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Published on 8/16/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA

• Fixed-to-floating notes due Aug. 25, 2029 linked to the 10-year U.S. dollar ICE Swap rate; via BofA Merrill Lynch; settling Aug. 25; Cusip: 06048WUR9

• Step-up callable notes due Aug. 28, 2027 with 3% initial rate; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 06048WUQ1

• Step-up callable notes due Aug. 28, 2032 with 3% initial rate; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 06048WUP3

BANK OF MONTREAL

• 0% bullish enhanced return notes due Sept. 28, 2018 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB82

• 0% notes due Aug. 28, 2024 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA59

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB33

• 0% buffered bullish enhanced return notes due Sept. 28, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB58

• 0% buffered bullish enhanced return notes due Sept. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB66

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB90

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TC24

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB25

• 10.26% autocallable cash-settled notes with fixed interest payments due Sept. 28, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA83

• 10.38% autocallable cash-settled notes with fixed interest payments due Sept. 28, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA91

• Notes due July 16, 2018 linked to a basket of 22 limited duration closed-end funds selected in May by Raymond James & Associates, Inc.; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA42

• Notes due Sept. 7, 2018 linked to a basket of 22 limited duration closed-end funds selected in May by Raymond James & Associates, Inc.; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA34

• Autocallable cash-settled notes with conditional interest payments due Aug. 31, 2021 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners ETF; 60% trigger; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA26

BARCLAYS BANK PLC

• 0% trigger Performance Leveraged Upside Securities due Aug. 22, 2019 linked to the Amazon.com, Inc. stock; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 06746L414

• 0% notes due Aug. 22, 2024 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing Aug. 18; Cusip: 06744CGK1

• Contingent income autocallable securities due Aug. 21, 2020 linked to JPMorgan Chase & Co. stock; 80% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 06746L448

• Callable contingent coupon notes due Aug. 23, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing Aug. 18; Cusip: 06744CGE5

• Step-up fixed-rate callable notes due Aug. 25, 2020; via Barclays; settling Aug. 25; Cusip: 06744CFU0

• Step-up fixed-rate callable notes due Aug. 25, 2042; via Barclays; settling Aug. 25; Cusip: 06744CGP0

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the Dow Jones industrial average; via Barclays; pricing Aug. 28; Cusip: 06744CDR9

• Phoenix autocallable notes due Aug. 31, 2020 linked to the common stocks of Home Depot, Inc., American Express Co. and Nvidia Corp.; 50% trigger; via Barclays; pricing Aug. 28; Cusip: 06744CDM0

• Callable contingent coupon notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Aug. 28; Cusip: 06744CGJ4

• 0% buffered digital plus notes due Aug. 31, 2022 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06744CDS7

• 4.16% buffered notes due Aug. 31, 2022 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06744CEZ0

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06744CDN8

• Phoenix autocallable notes due Nov. 30, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production ETF; 70% trigger; via Barclays; pricing Aug. 28; Cusip: 06744CDT5

• 0% trigger Performance Leveraged Upside Securities due Sept. 3, 2021 linked to the Euro Stoxx 50 index; 75% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06746L612

• Contingent income callable securities due Sept. 5, 2024 linked to the Euro Stoxx 50 index; 75% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06744CGG0

• SuperTrack notes due Sept. 6, 2022 linked to the lesser-performing index of the Russell 2000 index and the Dow Jones industrial average; via Barclays; pricing Aug. 31; Cusip: 06744CEE7

• 0% dual directional notes due March 4, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing Aug. 31; Cusip: 06744CEG2

• Market-linked step-up notes due August 2020 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in August

• Autocallable market-linked step-up notes due August 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

BOFA FINANCE LLC

• Contingent income autocallable securities due Sept. 1, 2027 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 50% trigger; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 09709TAX9

• 0% Accelerated Return Notes due October 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in August

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% notes linked to Raymond James Technology Top Selections due Aug. 27, 2018; via CIBC World Markets Corp.; pricing Aug. 18; Cusip: 13605WEV9

• 0% notes linked to Raymond James Technology Top Selections due Aug. 27, 2018; via CIBC World Markets Corp.; pricing Aug. 18; Cusip: 13605WEU1

• 0% Accelerated Return Notes due August 2018 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in August

• 6.5% STEP Income Securities due August 2018 linked to Microsoft Corp. common shares; via BofA Merrill Lynch; pricing in August

• 25- to 28-month 0% capped leveraged buffered notes linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WFB2

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% step down trigger autocallable notes due Aug. 24, 2022 linked to the lesser performing of the S&P 500 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and Citigroup Global Markets Inc.; pricing Aug. 18; Cusip: 17325K453

