Obligation CBIC 0% ( US13605WYM71 ) en USD

CBIC

100 % ⇌

Canada

US13605WYM71 ( en USD )

16/03/2022 - Obligation échue

Prospectus brochure de l'obligation CIBC US13605WYM71 en USD 0%, échue

1 000 USD

1 086 000 USD

13605WYM7

N/A

La Banque CIBC (Canadian Imperial Bank of Commerce) est une grande banque commerciale canadienne offrant une gamme complète de services financiers, y compris des services bancaires aux particuliers et aux entreprises, des services de gestion de patrimoine et des services de marchés des capitaux.

L'Obligation émise par CBIC ( Canada ) , en USD, avec le code ISIN US13605WYM71, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 16/03/2022

424B2 1 a20-21573_6424b2.htm 424B2

Filed Pursuant to Rule 424(b)(2)
Registration No. 333-233663

PRICING SUPPLEMENT dated June 2, 2020
(To Equity Index Underlying Supplement dated December 16, 2019,
Prospectus Supplement dated December 16, 2019 and
Prospectus dated December 16, 2019)

Ca na dia n I m pe ria l Ba nk of Com m e rc e
$ 1 ,0 8 6 ,0 0 0
Se nior Globa l M e dium -T e rm N ot e s
Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

T he not e s do not be a r int e re st . The amount that you will be paid on your notes on the stated maturity date (March 16, 2022, subject to adjustment) is
based on the performance of a weighted basket comprised of the EURO STOXX 50® Index (36.00% weighting), the TOPIX (27.00% weighting), the
FTSE® 100 Index (19.00% weighting), the Swiss Market Index (10.00% weighting) and the S&P/ASX 200 Index (8.00% weighting) (the "basket") as
measured from the trade date to and including the determination date (March 14, 2022, subject to adjustment). The initial basket level is 100 and the final
basket level will equal the sum of the products, as calculated for each basket underlier, of: (i) the final basket underlier level divided by the initial basket
underlier level (set on the trade date and equal to the closing level of the basket underlier on the trade date) multiplied by (ii) the applicable initial weighted
value for the basket underlier. If the final basket level on the determination date is greater than the initial basket level, the return on your notes will be
positive, subject to the maximum settlement amount ($1,267.00 for each $1,000 face amount of your notes). If the final basket level is less than the initial
basket level, the return on your notes will be negative. Y ou c ould lose your e nt ire inve st m e nt in t he not e s.

To determine your payment at maturity, we will calculate the basket return, which is the percentage increase or decrease in the final basket level from the
initial basket level. On the stated maturity date, for each $1,000 face amount of your notes, you will receive an amount in cash equal to:

·
if the basket return is

positive (i.e. the final basket level is greater than the initial basket level), the sum of (i) $1,000 plus (ii) the product of (a) $1,000
times (b) 3 times (c) the basket return, subject to the maximum settlement amount; or

·
if the basket return is

zero or negative (i.e. the final basket level is equal to or is less than the initial basket level), the sum of (i) $1,000 plus
(ii) the product of (a) the basket return times (b) $1,000.

De c line s in one ba sk e t unde rlie r m a y offse t inc re a se s in t he ot he r ba sk e t unde rlie rs. Due t o t he une qua l w e ight ing of e a c h
ba sk e t unde rlie r, t he pe rform a nc e s of t he EU RO ST OX X 5 0 ® I nde x , t he T OPI X a nd t he FT SE ® 1 0 0 I nde x w ill ha ve a
signific a nt ly la rge r im pa c t on your re t urn on t he not e s t ha n t he pe rform a nc e of t he Sw iss M a rk e t I nde x or t he S& P/ASX 2 0 0
I nde x .

T he not e s ha ve c om ple x fe a t ure s a nd inve st ing in t he not e s involve s risk s not a ssoc ia t e d w it h a n inve st m e nt in c onve nt iona l
de bt se c urit ie s. Se e "Addit iona l Risk Fa c t ors Spe c ific t o Y our N ot e s" be ginning on pa ge PRS -1 3 of t his Pric ing Supple m e nt
a nd "Risk Fa c t ors" be ginning on pa ge S-1 of t he a c c om pa nying U nde rlying Supple m e nt .

Our estimated value of the notes on the trade date, based on our internal pricing models, is $990.00 per note. The estimated value is less than the initial
issue price of the notes. See "The Bank's Estimated Value of the Notes" in this Pricing Supplement.

