Structured Products Calendar

BANK OF MONTREAL

• Autocallable barrier notes with a contingent coupon due Feb. 26, 2021 linked to the Invesco S&P 500 High Beta ETF; via BMO Capital Markets Corp.; pricing Jan. 28; Cusip: 06367WTU7

BANK OF NOVA SCOTIA

• 0% market-linked autocallable securities with fixed percentage buffered downside due Feb. 6, 2023 linked to the VanEck Vectors Gold Miners exchange-traded fund; via Scotia Capital Inc. (USA) as agent and Wells Fargo Securities, LLC as dealer; pricing Jan. 31; Cusip: 064159SK3

• 0% capped buffered enhanced participation notes due in 27 to 30 months linked to the S&P 500 index; via Scotia Capital (USA) Inc.; Cusip: 064159SJ6

BARCLAYS BANK PLC

• 3.5% buffered fixed-coupon notes due July 26, 2023 linked to the Russell 2000 index; via Barclays; pricing Jan. 28; Cusip: 06747NX41

• 0% autocallable market-linked step-up notes due January 2025 linked to the Russell 2000 index; via BofA Securities, Inc.; pricing in January

BOFA FINANCE LLC

• Callable capped notes due Jan. 30, 2035 linked to the difference between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate; via BofA Securities, Inc.; pricing Jan. 28; Cusip: 09709THJ3

• Contingent income autocallable yield notes due Feb. 3, 2025 linked to the worst performing of the Utilities Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Consumer Discretionary Select Sector SPDR fund; via BofA Securities, Inc.; pricing Jan. 29; Cusip: 09709TZE4

• 0% Bear Strategic Accelerated Redemption Securities due January 2021 linked to the S&P 500 index; via BofA Securities, Inc.; pricing in January

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Callable fixed-to-float CMS spread range accrual securities due Jan. 31, 2035 linked to the Dow Jones industrial average and the Euro Stoxx Banks index; via Citigroup Global Markets Inc.; pricing Jan. 28; Cusip: 17327TY83

• 0% buffer securities due Feb. 2, 2023 linked to the MSCI USA Women’s Leadership index; via Citigroup Global Markets Inc.; pricing Jan. 28; Cusip: 17327TC20

• Autocallable contingent coupon equity-linked securities due Aug. 2, 2021 linked to the worst performing of the Nasdaq-100 index and the S&P 500 index; via Citigroup Global Markets Inc.; pricing Jan. 28; Cusip: 17327T7E0

• Autocallable contingent coupon equity-linked securities due Feb. 1, 2023 linked to the least performing of the common stocks of Las Vegas Sands Corp., Netflix, Inc., Nvidia Corp. and Southwest Airlines Co.; via Citigroup Global Markets Inc.; pricing Jan. 29; Cusip: 17324XWP1

• 0% enhanced barrier digital plus securities due Feb. 3, 2025 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing Jan. 29; Cusip: 17324XVK3

• 0% market-linked notes due Feb. 3, 2023 linked to the least performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing Jan. 31; Cusip: 17327T3P9

• 0% market-linked notes due June 2, 2023 linked to the Citi Radar 5 Excess Return index; via Citigroup Global Markets Inc.; pricing Feb. 28; Cusip: 17327T3N4

CREDIT SUISSE AG, LONDON BRANCH

• Contingent coupon autocallable yield notes due July 29, 2022 linked to the worst performing of the common stocks of Amazon.com, Inc., Walt Disney Co. and Netflix, Inc.; via Credit Suisse Securities (USA) LLC; pricing Jan. 28; Cusip: 22551NF68

• Contingent coupon autocallable reverse convertible securities due May 3, 2021 linked to the common shares of Walt Disney Co.; via Credit Suisse Securities (USA) LLC; pricing Jan. 29; Cusip: 22549J5K2

• 0% buffered accelerated return equity securities due May 5, 2021 linked to an unequally weighted basket of the iShares MSCI Emerging Markets ETF with a 20% weight, the S&P 500 index with a 60% and the Russell 2000 index with a 20% weight; via Credit Suisse Securities (USA) LLC; pricing Jan. 30; Cusip: 22551NK39

• Autocallable market-linked step-up notes due January 2023 linked to the S&P 500 index; via BofA Securities, Inc.; pricing in January

GS FINANCE CORP.

