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Published on 4/13/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF MONTREAL

• 0% contingent risk absolute return notes with digital upside due April 30, 2019 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TVK3

• 0% contingent risk absolute return notes with digital upside due April 30, 2019 linked to the VanEck Vectors Gold Miners exchange-traded fund; 60% trigger; via BMO Capital Markets Corp.; pricing April 26; Cusip: 06367TVL1

BARCLAYS BANK PLC

• 0% SuperTrack notes due April 22, 2020 linked to the S&P 500 index; via Barclays; pricing April 17; Cusip: 06741VRU8

• 0% notes due April 25, 2024 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing April 21; Cusip: 06741VQQ8

• 0% buffered SuperTrack notes due April 28, 2022 linked to the Dow Jones industrial average; via Barclays; pricing April 25; Cusip: 06741VR38

• 0% trigger gears due April 29, 2022 linked to the iShares MSCI EAFE exchange-traded fund; 75% trigger; via Barclays and UBS Financial Services Inc.; pricing April 25; Cusip: 06746J799

• 10% to 11% autocallable notes due April 30, 2019 linked to the least performing of the common stocks of Marathon Oil Corp., Chevron Corp. and Valero Energy Corp.; 50% trigger; via Barclays; pricing April 25; Cusip: 06741VQX3

• 0% buffered digital plus notes due April 28, 2022 linked to the Russell 2000 index; via Barclays; pricing April 25; Cusip: 06741VR61

• 4.75% buffered notes due April 30, 2024 linked to the Russell 2000 index; via Barclays; pricing April 25; Cusip: 06741VR53

• Step-up callable contingent payment notes due April 29, 2027 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Barclays; pricing April 25; Cusip: 06741VQY1

• Phoenix autocallable notes due Oct. 26, 2018 linked to the Russell 2000 index and the S&P 500 index; 70% trigger; via Barclays; pricing April 25; Cusip: 06741VRF1

• Callable contingent coupon notes due April 28, 2022 linked to the Russell 2000 index and the S&P 500 index; 65% trigger; via Barclays; pricing April 25; Cusip: 06741VQF2

• 0% buffered digital notes due Oct. 28, 2020 linked to the S&P 500 index; via Barclays; pricing April 25; Cusip: 06741VR20

• 0% buffered digital plus notes due April 28, 2022 linked to the S&P 500 index; via Barclays; pricing April 25; Cusip: 06741VR46

• 0% buffered SuperTrack notes due April 28, 2022 linked to the S&P 500 index; via Barclays; pricing April 25; Cusip: 06741VQK1

• Phoenix autocallable notes due July 27, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 65% trigger; via Barclays; pricing April 25; Cusip: 06741VQD7

• Phoenix autocallable notes due April 27, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 75% trigger; via Barclays; pricing April 25; Cusip: 06741VQC9

• 0% SuperTrack notes due May 3, 2022 linked to iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; 70% trigger; via Barclays; pricing April 28; Cusip: 06741VQL9

• Autocallable securities due May 3, 2022 linked to the Russell 2000 index; 85% trigger; via Barclays; pricing April 28; Cusip: 06746J757

• Phoenix autocallable notes due May 3, 2027 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing April 28; Cusip: 06741VRR5

• 0% SuperTrack notes due May 3, 2022 linked to S&P 500 index and the Russell 2000 index; 70% trigger; via Barclays; pricing April 28; Cusip: 06741VQM7

• Phoenix autocallable notes due May 2, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 65% trigger; via Barclays; pricing April 28; Cusip: 06741VQG0

BOFA FINANCE LLC

• Contingent income autocallable securities due April 28, 2020 linked to the S&P GSCI Crude Oil Index – Excess Return; 70% trigger; via BofA Merrill Lynch; pricing April 25; Cusip: 09709TAG6

• 0% Leveraged Index Return Notes due April 2022 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in April

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% Accelerated Return Notes due June 2018 linked to the JPX-Nikkei Index 400; via BofA Merrill Lynch; pricing in April

• 0% capped Leveraged Index Return Notes due April 2019 tied to the Russell 2000 index; via BofA Merrill Lynch; pricing in April

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

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Callable step-up coupon notes due April 20, 2032; via Citigroup Global Markets Inc.; pricing April 17; Cusip: 17290JCA7

CREDIT SUISSE AG, LONDON BRANCH

GS FINANCE CORP.

• 0% autocallable notes due May 3, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing April 19; Cusip: 40054L6N9

• 0% notes due April 25, 2024 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co.; pricing April 20; Cusip: 40054L4C5

• 0% notes due April 28, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing April 21; Cusip: 40054L3Y8

• 0% notes due April 28, 2023 linked to the S&P 500 index; 70% trigger; via Goldman, Sachs & Co.; pricing April 21; Cusip: 40054L4A9

• Callable contingent coupon index-linked notes due April 28, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via Goldman, Sachs & Co.; pricing April 21; Cusip: 40054L3Z5

• 0% leveraged buffered notes due Oct. 30, 2019 linked to the Russell 2000 index; via Goldman, Sachs & Co.; Goldman Sachs Group, Inc.; pricing April 25; Cusip: 40054L4K7

• 0% leveraged buffered notes due Oct. 30, 2019 months linked to the S&P 500 index; via Goldman, Sachs & Co.; pricing April 25; Cusip: 40054L4J0

• 0% buffered notes due April 28, 2022 linked to the S&P 500 index; via Goldman, Sachs & Co.; pricing April 25; Cusip: 40054L4H4

• 0% 24- to 27-month leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 0% digital notes due in 24 to 27 months linked to the Russell 2000 index; via Goldman, Sachs & Co.

