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Published on 12/23/2015 in the Prospect News Structured Products Daily.

Structured Products Calendar

BANK OF AMERICA CORP.

• Autocallable coupon-bearing notes due January 2017 linked to the common stock of Intel Corp.; via BofA Merrill Lynch; pricing in December

• 14-month 0% Accelerated Return Notes due February 2017 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in December

BANK OF MONTREAL

• 0% buffered bullish enhanced return notes due Dec. 29, 2017 linked to the Energy Select Sector SPDR fund; via BMO Capital Markets Corp.; pricing Dec. 28; Cusip: 06366R5H4

• 0% buffered bullish enhanced return notes due Dec. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via BMO Capital Markets Corp.; pricing Dec. 28; Cusip: 06366R5R2

• 0% buffered bullish enhanced return notes due Dec. 29, 2017 linked to the Russell 2000 index; via BMO Capital Markets Corp.; pricing Dec. 28; Cusip: 06366R5S0

• 0% bullish digital return Notes due Dec. 29, 2017 linked to SPDR S&P Oil & Gas Exploration and Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Dec. 28; Cusip: 06366R5Q4

• 0% buffered bullish enhanced return notes due Dec. 29, 2017 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via BMO Capital Markets Corp.; pricing Dec. 28; Cusip: 06366R5G6

• 0% notes due Jan. 27, 2017 linked to Raymond James Analysts’ Best Picks for 2016 (Allstate Corp., Alexion Pharmaceuticals, Inc., American Homes 4 Rent, AmSurg Corp., Becton, Dickinson and Co., Concho Resources, Inc., Halliburton Co., Lazard Ltd., Mohawk Industries, Inc., Microsoft Corp., Northern Trust Corp., Regal Entertainment Group, Tractor Supply Co. and Zayo Group Holdings, Inc.); via BMO Capital Markets Corp. and Raymond James; settling Jan. 25; Cusip: 06366R5Z4

BANK OF NOVA SCOTIA

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due July 5, 2019 linked to the Euro Stoxx 50 index; via Scotia Capital (USA) Inc. and Wells Fargo Securities LLC; pricing Dec. 30; Cusip: 064159GZ3

• 0% market-linked step-up notes due December 2017 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in December

BARCLAYS BANK PLC

• 8.5% callable contingent coupon notes due Dec. 30, 2021 linked to the lesser performing of the Dow Jones Industrial Average and the Euro Stoxx 50 index; via Barclays; pricing Dec. 28; Cusip: 06741UY57

• Buffered SuperTrack notes due June 28, 2019 linked to the lesser-performing index of the Dow Jones industrial average and the Russell 2000 index; via Barclays; pricing Dec. 28; Cusip: 06741UX33

• 0% Super Track notes due Jan. 31, 2018 linked to the Euro Stoxx 50, FTSE 100 and Nikkei Stock Average indexes; via Barclays; pricing Dec. 28; Cusip: 06741U2D5

• 0% notes due Dec. 31, 2021 linked to an equally weighted basket of indexes and a fund; via Barclays; pricing Dec. 28; Cusip: 06741U2A1

• Phoenix autocallable notes due Dec. 31, 2020 linked to the Russell 2000 index; via Barclays; pricing Dec. 28; Cusip: 06741U2B9

• Annual reset coupon buffered notes due Dec. 31, 2021 linked to the Russell 2000 index; via Barclays; pricing Dec. 28; Cusip: 06741UW91

• Callable contingent coupon notes due Dec. 31, 2025 linked to the lesser performing index of the Russell 2000 index and the Euro Stoxx 50 index; via Barclays; pricing Dec. 28; Cusip: 06741UX58

• 0% return optimization securities due Jan. 31, 2017 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing Dec. 28; Cusip: 06743T675

• 0% trigger performance securities due Dec. 31, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing Dec. 28; Cusip: 06743T568

• Phoenix autocallable notes due Dec. 30, 2022 linked to the worse performing of the S&P 500 index and the Russell 2000 index; 60% trigger; via Barclays; pricing Dec. 28; Cusip: 06741UX66

• Phoenix autocallable notes due Dec. 31, 2025 linked to the worse performing of the S&P 500 index and the Russell 2000 index; 65% trigger; via Barclays; pricing Dec. 28; Cusip: 06741UX74

