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Published on 5/16/2017 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF NOVA SCOTIA

• 0% capped buffered enhanced participation notes linked to the MSCI EAFE index; via Scotia Capital (USA) Inc. with Goldman, Sachs & Co. as dealer; Cusip 064159JN7

BANK OF MONTREAL

• 12.2% autocallable cash-settled notes with conditional interest payments due May 29, 2020 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the Vaneck Vectors Gold Miners exchange-traded fund; via BMO Capital Markets Corp.; pricing May 25; Cusip: 06367TWA4

BANK OF THE WEST

• Contingent variable-income market-linked certificates of deposit with a minimum annual interest payment due May 30, 2024 linked to a basket of 10 common stocks; via BNP Paribas Securities Corp.; pricing May 24; Cusip 06426XSN1

• Income advantage market-linked certificates of deposit with a minimum annual interest payment due May 30, 2024 linked to a basket of five common stocks; via BNP Paribas Securities Corp.; pricing May 24; Cusip 06426XSP6

• Income advantage market-linked certificates of deposit with a minimum annual interest payment due May 30, 2024 linked to a basket of five common stocks; via BNP Paribas Securities Corp.; pricing May 24; Cusip 06426XSQ4

• 0% market-linked certificates of deposit due May 30, 2024 linked to the Morningstar Ultimate Stock-Pickers Target Volatility 7 index; via BNP Paribas Securities Corp.; pricing May 24; Cusip 06426XSR2

BARCLAYS BANK PLC

• Contingent income autocallable securities due May 22, 2020 linked to Bank of America Corp. common stock; via Barclays and Morgan Stanley Wealth Management; pricing May 19; Cusip: 06746K887

• 0% notes due May 23, 2024 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 19; Cusip: 06741VU83

• Callable contingent coupon notes due Nov. 23, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Financial Select Sector SPDR fund; 70% trigger; via Barclays; pricing May 19; Cusip: 06741VUT7

• Contingent income callable securities due Aug. 24, 2021 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via Barclays and Morgan Stanley Wealth Management; pricing May 19; Cusip: 06741VVR0

• Contingent income autocallable securities due May 22, 2020 linked to HP Inc. common shares; via Barclays; pricing May 19; Cusip: 06746K705

• Contingent income autocallable securities due May 22, 2020 linked to Netflix, Inc. common shares; via Barclays; pricing May 19; Cusip: 06746K804

• Callable contingent coupon notes due May 22, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing May 19; Cusip: 06741VVG4

• Phoenix autocallable notes due Aug. 22, 2019 linked to the lesser performing of the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund and the SPDR S&P Regional Banking ETF; via Barclays; pricing May 19; Cusip: 06741VV25

• 0% notes due May 30, 2024 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 25; Cusip: 06741VTW2

• 0% buffered SuperTrack notes due May 31, 2022 linked to the Dow Jones industrial average; via Barclays; pricing May 25; Cusip: 06741VTC6

• Callable contingent coupon notes due May 31, 2022 linked to the lesser performing index of the Euro Stoxx 50 index and the Russell 2000 index; via Barclays; pricing May 25; Cusip: 06741VU91

• 0% buffered digital plus notes due May 31, 2022 linked to the Russell 2000 index; via Barclays; pricing May 25; Cusip: 06741VTF9

• Callable range accrual notes due Nov. 29, 2024 linked to the Russell 2000 index; via Barclays; pricing May 25; Cusip: 06741VUE0

• Callable contingent coupon notes due May 29, 2020 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via Barclays; pricing May 25; Cusip: 06741VTG7

• Step-up callable contingent payment notes due May 28, 2027 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via Barclays; pricing May 25; Cusip: 06741VTZ5

• 0% buffered digital notes due May 30, 2019 linked to the S&P 500 index; via Barclays; pricing May 25; Cusip: 06741VT85

• 0% buffered SuperTrack notes due May 31, 2022 linked to the S&P 500 index; via Barclays; pricing May 25; Cusip: 06741VT36

