Structured Products Calendar

BANK OF AMERICA CORP.

• Fixed-to-floating notes due July 11, 2028 linked to the best performing of three U.S. dollar ICE swap rates; via BofA Merrill Lynch; pricing July 6; Cusip: 09709TFA4

BANK OF MONTREAL

• Notes due June 30, 2021 linked to the Raymond James CEFR Domestic Equity Price Return index; via BMO Capital Markets Corp. as agent, Raymond James as distributor; pricing July 20; Cusip: 06367T5F3

• Notes due June 30, 2021 linked to the Raymond James CEFR Domestic Equity Price Return index; via BMO Capital Markets Corp. as agent, Raymond James as distributor; pricing July 20; Cusip: 06367T5E6

BARCLAYS BANK PLC

• 0% buffered SuperTrack notes due July 2, 2020 linked to the S&P 500 index; via Barclays; settlement July 5; Cusip: 06746XDP5

• Contingent income autocallable securities due July 9, 2021 linked to the common units of Blackstone Group LP; via Barclays; pricing July 6; Cusip: 06746T623

• Contingent income autocallable securities due July 9, 2021 linked to the American Depositary Shares of Alibaba Group Holding Ltd.; via Barclays; pricing July 6; Cusip: 06746T615

• 0% buffered autocallable notes due July 11, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; 70% trigger; via Barclays; pricing July 6; Cusip: 06746XG49

• 0% buffered SuperTrack notes due July 16, 2020 linked to the S&P 500 index; via Barclays; pricing July 11; Cusip: 06746XGE7

• 0% notes due Oct. 17, 2019 linked to SPDR S&P 500 index ETF Trust, SPDR S&P MidCap 400 ETF Trust and the iShares Russell 2000 ETF; via Barclays; pricing July 11; Cusip: 06746XGF4

• 0% trigger jump securities with autocallable feature due July 18, 2023 linked to the Euro Stoxx 50 index; via Barclays; pricing July 13; Cusip: 06746T532

• Step-up fixed-rate callable notes due July 20, 2021; via Barclays; pricing July 17; Cusip: 06746XFY4

• Fixed-to-floating notes due Jan. 23, 2026 based on the spread between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate; via Barclays; settling July 23; Cusip: 06746XG31

• Callable fixed- to floating-rate notes due July 30, 2030 linked to the spread between the 30-year U.S. dollar ICE swap rate and the two-year U.S. dollar ICE swap rate; via Barclays; pricing July 25; Cusip: 06746XHQ9

• 0% buffered digital plus notes due July 31, 2023 linked to the Russell 2000 index; via Barclays; pricing July 26; Cusip: 06746XGG2

• 4.5% buffered notes due July 31, 2023 linked to the Russell 2000 index; via Barclays; pricing July 26; Cusip: 06746XGK3

• Callable contingent coupon notes due July 31, 2028 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; 60% trigger; via Barclays; pricing July 26; Cusip: 06746XGN7

• Callable contingent coupon notes due July 31, 2028 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx Banks index; 60% trigger; via Barclays; pricing July 26; Cusip: 06746XGP2

• Step up callable contingent payment notes due July 31, 2028 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Barclays; pricing July 26; Cusip: 06746XGL1

• 0% capped trigger gears due July 29, 2021 linked to the S&P 500 index; via UBS Financial Services Inc. and Barclays; pricing July 26; Cusip: 06746T581

• 0% market-linked notes – leveraged upside participation to a cap and fixed percentage buffered downside due Aug. 3, 2023 linked to the S&P 500 index; via Barclays and Wells Fargo Securities, LLC; pricing July 31; Cusip: 06746XGA5

BOFA FINANCE LLC

• 0% Leveraged Index Return Notes due July 2023 linked to the Dow Jones Industrial Average; via BofA Merrill Lynch; pricing in July

• 0% Accelerated Return Notes due in September 2019 linked to the Euro Stoxx 50 index; via BofA Merrill Lynch; pricing in July

• Autocallable market-linked step-up notes due July 2021 linked to the Russell 2000 index; via BofA Merrill Lynch; pricing in July

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

• Autocallable market-linked step-up notes due July 2021 linked to the S&P 500 index; via BofA Merrill Lynch; pricing in July

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Contingent income autocallable securities due July 9, 2021 linked to Kroger Co. common shares; via Citigroup Global Markets Inc.; pricing July 6; Cusip: 17326K585