• 0% Performance Leveraged Upside Securities due April 4, 2017 linked to the Euro Stoxx 50 index; via Barclays and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 06743T469

• 0% autocallable market-linked step-up notes due December 2018 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in December

• 0% Accelerated Return Notes due December 2017 linked to the S&P Oil & Gas Exploration & Production Select Industry index; via BofA Merrill Lynch; pricing in December

• 0% autocallable market-linked step-up notes due December 2018 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in December

• 0% buffered SuperTrack notes due July 7, 2017 linked to the S&P 500 index; via Barclays; pricing Jan. 4; Cusip: 06741U2E3

• 0% notes due Jan. 9, 2019 linked to the EquityCompass Share Buyback index; via Barclays; pricing Jan. 5; Cusip; 06741UY73

• 0% Accelerated Return Notes due in April 2017 linked to the JPX-Nikkei index 400; via BofA Merrill Lynch; pricing in January

• Three-year autocallable market-linked step-up notes linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in January

• 16- to 19-month 0% capped leveraged notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UY24

• 18- to 21-month 0% capped leveraged notes linked to the Euro Stoxx 50, FTSE 100, Topix, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UZ31

• 19- to 22-month 0% capped leveraged buffered notes linked to a basket containing the Euro Stoxx 50, FTSE 100, Topix index, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UZ98

• 24- to 27-month 0% capped leveraged buffered notes linked to the Euro Stoxx 50, FTSE 100, Topix index, Swiss Market and S&P/ASX 200 indexes; via Barclays; Cusip: 06741UZ49

• 20- to 23-month 0% capped leveraged buffered notes linked to the MSCI EAFE index; via Barclays; Cusip: 06741UZ80

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leverage upside participation to a cap and fixed percentage downside due July 5, 2018 linked to the Russell 2000 index; via Wells Fargo Securities, LLC; pricing Dec. 30; Cusip: 13605WBA8

• 0% market-linked step-up notes due December 2020 tied to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in December

• 0% Leveraged Index Return Notes due December 2021 tied to the Dow Jones industrial average; via BofA Merrill Lynch; pricing in December

CITIGROUP INC.

• 0% market-linked notes due Jan. 5, 2023 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Dec. 28; Cusip: 17298C4W5

• 0% buffer securities due Dec. 31, 2020 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Dec. 28; Cusip: 17298C4V7

• 0% trigger performance securities due Dec. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing Dec. 28; Cusip: 17323P223

• 0% trigger return optimization securities due Dec. 31, 2018 linked to the S&P 500 index; 80% trigger; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing Dec. 28; Cusip: 17323P264

• 0% trigger step performance securities due Dec. 31, 2019 linked to the S&P 500 index; via Citigroup Global Markets Inc. and UBS Financial Services Inc.; pricing Dec. 28; Cusip: 17323P330

• 0% Performance Leveraged Upside Securities due April 17, 2017 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing Dec. 29; Cusip: 17323P710

• 0% Performance Leveraged Upside Securities due April 2017 linked to the Energy Select Sector SPDR fund; via Citigroup Global Markets Inc.; pricing Dec. 30; Cusip: 17323P769

• 0% buffered Performance Leveraged Upside Securities due Jan. 4, 2019 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing Dec. 30; Cusip: 17323P470

• 0% trigger jump securities due Jan. 4, 2019 linked to S&P 500 index, the iShares MSCI Emerging Markets ETF and the iShares MSCI EAFE ETF; 85% trigger; via Citigroup Global Markets Inc. with Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 17323P371

• 0% market-linked notes with leveraged upside participation to a cap and fixed percentage buffered downside due July 2018 linked to the MSCI EAFE exchange-traded fund; via Citigroup Global Markets Inc. and Wells Fargo Securities; pricing Dec. 30; Cusip: 17298C4U9

• 0% upturn securities due January 2017 linked to the Alerian MLP exchange-traded fund; via Citigroup Global Markets Inc.; pricing in December; Cusip: 17298C5H7

• 0% market-linked notes due July 2023 linked to the S&P 500 index; via Citigroup Global Markets Inc. and Morgan Stanley Wealth Management; pricing in December; Cusip: 17323P496

• 0.25% market-linked notes due July 2021 linked to the S&P 500 index, with a 33.34% weight, the Euro Stoxx 50 index and the iShares Core U.S. Aggregate Bond ETF, each with a 33.33% weight each; via Citigroup Global Markets Inc.; pricing Jan. 27; Cusip: 17298C5L8