Initial Issue Price
Price to Public
Agent's Commission
Proceeds to Issuer
Per Note
$1,000
100%
0%
100%
Total
$1,086,000
$1,086,000
$0
$1,086,000

T he not e s a re unse c ure d obliga t ions of Ca na dia n I m pe ria l Ba nk of Com m e rc e a nd a ll pa ym e nt s on t he not e s a re subje c t t o
t he c re dit risk of Ca na dia n I m pe ria l Ba nk of Com m e rc e . T he not e s w ill not c onst it ut e de posit s insure d by t he Ca na da De posit
I nsura nc e Corpora t ion, t he U .S. Fe de ra l De posit I nsura nc e Corpora t ion or a ny ot he r gove rnm e nt a ge nc y or inst rum e nt a lit y of
Ca na da , t he U nit e d St a t e s or a ny ot he r jurisdic t ion. T he not e s a re not ba il-ina ble de bt se c urit ie s (a s de fine d on pa ge 6 of t he
prospe c t us). T he not e s w ill not be list e d on a ny U .S. se c urit ie s e x c ha nge or int e rde a le r quot a t ion syst e m .

N e it he r t he U nit e d St a t e s Se c urit ie s a nd Ex c ha nge Com m ission (t he "SEC") nor a ny st a t e or provinc ia l se c urit ie s c om m ission
ha s a pprove d or disa pprove d of t he se se c urit ie s or de t e rm ine d if t his Pric ing Supple m e nt or t he a c c om pa nying U nde rlying
Supple m e nt , Prospe c t us Supple m e nt or Prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l
offe nse .

The issue price, agent's commission and net proceeds listed above relate to the notes we will sell initially. We may decide to sell additional notes after the
trade date, at issue prices and with agent's commissions and net proceeds that differ from the amounts set forth above. The return (whether positive or
negative) on your investment will depend in part on the issue price you pay for your notes.

CI BC World M a rk e t s Corp. or one of our ot he r a ffilia t e s m a y use t his Pric ing Supple m e nt in a m a rk e t -m a k ing t ra nsa c t ion in a
not e a ft e r it s init ia l sa le . U nle ss w e or our a ge nt inform s t he purc ha se r ot he rw ise in t he c onfirm a t ion of sa le , t his Pric ing
Supple m e nt is be ing use d in a m a rk e t -m a k ing t ra nsa c t ion.

https://www.sec.gov/Archives/edgar/data/1045520/000110465920069719/a20-21573_6424b2.htm[6/4/2020 3:06:15 PM]

We w ill de live r t he not e s in book -e nt ry form t hrough t he fa c ilit ie s of T he De posit ory T rust Com pa ny ("DT C") on J une 9 , 2 0 2 0
a ga inst pa ym e nt in im m e dia t e ly a va ila ble funds.

CI BC World M a rk e t s

Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

ABOU T T H I S PRI CI N G SU PPLEM EN T

You should read this Pricing Supplement together with the Prospectus dated December 16, 2019 (the "Prospectus"), the
Prospectus Supplement dated December 16, 2019 (the "Prospectus Supplement") and the Equity Index Underlying Supplement
dated December 16, 2019 (the "Underlying Supplement"), each relating to our Senior Global Medium-Term Notes, for additional
information about the notes. Information in this Pricing Supplement supersedes information in the accompanying Underlying
Supplement, Prospectus Supplement and Prospectus to the extent it is different from that information. Certain terms used but not
defined herein have the meanings set forth in the accompanying Underlying Supplement, Prospectus Supplement or Prospectus.

You should rely only on the information contained in or incorporated by reference in this Pricing Supplement and the accompanying
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 and the
accompanying 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 CIBC World Markets Corp. ("CIBCWM") has not,
authorized any other person to provide you with different or additional information. If anyone provides you with different or additional
information, you should not rely on it.

We are not, and CIBCWM is not, making an offer to sell the notes in any jurisdiction where the offer or sale is not permitted. You
should not assume that the information contained in or incorporated by reference in this Pricing Supplement or the accompanying
Underlying Supplement, Prospectus Supplement or Prospectus is accurate as of any date other than the date of the applicable
document. Our business, financial condition, results of operations and prospects may have changed since that date. Neither this
Pricing Supplement nor the accompanying Underlying Supplement, Prospectus Supplement or Prospectus constitutes an offer, or
an invitation on our behalf or on behalf of CIBCWM, to subscribe for and purchase any of the notes and may not be used for or in
connection with an offer or solicitation by anyone in any jurisdiction in which such an offer or solicitation is not authorized or to any
person to whom it is unlawful to make such an offer or solicitation.

