Obligation CBIC 0% ( US13607G6254 ) en USD

Société émettrice CBIC
Prix sur le marché 100 %  ⇌ 
Pays  Canada
Code ISIN  US13607G6254 ( en USD )
Coupon 0%
Echéance 26/08/2022 - Obligation échue



Prospectus brochure de l'obligation CIBC US13607G6254 en USD 0%, échue


Montant Minimal 1 000 USD
Montant de l'émission 8 921 000 USD
Cusip 13607G625
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's N/A
Description détaillée 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 US13607G6254, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 26/08/2022







9/4/2019
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424B2 1 a19-16497_32424b2.htm 424B2



Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-216286
(To Prospectus dated March 28, 2017,
Prospectus Supplement dated November 6, 2018 and
Product Supplement EQUITY INDICES SUN-1 dated
March 30, 2017)

892,053 Units
Pricing Date
August 29,

$10 principal amount per unit

Settlement Date
2019

CUSIP No. 13607G625

Maturity Date
September 6,

2019
August 26,
2022





Autocallable Market-Linked Step Up Notes Linked to
the Russell 2000 Index
®
§
Maturity of approximately three years, if not cal ed prior to maturity

§
Automatic cal of the notes per unit at $10 plus the applicable Cal Premium ($1.005 on the first Observation Date, and $2.01 on the final

Observation Date) if the Index is flat or increases above 100.00% of the Starting Value on the relevant Observation Date
§
The Observation Dates wil occur approximately one year and two years after the pricing date

§
If the notes are not cal ed, at maturity:

§
a return of 30.00% if the Index is flat or increases up to the Step Up Value

§
a return equal to the percentage increase in the Index if the Index increases above the Step Up Value

§
1-to-1 downside exposure to decreases in the Index, with up to 100.00% of your principal at risk

§
Al payments 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


The notes are being issued by Canadian Imperial Bank of Commerce ("CIBC"). There are important differences between the
notes and a conventional debt security, including different investment risks and certain additional costs. See "Risk Factors"
and "Additional Risk Factors" beginning on page TS-7 of this term sheet and "Risk Factors" beginning on page PS-7 of
product supplement EQUITY INDICES SUN-1.
The initial estimated value of the notes as of the pricing date is $9.676 per unit, which is less than the public offering price
listed below. See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet and "Structuring the
Notes" on page TS-13 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

$8,920,530.00
Underwriting discount

$ 0.20

$178,410.60
Proceeds, before expenses, to CIBC

$ 9.80

$8,742,119.40

The notes:
Are Not FDIC Insured
Are Not Bank Guaranteed
May Lose Value


BofA Merrill Lynch
August 29, 2019

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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


Summary
The Autocallable Market-Linked Step Up Notes Linked to the Russell 2000 Index, due August 26, 2022 (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). The notes will rank equally with all of our other unsecured and unsubordinated debt. Any payments due on the notes, including
any repayment of principal, will be subject to the credit risk of CIBC. The notes will be automatically called at the applicable Call Amount if the Observation
Level of the Market Measure, which is the Russell 2000 Index (the
®
Index
"
), is equal to or greater than the Call Level on the relevant Observation Date. If the notes
"
are not called, at maturity, the notes provide you with a Step Up Payment if the Ending Value of the Index is equal to or greater than the Starting Value, but is not
greater than the Step Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis in the increase in the level of the Index
above the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion 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 T
" erms of the
Notes below
"
.
The economic terms of the notes (including the Call Premiums and Call Amounts) 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-13.
Terms of the Notes