CREDIT SUISSE AG, LONDON BRANCH

• Callable daily range accrual notes due Dec. 30, 2030 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 24; Cusip: 22546VSA5

• 5% autocallable reverse convertible securities due Dec. 28, 2016 linked to General Electric Co. common stock; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VSQ0

• 0% trigger performance securities due Dec. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J168

• 0% Buffered Accelerated Return Equity Securities due Dec. 31, 2020 linked to the iShares MSCI EAFE exchange-traded fund, the iShares MSCI Emerging Markets ETF and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VSZ0

• 0% accelerated barrier notes due July 3, 2019 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VSY3

• 0% trigger performance securities due Dec. 31, 2020 linked to the Russell 2000 index; 75% trigger; via Incapital LLC; pricing Dec. 28; Cusip: 22548J184

• Callable daily range accrual securities due June 30, 2023 linked to the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VS49

•0% autocallable securities due Dec. 29, 2017 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VR99

• 0% absolute return barrier securities due Dec. 31, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VRD0

• 0% accelerated barrier notes due Dec. 31, 2020 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VRC2

• 0% trigger performance securities due Dec. 31, 2020 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J150

• 0% digital plus barrier notes due Dec. 31, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 28; Cusip: 22546VRE8

• 0% trigger performance securities due Dec. 31, 2020 linked to the S&P 500 index; via UBS Financial Services Inc.; pricing Dec. 28; Cusip: 22548J192

• 0% trigger step performance securities due Dec. 31, 2019 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc.; pricing Dec. 29; Cusip: 22548J176

• 0% trigger step performance securities due Dec. 31, 2019 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC and UBS Financial Services Inc.; pricing Dec. 29; Cusip: 22548J200

• Trigger phoenix autocallable optimization securities due Jan. 5, 2026 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; via UBS Financial Services Inc.; pricing Dec. 29; Cusip: 22548J317

• Autocallable reverse convertible securities due Jan. 4, 2017, linked to the class B common stock of Nike, Inc.; via Credit Suisse Securities (USA) LLC; pricing Dec. 29; Cusip: 22546VSL1

•0% accelerated barrier notes due Jan. 6, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VQZ2

• 0% buffered return equity securities due July 3, 2018 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR65

• High/low coupon callable yield notes due July 6, 2017 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR32

• Contingent coupon autocallable yield notes due Jan. 7, 2019 linked to the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VQY5

• 0% absolute return barrier securities due Jan. 6, 2020 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR57

• 0% accelerated barrier notes due Jan. 6, 2021 linked to the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing Dec. 31; Cusip: 22546VR40

DEUTSCHE BANK AG, LONDON BRANCH

• 0% buffered notes due July 3, 2019 linked to the iShares U.S. Real Estate exchange-traded fund and the Russell 2000 index; via Deutsche Bank Securities Inc.; pricing Dec. 28; Cusip: 25152RYH0

• 0% return optimization securities due Jan. 31, 2017 linked to the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 28; Cusip: 25190F483

• 0% contingent return optimization securities due Dec. 31, 2018 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 29; Cusip: 25190F475

• Trigger phoenix autocallable optimization securities due Jan. 4, 2019 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 29; Cusip: 25190F517

• Trigger phoenix autocallable optimization securities due Jan. 4, 2019 linked to the lesser performing of the MSCI EAFE index and the Russell 2000 index; via UBS Financial Services Inc. and Deutsche Bank Securities Inc.; pricing Dec. 29; Cusip: 25190F509

GOLDMAN SACHS GROUP, INC.

• Callable CMS spread and Russell 2000 index-linked range accrual notes due 2030; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 38148TKF5

• 0% index-linked notes due Jan. 2, 2023 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 40054CAB0

• Autocallable index-linked notes due Jan. 12, 2023 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 38148TJT7

• 0% index-linked notes due July 3, 2024 tied to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip 38148TJN0

• 0% index-linked notes due Jan. 2, 2026, linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 38148TJP5

• 0% trigger performance securities due Jan. 6, 2026 linked to the Bloomberg Commodity Index 3 Month Forward; 70% trigger; via Goldman, Sachs & Co.; pricing Dec. 29; Cusip: 38148X696

