Obligation CBIC 0% ( US13607G5181 ) en USD

CBIC

100 % ⇌

Canada

US13607G5181 ( en USD )

29/10/2021 - Obligation échue

Prospectus brochure de l'obligation CIBC US13607G5181 en USD 0%, échue

1 000 USD

3 892 000 USD

13607G518

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 US13607G5181, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 29/10/2021

424B2 1 a19-19323_40424b2.htm SPUS 647 FPS

File d Pursua nt t o
Rule 4 2 4 (b)(2 )
Re gist ra t ion
St a t e m e nt N o.
3 3 3 -2 1 6 2 8 6
(T o Prospe c t us
da t e d M a rc h 2 8 ,
2 0 1 7 ,
Prospe c t us
Supple m e nt
da t e d N ove m be r
6 , 2 0 1 8 a nd
Produc t
Supple m e nt
EQU I T Y I N DI CES
LI RN -1 da t e d
M a rc h 3 0 , 2 0 1 7 )
389,156 Units
Pricing Date
October
$10 principal amount per unit
Settlement Date
24,
CUSIP No. 13607G518
Maturity Date
2019
October
31,
2019
October
29,
2021

Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s® Link e d
t o t he M SCI Em e rging M a rk e t s I nde x

Maturity of approximately two years

2-to-1 upside exposure to increases in the Index, subject to a capped return of 21.50%

1-to-1 downside exposure to decreases in the Index beyond a 10.00% decline, with up to 90.00% of your principal at risk

All payments occur at maturity and are subject to the credit risk of Canadian Imperial Bank of Commerce

No periodic interest payments

In addition to the underwriting discount set forth below, the notes include a hedging-related charge of $0.075 per unit. See

"Structuring the Notes"

Limited secondary market liquidity, with no exchange listing

The notes are unsecured debt securities and are not savings accounts or insured deposits of a bank. The notes are not

insured or guaranteed by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or
any other governmental agency of the United States, Canada, or any other jurisdiction

T he not e s a re be ing issue d by Ca na dia n I m pe ria l Ba nk of Com m e rc e ("CI BC"). T he re a re im port a nt diffe re nc e s
be t w e e n t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt risk s a nd c e rt a in a ddit iona l
c ost s. Se e "Risk Fa c t ors" a nd "Addit iona l Risk Fa c t ors" be ginning on pa ge T S -6 of t his t e rm she e t a nd "Risk
Fa c t ors" be ginning on pa ge PS -6 of produc t supple m e nt EQU I T Y I N DI CES LI RN -1 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .7 0 3 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-6 of this term sheet and
"Structuring the Notes" on page TS-14 of this term sheet for additional information. The actual value of your notes at any time will reflect many
factors and cannot be predicted with accuracy.

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has approved or
disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any representation to the
contrary is a criminal offense.

Per Unit
Total

Public offering price
$ 10.00
$ 3,891,560.00

Underwriting discount
$ 0.20
$ 77,831.20
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Proceeds, before expenses, to CIBC
$ 9.80
$ 3,813,728.80

T he not e s:

Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

BofA Se c urit ie s
October 24, 2019

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

Summary

The Capped Leveraged Index Return Notes Linked
®
to the MSCI Emerging Markets Index,

due October 29, 2021 (the "notes") are our senior unsecured debt
securities. The notes are not guaranteed or insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any
other governmental agency of the United States, Canada or any other jurisdiction or secured by collateral. The notes are not bail-inable notes (as defined on
page S-2 of the prospectus supplement). T he not e s w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt . Any
pa ym e nt s due on t he not e s, inc luding a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of CI BC. The notes provide
you a leveraged return, subject to a cap, if the Ending Value of the Market Measure, which is the MSCI Emerging Markets Index

(the "Index"), is greater than
the Starting Value. If the Ending Value is equal to or less than the Starting Value but greater than or equal to the Threshold Value, you will receive the
principal amount of your notes. If the Ending Value is less than the Threshold Value, you will lose a portion, which could be significant, of the principal
amount of your notes. Any payments on the notes will be calculated based on the $10 principal amount per unit and will depend on the performance of the
Index, subject to our credit risk. See "Terms of the Notes" below.

