals and Mining exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKC3

• 10.8% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the SPDR S&P Metals and Mining exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKG4

• 8.4% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKA7

• 10.2% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKD1

• 0% contingent risk absolute return notes due Sept. 30, 2019 linked to the Utilities Select Sector SPDR fund; 83% trigger; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKN9

• 10.2% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the VanEck Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKB5

• 12% autocallable cash-settled notes with fixed interest payments due Sept. 29, 2017 linked to the VanEck Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing Sept. 27; Cusip: 06367TKE9

BANK OF NOVA SCOTIA

• 0% market-linked securities – autocallable with fixed percentage buffered downside due Sept. 6, 2018 linked to the Euro Stoxx 50 index; via Scotia Capital (USA) Inc.; pricing Aug. 31; Cusip: 064159HY5

• 0% Accelerated Return Notes due in November 2017 linked to the JPX-Nikkei Index 400; via BofA Merrill Lynch; pricing in September

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

• 0% autocallable market-linked step-up notes due September 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in September

BARCLAYS BANK PLC

• 0% Performance Leveraged Upside Securities due Dec. 5, 2017 linked to the Euro Stoxx 50 index; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06740Q153

• 0% Performance Leveraged Upside Securities due March 5, 2019 linked to the Euro Stoxx 50 index; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06740Q138

• 0% Accelerated Return Notes due October 2017 linked to Citigroup Inc., JPMorgan Chase & Co. and Wells Fargo & Co.; via Bank of America Merrill Lynch; pricing in August

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

• 0% bear Accelerated Return Notes due October 2017 linked to the S&P 500 index; via Bank of America Merrill Lynch; pricing in August

• 0% market-linked step-up notes due August 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

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

• 10% STEP Income Securities due September 2017 linked to the common stock of Under Armour, Inc.; via BofA Merrill Lynch; pricing in August

• Contingent income autocallable securities due Sept. 8, 2017 linked to Dow Chemical Co. shares; 80% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Sept. 2; Cusip: 06745B557

• Callable contingent coupon notes due Sept. 6, 2019 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 60% trigger; via Barclays; pricing Sept. 2; Cusip: 06741VA51

• Capped fixed-to-floating notes due Sept. 8, 2021; via Barclays; settling Sept. 8; Cusip: 06741VAE2

• 0% Performance Leveraged Upside Securities due Jan. 3, 2018 linked to the S&P 500 index; via Barclays with Morgan Stanley Wealth Management handling distribution; pricing Sept. 16; Cusip: 06745B532

• 0% Buffered Performance Leveraged Upside Securities due April 3, 2019 linked to the S&P 500 index; via Barclays with Morgan Stanley Wealth Management handling distribution; pricing Sept. 16; Cusip: 06745B540

• 0% market-linked step-up notes due September 2019 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in September

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

• 0% autocallable market-linked step-up notes due August 2019 linked to the Euro Stoxx 50 index; BofA Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due September 2017 linked to Facebook Inc. common stock; via Merrill Lynch & Co.; pricing in September

• 0% capped Leveraged Index Return Notes due September 2019 linked to S&P 500 index, Euro Stoxx 50 index and MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in September

• 17- to 19-month 0% capped leveraged buffered notes linked the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741VA93

• 17- to 20-month 0% capped leveraged buffered notes linked the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741VAA0

• 20- to 23-month 0% digital notes linked to the S&P 500 index; via Barclays; Cusip: 06741VAG7

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Sept. 6, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via Wells Fargo Securities, LLC; pricing Aug. 31; Cusip: 13605WBR1

• 0% capped Leveraged Index Return Notes due September 2018 tied to the Russell 2000 index; via BofA Merrill Lynch; pricing in September

• 0% Accelerated Return Notes due September 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in September

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% market-linked notes due March 3, 2022 linked to the iShares Core U.S. Aggregate Bond exchange-traded fund, the Dow Jones industrial average and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 30: Cusip: 17324CA55

• 0% barrier securities due Sept. 5, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Citigroup Global Markets Inc.; pricing Aug. 30; Cusip: 17324CA48

• 0% buffer securities due Sept. 2, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Aug. 30; Cusip: 17324C7M2

• 0% barrier securities due Sept. 10, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Sept. 7; Cusip: 17324CAG1

• 0% market-linked notes due April 23, 2024 linked to the S&P 500 index; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing Sept. 30; Cusip: 17324P784

• 22- to 25-month 0% notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; Cusip: 17324C6Z4

CITIGROUP INC.