• Digital notes due Jan. 4, 2019 linked to the Russell 2000 index; via Goldman, Sachs & Co.; pricing Dec. 29; Cusip: 38148TK57

• Callable quarterly Russell 2000 index-linked range accrual notes due Dec. 31, 2030; via Goldman Sachs & Co.; pricing Dec. 29; Cusip: 38148TKG3

• Callable contingent coupon index-linked notes due Dec. 31, 2019 tied to the worse performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing Dec. 29; Cusip: 38148TK81

• 0% buffered notes due Jan. 4, 2021 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing Dec. 29; Cusip: 38148TK65

• Autocallable contingent coupon index-linked notes due Dec. 10, 2018, linked to the S&P 500 index and the Russell 2000; 50% trigger; via Goldman, Sachs & Co.; pricing Dec. 29; Cusip: 38148TK73

• Callable buffered monthly S&P 500 index-linked range accrual notes due June 30, 2023; via Goldman Sachs & Co.; pricing Dec. 29; Cusip: 38148TK99

• Callable step-up fixed-rate notes due December 2030; via Goldman Sachs & Co.; pricing in December; Cusip: 38148TKD0

• Callable step-up fixed-rate notes due December 2035; via Goldman Sachs & Co. and Incapital LLC; pricing in December; Cusip: 38148TK40

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

• 0% digital notes due Dec. 30, 2016, linked to the Russell 2000 index; via Goldman Sachs & Co.

• 0% digital notes due Dec. 30, 2016 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 index-linked notes tied to the S&P 500 index; via Goldman Sachs & Co.

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

• 0% 36-month leveraged buffered notes linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; 80% trigger; via Goldman Sachs & Co.; Cusip: 38148TGF0

GS FINANCE CORP.

• 0% notes due Jan. 3, 2023 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing Dec. 28; Cusip: 40054CAB0

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

• Autocallable contingent coupon notes due Dec. 31, 2020 linked to the Russell 2000 index; via Goldman Sachs & Co.; Cusip: 40054CAC8

HSBC USA INC.

• 0% trigger performance securities due Jan. 15, 2021 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Dec. 29; Cusip: 40434K347

• 0% trigger autocallable optimization securities due Dec. 31, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Dec. 29; Cusip: 40434K313

• 0% trigger autocallable optimization securities due Dec. 31, 2020 linked to the Russell 2000 index; via HSBC Securities (USA) Inc. and UBS Financial Services Inc.; pricing Dec. 29; Cusip: 40434K289

• 0% dual directional trigger Performance Leveraged Upside Securities due Jan. 4, 2019 linked to the Energy Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing Dec. 30; Cusip: 40434K297

• 0% buffered Performance Leveraged Upside Securities due Jan. 3, 2020 linked to an equally weighted basket of the iShares Russell 2000 exchange-traded fund and the Financial Select Sector SPDR fund; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 40434K271

• 0% buffered Performance Leveraged Upside Securities due Jan. 4, 2019 linked to the S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 40434K321

• 0% trigger jump securities due Jan. 4, 2022 linked to S&P 500 index; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 40434K370

• 0% dual directional trigger Performance Leveraged Upside Securities due Jan. 4, 2022 linked to the S&P 500 index; 65% trigger; via HSBC Securities (USA) Inc.; pricing Dec. 30; Cusip: 40434K388

• 0% trigger Performance Leveraged Upside Securities due Jan.4, 2019 linked to the WisdomTree Japan Hedged Equity fund; via HSBC Securities (USA) Inc. and Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 40434K255

• 0% Leveraged Index Return Notes due December 2018 linked to the Euro Stoxx 50 index, the FTSE 100 index, the Nikkei 225 index, the S&P/ASX 200 index, the Swiss Market index and the Hang Seng index; via BofA Merrill Lynch; pricing in December

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

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

JPMORGAN CHASE & CO.