• 0% buffered digital plus notes due May 31, 2022 linked to the S&P 500 index; via Barclays; pricing May 25; Cusip: 06741VTD4

• Phoenix autocallable notes due May 29, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Regional Banking exchange-traded fund; 70% trigger; via Barclays; pricing May 25; Cusip: 06741VTQ5

• Phoenix autocallable notes due May 31, 2024 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Barclays; pricing May 25; Cusip: 06741VU42

• Phoenix autocallable notes due Aug. 31, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 70% trigger; via Barclays; pricing May 25; Cusip: 06741VT93

• Phoenix autocallable notes due May 29, 2020 linked to the lesser performing of the common stocks of United Rentals, Inc., Ford Motor Co, and Gilead Sciences, Inc.; 50% trigger; via Barclays; pricing May 25; Cusip: 06741VU26

• Phoenix autocallable notes due Aug. 31, 2018 linked to the VanEck Vectors Gold Miners exchange-traded fund; 65% trigger; via Barclays; pricing May 25; Cusip: 06741VTA0

• Floored floating-rate notes due May 26, 2020; via Barclays; pricing May 26; Cusip: 06741VVC3

• 0% capped buffer gears due May 31, 2019 linked to the MSCI EAFE index; via Barclays; pricing May 26; Cusip: 06746J211

• 0% SuperTrack notes due Dec. 3, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; 60% trigger; via Barclays; pricing May 30; Cusip: 06741VV41

• 0% SuperTrack notes due Dec. 3, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays; pricing May 30; Cusip: 06741VV33

• 0% notes due June 3, 2022 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 31; Cusip: 06741WCJ7

• Contingent income callable securities due June 3, 2022 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Barclays and Morgan Stanley Wealth Management; pricing May 31; Cusip: 06741VVQ2

• 0% trigger Performance Leveraged Upside Securities due June 3, 2021 linked to the Euro Stoxx 50 index; via Barclays as agent, Morgan Stanley Wealth Management as distributor; pricing May 31; Cusip 06746K200

• 0% SuperTrack notes due June 3, 2022 linked to iShares MSCI EAFE ETF and the iShares MSCI Emerging Markets ETF; 70% trigger; via Barclays; pricing May 31; Cusip: 06741VTN2

• 0% buffered SuperTrack notes due June 5, 2019 linked to the S&P 500 index; via Barclays; pricing May 31; Cusip: 06741VUC4

• Dual directional notes due Dec. 4, 2019 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; 75% trigger; via Barclays; pricing May 31; Cusip: 06741VTM4

• Callable contingent coupon notes due June 3, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing May 31; Cusip: 06741VTL6

• Callable contingent coupon notes due June 4, 2020 linked to the lesser performing of the S&P 500 index and the SPDR S&P Regional Banking exchange-traded fund; 70% trigger; via Barclays; pricing May 31; Cusip: 06741VTR3

• Phoenix autocallable notes due June 5, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Barclays; pricing May 31; Cusip: 06741VTK8

• 0% autocallable market-linked step-up notes due May 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% autocallable market-linked step-up notes due June 2020 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

BMO HARRIS BANK NA

• Annual digital yield generator certificates of deposit due May 31, 2022 linked to a basket of stocks; via BMO Capital Markets Corp. as agent, Incapital LLC as distributor, pricing May 25; Cusip 05581WPE9

BNP PARIBAS

• 0% return enhanced notes due June 1, 2020 linked to the BNP Paribas Multi Asset Diversified 5 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TXA9

• 0% return enhanced notes due May 31, 2024 linked to the BNP Paribas Multi Asset Diversified 5 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TX92

• 0% contingent barrier notes due May 31, 2019 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TXF8

• 0% athena notes due June 1, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TXG6

• 0% leveraged notes due May 31, 2022 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TXH4

