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Published on 7/31/2015 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF MONTREAL

• 0% buffered bullish digital return notes due Feb. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06366RU94

• 0% buffered bullish digital plus notes due Aug. 30, 2019 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06366RV44

• 0% buffered bullish digital plus notes due Aug. 31, 2021 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 26; Cusip: 06366RV36

BARCLAYS BANK PLC

• 0% notes due Aug. 9, 2018 linked to the EquityCompass Share Buyback index; via Barclays; pricing Aug. 4; Cusip: 06741UZX5

• Contingent income autocallable securities due Aug. 10, 2018 linked to the American Depositary Shares of Alibaba Group Holding Ltd.; 80% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 7; Cusip: 06743Q762

• 0% trigger Performance Leveraged Upside Securities due Sept. 3, 2021 linked to the Euro Stoxx 50 index; via Barclays; pricing Aug. 31; Cusip: 06743N280

• 0% Accelerated Return Notes due August 2016 linked to the common stock of Facebook, Inc.; via BofA Merrill Lynch; pricing in August

• 10.5% STEP Income Securities due August 2016 linked to the American Depositary Receipts of Nokia Corp.; via BofA Merrill Lynch; pricing in August

• 19- to 22-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741UB86

• 0% 24- to 27-month capped leveraged buffered notes linked to Euro Stoxx 50 index, FTSE 100 index, Topix index, Swiss Market index and S&P/ASX 200 index; 90% trigger; via Barclays; Cusip: 06741UB60

• 24- to 27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Barclays; Cusip: 06741UA79

• 0% 24- to 27-month capped leveraged buffered notes linked to the S&P 500 index; 90% trigger; via Barclays; Cusip: 06741UB52

CITIGROUP INC.

• Fixed-to-floating notes due Aug. 7, 2025 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing Aug. 4; Cusip: 17298CDA3

• Leveraged callable CMS curve-linked notes due Aug. 19, 2035 linked to the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc. and Morgan Stanley & Co. LLC; pricing Aug. 14; Cusip: 1730T3AU7

CREDIT SUISSE AG

• 0% digital plus barrier notes due Aug. 30, 2021 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 21; Cusip: 22546VJB3

• 0% autocallable securities due Aug. 31, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; priced Aug. 26; Cusip: 22546VHX7

• 0% accelerated barrier notes due Sept. 4, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546VJ49

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

• 0% absolute return barrier securities due Sept. 5, 2019 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22546VJ31

DEUTSCHE BANK AG, LONDON BRANCH

• 10.5% STEP Income Securities due August 2016 linked to the American Depositary Receipts of Nokia Corp.; via BofA Merrill Lynch; pricing in August

• 0% market-linked step-up notes due August 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

• 16-19-month 0% buffered digital notes linked to the S&P 500 index; via J.P. Morgan Securities LLC; Cusip: 25152RK85

GOLDMAN SACHS GROUP, INC.

• 0% notes due Feb. 28, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Aug. 21; Cusip: 38148TBA6

• 0% notes due Aug. 30, 2023 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 38148TB81

• 0% buffered notes due Aug. 28, 2020 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 38148TAX7

0% notes due Aug. 29, 2025 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Aug. 26; Cusip: 38148TB65

• 0% notes due March 2, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Aug. 26; Cusip: 38148TB57

• 0% leveraged notes due March 2, 2023 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing Aug. 27; Cusip: 38148TB73

• Callable step-up fixed-rate notes due August 2022; via Goldman Sachs & Co.; pricing in August; Cusip: 38148TAS8

• Six-year 0% leveraged notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38148T6N4

• 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 MSCI EAFE index; via Goldman Sachs & Co.; Cusip: 38147QZ41

• Five-year 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 38148TAD1

• 0% six-year leveraged notes linked to the Dow Jones industrial average; via Goldman Sachs & Co.; Cusip: 38148TB99

HSBC USA INC.

