Structured Products Calendar

BARCLAYS BANK PLC

• Buffered autocallable notes due March 22, 2027 linked to the least performing of the Nasdaq-100 index and the Russell 2000 index; via Barclays; pricing Sept. 17; Cusip: 06747NGT5

• Buffered autocallable notes due March 22, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing Sept. 17; Cusip: 06747NGR9

BANK OF MONTREAL

• Redeemable step-up coupon notes due Sept. 30, 2024; via BMO Capital Markets Corp.; pricing Sept. 26; Cusip: 06367WQH9

BOFA FINANCE LLC

• Contingent income autocallable notes due March 22, 2022 linked to the worst performing of the common stocks of Amazon.com, Inc. and Netflix, Inc.; pricing Sept. 17; Cusip: 09709TVG3

• 0% Accelerated Return Notes due November 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in September

CANADIAN IMPERIAL BANK OF COMMERCE

• 45- to 48-month 0% capped leveraged index-linked notes tied to the Russell 2000 index; via CIBC World Markets; Cusip: 13605WRB9

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% autocallable securities due Sept. 23, 2024 linked to the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing Sept. 18; Cusip: 17327TCK0

• Callable range accrual notes due Sept. 24, 2036 linked to six-month Libor; via Citigroup Global Markets Inc.; pricing Sept. 20; Cusip: 17327THF6

• Autocallable contingent coupon equity-linked securities due Sept. 22, 2023 linked to the least performing of the Russell 2000 index, the SPDR S&P Oil & Gas Exploration & Production ETF and the iShares MSCI EAFE ETF; via Citigroup Global Markets Inc.; pricing Sept. 19; Cusip: 17327TWF9

• Contingent income autocallable securities due Sept. 24, 2024 linked to JPMorgan Chase & Co. common stock; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing Sept. 20; Cusip: 17327P328

• 7%-8% Single Observation Equity Linked Securities due Sept. 29, 2020 linked to the common stock of Cigna Corp.; via Citigroup Global Markets Inc.; pricing Sept. 24; Cusip: 17324XTJ9

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Alphabet Inc., Apple Inc., Facebook, Inc. and Netflix, Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XRZ5

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Amazon.com, Inc., Home Depot, Inc., Lowe’s Cos., Inc. and Walmart Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XTX8

• Autocallable contingent coupon equity-linked securities due Sept. 28, 2022 linked to the worst performing of the common stocks of Intel Corp., Qualcomm Inc., salesforce.com, inc. and Square Inc.; via Citigroup Global Markets Inc.; pricing Sept. 26; Cusip: 17324XTQ3

• 0% geared buffer securities due Oct. 2, 2023 linked to a basket holding the S&P MidCap 400 index and the iShares Core S&P Small-Cap ETF; via Citigroup Global Markets Inc.; pricing Sept. 27; Cusip: 17327TGT7

CREDIT SUISSE AG, LONDON BRANCH

• 8.5% contingent coupon autocallable reverse convertible securities due Sept. 20, 2022 linked to the least performing of CVS Health Corp., Amazon.com, Inc., Apple Inc. and the VanEck Vectors Gold Miners ETF; via Credit Suisse Securities (USA) LLC; pricing Sept. 17; Cusip: 22549J2D1

• Contingent coupon callable yield notes due June 21, 2021 tied to the lowest performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Sept. 17; Cusip: 22552FX64

• Contingent coupon autocallable yield notes due Sept. 23, 2025 linked to the least performing of the shares of Roku, Inc., Constellation Brands, Inc. and Philip Morris International Inc.; via Credit Suisse Securities (USA) LLC; pricing Sept. 18; Cusip: 22552FWG3

• Contingent coupon autocallable yield notes due Sept. 26, 2023 linked to the least performing of the shares of HP Inc., International Business Machines Corp. and Intel Corp.; via Credit Suisse Securities (USA) LLC; pricing Sept. 19; Cusip: 22552FWU2

GS FINANCE CORP.

• 0% trigger jump securities with autocallable feature due Sept. 20, 2024 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC and Morgan Stanley Wealth Management; pricing Sept. 17; Cusip: 36258L437

• 0% autocallable notes due Sept. 18, 2029 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Sept. 18; Cusip: 40056XCS3

• 0% autocallable notes due Oct. 3, 2022 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing Sept. 26; Cusip: 40056XDD5

• Quarterly CMS spread-linked notes due September 2023; via Goldman Sachs & Co. LLC; pricing in September; Cusip: 40056XCT1

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due March 22, 2021 linked to the Utilities Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing Sept. 17; Cusip: 40435UWX8

• 0% buffered Accelerated Market Participation Securities due March 22, 2021 linked to the iShares U.S. Real Estate exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Sept. 17; Cusip: 40435UWY6

• 0% buffered accelerated market participation securities due Sept. 20, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Sept. 17; Cusip: 40435UVQ4

• Autocallable contingent income barrier notes due Dec. 23, 2020 linked to the lesser performing of the common stocks of Chevron Corp., Goldman Sachs Group, Inc. and Microsoft Corp.; via HSBC Securities (USA) Inc.; pricing Sept. 18; Cusip: 40435UXV1

• Autocallable contingent income barrier notes due March 26, 2021 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index; via HSBC Securities (USA) Inc.; pricing Sept. 23; Cusip: 40435UXZ2

JEFFERIES GROUP LLC

• $15 million of 0% capped buffered senior notes due Oct. 7, 2020 linked to the S&P 500 index; via Jefferies LLC; pricing Oct. 1; Cusip: 47233JCF3

JPMORGAN CHASE & CO.