• Autocallable contingent coupon equity linked securities due Jan. 22, 2021 linked to the common stocks of Nvidia Corp., Goldman Sachs Group, Inc. and Amazon.com, Inc.; 70% trigger; via Citigroup Global Markets Inc.; pricing July 16; Cusip: 17324XEV8

• Callable contingent coupon equity-linked securities due July 20, 2023 linked to the worse performing of the S&P 500 index, the Russell 2000 index and Dow Jones industrial average; via Citigroup Global Markets Inc.; pricing July 16; Cusip: 17324CWQ5

• Autocallable securities due July 20, 2023 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Dow Jones Industrial Average; via Citigroup Global Markets Inc.; pricing July 17; Cusip: 17324CWR3

• Autocallable contingent coupon equity linked securities due July 25, 2022 linked to the SPDR S&P Oil & Gas Exploration & Production ETF, the Russell 2000 index and the Euro Stoxx 50 index; 60% trigger; via Citigroup Global Markets Inc.; pricing July 20; Cusip: 17324CX92

• Callable step-up coupon notes due July 26, 2021; via Citigroup Global Markets Inc.; pricing July 23; Cusip: 17324CWP7

• Autocallable contingent coupon equity linked securities due July 27, 2023 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing July 24; Cusip: 17324CWZ5

• 0% digital buffered notes due Jan. 27, 2022 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing July 24; Cusip: 22550WZG5

• 0% market-linked notes due July 29, 2021 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing July 26; Cusip: 17324CX76

• 0% buffered digital plus securities due July 31, 2023 linked to the Euro Stoxx 50 index; via Citigroup Global Markets Inc.; pricing July 26; Cusip: 17324CXD3

• 0% buffer securities due Jan. 29, 2021 linked to the S&P 500 index; via Citigroup Global Markets Inc.; pricing July 26; Cusip: 17324CX50

• 0% market-linked notes due Aug. 3, 2023 linked to the worse performing of the S&P 500 index and the Russell 2000 index; via Citigroup Global Markets Inc.; pricing July 31; Cusip: 17324CX27

• 12- to 14-month 0% buffered digital notes linked to the Nasdaq-100 index; via Citigroup Global Markets Inc.; Cusip: 17324CX43

CREDIT SUISSE AG, LONDON BRANCH

• 0% Buffered Accelerated Return Equity Securities due March 11, 2020 linked to a basket of the iShares MSCI Emerging Markets ETF and the iShares MSCI EAFE ETF; via Credit Suisse Securities (USA) LLC; pricing July 6; Cusip: 22550BUJ0

• Contingent coupon autocallable reverse convertible securities due Oct. 16, 2019 linked to the common stock of Netflix, Inc.; via Credit Suisse Securities (USA) LLC; pricing July 11; Cusip: 22549JUY4

• Contingent coupon autocallable reverse convertible securities due Oct. 17, 2019 linked to the common stock of Apple Inc.; via Credit Suisse Securities (USA) LLC; pricing July 12; Cusip: 22549JUX6

• 0% digital buffered notes due Jan. 27, 2022 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 24; Cusip: 22550WZG5

• 0% accelerated barrier notes due July 27, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via Credit Suisse Securities (USA) LLC; pricing July 24; Cusip: 22550WZT7

• Step-up contingent coupon callable yield notes due July 27, 2023 linked to the worse performing of the Russell 2000 index and the S&P 500 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing July 25; Cusip: 22550WZA8

• Step-up contingent coupon callable yield notes due July 27, 2020 linked to the worse performing of the Russell 2000 index and the Nasdaq-100 index; 60% trigger; via Credit Suisse Securities (USA) LLC; pricing July 25; Cusip: 22550WZC4

• 0% CS notes due Aug. 4, 2021 linked to the Euro Stoxx 50 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYM3

• 0% Buffered Accelerated Return Equity Securities due Feb. 5, 2020 linked to the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYU5

• 0% Buffered Accelerated Return Equity Securities due Sept. 5, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WZ42

• Contingent coupon autocallable yield notes due Aug. 3, 2020 linked to the lesser performing of the SPDR S&P Biotech exchange-traded fund and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund; via Credit Suisse Securities (USA) LLC; pricing July 31; Cusip: 22550WYV3

GS FINANCE CORP.

