Structured Products Calendar

BANK OF MONTREAL

• 0% booster notes with barrier due May 31, 2022 linked to the lesser performing of the iShares MSCI EAFE ETF and the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing May 30; Cusip: 06367WKT9

• 0% bullish digital return notes with barrier due June 30, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via BMO Capital Markets Corp.; pricing May 30; Cusip: 06367WKV4

BANK OF NOVA SCOTIA

• 23- to 26-month digital notes linked to the S&P 500 index; via Scotia Capital (USA) Inc.; Cusip: 064159NY8

BARCLAYS BANK PLC

• 0% notes due May 12, 2022 linked to the S&P 500 index; via Barclays; pricing May 9; Cusip: 06747MPG5

• 0% notes due May 12, 2022 linked to the S&P 500 index; via Barclays; pricing May 9; Cusip: 06747MPF7

• Contingent income autocallable securities due May 13, 2022 linked to the least performing of the common stocks of Amazon.com, Inc., Alphabet Inc. and Netflix, Inc.; via Barclays with Morgan Stanley Wealth Management as dealer; pricing May 10; Cusip: 06747A219

• Trigger autocallable contingent yield notes due May 13, 2022 linked to the MSCI Emerging Markets index and the S&P 500 index; via Barclays and UBS Financial Services Inc.; pricing May 10; Cusip: 06747A151

• Trigger autocallable contingent yield notes due May 15, 2024 linked to the Russell 2000 index and the S&P 500 index; via Barclays and UBS Financial Services Inc.; pricing May 10; Cusip: 06747B209

• Trigger autocallable contingent yield notes due May 15, 2029 linked to the Russell 2000 index and the Nasdaq-100 index; via Barclays and UBS Financial Services Inc.; pricing May 10; Cusip: 06747B100

• 0% buffered SuperTrack notes due May 27, 2022 linked to the Nasdaq-100 index; via Barclays; pricing May 24; Cusip: 06747MQA7

• Callable contingent coupon notes due May 27, 2022 linked to the least performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production ETF, fund; via Barclays; pricing May 24; Cusip: 06747MQQ2

• Callable contingent coupon notes due May 31, 2029 linked to the S&P 500 index; via Barclays; pricing May 28; Cusip: 06747MT22

• 0% Accelerated Return Notes due May 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked step-up notes due May 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% market-linked notes due May 12, 2022 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 7; Cusip: 17326YDF0

• Contingent coupon autocallable yield notes due May 12, 2022 linked to the worse performing of the iShares Russell 2000 ETF, the Invesco QQQ Trust, series 1 and the iShares Nasdaq Biotechnology ETF; via Citigroup Global Markets Holdings Inc.; pricing May 7; Cusip: 17324XPQ7

• Floating-rate notes due May 14, 2069 linked to Libor; via Citigroup Global Markets Inc.; pricing May 9; Cusip: 17326YKX3

• Callable step-up coupon notes due May 20, 2022; via Citigroup Global Markets Inc.; pricing May 16; Cusip: 17326YGU4

• Contingent coupon autocallable notes due May 18, 2020 linked to Nvidia Corp. stock; via Citigroup Global Markets Inc.; pricing May 13; Cusip: 17324XNA4

• 0% enhanced barrier digital plus securities due May 29, 2024 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 23; Cusip: 17326YH25

• Autocallable contingent coupon equity-linked securities due May 29, 2020 linked to the common stock of Square, Inc.; via Citigroup Global Markets Inc.; pricing May 23; Cusip: 17324XPN4

• Autocallable contingent coupon equity-linked securities due June 3, 2022 linked to the worse performing of the common stocks of Apple Inc., Netflix, Inc., Alphabet Inc. and Amazon.com, Inc.; via Citigroup Global Markets Inc.; pricing May 28; Cusip: 17326Y4A1

