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Published on 8/2/2016 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

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

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due Feb. 28, 2018 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06367TJC5

• 0% upside booster notes with a barrier due Aug. 30, 2019 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06367TJG6

• 0% contingent risk absolute return notes due Aug. 31, 2022 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06367TJB7

• 0% buffered bullish digital return notes due Aug. 30, 2019 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06367TJD3

BANK OF NOVA SCOTIA

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

• 0% 21- to 24-month buffered notes with a digital return due Jan. 30, 2019 linked to the Euro Stoxx 50 index; 80% trigger; via Scotia Capital (USA) Inc. with Goldman Sachs & Co.; Cusip: 064159HW9

BARCLAYS BANK PLC

• Phoenix autocallable notes due Aug. 17, 2021 linked to the lesser performing of the SPDR S&P 500 exchange-traded fund and the iShares Russell 2000 exchange-traded fund; via Barclays; pricing Aug. 10; Cusip: 06741V6U1

• Trigger autocallable contingent yield notes due Aug. 15, 2019 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via UBS Financial Services Inc. and Barclays; pricing Aug. 12; Cusip: 06745B821

• 0% buffered Performance Leveraged Upside Securities due March 5, 2019 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing Aug. 17; Cusip: 06740Q245

• 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

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

• 0% 18- to 21-month capped leveraged notes linked to the Euro Stoxx 50 index and the FTSE 100 index; via Barclays; Cusip: 06741V5Q1

• 18- to 21-month 0% capped leveraged notes linked to the S&P 500 index; via Barclays; Cusip: 06741V5N8

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 21- to 24-month 0% notes linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Aug. 8; Cusip: 17324C7D2

• 0% capped trigger step securities due Aug. 16, 2018 linked to the S&P 500 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc. ; pricing Aug. 12; Cusip: 17324P677

• 0% market-linked notes due Aug. 30, 2021 linked to a basket consisting of the iShares Core U.S. Aggregate Bond ETF, the Dow Jones industrial average and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17324C6L5

• Annual reset coupon securities due Aug. 31, 2021 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Aug. 26; Cusip: 17324C7G5

CITIGROUP INC.

• Callable step-up coupon notes due Aug. 18, 2036; via Citigroup Global Markets Inc.; pricing Aug. 15; Cusip: 1730T3BS1

CREDIT SUISSE AG, LONDON BRANCH

• 0% Buffered Accelerated Return Equity Securities due Aug. 29, 2019 linked to the Nikkei 225 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QDG7

• 0% digital plus barrier notes due Aug. 31, 2021 linked to the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QCY9

• 0% digital buffered notes due March 2, 2020 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QD85

• Contingent coupon autocallable yield notes due Aug. 31, 2017 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QCZ6

• Contingent coupon autocallable yield notes due Aug. 30, 2019 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QCU7

• Contingent coupon autocallable yield notes due Aug. 31, 2021 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QD51

• Contingent coupon callable yield notes due Aug. 30, 2019 linked to the lower performing of the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 26; Cusip: 22548QDL6

• 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

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

GS FINANCE CORP.

• Contingent income autocallable securities due Aug. 8, 2019 linked to Apple Inc. shares; 80% trigger; via Goldman Sachs & Co. with Morgan Stanley Wealth Management; pricing Aug. 5; Cusip: 36250Y460

• Contingent income autocallable securities due Aug. 10, 2017 linked to United Continental Holdings, Inc. shares; 70% trigger; via Goldman Sachs & Co. with Morgan Stanley Wealth Management; pricing Aug. 5; Cusip: 36250Y478

• 0% Performance Leveraged Upside Securities due Dec. 5, 2017 linked to the Financial Select Sector SPDR fund; via Goldman, Sachs & Co. with Morgan Stanley Wealth Management; pricing Aug. 17; Cusip: 36250Y429

• 0% leveraged notes due Aug. 26, 2022 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Aug. 19; Cusip: 40054KGS9

• 0% leveraged buffered notes due Feb. 28, 2019 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054KHC3

• Callable contingent coupon notes due Aug. 31, 2020 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054KGV2

• Autocallable contingent coupon notes due Sept. 8, 2026 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054KGU4

• 36-month 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 40054KFN1

• Three-year callable contingent coupon notes linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KFM3

• Two-year 0% digital notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KE44

• Three-year 0% autocallable buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40054KE93

HSBC USA INC.

• 23- to 26-month 0% leveraged buffered notes linked to Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; 85% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 5; Cusip: 40433USZ0

• 0% capped gears due Oct. 31, 2017 linked to an equally weighted basket consisting of the WisdomTree India Earnings fund, the iShares MSCI Brazil Capped exchange-traded fund and the iShares China Large-Cap exchange-traded fund; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 12; Cusip: 40434V236

• 0% buffered digital notes due Aug. 31, 2021 linked to the Dow Jones industrial average; via HSBC Securities (USA) LLC; pricing Aug. 26; Cusip: 40433USJ6

• 0% averaging notes due Aug. 31, 2023 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USB3

• 0% buffered Accelerated Market Participation Securities due Aug. 31, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USQ0

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USU1

• 0% leveraged Buffered Uncapped Market Participation Securities due Aug. 31, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USF4

• 0% buffered Accelerated Market Participation Securities due Aug. 31, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433UST4

• 0% leveraged Buffered Uncapped Market Participation Securities due Aug. 30, 2019 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USN7

• 0% averaging notes due Aug. 31, 2023 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USA5

• 0% leveraged Buffered Uncapped Market Participation Securities due Aug. 31, 2021 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USH0

• 0% buffered Accelerated Market Participation Securities due Aug. 31, 2018 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USS6

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USW7

• 0% buffered digital notes due Aug. 31, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) LLC; pricing Aug. 26; Cusip: 40433USP2

• 0% digital dual directional barrier notes due Aug. 31, 2021 linked to lesser performing of the Russell 2000 index and the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USE7

• 0% buffered Accelerated Market Participation Securities due Aug. 31, 2018 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USR8

• 0% buffered Accelerated Market Participation Securities due Feb. 28, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USV9

• 0% digital dual directional barrier notes due Aug. 31, 2021 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433USG2

• 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

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

JPMORGAN CHASE & CO.

