Structured Products Calendar

BANK OF NOVA SCOTIA

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

BARCLAYS BANK PLC

• Phoenix autocallable notes due Nov. 30, 2021 linked to the least performing of the Nasdaq-100 index and the Dow Jones industrial average; via Barclays; pricing May 29; Cusip: 06747PU80

• 0% barrier SuperTrack notes due May 30, 2025 linked to the least performing of the Nasdaq-100 index, the S&P 500 index and the Dow Jones industrial average; via Barclays; pricing May 29; Cusip: 06747PTZ2

• Contingent coupon notes due May 31, 2024 linked to the least performing of the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index; via Barclays; pricing May 29; Cusip: 06747PTM1

• Callable contingent coupon notes due June 3, 2024 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index; via Barclays; pricing May 29; Cusip: 06747PTR0

• 0% buffered SuperTrack notes due May 30, 2025 linked to the lesser performing of the S&P 500 index and the Dow Jones industrial average; via Barclays; pricing May 29; Cusip: 06747PTL3

• 0% digital plus notes due Feb. 28, 2023 linked to the lesser performing of the S&P 500 index and the Nasdaq-100 index; via Barclays; pricing May 29; Cusip: 06747PU64

• 0% barrier SuperTrack notes due May 31, 2024 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing May 29; Cusip: 06747PU49

• 0% barrier SuperTrack notes due May 30, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via Barclays; pricing May 29; Cusip: 06747PU31

• 0% autocallable market-linked step-up notes; via BofA Securities, Inc.; pricing in May

CANADIAN IMPERIAL BANK OF COMMERCE

• 0% market-linked securities with leveraged upside participation and contingent downside due June 3, 2026 linked to the Dow Jones industrial average; via Wells Fargo Securities, LLC; pricing May 29; Cusip: 13605WYH8

• 0% market-linked securities with leveraged upside participation to a cap and fixed percentage buffered downside due Dec. 4, 2023 linked to an ETF basket (SPDR Dow Jones industrial average ETF trust, SPDR S&P MidCap 400 ETF trust and iShares Russell 2000 ETF); via Wells Fargo Securities, LLC; pricing May 29; Cusip: 13605WYF2

• 0% digital index-linked notes due in 36 to 9 months linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WYK1

• 0% digital index-linked notes due in 48 to 51 months linked to the S&P 500 index; via CIBC World Markets Corp.; Cusip: 13605WYJ4

CITIGROUP GLOBAL MARKETS HOLDINGS INC.

• Autocallable contingent coupon equity-linked securities due June 2, 2022 linked to the least performing of the Invesco QQQ Trust, Series 1 and the SPDR S&P 500 ETF Trust; via Citigroup Global Markets Inc.; pricing May 27; Cusip: 17324XA34

• Callable contingent coupon notes due Dec. 2, 2021 linked to the SPDR S&P 500 ETF trust; via Citigroup Global Markets Inc.; pricing May 29; Cusip: 17324XB82

CREDIT SUISSE AG, LONDON BRANCH

• 0% absolute return barrier securities due Feb. 29, 2024 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 29; Cusip: 22552W4M4

• 0% autocallable securities due Dec. 5, 2022 linked to the Russell 2000 index and the S&P 500 index; via Credit Suisse Securities (USA) LLC; pricing May 29; Cusip: 22552W4S1

• 0% buffered accelerated return equity securities due Dec. 2, 2022 linked to the lowest performing of the S&P 500 index and the Russell 2000 index; via Credit Suisse Securities (USA) LLC; pricing May 29; Cusip: 22552W4R3

• 0% Accelerated Return Notes due July 2021 linked to the SPDR Gold Shares fund; via BofA Securities, Inc.; pricing in May

GS FINANCE CORP.

