Filed
Pursuant to Rule 424(b)(2)
Registration
No. 333-257113
The
information in this preliminary pricing supplement is not complete and may be changed. This preliminary pricing supplement and the accompanying
underlying supplement, prospectus supplement and prospectus are not an offer to sell these securities and we are not soliciting an offer
to buy these securities in any jurisdiction where the offer or sale is not permitted.
|
Subject to
Completion, Dated June 20, 2023
Pricing Supplement dated , 2023
(To Equity Index Underlying Supplement dated September 2, 2021,
Prospectus Supplement dated September 2, 2021,and Prospectus dated September 2, 2021) |
Canadian
Imperial Bank of Commerce Capped Buffer GEARS
$ Notes Linked to the S&P 500® Index due on or
about June 30, 2025
Investment Description |
These Capped Buffer GEARS (the “Notes”) are senior unsecured debt securities issued by Canadian Imperial Bank of Commerce (“CIBC”) with returns linked to the S&P 500® Index (the “Underlying”). The Notes will rank equally with all of our other unsecured and unsubordinated debt obligations. If the Underlying Return is positive, CIBC will pay the principal amount at maturity plus a return equal to 2.00 (the “Upside Gearing”) multiplied by the Underlying Return, up to the Maximum Gain. If the Underlying Return is zero or negative, but the Final Level is greater than or equal to the Downside Threshold, CIBC will pay the full principal amount at maturity. However, if the Underlying Return is negative and the Final Level is less than the Downside Threshold, CIBC will pay less than the full principal amount at maturity, and you will lose 1% of the principal amount of your Notes for every 1% decline in the level of the Underlying in excess of the Buffer. Investing in the Notes involves significant risks. The Notes do not pay any interest. You may lose up to 85% of your principal amount. Any payment on the Notes, including any repayment of principal at maturity, is subject to the creditworthiness of CIBC. If CIBC were to default on its payment obligations, you may not receive any amounts owed to you under the Notes and you could lose your entire investment. |
q |
Enhanced Growth Potential Up to the Maximum Gain: At maturity, the Notes enhance any positive Underlying Return up to the Maximum
Gain. If the Underlying Return is negative, investors may be exposed to the downside market risk of the negative Underlying Return at
maturity. |
q |
Buffered Downside Market Exposure: If the Underlying Return is zero or negative but the Final Level is greater than or equal to
the Downside Threshold, CIBC will repay the principal amount at maturity. However, if the Underlying Return is negative and the Final
Level is less than the Downside Threshold, CIBC will pay less than the full principal amount at maturity, resulting in a loss of the
principal amount that is proportionate to the percentage decline in the Underlying in excess of the Buffer. Accordingly, you could lose
up to 85% of the principal amount of the Notes. The downside exposure to the Underlying is subject to the Buffer only if you hold the
Notes to maturity. Any payment on the Notes, including any repayment of principal, is subject to the creditworthiness of CIBC. |
Trade
Date |
June
27, 2023 |
Settlement
Date |
June
30, 2023 |
Final
Valuation Date2 |
June
25, 2025 |
Maturity
Date2 |
June
30, 2025 |
1 Expected.
In the event we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date and the Maturity Date will be
changed so that the stated term of the Notes remains the same.
2 See page PS-5 for additional details |
THE
NOTES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT INSTRUMENTS. THE TERMS OF THE NOTES MAY NOT OBLIGATE CIBC TO REPAY THE
FULL PRINCIPAL AMOUNT OF THE NOTES. THE NOTES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING, WHICH CAN RESULT IN A LOSS
OF UP TO 85% OF THE PRINCIPAL AMOUNT AT MATURITY. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT
OBLIGATION OF CIBC. YOU SHOULD NOT PURCHASE THE NOTES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS
INVOLVED IN INVESTING IN THE NOTES.