References to "CIBC," "the Issuer," "the Bank," "we," "us" and "our" in this Pricing Supplement are references to Canadian Imperial
Bank of Commerce and not to any of our subsidiaries, unless we state otherwise or the context otherwise requires.

You may access the accompanying Underlying Supplement, Prospectus Supplement and Prospectus on the SEC website
www.sec.gov as follows (or if such address has changed, by reviewing our filing for the relevant date on the SEC website):

·
Underlying Supplement dated December 16, 2019:

https://www.sec.gov/Archives/edgar/data/1045520/000110465919073068/a19-25016_7424b2.htm

·
Prospectus Supplement dated December 16, 2019:

https://www.sec.gov/Archives/edgar/data/1045520/000110465919073058/a19-24965_3424b2.htm

·
Prospectus dated December 16, 2019:

https://www.sec.gov/Archives/edgar/data/1045520/000110465919073027/a19-24965_1424b3.htm

PRS-2

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SU M M ARY I N FORM AT I ON

We refer to the notes we are offering by this Pricing Supplement as the "offered notes" or the "notes". Each of the offered notes
has the terms described below. Terms used but not defined in this Pricing Supplement have the meanings set forth in the
accompanying Underlying Supplement, Prospectus Supplement or Prospectus. This section is meant as a summary and should
be read in conjunction with the accompanying Prospectus, Prospectus Supplement and Underlying Supplement. This Pricing
Supplement supersedes any conflicting provisions of the documents listed above.

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K e y T e rm s

I ssue r: Canadian Imperial Bank of Commerce

Ba sk e t unde rlie rs: the EURO STOXX 50® Index (Bloomberg symbol, "SX5E Index"), as published by STOXX Limited
("STOXX"); the TOPIX (Bloomberg symbol, "TPX Index"), as maintained by the Tokyo Stock Exchange, Inc. ("TSE"); the
FTSE® 100 Index (Bloomberg symbol, "UKX Index"), as published by FTSE Russell ("FTSE"); the Swiss Market Index (Bloomberg
symbol, "SMI Index"), as published by SIX Group Ltd. ("SIX Group"); and the S&P/ASX 200 Index (Bloomberg symbol, "AS51
Index"), as published by S&P Dow Jones Indices LLC ("S&P"); see "The Basket and the Basket Underliers" in this Pricing
Supplement

Spe c ifie d c urre nc y: U.S. dollars ("$")

Fa c e a m ount : each note will have a face amount of $1,000; $1,086,000 in the aggregate for all the offered notes; the
aggregate face amount of the offered notes may be increased if the Issuer, at its sole option, decides to sell an additional amount
of the offered notes on a date subsequent to the trade date

M inim um I nve st m e nt : $1,000 (one note)

De nom ina t ions: $1,000 and integral multiples of $1,000 in excess thereof

Purc ha se a t a m ount ot he r t ha n fa c e a m ount : the amount we will pay you on the stated maturity date for your notes will
not be adjusted based on the issue price you pay for your notes, so if you acquire notes at a premium (or a discount) to face
amount and hold them to the stated maturity date, it could affect your investment in a number of ways. The return on your
investment in such notes will be lower (or higher) than it would have been had you purchased the notes at face amount.
Additionally, the cap level would be triggered at a lower (or higher) percentage return than indicated below, relative to your initial
investment. See "Additional Risk Factors Specific to Your Notes -- If You Purchase Your Notes at a Premium to Face Amount, the
Return on Your Investment Will Be Lower Than the Return on Notes Purchased at Face Amount and the Impact of Certain Key
Terms of the Notes Will Be Negatively Affected" in this Pricing Supplement.

Ca sh se t t le m e nt a m ount (on t he st a t e d m a t urit y da t e ): for each $1,000 face amount of your notes, we will pay you
on the stated maturity date an amount in cash equal to:

·
if the final basket level is greater than or equal to the cap level, the maximum settlement amount;

·
if the final basket level is greater than the initial basket level but less than the cap level, the sum of (i) $1,000 plus

(ii) the product of (a) $1,000 times (b) the upside participation rate times (c) the basket return; or

·
if the final basket level is equal to or less than the initial basket level, the sum of (i) $1,000 plus (ii) the product of

(a) the basket return times (b) $1,000.