Issuer:
Canadian Imperial Bank of Commerce ("CIBC")
Call Settlement
Approximately the fifth business day fol owing
Dates:
the applicable Observation Date, subject to
postponement if the related Observation Date is
postponed, as described on page PS-19 of
product supplement EQUITY INDICES SUN-1.
Principal Amount:
$10.00 per unit
Call Premiums:
$1.005 per unit if cal ed on the first Observation
Date (which represents a return of 10.05% over
the principal amount), and $2.01 per unit if
cal ed on the final Observation Date (which
represents a return of 20.10% over the principal
amount).
Term:
Approximately three years, if not cal ed
Ending Value:
The closing level of the Index on the calculation
day. The scheduled calculation day is subject to
postponement in the event of Market Disruption
Events, as described beginning on page PS-20
of product supplement EQUITY INDICES SUN-
1.
Market Measure:
The Russel 2000
® Index (Bloomberg symbol:
Step Up Value:
1,945.736 (130.00% of the Starting Value,
"RTY"), a price return index
rounded to three decimal places).
Starting Value:
1,496.720
Step Up Payment:
$3.00 per unit, which represents a return of
30.00% over the principal amount.
Observation Level:
The closing level of the Index on the applicable
Threshold Value:
1,496.720 (100.00% of the Starting Value).
Observation Date.
Observation Dates:
September 8, 2020 and August 20, 2021,
Calculation Day:
August 19, 2022
subject to postponement in the event of Market
Disruption Events, as described on page PS-
19 of product supplement EQUITY INDICES
SUN-1.
Call Level:
1,496.720 (100.00% of the Starting Value).
Fees and Charges:
The underwriting discount of $0.20 per unit
listed on the cover page and the hedging related
charge of $0.075 per unit described in
"Structuring the Notes" on page TS-13.
Call Amounts (per
$11.005 if cal ed on the first Observation Date,
Calculation Agent:
BofA Securities, Inc. ("BofAS").
Unit):
and $12.01 if cal ed on the final Observation
Date.

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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


Determining Payment on the Notes
Automatic Call Provision
The notes wil be cal ed automatical y on an Observation Date if the Observation Level on that Observation Date is equal to or greater than the Cal Level.
If the notes are cal ed, you wil receive $10 per unit plus the applicable Cal Premium.


Redemption Amount Determination
If the notes are not automatical y cal ed, on the maturity date, you wil receive a cash payment per unit determined as fol ows:


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Linked to the Russell 2000 Index, due
®
August 26, 2022


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

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


https://www.sec.gov/Archives/edgar/data/1045520/000110465917020280/a17-7416_9424b5.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 SUN-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 SUN-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
You may wish to consider an investment in the notes if:

The notes may not be an appropriate investment for you if:
§
You are willing to receive a return on your investment capped
§
You want to hold your notes for the full term.


at the applicable Call Premium if the relevant Observation
§
You believe that the notes will not be automatically called and
Level is equal to or greater than the Call Level.

the Index will decrease from the Starting Value to the Ending
§
You anticipate that the notes will be automatically called or
Value.

that the Index will not decrease from the Starting Value to the
§
You seek principal repayment or preservation of capital.
Ending Value.

§
You seek interest payments or other current income on your
§
You are willing to risk a loss of principal and return if the notes


investment.
are not automatically called and the Index decreases from the
Starting Value to the Ending Value.
§
You want to receive dividends or other distributions paid on

the stocks included in the Index.
§
You are willing to forgo the interest payments that are paid on

conventional interest bearing debt securities.
§
You seek an investment for which there will be a liquid

secondary market.
§
You are willing to forgo dividends or other benefits of owning

the stocks included in the Index.
§
You are unwilling or are unable to take market risk on the

notes or to take our credit risk as issuer of the notes.
§
You are willing to accept a limited or no market for sales prior

to maturity, and understand that the market prices for the
notes, if any, will be affected by various factors, including our
actual and 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 Call
Amount or the Redemption Amount.
We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


Hypothetical Payout Profile and Examples of Payments at
Maturity
The graph below shows a payout profile at maturity, which would only apply if the notes are not called on any Observation
Date.

Autocallable Market-Linked Step Up Notes
This graph reflects the returns on the notes, based on the

Threshold Value of 100.00% of the Starting Value, the Step Up
Value of 130.00% of the Starting Value and the Step Up Payment
of $3.00 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 hypothetical values and show hypothetical
returns on the notes, assuming the notes are not called on any Observation Date. 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 100.00, a
hypothetical Step Up Value of 130.00, the Step Up Payment of $3.00 per unit and a range of hypothetical Ending Values. The actual
amount you receive and the resulting total rate of return will depend on the actual Starting Value, Threshold Value, Step Up
Value and Ending Value, whether the notes are called on an Observation Date, and whether you hold the notes to maturity. The
following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Index, see "The Index" section below. The Index is a price return index and as such the Ending Value 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.

