Structured Products Calendar

BANK OF AMERICA CORP.

• Step-up callable notes due May 25, 2030; via BofA Merrill Lynch; pricing May 23; Cusip: 06048WWJ5

• Step-up callable notes due Nov. 30, 2021; via BofA Merrill Lynch; settlement May 30; Cusip: 06048WWP1

BANK OF NOVA SCOTIA

• 0% Capped Leveraged Index Return Notes due November 2019 linked to Euro Stoxx 50 index and S&P 500 index; via BofA Merrill Lynch; pricing in May

BARCLAYS BANK PLC

• Fixed- to floating-rate notes due May 24, 2023 tied to the 10-year U.S. dollar ICE swap rate; via Barclays; settlement May 24; Cusip: 06746XAN3

• 0% notes due May 27, 2021 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 24; Cusip 06746X7C1

• 0% notes due Dec. 4, 2019 linked to the Barclays Trailblazer Sectors 5 index; via Barclays; pricing May 31; Cusip 06746X7B3

• 0% buffered SuperTrack notes due June 3, 2020 linked to the S&P 500 index; via Barclays; pricing May 31; Cusip: 06746X7K3

• 0% buffered SuperTrack notes due June 3, 2022 linked to the S&P 500 index; via Barclays; pricing May 31; Cusip: 06746XA37

• Autocallable market-linked step-up notes due May 2023 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% capped leveraged buffered notes due in 26 to 29 months linked to a basket of indexes; via CIBC World Markets Corp.; Cusip: 13605WKU4

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Callable fixed- to floating-rate notes due May 18, 2038 linked to the leveraged difference between the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; pricing May 16; Cusip: 17324CUN4

• Callable fixed- to floating-rate notes due May 23, 2025 linked to the leveraged difference between the 30-year and two-year Constant Maturity Swap rates; via Citigroup Global Markets Inc.; pricing May 18; Cusip: 17324CUS3

• 0% market-linked notes due May 27, 2021 linked to an equally weighted basket of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF; via Citigroup Global Markets Inc.; pricing May 23; Cusip 17324CUL8

• 0% dual directional barrier securities due Nov. 24, 2021 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing May 24; Cusip 17324CUJ3

• 0% market-linked notes due May 30, 2023 linked to a basket of the S&P 500 index with a 25% weight, the Euro Stoxx 50 index with a 25% weight and the iShares iBoxx $ High Yield Corporate Bond ETF with a 50% weight; via Citigroup Global Markets Inc.; pricing May 24; Cusip 17324CUH7

• 0% dual directional barrier securities due Nov. 30, 2021 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing May 24; Cusip 17324XHQ6

CITIGROUP INC.

• Callable step-up coupon notes due May 15, 2033; via Citigroup Global Markets Inc.; pricing May 11; Cusip: 17298CG85

CREDIT SUISSE AG, LONDON BRANCH

• 6% contingent coupon autocallable yield notes due May 9, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 4; Cusip 22550WQW0

• 11.15% contingent coupon autocallable reverse convertible securities due Aug. 14, 2019 linked to the common stock of Nvidia Corp.; via Credit Suisse Securities (USA) LLC; pricing May 9; Cusip: 22549JC65

• Callable step-up securities due Nov. 30, 2023; via Credit Suisse Securities (USA) LLC; pricing May 24; Cusip: 22550WS32

• 0% Capped Leveraged Index Return Notes due July 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in May

• 0% Accelerated Return Notes due July 2019 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in May

GOLDMAN SACHS GROUP, INC.

• Callable step-up fixed-rate notes due May 2020; via Goldman Sachs & Co. LLC and Incapital LLC; pricing in May; Cusip: 38150A6V2

• Callable step-up fixed-rate notes due May 2025; via Goldman Sachs & Co. LLC and Incapital LLC; pricing in May; Cusip: 38150A6X8

• Callable step-up fixed-rate notes due May 2028; via Goldman Sachs & Co. LLC; pricing in May; Cusip: 38150A6U4

• Floating-rate notes due May 2021 linked to the two-year Constant Maturity Swap rate; via Goldman Sachs & Co. LLC and Incapital LLC; pricing in May; Cusip: 38150A6S9

• Callable step-up fixed-rate notes due May 2024; via Goldman Sachs & Co. LLC; pricing in May; Cusip: 38150A6Q3

GS FINANCE CORP.

