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Published on 8/18/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA

• Fixed-to-floating notes due Aug. 25, 2029 linked to the 10-year U.S. dollar ICE Swap rate; via BofA Merrill Lynch; settling Aug. 25; Cusip: 06048WUR9

• Step-up callable notes due Aug. 28, 2027 with 3% initial rate; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 06048WUQ1

• Step-up callable notes due Aug. 28, 2032 with 3% initial rate; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 06048WUP3

BANK OF MONTREAL

• 0% bullish enhanced return notes due Sept. 28, 2018 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB82

• 0% notes due Aug. 28, 2024 linked to the Euro Stoxx 50 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA59

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB33

• 0% buffered bullish enhanced return notes due Sept. 28, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB58

• 0% buffered bullish enhanced return notes due Sept. 28, 2018 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB66

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB90

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TC24

• 0% bullish digital return notes with barrier due Sept. 28, 2018 linked to the S&P 500 index; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TB25

• 10.26% autocallable cash-settled notes with fixed interest payments due Sept. 28, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA83

• 10.38% autocallable cash-settled notes with fixed interest payments due Sept. 28, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 75% trigger; via BMO Capital Markets Corp.; pricing Aug. 23; Cusip: 06367TA91

• Notes due July 16, 2018 linked to a basket of 22 limited duration closed-end funds selected in May by Raymond James & Associates, Inc.; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA42

• Notes due Sept. 7, 2018 linked to a basket of 22 limited duration closed-end funds selected in May by Raymond James & Associates, Inc.; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA34

• Autocallable cash-settled notes with conditional interest payments due Aug. 31, 2021 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the VanEck Vectors Gold Miners ETF; 60% trigger; via BMO Capital Markets Corp.; pricing Aug. 25; Cusip: 06367TA26

BARCLAYS BANK PLC

• Trigger callable contingent yield notes with daily coupon observation due Aug. 28, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and Barclays; pricing Aug. 21; Cusip: 06746L331

• Step-up fixed-rate callable notes due Aug. 25, 2020; via Barclays; settling Aug. 25; Cusip: 06744CFU0

• Step-up fixed-rate callable notes due Aug. 25, 2042; via Barclays; settling Aug. 25; Cusip: 06744CGP0

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the Dow Jones industrial average; via Barclays; pricing Aug. 28; Cusip: 06744CDR9

• Contingent coupon callable notes due Aug. 31, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Barclays; pricing Aug. 28; Cusip: 06744CEA5

• Phoenix autocallable notes due Aug. 31, 2020 linked to the common stocks of Home Depot, Inc., American Express Co. and Nvidia Corp.; 50% trigger; via Barclays; pricing Aug. 28; Cusip: 06744CDM0

• 0% buffered digital plus notes due Aug. 31, 2022 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06744CDS7

• 4.16% buffered notes due Aug. 31, 2022 linked to the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06744CEZ0

• Callable contingent coupon notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Aug. 28; Cusip: 06744CGJ4

• Callable contingent coupon notes due Aug. 31, 2027 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Aug. 28; Cusip: 06744CEM9

• 0% buffered SuperTrack notes due Aug. 31, 2022 linked to the S&P 500 index; via Barclays; pricing Aug. 28; Cusip: 06744CDN8

• Callable contingent coupon notes due Aug. 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing Aug. 28; Cusip: 06744CDX6

• Callable contingent coupon notes due Aug. 31, 2027 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Aug. 28; Cusip: 06744CER8

• Phoenix autocallable notes due Nov. 30, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production ETF; 70% trigger; via Barclays; pricing Aug. 28; Cusip: 06744CDT5

• 0% trigger Performance Leveraged Upside Securities due Sept. 3, 2021 linked to the Euro Stoxx 50 index; 75% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06746L612

• Contingent income callable securities due Sept. 5, 2024 linked to the Euro Stoxx 50 index; 75% trigger; via Barclays with Morgan Stanley Wealth Management; pricing Aug. 31; Cusip: 06744CGG0