Percentage Change from the
Redemption Amount
Total Rate of Return on the
Ending Value

Starting Value to the Ending Value

per Unit

Notes






0.00
-100.00%
$0.00
-100.00%
50.00

-50.00%

$5.00

-50.00%
75.00

-25.00%

$7.50

-25.00%
80.00

-20.00%

$8.00

-20.00%
85.00

-15.00%

$8.50

-15.00%
90.00

-10.00%

$9.00

-10.00%
95.00

-5.00%

$9.50

-5.00%
100.00

(1) (2)
0.00%

$13.00

(3)
30.00%
105.00

5.00%

$13.00

30.00%
110.00

10.00%

$13.00

30.00%
120.00

20.00%

$13.00

30.00%
130.00

(4)
30.00%

$13.00

30.00%
140.00

40.00%

$14.00

40.00%
150.00

50.00%

$15.00

50.00%
200.00

100.00%

$20.00

100.00%
(1)
This is the hypothetical Threshold Value.

(2)
The hypothetical Starting Value of 100.00 used in these examples has been chosen for illustrative purposes only. The actual

Starting Value is 1,496.720, which was the closing level of the Index on the pricing date.
(3)
This amount represents the sum of the principal amount and the Step Up Payment of $3.00.

(4)
This is the hypothetical Step Up Value.


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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022

Redemption Amount Calculation Examples
Example 1
The Ending Value is 50.00, or 50.00% of the Starting Value:
Starting Value:
100.00

Threshold Value: 100.00

Ending Value:
50.00

Redemption Amount per unit
Example 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00

Step Up Value:
130.00

Ending Value:
110.00

Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Starting Value, but less than the Step Up Value.
Example 3
The Ending Value is 143.00, or 143.00% of the Starting Value:
Starting Value:
100.00

Step Up Value:
130.00

Ending Value:
143.00

Redemption Amount per unit

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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


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 careful y review the more detailed explanation of risks relating to the notes in the "Risk Factors" sections
beginning on page PS-7 of product supplement EQUITY INDICES SUN-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.

§
If the notes are not automatical y cal ed, depending on the performance of the Index as measured shortly before the maturity date, you

may lose up to 100% 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.

§
If the notes are cal ed, your investment return is limited to the return represented by the applicable Cal Premium.


§
Your investment return 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 sel ing and structuring the notes, as wel as hedging the notes, al 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 value of the Market Measure, 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 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.

§
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-
31 of product supplement EQUITY INDICES SUN-1. For a discussion of the Canadian federal income tax consequences 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.

Autocallable Market-Linked Step Up Notes
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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


Additional Risk Factors
The notes are subject to risks associated with small-size capitalization companies.
The stocks composing the Index are issued by companies with small-sized market capitalization. The stock prices of small-size
companies may be more volatile than stock prices of large capitalization companies. Small-size capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small-size capitalization
companies may also be more susceptible to adverse developments related to their products or services.

Autocallable Market-Linked Step Up Notes
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Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022