I nit ia l ba sk e t le ve l: 100

I nit ia l w e ight e d va lue : the initial weighted value for each of the basket underliers equals the product of the initial weight of
such basket underlier times the initial basket level. The initial weight of each basket underlier is shown in the table below:

PRS-3

Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

I nit ia l We ight
Ba sk e t U nde rlie r
in t he Ba sk e t

EURO STOXX 50® Index
36.00%

TOPIX
27.00%

FTSE® 100 Index
19.00%

Swiss Market Index
10.00%

S&P/ASX 200 Index
8.00%

I nit ia l EU RO ST OX X 5 0 ® I nde x le ve l: 3,159.02, which was the closing level of such basket underlier on the trade date

I nit ia l T OPI X le ve l: 1,587.68, which was the closing level of such basket underlier on the trade date

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I nit ia l FT SE® 1 0 0 I nde x le ve l: 6,220.14, which was the closing level of such basket underlier on the trade date

I nit ia l Sw iss M a rk e t I nde x le ve l: 9,951.45, which was the closing level of such basket underlier on the trade date

I nit ia l S& P/ASX 2 0 0 I nde x le ve l: 5,835.093, which was the closing level of such basket underlier on the trade date

Fina l EU RO ST OX X 5 0 ® I nde x le ve l: the closing level of such basket underlier on the determination date

Fina l T OPI X le ve l: the closing level of such basket underlier on the determination date

Fina l FT SE® 1 0 0 I nde x le ve l: the closing level of such basket underlier on the determination date

Fina l Sw iss M a rk e t I nde x le ve l: the closing level of such basket underlier on the determination date

Fina l S& P/ASX 2 0 0 I nde x le ve l: the closing level of such basket underlier on the determination date

Fina l ba sk e t le ve l: the sum of the following: (1) the final EURO STOXX 50® Index level divided by the initial EURO STOXX
50® Index level, multiplied by the initial weighted value of the EURO STOXX 50® Index plus (2) the final TOPIX level divided by
the initial TOPIX level, multiplied by the initial weighted value of the TOPIX plus (3) the final FTSE® 100 Index level divided by the
initial FTSE® 100 Index level, multiplied by the initial weighted value of the FTSE® 100 Index plus (4) the final Swiss Market Index
level divided by the initial Swiss Market Index level, multiplied by the initial weighted value of the Swiss Market Index plus (5) the
final S&P/ASX 200 Index level divided by the initial S&P/ASX 200 Index level, multiplied by the initial weighted value of the
S&P/ASX 200 Index

Ba sk e t re t urn: the quotient of (1) the final basket level minus the initial basket level divided by (2) the initial basket level,
expressed as a positive or negative percentage

U pside pa rt ic ipa t ion ra t e : 300.00%

Ca p le ve l: 108.90% of the initial basket level

M a x im um se t t le m e nt a m ount : $1,267.00 per note

M a rk e t disrupt ion e ve nt : With respect to any given trading day, any of the following will be a market disruption event with
respect to a basket underlier:

·
a suspension, absence or material limitation of trading in basket underlier stocks (as defined below) constituting 20% or

more, by weight, of the underlier on their respective primary markets, in each case for more than two consecutive hours
of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in
its sole discretion,

·
a suspension, absence or material limitation of trading in option or futures contracts, if available, relating to such basket

underlier or to basket underlier stocks constituting 20% or more, by weight, of such basket underlier in their respective
primary markets for those contracts, in each case for more than two consecutive hours of trading or during the one-half
hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

·
basket underlier stocks constituting 20% or more, by weight, of such basket underlier, or option or futures contracts, if

available, relating to such basket underlier or to basket underlier stocks constituting 20% or

PRS-4

Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

more, by weight, of such basket underlier do not trade on what were the respective primary markets for those basket
underlier stocks or contracts, as determined by the calculation agent in its sole discretion,

and, in the case of any of these events, the calculation agent determines in its sole discretion that the event could materially
interfere with the ability of us or any of our affiliates or a similarly situated party to unwind all or a material portion of a hedge that
could be effected with respect to the notes. For more information about hedging by us and/or any of our affiliates, see "Use of
Proceeds and Hedging" in the accompanying Underlying Supplement.

The following events will not be market disruption events with respect to a basket underlier:

·
a limitation on the hours or numbers of days of trading, but only if the limitation results from an announced change in the

regular business hours of the relevant market, and
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·
a decision to permanently discontinue trading in the option or futures contracts relating to the underlier or to any underlier

stock.