• 0% autocallable market-linked notes due June 2, 2026 linked to the Citi Dynamic Asset Selector 5 Excess Return index; via Citigroup Global Markets Inc.; pricing May 28; Cusip: 17326YTC0

• 0% buffer securities due June 3, 2024 linked to the SPDR Dow Jones Industrial Average ETF Trust; via Citigroup Global Markets Inc.; pricing May 29; Cusip: 17326YXG6

• 0% buffer securities due July 6, 2020 linked to the iShares MSCI Emerging Markets ETF; via Citigroup Global Markets Inc.; pricing May 31; Cusip: 17326YQM1

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due Aug. 13, 2020 linked to Amazon.com, Inc. common shares; via Credit Suisse Securities (USA) LLC; pricing May 8; Cusip: 22552FCC4

• Contingent coupon autocallable yield notes due Nov. 13, 2020 linked to the lowest performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 8; Cusip: 22552FEA6

• Contingent coupon autocallable reverse convertible securities due Aug. 14, 2020 linked to the common stock of Alaska Air Group, Inc.; via Credit Suisse Securities (USA) LLC; pricing May 9; Cusip: 22549JR51

• 16.5% autocallable reverse convertible securities due June 1, 2020 linked to the worst performing of the common stocks of First Solar, Inc., General Electric Co. and Tesla, Inc.; via Credit Suisse Securities (USA) LLC; pricing May 24; Cusip: 22549JR77

• 0% digital plus barrier notes due May 31, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 28; Cusip: 22552FDG4

• 0% buffered return equity securities due June 3, 2021 linked to a basket of five stocks (Boston Scientific Corp., Humana Inc., Puma Biotechnology, Inc., Novartis AG and AstraZeneca plc, each with a 20% weight); via Credit Suisse Securities (USA) LLC; pricing May 30; Cusip: 22552FDZ2

• 0% leveraged buffered index-linked notes due in 24 to 27 months tied to the MSCI EAFE index; via Credit Suisse Securities (USA) LLC; Cusip: 22552FED0

GS FINANCE CORP.

• 0% autocallable index-linked notes due May 16, 2022 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 9; Cusip: 40056FD93

• 0% leveraged buffered ETF-linked notes due Oct. 30, 2020 linked to the iShares MSCI Emerging Markets ETF; via Goldman Sachs & Co. LLC; pricing May 9; Cusip: 40056FE84

• Trigger autocallable contingent yield notes due May 15, 2029 linked to the MSCI Emerging Markets index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and Goldman Sachs & Co. LLC; pricing May 10; Cusip: 36257D675

• 0% leveraged buffered notes due Nov. 18, 2020 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 10; Cusip: 40056FG82

• 0% autocallable absolute return notes due May 13, 2021 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 10; Cusip: 40056FGC3

• 0% leveraged buffered notes due Nov. 18, 2020 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 13; Cusip: 40056FCB9

• 0% autocallable notes due May 29, 2026 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FDB8

• 0% autocallable notes due May 29, 2026 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FDA0

• 0% autocallable index-linked notes due May 21, 2024 tied to the Nasdaq-100 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FCW3

• Autocallable contingent coupon notes due Nov. 23, 2020 linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FCY9

• 0% leveraged buffered notes due May 19, 2021 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FCU7

• 0% buffered index-linked notes due May 17, 2024 tied to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FCT0

• Autocallable contingent coupon notes due Nov. 23, 2020 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40056FCX1

• 0% autocallable underlier-linked notes due June 1, 2023 based on the performance of the iShares MSCI Emerging Markets exchange-traded fund and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 24; Cusip: 40056FCH6

• 0% autocallable underlier-linked notes due June 1, 2023 based on the performance of the iShares MSCI Emerging Markets exchange-traded fund and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 24; Cusip: 40056FCG8

• Callable contingent coupon notes due May 31, 2024 linked to the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 24; Cusip: 40056FCE3

• 0% autocallable notes due June 12, 2029 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing May 28; Cusip: 40056FCN3