• Callable step-up coupon notes with 1.5% initial rate due Sept. 2, 2021; via Citigroup Global Markets Inc.; pricing Aug. 30; Cusip: 17298CET1

• Autocallable contingent coupon equity-linked securities due Sept. 6, 2017 linked to Halliburton Co. shares; via Citigroup Global Markets Inc.; pricing Aug. 31; Cusip: 17324CAE6

• Autocallable contingent coupon equity linked securities due March 15, 2018 linked to the class A common stock of Facebook, Inc.; via Citigroup Global Markets Inc.; pricing Sept. 12; Cusip: 17324CAD8

• 15- to 17-month 0% buffered notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; Cusip: 17324CAB2

CREDIT SUISSE AG, LONDON BRANCH

• 7.5% to 9.5% autocallable reverse convertible securities due Sept. 5, 2017, linked to the common stock of Amazon.com, Inc.; via Credit Suisse Securities (USA) LLC; pricing Aug. 30; Cusip: 22549JBK5

• Autocallable reverse convertible securities due Sept. 5, 2017 linked to Celgene Corp. common stock; via Credit Suisse Securities (USA) LLC; pricing Aug. 30; Cusip: 22549JBD1

• Autocallable reverse convertible securities due Sept. 5, 2017 linked to Gilead Sciences, Inc. common stock; via Credit Suisse Securities (USA) LLC; pricing Aug. 30; Cusip: 22549JBF6

• 12.5% autocallable yield notes due Sept. 6, 2017 linked to the shares of Biogen Inc., Mylan NV and Celgene Corp.; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22549JBN9

• 0% Performance Leveraged Upside Securities due Dec. 5, 2017 linked to the Russell 2000 index; via Credit Suisse International; pricing Aug. 31; Cusip: 22548R830

• Contingent coupon autocallable yield notes due Sept. 6, 2017 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QD28

• 0% accelerated barrier notes due Sept. 3, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QD77

• 0% absolute return barrier securities due Sept. 3, 2020 linked to the lowest performing of the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QD69

• Contingent coupon autocallable yield notes due Sept. 8, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QDE2

• 0% Buffered Accelerated Return Equity Securities due March 5, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QD44

• 0% dual directional trigger Performance Leveraged Upside Securities due Sept. 5, 2019 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548R749

• Contingent income securities due Sept. 3, 2026 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC and Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 22548QEE1

• Contingent coupon callable yield notes due Sept. 6, 2019 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QDD4

• Contingent coupon callable yield notes due Sept. 6, 2019 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QDF9

• 0% Buffered Accelerated Return Equity Securities due Sept. 5, 2019 linked to the SPDR Gold trust and the iShares Silver trust; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22548QDH5

• Market-linked step up notes due August 2018 linked to the Energy Select Sector index; via BofA Merrill Lynch; pricing in August

• Capped Leveraged Index Return Notes due August 2018, linked to the Russell 2000 index; via Merrill Lynch & Co.; pricing in August

• 0% autocallable market-linked step-up notes due August 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

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

• 0% notes due October 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due August 2018 linked to the S&P 500 index; via Merrill Lynch & Co.; pricing in August

• 0% market-linked step-up notes due August 2019 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

• 0% capped Leveraged Index Return Notes due August 2018 linked to the S&P 500, MSCI EAFE and MSCI Emerging Markets indexes; via BofA Merrill Lynch; pricing in August

• Contingent coupon callable yield notes due Sept. 9, 2019 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Sept. 1; Cusip: 22548QEV3

• 0% Performance Leveraged Upside Securities due Jan. 3, 2018 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Sept. 16; Cusip: 17324P503

• 0% Accelerated Return Notes due November 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 September

• 0% autocallable market-linked step-up notes due September 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in September

• 21- to 24-month 0% digital buffered notes linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; Cusip: 22548QEJ0

• 21- to 24-month 0% leveraged buffered notes linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; Cusip: 22548QET8

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; Cusip: 22548QF75

DEUTSCHE BANK AG, LONDON BRANCH

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

• Fixed-to-floating notes due Sept. 8, 2026; via Deutsche Bank Securities Inc.; pricing Sept. 1; Cusip: 25152R6M0

GOLDMAN SACHS GROUP, INC.