The economic terms of the notes (including the Capped Value) are based on our internal funding rate, which is the rate we would pay to borrow funds
through the issuance of market-linked notes, and the economic terms of certain related hedging arrangements. Our internal funding rate is typically lower
than the rate we would pay when we issue conventional fixed rate debt securities. This difference in funding rate, as well as the underwriting discount and
the hedging-related charge described below, reduced the economic terms of the notes to you and the initial estimated value of the notes on the pricing date.
Due to these factors, the public offering price you pay to purchase the notes is greater than the initial estimated value of the notes.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. This initial estimated value was determined based on our
pricing models and was based on our internal funding rate on the pricing date, market conditions and other relevant factors existing at that time, and our
assumptions about market parameters. For more information about the initial estimated value and the structuring of the notes, see "Structuring the Notes" on
page TS-14.

Terms of the Notes
Redemption Amount Determination
I ssue r:
Canadian Imperial Bank of Commerce
On the maturity date, you will receive a cash payment per unit determined as follows:
("CIBC ")
Princ ipa l
$10.00 per unit
Am ount :
T e rm :
Approximately two years
M a rk e t
The MSCI Emerging Markets Index

M e a sure :
(Bloomberg symbol: "MXEF"), a price return
index
St a rt ing V a lue :
1,037.41
Ending V a lue :
The average of the closing levels of the
Market Measure on each calculation day
occurring during the Maturity Valuation
Period. The scheduled calculation days are
subject to postponement in the event of
Market Disruption Events, as described
beginning on page PS-18 of product
supplement EQUITY INDICES LIRN-1.
T hre shold
933.67 (90% of the Starting Value, rounded
V a lue :
to two decimal places).
Pa rt ic ipa t ion
200%
Ra t e :
Ca ppe d V a lue :
$12.15 per unit, which represents a return
of 21.50% over the principal amount.
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M a t urit y
October 20, 2021, October 21, 2021,
V a lua t ion
October 22, 2021, October 25, 2021 and
Pe riod:
October 26, 2021.
Fe e s a nd
The underwriting discount of $0.20 per unit
Cha rge s:
listed on the cover page and the hedging-
related charge of $0.075 per unit described
in "Structuring the Notes" on page TS-14.
Ca lc ula t ion
BofA Securities, Inc. ("BofAS").
Age nt :

Capped Leveraged Index Return Notes®
TS-2

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

The terms and risks of the notes are contained in this term sheet and in the following:

Product supplement EQUITY INDICES LIRN-1 dated March 30, 2017:

https://www.sec.gov/Archives/edgar/data/1045520/000110465917020278/a17-7416_10424b5.htm

Prospectus dated March 28, 2017 and prospectus supplement dated November 6, 2018:

https://www.sec.gov/Archives/edgar/data/1045520/000110465918066166/a18-37094_1424b2.htm

As a result of the completion of the reorganization of Bank of America's U.S. broker-dealer business, references to Merrill Lynch, Pierce, Fenner
& Smith Incorporated ("MLPF&S") in the accompanying product supplement EQUITY INDICES LIRN-1, as such references relate to MLPF&S's
institutional services, should be read as references to BofAS.

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may, without cost,
be accessed on the SEC website as indicated above or obtained from MLPF&S or BofAS by calling 1-800-294-1322. Before you invest, you
should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or contemporaneous oral
statements and any other written materials you may have received are superseded by the Note Prospectus. When you read the accompanying
product supplement, please note that all references in such supplement to the prospectus supplement dated March 28, 2017, or to any sections
therein, should refer instead to the accompanying prospectus supplement dated November 6, 2018 or to the corresponding sections of such
prospectus supplement, as applicable, unless otherwise specified or the context otherwise requires. Capitalized terms used but not defined in
this term sheet have the meanings set forth in product supplement EQUITY INDICES LIRN-1. Unless otherwise indicated or unless the context
requires otherwise, all references in this document to "we," "us," "our," or similar references are to CIBC.

Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s if:
T he not e s m a y not be a n a ppropria t e inve st m e nt for
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you if:

You anticipate that the Index will increase moderately from the

You believe that the Index will decrease from the Starting Value

Starting Value to the Ending Value.
to the Ending Value or that it will not increase sufficiently over

the term of the notes to provide you with your desired return.
You are willing to risk a substantial loss of principal if the Index

decreases from the Starting Value to an Ending Value that is

You seek 100% principal repayment or preservation of capital.

below the Threshold Value.