• 0% buffered index-linked notes due May 31, 2024 tied to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 28; Cusip: 40056FCZ6

• Autocallable contingent coupon notes due Dec. 7, 2020 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 28; Cusip: 40056FD28

• 0% buffered index-linked notes due May 31, 2024 tied to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 28; Cusip: 40056FG90

• 0% buffered Performance Leveraged Upside Securities due June 3, 2021 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Goldman Sachs & Co. LLC; pricing May 31; Cusip: 36257D584

• 7.7% to 8.7% autocallable fixed-coupon notes due Sept. 8, 2020 linked to the lesser performing of the Nasdaq-100 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 31; Cusip: 40056FDD4

• 0% leveraged buffered notes due June 4, 2021 linked to the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 31; Cusip: 40056FDE2

• Autocallable contingent coupon notes due Dec. 7, 2020 linked to the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 31; Cusip: 40056FD36

• 0% buffered Performance Leveraged Upside Securities due June 3, 2021 linked to the Topix index; via Sachs & Co. LLC as agent with Morgan Stanley Wealth Management handling distribution; pricing May 31; Cusip: 36257D576

HSBC USA, INC.

• 0% Performance Leveraged Upside Securities due Sept. 3, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. as agent with Morgan Stanley Wealth Management handling distribution; pricing May 15; Cusip: 40436B840

JEFFERIES GROUP LLC

• Senior fixed-to-floating notes due May 31, 2039 linked to Libor; via Jefferies LLC; pricing May 31; Cusip: 47233JBW7

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% uncapped contingent buffered return enhanced notes due May 8, 2024 linked to the least performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 9; Cusip: 48132CKY8

• Autocallable contingent interest notes due May 13, 2022 linked to Netflix, Inc. common stock; via J.P. Morgan Securities LLC; pricing May 10; Cusip: 48132CKT9

• Autocallable contingent interest notes due May 18, 2023 linked to the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing May 13; Cusip: 48132CKW2

• Autocallable contingent interest notes due Aug. 20, 2020 linked to ConocoPhillips common stock; via J.P. Morgan Securities LLC; pricing May 17; Cusip: 48132CKM4

• Autocallable contingent interest notes due May 20, 2022 linked to the least performing of the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 17; Cusip: 48132CCX9

• Autocallable contingent interest notes due Aug. 20, 2020 linked to General Electric Co. common stock; via J.P. Morgan Securities LLC; pricing May 17; Cusip: 48132CKL6

• Autocallable yield notes due Aug. 26, 2020 linked to the least performing of the Nasdaq-100 index, the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 21; Cusip: 48132CKR3

• Autocallable contingent interest notes due Nov. 27, 2020 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 22; Cusip: 48132CKX0

• 0% contingent buffered digital notes due Nov. 30, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing May 24; Cusip: 48132CEF6

• Callable contingent interest notes due May 27, 2022 linked to the lesser performing of the Nasdaq-100 index and the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing May 24; Cusip: 48132CEC3

• Callable contingent interest notes due May 27, 2022 linked to the lesser performing of the Nasdaq-100 index and the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing May 24; Cusip: 48132CEB5

• Callable contingent interest notes due May 27, 2022 linked to the lesser performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF; via J.P. Morgan Securities LLC; pricing May 24; Cusip: 48132CDZ3

• Callable contingent interest notes due May 27, 2022 linked to the lesser performing of the SPDR S&P Biotech ETF and the SPDR S&P Oil & Gas Exploration & Production ETF; via J.P. Morgan Securities LLC; pricing May 24; Cusip: 48132CDY6

MORGAN STANLEY FINANCE LLC

• 0% buffered Performance Leveraged Upside Securities due June 3, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 15; Cusip: 61768Y315

• Contingent income autocallable securities due May 19, 2022 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 15; Cusip: 61768Y372

