Primary Offering Prospectus – Form 424B2
Filed Pursuant to Rule 424(b)(2)
Registration No.333-272447
The information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying product supplement, underlying supplement, prospectus supplement and prospectus are not an offer to sell these securities and we are not soliciting an offer to buy these securities in any jurisdiction where the offer or sale is not permitted.
Subject to Completion, Dated
PRICING SUPPLEMENT dated , 2024 (To Product Supplement No. WF-1 dated |
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Senior Global Medium-Term Notes |
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside |
Principal at |
¨ | Linked to the S&P 500® Index |
¨ | Unlike ordinary debt securities, the securities do not pay interest, do not repay a fixed amount of principal at maturity and are subject to potential automatic call upon the terms described below. Whether the securities are automatically called on the relevant Call Observation Date for a fixed Call Premium or, if not automatically called, the Maturity Payment Amount, will depend, in each case, on the Closing Level of the Index |
¨ | Automatic Call. If the Closing Level of the Index on any Call Observation Date is greater than or equal to the Starting Level, the securities will be automatically called for the face amount plus the Call Premium applicable to that Call Observation Date. The Call Premium applicable to each Call Observation Date will be a percentage of the face amount that increases for each Call Observation Date based on a simple (non-compounding) retuof approximately at least 6.25% per annum (to be determined on the Pricing Date) |
Call Observation Date | Call Premium* | |
At least 6.25% of the face amount | ||
At least 12.50% of the face amount | ||
At least 18.75% of the face amount | ||
At least 25.00% of the face amount |
* The actual Call Premium applicable to each Call Observation Date will be determined on the Pricing Date | ||||
¨ | Maturity Payment Amount. If the securities are not automatically called, you will receive a Maturity Payment Amount that could be equal to or less than the face amount depending on the Closing Level of the Index on the Final Calculation Day as follows: | |||
¨ | If the Closing Level of the Index on the Final Calculation Day is less than the Starting Level, but not by more than 10.00%, you will receive the face amount of your securities | |||
¨ | If the Closing Level of the Index on the Final Calculation Day is less than the Starting Level by more than 10.00%, you will receive less than the face amount and have 1-to-1 downside exposure to the decrease in the level of the Index in excess of 10.00% | |||
¨ | Investors may lose up to 90.00% of the face amount | |||
¨ | Any positive retuon the securities will be limited to the applicable Call Premium, even if the Closing Level of the Index on the applicable Call Observation Date significantly exceeds the Starting Level. You will not participate in any appreciation of the Index beyond the applicable fixed Call Premium | |||
¨ | All payments on the securities are subject to the credit risk of |
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¨ | No periodic interest payments or dividends | |||
¨ | No exchange listing; designed to be held to maturity or earlier automatic call |
The securities have complex features and investing in the securities involves risks not associated with an investment in conventional debt securities. See "Selected Risk Considerations" beginning on page PRS-8 herein and "Risk Factors" beginning on page S-1 of the accompanying underlying supplement, page S-1 of the prospectus supplement and page 1 of the prospectus.