For this purpose, an "absence of trading" in the primary securities market on which a basket underlier stock, or on which option or
futures contracts, if available, relating to the underlier or to any basket underlier stock are traded will not include any time when
that market is itself closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in a basket
underlier stock or in option or futures contracts, if available, relating to the underlier or to any basket underlier stock in the primary
market for that stock or those contracts, by reason of:

·
a price change exceeding limits set by that market,

·
an imbalance of orders relating to that basket underlier stock or those contracts, or

·
a disparity in bid and ask quotes relating to that basket underlier stock or those contracts,

will constitute a suspension or material limitation of trading in that basket underlier stock or those contracts in that market.

A market disruption event with respect to one or more basket underliers will not, by itself, constitute a market disruption event for
the remaining unaffected basket underlier.

T ra de da t e : June 2, 2020

Origina l issue da t e (se t t le m e nt da t e ): June 9, 2020

De t e rm ina t ion da t e : March 14, 2022, subject to adjustment as described under "Certain Terms of the Notes--Valuation
Dates" in the accompanying Underlying Supplement.

St a t e d m a t urit y da t e : March 16, 2022, subject to adjustment as described under "Certain Terms of the Notes--Coupon
Payment Dates, Call Payment Dates and Maturity Date" in the accompanying Underlying Supplement.

Closing le ve l: as described under "Certain Terms of the Notes -- Certain Definitions -- Closing Level" in the accompanying
Underlying Supplement.

N o list ing: the offered notes will not be listed on any securities exchange or interdealer quotation system

Ca lc ula t ion a ge nt : Canadian Imperial Bank of Commerce. We may appoint a different calculation agent without your consent
and without notifying you

CU SI P no.: 13605WYM7

I SI N no.: US13605WYM71

PRS-5

Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

Supple m e nt a l T e rm s of t he N ot e s

For purposes of the notes offered by this Pricing Supplement, all references to each of the following terms used in the
accompanying Underlying Supplement will be deemed to refer to the corresponding term used in this Pricing Supplement, as set
forth in the table below:

Equit y I nde x U nde rlying Supple m e nt T e rm
Pric ing Supple m e nt T e rm
Final Valuation Date
determination date
maturity date
stated maturity date
principal amount
face amount
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Reference Asset
basket
Basket Components
basket underlier
Index Sponsor
basket underlier sponsor

PRS-6

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H Y POT H ET I CAL EX AM PLES

The following examples are provided for purposes of illustration only. They should not be taken as an indication or prediction of
future investment results and merely are intended to illustrate the impact that the various hypothetical basket closing levels or
hypothetical closing levels of the basket underliers, as applicable, on the determination date could have on the cash settlement
amount at maturity assuming all other variables remain constant.

The examples below are based on a range of final basket levels and closing levels of the basket underliers that are entirely
hypothetical; no one can predict what the level of the basket will be on any day throughout the life of your notes, and no one can
predict what the final basket level will be on the determination date. The basket underliers have been highly volatile in the past --
meaning that the levels of the basket underliers have changed considerably in relatively short periods -- and their performances
cannot be predicted for any future period.

The information in the following examples reflects hypothetical rates of return on the offered notes assuming that they are
purchased on the original issue date at the face amount and held to the stated maturity date. If you sell your notes in a secondary
market prior to the stated maturity date, your return will depend upon the market value of your notes at the time of sale, which may
be affected by a number of factors that are not reflected in the table below, such as interest rates, the volatility of the basket
underliers and the creditworthiness of CIBC. In addition, the estimated value of your notes at the time the terms of your notes were
set on the trade date (as determined by reference to pricing models used by CIBC) is less than the original issue price of your
notes. For more information on the estimated value of your notes, see "Additional Risk Factors Specific to Your Notes -- The
Bank's Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes" in this Pricing
Supplement and "The Bank's Estimated Value of the Notes" in this Pricing Supplement. The information in the following
hypothetical examples also reflects the key terms and assumptions in the box below.

K e y T e rm s a nd Assum pt ions
Face amount
$1,000
Upside participation rate
300.00%
Cap level
108.90% of the initial basket level
Maximum settlement amount
$1,267.00 per note
Hypothetical initial level of each
100.00
basket underlier
·
Neither a market disruption event nor a non-trading day occurs with

respect to any basket underlier on the originally scheduled determination
date
·
No change in or affecting any of the basket underliers or the method by

which any of the underlier sponsors calculates the EURO STOXX
50® Index, the TOPIX, the FTSE® 100 Index, the Swiss Market Index or
the S&P/ASX 200 Index, respectively
·
Notes purchased on original issue date at the face amount and held to the

stated maturity date

The actual performance of the basket over the life of your notes, as well as the cash settlement amount payable at maturity, if any,
may bear little relation to the hypothetical examples shown below or to the historical level of each basket underlier shown
elsewhere in this Pricing Supplement. For information about the historical level of each basket underlier during recent periods, see
"The Basket and the Basket Underliers -- Historical Closing Levels of the Basket Underliers" below. Before investing in the offered
notes, you should consult publicly available information to determine the level of the basket underliers between the date of this
Pricing Supplement and the date of your purchase of the offered notes.