• 0% buffered notes due May 31, 2022 linked to the S&P 500 index; via BNP Paribas Securities Corp.; pricing May 25; Cusip 05579TXE1

BOFA FINANCE LLC

• 0% market-linked step up notes due June 2019 linked to the Energy Select Sector index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in May

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% buffered enhanced return notes due May 29, 2020 linked to the Euro Stoxx 50 index; via Janney Montgomery Scott; pricing May 26; Cusip 13605WDE8

• 0% digital notes due in 21 to 24 months linked to the S&P 500 index; via CIBC World Markets; Cusip 13605WDF5

CITIBANK, NA

• Callable step-up coupon notes due May 26, 2024; via Citigroup Global Markets; pricing May 23; Cusip: 17324CJ72

• Callable step-up coupon notes due May 26, 2037; via Citigroup Global Markets; pricing May 23; Cusip: 17290JCN9

• 0% dual directional barrier securities due Nov. 30, 2020 linked to the S&P 500 index; 70% trigger; via Citigroup Global Markets; pricing May 24; Cusip: 17324CJ56

• Autocallable contingent coupon equity linked securities due May 30, 2018 linked to the common stock of T-Mobile US, Inc.; via Citigroup Global Markets; pricing May 24; Cusip: 17324XBX7

• Market-linked certificates of deposit due May 31, 2022 linked to the Citi Dynamic Asset Selector 5 Excess Return index; via Citigroup Global Markets; pricing May 25; Cusip: 17294XAX4

• 1% market-linked certificates of deposit due May 31, 2022 linked to the Citi Dynamic Asset Selector 5 Excess Return index; via Citigroup Global Markets; pricing May 25; Cusip: 17294XAZ9

• Market-linked certificates of deposit due May 31, 2024 linked to the Citi Dynamic Asset Selector 5 Excess Return index; via Citigroup Global Markets; pricing May 25; Cusip: 17294XAY2

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• 0% barrier securities due May 27, 2020 linked to the Energy Select Sector SPDR fund; 70% trigger; via Citigroup Global Markets Inc.; pricing May 19; Cusip: 17324XBY5

• 0% barrier digital plus securities due May 2021 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 19; Cusip: 17324CJE7

• Callable contingent coupon equity-linked securities due May 2020 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund; via Citigroup Global Markets Inc.; pricing May 19; Cusip: 17324CJD9

• Fixed-to-floating notes due May 26, 2022 linked to the 10-year Constant Maturity Swap rate; via Citigroup Global Markets Inc.; pricing May 23; Cusip 17324CJK3

• 0% enhanced barrier digital plus securities due May 26, 2022 linked to the S&P 500 index; 80% trigger; via Citigroup Global Markets Inc.; pricing May 23; Cusip: 17324CJ23

• 0% buffer securities due May 27, 2022 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 24; Cusip: 17324CJ31

• Autocallable contingent coupon equity linked securities due May 31, 2018 linked to the worse performing of the common stock of Amazon.com Inc. and the class A common stock of Facebook, Inc.; 80% trigger; via Citigroup Global Markets Inc.; pricing May 25; Cusip: 17324XBZ2

• Autocallable contingent coupon equity linked securities due Nov. 29, 2018 linked to the worse performing of the common stock of Apple Inc. and the class A common stock of Alphabet Inc.; 80% trigger; via Citigroup Global Markets Inc.; pricing May 25; Cusip: 17324XCA6

• 0% enhanced buffered digital securities due May 28, 2021 linked to the Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing May 25; Cusip: 17324CJ98

• 0% enhanced buffered digital securities due May 29, 2020 linked to the Russell 2000 index; 85% trigger; via Citigroup Global Markets Inc.; pricing May 25; Cusip: 17324CJ80

• Annual reset coupon securities due May 2022 linked to the Russell 2000 index; via Citigroup Global Markets Inc.; pricing May 25; Cusip: 17324CJA5