• Callable step-up fixed-rate notes due Aug. 16, 2021; via J.P. Morgan Securities LLC; pricing Aug. 11; Cusip: 48128GD64

• Callable step-up fixed-rate notes due Aug. 18, 2036; via J.P. Morgan Securities LLC; pricing Aug. 15; Cusip: 48128GD56

• Callable step-up fixed-rate notes due Aug. 18, 2028; via J.P. Morgan Securities LLC; pricing Aug. 16; Cusip: 48128GD98

• Callable step-up fixed-rate notes due Aug. 19, 2024; via J.P. Morgan Securities LLC; pricing Aug. 16; Cusip: 48128GF47

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% capped buffered return enhanced notes due Feb. 8, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 5; Cusip: 46646ESR4

• 0% digital equity notes due April 5, 2018 linked to the Russell 2000 index; via J .P. Morgan Securities LLC; pricing Aug. 5; Cusip: 46646ERH7

• Callable contingent interest notes due Aug. 12, 2021 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 Aug. 5; Cusip: 46646ERC8

• 0% capped enhanced participation notes due Feb. 13, 2018 linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via J.P. Morgan Securities LLC; pricing Aug. 8; Cusip: 46646EST0

• 0% digital notes due Sept. 13, 2017 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 8; Cusip: 46646ETC6

• 0% digital notes due Sept. 13, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 8; Cusip: 46646ETD4

• Trigger autocallable contingent yield notes due Aug. 17, 2026 linked to the lesser performing of the MSCI EAFE index and the Russell 2000 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Aug. 12; Cusip: 46646X860

• 8.5% autocallable yield notes due Feb. 23, 2018 linked to the least performing of the common stocks of Kansas City Southern, Norfolk Southern Corp. and Union Pacific Corp.; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46646ESV5

• 0% Performance Leveraged Upside Securities due Dec. 5, 2017 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46646X704

• 0% buffered Performance Leveraged Upside Securities due March 5, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 17; Cusip: 46646X803

• Autocallable yield notes due Nov. 28, 2017 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 46646EQT2

• 0% capped buffered return enhanced notes due Aug. 31, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERN4

• 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. 26; Cusip: 46646ERT1

• 0% capped buffered return enhanced notes due Aug. 31, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERL8

• 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. 26; Cusip: 46646ERR5

• 0% contingent buffered equity notes due Aug. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; 75% trigger; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERX2

• 0% capped buffered return enhanced notes due Aug. 31, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERM6

• 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. 26; Cusip: 46646ERS3

• 0% capped buffered return enhanced notes due Aug. 31, 2018 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERK0

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERQ7

• 0% contingent buffered equity notes due Aug. 31, 2020 linked to the Russell 2000 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERW4

• 5%-7% yield notes due May 31, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ESF0

• 0% dual directional contingent buffered return enhanced notes due Aug. 31, 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. 26; Cusip: 46646ESE3

• Autocallable contingent interest notes due Nov. 30, 2017 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ESQ6

• 0% uncapped contingent buffered return enhanced notes due Aug. 31, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ESB9

• 0% uncapped contingent buffered return enhanced notes due Aug. 31, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ESC7

• 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. 26; Cusip: 46646ERP9

• 0% uncapped dual directional notes due Aug. 31, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ESA1

• 0% capped buffered return enhanced notes due Aug. 31, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERU8

• 0% contingent buffered equity notes due Aug. 31, 2020 linked to the S&P 500 index; 75% trigger; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERV6

• 0% capped buffered return enhanced notes due Aug. 31, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 26; Cusip: 46646ERJ3

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

• Contingent income autocallable securities due Aug. 29, 2031 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 61766BBT7

• Contingent income autocallable securities due Aug. 30, 2019 linked to the Market Vectors Gold Miners exchange-traded fund; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 61766BBU4

• 0% enhanced buffered jump securities due Aug. 30, 2019 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Aug. 26; Cusip: 61766BBS9

ROYAL BANK OF CANADA

• 0% direct investment notes due Sept. 11, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets LLC; pricing Aug. 3; Cusip: 78012KQT7

• Contingent income autocallable securities due Aug. 10, 2017 linked to Amazon.com, Inc. shares; via RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78014C483

• 0% buffer enhanced return notes due Aug. 9, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78012KRJ8

• 0% capped gears due Aug. 31, 2018 linked to an equally weighted basket consisting of the common stocks of Bank of America Corp., Citigroup Inc., Goldman Sachs Group, Inc. and JPMorgan Chase & Co.; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Aug. 12; Cusip: 78014C459

• 0% barrier booster notes due Aug. 31, 2022 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing Aug. 26; Cusip: 78012KRP4

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

• 24- to 27-month leveraged buffered notes linked to the S&P 500 index; via RBC Capital Markets, LLC; Cusip: 78012KRD1

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

WELLS FARGO & CO.

• 0% 23- to 26-month digital securities with buffered downside linked to the Russell 2000 index; via Wells Fargo Securities, LLC; pricing in August; Cusip: 94986RS36


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