Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due June 10, 2025; via BofA Merrill Lynch; settling June 10; Cusip: 06048WQX1

BANK OF MONTREAL

• 0% interest rate sensitivity equity linked notes due Feb. 3, 2017 linked to an equally weighted basket of 13 common stocks selected by Raymond James & Associates, Inc. (Bank of America Corp., Bank of New York Mellon Corp., East West Bancorp, Inc., HealthEquity, Inc., Northern Trust Corp., PrivateBancorp, Inc., Prudential Financial, Inc., SVB Financial Group, TD Ameritrade Holding Corp., Texas Capital Bancshares, Inc., Wells Fargo & Co., Wintrust Financial Corp. and Zions Bancorp.); via BMO Capital Markets Corp.; settling June 5; Cusip: 06366RM69

BARCLAYS BANK PLC

• 0% notes due June 7, 2018 linked to the EquityCompass Share Buyback index; via Barclays; pricing June 4; Cusip: 06741UWB6

• Contingent income autocallable securities due June 8, 2018 linked to Facebook, Inc. common stock; via Barclays and Morgan Stanley Smith Barney LLC; pricing June 5; Cusip:06743N561

• Fixed-to-floating notes due June 12, 2025; via Barclays; pricing June 9; Cusip: 06741UXB5

• Phoenix autocallable notes due June 17, 2020 linked to the S&P 500 index; via Barclays; pricing June 12; Cusip: 06741UXE9

• 0% Performance Leveraged Upside Securities due Oct. 5, 2016 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing June 30; Cusip: 06743N546

• 0% buffered Performance Leveraged Upside Securities due July 5, 2018 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing June 30; Cusip: 06743N579

• 0% trigger Performance Leveraged Upside Securities due July 6, 2021 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing June 30; Cusip:06743N587

• 0% digital notes linked to the Russell 2000 index due in 13 to 16 months; 85% trigger; via Barclays; Cusip: 06741UWW0

CITIGROUP INC.

• 7%-9% single observation Equity Linked Securities due June 20, 2016 linked to American Airlines Group Inc. shares; via Citigroup Global Markets Inc.; pricing June 15; Cusip: 17298CBJ6

• 8%-9% single observation Equity Linked Securities due June 21, 2016 linked to Twitter, Inc. shares; via Citigroup Global Markets Inc.; pricing June 16; Cusip: 17298CBH0

• 0% Performance Leveraged Upside Securities due Oct. 5, 2016 linked to the S&P MidCap 400 index; via Citigroup Global Markets Inc. with Morgan Stanley Wealth Management; pricing June 30; Cusip: 17323B158

• 0% barrier digital plus securities due June 30, 2020 linked to the Dow Jones industrial average; 80% trigger; via Citigroup Global Markets Inc.; pricing June 25; Cusip: 17298CBG2

• 0% barrier digital plus securities due June 30, 2020 linked to the Euro Stoxx 50 index; 80% trigger; via Citigroup Global Markets Inc.; pricing June 25; Cusip: 17298CBF4

• Callable step-up coupon notes due July 1, 2020; via Citigroup Global Markets Inc.; pricing June 26; Cusip: 17298CBL1

• 0% barrier securities due July 1, 2020 linked to the SPDR S&P Biotech exchange-traded fund; via Citigroup Global Markets Inc.; pricing June 26; Cusip: 17298CBN7

• 0% trigger Performance Leveraged Upside Securities due July 5, 2018 linked to the WisdomTree India Earnings Fund; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing June 30; Cusip: 17323B174

CREDIT SUISSE AG

• 12.5%-14.5% autocallable reverse convertible securities due June 6, 2016 linked to Chesapeake Energy Corp. shares; via Credit Suisse Securities (USA) LLC; pricing June 2; Cusip: 22546VE44

• 0% digital-plus barrier notes due June 28, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing June 19; Cusip: 22546VEG7

• Contingent coupon callable yield notes due June 26, 2018 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 19; Cusip: 22546VED4

• 0% absolute return barrier securities due June 28, 2021 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing June 19; Cusip: 22546VEH5

• 0% autocallable securities due June 30, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 25; Cusip: 22546VEK8

• 0% digital-plus barrier notes due June 28, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing June 25; Cusip: 22546VEJ1

• 0% absolute return barrier securities due July 3, 2019 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22546VEM4

• 0% accelerated barrier notes due July 3, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22546VEL6

• 0% digital-plus barrier notes due July 6, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing June 30; Cusip: 22546VEN2

DEUTSCHE BANK AG, LONDON BRANCH

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

• 0% Accelerated Return Notes due August 2016 linked to the S&P MidCap 400 index; via BofA Merrill Lynch; pricing in June

GOLDMAN SACHS GROUP, INC.

• 0% notes due June 26, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing June 19; Cusip: 38148T4F3

• 0% notes due June 29, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing June 25; Cusip: 38148T3V9

• Fixed-to-floating-rate notes due June 2025 linked to the 10-year Constant Maturity Swap rate; via Goldman Sachs & Co.; settling in June; Cusip: 38148T3N7

• Six-year 0% notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38148T4G1

• Five-year 0% leveraged buffered notes due linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38147QZ58

• Five-year 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 38148T4H9

• 18- to 21-month 0% leveraged notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.