• 0% capped trigger in-step securities due July 29, 2022 linked to the S&P 500 index; via UBS Financial Services Inc. and Goldman Sachs & Co. LLC; pricing Jan. 28; Cusip: 36259E820

• Callable buffered monthly range accrual notes due July 31, 2027 linked to the Dow Jones industrial average; via Goldman Sachs & Co.; pricing Jan. 29; Cusip: 40056Y6G4

• 0% capped gears due April 1, 2021 linked to the MSCI Emerging Markets index; via Goldman Sachs & Co. LLC as underwriter with UBS Financial Services Inc. as selling agent; pricing Jan. 29; Cusip: 36259H286

• 0% leveraged buffered notes due in 26 to 29 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 Goldman Sachs & Co. LLC; Cusip: 40056YBF0

• 0% autocallable buffered index-linked notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip: 40056YB29

HSBC USA INC.

• 0% buffered Accelerated Market Participation Securities due Aug. 1, 2022 tied to the NYSE FANG+ index; via HSBC Securities (USA) Inc.; pricing Jan. 28; Cusip: 40435UX90

• 0% dual directional barrier notes due Feb. 6, 2023 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing Jan. 31; Cusip: 40435UY65

• Autocallable yield notes due May 5, 2021 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Jan. 31; Cusip: 40435U2E3

• 0% Performance Leveraged Upside Securities due May 5, 2021 linked to the Topix index; via HSBC Securities (USA) Inc. as agent with Morgan Stanley Wealth Management handling distribution; pricing Jan. 31; Cusip: 40438B210

• 0% autocallable barrier notes with step-up premium and step-down call threshold due Jan. 31, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing Jan. 28; Cusip: 40435U2G8

JPMORGAN CHASE FINANCIAL CO. LLC

• Callable range accrual securities due Jan. 31, 2035 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate, the S&P 500 index and the Euro Stoxx Banks index; via J.P. Morgan Securities LLC; pricing Jan. 28; Cusip: 48130UTE5

• 0% uncapped contingent buffered return enhanced notes due Jan. 31, 2025 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC; pricing Jan. 28; Cusip: 48132HQW5

• 0% bearish barrier early redeemable market-linked notes with daily barrier observation and no conditional return linked to the S&P 500 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Jan. 28; Cuisp: 48132HSE3

• Step-up autocallable buffered equity notes due Jan. 29, 2027 to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 28; Cusip: 48132HPV8

• 0% uncapped contingent buffered return enhanced notes due Jan. 31, 2023 linked to the Euro Stoxx Banks index; via J.P. Morgan Securities LLC; pricing Jan. 28; Cusip: 48132HLJ9

• 0% uncapped dual directional buffered equity notes due Jan. 31, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Jan. 28; Cusip: 48132HMW9

• 10.55% autocallable yield notes due May 4, 2021 linked to the worst performing of the common stock of Mylan NV; via J.P. Morgan Securities LLC; pricing Jan. 29; Cusip: 48132HUN0

• 0% uncapped dual directional contingent buffered return enhanced notes due Feb. 5, 2025 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48132HB76

• 0% bearish autocallable knock-out notes due July 30, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing Jan. 31; Cusip: 48132HPF3

MORGAN STANLEY FINANCE LLC

• 0% Performance Leveraged Upside Securities due May 5, 2021 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing Jan. 31; Cusip: 61770E844

• 16- to 19-month 0% digital notes linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; Cusip: 61769HZW8

• 19- to 22-month 0% buffered digital notes linked to the MSCI EAFE index; via Morgan Stanley & Co. LLC; Cusip: 61769HC78

ROYAL BANK OF CANADA

• Autocallable contingent coupon barrier notes due Feb. 2, 2023 linked to the least performing of the common stocks of Lennar Corp., Lockheed Martin Corp. and AT&T Inc.; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78015KNW0