• 0% barrier Accelerated Market Participation Securities due Feb. 28, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip: 40433B4K1

• 0% barrier enhanced participation notes due Aug. 30, 2021 linked to the Euro Stoxx 50 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip: 40433B4M7

• 0% barrier Accelerated Market Participation Securities due Feb. 28, 2019 linked to the Nikkei 225 index; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip: 40433B4L9

• 0% barrier Accelerated Market Participation Securities due Feb. 28, 2019 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip: 40433B4J4

• 0% barrier Accelerated Market Participation Securities due Feb. 28, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip: 40433B4H8

• 0% barrier Accelerated Market Participation Securities due Feb. 28, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via HSBC Securities (USA) Inc.; pricing Aug. 21; Cusip; 40433B5U8

• 0% leveraged buffered uncapped market participation securities due Aug. 31, 2019 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4U9

• 0% barrier enhanced participation notes due Sept. 3, 2019 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B5A2

• 0% barrier market participation notes due Aug. 31, 2018 linked to the Euro Stoxx 50 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B5D6

• 0% leveraged buffered uncapped market participation securities due March 2, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4Y1

• 0% buffered uncapped market participation securities due Aug. 31, 2018 linked to the PowerShares S&P 500 Low Volatility Portfolio ETF; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4V7

• 0% leveraged buffered uncapped market participation securities due Aug. 31, 2020 linked to the PowerShares S&P 500 Low Volatility Portfolio ETF; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4Z8

• 0% barrier market participation notes due Aug. 31, 2018 linked to the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B5C8

• 0% buffered uncapped market participation securities due Sept. 3, 2019 linked to an equally weighted basket made up of the Russell 2000 index, S&P 500 index and Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B5P9

• 0% barrier market participation notes due Aug. 31, 2018 linked to the S&P 500 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B5B0

• 0% buffered uncapped market participation securities due Aug. 31, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4W5

• 0% buffered uncapped market participation securities due Aug. 31, 2020 linked to the S&P 500 index; via HSBC Securities (USA) Inc.; pricing Aug. 26; Cusip: 40433B4X3

• 0% buffered Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40434E580

• 0% Leveraged Index Return Notes due August 2020 tied to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in August

• 0% Accelerated Return Notes due October 2016 linked to the S&P 500 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and HSBC; pricing in August

JPMORGAN CHASE & CO.

• 0% leveraged buffered notes due Sept. 9, 2016 linked to the ordinary shares of the 23 Spanish companies included in the MSCI Spain 25/50 index; J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 48125UD41

• Autocallable contingent interest notes due Aug. 9, 2016 linked to the lesser performing of the Market Vectors Gold Miners exchange-traded fund; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 4; Cusip: 48125UC83

• Callable step-up fixed-rate notes due Aug. 19, 2025; via J.P. Morgan Securities LLC; pricing Aug. 14; Cusip: 48125UUH3

• Callable step-up fixed-rate notes due Aug. 19, 2020; via J.P. Morgan Securities LLC; pricing Aug. 14; Cusip:48125UUG5
• 0% review notes due Aug. 26, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 21; Cusip: 48125UE81
• 0% Performance Leveraged Upside Securities due Dec. 5, 2016 linked to the Topix index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 48127V728
• 0% Trigger Performance Leveraged Upside Securities due Sept. 6, 2018 linked to a basket containing the S&P 500 index, Euro Stoxx 50 index and Topix index; via J.P. Morgan Securities LLC: pricing Aug. 31; Cusip: 48127V710
MORGAN STANLEY
• Contingent income autocallable securities due Aug. 21, 2017 linked to the S&P GSCI Crude Oil Index Excess Return; 75% trigger; via Morgan Stanley & Co. LLC; pricing Aug. 14; Cusip: 61762GEH3
ROYAL BANK OF CANADA
• 0% direct investment notes due Sept. 9, 2016 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Aug. 5; Cusip: 78012KFQ5
• 0% Performance Leveraged Upside Securities due Dec. 5, 2016 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC: pricing Aug. 31; Cusip: 78013D516
UBS AG, LONDON BRANCH
• Contingent income autocallable securities due Aug. 10, 2018 linked to Dow Chemical Co.; via UBS Securities LLC; pricing Aug. 7; Cusip: 90275C615
AB SVENSK EXPORTKREDIT
• 0% Accelerated Return Notes due October 2016 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in August

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