YOU
SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY RISKS’’ BEGINNING ON PAGE PS-7 AND THE MORE DETAILED
‘‘RISK FACTORS’’ BEGINNING ON PAGE S-1 OF THE ACCOMPANYING UNDERLYING SUPPLEMENT, BEGINNING ON PAGE S-1 OF
THE ACCOMPANYING PROSPECTUS SUPPLEMENT AND PAGE 1 OF THE ACCOMPANYING PROSPECTUS BEFORE PURCHASING ANY NOTES. EVENTS RELATING TO
ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. |
The
Notes are offered at a minimum investment of $1,000 in denominations of $10 and integral multiples of $10 in excess thereof. The
final terms of the Notes will be determined on the Trade Date. |
Underlying |
Initial Level |
Downside Threshold |
Buffer |
Maximum Gain |
Upside Gearing |
CUSIP/ISIN |
The S&P 500® Index (“SPX”) |
· |
85% of the Initial Level |
15% |
23.80% - 25.80% |
2.00 |
13608M746 / US13608M7469 |
See “Additional Information about the Notes”
on page PS-3. The Notes offered will have the terms specified in the accompanying prospectus, prospectus supplement and underlying
supplement, and the terms set forth herein.
Neither the U.S. Securities and Exchange Commission
(the “SEC”) nor any state or provincial securities commission has approved or disapproved of the Notes or determined if this
pricing supplement or the accompanying underlying supplement, prospectus supplement or prospectus is truthful or complete. Any representation
to the contrary is a criminal offense.
The Notes will not constitute deposits insured
by the Canada Deposit Insurance Corporation (the “CDIC”), the U.S. Federal Deposit Insurance Corporation, or any other government
agency or instrumentality of Canada, the United States or any other jurisdiction. The Notes are not bail-inable debt securities (as defined
on page 7 of the prospectus). The Notes will not be listed on any securities exchange.
The initial estimated value of the Notes on the
Trade Date as determined by CIBC is expected to be between $9.651 and $9.942 per $10.00 principal amount of the Notes, which is expected
to be less than the price to public. See “Key Risks—General Risks” beginning on page PS-8 of this pricing supplement
and “The Bank’s Estimated Value of the Notes” on the last page of this pricing supplement for additional information.
|
Price to
Public |
Underwriting
Discount(1) |
Proceeds
to Us |
Notes Linked to: |
Total |
Per Note |
Total |
Per Note |
Total |
Per Note |
The S&P 500® Index |
· |
$10.00 |
· |
$0.00 |
· |
$10.00 |
(1) CIBC World Markets Corp.
(“CIBCWM”), our affiliate, will purchase the Notes and, as part of the distribution of the Notes, will sell all of the Notes
to UBS Financial Services Inc. (“UBS”) at no discount. See “Supplemental Plan of Distribution (Conflicts of Interest)”
on the last page of this pricing supplement for additional information.
UBS
Financial Services Inc. |
CIBC
Capital Markets |
Additional Information About the Notes |
You
should read this pricing supplement together with the prospectus dated September 2,
2021 (the “prospectus”), the prospectus supplement dated September 2, 2021
(the “prospectus supplement”) and the Equity Index Underlying Supplement dated
September 2, 2021 (the “underlying supplement”). Information in this pricing
supplement supersedes information in the underlying supplement, the prospectus supplement
and the prospectus to the extent it is different from that information. Certain terms used
but not defined herein will have the meanings set forth in the underlying supplement, the
prospectus supplement or the prospectus.
You
should rely only on the information contained in or incorporated by reference in this pricing supplement and the accompanying underlying
supplement, the prospectus supplement and the 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, the prospectus supplement and the prospectus, and in the documents referred to in those documents and which
are made available to the public. We, UBS and our respective affiliates have 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,
CIBCWM and UBS are 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, the prospectus supplement or the 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, the prospectus supplement or the prospectus constitutes an offer, or an invitation on
behalf of us, CIBCWM or UBS, 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. References to “Index” in the underlying supplement will be references to
“Underlying.”