The securities are unsecured obligations of
Neither the
Original Offering Price | Maximum Underwriting Discount (1) (2) | Minimum Proceeds to CIBC | |||||||
Per Security | Up to |
At least |
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Total | $ | $ | $ | ||||||
(1) | The agent, |
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(2) | In respect of certain securities sold in this offering, the Issuer may pay a fee of up to |
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Our estimated value of the securities on the Pricing Date, based on our internal pricing models, is expected to be at least
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Terms of the Securities |
Issuer: | ||
Market Measure: | The S&P 500® Index (Bloomberg ticker symbol "SPX") (the "Index") | |
Original Offering Price: |
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Face Amount: | The principal amount of |
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Pricing Date*: | ||
Issue Date*: | ||
Stated Maturity Date*: |
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Automatic Call: |
If the Closing Level of the Index on any Call Observation Date (including the Final Calculation Day) is greater than or equal to the Starting Level, the securities will be automatically called, and on the related Call Payment Date you will be entitled to receive a cash payment per security in Any positive retuon the securities will be limited to the applicable Call Premium, even if the Closing Level of the Index on the applicable Call Observation Date significantly exceeds the Starting Level. You will not participate in any appreciation of the Index beyond the applicable Call Premium. If the securities are automatically called, they will cease to be outstanding on the related Call Payment Date and you will have no further rights under the securities after such Call Payment Date. You will not receive any notice from us if the securities are automatically called. |
Call Observation Dates* and Call Premiums: |
Call Observation Date | Call Premium | Payment per Security upon an Automatic Call | |
At least 6.25% of the face amount | At least |
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At least 12.50% of the face amount | At least |
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At least 18.75% of the face amount | At least |
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At least 25.00% of the face amount | At least |
The Call Premium applicable to each Call Observation Date will be a percentage of the face amount that increases for each Call Observation Date based on a simple (non-compounding) retuof approximately at least 6.25% per annum (to be determined on the Pricing Date). The actual Call Premium and payment per security upon an automatic call that is applicable to each Call Observation Date will be determined on the Pricing Date and will be at least the values specified in the foregoing table. We refer to The Call Observation Dates are subject to postponement for non-Trading Days and the occurrence of a Market Disruption Event. See "-Market Disruption Events and Postponement Provisions" below. |
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Call Payment Date: | Three Business Days after the applicable Call Observation Date (as each such Call Observation Date may be postponed pursuant to "-Market Disruption Events and Postponement Provisions" below, if applicable); provided that the Call Payment Date for the last Call Observation Date will be the Stated Maturity Date. |
PRS-2
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Maturity Payment Amount: |
If the securities are not automatically called, then on the Stated Maturity Date, you will be entitled to receive a cash payment per security in · if the Ending Level is less than the Starting Level but greater than or equal to the Threshold Level: · if the Ending Level is less than the Threshold Level: If the securities are not automatically called and the Ending Level is less than the Threshold Level, you will have 1-to-1 downside exposure to the decrease in the level of the Index in excess of 10.00% and will lose some, and possibly up to 90.00%, of the face amount of your securities at maturity. |
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Threshold Level: | , which is equal to 90.00% of the Starting Level. | |
Starting Level: | , the Closing Level of the Index on the Pricing Date. | |
Ending Level: | The Closing Level of the Index on the Final Calculation Day. | |
Closing Level: | As defined under "General Terms of the Securities-Certain Terms for Securities Linked to an Index-Certain Definitions" in the accompanying product supplement. | |
Market Disruption Events and Postponement Provisions: |
The Call Observation Dates (including the Final Calculation Day) are subject to postponement due to non-Trading Days and the occurrence of a Market Disruption Event. In addition, the Stated Maturity Date will be postponed if the Final Calculation Day is postponed and will be adjusted for non-Business Days. For more information regarding adjustments to the Call Observation Dates and the Stated Maturity Date, see "General Terms of the Securities-Consequences of a Market Disruption Event; Postponement of a Calculation Day-Securities Linked to a Single Market Measure" and "-Payment Dates" in the accompanying product supplement. For purposes of the accompanying product supplement, each Call Observation Dates (including the Final Calculation Day) is a "calculation day" and each Call Payment Date (including the Stated Maturity Date) is a "payment date." In addition, for information regarding the circumstances that may result in a Market Disruption Event, see "General Terms of the Securities-Certain Terms for Securities Linked to an Index-Market Disruption Events" in the accompanying product supplement. | |
Calculation Agent: | CIBC | |
Material |
For a discussion of the material |
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Agent's Underwriting Discount and Other Fees: |
We expect to hedge our obligations through the agent, one of our or its affiliates and/or another unaffiliated counterparty, which expects to realize hedging profits projected by its proprietary pricing models to the extent it assumes the risks inherent in hedging our obligations under the securities. If any dealer participating in the distribution of the securities or any of its affiliates conducts hedging activities for us in connection with the securities, that dealer or its affiliate will expect to realize a profit projected by its proprietary pricing models from such hedging activities. Any such projected profit will be in addition to any discount, concession or fee received in connection with the sale of the securities to you. |
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Settlement: | Delivery of the securities will be made against payment therefor in |
PRS-3
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
wish to trade securities on any date prior to one business day before delivery will be required to specify alternative settlement arrangements to prevent a failed settlement. | ||
Denominations: | ||
CUSIP / ISIN: | 13607XUN5 / US13607XUN55 |
*To the extent that we make any change to the expected Pricing Date or expected Issue Date, the Call Observation Dates, the Stated Maturity Date and other dates may also be changed in our discretion to ensure that the term of the securities remains the same.