• SuperTrack notes due Sept. 6, 2022 linked to the lesser-performing index of the Russell 2000 index and the Dow Jones industrial average; via Barclays; pricing Aug. 31; Cusip: 06744CEE7

• 0% dual directional notes due March 4, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing Aug. 31; Cusip: 06744CEG2

• Market-linked step-up notes due August 2020 linked to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in August

• Autocallable market-linked step-up notes due August 2020 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in August

BOFA FINANCE LLC

• Contingent income autocallable securities due Sept. 1, 2027 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 50% trigger; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 09709TAX9

• Contingent income autocallable securities due Sept. 1, 2027 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 60% trigger; via BofA Merrill Lynch; pricing Aug. 28; Cusip: 09709TAW1

• 0% Accelerated Return Notes due October 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in August

CANADIAN IMPERIAL BANK OF COMMERCE

• Contingent coupon autocallable notes due Aug. 31, 2020 linked to the VanEck Vectors Gold Miners ETF; 75% trigger; via Janney Montgomery Scott; pricing Aug. 28; Cusip: 13605WEY3

• 0% Accelerated Return Notes due August 2018 linked to the common stock of Apple Inc.; via BofA Merrill Lynch; pricing in August

• 6.5% STEP Income Securities due August 2018 linked to Microsoft Corp. common shares; via BofA Merrill Lynch; pricing in August

• 25- to 28-month 0% capped leveraged buffered notes linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WFB2

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Fixed-to-floating notes due Aug. 25, 2029 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing Aug. 22; Cusip: 17324CLU8

• Callable step-up coupon notes due Aug. 25, 2037; via Citigroup Global Markets Inc.; pricing Aug. 23; Cusip: 17290JEA5

• Autocallable contingent coupon equity linked securities due Aug. 29, 2018 linked to American Airlines Group Inc. stock; 80% trigger; via Citigroup Global Markets Holdings Inc.; pricing Aug. 24; Cusip: 17324XCX6

• Autocallable contingent coupon equity linked securities due Aug. 29, 2018 linked to the common stocks of Bank of America Corp. and Wells Fargo & Co.; via Citigroup Global Markets Inc.; pricing Aug. 24; Cusip: 17324CLD6

• 0% buffer securities due August 2020 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 25; Cusip: 17324CLP9

• 0% enhanced buffered digital securities due Sept. 2, 2020 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip: 17324CLK0

• 0% enhanced barrier digital plus securities due Sept. 2, 2022 linked to the SPDR Dow Jones industrial average ETF trust; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip: 17324XCW8

• 0% dual directional barrier securities due March 1, 2021 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing Aug. 28; Cusip 17324XCV0

• Autocallable contingent coupon equity linked securities due Sept. 4, 2018 linked to the common stock of Apple Inc. and the class A common stock of Facebook, Inc.; via Citigroup Global Markets Inc.; 80% trigger; via Citigroup Global Markets Holdings Inc.; pricing Aug. 29; Cusip: 17324CLE4

• Market-linked notes due Sept. 1, 2022 linked to S&P 500 index, the Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF, the iShares iBoxx $ High Yield Corporate Bond ETF and the iShares Core U.S. Aggregate Bond ETF; via Citigroup Global Markets Inc. with Morgan Stanley Wealth Management; pricing Aug. 29; Cusip: 17324CLG9

• 0.5% market-linked notes due March 3, 2023 linked to a basket consisting of the S&P 500 index, the Euro Stoxx 50 index and the iShares iBoxx $ High Yield Corporate Bond exchange-traded fund; via Citigroup Global Markets Inc.; pricing Aug. 29; Cusip: 17324CLB0

• VelocityShares Long Libor exchange-traded notes due 2032 linked to the Janus Velocity Long Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K743