The Index

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, FTSE Russell (the "Index sponsor"). 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 the
Notes--Discontinuance of an Index" beginning on page PS-21 of product supplement EQUITY INDICES SUN-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.
The Index is one of the Russell U.S. indices, which is designed to track the performance of the small-capitalization segment of the U.S.
equity market. The companies included in the Index are the middle 2,000 of the companies that form the Russell 3000E
Index, which
TM
is composed of the 4,000 largest U.S. companies as determined by total market capitalization and represents approximately 99% of the
U.S. equity market. The Index is reported by Bloomberg L.P. under the ticker symbol "RTY."
Defining Eligible Securities
All companies that are determined to be part of the U.S. equity market under FTSE Russell's country-assignment methodology are
included in the Russell U.S. indices. If a company is incorporated in, has a stated headquarters location in, and also trades in the same
country (American Depositary Receipts and American Depositary Shares are not eligible), the company is assigned to the equity market
of its country of incorporation. If any of the three do not match, FTSE Russell then defines three Home Country Indicators ("HCI"):
country of incorporation, country of headquarters, and country of the most liquid exchange as defined by two-year average daily dollar
trading volume from all exchanges within a country. Using the HCIs, FTSE Russell cross-compares the primary location of the
company's assets with the three HCIs. If the primary location of the company's assets matches any of the HCIs, then the company is
assigned to its primary asset location. If there is insufficient information to determine the country in which the company's assets are
primarily located, FTSE Russell will use the primary location of the company's revenues for the same cross-comparison and will assign
the company to the appropriate country in a similar fashion. FTSE Russell uses an average of two years of assets or revenue data for
analysis to reduce potential turnover. If conclusive country details cannot be derived from assets or revenue, FTSE Russell assigns the
company to the country where its headquarters are located unless the country is a Benefit Driven Incorporation ("BDI") country; in which
case, the company will be assigned to the country of its most liquid stock exchange. For any companies incorporated or headquartered
in a U.S. territory, including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned. If a company is
designated as a Chinese "N Share," it will not be considered for inclusion within the Russell U.S. indices. An "N Share" company is
controlled by mainland Chinese entities, companies or individuals. It must be incorporated outside of China and traded on the New York
Stock Exchange, the Nasdaq exchange or the NYSE American with a majority of its revenues or assets derived from the People's
Republic of China.
All securities eligible for inclusion in Russell U.S. indices must trade on an eligible U.S. exchange. The eligible U.S. exchanges are:
BATS, IEX, NYSE, NYSE American, Nasdaq and ARCA. Bulletin board, pink-sheets, and over-the-counter ("OTC") traded securities are
not eligible for inclusion, including securities for which prices are displayed on the FINRA ADF.
Preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts and
trust receipts are not eligible for inclusion in the Russell U.S. indices. Royalty trusts, U.S. limited liability companies, closed-end
investment companies, blank check companies, special-purpose acquisition companies, and limited partnerships are also not eligible for
inclusion in the Russell U.S. indices. Business development companies, exchange traded funds and mutual funds are also excluded.
If an eligible company trades multiple share classes, FTSE Russell will review each share class independently for U.S. index inclusion.
Stocks must trade at or above $1.00 (on its primary exchange) on the rank day in May of each year to be eligible for inclusion during
annual reconstitution. However, in order to reduce unnecessary turnover, if an existing index member's closing price is less than $1.00
on the last day of May, it will be considered eligible if the average of the daily closing prices (from its primary exchange) during the 30
days prior to the rank date is equal to or greater than $1.00. If an existing index member does not trade on the rank day in May, it must
price at $1.00 or above on another eligible U.S. exchange to remain eligible. An initial public offering added during the quarterly IPO
process is considered a new index addition and therefore must have a closing price on its primary exchange at or above $1.00 on the
last day of the IPO eligibility period in order to qualify for index inclusion. Companies with a total market capitalization of less than $30
million are not eligible for inclusion in the Russell U.S. indices. Similarly, companies with only 5% or less of their shares available in the
marketplace are not eligible for the Russell U.S. indices.
Annual Reconstitution
Annual reconstitution is the process by which all Russell indices are completely rebuilt. Reconstitution is a vital part of the creation of a
benchmark which accurately represents a particular market segment. Companies may get bigger or smaller over time, or periodically
undergo changes in their style characteristics. Reconstitution ensures that the companies continue to be correctly represented in the
appropriate Russell indices.

Autocallable Market-Linked Step Up Notes
TS-9


https://www.sec.gov/Archives/edgar/data/1045520/000110465919048454/a19-16497_32424b2.htm
9/15


9/4/2019
https://www.sec.gov/Archives/edgar/data/1045520/000110465919048454/a19-16497_32424b2.htm