PRS-4
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
About This Pricing Supplement |
You should read this pricing supplement together with the prospectus dated
You should rely only on the information contained in or incorporated by reference in this pricing supplement, the accompanying product supplement, underlying supplement, prospectus supplement and prospectus. This pricing supplement may be used only for the purpose for which it has been prepared. No one is authorized to give information other than that contained in this pricing supplement, the accompanying product supplement, underlying supplement, prospectus supplement and prospectus, and in the documents referred to in these documents and which are made available to the public. We have not, and
We are not, and
The Bank,
References to "CIBC," "the Issuer," "the Bank," "we," "us" and "our" in this pricing supplement are references to
You may access the product supplement, the underlying supplement, the prospectus supplement and the prospectus on the
· | Product supplement dated |
https://www.sec.gov/Archives/edgar/data/1045520/000110465923098182/tm2322483d93_424b5.htm
· | Underlying supplement dated |
https://www.sec.gov/Archives/edgar/data/1045520/000110465923098170/tm2322483d89_424b5.htm
· | Prospectus supplement dated |
https://www.sec.gov/Archives/edgar/data/1045520/000110465923098166/tm2322483d94_424b5.htm
· | Prospectus dated |
https://www.sec.gov/Archives/edgar/data/1045520/000110465923098163/tm2325339d10_424b3.htm
PRS-5
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Investor Considerations |
The securities are not appropriate for all investors. The securities may be an appropriate investment for investors who:
● | believe that the Closing Level of the Index will be greater than or equal to the Starting Level on one of the Call Observation Dates; | ||
● | seek the potential for a fixed retuif the Index has appreciated at all as of any of the Call Observation Dates in lieu of full participation in any potential appreciation of the Index; | ||
● | are willing to accept the risk that if the Closing Level of the Index is less than the Starting Level on each of the Call Observation Dates (including the Final Calculation Day), they will not receive any positive retuon their investment in the securities; | ||
● | are willing to accept the risk that if the securities are not automatically called and the Ending Level is less than the Starting Level by more than 10.00%, they will receive less, and up to 90.00% less, than the face amount; | ||
● | understand that the term of the securities may be as short as approximately one year and that they will not receive a higher Call Premium payable with respect to a later Call Observation Date if the securities are called on an earlier Call Observation Date; | ||
● | are willing to forgo periodic interest payments on the securities and dividends on securities included in the Index; and | ||
● | are willing to hold the securities until maturity or earlier automatic call. |
The securities may not be an appropriate investment for investors who:
● | seek a liquid investment or are unable or unwilling to hold the securities to maturity or earlier automatic call; | ||
● | believe that the Closing Level of the Index will be less than the Starting Level on each of the Call Observation Dates; | ||
● | seek a security with a fixed term; | ||
● | seek full retuat maturity of the face amount of the securities; | ||
● | are unwilling to accept the risk that, if the Closing Level of the Index is less than the Starting Level on each of the Call Observation Dates (including the Final Calculation Day), they will not receive any positive retuon their investment in the securities; | ||
● | are unwilling to accept the risk that the securities are not automatically called and the Closing Level of the Index may decrease by more than 10.00% from the Starting Level to the Ending Level; | ||
● | are unwilling to purchase securities with an estimated value as of the Pricing Date that is lower than the original offering price, and may be as low as the lower estimate set forth on the cover page; | ||
● | seek current income; | ||
● | are unwilling to accept the risk of exposure to the Index; | ||
● | seek uncapped exposure to the upside performance of the Index beyond the applicable Call Premiums; | ||
● | are unwilling to accept the credit risk of CIBC; or | ||
● | prefer the lower risk of conventional fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the "Selected Risk Considerations" herein and the "Risk Factors" in the accompanying underlying supplement for risks related to an investment in the securities.
PRS-6
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Determining Timing and Amount of Payment on the Securities |
Whether the securities are automatically called on any Call Observation Date will each be determined based on the Closing Level of the Index on the applicable Call Observation Date as follows:
Is the Closing Level of the Index greater than or equal to the Starting Level on any Call Observation Date?
The securities will be automatically called and you will receive an amount per security equal to face amount plus the applicable Call Premium on the related Call Payment Date.