• Fixed-to-floating notes due Aug. 25, 2029 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing Aug. 22; Cusip: 17324CLU8

• Callable step-up coupon notes due Aug. 25, 2037; via Citigroup Global Markets Inc.; pricing Aug. 23; Cusip: 17290JEA5

• Autocallable contingent coupon equity linked securities due Aug. 29, 2018 linked to American Airlines Group Inc. stock; 80% trigger; via Citigroup Global Markets Holdings Inc.; pricing Aug. 24; Cusip: 17324XCX6

• Autocallable contingent coupon equity linked securities due Aug. 29, 2018 linked to the common stocks of Bank of America Corp. and Wells Fargo & Co.; via Citigroup Global Markets Inc.; pricing Aug. 24; Cusip: 17324CLD6

• 0% buffer securities due August 2020 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17324CLP9

• 0% enhanced barrier digital plus securities due Sept. 2, 2022 linked to the SPDR Dow Jones industrial average ETF trust; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip: 17324XCW8

• 0% dual directional barrier securities due March 1, 2021 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip 17324XCV0

• 0.5% market-linked notes due March 3, 2023 linked to a basket consisting of the S&P 500 index, the Euro Stoxx 50 index and the iShares iBoxx $ High Yield Corporate Bond exchange-traded fund; via Citigroup Global Markets Inc.; pricing Aug. 29; Cusip: 17324CLB0

• VelocityShares Long Libor exchange-traded notes due 2032 linked to the Janus Velocity Long Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K743

• VelocityShares Short Libor exchange-traded notes due 2032 linked to the Janus Velocity Short Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K529

• 0% buffered index-linked notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; Cusip 17324CL38

CREDIT SUISSE AG, LONDON BRANCH

• 5.5% contingent coupon callable yield notes due Aug. 26, 2019 linked to the lesser performing of the Russell 2000 index and the iShares Nasdaq Biotechnology exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 22550BFD0

• 0% digital barrier notes due Aug. 25, 2023 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 22550BER0

• Contingent coupon callable yield notes due Aug. 21, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the S&P 500 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 06744CET4

• Contingent coupon callable yield notes due Aug. 21, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the S&P 500 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 06744CES6

• Contingent coupon callable yield notes due Aug. 25, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech ETF; 55% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 22550BES8

• Contingent coupon callable yield notes due Aug. 25, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Biotech ETF; 55% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 18; Cusip: 22550BET6

• Contingent coupon autocallable reverse convertible securities due Nov. 26, 2018 linked to the American Depositary Shares of Anheuser-Busch InBev SA/NV stock; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 22; Cusip: 22549JJU5

• 5.75% contingent coupon autocallable reverse convertible securities due Nov. 26, 2018 linked to the common stock of Intel Corp.; via Credit Suisse Securities (USA) LLC; pricing Aug. 22; Cusip: 22549JJV3

• Contingent coupon autocallable yield notes due Nov. 30, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDV2

• 0% digital buffered notes due March 3, 2021 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDU4

• 0% Buffered Accelerated Return Equity Securities due Oct. 3, 2018 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDS9

• Contingent coupon callable yield notes due Aug. 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDX8

• 0% absolute return digital barrier securities due Sept. 1, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BBW0

• Contingent coupon autocallable yield notes due Aug. 31, 2018 linked to the SPDR S&P Biotech ETF; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BEK5

• Contingent coupon autocallable yield notes due Feb. 28, 2020 linked to the lesser performing of SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDT7

• 0% absolute return barrier securities due Sept. 3, 2021 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE82

• 8%-10% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE25

• 7%-9% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BDZ3

• 0% absolute return digital barrier securities due Sept. 6, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE90

• Contingent coupon autocallable yield notes due March 6, 2020 linked to the lesser performing of SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE66

• Contingent coupon callable yield notes due Sept. 8, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech ETF; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE74

• Autocallable market-linked step-up notes due August 2020 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

DEUTSCHE BANK AG, LONDON BRANCH

• 0% digital return notes due Sept. 5, 2018 linked to the 10-year British pounds sterling ICE swap rate; via JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents; pricing Aug. 17; Cusip: 25152R7H0

GOLDMAN SCHS BANK USA

• 0% certificates of deposit due Feb. 28, 2025 linked to the Dow Jones industrial average; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXA7

• 0% certificates of deposit due Aug. 29, 2024 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DX90

• 0% certificates of deposit due Aug. 30, 2022 linked to the Russell 2000 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXG4

• 0% certificates of deposit due Aug. 29, 2024 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXH2

• 0% certificates of deposit due Feb. 28, 2025 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXB5

GS FINANCE CORP.