• Autocallable contingent interest notes due June 29, 2017 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Dec. 24; Cusip: 48128GGN4

• Autocallable reverse exchangeable notes due July 3, 2017 linked to the least performing of the common stocks of BlackRock, Inc., Franklin Resources, Inc., Goldman Sachs Group, Inc. and Morgan Stanley; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 46625HPV6

• Autocallable reverse exchangeable notes due July 3, 2017 linked to the least performing of the common stocks of Coca-Cola Co., General Electric Co. and Walt Disney Co.; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 46625HPW4

• Callable range accrual notes due Dec. 31, 2025 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 Dec. 28; Cusip: 48125U2H4

• 0% capped buffered return enhanced notes due Dec. 31, 2020 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 48128GFN5

• Autocallable contingent interest notes due Jan. 3, 2019 linked to the least performing of the common stock of Honeywell International Inc., the class B common stock of United Parcel Service, Inc.; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 48128GFK1

• Callable contingent interest notes due Jan. 7, 2020 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 48128GFP0

• Autocallable contingent interest notes due Jan. 3, 2019 linked to the least performing of the common stock of Walt Disney Co., the class B common stock of Nike, Inc., and the common stock of Target Corp.; via J.P. Morgan Securities LLC; pricing Dec. 28; Cusip: 48128GFJ4

• 0% return optimization securities due Jan. 31, 2017 linked to the Euro Stoxx 50 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 29; Cusip: 48127Y177

• Trigger callable contingent yield notes due Jan. 4, 2018 linked to the least-performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and J.P. Morgan Securities LLC; pricing Dec. 29; Cusip: 48128A665

• Autocallable contingent interest notes due Jan. 2, 2026 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Dec. 29; Cusip: 48128GGQ7

• Contingent income autocallable securities due Jan. 4, 2019 linked to the common units of Blackstone Group LP; 70% trigger; via J.P. Morgan Securities LLC; pricing Dec. 30; Cusip: 48128A723

• 0% Performance Leveraged Upside Securities due Feb. 2, 2017 linked to the Euro Stoxx Banks index; via J.P. Morgan Securities LLC; pricing Dec. 30; Cusip: 48128A756

• 0% Performance Leveraged Upside Securities due Feb. 2, 2017 linked to the Euro Stoxx Banks index; via J.P. Morgan Securities LLC; pricing Dec. 30; Cusip: 48128A715

• Contingent income callable securities due Jan. 5, 2026 linked to the S&P 500 index; 60% trigger; via J.P. Morgan Securities LLC with Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 48128A889

• Contingent income autocallable securities due Jan. 6, 2017 linked to the common stock of Valero Energy Corp.; via J.P. Morgan Securities LLC; pricing Dec. 30; Cusip: 48128A731

• 0% capped buffered return enhanced notes due July 11, 2017 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing Jan. 6; Cusip: 48128GGM6

MORGAN STANLEY

• CMS curve range accrual securities due Dec. 23, 2035 linked to the worst performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; settlement Dec. 23; Cusip: 61760QJF2

• 0% buffered return optimization securities due Dec. 31, 2018 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC and UBS Financial Services Inc.; pricing Dec. 28; Cusip: 61765U308

• 0% trigger performance securities due Dec. 31, 2025 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing Dec. 29; Cusip: 61765U290

• 0% trigger performance securities due Dec. 31, 2025 linked to the S&P 500 index; 50% trigger; via Morgan Stanley & Co. LLC with UBS Financial Services Inc.; pricing Dec. 29; Cusip: 61765U282

• 0% Performance Leveraged Upside Securities due Jan. 4, 2019 linked to the Energy Select Sector SPDR fund; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U456

• Contingent income autocallable securities due Dec. 28, 2018 linked to the common stock of Facebook, Inc.; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U530

• 0% trigger jump securities due Dec. 28, 2021 linked to the Euro Stoxx 50 index; 65% trigger; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U399

• 0% market-linked notes due July 6, 2023 linked to an equally weighted basket containing the Euro Stoxx 50 index, the S&P 500 index and the Topix index; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U381

• 0% securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 31, 2018 linked to the iShares MSCI Emerging Markets exchange-traded fund; via Morgan Stanley & Co. LLC and Wells Fargo Securities LLC; pricing Dec. 30; Cusip: 61761JR27

• 0% market-linked notes due July 6, 2021 linked to the Morgan Stanley ETF-MAP 2 index; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U407

• Contingent income autocallable securities due Dec. 28, 2018 linked to the common stock of LinkedIn Corp.; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U506

• 0% Performance Leveraged Upside Securities due April 4, 2017 linked to the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U514

• Contingent income autocallable securities due Dec. 28, 2018 linked to the common stock of salesforce.com, inc.; via Morgan Stanley & Co. LLC; pricing Dec. 30; Cusip: 61765U522