• VelocityShares Short Libor exchange-traded notes due 2032 linked to the Janus Velocity Short Libor index; via Citigroup Global Markets Inc.; Cusip: 17325K529

• 0% buffered index-linked notes linked to the MSCI EAFE index; via Citigroup Global Markets Inc.; Cusip 17324CL38

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable reverse convertible securities due Nov. 26, 2018 linked to the American Depositary Shares of Anheuser-Busch InBev SA/NV stock; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 22; Cusip: 22549JJU5

• 5.75% contingent coupon autocallable reverse convertible securities due Nov. 26, 2018 linked to the common stock of Intel Corp.; via Credit Suisse Securities (USA) LLC; pricing Aug. 22; Cusip: 22549JJV3

• Contingent coupon autocallable yield notes due Nov. 30, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDV2

• Callable daily range accrual securities due Feb. 28, 2025 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BEY5

• 0% digital buffered notes due March 3, 2021 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDU4

• 0% Buffered Accelerated Return Equity Securities due Oct. 3, 2018 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDS9

• Contingent coupon callable yield notes due Aug. 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDX8

• 0% absolute return digital barrier securities due Sept. 1, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BBW0

• Contingent coupon autocallable yield notes due Aug. 31, 2018 linked to the SPDR S&P Biotech ETF; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BEK5

• Contingent coupon autocallable yield notes due Feb. 28, 2020 linked to the lesser performing of SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 28; Cusip: 22550BDT7

• 0% absolute return barrier securities due Sept. 3, 2021 linked to the lesser performing of the Dow Jones industrial average and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE82

• 8%-10% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE25

• 7%-9% contingent coupon autocallable yield notes due Dec. 6, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BDZ3

• 0% absolute return digital barrier securities due Sept. 6, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE90

• Contingent coupon autocallable yield notes due March 6, 2020 linked to the lesser performing of SPDR S&P Oil & Gas Exploration & Production ETF and the SPDR S&P Biotech ETF; 50% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE66

• Contingent coupon callable yield notes due Sept. 8, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Biotech ETF; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing Aug. 31; Cusip: 22550BE74

• Autocallable market-linked step-up notes due August 2020 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

GOLDMAN SCHS BANK USA

• 0% certificates of deposit due Feb. 28, 2025 linked to the Dow Jones industrial average; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXA7

• 0% certificates of deposit due Aug. 29, 2024 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DX90

• 0% certificates of deposit due Aug. 30, 2022 linked to the Russell 2000 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXG4

• 0% certificates of deposit due Aug. 29, 2024 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXH2

• 0% certificates of deposit due Feb. 28, 2025 linked to the S&P 500 index; via Goldman Sachs & Co. and Incapital LLC; pricing Aug. 25; Cusip: 38148DXB5

GS FINANCE CORP.

• 0% autocallable notes due Aug. 29, 2022 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 21; Cusip: 40054LPD0

• 0% autocallable notes due Sept. 13, 2022 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LMA9

• Callable contingent coupon notes due Aug. 30, 2022 linked to the Russell 2000 index and the S&P 500 index; 55% trigger; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LM68

• Autocallable contingent coupon notes due May 31, 2019 linked to the Russell 2000 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing Aug. 25; Cusip: 40054LM76

• Autocallable contingent coupon notes due Sept. 4, 2020 linked to the common stocks of Deere & Co. and Caterpillar Inc.; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LPL2

• 0% autocallable notes due Sept. 6, 2022 linked to the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNF7

• 0% notes due June 2, 2023 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN26

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN42

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN34

• 0% autocallable notes due Sept. 12, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN59

• 0% autocallable notes due Sept. 14, 2027 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LN67

• 0% notes due Sept. 3, 2024 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNK6

• 0% autocallable notes due Sept. 14, 2027 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMT8

• 4.35% callable fixed-coupon notes due Aug. 31, 2022 tied to the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNC4