• Fixed-to-floating notes due August 2023; via Goldman Sachs & Co.; settling in August; Cusip: 38148TNN5

• Callable step-up fixed-rate notes due August 2026; via Goldman Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38148TNM7

• Callable step-up fixed-rate notes due August 2036; via Goldman Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38148TNP0

• Callable step-up fixed-rate notes due September 2031; via Goldman Sachs & Co. and Incapital LLC; pricing in September; Cusip: 38148TNQ8

GS FINANCE CORP.

• 0% autocallable index-linked notes due Aug. 15, 2019 linked to the FTSE 100 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 30; Cusip: 40054KHH2

• Contingent income callable securities due Sept. 6, 2018 linked to the least performing of the Russell 2000 index, the Euro Stoxx 50 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co. with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 40054KHX7

• Contingent income callable securities due Sept. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 65% trigger; via Goldman Sachs & Co. with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 40054KHM1

• 0% trigger Performance Leveraged Upside Securities due Sept. 6, 2022 linked to the S&P 500 index; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 36250Y593

• 48-month 0% notes linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; Cusip: 40054KHA7

• Two-year 0% leveraged buffered notes linked to the iShares MSCI EAFE exchange-traded fund; via Goldman Sachs & Co.; Cusip: 40054KH90

• 18- to 21-month 0% leveraged buffered notes linked to the iShares U.S. Real Estate exchange-traded fund; via Goldman Sachs & Co.

• Two-year 0% leveraged buffered notes linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054KH82

• 18-month callable contingent coupon notes linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 40054KH66

• Two-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KH74

• Four-year 0% notes linked to the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 40054KHD1

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; 80% barrier; via Goldman Sachs & Co.; Cusip: 40054KJ23

• 18-month autocallable contingent coupon notes linked to the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co.; Cusip: 40054KH58

HSBC USA INC.

• 0% dual directional trigger Performance Leveraged Upside Securities due Sept. 5, 2019 linked to an equally weighted basket of the stocks of Apple Inc., Google Inc., Mobileye NV, Magna International Inc., NVIDIA Corp. and Tesla Motors, Inc.; via HSBC Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Aug. 31; Cusip: 40434V178

• 0% dual directional trigger Performance Leveraged Upside Securities due Sept. 6, 2018 linked to Facebook, Inc. shares; 80% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 40434V137

• Contingent income autocallable securities due Sept. 5, 2019 linked to Facebook Inc. common stock; via HSBC Securities (USA) Inc. and Morgan Stanley Smith Barney LLC; pricing Aug. 31; Cusip: 40435B809

• Income notes due August 2022 linked to Apple Inc., Allergan plc, AutoNation, Inc., Anthem, Inc., Comcast Corp., Dover Corp., Facebook, Inc., Twenty-First Century Fox, Inc., Frontier Communications Corp., General Dynamics Corp., HP Inc., Eli Lilly and Co., Lam Research Corp., MetLife, Inc., Mylan NV, Newell Brands Inc., Paccar Inc., Qualcomm Inc., Simon Property Group, Inc. and AT&T Inc.; via BofA Merrill Lynch; pricing in August

• 0% market-linked step-up notes due August 2021 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in August

• 0% Market Index Target-Term Securities due August 2023 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing August

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

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

• 0% Leveraged Index Return Notes due August 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing August

• 0% autocallable market-linked step-up notes due August 2022 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

• 0% Leveraged Index Return Notes due August 2019 linked to the S&P 500 index, the Euro Stoxx 50 index and the MSCI Emerging Markets index; via BofA Merrill Lynch; pricing in August