• Five-year 0% leveraged buffered notes due linked to the MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147QZ41

• 0% 60-month leveraged buffered notes linked to the MSCI EAFE index; via Goldman, Sachs & Co.; Cusip: 38147QWL6

• 0% five-year leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38147QU46

HSBC USA INC.

• Collared floating-rate notes due June 5, 2019; via HSBC Securities (USA) Inc.; settlement June 5; Cusip: 40433B2F4

HSBC USA Inc.

• Contingent income autocallable securities due June 9, 2016 linked to Valero Energy Corp. shares; 75% trigger; via HSBC Securities (USA) Inc.; pricing June 5; Cusip: 40434G163

• Contingent income autocallable securities due June 9, 2016 linked to Freeport-McMoRan Inc. shares; 70% trigger; via HSBC Securities (USA) Inc.; pricing June 5; Cusip: 40434G130

• 0% barrier enhanced participation notes due June 26, 2020 linked to the Energy Select Sector SPDR Fund; via HSBC Securities (USA) Inc.; pricing June 19; Cusip: 40433BX60

• 0% leveraged buffered uncapped market participation securities due June 30, 2020 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BY85

• 0% leveraged buffered uncapped market participation securities due April 1, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BY51

• 0% buffered uncapped market participation securities due July 2, 2018 linked to the PowerShares S&P 500 Low Volatility Portfolio exchange-traded fund; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BY69

• 0% buffered uncapped market participation securities due June 30, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BX86

• 0% buffered uncapped market participation securities due July 1, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BY44

• 0% buffered uncapped market participation securities due June 30, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing June 25; Cusip: 40433BX78

• 0% dual directional trigger Performance Leveraged Upside Securities due July 6, 2021 linked to the Euro Stoxx 50 index; 65% trigger; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing June 30; Cusip: 40434G155

• 0% Performance Leveraged Upside Securities due Oct. 5, 2016 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management; pricing June 30; Cusip: 40434G148

• 0% Strategic Accelerated Redemption Securities due July 2016 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in June

• 0% Accelerated Return Notes due August 2016 linked to the S&P Regional Banks Select Industry index; via BofA Merrill Lynch; pricing in June

JPMORGAN CHASE & CO.

• Fixed-to-floating notes due June 5, 2025; via J.P. Morgan Securities LLC; pricing June 2; Cusip: 48125USV5

• Autocallable contingent interest notes due Sept. 8, 2016 linked to Apple Inc.; via J.P. Morgan Securities LLC; pricing June 2; Cusip: 46625HLK4

• 0% Performance Leveraged Upside Securities due Aug. 17, 2016 linked to the S&P 500 index; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management handling distribution; pricing June 2; Cusip: 48127X617

• 8%-10% autocallable reverse exchangeable notes due June 20, 2016 linked to Tenet Healthcare Corp. common stock; via J.P. Morgan Securities LLC; pricing June 15; Cusip: 46625HLP3

• 6% autocallable yield notes due Sept. 22, 2016 linked to the iShares MSCI Emerging Markets exchange-traded fund, the Financial Select Sector SPDR fund and the Russell 2000 index; 65% trigger; via J.P. Morgan Securities LLC; pricing June 19; Cusip: 48125UUY6

• 0% review notes due June 24, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing June 19; Cusip: 48125UVB5

• 0% uncapped contingent buffered equity notes due Dec. 24, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 65% trigger; via J.P. Morgan Securities LLC; pricing June 19; Cusip: 48125UVA7

• 0% capped buffered return enhanced notes due June 30, 2017 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing June 25; Cusip: 48125UVF6

• Autocallable contingent interest notes due Sept. 29, 2016 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 25; Cusip: 48125UVW9

• Autocallable contingent interest notes due Sept. 29, 2016 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 25; Cusip: 48125UVX7

• 0% capped dual directional contingent buffered return enhanced notes due June 28, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 25; Cusip: 48125UVN9

• 0% Performance Leveraged Upside Securities due Oct. 5, 2016 linked to the Topix index; via J.P. Morgan Securities LLC and Morgan Stanley Wealth Management; settling June 30; Cusip: 48127X575

MORGAN STANLEY

• Contingent income autocallable securities with step-up redemption threshold level feature due June 8, 2018 linked to CBS Corp. class B common stock; via Morgan Stanley & Co. LLC; pricing June 5; Cusip: 61765G242

• Contingent income autocallable securities due June 8, 2018 linked to Netflix, Inc. common stock; via Morgan Stanley & Co. LLC; pricing June 5; Cusip: 61765G259

• Contingent income autocallable securities due June 17, 2020 linked to the S&P GSCI Crude Oil Index Excess Return; via Morgan Stanley & Co. LLC; pricing June 12; Cusip: 61762GDY7

ROYAL BANK OF CANADA

• 0% direct investment notes due July 11, 2016 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing June 3; Cusip: 78012KED5

• Contingent income autocallable securities due June 9, 2016 linked to Las Vegas Sands Corp. shares; 75% trigger; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing June 5; Cusip: 78013D193

• 15-18-month 0% leveraged buffered notes linked to the iShares MSCI Emerging Markets exchange-traded fund; via RBC Capital Markets, LLC; Cusip: 78012KEK9

WELLS FARGO & CO.

• Floating-rate notes due June 10, 2022 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing June 5; Cusip: 94986RXE6

• Fixed-to-floating notes due June 17, 2025 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; pricing June 12; Cusip: 94986RXK2

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