• 0% enhanced barrier digital plus securities due June 1, 2022 linked to the Euro Stoxx 50 index; 80% trigger; via Citigroup Global Markets Inc.; pricing May 26; Cusip: 17324CJ49

CREDIT SUISSE AG, LONDON BRANCH

• 0% digital plus barrier notes due May 26, 2023 linked to the Euro Stoxx 50 index; Credit Suisse Securities (USA) LLC; pricing May 19; Cusip 22550B4K6

• 0% Accelerated Return Equity Securities due June 26, 2018 linked to the SPDR S&P Metals and Mining exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing May 19; Cusip: 22550B4F7

• 9.25% autocallable reverse convertible securities due Aug. 24, 2018 linked to the common stock of United Rentals, Inc.; via Credit Suisse Securities (USA) LLC; pricing May 19; Cusip 22549JGS3

• 6.25% contingent coupon autocallable reverse convertible securities due Aug. 27, 2018 linked to the common stock of Amgen Inc.; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip 22549JGT1

• 6% autocallable reverse convertible securities due Aug. 27, 2018 linked to the common stock of Bank of America Corp.; via Credit Suisse Securities (USA) LLC; pricing May 23; Cusip 22549JGV6

• Contingent coupon autocallable yield notes due May 30, 2019 linked to the lowest performing of the Euro Stoxx 50 index, the Russell 2000 index and the iShares MSCI Emerging Markets exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing May 24; Cusip 22550B4H3

• Step-up contingent coupon callable yield notes due May 28, 2027 linked to the Russell 2000 index and the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing May 25; Cusip: 22550B3W1

• Step-up contingent coupon callable yield notes due May 28, 2027 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 25; Cusip: 22550B3X9

• Contingent coupon callable yield notes due May 29, 2020 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing May 25; Cusip: 22550B3A9

• 0% Buffered Accelerated Return Equity Securities due Dec. 5, 2018 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2J1

• Contingent coupon callable yield notes due June 5, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2L6

• 0% accelerated barrier notes due June 3, 2020 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2K8

• Contingent coupon callable yield notes due June 5, 2020 linked to the S&P 500 index and the SPDR S&P Biotech exchange-traded fund; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing May 31; Cusip: 22550B2M4

DEUTSCHE BANK AG, LONDON BRANCH

• 0% autocallable market-linked step-up notes due May 2022 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

GOLDMAN SACHS BANK USA

• 0% autocallable certificates of deposit due June 11, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. and Incapital LLC; pricing May 25; Cusip: 38148DUV4

• 0% autocallable certificates of deposit due June 11, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. and Incapital LLC; pricing May 25; Cusip: 38148DUU6

• 0% autocallable certificates of deposit due June 9, 2027 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. and Incapital LLC; pricing May 25; Cusip: 38148DUX0

• 0% certificates of deposit due May 31, 2024 linked to the Motif Capital Aging of America 7 ER index; via Goldman Sachs & Co. and Incapital LLC; pricing May 25; Cusip: 38148DUY8

• 0% certificates of deposit due May 31, 2024 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co. and Incapital LLC; pricing May 25; Cusip: 38148DUZ5

GOLDMAN SACHS GROUP INC.

• Callable step-up fixed-rate notes due May 2023; via Goldman, Sachs & Co. as agent, Incapital as distributor; pricing in May; Cusip 38150A3F0

GS FINANCE CORP.

• 0% digital notes due May 26, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing May 19; Cusip: 40054LC85

• Digital index-linked notes due May 26, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co. as underwriter, Incapital as distributor; pricing May 19; Cusip 40054LC93

• 0% autocallable notes due June 11, 2024 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LBJ2

• Callable contingent coupon notes due May 31, 2021 linked to the least performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LBQ6

• Autocallable contingent coupon index-linked notes due Sept. 4, 2018 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LBZ6

• Autocallable contingent coupon index-linked notes due Dec. 3, 2018 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LBY9

• Autocallable contingent coupon index-linked notes due Dec. 3, 2018 linked to the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LC28