You
may access the underlying supplement, the prospectus supplement and the 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 September 2, 2021:
https://www.sec.gov/Archives/edgar/data/1045520/000110465921112442/tm2123981d23_424b5.htm
♦ Prospectus
supplement dated September 2, 2021:
https://www.sec.gov/Archives/edgar/data/1045520/000110465921112440/tm2123981d29_424b5.htm
♦ Prospectus
dated September 2, 2021:
https://www.sec.gov/Archives/edgar/data/1045520/000110465921112558/tm2123981d24_424b3.htm |
|
The
Notes may be suitable for you if:
| ♦ | You
fully understand the risks inherent in an investment in the Notes, including the risk of
loss of your entire initial investment. |
| ♦ | You
are willing to make an investment where you could lose up to 85% of your initial investment
and are willing to make an investment that may be exposed to similar downside market risk
as the Underlying. |
| ♦ | You
believe that the Underlying will appreciate over the term of the Notes, but will not appreciate
by more than the Maximum Gain. |
| ♦ | You
understand and accept that your potential return is limited by the Maximum Gain, and you
would be willing to invest in the Notes if the Maximum Gain was set equal to the bottom of
the range indicated on the cover hereof (the actual Maximum Gain will be set on the Trade
Date). |
| ♦ | You
understand and accept the risks associated with the Underlying. |
| ♦ | You
can tolerate fluctuations in the price of the Notes prior to maturity that may be similar
to or exceed the downside fluctuations in the level of the Underlying. |
| ♦ | You
are willing to hold the Notes to maturity and do not seek an investment for which there is
an active secondary market. |
| ♦ | You
are willing to accept the risk and return profile of the Notes versus a conventional debt
security with a comparable maturity issued by CIBC or another issuer with a similar credit
rating. |
| ♦ | You
do not seek current income from your investment and are willing to forgo dividends paid on
the stocks included in the Underlying. |
| ♦ | You
are willing to assume the credit risk of CIBC, as Issuer of the Notes, and understand that
if CIBC defaults on its obligations, you may not receive any amounts due to you, including
any repayment of principal. |
The
Notes may not be suitable for you if:
| ♦ | You
do not fully understand the risks inherent in an investment in the Notes, including the risk
of loss of your entire initial investment. |
| ♦ | You
seek an investment that is designed to return your full principal amount at maturity. |
| ♦ | You
are not willing to make an investment in which you could lose up to 85% of your principal
amount and you are not willing to make an investment that may be exposed to similar downside
market risk as the Underlying. |
| ♦ | You
believe that the level of the Underlying will decrease during the term of the Notes, or will
increase by more than the Maximum Gain. |
| ♦ | You
seek an investment that participates in the full appreciation in the Underlying or that has
unlimited return potential. |
| ♦ | You
are not willing to invest in the Notes if the Maximum Gain is set equal to the bottom of
the range indicated on the cover hereof (the actual Maximum Gain will be set on the Trade
Date). |
| ♦ | You
do not understand or accept the risks associated with the Underlying. |
| ♦ | You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may be similar
to or exceed the downside fluctuations in the level of the Underlying. |
| ♦ | You
are unable or unwilling to hold the Notes to maturity and seek an investment for which there
will be an active secondary market. |
| ♦ | You
prefer the lower risk, and therefore accept the potentially lower returns, of conventional
debt securities with comparable maturities issued by CIBC or another issuer with a similar
credit rating. |
| ♦ | You
seek current income from your investment or prefer to receive the dividends paid on the stocks
included in the Underlying. |
| ♦ | You
are not willing or are unable to assume the credit risk of CIBC, as Issuer of the Notes,
including any repayment of principal. |
The
suitability considerations identified above are not exhaustive. Whether or not the Notes are a suitable investment for you will depend
on your individual circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting
and other advisors have carefully considered the suitability of an investment in the Notes in light of your particular circumstances.
For more information about the Underlying, see “Information About the Underlying” in this pricing supplement, and “Index
Descriptions— The S&P U.S. Indices” beginning on page S-45 of the accompanying underlying supplement. You should
also review carefully the “Key Risks” herein and the more detailed “Risk Factors” beginning on page S-1
of the underlying supplement and beginning on page S-1 of the accompanying prospectus supplement.
Indicative
Terms |
Issuer: |
Canadian
Imperial Bank of Commerce |
Principal
Amount: |
$10.00
per Note (subject to a minimum investment of $1,000). |
Term: |
2
years |
Trade
Date¹: |
June 27,
2023 |
Settlement
Date¹: |
June 30,
2023 |
Final
Valuation Date¹: |
June 25,
2025 |
Maturity
Date¹: |
June 30,
2025 |
Reference
Asset: |
The
S&P 500® Index (Ticker: “SPX”) (the “Underlying”) |
Upside
Gearing: |
2.00 |
Maximum
Gain: |
23.80%
- 25.80%, to be determined on the Trade Date. |
Buffer: |
15% |
Downside
Threshold: |
85.00%
of the Initial Level |
Payment
at Maturity (per $10 Note): |
You
will receive a cash payment on the Maturity Date calculated as follows:
If
the Underlying Return is positive, the lesser of:
(A) $10
+ ($10 × Underlying Return × Upside Gearing); and
(B) $10
+ ($10 × Maximum Gain).