• Callable contingent coupon notes due July 5, 2023 linked to the least performing of the Dow Jones Industrial average, the Russell 2000 index and the Euro Stoxx 50 index; via Goldman Sachs & Co.; pricing July 5; Cusip: 40055QJG8

• 0% buffered basket-linked notes due Oct. 17, 2019 linked to an unequally weighted basket of exchange-traded funds made up of the iShares MSCI EAFE exchange-traded fund with a 53% weight, the iShares MSCI Emerging Markets exchange-traded fund with a 34% weight and the iShares MSCI EAFE Small Cap exchange-traded fund with a 13% weight; via Goldman Sachs & Co. LLC; pricing July 11; Cusip: 40055QHY1

• 0% autocallable notes due July 26, 2028 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QKF8

• 0% autocallable notes due July 28, 2025 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QGY2

• 0% autocallable notes due July 28, 2025 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QGV8

• 0% autocallable notes due July 28, 2025 linked to the GS Momentum Builder Multi-Asset 5 ER index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QGW6

• Contingent coupon notes due July 17, 2023 linked to the least performing of the Russell 2000 index and the S&P 500 index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QH47

• Callable contingent coupon notes due July 17, 2023 linked to the least performing of the S&P 500 index; 60% trigger; via Goldman Sachs & Co. LLC; pricing July 12; Cusip: 40055QHT2

• 0% buffered index-linked notes due July 17, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing July 12; Cusip: 40055QH88

• Autocallable contingent coupon notes due Oct. 21, 2019 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average; 70% trigger; via Goldman Sachs & Co. LLC; pricing July 12; Cusip: 40055QHN5

• 0% trigger autocallable contingent yield notes due July 18, 2028 linked to the MSCI Emerging Markets index and the Russell 2000 index; via Goldman Sachs & Co. and UBS Financial Services Inc.; pricing July 13; Cusip: 36255U356

• 0% leveraged buffered notes due Nov. 21, 2019 linked to the S&P MidCap 400 index; via Goldman Sachs & Co. LLC; pricing July 18; Cusip: 40055QHM7

• 0% leveraged buffered notes due July 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing July 26; Cusip: 40055QJ94

• 0% buffered index-linked notes due July 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing July 26; 40055QHW5

• 0% buffered index-linked notes due July 31, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing July 26; 40055QHZ8

• Autocallable contingent coupon notes due Feb. 3, 2020 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via Goldman Sachs & Co. LLC; pricing July 26; Cusip: 40055QHD7

HSBC USA, INC.

• 10% autocallable yield notes due July 11, 2019 linked to the least performing of three pharmaceutical equities, the common stocks of AbbVie Inc., Merck & Co., Inc. and Pfizer Inc.; via HSBC Securities (USA) Inc.; pricing July 6; Cusip: 40435FP27

• Autocallable contingent income barrier notes due July 11, 2025 linked to the lesser performing of the common stocks of International Business Machines Corp. and Intel Corp.; via HSBC Securities (USA) Inc.; pricing July 6; Cusip: 40435FM61

• 0% buffered market participation securities due Oct. 17, 2019 tied to the Financial Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing July 12; Cusip: 40435FH59

• 0% buffered market participation securities due Oct. 17, 2019 tied to the Market Vectors Gold Miners ETF; via HSBC Securities (USA) Inc.; pricing July 12; Cusip: 40435FH67

• 0% buffered market participation securities due Oct. 17, 2019 tied to the Technology Select Sector SPDR fund; via HSBC Securities (USA) Inc.; pricing July 12; Cusip: 40435FH42

• 0% barrier accelerated market participation securities linked to the SPDR S&P Regional Banking exchange-traded fund; via HSBC Securities (USA) Inc.; pricing July 20; Cusip: 40435FJ81

• 8.25% callable notes with contingent return due July 31, 2024 linked to the least performing of the S&P 500 index, the Dow Jones Industrial average and the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing July 24; Cusip: 40435FP35

JPMORGAN CHASE FINANCIAL CO. LLC

• 0% digital equity notes due Oct. 9, 2019 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 6; Cusip: 48129M6J0

• 0% capped buffered enhanced participation equity notes due Nov. 10, 2020 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 6; Cusip: 48129M5S1

• 0% contingent buffered digital notes due Aug. 15, 2019 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; 70% trigger; via J.P. Morgan Securities LLC; pricing July 10; Cusip: 48129M5D4

• Autocallable contingent interest notes due Jan. 22, 2021 linked to the least performing of the common stocks of Amazon.com Inc., Facebook, Inc., Alphabet, Inc. and Netflix, Inc.; 60% trigger; via J.P. Morgan Securities LLC; pricing July 16; Cusip: 48129M5J1

• Autocallable contingent interest notes due July 23, 2020 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 20; Cusip: 48129M5R3