• 0% jump securities with autocallable feature due Aug. 23, 2022 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. and Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 36253M596

• 0% jump securities with autocallable feature due Aug. 23, 2022 linked to the Russell 2000 index; 85% trigger; via Goldman Sachs & Co. LLC with Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 36253M588

• Autocallable contingent coupon notes due Feb. 25, 2025 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 18; Cusip: 40054LM50

• Callable contingent coupon notes due Aug. 25, 2020 linked to the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 18; Cusip: 40054LMU5

• 0% autocallable notes due Aug. 29, 2022 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 21; Cusip: 40054LPD0

• 0% autocallable notes due Sept. 13, 2022 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LMA9

• Callable contingent coupon notes due Aug. 30, 2022 linked to the Russell 2000 index and the S&P 500 index; 55% trigger; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LM68

• Autocallable contingent coupon notes due May 31, 2019 linked to the Russell 2000 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LM76

• 0% notes due June 2, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN26

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN42

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN34

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN59

• 0% autocallable notes due Sept. 14, 2027 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN67

• 0% notes due Sept. 3, 2024 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNK6

• 0% autocallable notes due Sept. 14, 2027 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMT8

• Autocallable contingent coupon notes due Sept. 5, 2019 linked to the Russell 2000 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNA8

• Callable CMS spread range accrual notes due Aug. 31, 2027 linked to the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LPK4

• 0% leveraged buffered notes due Aug. 30, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMH4

• 0% buffered notes due Sept. 1, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMG6

• Callable contingent coupon notes due Aug. 31, 2019 linked to the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production ETF; 65% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNR1

• Callable buffered monthly range accrual notes due Feb. 28, 2025 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNP5

• Callable monthly range accrual notes Aug. 31, 2027 linked to the Russell 2000 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNH3

• Callable CMS spread range accrual notes due Aug. 31, 2032 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 29; Cusip: 40054LNY6

• Callable monthly range accrual notes Aug. 31, 2032 linked to the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNG5

• 0% leveraged buffered index-linked notes due Sept. 6, 2022 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 31; Cusip: 40054LP40

• 36- to 39-month 0% autocallable buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged buffered notes liked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.

HSBC BANK USA, NA

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMR5

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMS3

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMT1

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMU8

• Autocallable target income certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNM5

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMV6

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMW4

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMX2

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMY0

• 0% growth opportunity averaging certificates of deposit due Aug. 30, 2024 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YND5

• 0% certificates of deposit due Aug. 30, 2024 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNK9

• 0% accumulated return certificates of deposit due Aug. 30, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNC7

HSBC USA INC.

• 0% barrier enhanced participation notes due Aug. 25, 2023 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCY1

• 0% barrier enhanced participation notes due Aug. 25, 2023 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCX3

• 0% leveraged buffered uncapped market participation securities due Aug. 25, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCT2

• 0% leveraged buffered uncapped market participation securities due Aug. 25, 2022 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCS4

• Autocallable barrier notes with contingent return due Aug. 31, 2027 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCU9

• Autocallable barrier notes with contingent return due Aug. 25, 2021 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCV7

• Contingent income barrier notes due Aug. 22, 2019 linked to the General Electric Co. stock; 85% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 40435G642

• Contingent income barrier notes due Aug. 25, 2023 linked to the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCW5

• 0% buffered uncapped market participation securities due Aug. 25, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCQ8

• 0% leveraged buffered uncapped market participation securities due Aug. 25, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 18; Cusip: 40435FCR6

• Income plus notes due Aug. 29, 2024 linked to the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly and Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 40435FDC8

• Callable barrier notes with contingent return due Aug. 30, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40435FEH6

• 0% barrier enhanced participation notes due Aug. 31, 2022 linked to the least performing of the Dow Jones industrial average and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FDX2

• 0% barrier enhanced participation notes due March 1, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FED5

• 4.52% buffered notes due Sept. 3, 2024 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FDW4

• 0% trigger gears due Aug. 31, 2027 linked to the S&P 500 index; 50% trigger; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Aug. 28; Cusip: 40435G691

• Autocallable barrier notes with contingent return due Aug. 31, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FEA1

• 0% barrier enhanced participation notes due Sept. 6, 2022 linked to the least performing of the Dow Jones industrial average and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40435FDY0

• 6.25% autocallable yield notes due Dec. 6, 2018 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40435FDS3

• 5.5% autocallable yield notes due Dec. 6, 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 Aug. 31; Cusip: 40435FDT1

• Autocallable market-linked step-up notes due August 2020 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in August