• Callable step-up rate notes due Sept. 9, 2019; via HSBC Securities (USA) Inc.; pricing Sept. 2; Cusip: 40433UTS5

• 3.6% to 3.9% buffered notes due Sept. 8, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 2; Cusip: 40433UTT3

• 0% Market Index Target-Term Securities due September 2023 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in September

• 18- to 21-month 0% capped leveraged buffered notes linked to the MSCI EAFE index; via HSBC Securities (USA) Inc.; Cusip: 40433UTQ9

• 16- to 18-month 0% digital notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UTP1

• 18- to-21 month 0% capped leveraged notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UTJ5

• 23- to 26-month 0% digital notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UTR7

• 24- to 27-month 0% leveraged buffered capped notes linked to the S&P 500 index; via HSBC Securities (USA) Inc.; Cusip: 40433UTN6

JPMORGAN CHASE & CO.

• Callable step-up fixed-rate notes due Sept. 20, 2029; via J.P. Morgan Securities LLC; pricing Sept. 15; Cusip: 48128GG38

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% capped buffered enhanced participation equity notes due Sept. 5, 2018 linked to a basket of the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Tokyo Stock Price index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight; via J.P. Morgan Securities LLC; pricing Aug. 30; Cusip: 46646EVH2

• Autocallable contingent interest notes due Dec. 5, 2017 linked to Gilead Sciences, Inc. shares; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 30; Cusip: 46646EVS8

• Autocallable contingent interest notes due Sept. 3, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 30; Cusip: 46646ETL6

• Autocallable contingent interest notes due Sept. 5, 2017 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Nikkei 225 index; via J.P. Morgan Securities LLC; pricing Aug. 30; Cusip: 46646EVU3

• Autocallable contingent interest notes due Sept. 6, 2017 linked to Amazon.com, Inc. shares; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46646EVT6

• 0% dual directional trigger Performance Leveraged Upside Securities due Sept. 6, 2018 linked to Apple Inc. common stock; via J.P. Morgan Securities LLC and Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 46646X720

• Contingent income callable securities due Sept. 6, 2018 linked to the lesser performing of the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46646EVA7

• 0% bear market Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Nasdaq-100 index; via J.P. Morgan Securities LLC and Morgan Stanley Smith Barney LLC; pricing Aug. 31; Cusip: 46646X621

• 0% Performance Leveraged Upside Securities due Dec. 5, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46646X779

• 0% buffered Performance Leveraged Upside Securities due March 5, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 46646X787

• Contingent income autocallable securities with step-up redemption level due Sept. 6, 2019 linked to Amgen Inc. shares; 80% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Smith Barney LLC; pricing Sept. 2; Cusip: 46646X530

• Autocallable contingent interest notes due Dec. 11, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 65% trigger; via J.P. Morgan Securities LLC; pricing Sept. 6; Cusip: 46646EWD0

• Autocallable contingent interest notes due Dec. 15, 2017 linked to the common stock of Apple Inc.; via J.P. Morgan Securities LLC; pricing Sept. 12; Cusip: 46646EVW9

• Fixed-to-floating-rate notes due Sept. 20, 2026; via J.P. Morgan Securities LLC; pricing Sept. 15; Cusip: 48128GH37

• Performance Leveraged Upside Securities due Jan. 3, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing Sept. 16; Cusip: 46646X522

• Autocallable contingent interest notes due Sept. 24, 2019 linked to the class A common stock of Tyson Foods, Inc. and the common stocks of Archer-Daniels-Midland Co., Sysco Corp. and Mead Johnson Nutrition Co.; 50% trigger; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 46646EWC2

• 0% review notes due Sept. 28, 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. 23; Cusip: 46646EWF5

• Callable contingent interest notes due Sept. 30, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via J.P. Morgan Securities LLC; pricing Sept. 23; Cusip: 46646EWE8