• 0% barrier enhanced return notes due Jan. 31, 2025 linked to the lesser performing of the iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78015KLS1

• 0% barrier booster notes due Jan. 31, 2025 linked to the FTSE 100 index; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78015KLJ1

• 0% rules-based investment securities due Jan. 31, 2025 linked to the RBC Global Tactical Equity Total Return index; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78013GUA1

• 0% rules-based investment securities due Jan. 31, 2025 linked to the RBC Large Cap US Tactical Equity Total Return index; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78013GUB9

• 0% buffer absolute enhanced return notes due Nov. 2, 2023 linked to the worse performing of the S&P 500 index and the Dow Jones industrial average; via RBC Capital Markets, LLC; pricing Jan. 28; Cusip: 78015KPW8

• 2.2% redeemable fixed-rate notes due Jan. 31, 2025; via RBC Capital Markets, LLC; pricing Jan. 29; Cusip: 78014RBY5

• 0% market-linked step-up notes due January 2022 linked to the Stoxx Global Select Dividend 100 index; via BofA Securities, Inc.; pricing in January

• 0% digital index-linked notes in 25 to 28 months linked to the Euro Stoxx 50 index; via RBC Capital Markets, LLC; Cusip: 78015KNS9

TORONTO-DOMINION BANK

• 24- to 27-month 0% leveraged capped buffered notes linked to the S&P 500 index; via TD Securities (USA) LLC; Cusip: 89114R2B1

• 20- to 23-month 0% leveraged capped buffered notes linked to the S&P 500 index; via TD Securities (USA) LLC; Cusip: 89114R2G0

• 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

• Trigger autocallable contingent yield notes due Feb. 2, 2023 linked to the common stocks of Delta Air Lines, Inc., Home Depot, Inc., Intel Corp. and Microsoft Corp.; via UBS Securities LLC and UBS Investment Bank; pricing Jan. 28; Cusip: 90270K2F5

• 0% capped buffer gears due Jan. 31, 2022 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 28; Cusip: 90281G139

• 0% trigger autocallable notes due Feb. 3, 2025 linked to the lesser performing of the iShares MSCI Emerging Markets ETF and the FTSE 100 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 29; Cusip: 90270K3G2

• Trigger autocallable contingent yield notes due Feb. 2, 2023 linked to the lesser performing of the iShares Russell 2000 ETF and the Technology Select Sector SPDR fund; via UBS Financial Services Inc. and UBS Investment Bank; pricing Jan. 29; Cusip: 90281G386

WELLS FARGO FINANCE LLC

• Market-linked securities due Feb. 6, 2030 – autocallable with contingent coupon and contingent downside linked to the least performing of the Euro Stoxx 50 index and the Russell 2000 index; via Wells Fargo Securities LLC; pricing Jan. 28; Cusip: 95001HDX6

• Step-up callable notes due Jan. 30, 2025; via Wells Fargo Securities LLC; pricing Jan. 28; Cusip: 95001D5T3

• 0% market-linked notes with leveraged upside participation to a cap and one-to-one downside exposure due March 31, 2021 linked to a basket of financial sector stocks (Citigroup Inc., Morgan Stanley and JPMorgan Chase & Co.); via Wells Fargo Securities, LLC; pricing Jan. 28; Cusip: 95001HE31

• 0% market-linked securities – leveraged upside participation to a cap and fixed-percentage buffered downside due Feb. 7, 2023 linked to the SPDR S&P 500 ETF Trust; via Wells Fargo Securities, LLC; pricing Jan. 31; Cusip: 95001HDM0

• 0% buffered enhanced return securities with capped upside and buffered downside due in 24 to 27 months linked to the iShares MSCI Emerging Markets ETF; via Wells Fargo Securities, LLC; Cusip: 95001HAL5

• 0% buffered enhanced return securities with capped upside and buffered downside due in 26 to 29 months linked to the S&P 500 index; via Wells Fargo Securities, LLC; Cusip: 95001HAM3

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