Also, the hypothetical examples shown below do not take into account the effects of applicable taxes.
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PRS-7

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Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a
comparatively greater extent than the after-tax return on the basket underliers.

The levels in the left column of the table below represent hypothetical final basket levels and are expressed as percentages of the
initial basket level. The amounts in the right column represent the hypothetical cash settlement amounts, based on the
corresponding hypothetical final basket level (expressed as a percentage of the initial basket level), and are expressed as
percentages of the face amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical cash
settlement amount of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the
outstanding face amount of the offered notes on the stated maturity date would equal 100.000% of the face amount of a note,
based on the corresponding hypothetical final basket level (expressed as a percentage of the initial basket level) and the
assumptions noted above.

H ypot he t ic a l Fina l Ba sk e t Le ve l
H ypot he t ic a l Ca sh Se t t le m e nt Am ount
(a s Pe rc e nt a ge of I nit ia l Ba sk e t Le ve l)
(a s Pe rc e nt a ge of Fa c e Am ount )
200.000%
126.700%
175.000%
126.700%
150.000%
126.700%
125.000%
126.700%
1 0 8 .9 0 0 %
1 2 6 .7 0 0 %
103.000%
109.000%
102.000%
106.000%
101.000%
103.000%
1 0 0 .0 0 0 %
1 0 0 .0 0 0 %
90.000%
90.000%
75.000%
75.000%
60.000%
60.000%
50.000%
50.000%
35.000%
35.000%
25.000%
25.000%
10.000%
10.000%
0 .0 0 0 %
0 .0 0 0 %

If, for example, the final basket level were determined to be 25.000% of the initial basket level, the cash settlement amount that we
would deliver on your notes at maturity would be 25.000% of the face amount of your notes, as shown in the table above. As a
result, if you purchased your notes on the original issue date at the face amount and held them to the stated maturity date, you
would lose 75.000% of your investment (if you purchased your notes at a premium to face amount you would lose a
correspondingly higher percentage of your investment). In addition, if the final basket level were determined to be 200.000% of the
initial basket level, the cash settlement amount that we would deliver on your notes at maturity would be capped at the maximum
settlement amount (expressed as a percentage of the face amount), or 126.700% of each $1,000 face amount of your notes, as
shown in the table above. As a result, if you held your notes to the stated maturity date, you would not benefit from any final
basket level over 108.900% of the initial basket level.

PRS-8

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The following chart shows a graphical illustration of the hypothetical cash settlement amounts (expressed as a percentage of the
face amount of your notes) that we would pay on your notes on the stated maturity date, if the final basket level (expressed as a
percentage of the initial basket level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any
hypothetical final basket level (expressed as a percentage of the initial basket level) of less than 100.000% (the section left of the
100.000% marker on the horizontal axis) would result in a hypothetical cash settlement amount of less than 100.000% of the face
amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the
holder of the notes. The chart also shows that any hypothetical final basket level (expressed as a percentage of the initial basket
https://www.sec.gov/Archives/edgar/data/1045520/000110465920069719/a20-21573_6424b2.htm[6/4/2020 3:06:15 PM]

level) of greater than or equal to 108.900% (the section right of the 108.900% marker on the horizontal axis) would result in a
capped return on your investment.

The following examples illustrate the hypothetical cash settlement amount at maturity for each note based on hypothetical final
levels of the basket underliers, calculated based on the key terms and assumptions above. The levels in Column A represent
hypothetical initial levels for each basket underlier, and the levels in Column B represent hypothetical final levels for each basket
underlier. The percentages in Column C represent hypothetical final levels for each basket underlier in Column B expressed as
percentages of the corresponding hypothetical initial levels in Column A. The amounts in Column D represent the applicable initial
weighted value for each basket underlier, and the amounts in Column E represent the products of the percentages in Column C
times the corresponding amounts in Column D. The final basket level for each example is shown beneath each example, and will
equal the sum of the products shown in Column E. The basket return for each example is shown beneath the final basket level for
such example, and will equal the quotient of (i) the final basket level for such example minus the initial basket level divided by
(ii) the initial basket level, expressed as a percentage. The values below have been rounded for ease of analysis.