You seek an uncapped return on your investment.

You accept that the return on the notes will be capped.

You seek interest payments or other current income on your

You are willing to forgo the interest payments that are paid on
investment.

conventional interest bearing debt securities.

You want to receive dividends or other distributions paid on the

You are willing to forgo dividends or other benefits of owning the
stocks included in the Index.

stocks included in the Index.

You seek an investment for which there will be a liquid

You are willing to accept a limited or no market for sales prior to
secondary market.

maturity, and understand that the market prices for the notes, if

You are unwilling or are unable to take market risk on the notes

any, will be affected by various factors, including our actual and
or to take our credit risk as issuer of the notes.
perceived creditworthiness, our internal funding rate and fees and
charges on the notes.

You are willing to assume our credit risk, as issuer of the notes,

for all payments under the notes, including the Redemption
Amount.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Capped Leveraged Index Return Notes®
TS-3

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

Hypothetical Payout Profile and Examples of Payments at
Maturity

Ca ppe d Le ve ra ge d I nde x Re t urn N ot e s®
This graph reflects the returns on the notes, based on the

Participation Rate of 200%, the Threshold Value of 90% of the
Starting Value and the Capped Value of $12.15 per unit. The green
line reflects the returns on the notes, while the dotted gray line
reflects the returns of a direct investment in the stocks included in
the Index, excluding dividends.

This graph has been prepared for purposes of illustration only.

The following table and examples are for purposes of illustration only. They are based on hypot he t ic a l values and show hypot he t ic a l
returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a hypothetical Starting Value of
100.00, a hypothetical Threshold Value of 90.00, the Participation Rate of 200%, the Capped Value of $12.15 per unit and a range of
hypothetical Ending Values. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill de pe nd on t he
a c t ua l St a rt ing V a lue , T hre shold V a lue a nd Ending V a lue , a nd w he t he r you hold t he not e s t o m a t urit y. The following
examples do not take into account any tax consequences from investing in the notes.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the Ending Value
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will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if
you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Re de m pt ion Am ount
Pe rc e nt a ge Cha nge from t he
pe r
T ot a l Ra t e of Re t urn on t he
Ending V a lue
St a rt ing V a lue t o t he Ending V a lue
U nit
N ot e s

0.00
-100.00%
$1.00
-90.00%

50.00
-50.00%
$6.00
-40.00%

80.00
-20.00%
$9.00
-10.00%

90.00(1)
-10.00%
$10.00
0.00%

95.00
-5.00%
$10.00
0.00%

97.00
-3.00%
$10.00
0.00%

100.00(2)
0.00%
$10.00
0.00%

102.00
2.00%
$10.40
4.00%

104.00
4.00%
$10.80
8.00%

110.00
10.00%
$12.00
20.00%

110.75
10.75%
$12.15(3)
21.50%

120.00
20.00%
$12.15
21.50%

150.00
50.00%
$12.15
21.50%

200.00
100.00%
$12.15
21.50%

(1) This is the hypot he t ic a l Threshold Value.

(2) The hypot he t ic a l Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only. The actual Starting

Value is 1,037.41, which was the closing level of the Market Measure on the pricing date.
(3) The Redemption Amount per unit cannot exceed the Capped Value.

Capped Leveraged Index Return Notes®
TS-4

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1
The Ending Value is 50.00, or 50.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
90.00
Ending Value:
50.00
= $ 6 .0 0 Redemption Amount per unit

Ex a m ple 2
The Ending Value is 97.00, or 97.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
90.00
Ending Value:
97.00

Redemption Amount (per unit) = $ 1 0 .0 0 , the principal amount, since the Ending Value is less than the Starting Value but equal to or greater
than the Threshold Value.

Ex a m ple 3
The Ending Value is 104.00, or 104.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
104.00
https://www.sec.gov/Archives/edgar/data/1045520/000110465919056858/a19-19323_40424b2.htm[10/28/2019 3:50:02 PM]

= $ 1 0 .8 0 Redemption Amount per unit

Ex a m ple 4
The Ending Value is 130.00, or 130.00% of the Starting Value:
Starting Value:
100.00
Ending Value:
130.00
= $ 1 6 .0 0 , how e ve r, be c a use t he Re de m pt ion Am ount for t he not e s c a nnot
e x c e e d t he Ca ppe d V a lue , t he Re de m pt ion Am ount w ill be $ 1 2 .1 5 pe r unit

Capped Leveraged Index Return Notes®
TS-5

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks,
including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the "Risk Factors"
sections beginning on page PS-6 of product supplement EQUITY INDICES LIRN-1, page S-1 of the prospectus supplement, and page 1 of the
prospectus identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the
notes.