• 0% capped buffered return enhanced notes due July 23, 2020 linked to an unequally weighted basket made up of the S&P 500 index, the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 20; Cusip: 48129M4Q6

• 0% uncapped dual directional buffered equity notes due July 28, 2020 linked to the lesser performing of the S&P 500 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing July 23; Cusip: 48129M4T0

• 0% capped buffered return enhanced notes due Jan. 29, 2021 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M6R2

• 0% contingent buffered return enhance notes due July 31, 2023 linked to the lesser performing of the iShares MSCI EAFE ETF and the Euro Stoxx 50 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5X0

• 0% uncapped dual directional contingent buffered return enhanced notes due July 30, 2021 linked to the iShares MSCI EAFE Small-Cap exchange-traded fund and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5T9

• Autocallable step-up contingent interest notes due July 30, 2020 linked to the lesser performing of the Russell 2000 index and the Euro Stoxx 50 index; 70% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5N2

• 0% uncapped buffered return enhanced notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M6U5

• 0% contingent buffered return enhance notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 50% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5Y8

• 0% dual directional contingent buffered equity notes due July 30, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index; 80% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5K8

• 0% contingent buffered return enhance notes due July 31, 2023 linked to the lesser performing of the Russell 2000 index and the S&P 500 Low Volatility High Dividend index; 60% trigger; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M5L6

• 0% uncapped dual directional contingent buffered equity notes due July 31, 2023 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing July 26; Cusip: 48129M7L4

• 0% buffered return enhanced notes due July 31, 2023 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing July 31; Cusip: 48129M6E1

• 0% digital dual directional notes due Aug. 8, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing Aug. 3; Cusip: 48129M4Y9

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due July 9, 2021 linked to the common stock of Amazon.com, Inc.; via Morgan Stanley & Co. LLC; pricing July 6; Cusip: 61768R195

• Contingent income autocallable securities due July 9, 2021 linked to the common stock of Apple Inc.; via Morgan Stanley & Co. LLC; pricing July 6; Cusip: 61768R229

• 9.3% contingent income autocallable securities due July 9, 2021 linked to the common stock of Facebook, Inc.; via Morgan Stanley & Co. LLC; pricing July 6; Cusip: 61768R203

• Contingent income autocallable securities due July 9, 2021 linked to the common stock of Netflix, Inc.; via Morgan Stanley & Co. LLC; pricing July 6; Cusip: 61768R211

• 0% trigger Performance Leveraged Upside Securities due Nov. 5, 2019 linked to the Topix index; via Morgan Stanley & Co. LLC; pricing July 13; Cusip: 61768R146

• 0% buffered Performance Leveraged Upside Securities due July 31, 2023 linked to the Dow Jones industrial average; via Morgan Stanley & Co. LLC; pricing July 26; Cusip: 61768C6M4

• Fixed-to-floating notes due July 31, 2023 linked to the 10-year Constant Maturity Treasury rate; via Morgan Stanley & Co. LLC; settlement on July 31; Cusip: 61760QLN2

• 24- to 27-month 0% leveraged buffered notes linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61768C5G8

ROYAL BANK OF CANADA

• 0% market-linked securities – leveraged upside participation and fixed percentage buffered downside due Aug. 3, 2023 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing July 31; Cusip: 78013XNL8

• 0% market-linked securities – autocallable with fixed percentage buffered downside due Aug. 3, 2021 linked to the Euro Stoxx 50 index; via Wells Fargo Securities, LLC; pricing July 31; Cusip: 78013XNM6

• 0% leveraged buffered notes due in 17 to 20 months linked to the MSCI EAFE index; 90% trigger; via RBC Capital Markets, LLC; Cusip: 78013XNQ7

UBS AG, LONDON BRANCH

• 24- to 27-month 0% leveraged buffered notes linked to a basket of the Euro Stoxx 50 index, the FTSE 100 index, the Topix index, the Swiss Market index and the S&P/ASX 200 index; via UBS Securities LLC; Cusip: 90270KSR1

WELLS FARGO & CO.

• Market-linked securities due July 21, 2021 – autocallable with contingent coupon and contingent downside linked to the lowest performing of the common stocks of Lowe’s Cos., Inc., Intel Corp., Delta Air Lines, Inc. and JPMorgan Chase & Co.; 60% trigger; via Wells Fargo Securities LLC; pricing July 16; Cusip: 95001B4Z4

• Step-up callable notes due July 30, 2022; via Wells Fargo Securities, LLC; pricing July 25; Cusip: 95001D2P4

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