The hypothetical initial level for each basket underlier of 100.00 has been chosen for illustrative purposes only and does not
represent the actual initial level for that basket underlier. For historical data regarding

PRS-9

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the actual historical levels of the basket underliers, please see the historical information set forth below under "The Basket and the
Basket Underliers."

Ex a m ple 1 : T he fina l ba sk e t le ve l is gre a t e r t ha n t he c a p le ve l. T he c a sh se t t le m e nt a m ount e qua ls t he
m a x im um se t t le m e nt a m ount .

Colum n A
Colum n B
Colum n C
Colum n D
Colum n E

I nit ia l
H ypot he t ic a l
H ypot he t ic a l
Colum n B /
We ight e d
Colum n C x
Ba sk e t U nde rlie r
I nit ia l Le ve l
Fina l Le ve l
Colum n A
V a lue
Colum n D

EURO STOXX 50® Index
100.00
200.00
200.00%
36.00
72.00

TOPIX
100.00
200.00
200.00%
27.00
54.00

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FTSE® 100 Index
100.00
200.00
200.00%
19.00
38.00

Swiss Market Index
100.00
200.00
200.00%
10.00
20.00

S&P/ASX 200 Index
100.00
200.00
200.00%
8.00
16.00

Final Basket Level:
200.00

Basket Return:
100.00%

In this example, all of the hypothetical final levels for the basket underliers are greater than the applicable hypothetical initial levels,
which results in the hypothetical final basket level being greater than the initial basket level of 100.00. Since the hypothetical final
basket level was determined to be 200.00, the hypothetical cash settlement amount that we would deliver on your notes at maturity
would be capped at the maximum settlement amount of $1,267.00 for each $1,000 face amount of your notes (i.e. 126.70% of each
$1,000 face amount of your notes).

Ex a m ple 2 : T he fina l ba sk e t le ve l is gre a t e r t ha n t he init ia l ba sk e t le ve l but le ss t ha n t he c a p le ve l.

Colum n A
Colum n B
Colum n C
Colum n D
Colum n E

I nit ia l
H ypot he t ic a l
H ypot he t ic a l
Colum n B /
We ight e d
Colum n C x
Ba sk e t U nde rlie r
I nit ia l Le ve l
Fina l Le ve l
Colum n A
V a lue
Colum n D

EURO STOXX 50® Index
100.00
101.00
101.00%
36.00
36.36

TOPIX
100.00
102.00
102.00%
27.00
27.54

FTSE® 100 Index
100.00
103.00
103.00%
19.00
19.57

Swiss Market Index
100.00
108.00
108.00%
10.00
10.80

S&P/ASX 200 Index
100.00
120.00
120.00%
8.00
9.60

Final Basket Level:
103.87

Basket Return:
3.87%

In this example, all of the hypothetical final levels for the basket underliers are greater than the applicable hypothetical initial levels,
which results in the hypothetical final basket level being greater than the initial basket level of 100.00. Since the hypothetical final
basket level was determined to be 103.87, the hypothetical cash settlement amount for each $1,000 face amount of your notes will
equal:

Cash settlement amount = $1,000 + ($1,000 × 300% × 3.87%) = $1,116.10

PRS-10

Ca ppe d Le ve ra ge d Ba sk e t -Link e d N ot e s due M a rc h 1 6 , 2 0 2 2

Ex a m ple 3 : T he fina l ba sk e t le ve l is le ss t ha n t he init ia l ba sk e t le ve l. T he c a sh se t t le m e nt a m ount is le ss
t ha n t he $ 1 ,0 0 0 fa c e a m ount .

Colum n A
Colum n B
Colum n C
Colum n D
Colum n E

I nit ia l
H ypot he t ic a l
H ypot he t ic a l
Colum n B /
We ight e d
Colum n C x
Ba sk e t U nde rlie r
I nit ia l Le ve l
Fina l Le ve l
Colum n A
V a lue
Colum n D

EURO STOXX 50® Index
100.00
20.00
20.00%
36.00
7.20

TOPIX
100.00
100.00
100.00%
27.00
27.00

FTSE® 100 Index
100.00
100.00
100.00%
19.00
19.00

Swiss Market Index
100.00
135.00
135.00%
10.00
13.50

S&P/ASX 200 Index
100.00
135.00
135.00%
8.00
10.80

Final Basket Level:
77.50

Basket Return:
-22.50%

In this example, the hypothetical final level of the EURO STOXX 50® Index is less than its hypothetical initial level, while the
hypothetical final levels of the TOPIX and the FTSE® 100 Index are equal to their applicable hypothetical initial levels and the
hypothetical final levels of the Swiss Market Index and S&P/ASX 200 Index are greater than their applicable initial levels.