Depending on the performance of the Index as measured shortly before the maturity date, you may lose up to 90% of the principal

amount.

Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security of

comparable maturity.

Your investment return is limited to the return represented by the Capped Value and may be less than a comparable investment directly

in the stocks included in the Index.

Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to affect the

value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment.

Our initial estimated value of the notes is lower than the public offering price of the notes. The public offering price of the notes exceeds

our initial estimated value because costs associated with selling and structuring the notes, as well as hedging the notes, all as further
described in "Structuring the Notes" on page TS-14, are included in the public offering price of the notes.

Our initial estimated value does not represent future values of the notes and may differ from others' estimates. Our initial estimated

value is only an estimate, which was determined by reference to our internal pricing models when the terms of the notes were set. This
estimated value was based on market conditions and other relevant factors existing at that time, our internal funding rate on the pricing
date 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 notes that are greater or less than our initial 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 market value of the notes could change significantly based on, among other things, changes in market conditions,
including the level of the Index, our creditworthiness, interest rate movements and other relevant factors, which may impact the price at
which MLPF&S, BofAS or any other party would be willing to buy notes from you in any secondary market transactions. Our estimated
value does not represent a minimum price at which MLPF&S, BofAS or any other party would be willing to buy your notes in any
secondary market (if any exists) at any time.

Our initial estimated value of the notes was not determined by reference to credit spreads for our conventional fixed-rate debt. The

internal funding rate that was used in the determination of our initial estimated value of the notes generally represents a discount from
the credit spreads for our conventional fixed-rate debt. The discount is based on, among other things, our view of the funding value of
the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs
for our conventional fixed-rate debt. If we were to have used the interest rate implied by our conventional fixed-rate debt, we would
expect the economic terms of the notes to be more favorable to you. Consequently, our use of an internal funding rate for market-linked
notes had an adverse effect on the economic terms of the notes and the initial estimated value of the notes on the pricing date, and
could have an adverse effect on any secondary market prices of the notes.

A trading market is not expected to develop for the notes. None of us, MLPF&S or BofAS is obligated to make a market for, or to

repurchase, the notes. There is no assurance that any party will be willing to purchase your notes at any price in any secondary market.

Our business, hedging and trading activities, and those of MLPF&S, BofAS and our respective affiliates (including trades in shares of

https://www.sec.gov/Archives/edgar/data/1045520/000110465919056858/a19-19323_40424b2.htm[10/28/2019 3:50:02 PM]

companies included in the Index), and any hedging and trading activities we, MLPF&S, BofAS or our respective affiliates engage in for
our clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you.

The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.

You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities or

dividends or other distributions by the issuers of those securities.

While we, MLPF&S, BofAS or our respective affiliates may from time to time own securities of the companies included in the Index, we,

MLPF&S, BofAS and our respective affiliates do not control any company included in the Index, and have not verified any disclosure
made by any other company.

Your return on the notes may be affected by exchange rate movements and factors affecting international securities markets.

There may be potential conflicts of interest involving the calculation agent, which is BofAS. We have the right to appoint and remove the

calculation agent.

The U.S. federal income tax consequences of the notes are uncertain, and may be adverse to a holder of the notes. See "Summary of

U.S. Federal Income Tax Consequences" below and "U.S. Federal Income Tax Summary" beginning on page PS-29 of product
supplement EQUITY INDICES LIRN-1. For a discussion of the Canadian federal income tax consequences

Capped Leveraged Index Return Notes®
TS-6

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

of investing in the notes, see "Material Income Tax Consequences--Canadian Taxation" in the prospectus dated March 28, 2017, as
supplemented by the discussion under "Summary of Canadian Federal Income Tax Considerations" herein.

Additional Risk Factors

T he re a re risk s a ssoc ia t e d w it h e m e rging m a rk e t s.

