Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes with 3.5% initial rate due Feb. 18, 2031; via BofA Merrill Lynch; settling Feb. 18; Cusip: 06048WSE1

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due May 10, 2017 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Feb. 5; Cusip: 06366R7K5

• Redeemable step-up coupon notes due Feb. 18, 2026; via BMO Capital Markets Corp.; pricing Feb. 12; Cusip: 06366R7H2

• Redeemable step-up coupon notes due Feb. 18, 2031; via BMO Capital Markets Corp.; pricing Feb. 12; Cusip: 06366R7J8

BANK OF NOVA SCOTIA

Feb. 25, 2019 linked to the Raymond James CEFR Domestic Equity Total Return index; via Scotia Capital (USA); pricing Feb. 19; Cusip: 064159HF6

BARCLAYS BANK PLC

• 0% notes due Feb. 7, 2019 linked to the EquityCompass Share Buyback index; via Barclays; pricing Feb. 4; Cusip: 06741U2Z6

• Contingent income autocallable securities due Feb. 8, 2019 linked to Home Depot, Inc. shares; via agent Barclays and dealer Morgan Stanley Wealth Management; pricing Feb. 5; Cusip: 06740Q708

• Callable step-up coupon notes due Feb. 16, 2021; via Citigroup Global Markets Inc.; pricing Feb. 10; Cusip: 17298C6M5

• 48- to 51-month 0% capped leveraged notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; Cusip: 06741U2V5

• 18- to 21-month 0% capped leveraged buffered notes linked to a basket of five indexes; via Barclays; Cusip: 06741U3R3

CITIGROUP INC.

• 24- to 27- month 0% buffered notes linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Feb. 3; Cusip: 17298C6R4

• 0% buffered securities due Aug. 9, 2017 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Feb. 4; Cusip: 17298C6N3

• 0% buffer securities due August 2019 linked to the worst performing of the Dow Jones industrial average and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17298C6U7

• 0% enhanced buffered digital securities due Feb. 28, 2019 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Feb. 25; Cusip: 17298C6V5

CREDIT SUISSE AG, LONDON BRANCH

• 0% trigger performance securities due Feb. 7, 2019 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Feb. 2; Cusip: 22548J465

• 6.5% contingent coupon autocallable yield notes due Feb. 6, 2023 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Feb. 2; Cusip: 22546VVX1

• 0% digital plus barrier notes due Feb. 13, 2017 linked to the S&P 500 index; 80% trigger; via Credit Suisse Securities (USA) LLC; settling Feb. 5; Cusip: 22546VV86

• 0% digital plus barrier notes due March 1, 2021 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVE3

• 0% autocallable securities due March 1, 2018 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVR4

• 0% accelerated barrier notes due March 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVF0

• 0% absolute return barrier securities due March 1, 2021 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 24; Cusip: 22546VVG8

• 0% digital plus barrier notes due March 4, 2020 linked to the S&P 500 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVJ2

• 0% accelerated barrier notes due March 3, 2021 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVK9

• 0% absolute return barrier securities due March 4, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Feb. 29; Cusip: 22546VVL7

• 8% to 10% autocallable yield notes due March 3, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse; pricing Feb. 29; Cusip: 22546VVP8

• 14-month accelerated return notes linked to the JPX-Nikkei Index 400; via Credit Suisse International and Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February

DEUTSCHE BANK AG, LONDON BRANCH

• 0% tracker notes due Feb. 23, 2018 linked to S&P 500 Total Return index and one times the return of the Deutsche Bank ProVol Balanced index; via Deutsche Bank Securities Inc.; pricing Feb. 18; Cusip: 25152RV67

• 0% tracker notes due Feb. 23, 2018 linked to S&P 500 Total Return index and one times the return of the Deutsche Bank ProVol Balanced index; via Deutsche Bank Securities Inc.; pricing Feb. 18; Cusip: 25152RV75

• 24- to 27-month 0% capped leveraged buffered notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RZF3

• 24- to 27-month 0% buffered digital notes linked to the S&P 500 index; via Deutsche Bank Securities Inc.; Cusip: 25152RZL0

GOLDMAN SACHS GROUP, INC.

• Fixed-to-floating notes due February 2021; via Goldman Sachs & Co.; settling in February; Cusip: 38148TLK3

• Callable step-up fixed rate notes due February 2021; via Goldman Sachs & Co. and Incapital LLC; pricing in February; Cusip: 38148TLD9

• Callable step-up fixed rate notes due February 2036; via Goldman Sachs & Co. and Incapital LLC; pricing in February; Cusip: 38148TLE7

• 0% leveraged buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 0% 24- to 27-month leveraged notes linked to a basket of the Euro Stoxx 50 index with a 37% initial weight, the FTSE 100 index with a 23% initial weight, the Topix index with a 23% initial weight, the Swiss Market index with a 9% initial weight and the S&P/ASX 200 index with an 8% initial weight; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged notes linked to the Russell 2000 index; via Goldman Sachs & Co.