If
the Underlying Return is zero or negative but the Final Level is greater than or equal to the Downside Threshold:
$10
If
the Underlying Return is negative and the Final Level is less than the Downside Threshold:
$10
+ [$10 × (Underlying Return + Buffer)]
In
this case, you will lose 1% of the principal amount for each 1% decrease in the level of the Underlying by more than the Buffer.
Accordingly, you will lose up to 85% of your principal amount. |
Underlying
Return: |
Final
Level – Initial Level
Initial
Level |
Initial
Level: |
The
Closing Level of the Underlying on the Trade Date. |
Final
Level: |
The
Closing Level of the Underlying on the Final Valuation Date. |
Calculation
Agent: |
Canadian
Imperial Bank of Commerce |
CUSIP/ISIN: |
13608M746
/ US13608M7469 |
INVESTING
IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE UP TO 85% OF YOUR PRINCIPAL AMOUNT AT MATURITY. ANY PAYMENT ON THE NOTES, INCLUDING
ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF CIBC. IF CIBC WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS,
YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT. |
|
|
1
Expected. In the event CIBC makes any changes to the expected Trade Date and Settlement Date, the Final Valuation Date and
the Maturity Date will be changed so that the stated term of the Notes remains the same. The Final Valuation Date and the Maturity
Date are subject to postponement in the event of a Market Disruption Event or non-trading day, as described under “Certain
Terms of the Notes—Valuation Dates—For Notes Where the Reference Asset Is a Single Index” and “—Interest
Payment Dates, Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying underlying supplement. |
Investment Timeline |
|
![](https://content.edgar-online.com/edgar_conv_img/2023/06/20/0001104659-23-072761_tm2317535d62_424b2img011.jpg) |
The Initial Level and the Downside Threshold are determined and the terms of the Notes are set. |
|
The Final Level and the Underlying Return are determined on
the Final Valuation Date.
If the Underlying Return is positive, CIBC will pay you a cash payment
per Note equal to the lesser of:
(A) $10 + ($10 × Underlying Return ×
Upside Gearing); and
(B) $10 + ($10 × the Maximum Gain)
If the Underlying Return is zero or negative but the Final Level is greater
than or equal to the Downside Threshold, CIBC will pay you the $10 principal amount per Note.
If the Underlying Return is negative and the Final Level is less than
the Downside Threshold, CIBC will pay you a cash payment at maturity that will be less than the principal amount of $10 per Note, resulting
in a loss of principal that is proportionate to the negative Underlying Return, equal to:
$10 + [$10 × (Underlying Return + Buffer)]
In this case, you will lose 1% of the principal amount for each 1%
decrease in the level of the Underlying by more than the Buffer. Accordingly, you will lose up to 85% of your principal amount. |
An
investment in the Notes involves significant risks. Some of the risks that apply to the Notes are summarized here. However, CIBC urges
you to read the more detailed explanation of risks relating to the Notes in the “Risk Factors” section of the accompanying
underlying supplement and the accompanying prospectus supplement. CIBC also urges you to consult your investment, legal, tax, accounting
and other advisors before you invest in the Notes.