PRS-7
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Selected Risk Considerations |
The securities have complex features and investing in the securities will involve risks not associated with an investment in conventional debt securities. Some of the risks that apply to an investment in the securities are summarized below, but we urge you to read the more detailed explanation of the risks relating to the securities generally in the "Risk Factors" beginning on page S-1 of the accompanying underlying supplement, page S-1 of the prospectus supplement and page 1 of the prospectus. You should reach an investment decision only after you have carefully considered with your advisors the appropriateness of an investment in the securities in light of your particular circumstances.
Risks Relating To
If The Securities Are Not Automatically Called And The Ending Level Is Less Than The Threshold Level, You Will Lose Some, And Possibly Up To 90.00%, Of The Face Amount Of Your Securities At Maturity.
We will not repay you a fixed amount on the securities at maturity. If the Closing Level of the Index is less than the Starting Level on each Call Observation Date, the securities will not be automatically called, and you will receive a Maturity Payment Amount that will be equal to or less than the face amount, depending on the Ending Level (i.e., the Closing Level of the Index on the Final Calculation Day).
If the Ending Level is less than the Threshold Level, the Maturity Payment Amount will be less than the face amount and you will have 1-to-1 downside exposure to the decrease in the level of the Index in excess of 10.00%, resulting in a loss of 1% of the face amount for every 1% decline in the Index in excess of 10.00%. The Threshold Level is 90.00% of the Starting Level. As a result, if the Ending Level is less than the Threshold Level, you will lose some, and possibly up to 90.00%, of the face amount at maturity. This is the case even if the level of the Index is greater than or equal to the Starting Level or the Threshold Level at certain times during the term of the securities.
If the securities are not automatically called, your retuon the securities will be zero or negative, and therefore will be less than the retuyou would eaif you bought a traditional interest-bearing debt security of CIBC or another issuer with a similar credit rating with the same Stated Maturity Date.
The Potential RetuOn The Securities Is Limited To The Call Premium.
The potential retuon the securities is limited to the applicable Call Premium, regardless of the performance of the Index. The Index may appreciate by significantly more than the percentage represented by the applicable Call Premium from the Pricing Date through the applicable Call Observation Date, in which case an investment in the securities will underperform a hypothetical alternative investment providing a 1-to-1 retubased on the performance of the Index. Furthermore, if the securities are called on an earlier Call Observation Date, you will receive a lower Call Premium than if the securities were called on a later Call Observation Date, and accordingly, if the securities are called on one of the earlier Call Observation Dates, you will not receive the highest potential Call Premium.
You Will Be Subject To Reinvestment Risk.
If your securities are automatically called early, the term of the securities may be reduced to as short as approximately one year. There is no guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable retufor a similar level of risk in the event the securities are automatically called prior to maturity.
No Periodic Interest Will Be Paid On
No periodic interest will be paid on the securities. However, if the securities were classified for
A Call Payment Date Or The Stated Maturity Date May Be Postponed If A Calculation Day Is Postponed.
A Call Observation Date, including the Final Calculation Day, will be postponed if the applicable originally scheduled Call Observation Date is not a Trading Day or if the calculation agent determines that a Market Disruption Event has occurred or is continuing on that Call Observation Date. If such a postponement occurs with respect to a Call Observation Date other than the Final Calculation Day, then the related Call Payment Date will be postponed. If such a postponement occurs with respect to the Final Calculation Day, the Stated Maturity Date will be the later of (i) the initial Stated Maturity Date and (ii) three Business Days after the Final Calculation Day, as postponed.
PRS-8
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Risk Relating To The Credit Risk Of CIBC
The Securities Are Subject To
The securities are our obligations exclusively and are not, either directly or indirectly, an obligation of any third party. Any amounts payable under the securities are subject to our creditworthiness, and you will have no ability to pursue any securities included in the Index for payment. As a result, our actual and perceived creditworthiness and actual or anticipated decreases in our credit ratings may affect the value of the securities and, in the event we were to default on our obligations, you may not receive any amounts owed to you under the terms of the securities. See "Description of Senior Debt Securities-Events of Default" in the prospectus.
Risks Relating To The Estimated Value Of The Securities And Any Secondary Market
Our Estimated Value Of The Securities Will Be Lower Than The Original Offering Price Of The Securities.
Our estimated value is only an estimate using several factors. The original offering price of the securities will exceed our estimated value because costs associated with selling and structuring the securities, as well as hedging the securities, are included in the original offering price of the securities. See "The Estimated Value of the Securities" in this pricing supplement.