• Autocallable contingent coupon notes due Sept. 5, 2019 linked to the Russell 2000 index and the S&P 500 index; 75% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNA8

• 0% notes due Sept. 1, 2022 linked to the Russell 2000 index and the S&P 500 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNS9

• Callable CMS spread range accrual notes due Aug. 31, 2027 linked to the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LPK4

• 0% leveraged buffered notes due Aug. 30, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMH4

• 0% buffered notes due Sept. 1, 2022 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LMG6

• Autocallable contingent coupon notes due Aug. 29, 2022 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNU4

• 0% notes due Sept. 1, 2022 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNT7

• Callable contingent coupon notes due Aug. 31, 2032 linked to the S&P 500 index and the Russell 2000 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LPH1

• Callable contingent coupon notes due Aug. 31, 2019 linked to the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production ETF; 65% trigger; via Goldman Sachs & Co.; pricing Aug. 28; Cusip: 40054LNR1

• Callable contingent coupon notes due Aug. 31, 2022 linked to the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LND2

• Callable buffered monthly range accrual notes due Feb. 28, 2025 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNP5

• Callable monthly range accrual notes Aug. 31, 2027 linked to the Russell 2000 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNH3

• Callable monthly range accrual notes Aug. 31, 2027 linked to the Russell 2000 index; 75% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LMP6

• Callable CMS spread range accrual notes due Aug. 31, 2032 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co. LLC; pricing Aug. 29; Cusip: 40054LNY6

• Callable monthly range accrual notes Aug. 31, 2032 linked to the Russell 2000 index and the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNJ9

• Callable monthly range accrual notes Aug. 31, 2032 linked to the S&P 500 index; 50% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNG5

• Callable contingent coupon notes due Aug. 31, 2027 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Goldman Sachs & Co.; pricing Aug. 29; Cusip: 40054LNE0

• 0% leveraged buffered index-linked notes due Sept. 6, 2022 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing Aug. 31; Cusip: 40054LP40

• Callable step-up fixed-rate notes due August 2025; via Goldman, Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38150A4C6

• Callable step-up fixed-rate notes due August 2032; via Goldman, Sachs & Co. and Incapital LLC; pricing in August; Cusip: 38150A4D4

• 36- to 39-month 0% autocallable buffered notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.

• 24- to 27-month 0% leveraged buffered notes liked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Goldman Sachs & Co.

HSBC BANK USA, NA

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMR5

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMS3

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMT1

• Income Plus certificates of deposit due Aug. 30, 2022 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMU8

• Autocallable target income certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNM5

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YMV6

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMW4

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMX2

• Income Plus certificates of deposit due Aug. 30, 2024 linked to the common stocks of AT&T Inc., Cisco Systems, Inc., Deere & Co., Pfizer Inc. and Philip Morris International Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; 40434YMY0

• 0% growth opportunity averaging certificates of deposit due Aug. 30, 2024 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YND5

• 0% certificates of deposit due Aug. 30, 2024 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNK9

• 0% accumulated return certificates of deposit due Aug. 30, 2022 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Incapital LLC; pricing Aug. 25; Cusip: 40434YNC7

HSBC USA INC.

• Callable barrier notes with contingent return due Aug. 25, 2027 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 22; Cusip: 40435FEL7

• Income plus notes due Aug. 29, 2024 linked to the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly and Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc.; pricing Aug. 24; Cusip: 40435FDC8

• Callable barrier notes with contingent return due Aug. 30, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 25; Cusip: 40435FEH6

• 0% barrier enhanced participation notes due Aug. 31, 2022 linked to the least performing of the Dow Jones industrial average and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FDX2

• 0% barrier enhanced participation notes due March 1, 2021 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FED5

• 0% trigger absolute return step securities due Aug. 31, 2022 linked to the iShares MSCI EAFE ETF; 75% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 36253M539

• 4.52% buffered notes due Sept. 3, 2024 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FDW4