Structure
Risks
♦ | Risk
of Loss at Maturity – The Notes differ from ordinary debt securities in that CIBC
will not necessarily pay the full principal amount of the Notes at maturity. CIBC will repay
you the full principal amount of your Notes only if the Final Level is equal to or greater
than the Downside Threshold. If the Final Level is less than the Downside Threshold, you
will be exposed on a 1-to-1 basis to any decrease in the level of the Underlying by more
than the Buffer. Accordingly, you could lose up to 85% of the principal amount of the Notes. |
♦ | Limited
Return on the Notes – Your return on the Notes will be limited by the Maximum Gain,
regardless of any increase in the level of the Underlying, which may be significant. Therefore,
you will not benefit from any appreciation of the Underlying in excess of an amount that,
when multiplied by the Upside Gearing, exceeds the Maximum Gain and your return on the Notes
may be less than your return would be on a hypothetical direct investment in the Underlying
or in the stocks included in the Underlying. |
♦ | The
Buffered Downside Market Exposure Applies Only if You Hold the Notes to Maturity –
You should be willing to hold your Notes to maturity. If you are able to sell your Notes
prior to maturity in the secondary market, you may have to sell them at a loss even if the
level of the Underlying is above the Downside Threshold. |
♦ | The
Upside Gearing Applies Only if You Hold the Notes to Maturity – You should be willing
to hold your Notes to maturity. If you are able to sell your Notes prior to maturity in the
secondary market, the price you receive will likely not reflect the full economic value of
the Upside Gearing or the Notes themselves, and the return you realize may be less than the
Upside Gearing times the Underlying Return, even if that return is positive and, when multiplied
by the Upside Gearing, does not exceed the Maximum Gain. You can receive the full benefit
of the Upside Gearing, subject to the Maximum Gain, only if you hold your Notes to maturity. |
♦ | No
Interest Payments – CIBC will not make any interest payments with respect to the
Notes. |
Underlying
Risks
♦ | Owning
the Notes Is Not the Same as Owning the Stocks Included in the Underlying — The
return on your Notes may not reflect the return you would realize if you actually owned the
stocks included in the Underlying. As a holder of the Notes, you will not have voting rights
or rights to receive dividends or other distributions or other rights that holders of the
stocks included in the Underlying would have. Furthermore, the Underlying and the stocks
included in the Underlying may appreciate substantially during the term of your Notes, and
you will not participate in such appreciation. |
♦ | Changes
Affecting the Underlying May Adversely Affect the Level of the Underlying — The
policies of the Underlying sponsor concerning additions, deletions and substitutions of the
stocks included in the Underlying and the manner in which the Underlying sponsor takes account
of certain changes affecting those stocks included in the Underlying may adversely affect
the level of the Underlying. The policies of the Underlying sponsor with respect to the calculation
of the Underlying could also adversely affect the level of the Underlying. The Underlying
sponsor may discontinue or suspend calculation or dissemination of the Underlying. Any such
actions could have an adverse effect on the level of the Underlying and consequently, the
value of the Notes. |
Conflicts
of Interest
♦ | Certain
Business, Trading and Hedging Activities of Us, UBS, and Our Respective Affiliates May Create
Conflicts With Your Interests and Could Potentially Adversely Affect the Value of the Notes
— We, UBS, and our respective affiliates may engage in trading and other business
activities related to the Underlying or any securities included in the Underlying that are
not for your account or on your behalf. We, UBS, and our respective affiliates also may issue
or underwrite other financial instruments with returns based upon the Underlying. These activities
may present a conflict of interest between your interest in the Notes and the interests that
we, UBS, and our respective affiliates may have in our or their proprietary accounts, in
facilitating transactions, including block trades, for our or their other customers, and
in accounts under our or their management. In addition, we, UBS, and our respective affiliates
may publish research, express opinions or provide recommendations that are inconsistent with
investing in or holding the Notes, and which may be revised at any time. Any such research,
opinions or recommendations could adversely affect the level of the Underlying, and therefore,
the market value of the Notes. These trading and other business activities, if they affect
the level of the Underlying or secondary trading in your Notes, could be adverse to your
interests as a beneficial owner of the Notes. |
Moreover,
we, UBS, and our respective affiliates play a variety of roles in connection with the issuance of the Notes, including hedging our obligations
under the Notes and making the assumptions and inputs used to determine the pricing of the Notes and the initial estimated value of the
Notes when the terms of the Notes are set. We expect to hedge our obligations under the Notes through CIBCWM, UBS, one of our or its
affiliates, and/or another unaffiliated counterparty, which may include any dealer from which you purchase the Notes. Any of these hedging
activities may adversely affect the level of the Underlying and therefore the market value of the Notes and the amount you will receive
on the Notes. In connection with such activities, the economic interests of us, UBS, and our respective affiliates may be adverse to
your interests as an investor in the Notes. Any of these activities may adversely affect the value of the Notes. In addition, because
hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging activity may result in a
profit that is more or less than expected, or it may result in a loss. We, UBS, one or more of our respective affiliates or any unaffiliated
counterparty will retain any profits realized in hedging our obligations under the Notes even if investors do not receive a favorable
investment return under the terms of the Notes or in any secondary market transaction. Any profit in connection with such hedging activities
will be in addition to any other compensation that we, UBS, our respective affiliates or any unaffiliated counterparty receive for the
sale of the Notes, which creates an additional incentive to sell the Notes to you. We, UBS, our respective affiliates or any unaffiliated
counterparty will have no obligation to take, refrain from taking or cease taking any action with respect to these transactions based
on the potential effect on an investor in the Notes.