• Callable contingent income securities due June 1, 2022 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D7C3

• Callable contingent income securities due June 1, 2022 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D7D1

• 0% buffered Performance Leveraged Upside Securities due June 1, 2023 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D7A7

• 0% buffered Performance Leveraged Upside Securities due June 3, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D7B5

• 0% jump securities with autocallable feature due June 3, 2024 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D6Y6

• 0% jump securities with autocallable feature due June 3, 2024 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 24; Cusip: 61768D6Z3

• 0% dual directional trigger jump securities due May 31, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 28; Cusip: 61768D7M1

• 0% trigger gears due May 31, 2024 linked to a basket consisting of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei 225 index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight; via Morgan Stanley & Co. LLC as agent with UBS Financial Services Inc. as dealer; pricing May 29; Cusip: 61768Y398

• 0% market-linked notes due June 5, 2024 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61768Y299

• 0% market-linked notes due June 3, 2022 linked to the Morgan Stanley ETF-Map 2 index; via Morgan Stanley & Co. LLC as agent with Morgan Stanley Wealth Management as a selected dealer; pricing May 31; Cusip: 61768Y356

• 0% buffered Performance Leveraged Upside Securities due Dec. 3, 2021 linked to the MSCI KLD 400 Social index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61768Y364

• 0% trigger Performance Leveraged Upside Securities due June 4, 2025 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61768Y323

• 0% dual directional trigger jump securities due June 5, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61768Y281

• 0% buffered Performance Leveraged Upside Securities due June 3, 2021 linked to the Xtrackers Harvest CSI 300 China A-Shares exchange-traded fund; via Morgan Stanley & Co. LLC; pricing May 31; Cusip: 61768Y331

ROYAL BANK OF CANADA

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the least performing of the common stocks of Amazon.com, Inc., Facebook, Inc., Alphabet Inc. and Netflix Inc.; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6U7

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the least performing of the common stocks of AT&T Inc. and Vodafone Group plc; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6S2

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the least performing of the common stocks of Boeing Co. and General Electric Co.; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6T0

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the least performing of the common stocks of Cigna Corp. and UnitedHealth Group Inc.; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6Q6

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the least performing of the common stocks of Salesforce.com, Inc. and Microsoft Corp.; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6R4

• Autocallable contingent coupon barrier notes due May 19, 2022 linked to the common stock of Netflix, Inc.; via RBC Capital Markets, LLC; pricing May 15; Cusip: 78013X6P8

TORONTO-DOMINION BANK

• 24- to 27-month 0% capped buffered notes linked to the S&P 500 index; via TD Securities (USA) LLC; Cusip: 89114QM96

UBS AG, LONDON BRANCH

• 0% step-down trigger autocallable notes due May 13, 2024 linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 9; Cusip: 90270KC80

• 0% trigger autocallable contingent yield notes due May 13, 2022 linked to the S&P 500 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 10; Cusip: 90281D136

• 0% capped Performance Leverage Upside Securities due Sept. 3, 2020 linked to the Russell 2000 index; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing May 15; Cusip: 90281C807

• 0% capped leveraged buffered notes due in 17 to 20 months linked to the S&P 500 index; via UBS Securities LLC; Cusip: 90270KC98

WELLS FARGO & CO.

• Step-up callable notes due Nov. 30, 2024 with 3.125% initial rate; via Wells Fargo Securities LLC; pricing May 28; Cusip: 95001D4C1

• 0% market-linked securities with upside participation and fixed percentage buffered downside due May 31, 2024 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing May 28; Cusip: 95001H5M9

• Market-linked securities due June 6, 2023 – contingent fixed return and contingent downside linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing May 30; Cusip: 95001H5J6

• 0% market-linked securities with upside participation and fixed percentage buffered downside due June 4, 2024 linked to the S&P 500 index; via Wells Fargo Securities LLC; pricing May 30; Cusip: 95001H5N7

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