Our Estimated Value Does Not Represent Future Values Of The Securities And May Differ From Others' Estimates.
Our estimated value of the securities is determined by reference to our internal pricing models when the terms of the securities are set. This estimated value is based on market conditions and other relevant factors existing at that time and our assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the securities that are greater than or less than our estimated value. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the securities could change significantly based on, among other things, changes in market conditions, our creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which
Our Estimated Value Is Not Determined By Reference To Credit Spreads For Our Conventional Fixed-Rate Debt.
The internal funding rate used in the determination of our estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. If we were to use the interest rate implied by our conventional fixed-rate credit spreads, we would expect the economic terms of the securities to be more favorable to you. Consequently, our use of an internal funding rate would have an adverse effect on the terms of the securities and any secondary market prices of the securities. See "The Estimated Value of the Securities" in this pricing supplement.
The Estimated Value Of The Securities Will Not Be An Indication Of The Price, If Any, At Which
The price, if any, at which
If
PRS-9
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
The Value Of The Securities Prior To Maturity Or Automatic Call Will Be Affected By Numerous Factors, Some Of Which Are Related In Complex Ways.
The value of the securities prior to maturity or automatic call will be affected by the then-current level of the Index, interest rates at that time and a number of other factors, some of which are interrelated in complex ways. The effect of any one factor may be offset or magnified by the effect of another factor. The following factors, among others, are expected to affect the value of the securities: Index performance; volatility of the Index; economic and other conditions generally; interest rates; dividend yields on securities included in the Index; our credit ratings or credit spreads; and time remaining to maturity. When we refer to the "value" of your security, we mean the value you could receive for your security if you are able to sell it in the open market before the Stated Maturity Date.
The value of the securities will also be limited by the automatic call feature because if the securities are automatically called, the retuwill not be greater than the applicable Call Premium. You should understand that the impact of one of the factors specified above, such as a change in interest rates, may offset some or all of any change in the value of the securities attributable to another factor, such as a change in the level of the Index. Because numerous factors are expected to affect the value of the securities, changes in the level of the Index may not result in a comparable change in the value of the securities.
The Securities Will Not Be Listed On Any Securities Exchange And We Do Not Expect A Trading Market For The Securities To Develop.
The securities will not be listed on any securities exchange. Although
If a secondary market does exist, it may be limited. Accordingly, there may be a limited number of buyers if you decide to sell your securities prior to maturity or automatic call. This may affect the price you receive upon such sale. Consequently, you should be willing to hold the securities to maturity or automatic call.
Risks Relating To Conflicts Of Interest
We Or One Of Our Affiliates Will Be The Calculation Agent And, As A Result, Potential Conflicts Of Interest Could Arise.
We or one of our affiliates will be the calculation agent for purposes of determining, among other things, the Closing Levels of the Index on each Call Observation Date and whether the securities are automatically called and may be required to make other determinations that affect the retuyou receive on the securities. In making these determinations, the calculation agent may be required to make discretionary judgments, including determining whether a Market Disruption Event has occurred on a scheduled Call Observation Date, which may result in postponement of that Call Observation Date; determining the Closing Level of the Index if a Call Observation Date is postponed to the last day to which it may be postponed and a Market Disruption Event occurs on that day; if publication of the Index is discontinued, selecting a successor or, if no successor is available, determining the Closing Level on the applicable Call Observation Date; and determining whether to adjust the Closing Level of the Index on a Call Observation Date in the event of certain changes in or modifications to the Index. Although the calculation agent will exercise its judgment in good faith when performing its functions, potential conflicts of interest may exist between the calculation agent and you.
Our Economic Interests And Those Of Any Dealer Participating In The Offering Of Securities Will Potentially Be Adverse To Your Interests.
You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the securities, which we refer to as a "participating dealer," will potentially be adverse to your interests as an investor in the securities. In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take actions that may adversely affect the value of and your retuon the securities, and in so doing they will have no obligation to consider your interests as an investor in the securities. Our affiliates or any participating dealer or its affiliates may realize a profit from these activities even if investors do not receive a favorable investment retuon the securities.
· | Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the securities and may adversely affect the level of the Index. |
· | Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included in the Index may adversely affect the level of the Index. |
· | Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the Index. |
· | Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the Index. |
PRS-10
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
· | A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling concession and/or any fee, creating a further incentive for the participating dealer to sell the securities to you. |
Risks Relating To Tax
The
There is no direct legal authority regarding the proper
Both
There Can Be No Assurance That The Canadian Federal Income Tax Consequences Of An Investment In The Securities Will Not Change In The Future.
There can be no assurance that Canadian federal income tax laws, the judicial interpretation thereof, or the administrative policies and assessing practices of the
PRS-11
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Hypothetical Examples and Returns |
The payout profile, retutables and examples below illustrate hypothetical payments upon an automatic call or at maturity for a
Hypothetical Call Premiums: | 6.25% for the first Call Observation Date, 12.50% for the second Call Observation Date, 18.75% for the third Call Observation Date and 25.00% for the fourth Call Observation Date (assuming that a Call Premium is equal to the lowest possible Call Premium that will be determined on the Pricing Date) |
Hypothetical Starting Level: | 100.00 |
Hypothetical Threshold Level: | 90.00 (90.00% of the hypothetical Starting Level) |
Hypothetical Payout Profile
PRS-12
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Hypothetical Returns
If the securities are automatically called:
Hypothetical Call Observation Date on which Securities are Automatically Called |
Hypothetical Payment Per Security on Related Call Payment Date |
Hypothetical Pre-Tax Total Rate of Return |
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1st Call Observation Date | 6.25% | |||
2nd Call Observation Date | 12.50% | |||
3rd Call Observation Date | 18.75% | |||
4th Call Observation Date | 25.00% |
If the securities are not automatically called:
Hypothetical Ending Level |
Hypothetical Percentage Change From the Hypothetical Starting |
Hypothetical Maturity Payment Amount Per Security |
Hypothetical Pre-Tax Total Rate of Return(1) |
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99.99 | -0.01% | 0.00% | ||||
95.00 | -5.00% | 0.00% | ||||
90.00 | -10.00% | 0.00% | ||||
89.00 | -11.00% | -1.00% | ||||
80.00 | -20.00% | -10.00% | ||||
75.00 | -25.00% | -15.00% | ||||
70.00 | -30.00% | -20.00% | ||||
50.00 | -50.00% | -40.00% | ||||
25.00 | -75.00% | -65.00% | ||||
0.00 | -100.00% | -90.00% |
(1) | The hypothetical pre-tax total rate of retuis the number, expressed as a percentage, that results from comparing the payment per security upon automatic call or at maturity to the face amount of |
Hypothetical Examples Of Payment Upon An Automatic Call Or At Stated Maturity
Example 1. The Closing Level of the Index on the first Call Observation Date is greater than the Starting Level, and the securities are automatically called on the first Call Observation Date:
S&P 500® Index | |
Hypothetical Starting Level: | 100.00 |
Hypothetical Closing Level on first Call Observation Date: | 125.00 |
Because the hypothetical Closing Level of the Index on the first Call Observation Date is greater than the hypothetical Starting Level, the securities are automatically called on the first Call Observation Date and you will receive on the related Call Payment Date the face amount of your securities plus a Call Premium of 6.25% of the face amount. Even though the Index appreciated by 25.00% from its Starting Level to its Closing Level on the first Call Observation Date in this example, your retuis limited to the Call Premium of 6.25% that is applicable to such Call Observation Date.
On the Call Payment Date, you would receive
PRS-13
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Example 2. The securities are not automatically called prior to the last Call Observation Date (the Final Calculation Day). The Closing Level of the Index on the Final Calculation Day is greater than the Starting Level, and the securities are automatically called on the Final Calculation Day:
S&P 500® Index | |
Hypothetical Starting Level: | 100.00 |
Hypothetical Closing Level on Call Observation Dates prior to the Final Calculation Day: | Various (all below Starting Level) |
Hypothetical Closing Level on Final Calculation Day (i.e., the Ending Level): | 120.00 |
Because the hypothetical Closing Level of the Index on each Call Observation Date prior to the last Call Observation Date (which is the Final Calculation Day) is less than the hypothetical Starting Level, the securities are not called prior to the Final Calculation Day. Because the Closing Level of the Index on the Final Calculation Day is greater than the Starting Level, the securities are automatically called on the Final Calculation Day and you will receive on the related Call Payment Date (which is the Stated Maturity Date) the face amount of your securities plus a Call Premium of 25.00% of the face amount.