♦ | There
Are Potential Conflicts of Interest Between You and the Calculation Agent — The
calculation agent will determine, among other things, the amount of payments on the Notes.
The calculation agent will exercise its judgment when performing its functions. For example,
the calculation agent will determine whether a Market Disruption Event affecting the Underlying
has occurred, and determine the Closing Level of the Underlying if the scheduled scheduled
Final Valuation Date is postponed to the last possible day. See “Certain Terms of the
Notes—Valuation Dates—For Notes Where the Reference Asset Is a Single Index”
in the underlying supplement. This determination may, in turn, depend on the calculation
agent’s judgment as to whether the event has materially interfered with our ability
or the ability of one of our affiliates to unwind our hedge positions. The calculation agent
will be required to carry out its duties in good faith and use its reasonable judgment. However,
because we will be the calculation agent, potential conflicts of interest could arise. None
of us, CIBCWM or any of our other affiliates will have any obligation to consider your interests
as a holder of the Notes in taking any action that might affect the value of your Notes. |
Tax
Risks
♦ | The
Tax Treatment of the Notes Is Uncertain — Significant aspects of the tax treatment
of the Notes are uncertain. You should consult your tax advisor about your own tax situation.
See “United States Federal Income Tax Considerations” and “Certain Canadian
Federal Income Tax Considerations” in this pricing supplement, “Material U.S.
Federal Income Tax Consequences” in the underlying supplement and “Material Income
Tax Consequences—Canadian Taxation” in the prospectus. |
General
Risks
♦ | 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 — The Notes are our senior unsecured
debt obligations and are not, either directly or indirectly, an obligation of any third party.
As further described in the accompanying prospectus and prospectus supplement, the Notes
will rank on par with all of our other unsecured and unsubordinated debt obligations, except
such obligations as may be preferred by operation of law. All payments to be made on the
Notes depend on our ability to satisfy our obligations as they come due. As a result, the
actual and perceived creditworthiness of us may affect the market value of the Notes and,
in the event we were to default on our obligations, you may not receive the amounts owed
to you under the terms of the Notes. If we default on our obligations under the Notes, your
investment would be at risk and you could lose some or all of your investment. See “Description
of Senior Debt Securities—Events of Default” in the accompanying prospectus. |
♦ | The
Notes Will Be Subject to Risks Under Canadian Bank Resolution Powers — Under Canadian
bank resolution powers, the CDIC may, in circumstances where the Bank has ceased, or is about
to cease, to be viable, assume temporary control or ownership of the Bank and may be granted
broad powers by one or more orders of the Governor in Council (Canada), each of which we
refer to as an “Order,” including the power to sell or dispose of all or a part
of the assets of the Bank, and the power to carry out or cause the Bank to carry out a transaction
or a series of transactions the purpose of which is to restructure the business of the Bank.
If the CDIC were to take action under the Canadian bank resolution powers with respect to
the Bank, this could result in holders or beneficial owners of the Notes being exposed to
losses. |
♦ | The
Bank’s Initial Estimated Value of the Notes Will Be Lower Than the Initial Issue Price
(Price to Public) of the Notes — The initial issue price of the Notes will exceed
the Bank’s initial estimated value because costs associated with selling and structuring
the Notes, as well as hedging the Notes, are included in the initial issue price of the Notes.