An investment in the notes will involve risks that are associated with investments that are linked to the equity securities of issuers from emerging
markets. Many of the issuers included in the Index are based in nations that are undergoing rapid institutional change, including the restructuring
of economic, political, financial and legal systems. The regulatory and tax environments in these nations may be subject to change without
review or appeal and many emerging markets suffer from underdevelopment of their capital markets and their tax systems. In addition, in some
of these nations, issuers of the relevant securities face the threat of expropriation of their assets and/or nationalization of their businesses. It
may be more difficult for an investor in these markets to monitor investments in these companies, because these companies may be subject to
fewer disclosure requirements than companies in developed markets, and economic and financial data about some of these countries may be
unreliable.

Other Terms of the Notes

M a rk e t M e a sure Busine ss Da y

The following definition shall supersede and replace the definition of a "Market Measure Business Day" set forth in product supplement EQUITY
INDICES LIRN-1.

A "Market Measure Business Day" means a day on which:

(A)
the London Stock Exchange, the Hong Kong Stock Exchange, the São Paulo Stock Exchange, and the Korea Stock

Exchange (or any successor to the foregoing exchanges) are open for trading; and

(B)
the Index or any successor thereto is calculated and published.

Capped Leveraged Index Return Notes®
TS-7

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021

The Index

https://www.sec.gov/Archives/edgar/data/1045520/000110465919056858/a19-19323_40424b2.htm[10/28/2019 3:50:02 PM]

All disclosures contained in this term sheet regarding the Index, including, without limitation, its make up, method of calculation, and changes in
its components, have been derived from publicly available sources, which we have not independently verified. The information reflects the
policies of, and is subject to change by, MSCI Inc. (the "Index sponsor" or "MSCI"). The Index sponsor, which licenses the copyright and all
other rights to the Index, has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index
sponsor discontinuing publication of the Index are discussed in the section entitled "Description of LIRNs--Discontinuance of an Index"
beginning on page PS-19 of product supplement EQUITY INDICES LIRN-1. None of us, the calculation agent, MLPF&S or BofAS accepts any
responsibility for the calculation, maintenance or publication of the Index or any successor index.

T he M SCI Em e rging M a rk e t s I nde x

The MXEF offers a representation of emerging markets based on the following countries: Argentina, Brazil, Chile, China, Colombia, Czech
Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia,
South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. With more than 800 constituents, the MXEF covers approximately 85% of the
free float-adjusted market capitalization in each country. It is based on the Global Investable Market Indices methodology which emphasizes
index liquidity, investibility and replicability. The MXEF has a base value of 100.00 and a base date of December 31, 1987. As of August 30,
2019, the five largest country weights were China (32.30%), South Korea (11.48%), Taiwan (11.15%), India (8.68%) and Brazil (7.45%), and the
five largest sector weights were Financials (24.61%), Information Technology (14.38%), Consumer Discretionary (13.94%), Communication
Services (11.63%) and Energy (7.42%).

Ge ne ra l M SCI I ndic e s

The MSCI indices were founded in 1969 by Capital International as the first international performance benchmarks constructed to facilitate
accurate comparison of world markets. Morgan Stanley acquired the rights to license the MSCI indices in 1986. In November 1998, Morgan
Stanley transferred all rights to the MSCI indices to MSCI, a Delaware corporation formed and operated jointly by Morgan Stanley and Capital
International. In 2004, MSCI acquired Barra, Inc., a provider of risk analytics, and firm-wide investment risk management systems and services
and merged this with MSCI. In 2007, MSCI completed an initial public offering and was listed on the New York Stock Exchange, with Morgan
Stanley retaining a controlling interest. In 2009, MSCI and Morgan Stanley fully separated. The MSCI single country standard equity indices
have covered the world's developed markets since 1969, and in 1988, MSCI commenced coverage of the emerging markets.

MSCI provides global equity indices intended to measure equity performance in international markets and the MSCI indices are designed to
serve as global equity performance benchmarks. In constructing these indices, MSCI applies its index construction and maintenance
methodology across developed, emerging and frontier markets.

MSCI enhanced the methodology used in its international equity indices. The MSCI Standard and MSCI Small Cap Indices, along with the other
MSCI equity indices based on them, transitioned to the Global Investable Market Indexes methodology described below. The transition was
completed at the end of May 2008. The enhanced MSCI Standard Indices are composed of the MSCI Large Cap and Mid Cap Indices. The
MSCI Global Small Cap Index transitioned to the MSCI Small Cap Index resulting from the Global Investable Market Indices methodology and
contains no overlap with constituents of the transitioned MSCI Standard Indices. Together, the relevant MSCI Large Cap, Mid Cap, and Small
Cap Indices will make up the MSCI investable market index for each country, composite, sector, and style index that MSCI offers.