• 8% callable contingent coupon notes due May 8, 2023 linked to the least performing of the Dow Jones Industrial average, the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing May 3; Cusip 40055AZ91

• 0% capped gears due July 9, 2019 linked to the MSCI EAFE index; via Goldman, Sachs & Co. with UBS Financial Services Inc. as selling agent; pricing May 3; Cusip: 36254G523

• 0% buffered digital notes due May 11, 2020 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing May 3; Cusip: 40055AYJ0

• 0% leveraged buffered notes due May 10, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 3; Cusip: 40055AZD2

• 0% index-linked notes due May 8, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co. LLC; pricing May 4; Cusip 40055AZ67

• 6.5% to 7.5% trigger autocallable contingent yield notes due May 16, 2028 linked to the lesser performing of the MSCI Emerging Markets index and the Russell 2000 index; via Goldman Sachs & Co. LLC as underwriter and UBS Financial Services Inc. as selling agent; pricing May 11; Cusip 36254G531

• 0% autocallable index-linked notes due May 29, 2025; via Goldman Sachs & Co.; pricing May 14; Cusip 40055AYT8

• 0% autocallable index-linked notes due May 29, 2025 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman Sachs & Co.; pricing May 14; Cusip 40055AYU5

• 0% autocallable index-linked notes due May 15, 2028 linked to the GS Momentum Builder Multi-Asset 5S ER index; via Goldman, Sachs & Co.; pricing May 14; Cusip: 40055AZP5

• 0% autocallable notes due May 29, 2025 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co.; pricing May 14; Cusip 40055AYW1

• 5% callable monthly range accrual notes due May 17, 2028 linked to the Russell 2000 index; via Goldman Sachs & Co.; pricing May 14; Cusip 40055AYX9

• 8% to 9% autocallable fixed coupon notes due Aug. 21, 2019 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40055AZ42

• Autocallable contingent coupon notes due Nov. 21, 2019 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing May 14; Cusip: 40055AZ34

• 7.1% callable contingent coupon notes due May 17, 2028 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing May 14; Cusip 40055AZ26

• Autocallable contingent coupon notes due Nov. 21, 2019 linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index; via Goldman Sachs & Co. LLC; pricing May 14; Cusip 40055AZ59

• 8.25% to 9.25% autocallable fixed coupon notes due Nov. 22, 2019 linked to Celgene Corp. stock; 75% trigger; via Goldman Sachs & Co. LLC; pricing May 15; Cusip: 40055AZ83

• 10.25% to 11.25% autocallable fixed coupon notes due Aug. 22, 2019 linked to Nvidia Corp. stock; 60% trigger; via Goldman Sachs & Co. LLC; pricing May 15; Cusip: 40055AZ75

• 0% Performance Leveraged Upside Securities due Sept. 5, 2019 linked to the Russell 2000 index; via Goldman Sachs & Co. as agent, Morgan Stanley Wealth Management as distributor; pricing May 16; Cusip: 36254G515

• 0% notes due May 30, 2025 linked to the Motif Capital National Defense 7 ER index; via Goldman Sachs & Co.; pricing May 24; Cusip: 40055AZM2

• Callable contingent coupon notes due May 30, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing May 24; Cusip: 40055AZC4

• 7.5%-8.5% autocallable contingent coupon notes due Dec. 3, 2019 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 24; Cusip 40055AZF7

• 0% buffered notes due May 30, 2023 linked to the S&P 500 index; via Goldman Sachs & Co. LLC; pricing May 24; Cusip: 40055AZA8

• Callable monthly range accrual notes due May 31, 2028 linked to the Russell 2000 index; 75% trigger; via Goldman Sachs & Co.; pricing May 29; Cusip: 40055AZB6

• 9.5%-10.5% autocallable contingent coupon notes due Dec. 9, 2019 linked to the least performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 31; Cusip 40055AZE0

• Callable fixed- to floating-rate notes due May 2023 linked to the 30-year and two-year Constant Maturity Swap rates; via Goldman Sachs & Co. LLC; pricing in May; Cusip: 40055Q2D3

HSBC USA, INC.