• Callable contingent coupon notes due May 31, 2019 linked to the least performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Goldman Sachs & Co.; pricing May 25; Cusip: 40054LC36

• Callable monthly range accrual notes due May 31, 2032 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing May 26; Cusip: 40054LBB9

• 0% 18-month buffered digital notes linked to the Dow Jones Industrial Average; via Goldman Sachs & Co.; Cusip: 40054LCP7

• 0% 15-month buffered digital notes linked to the Euro Stoxx 50 index; via Goldman Sachs & Co.; Cusip 40054LCN2

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

• 36- to 39-month 0% digital notes linked to the 25 stocks of the European companies included in the Euro Stoxx Banks index; via Goldman Sachs & Co.

HSBC BANK USA, NA

• Income Plus certificates of deposit due May 27, 2022 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHU4

• Income Plus certificates of deposit due May 27, 2022 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHV2

• Income Plus certificates of deposit due May 27, 2022 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHW0

• Income Plus certificates of deposit due May 27, 2022 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHX8

• Income Plus certificates of deposit due May 30, 2024 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHY6

• Income Plus certificates of deposit due May 30, 2024 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YHZ3

• Income Plus certificates of deposit due May 30, 2024 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YJA6

• Income Plus certificates of deposit due May 30, 2024 linked the common stocks of Apple Inc., Boeing Co., Ford Motor Co., Eli Lilly & Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YJB4

• 0% autocallable accumulating income certificates of deposit due May 30, 2024 linked to the common stocks of Apple Inc., Boeing Co., Eli Lilly & Co., Ford Motor Co. and Verizon Communications Inc.; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YJE8

• 0% growth opportunity averaging certificates of deposit due May 30, 2024 linked to the Dow Jones industrial average; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YJF5

• 0% certificates of deposit due May 30, 2024 linked to the HSBC Vantage5 Index (USD) Excess Return; via HSBC Securities (USA) Inc. and Incapital LLC; pricing May 24; Cusip: 40434YJJ7

HSBC USA INC.

• Contingent income autocallable securities due Nov. 24, 2017 linked to the common stock of Marathon Oil Corp.; via HSBC Securities (USA) Inc.; pricing May 19; Cusip: 40435D516

• 0% Buffered Market Participation Securities due Aug. 27, 2018 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing May 23; Cusip: 40433U4X1

• 0% Buffered Market Participation Securities due Aug. 27, 2018 linked to the iShares U.S. Real Estate exchange-traded fund; via HSBC Securities (USA) Inc.; pricing May 23; Cusip: 40433U4X1

• Income plus notes due May 31, 2024 linked to the common stocks of Altria Group, Inc., AT&T Inc., Bristol-Myers Squibb Co., General Motors Co. and HP Inc.; via HSBC Securities (USA) Inc.; pricing May 25; Cusip: 40433U3V6

• 0% leveraged buffered uncapped market participation securities due May 31, 2022 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc.; pricing May 25; Cusip: 40433U3Z7

• 0% buffered digital notes due Nov. 30, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 25; Cusip: 40433U3Y0

• Autocallable yield notes due Aug. 31, 2018 linked to the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 25; Cusip: 40433U4P8

• 0% digital dual directional barrier securities due May 31, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 25; Cusip: 40433U3X2

• 0% lookback trigger step securities due May 31, 2022 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. as agent, UBS Financial Services Inc. as dealer; pricing May 26; Cusip 40435D565

• 0% barrier digital return notes due June 1, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 26; Cusip: 40433U5N2

• 0% barrier digital return notes due June 1, 2022 linked to the lesser performing of the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via HSBC Securities (USA) Inc.; pricing May 26; Cusip: 40433U5M4

JEFFERIES GROUP LLC

• Fixed-to-floating-rate notes due May 31, 2034 linked to the leveraged difference between the 30-year and two-year Constant Maturity Swap rates; via Jefferies LLC; settling May 31; Cusip: 47233JAP3