• 0% trigger absolute return step securities due Aug. 31, 2022 linked to the S&P 500 index; 70% trigger; via UBS Financial Services Inc. and HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435G741

• 0% trigger gears due Aug. 31, 2027 linked to the S&P 500 index; 50% trigger; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Aug. 28; Cusip: 40435G691

• 5% autocallable yield notes due March 6, 2019 linked to the least performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FDV6

• Autocallable barrier notes with contingent return due Aug. 31, 2027 linked to the least performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 28; Cusip: 40435FEA1

• 0% barrier enhanced participation notes due Sept. 6, 2022 linked to the least performing of the Dow Jones industrial average and the Russell 2000 index; 50% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40435FDY0

• 6.25% autocallable yield notes due Dec. 6, 2018 linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40435FDS3

• 5.5% autocallable yield notes due Dec. 6, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via HSBC Securities (USA) Inc.; pricing Aug. 31; Cusip: 40435FDT1

• Autocallable market-linked step-up notes due August 2020 linked to the Nikkei Stock Average index; via BofA Merrill Lynch; pricing in August

JEFFERIES GROUP LLC

• Step-up callable notes due Feb. 28, 2026; via Jefferies LLC; settling Aug. 31; Cusip: 47233JAW8

JPMORGAN CHASE FINANCIAL CO. LLC

• Callable contingent interest notes due Aug. 30, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production ETF; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 21; Cusip: 46647MM67

• 6% autocallable yield notes due Nov. 28, 2018 linked to the least performing of the PowerShares QQQ Trust, Series 1, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 46647MZA4

• Autocallable contingent interest notes due Aug. 26, 2021 linked to the least performing of the Russell 2000 index, the iShares MSCI EAFE exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 22; Cusip: 46647MK28

• 0% contingent buffered digital notes due Oct. 26, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 23; Cusip: 46647MP98

• Capped buffered return enhanced notes due Aug. 29, 2019 linked to S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE ETF; via J.P. Morgan Securities LLC; pricing Aug. 25; Cusip: 46647MK69

• Autocallable contingent interest notes due Sept. 2, 2020 linked to the least performing of the common shares of AT&T Inc., Verizon Communications Inc. and Sprint Corp.; 45% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647ML27

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMY6

• 0% uncapped buffered return enhanced notes due Sept. 1, 2022 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MK44

• 0% autocallable notes due Sept. 2, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MG31

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMT7

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMV2.

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMW0

• Autocallable contingent interest notes due Sept. 2, 2020 linked to the least performing of the common shares of MetLife, Inc. and Morgan Stanley; 65% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MM59

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMX8

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMU4

• Contingent interest notes due Aug. 31, 2021 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MML4

• Uncapped contingent buffered return enhanced notes due Sept. 1, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2L6

• Autocallable contingent interest notes due Aug. 30, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MZS5

• Autocallable contingent interest notes due Aug. 30, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MG56

• Callable contingent interest accrual notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMN0

• Uncapped contingent buffered return enhanced notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2M4

• Step-up autocallable contingent buffered return enhanced notes due Sept. 3, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MH22

• Autocallable contingent interest notes due Feb. 28, 2025 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMM2

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2T9

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2U6

• Autocallable contingent interest notes due March 5, 2019 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2X0

• Autocallable contingent interest notes due Dec. 3, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2W2

• Autocallable contingent interest notes due Sept. 2, 2021 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M2Z5

• Autocallable contingent interest notes due Sept. 2, 2027 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647M3A9

• 0% capped buffered return enhanced notes due Aug. 30, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647MMS9

• 0% capped buffered return enhanced notes due Feb. 28, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 28; Cusip: 46647ME66

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD67

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME58

• Digital notes due Oct. 5, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MF81

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD42

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME33

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME41

•0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD59

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD34

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647ME25

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2N2

• Autocallable contingent interest notes due Dec. 6, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2Q5