• 0% digital notes due in 24 to 27 months linked to the S&P 500 index; via Goldman, Sachs & Co.

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due April 22, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 18; Cusip: 40433U3L8

• Income plus notes due April 26, 2024 linked to Bristol-Myers Squibb Co., General Motors Co., HP Inc., Altria Group, Inc. and AT&T Inc.; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2B1

• 0% buffered Accelerated Market Participation Securities due April 30, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2N5

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2S4

• 0% leveraged buffered uncapped market participation securities due April 29, 2022 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2G0

• 0% buffered Accelerated Market Participation Securities due April 30, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2P0

• 0% buffered Accelerated Market Participation Securities due April 30, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2M7

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2R6

• 0% buffered digital notes due Oct. 30, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2F2

• 0% buffered market participation securities due July 31, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2W5

• 0% buffered Accelerated Market Participation Securities due April 30, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2L9

• 0% buffered Accelerated Market Participation Securities due Oct. 31, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2Q8

• 0% buffered uncapped market participation securities due April 29, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2H8

• 0% buffered uncapped market participation securities due April 30, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2H8

• 0% leveraged buffered uncapped market participation securities due April 30, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2K1

• 0% autocallable barrier notes with contingent return due April 30, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2T2

• 6.84% autocallable yield notes due July 31, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2X3

• 0% autocallable barrier notes with contingent return due July 31, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2U9

• 5.64% autocallable yield notes due Oct. 31, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2V7

• 0% digital dual directional barrier securities due April 29, 2022 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2D7

• 0% digital dual directional barrier securities due April 29, 2022 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing April 25; Cusip: 40433U2E5

JEFFERIES GROUP LLC/JEFFERIES GROUP CAPITAL FINANCE INC.

• Fixed-to-floating-rate notes due April 28, 2033 linked to the leveraged difference between the 10-year and two-year Constant Maturity Swap rates; via Jefferies LLC; pricing April 28; Cusip: 47233JAL2

JPMORGAN CHASE FINANCIAL CO. LLC

• 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 17; Cusip: 46646Q4S1

• 0% contingent buffered digital notes due April 28, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 21; Cusip: 46646Q5G6

• Autocallable contingent interest notes due July 31, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q4C6

• Autocallable contingent interest notes due April 30, 2027 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q4G7

• Contingent coupon callable yield notes due May 4, 2020 linked to the least performing of the Russell 2000 index, the Euro Stoxx 50 index and the FTSE 100 index; 65% trigger; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646QPT6

• 0% capped buffered return enhanced notes due Oct. 31, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q3B9

• 0% capped buffered return enhanced notes due Oct. 31, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q3C7

• 0% uncapped buffered return enhanced notes due May 5, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3A1

• 0% uncapped buffered return enhanced notes due May 5, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q2U8

• Autocallable contingent interest notes due July 31, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q3Z6

• Autocallable contingent interest notes due Oct. 31, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q4A0

• Autocallable contingent interest notes due Oct. 31, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q4D4

• Autocallable contingent interest notes due April 30, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q4B8

• Autocallable contingent interest notes due April 30, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646QPR0

• Autocallable contingent interest notes due April 29, 2027 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing April 26; Cusip: 46646QQE8

• Autocallable contingent interest notes due Aug. 2, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3S2

• Autocallable contingent interest notes due Aug. 2, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3U7

• Autocallable contingent interest notes due Aug. 2, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3R4

• Autocallable contingent interest notes due May 1, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3V5

• 0% dual directional contingent buffered return enhanced notes due April 30, 2021 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q2K0

• 0% dual directional contingent buffered return enhanced notes due April 30, 2021 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q2M6

• 0% dual directional contingent buffered return enhanced notes due April 29, 2022 linked to the S&P 500 index and the Russell 2000 index; 64% trigger; via J.P. Morgan Securities LLC; pricing April 25; Cusip: 46646Q2N4

• Autocallable contingent interest notes due May 3, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing April 28; Cusip: 46646Q3W3

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due April 28, 2032 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip: 61768CHA8

• Contingent income securities due April 28, 2032 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing April 25; Cusip: 61768CGV3

• 21- to 24-month 0% buffered digital notes linked to the Russell 2000 index; via Morgan Stanley & Co. LLC

ROYAL BANK OF CANADA

• 0% barrier absolute return notes due July 29, 2022 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing April 26; Cusip: 78012KH67

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due May 3, 2022 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing April 28; Cusip: 78012KG84

• 0% 18- to 21-month leveraged buffered notes linked to the MSCI EAFE index; via RBC Capital Markets, LLC; Cusip: 78012KAG4

• 24- to 27-month leveraged buffered notes due 2019 linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78012KJ57

UBS AG, LONDON BRANCH

• 24- to 27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via UBS Securities LLC; Cusip: 90270KJM2


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