• Callable step-up fixed-rate notes due Sept. 23, 2024; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48128GK66

• Callable step-up fixed-rate notes due Sept. 23, 2024; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48130USA4

• Callable step-up fixed-rate notes due March 23, 2025; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48128GK58

• Callable step-up fixed-rate notes due Sept. 23, 2027; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48128GK74

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% buffered participation securities due Oct. 22, 2020 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132G799

• 0% capped buffered equity notes due Sept. 22, 2021 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132FLR5

• 0% digital notes due Oct. 22, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132FEU6

• Autocallable contingent interest notes due Sept. 22, 2021 linked to the lesser performing of the Dow Jones Industrial Average and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132FMB9

• 0% capped dual directional buffered equity notes due Sept. 22, 2022 linked to the MSCI EAFE index; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132FMN3

• Autocallable contingent interest notes due Dec. 22, 2020 linked to the lesser performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 17; Cusip: 48132FLY0

• 0% capped buffered enhanced participation equity notes due Sept. 20, 2023 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Sept. 18; Cusip: 48132FMM5

• Autocallable contingent interest notes due Sept. 23, 2021 linked to the least performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48132FDM5

• Autocallable contingent interest notes due Sept. 23, 2021 linked to the common stock of Delta Air Lines, Inc.; via J.P. Morgan Securities LLC; pricing Sept. 19; Cusip: 48132FMS2

• Contingent income autocallable securities due Sept. 24, 2020 tied to the common stock of Delta Air Lines, Inc.; via J.P. Morgan Securities LLC as agent with Morgan Stanley Smith Barney LLC handling distribution; pricing Sept. 20; Cusip: 48132G666

• 0% dual directional contingent buffered return enhanced notes due Sept. 25, 2025 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLM6

• 0% digital dual directional contingent buffered notes due Sept. 25, 2025 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLL8

• Autocallable contingent interest notes due Dec. 24, 2020 tied to the common stock of Emerson Electric Co.; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FLQ7

• Autocallable contingent interest notes due Dec. 24, 2020 linked to the common stock of Netflix, Inc.; via J.P. Morgan Securities LLC; pricing Sept. 20; Cusip: 48132FMC7

• Contingent income callable securities due Sept. 25, 2029 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management as dealer; pricing Sept. 20; Cusip: 48132FLN4

• 0% uncapped contingent buffered return enhanced notes due Sept. 30, 2024 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 25; Cusip: 48132FMZ6

• Autocallable contingent interest notes due Sept. 29, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 25

• 0% uncapped contingent buffered equity notes due Oct. 2, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLK0

• 0% capped contingent buffered return enhanced notes due Oct. 2, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Sept. 27; Cusip: 48132FLJ3

• 8.6% autocallable yield notes due Dec. 24, 2020 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Sept. 29; Cusip: 48132FCP9

• 0% capped buffered return enhanced notes due April 5, 2021 linked to the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FMV5

• 0% capped buffered return enhanced notes due April 5, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Sept. 30; Cusip: 48132FMU7

MORGAN STANLEY FINANCE LLC

• Contingent income buffered autocallable securities due Sept. 20, 2024 linked to the worst performing of the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 17; Cusip: 61769HVJ1

• 0% trigger gears due Sept. 20, 2024 linked to a basket consisting of the S&P Midcap 400 index with a 40% weight, the Russell 2000 index with a 40% weight and the S&P 500 index with a 20% weight; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Sept. 17; Cusip: 61770C186

• Contingent income autocallable securities due Sept. 23, 2021 linked to the worst performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HVM4

• 0% trigger step securities due July 31, 2023 linked to a basket of indexes including the Stoxx Europe 600 index with a 70% weight and the Euro Stoxx Mid index with a 30% weight; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C236

• 0% enhanced trigger jump securities due March 29, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HUB9

• 0% enhanced trigger jump securities due March 29, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61769HUC7

• Contingent income autocallable securities due Sept. 23, 2022 linked to Apple Inc. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C251

• Contingent income autocallable securities due Sept. 23, 2022 linked to Caterpillar Inc. common stock; via Morgan Stanley & Co. LLC; pricing Sept. 20; Cusip: 61770C244

• 0% market-linked notes due April 3, 2024 linked to the Morgan Stanley ETF-Map 2 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61770C111

• 0% buffered jump securities due Oct. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Sept. 30; Cusip: 61769HTS4

ROYAL BANK OF CANADA

• 7% to 7.4% trigger callable yield notes due Sept. 22, 2020 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 ETF; via RBC Capital Markets, LLC; pricing Sept. 17; Cusip: 78014J462

• Autocallable contingent coupon barrier notes due Sept. 23, 2021 linked to the least performing of the common stocks of Cisco Systems, Inc., Pfizer Inc. and Walgreens Boots Alliance, Inc.; via RBC Capital Markets, LLC; pricing Sept. 18; Cusip: 78013GSV8

TORONTO-DOMINION BANK

• 0% leveraged buffered notes due in 24 to 27 months linked to a basket of indexes (Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight); via TD Securities (USA) LLC; Cusip: 89114Q5N4

UBS AG, LONDON BRANCH

• Contingent income autocallable securities due March 25, 2020 linked to the common stock of Hess Corp.; via UBS Securities LLC and Morgan Stanley Wealth Management; pricing Sept. 20; Cusip: 90281E365

WELLS FARGO FINANCE LLC

• 8% STEP Income Securities due October 2020 linked to the common stock of Microsoft Corp.; via BofA Securities Inc.; pricing in September

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