• 0% return notes due Oct. 2, 2017 linked to an equally weighted basket of 50 stocks, including Accenture plc, Alaska Air Group, Inc., Altria Group, Inc., Amazon.com, Inc., American Airlines Group Inc., Boeing Co., Brown-Forman Corp., CBS Corp., Cummins Inc., DaVita HealthCare Partners Inc., Dow Chemical Co., E.I. du Pont de Nemours and Co., Edwards Lifesciences Corp., Eli Lilly and Co., Equifax Inc., Facebook, Inc., FedEx Corp., Fluor Corp., General Dynamics Corp., Goodyear Tire and Rubber Co., H&R Block, Inc., Harris Corp., Hershey Co., International Paper Co., Intuit Inc., L-3 Communications Holdings, Inc., Lockheed Martin Corp., Mallinckrodt plc, MasterCard Inc., Monsanto Co., Motorola Solutions, Inc., Occidental Petroleum Corp., Philip Morris International Inc., Pitney Bowes Inc., Raytheon Co., S&P Global Inc., Southern Co., Texas Instruments Inc., Textron Inc., Total System Services, Inc., TripAdvisor, Inc., Twenty-First Century Fox, Inc., United Parcel Service, Inc., Varian Medical Systems, Inc., VeriSign, Inc., Vertex Pharmaceuticals Inc., Viacom Inc. and YUM! Brands, Inc.; via J.P. Morgan Securities LLC; pricing Sept. 26; Cusip: 46646EVB5

• 0% trigger Performance Leveraged Upside Securities due Oct. 5, 2022 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 46646X498

MORGAN STANLEY

• 0% trigger Performance Leveraged Upside Securities due Sept. 6, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61766B804

MORGAN STANLEY FINANCE LLC

• Leveraged CMS curve securities due Aug. 31, 2036 linked to the 30-year and two-year ICE swap rates, the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61766YAM3

• CMS curve range accrual securities due Aug. 31, 2036 linked to the 30-year and two-year ICE swap rates, the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; settling Aug. 31; Cusip: 61766YAK7

• 0% autocallable securities with fixed-percentage buffered downside due Sept. 6, 2018 linked to the Energy Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61761J3L1

• 0% market-linked notes due March 5, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61766B820

• Fixed-to-floating notes due Sept. 30, 2026; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61766YAN1

ROYAL BANK OF CANADA

• Redeemable step-up notes due Sept. 7, 2021; via RBC Capital Markets, LLC; pricing Aug. 30; Cusip: 78012KRW9

• Autocallable contingent coupon barrier notes due Sept. 6, 2017 linked to the least performing of the iShares Russell 2000 exchange-traded fund, the PowerShares QQQ Trust, Series 1 and the SPDR S&P Biotech ETF; via RBC Capital Markets, LLC; pricing Aug. 31; Cusip: 78012KTA5

• 0% market-linked securities with leveraged upside participation to a cap and fixed buffered downside due Sept. 7, 2021 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing Aug. 31; Cusip: 78012KRS8

• 0% Accelerated Return Notes due August 2017 linked to the common stock of Amazon.com, Inc.; via BofA Merrill Lynch; pricing in August

• 0% direct investment notes due Oct. 10, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets LLC; pricing Sept. 6; Cusip: 78012KSK4

• 9.5% STEP Income Securities due September 2017 linked to American Depositary Receipts of Nokia Corp.; via BofA Merrill Lynch; pricing in September

• 8.75% STEP Income Securities due September 2017 linked to Whirlpool Corp. shares; via BofA Merrill Lynch; pricing in September

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due October 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2017 linked to the S&P MidCap 400 index; via Merrill Lynch & Co.; pricing in August

• 14-month 0% Accelerated Return Notes due November 2017 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in September

WELLS FARGO & CO.

• 4.8%-5.2% autocallable market-linked securities with fixed coupon and contingent downside due Sept. 2, 2021 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing Aug. 30; Cusip: 94986RU66

• 0% market-linked securities with leveraged upside participation to a cap and buffered downside with multiplier due Sept. 28, 2021 linked to the Euro Stoxx 50 index; via Wells Fargo Securities LLC; pricing Aug. 31; Cusip: 94986RT35

• 24- to 27-month 0% buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index; via Wells Fargo Securities, LLC; Cusip: 94986RU41

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