JEFFERIES GROUP LLC

• Step-up callable notes due Feb. 28, 2026; via Jefferies LLC; settling Aug. 31; Cusip: 47233JAW8

JPMORGAN CHASE FINANCIAL CO. LLC

• Buffered digital notes due Aug. 20, 2020 linked to the Stoxx Europe 600 index; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46647MH89

• Buffered digital notes due Aug. 20, 2020 linked to the Stoxx Europe 600 index; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46647MH97

• 0% digital equity notes due June 12, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46647MM91

• Autocallable contingent interest notes due Nov. 23, 2018 linked to Amazon.com, Inc. stock; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 46647MH48

• 0% review notes due Aug. 23, 2021 linked to the lesser performing of the Euro Stoxx Banks index and the Financial Select Sector SPDR Fund; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 46647MM75

• Contingent income autocallable securities due Aug. 22, 2019 linked to the common stock of International Business Machines Corp.; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 48129J855

• 0% step down trigger autocallable notes due Aug. 24, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 48129J863

• Callable contingent interest notes due Feb. 28, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 55% trigger; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 46647MF32

• Callable contingent interest notes due Aug. 25, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 55% trigger; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 46647MF40

• Autocallable contingent interest notes due Nov. 23, 2018 linked to the common stock of United Continental Holdings, Inc.; via J.P. Morgan Securities LLC; pricing Aug. 18; Cusip: 46647MH30

• Callable contingent interest notes due Aug. 30, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production ETF; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 21; Cusip: 46647MM67

• 6% autocallable yield notes due Nov. 28, 2018 linked to the least performing of the PowerShares QQQ Trust, Series 1, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 46647MZA4

• Autocallable contingent interest notes due Aug. 26, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 46647MK28

• 0% contingent buffered digital notes due Oct. 26, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 23; Cusip: 46647MP98

• Capped buffered return enhanced notes due Aug. 29, 2019 linked to S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE ETF; via J.P. Morgan Securities LLC; pricing Aug. 25; Cusip: 46647MK69

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMY6

• 0% autocallable notes due Sept. 2, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MG31

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMT7

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMV2.

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMW0

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMX8

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMU4

• Autocallable contingent interest notes due Feb. 28, 2025 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMM2

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2T9

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2U6

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2X0

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2W2

• Autocallable contingent interest notes due Sept. 2, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2Z5

• Autocallable contingent interest notes due Sept. 2, 2027 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M3A9

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMS9

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647ME66

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD67

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME58

• Digital notes due Oct. 5, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MF81

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD42

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME33

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME41

•0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD59

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD34

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME25

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2N2

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2Q5

• Autocallable contingent interest notes due Sept. 6, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2S1

• Autocallable contingent interest notes due Sept. 6, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2P7

• Autocallable contingent interest notes due Sept. 3, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2R3

• 0% Performance Leveraged Upside Securities due Dec. 5, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 48129J848

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD26

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Topix index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD75

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Aug. 22, 2019 linked to the least performing of the iShares U.S. Real Estate exchange-traded fund, the VanEck Vectors Semiconductor ETF and the SPDR S&P Bank ETF; via Morgan Stanley & Co. LLC; pricing Aug. 17; Cusip: 61768CPG6

• Contingent income autocallable securities due Aug. 21, 2020 linked to the American Depositary Shares of Alibaba Group Holding Ltd. stock; 75% trigger; via Morgan Stanley & Co. LLC; pricing Aug. 18; Cusip: 61766X590

• Contingent income autocallable securities due Aug. 21, 2020 linked to Las Vegas Sands Corp. stock; 75% trigger; via Morgan Stanley & Co. LLC; pricing Aug. 18; Cusip: 61766X582

• 0% enhanced trigger jump securities due Oct. 26, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Aug. 22; Cusip: 61768CPA9

• 0% buffered Performance Leveraged Upside Securities due Aug. 31, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNJ2

• Callable buffered range accrual notes due Feb. 28, 2025 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNP8

• 0% trigger jump securities due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61766X608

• 0% buffered Performance Leveraged Upside Securities due August 2020 linked to a basket consisting of the Euro Stoxx 50 and MSCI EAFE indexes; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61768CPF8

ROYAL BANK OF CANADA

• Contingent income autocallable securities due Aug. 23, 2018 linked to Halliburton Co. stock; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Aug. 18; Cusip: 78013F289

• 0% barrier booster notes due Sept. 1, 2022 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Aug. 29; Cusip: 78012K3Z8

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due October 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

WELLS FARGO & CO.

• Step-up callable notes due Aug. 31, 2032 with 3.2% initial rate; via Wells Fargo Securities, LLC; pricing Aug. 28; Cusip: 95000N2R9


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