• Uncapped contingent buffered return enhanced notes due Sept. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2K8

• Uncapped contingent buffered equity notes due Sept. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2C6

• Uncapped contingent buffered equity notes due Sept. 3, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 70% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2B8

• Uncapped contingent buffered return enhanced notes due Sept. 3, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2H5

• Uncapped contingent buffered return enhanced notes due Sept. 3, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2F9

• Autocallable contingent interest notes due Sept. 6, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2S1

• Autocallable contingent interest notes due Sept. 6, 2018 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2P7

• Autocallable contingent interest notes due Sept. 3, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647M2R3

• 0% Performance Leveraged Upside Securities due Dec. 5, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 48129J848

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD26

• 0% uncapped buffered return enhanced notes due Sept. 3, 2022 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 Aug. 31; Cusip: 46647M2D4

• 0% capped buffered return enhanced notes due Sept. 5, 2019 linked to the Topix index; via J.P. Morgan Securities LLC; pricing Aug. 31; Cusip: 46647MD75

MORGAN STANLEY FINANCE LLC

• 0% enhanced trigger jump securities due Oct. 26, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Aug. 22; Cusip: 61768CPA9

• 0% buffered Performance Leveraged Upside Securities due Aug. 31, 2022 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNJ2

• 0% capped buffered gears due Aug. 30, 2024 linked to the S&P 500 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Aug. 28; Cusip: 61766X574

• Callable buffered range accrual notes due Feb. 28, 2025 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNP8

• 0% trigger Performance Leveraged Upside Securities due Aug. 31, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNK9

• 0% trigger Performance Leveraged Upside Securities due March 5, 2026 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 50% trigger; via Morgan Stanley & Co. LLC; pricing Aug. 28; Cusip: 61768CNR4

• 0% trigger jump securities due Sept. 5, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing Aug. 31; Cusip: 61766X608

• 0% buffered Performance Leveraged Upside Securities due August 2020 linked to a basket consisting of the Euro Stoxx 50 and MSCI EAFE indexes; via Morgan Stanley & Co. LLC; pricing in August; Cusip: 61768CPF8

ROYAL BANK OF CANADA

• Contingent coupon autocallable notes due Aug. 28, 2020 linked to the VanEck Vectors Gold Miners ETF; 70% trigger; via RBC Capital Markets, LLC; pricing Aug. 25; Cusip: 78012K4T1

• Callable contingent coupon barrier notes due Sept. 3, 2019 linked to the common stock of Microsoft Corp.; 75% trigger; via RBC Capital Markets, LLC; pricing Aug. 28; Cusip: 78012K4K0

• 0% barrier booster notes due Sept. 1, 2022 linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing Aug. 29; Cusip: 78012K3Z8

• 0% 24- to 27-month digital notes linked to the SPDR S&P Regional Banking exchange-traded fund; via RBC Capital Markets, LLC; Cusip: 78012K4H7

AB SVENSK EXPORTKREDIT

• 0% Accelerated Return Notes due October 2018 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in August

WELLS FARGO & CO.

• Step-up callable notes due Aug. 31, 2032 with 3.2% initial rate; via Wells Fargo Securities, LLC; pricing Aug. 28; Cusip: 95000N2R9

• Fixed-to-floating notes due Aug. 31, 2029 linked to the 10-year Constant Maturity Swap rate; via Wells Fargo Securities, LLC; settling Aug. 28; Cusip: 95000N2V0

• Floating-rate notes due Aug. 31, 2023 with optional fixed-rate conversion right; via Wells Fargo Securities, LLC; settling Aug. 28; Cusip: 95000N2U2

• Market-linked securities due Aug. 31, 2027 – autocallable with contingent coupon and contingent downside linked to the least performing of the Russell 2000 index and the Euro Stoxx 50 index; 50% trigger; via Wells Fargo Securities LLC; pricing Aug. 28; Cusip: 95000E2H1


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