• 0% 24- to 27-month leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 0% leveraged buffered notes linked to the S&P 500 index; via Goldman Sachs & Co.

• 18- to 21-month 0% leveraged buffered notes linked to the S&P 500 Total Return index; via Goldman Sachs & Co.

• 13- to 15-month 0% leveraged notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.

GS FINANCE CORP.

• 0% notes due March 1, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Feb. 19; Cusip: 40054CBX1

• 60-month 0% trigger notes linked to the Bloomberg Commodity index; 70% trigger; via Goldman Sachs & Co.; Cusip: 40054CAA2

HSBC USA INC.

• 0% trigger performance securities due Feb. 7, 2019 linked to the Euro Stoxx 50 index; via HSBC USA Inc.; pricing Feb. 2; Cusip: 40434N606

• 0% Market Index Target-Term Securities due February 2023 linked to the Dow Jones industrial average; via HSBC USA Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc.; pricing in February

• Autocallable market-linked step-up notes due February 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in February

• Autocallable market-linked step-up notes due February 2021 linked to the Russell 2000 index; via Merrill Lynch, Pierce, Fenner & Smith Inc. and HSBC Securities (USA) Inc.; pricing in February

JPMORGAN CHASE & CO.

• 9% to 11% autocallable reverse exchangeable notes due Feb. 6, 2017 linked to Amazon.com, Inc. shares; 70% trigger; via J.P. Morgan Securities LLC; pricing Feb. 1; Cusip: 46625HPZ7

• Callable contingent interest notes due Aug. 9, 2019 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund; 55% trigger; via J.P. Morgan Securities LLC; pricing Feb. 2; Cusip: 48128GLH1

• 0% digital notes due Feb. 7, 2018 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 2; Cusip: 48128GKS8

• 0% capped dual directional buffered equity notes due Feb. 10, 2021 linked to the Energy Select Sector SPDR fund; via J.P. Morgan Securities LLC; pricing Feb. 5; Cusip: 48128GKQ2

• Callable range accrual notes due Feb. 12, 2021 linked to the 30-year Constant Maturity Swap rate, the two-year CMS rate and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 9; Cusip: 48125U2L5

• 8.5%-10.5% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to Amazon.com, Inc. common stock; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQA1

• 7.5%-9.5% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to Apple Inc. common stock; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQB9

• 0% buffered Performance Leveraged Upside Securities due Feb. 15, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 48128A251

• 8.25%-10.25% autocallable reverse exchangeable notes due Feb. 21, 2017 linked to the class A common stock of Facebook Inc.; via J.P. Morgan Securities LLC; pricing Feb. 12; Cusip: 46625HQC7

• Autocallable contingent interest notes due Feb. 19, 2021 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Feb. 16; Cusip: 48128GKZ2

• 0% review notes due Feb. 24, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; pricing Feb. 19; Cusip: 48128GLE8

• 0% capped dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the Euro Stoxx 50 index; 65% trigger; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMF4

• 0% dual directional contingent buffered return enhanced notes due Feb. 28, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMD9

• 0% dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GME7

• 0% capped dual directional contingent buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMB3

• 0% capped dual directional contingent buffered return enhanced notes due Feb. 26, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Feb. 24; Cusip: 48128GMC1

MORGAN STANLEY

• 0% 24- to 27-month leveraged buffered notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 90% trigger; via Morgan Stanley & Co. LLC; pricing in February; Cusip: 61761JV63

ROYAL BANK OF CANADA

• 0% direct investment notes due March 8, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Feb. 3; Cusip: 78012KKQ9

• 0% bullish barrier enhanced return notes due Aug. 11, 2018 linked to equally weighted basket containing common stocks of BB&T Corp., Popular, Inc., Comerica Inc., Fifth Third Bancorp, JPMorgan Chase & Co., Morgan Stanley, M&T Bank Corp., PNC Financial Services Group, Inc., U.S. Bancorp and Wells Fargo & Co.; via RBC Capital Markets, LLC; pricing Feb. 5; Cusip: 78012KLD7

• 0% bullish barrier enhanced return notes due Aug. 31, 2018 linked to the Euro Stoxx 50 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KKZ9

• 0% bullish barrier enhanced return notes due April 28, 2017 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KKY2

• 0% buffered bullish enhanced return notes due Feb. 26, 2021 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KLB1

• 0% bullish barrier enhanced return notes due Aug. 30, 2019 linked to the S&P 500 index.; via RBC Capital Markets, LLC; pricing Feb. 24; Cusip: 78012KLA3

WELLS FARGO & CO.

• Step-up callable notes with 3% start rate due Feb. 19, 2031; via Wells Fargo Securities LLC; pricing Feb. 16; Cusip: 94986RE80

• Fixed-to-floating notes due Feb. 24, 2028 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities LLC; pricing Feb. 19; Cusip: 94986RE72

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