Index Construction

MSCI undertakes an index construction process for the MSCI Global Investable Market Indexes, which involves:

·
defining the equity universe;

·
determining the market investable equity universe for each market;

·
determining market capitalization size segments for each market;

·
applying index continuity rules for the MSCI Standard Index;

·
creating style segments within each size segment within each market; and

·
classifying securities under the Global Industry Classification Standard (the "GICS").

Defining the Equity Universe. The equity universe is defined by:

·
Identifying Eligible Equity Securities: all listed equity securities, including Real Estate Investment Trusts (REITs) and certain income

trusts listed in Canada are eligible for inclusion in the equity universe. Limited partnerships, limited liability companies, and business
trusts, which are listed in the United States and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion
in the equity universe. Conversely, mutual funds, ETFs, equity derivatives, and most investment trusts are not eligible for inclusion in
the equity universe.

·
Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified in only

one country. Countries will be classified as Developed Markets ("DM"), Emerging Markets ("EM") or Frontier Markets ("FM").

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Determining the Market Investable Equity Universes. A market investable equity universe for a market is derived by identifying eligible listings
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for each security in the equity universe and applying investability screens to individual companies and securities in the equity universe that are
classified in that market. A market is equivalent to a single country, except in DM Europe, where all DM countries in Europe are aggregated into
a single market for index construction purposes. Subsequently, individual DM Europe country indices within the MSCI Europe Index are derived
from the constituents of the MSCI Europe Index under the Global Investable Market Indexes methodology.

In identifying eligible listings, a security may have a listing in the country where it is classified (i.e. "local listing") and/or in a different country (i.e.
"foreign listing"). Securities may be represented by either a local listing or a foreign listing (including a depositary receipt) in the equity universe.
A security may be represented by a foreign listing only if the following conditions are met:

·
The security is classified in a country that meets the Foreign Listing Materiality Requirement, and

·
The security's foreign listing is traded on an eligible stock exchange of: (a) a DM country if the security is classified in a DM

country; (b) a DM or an EM country if the security is classified in an EM country; or (c) a DM, EM or FM country if the security is
classified in an FM country.

The investability screens used to determine the investable equity universe in each market are as follows:

·
Equity Universe Minimum Size Requirement: this investability screen is applied at the company level. In order to be included in

a market investable equity universe, a company must have the required minimum full market capitalization.

·
Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: this investability screen is applied at the

individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-
adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.

·
DM and EM Minimum Liquidity Requirement: this investability screen is applied at the individual security level. To be eligible

for inclusion in a market investable equity universe, a security must have adequate liquidity. The twelve-month and three-
month Annual Traded Value Ratio ("ATVR"), a measure that screens out extreme daily trading volumes and takes into account
the free float-adjusted market capitalization of securities, together with the three-month frequency of trading are used to
measure liquidity. In the calculation of the ATVR, the trading volumes in depository receipts associated with that security, such
as ADRs or GDRs, are also considered. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of
three-month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market
investable equity universe of a DM, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-
month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market
investable equity universe of an EM.

·
Global Minimum Foreign Inclusion Factor Requirement: this investability screen is applied at the individual security level. To be

eligible for inclusion in a market investable equity universe, a security's Foreign Inclusion Factor ("FIF") must reach a certain
threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the public
equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership
limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be
eligible for inclusion in a market investable equity universe.

·
Minimum Length of Trading Requirement: this investability screen is applied at the individual security level. For an initial public

offering ("IPO") to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at
least four months before the implementation of the initial construction of the index or at least three months before the
implementation of a SemiAnnual Index Review (as described below). This requirement is applicable to small new issues in
all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market
investable equity universe and the MSCI Standard Index outside of a Quarterly or SemiAnnual Index Review (as defined
below).

·
Minimum Foreign Room Requirement: this investability screen is applied at the individual security level. For a security that is

subject to a Foreign Ownership Limit ("FOL") to be eligible for inclusion in a market investable equity universe, the proportion
of shares still available to foreign investors relative to the maximum allowed (referred to as "foreign room") must be at least
15%.