JPMORGAN CHASE BANK, NA

• 0% capped certificates of deposit due Nov. 29, 2024 linked to the Dow Jones industrial average; via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126X2Y0

• 0% certificates of deposit due Aug. 31, 2021 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126XZ32

• 0% certificates of deposit due May 31, 2022 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126XZ40

• 0% certificates of deposit due May 31, 2023 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126XZ57

• 0% certificates of deposit due May 31, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126XZ81

• 1% certificates of deposit due May 31, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126XY58

• Variable annual income certificates of deposit due May 31, 2024 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER); via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126X2M6

• 0% capped quarterly observation certificates of deposit due May 28, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126X2N4

• 0% capped certificates of deposit due Nov. 29, 2024 linked to the S&P 500 index; via J.P. Morgan Securities LLC and Incapital LLC; pricing May 25; Cusip: 48126X2Z7

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% autocallable notes due May 21, 2020 linked to the lesser performing of the Euro Stoxx 50 index and the MSCI Emerging Markets index; via J.P. Morgan Securities LLC; pricing May 17; Cusip: 46647MCM3

• Fixed-to-floating-rate notes due May 24, 2027 linked to the 10-year U.S. dollar ICE swap rate; via J.P. Morgan Securities LLC; pricing May 19; Cusip 48128GF88

• Autocallable contingent interest notes due May 24, 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 May 19; Cusip 46647MCE1

• 0% review notes due May 24, 2021 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 19; Cusip: 46647MBC6

• Contingent income autocallable securities due May 22, 2020 linked to the American Depositary Shares of Teva Pharmaceutical Industries Ltd.; via J.P. Morgan Securities LLC; pricing May 19; Cusip: 48129F135

• Autocallable contingent interest notes due Aug. 30, 2018 linked to the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MAK9

• Autocallable contingent interest notes due May 28, 2027 linked to the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MAQ6

• 0% capped buffered return enhanced notes due May 31, 2019 linked to the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing May 25; Cusip 46647MKD4

• 0% capped buffered return enhanced notes due May 31, 2019 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip 46647MKE2

• 5% to 7% autocallable contingent interest notes due Aug. 30, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MAG8

• 5% to 7% autocallable contingent interest notes due May 28, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MAJ2

• Autocallable contingent interest notes due May 28, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MCF8

• 0% capped buffered return enhanced notes due May 31, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip 46647MKC6

• 0% capped buffered return enhanced notes due Nov. 29, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46646QSP1

• 0% capped buffered return enhanced notes due Nov. 29, 2019 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46646QSN6

• Autocallable contingent interest notes due Nov. 29, 2018 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MAH6

• 0% dual directional contingent buffered return enhanced notes due May 28, 2021 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip; 46647MJQ7

• 0% dual directional contingent buffered return enhanced notes due May 28, 2021 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MJN4

• 0% dual directional contingent buffered return enhanced notes due May 31, 2022 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MJR5

• 0% dual directional contingent buffered return enhanced notes due May 31, 2022 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MJP9

• 6% to 8% autocallable contingent interest notes due May 28, 2021 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 25; Cusip: 46647MBJ1

• Autocallable contingent interest notes due Dec. 5, 2018 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing May 30; Cusip: 46647MJY0

• 0% digital notes due June 30, 2018 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAZ6

• 0% uncapped contingent buffered equity notes due May 28, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46646QSA4

• 0% uncapped contingent buffered equity notes due May 28, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46646QRZ0

• 0% uncapped buffered return enhanced notes due June 3, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAA1

• 0% uncapped buffered return enhanced notes due June 3, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAB9

• Autocallable yield notes due Sept. 6, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MAC7

• 0% dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MJJ3

• 0% dual directional contingent buffered return enhanced notes due May 29, 2020 linked to the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 31; Cusip: 46647MJK0

• 0% capped buffered return enhanced notes due June 11, 2018 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing June 5; Cusip 46647MCK7