Autocal able Market-Linked Step Up Notes

Linked to the Russell 2000 Index, due
®
August 26, 2022


On the rank day in May each year (timetable is announced each spring), all eligible securities are ranked by their total market
capitalization. Total market capitalization is determined by multiplying total outstanding shares by the last price traded on the primary
exchange on the rank day in May. All share classes for a company, including unlisted shares, are aggregated and considered total
shares outstanding.
Reconstitution occurs on the last Friday in June. However, at times this date is too proximal to exchange closures and abbreviated
exchange trading schedules when market liquidity is exceptionally low. In order to ensure proper liquidity in the markets, when the last
Friday in June falls on the 29th or 30 , reconstitution will occur on the preceding Friday
th
.
Eligible IPOs are added to the Russell U.S. indices quarterly to ensure that new additions to the institutional investing opportunity set are
reflected in the representative indices. FTSE Russell focuses on IPOs each quarter because it is important to reflect market additions
between reconstitution periods. Companies filing an initial public offering registration statement (or the local equivalent when outside the
United States) and listing with the same quarter on an eligible U.S. exchange are reviewed for eligibility regardless of previous trading
activity (exceptional or unique events may induce extraordinary treatment which will be communicated appropriately); a one month
window is used to ensure that companies submitting the requisite filings just outside of the quarter are not excluded from eligibility.
Companies currently trading on foreign exchanges or OTC markets will be reviewed for eligibility if: (1) the company files an initial public
offering statement for an eligible U.S. exchange; (2) the offering is announced to the market and confirmed by FTSE Russell's vendors
as an IPO; and (3) the security is not currently a member of the Russell Global Index (eligibility and country assignment are reviewed at
reconstitution).
Capitalization Adjustments
After membership is determined, a security's shares are adjusted to include only those shares available to the public, which is often
referred to as "free float." The purpose of this adjustment is to exclude from market calculations the capitalization that is not available for
purchase and is not part of the investable opportunity set. Stocks are weighted in the Russell U.S. indices by their available (also called
"float-adjusted") market capitalization, which is calculated by multiplying the primary closing price by the available shares. Adjustments
to shares are reviewed at reconstitution, during quarterly update cycles and for corporate actions such as mergers.
Certain types of shares are considered restricted and removed from total market capitalization to arrive at free float or available market
capitalization, such as shares directly owned by State, Regional, Municipal and Local governments (excluding shares held by
independently managed pension schemes for governments), shares held by directors, senior executives and managers of the company,
and by their family and direct relations, and by companies with which they are affiliated, and shares with high shareholding
concentration, etc.
Corporate Action-Driven Changes
FTSE Russell defines a corporate action as an action on shareholders with a prescribed ex-date (e.g., rights issue, special dividend,
stock split). The share price and indexes in which the company is included will be subject to an adjustment on the ex-date. This is a
mandatory event. FTSE Russell defines a corporate event as a reaction to company news (event) that might impact the index depending
on the index rules. FTSE Russell applies corporate actions and events to its indexes on a daily basis. Depending upon the time an
action is determined to be final, FTSE Russell will either (1) apply the action before the open on the ex-date, or (2) apply the action
providing appropriate notice, referred to as "delayed action."
For merger and spin-off transactions that are effective between rank day in May and the Friday prior to annual reconstitution in June, the
market capitalizations of the impacted securities are recalculated and membership is reevaluated as of the effective date of the
corporate action. For corporate events that occur during the final week of reconstitution (during which reconstitution is finalized Friday
after U.S. market close), market capitalizations and memberships will not be reevaluated. Non index members that have been
considered ineligible as of rank day will not be reevaluated in the event of a subsequent corporate action that occurs between rank day
and the reconstitution effective date.
If a company distributes shares of an additional share class to its existing shareholders through a mandatory corporate action, FTSE
Russell evaluates the additional share class for separate index membership. The new share class will be deemed eligible if the market
capitalization of the distributed shares meets minimum size requirement (above the minimum market capitalization breakpoint defined as
the smallest member of the Russell 3000E Index from previous rebalance, adjusted for performance to date.) Index membership of
additional share classes that are added due to corporate actions will mirror that of the pricing vehicle, as will style and stability
probabilities. If the distributed shares of an additional share class do not meet eligibility requirements, they will not be added to the index
(the distributed shares may be added to the index temporarily until they are settled and listed to enable index replication).
"No Replacement" Rule: Securities that leave a Russell U.S. index for any reason (e.g., mergers, acquisitions or other similar corporate
activity) are not replaced. Thus, the number of securities in a Russell U.S. index over the year will fluctuate according to corporate
activity.
To maintain representativeness and maximize the available investment opportunity for index managers, the Russell U.S. indices are
reviewed quarterly for updates to shares outstanding and to free floats used within the index calculation. The changes are implemented
quarterly, on the third Friday of the month (after the close). The June reconstitution will continue to be implemented on the last Friday of
June (unless the last Friday occurs on the 29th or 30th, when reconstitution will occur on the Friday prior).

Autocallable Market-Linked Step Up Notes
TS-10


https://www.sec.gov/Archives/edgar/data/1045520/000110465919048454/a19-16497_32424b2.htm
10/15