• 10.75% autocallable contingent income barrier notes due May 9, 2021 linked to the least performing of the American Depositary Shares of Alibaba Group Holding Ltd. and the common stocks of Bank of America Corp. and Procter & Gamble Co.; via HSBC Securities (USA) Inc.; pricing May 4; Cusip 40435FZY6

• 0% leveraged buffered uncapped market participation securities due May 16, 2022 linked to S&P 500 index, the MSCI EAFE index, the S&P MidCap 400 index, the iShares MSCI Emerging Markets ETF and the Russell 2000 index; 75% trigger; via HSBC Securities (USA) Inc.; pricing May 11; Cusip: 40435FWS2

• 0% buffered market participation securities due Aug.19, 2019 tied to the Financial Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing May 15; Cusip: 40435FZV2

• 0% buffered Performance Leveraged Upside Securities due Dec. 3, 2020 linked to the Euro Stoxx 50 index; via HSBC Securities (USA) Inc. as agent, Morgan Stanley Wealth Management as distributor; pricing May 16; Cusip: 40435M425

• 0% barrier enhanced participation notes due May 30, 2023 linked to the Dow Jones industrial average and the Russell 200 index; via HSBC Securities (USA) Inc.; pricing May 24; Cusip 40435FZL4

• 0% Leveraged Index Return Notes due May 2020 linked to a basket of indexes; via BofA Merrill Lynch; pricing in May

JPMORGAN CHASE FINANCIAL CO. LLC

• Autocallable contingent interest notes due May 6, 2022 linked to the least performing of the American Depositary Shares of Alibaba Group Holding Ltd. and the common stocks of Bank of America Corp. and Proctor & Gamble Co.; 60% trigger; via J.P. Morgan Securities LLC; pricing May 3; Cusip: 48129MC46

• 0% capped buffered return enhanced notes due May 8, 2020 linked to S&P 500 index, the Russell 2000 index and iShares MSCI EAFE ETF; via J.P. Morgan Securities LLC; pricing May 4; Cusip: 48129MMQ6

• 0% review notes due May 18, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; 60% trigger; via J.P. Morgan Securities LLC; pricing May 15; Cusip: 48129MC79

MORGAN STANLEY

• Floating-rate notes due May 3, 2023 linked to the Consumer Price Index; via Morgan Stanley & Co. LLC; settlement May 3; Cusip: 61760QLD4

• Floating-rate notes due May 23, 2025 linked to the 10-year U.S. dollar ICE swap rate; via Morgan Stanley & Co. LLC; settlement May 23; Cusip: 61760QLE2

MORGAN STANLEY FINANCE LLC

• 6.4% to 7.4% trigger autocallable contingent yield notes due May 16, 2028 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; via UBS Financial Services Inc. and Morgan Stanley & Co. LLC; pricing May 11; Cusip 61768Q247

• 0% buffered Performance Leveraged Upside Securities due May 18, 2023 linked to S&P 500 index, the Russell 2000 index, the iShares MSCI EAFE ETF and iShares MSCI Emerging Markets ETF; via Morgan Stanley & Co. LLC; pricing May 15; Cusip: 61768CW29

ROYAL BANK OF CANADA

• Redeemable step-up notes due May 23, 2033; via RBC Capital Markets, LLC; pricing May 21; Cusip: 78014RAB6

• 0% buffered return notes due June 2, 2023 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing May 29; Cusip 78013XKD9

• 0% barrier absolute return notes due June 2, 2023 linked to the S&P 500 index; via RBC Capital Markets, LLC; pricing May 29; Cusip 78013XKC1

TORONTO-DOMINION BANK

• Callable step-up notes due May 15, 2023; via TD Securities (USA) LLC; pricing May 10; Cusip: 89114QMY1

• Callable step-up notes due May 18, 2022; via TD Securities (USA) LLC; pricing May 15; Cusip: 89114QMS48

• Callable step-up notes due May 31, 2021; via TD Securities (USA) LLC; pricing May 25; Cusip: 89114QMZ8

UBS AG, LONDON BRANCH

• Step-up callable notes due May 18, 2028; via Wells Fargo Securities, LLC and UBS Securities LLC; pricing May 16; Cusip: 90270KRP6

WELLS FARGO & CO.

• Market-linked securities due May 9, 2023 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; 60% trigger; via Wells Fargo Securities LLC; pricing May 4; Cusip: 95001B3H5

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