MORGAN STANLEY

• Fixed-to-floating notes due May 30, 2027 linked to the 10-year U.S. dollar ICE swap rate; via Morgan Stanley & Co. LLC; settling May 30; Cusip: 61760QKJ2

• 0% Performance Leveraged Upside Securities due Sept. 6, 2018 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip 61766A731

MORGAN STANLEY FINANCE LLC

• 0% accelerated return securities due May 24, 2021 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 17; Cusip: 61768CJQ1

• Contingent income autocallable securities due May 22, 2020 linked to the class B common stock of Viacom Inc.; via Morgan Stanley & Co. LLC; pricing May 19; Cusip: 61766W576

• 0% trigger autocallable notes due May 31, 2022 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing May 25; Cusip: 61766W501

• 0% trigger gears due May 29, 2020 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing May 26; Cusip: 61766W493

• 0% trigger jump securities due June 5, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip 61766W527

• 0% buffered Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the Euro Stoxx 50 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip 61766W535

• 0% buffered Performance Leveraged Upside Securities due Dec. 4, 2019 linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 31; Cusip 61766W543

• 0% trigger jump securities due June 5, 2019 linked to Apple Inc. stock; via Morgan Stanley; Cusip 61766W519

• 0% capped leveraged notes linked to the SPDR S&P Regional Banking exchange-traded fund; via Morgan Stanley & Co. LLC; Cusip 61768CJJ7

ROYAL BANK OF CANADA

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the lesser performing of the common stocks of Abbvie Inc. and Bristol-Myers Squibb Co.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR58

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the common stock of Alibaba Group Holding Ltd.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR74

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the lesser performing of the common stocks of Apple Inc. and Microsoft Corp.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR82

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the common stocks of Bank of America Corp. and Wells Fargo & Co.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR41

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the lesser performing of the common stocks of Ford Motor Co. and General Motors Corp.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR33

• 0% notes due May 23, 2019 linked to the relative performance of the iShares MSCI Emerging Markets exchange-traded fund and the S&P 500 index; via RBC Capital Markets, LLC; pricing May 19; Cusip: 78012KS81

• Autocallable contingent coupon barrier notes due May 23, 2019 linked to the common stock of Netflix, Inc.; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KR66

• Autocallable contingent coupon barrier notes due May 22, 2020 linked to the lesser performing of the iShares MSCI Emerging Markets exchange-traded fund, the S&P 500 index and the Euro Stoxx 50 index; via RBC Capital Markets, LLC; pricing May 19; Cusip 78012KS24

• 0% barrier enhanced return notes due June 1, 2021 linked to the Energy Select Sector SPDR fund; via RBC Capital Markets, LLC; pricing May 26; Cusip: 78012KS32

• 0% barrier absolute return notes due May 31, 2019 linked to the iShares MSCI Emerging Markets exchange-traded fund; via RBC Capital Markets, LLC; pricing May 26; Cusip 78012KS65

• 0% leveraged notes due 2018 linked to a basket of indexes; via RBC Capital Markets, LLC; Cusip 78012KR25

• 14- to 16-month leveraged buffered notes due 2018 linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via RBC Capital Markets, LLC; Cusip: 78012KQ59

• 18- to 21-month 0% leveraged notes linked to the SPDR S&P Regional Banking exchange-traded fund; via RBC Capital Markets, LLC; Cusip: 78012KQ75

UBS AG, LONDON BRANCH

• 0% capped trigger gears due May 29, 2020 linked to the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing May 25; Cusip: 90280V301

WELLS FARGO & CO.

• Market-linked securities due June 2, 2025 –callable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index and the Russell 2000 index; via Wells Fargo Securities LLC; pricing May 25; Cusip: 94986R5V9

• 22- to 25-month buffered enhanced return securities with capped upside and buffered downside linked to the S&P 500 index; via Wells Fargo Securities; Cusip 94986R6F3


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