Defining Market Capitalization Size Segments for Each Market. Once a market investable equity universe is defined, it is segmented into the
following sizebased indices:

·
Investable Market Index (Large + Mid + Small);

·
Standard Index (Large + Mid);

·
Large Cap Index;

·
Mid Cap Index; or

·
Small Cap Index.

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TS-9

Capped Leveraged Index Return Notes®
Linked to the MSCI Emerging Markets Index, due October 29, 2021
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Creating the size segment indices in each market involves the following steps:

·
defining the market coverage target range for each size segment;

·
determining the global minimum size range for each size segment;

·
determining the market size segment cutoffs and associated segment number of companies;

·
assigning companies to the size segments; and

·
applying final size segment investability requirements.

Index Continuity Rules for the Standard Indices. In order to achieve index continuity, as well as to provide some basic level of diversification
within a market index, and notwithstanding the effect of other index construction rules described in this section, a minimum number of five
constituents will be maintained for a DM Standard Index and a minimum number of three constituents will be maintained for an EM Standard
Index.

Creating Style Indices within Each Size Segment. All securities in the investable equity universe are classified into value or growth segments
using the MSCI Global Value and Growth methodology.

Classifying Securities under the Global Industry Classification Standard. All securities in the global investable equity universe are assigned to
the industry that best describes their business activities. To this end, MSCI has designed, in conjunction with Standard & Poor's, the GICS.
Under the GICS, each company is assigned to one sub-industry according to its principal business activity. Therefore, a company can belong to
only one industry grouping at each of the four levels of the GICS.

Index Maintenance

The MSCI Global Investable Market Indexes are maintained with the objective of reflecting the evolution of the underlying equity markets and
segments on a timely basis, while seeking to achieve index continuity, continuous investability of constituents and replicability of the indices,
index stability and low index turnover. In particular, index maintenance involves:

(i) SemiAnnual Index Reviews ("SAIRs") in May and November of the Size Segment and Global Value and Growth Indices which
include:

·
updating the indices on the basis of a fully refreshed equity universe;

·
taking buffer rules into consideration for migration of securities across size and style segments; and

·
updating FIFs and Number of Shares ("NOS").

(ii) Quarterly Index Reviews ("QIRs") in February and August of the Size Segment Indices aimed at:

·
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;

·
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and

·
reflecting the impact of significant market events on FIFs and updating NOS.

(iii) Ongoing Event-Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large
IPOs are included in the indices after the close of the company's tenth day of trading.

Calculation of the Index

The MSCI equity indices are free float-adjusted market capitalization indices that are designed to measure the market performance, including
price performance, of the equity securities in an index. The MSCI equity indices are calculated using the Laspeyres' concept of a weighted
arithmetic average together with the concept of chain-linking. Each index component is included at a weight that reflects the ratio of its free float-
adjusted market capitalization (i.e., free public float multiplied by price) to the free float-adjusted market capitalization of all the components
included in the index. MSCI defines the free float of a security as the proportion of shares outstanding that is deemed to be available for
purchase in the public equity markets by international investors.

Each MSCI Global Investable Market Index is calculated in the relevant local currency as well as in U.S. dollars, with price, gross and net
returns.

Neither we nor any of our affiliates, or MLPF&S, accepts any responsibility for the calculation, maintenance, or publication of, or for any error,
omission, or disruption in, the MSCI indices. MSCI does not guarantee the accuracy or the completeness of the MSCI indices or any data
included in the MSCI indices. MSCI assumes no liability for any errors, omissions, or disruption in the calculation and dissemination of the MSCI
indices. MSCI disclaims all responsibility for any errors or omissions in the calculation and dissemination of the MSCI indices or the manner in
which the MSCI indices are applied in determining the amount payable on the notes at maturity.

Prices and Exchange Rates

Prices. The prices used to calculate the MSCI indices are the official exchange closing prices or those figures accepted as such. MSCI reserves
the right to use an alternative pricing source on any given day.

Exchange Rates. MSCI uses the closing spot rates published by WM/Reuters at 4:00 p.m., London time. MSCI uses WM/Reuters rates for all
countries for which it provides indices. In case WM/Reuters does not provide rates for specific markets on given days (for
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