• 0% buffered Performance Leveraged Upside Securities due January 2023 linked to the Bloomberg Commodity index; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61762GFF6

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; via Morgan Stanley & Co. LLC; pricing in December; Cusip: 61761JS75

ROYAL BANK OF CANADA

• 0% buffered Performance Leveraged Upside Securities due Dec. 20, 2018 linked to the iShares MSCI EAFE exchange-traded fund; via RBC Capital Markets, LLC and Morgan Stanley Wealth Management; pricing Dec. 24; Cusip: 78013C294

• 6.4%-8.4% airbag autocallable yield optimization notes due Jan. 6, 2017 linked to Delta Air Lines, Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 29; Cusip: 78013C468

• 8.2%-10.2% airbag autocallable yield optimization notes due Jan. 6, 2017 linked to Netflix Inc. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 29; Cusip: 78013C476

• 6%-7% airbag autocallable yield optimization notes due Jan. 6, 2017 linked to Charles Schwab Corp. common stock; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 29; Cusip: 78013C450

• 11% contingent income autocallable securities due July 6, 2016 linked to the common stock of HCA Holdings, Inc.; via RBC Capital Markets, LLC; pricing Dec. 30; Cusip: 78013C435

• 0% Performance Leveraged Upside Securities due June 27, 2016 linked to S&P 500 index, the Euro Stoxx 50 index, the WisdomTree Japan Hedged Equity fund, the iShares MSCI Emerging Markets ETF, the Market Vectors Gold Miners ETF and the SPDR S&P Oil & Gas Exploration & Production ETF; via RBC Capital Markets, LLC with Morgan Stanley Wealth Management; pricing Dec. 30; Cusip: 78013C443

• 0% direct investment notes due Feb. 8, 2017 linked to the EquityCompass Equity Risk Management Strategy; via RBC Capital Markets, LLC; pricing Jan. 6; Cusip: 78012KKB2

AB SVENSK EXPORTKREDIT

• 14-month 0% Accelerated Return Notes due February 2017 linked to the Russell 2000 index; via Bank of America Merrill Lynch; pricing in December

TORONTO-DOMINION BANK

• Callable step-up notes due Dec. 31, 2022; via TD Securities (USA) LLC; pricing Dec. 28; Cusip: 89114QUF3

• Callable step-up notes due Dec. 31, 2025; via TD Securities (USA) LLC; pricing Dec. 28; Cusip: 89114QUG1

• 0% securities with a capped leveraged upside participation and a fixed-percentage buffered downside due July 6, 2020 linked to a basket containing SPDR S&P 500 ETF Trust with a 50% weight, iShares Russell 2000 ETF with a 15% weight, iShares MSCI EAFE ETF with a 15% weight, iShares MSCI Emerging Markets ETF with a 10% weight, PowerShares DB Commodity Index Tracking Fund with a 5% weight and Vanguard REIT ETF with a 5% weight; via TD Securities (USA) LLC and Wells Fargo Securities, LLC; pricing Dec. 30; Cusip: 89114QUE6

UBS AG, LONDON BRANCH

• 0% trigger step performance securities due Dec. 31, 2019 linked to the S&P 500 index; via UBS Financial Services Inc. and RBC Capital Markets, LLC; pricing Dec. 28; Cusip: 78013C328

• 0% trigger return optimization securities due Dec. 31, 2018 linked to the Euro Stoxx 50 index; 80% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 29; Cusip: 90275G871

• 0% trigger performance securities due Dec. 31, 2020 linked to the Euro Stoxx 50 index; 75% trigger; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 29; Cusip: 90275G855

• Trigger phoenix autocallable optimization securities due Jan. 5, 2026 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 29; Cusip: 90275L235

• Trigger phoenix autocallable optimization securities due Jan. 5, 2026 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via UBS Financial Services Inc. and UBS Investment Bank; pricing Dec. 29; Cusip: 90275L227

• Contingent income autocallable securities due July 6, 2016 linked to Tesla Motors, Inc. common stock; via UBS Securities LLC and Morgan Stanley Smith Barney LLC; pricing Dec. 30; Cusip: 90275L276

WELLS FARGO & CO.

• Collared floating-rate notes due Jan. 4, 2019; via Wells Fargo Securities, LLC; pricing Dec. 29; Cusip: 94986RC90


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