On the Call Payment Date (which is the Stated Maturity Date), you would receive
Example 3. The securities are not automatically called. The Ending Level is less than the Starting Level but greater than the Threshold Level and the Maturity Payment Amount is equal to the face amount:
S&P 500® Index | |
Hypothetical Starting Level: | 100.00 |
Hypothetical Closing Level on each Call Observation Date: | Various (all below Starting Level) |
Hypothetical Ending Level: | 95.00 |
Hypothetical Threshold Level: | 90.00, which is 90.00% of the hypothetical Starting Level |
Because the hypothetical Closing Level of the Index on each Call Observation Date (including the Final Calculation Day) is less than the hypothetical Starting Level, the securities are not automatically called. Because the hypothetical Ending Level is less than the hypothetical Starting Level, but not by more than 10.00%, you would receive the face amount of your securities at maturity.
On the Stated Maturity Date, you would receive
PRS-14
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Example 4. The securities are not automatically called. The Ending Level is less than the Threshold Level and the Maturity Payment Amount is less than the face amount:
S&P 500® Index | |
Hypothetical Starting Level: | 100.00 |
Hypothetical Closing Level on each Call Observation Date: | Various (all below Starting Level) |
Hypothetical Ending Level: | 50.00 |
Hypothetical Threshold Level: | 90.00, which is 90.00% of the hypothetical Starting Level |
Because the hypothetical Closing Level of the Index on each Call Observation Date (including the Final Calculation Day) is less than the hypothetical Starting Level, the securities are not automatically called. Because the hypothetical Ending Level is less than the hypothetical Starting Level by more than 10.00%, you would lose a portion of the face amount of your securities and receive the Maturity Payment Amount equal to:
× | 90.00 - 50.00 | = |
|||||
100.00 |
On the Stated Maturity Date, you would receive
PRS-15
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
The S&P 500® Index |
The Index is calculated, maintained and published by
Historical Data
We obtained the Closing Levels of the Index in the graph below from
The following graph sets forth daily Closing Levels of the Index for the period from
Historical Performance of theIndex
Source: Bloomberg
PRS-16
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
The Estimated Value of the Securities |
The estimated value of the securities set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the securities, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the securities. The estimated value does not represent a minimum price at which
The Bank's estimated value of the securities will be lower than the original offering price of the securities because costs associated with selling, structuring and hedging the securities are included in the original offering price of the securities. These costs include the selling commissions paid to affiliated or unaffiliated dealers, the projected profits that our hedge counterparties, which may include our affiliates, expect to realize for assuming risks inherent in hedging our obligations under the securities and the estimated cost of hedging our obligations under the securities. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the securities. See "Risk Factors-Our Estimated Value of the Securities Will Be Lower Than
PRS-17
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Summary of |
The following discussion is a brief summary of the material
The
The expected characterization of the securities is not binding on the
With respect to the discussion in the underlying supplement regarding "dividend equivalent" payments, the
You should consult your tax advisor as to the tax consequences of such characterization and any possible alternative characterizations of the securitiesfor
PRS-18
Market Linked Securities-Auto-Callable with Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the S&P 500® Index due |
Certain Canadian Federal Income Tax Considerations |
In the opinion of
This summary assumes that no amount paid or payable to a holder described herein will be the deduction component of a "hybrid mismatch arrangement" under which the payment arises within the meaning of the rules in the Canadian Tax Act with respect to "hybrid mismatch arrangements" (the "Hybrid Mismatch Rules"). Investors should note that the Hybrid Mismatch Rules are highly complex and there remains significant uncertainty as to their interpretation and application.
This summary is supplemental to and should be read together with the description of material Canadian federal income tax considerations relevant to a Non-Resident Holder owning securities under "Material Income Tax Consequences-Canadian Taxation" in the accompanying prospectus and a Non-Resident Holder should carefully read that description as well.
This summary is of a general nature only and is not intended to be, nor should it be construed to be, legal or tax advice to any particular Non-Resident Holder. Non-Resident Holders are advised to consult with their own tax advisors with respect to their particular circumstances.
Based on Canadian tax counsel's understanding of the
Non-Resident Holders should consult their own advisors regarding the consequences to them of a disposition of securities to a person with whom they are not dealing at arm's length for purposes of the Canadian Tax Act.
PRS-19
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