• 0% autocallable buffered index-linked notes due June 3, 2025 linked to the Euro Stoxx 50 index; via Goldman Sachs & Co. LLC; pricing May 27; Cusip: 40057C3W9

• 9% to 9.65% trigger callable yield notes due May 28, 2021 linked to the S&P 500 index; via Goldman Sachs & Co. LLC and UBS Financial Services Inc.; pricing May 27; Cusip: 36259J381

• 0% buffered index-linked notes due Dec. 2, 2021 tied to the Dow Jones industrial average; via Goldman Sachs & Co. LLC; pricing May 29; Cusip: 40057C2M2

• 0% leveraged buffered notes due June 6, 2023 linked to the S&P 500 index; via Goldman Sachs & Co.; pricing June 1; Cusip: 40057C3N9

• 0% leveraged buffered basket-linked notes due in 30 to 33 months tied to a basket of indexes (Euro Stoxx 50 index with a 36% weight, the Topix index with a 27% weight, the FTSE 100 index with a 19% weight, the Swiss Market index with a 10% weight and the S&P/ASX 200 index with an 8% weight); via Goldman Sachs & Co. LLC; Cusip: 40057C2V2

• 0% five-year notes linked to the least performing of the Nasdaq-100 Technology Sector index and the Nasdaq-100 index; via Goldman Sachs & Co.; Cusip: 40057E4W4

• 0% bearish autocallable absolute return notes due in 13 to 15 months linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40057C2Z3

• 0% digital index-linked notes due in 24 to 27 months linked to the S&P 500 index; via Goldman Sachs & Co.; Cusip: 40057C2U4

HSBC USA INC.

• 0% Performance Leveraged Upside Securities due Sept. 3, 2021 linked to the Russell 2000 index; via HSBC Securities (USA) Inc.; pricing May 29; Cusip: 40438J676

JPMORGAN CHASE FINANCIAL CO. LLC

• Contingent income autocallable securities due June 2, 2023 linked to the common stock of Bank of America Corp.; via Morgan Stanley & Co. LLC; pricing May 29; Cusip: 61771C128

• 0% uncapped buffered equity notes due June 3, 2025 linked to the lesser performing of the S&P 500 index, Dow Jones industrial average and Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ99

• 0% uncapped dual directional contingent buffered return enhanced notes due June 3, 2025 tied to the lesser performing of the Dow Jones industrial average, the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KM69

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ40

• 0% uncapped dual directional buffered return enhanced notes due June 3, 2022 linked to the lesser performing of the iShares MSCI EAFE exchange-traded fund and the Euro Stoxx 50 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KN68

• 0% uncapped contingent buffered return enhanced notes due June 3, 2025 tied to the lesser performing of the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KM85

• 0% uncapped dual directional contingent buffered return enhanced notes due June 3, 2025 linked to the Euro Stoxx 50 index and the iShares MSCI EAFE exchange-traded fund; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KM51

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the iShares MSCI EAFE ETF; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ57

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the iShares MSCI Emerging Markets ETF; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ65

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the Nasdaq-100 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ32

• Contingent income autocallable securities due June 4, 2021 linked to Netflix, Inc. common shares; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132L780

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KQ24

• Autocallable contingent interest notes due June 4, 2021 linked to the least performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KS71

• 0% buffered digital notes due June 3, 2022 linked to the least performing of the S&P 500 index and the Russell 2000; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KM36

• 0% capped dual directional buffered equity notes due June 3, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KN50

• 0% uncapped dual directional contingent buffered equity notes due June 3, 2024 tied to the lesser performing of the Russell 2000 index and the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KM44

• 0% uncapped contingent buffered return enhanced notes due June 3, 2025 linked to the lesser performing of the S&P 500 index and the Russell 2000 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KN35

• 0% capped buffered return enhanced notes due Sept. 2, 2021 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KN27

• 0% capped buffered return enhanced notes due June 3, 2022 linked to the S&P 500 index; via J.P. Morgan Securities LLC; pricing May 29; Cusip: 48132KP66

MORGAN STANLEY FINANCE LLC

• Contingent income autocallable securities due Sept. 2, 2021 linked to the least performing of the Dow Jones industrial average and the Russell 2000 index; via Morgan Stanley & Co. LLC; pricing May 29; Cusip: 61771BFL3

• 0% dual directional buffered Performance Leveraged Upside Securities due June 3, 2022 linked to the worse performing of the Russell 2000 index and the S&P 500 index; via Morgan Stanley & Co. LLC; pricing May 29; Cusip: 61771BEG5

• 0% capped leveraged notes due in between 18 and 21 months linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61771BEX8

• 0% autocallable buffered notes due in 36 months linked to the S&P 500 index; via Morgan Stanley & Co. LLC; Cusip: 61770FFJ8

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