Because the basket is unequally weighted, increases in the lower weighted basket underliers will be offset by decreases in the
more heavily weighted basket underliers. In this example, the large decline in the EURO STOXX 50® Index results in the
hypothetical final basket level being less than the initial basket level even though the TOPIX and the FTSE® 100 Index remained
flat and the Swiss Market Index and the S&P/ASX 200 Index increased.
https://www.sec.gov/Archives/edgar/data/1045520/000110465920069719/a20-21573_6424b2.htm[6/4/2020 3:06:15 PM]

Since the hypothetical final basket level of 77.50 is less than the initial basket level, the hypothetical cash settlement amount for
each $1,000 face amount of your notes will equal:

Cash settlement amount = $1,000 + ($1,000 × -22.50%) = $775.00

Ex a m ple 4 : T he fina l ba sk e t le ve l is le ss t ha n t he init ia l ba sk e t le ve l. T he c a sh se t t le m e nt a m ount is le ss
t ha n t he $ 1 ,0 0 0 fa c e a m ount

Colum n A
Colum n B
Colum n C
Colum n D
Colum n E

I nit ia l
H ypot he t ic a l
H ypot he t ic a l
Colum n B /
We ight e d
Colum n C x
Ba sk e t U nde rlie r
I nit ia l Le ve l
Fina l Le ve l
Colum n A
V a lue
Colum n D

EURO STOXX 50® Index
100.00
50.00
50.00%
36.00
18.00

TOPIX
100.00
60.00
60.00%
27.00
16.20

FTSE® 100 Index
100.00
60.00
60.00%
19.00
11.40

Swiss Market Index
100.00
65.00
65.00%
10.00
6.50

S&P/ASX 200 Index
100.00
55.00
55.00%
8.00
4.40

Final Basket Level:
56.50

Basket Return:
-43.50%

In this example, the hypothetical final levels for all of the basket underliers are less than the applicable hypothetical initial levels,
which results in the hypothetical final basket level being less than the initial basket level of 100.00. Since the hypothetical final
basket level of 56.50 is less than the initial basket level, the hypothetical cash settlement amount for each $1,000 face amount of
your notes will equal:

Cash settlement amount = $1,000 + ($1,000 × -43.50%) = $565.00

The cash settlement amounts shown above are entirely hypothetical; they are based on levels of the basket underliers that may not
be achieved on the determination date and on assumptions that may prove to be erroneous. The actual market value of your notes
on the stated maturity date or at any other

PRS-11

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time, including any time you may wish to sell your notes, may bear little relation to the hypothetical cash settlement amounts shown
above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The
hypothetical cash settlement amounts on notes held to the stated maturity date in the examples above assume you purchased your
notes at their face amount and have not been adjusted to reflect the actual issue price you pay for your notes. The return on your
investment (whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your
notes for a price other than the face amount, the return on your investment will differ from, and may be significantly lower than, the
hypothetical returns suggested by the above examples. Please read "Risk Factors-- The market value of the notes will be affected
by various factors that interrelate in complex ways, and their market value may be less than the principal amount" in the
accompanying Underlying Supplement.

Payments on the notes are economically equivalent to the amounts that would be paid on a combination of other instruments. For
example, payments on the notes are economically equivalent to a combination of an interest-bearing bond bought by the holder
and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The
discussion in this paragraph does not modify or affect the terms of the notes or the U.S. federal income tax treatment of the notes,
as described elsewhere in this Pricing Supplement.

We cannot predict the actual final basket level on the determination date, nor can we predict the relationship between the level
of each basket underlier and the market value of your notes at any time prior to the stated maturity date. The actual amount
that a holder of the offered notes will receive, if any, on the stated maturity date and the rate of return on the offered notes will
depend on the actual basket return determined by the calculation agent as described above. Moreover, the assumptions on
which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect
of your notes, if any, on the stated maturity date may be very different from the hypothetical cash settlement amounts shown in
the tables, examples and charts above.

https://www.sec.gov/Archives/edgar/data/1045520/000110465920069719/a20-21573_6424b2.htm[6/4/2020 3:06:15 PM]

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