See “The Bank’s Estimated Value of the Notes” on the last page of
this pricing supplement. |
♦ | The
Bank’s Initial Estimated Value Does Not Represent Future Values of the Notes and May Differ
From Others’ Estimates — The Bank’s initial estimated value of the
Notes is only an estimate, which will be determined by reference to the Bank’s internal
pricing models when the terms of the Notes are set. This estimated value will be based on
market conditions and other relevant factors existing at that time, the Bank’s internal
funding rate on the Trade Date and the Bank’s 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 the Bank’s 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 Underlying, the Bank’s
creditworthiness, interest rate movements and other relevant factors, which may impact the
price at which CIBCWM or any other party would be willing to buy the Notes from you in any
secondary market transactions. The Bank’s initial estimated value does not represent
a minimum price at which CIBCWM or any other party would be willing to buy the Notes in any
secondary market (if any exists) at any time. See “The Bank’s Estimated Value
of the Notes” on the last page of this pricing supplement. |
♦ | The
Bank’s Initial Estimated Value of the Notes Will Not Be Determined by Reference to
Credit Spreads for Our Conventional Fixed-Rate Debt — The internal funding rate
to be used in the determination of the Bank’s 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 the Bank were
to use 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 would have an adverse effect on the economic terms of
the Notes, the initial estimated value of the Notes on the Trade Date, and any secondary
market prices of the Notes. See “The Bank’s Estimated Value of the Notes”
on the last page of this pricing supplement. |
♦ | If
CIBCWM Were to Repurchase Your Notes After the Settlement Date, the Price May Be Higher
Than the Then-Current Estimated Value of the Notes for a Limited Time Period — While
CIBCWM may make markets in the Notes, it is under no obligation to do so and may discontinue
any market-making activities at any time without notice. The price that it makes available
from time to time after the Settlement Date at which it would be willing to repurchase the
Notes will generally reflect its estimate of their value. That estimated value will be based
upon a variety of factors, including then prevailing market conditions, our creditworthiness
and transaction costs. However, for a period of approximately 3 months after the Trade Date,
the price at which CIBCWM may repurchase the Notes is expected to be higher than their estimated
value at that time. This is because, at the beginning of this period, that price will not
include certain costs that were included in the initial issue price, particularly our hedging
costs and profits. As the period continues, these costs are expected to be gradually included
in the price that CIBCWM would be willing to pay, and the difference between that price and
CIBCWM’s estimate of the value of the Notes will decrease over time until the end of
this period. After this period, if CIBCWM continues to make a market in the Notes, the prices
that it would pay for them are expected to reflect its estimated value, as well as customary
bid-ask spreads for similar trades. In addition, the value of the Notes shown on your account
statement may not be identical to the price at which CIBCWM would be willing to purchase
the Notes at that time, and could be lower than CIBCWM’s price. |
♦ | Economic
and Market Factors May Adversely Affect the Terms and Market Price of the Notes Prior
to Maturity — Because structured notes, including the Notes, can be thought of
as having a debt and derivative component, factors that influence the values of debt instruments
and options and other derivatives will also affect the terms and features of the Notes at
issuance and the market price of the Notes prior to maturity. These factors include the level
of the Underlying; the volatility of the Underlying; the dividend rate paid on stocks included
in the Underlying; the time remaining to the maturity of the Notes; interest rates in the
markets in general; geopolitical conditions and economic, financial, political, regulatory,
judicial or other events; and the creditworthiness of CIBC. These and other factors are unpredictable
and interrelated and may offset or magnify each other. |
♦ | The
Notes Will Not Be Listed on Any Securities Exchange and We Do Not Expect a Trading Market
for the Notes to Develop — The Notes will not be listed on any securities exchange.
Although CIBCWM and/or its affiliates intend to purchase the Notes from holders, they are
not obligated to do so and are not required to make a market for the Notes. There can be
no assurance that a secondary market will develop for the Notes. Because we do not expect
that any market makers will participate in a secondary market for the Notes, the price at
which you may be able to sell your Notes is likely to depend on the price, if any, at which
CIBCWM and/or its affiliates are willing to buy your Notes. |
If
a secondary market does exist, it may be limited. Accordingly, there may be a limited number of buyers if you decide to sell your Notes
prior to maturity. This may affect the price you receive upon such sale. Consequently, you should be willing to hold the Notes to maturity.
Hypothetical
Scenario Analysis and Examples |
The
scenario analysis and examples below are hypothetical and provided for illustrative purposes only. They do not purport to be representative
of every possible scenario concerning increases or decreases in the level of the Underlying relative to the Initial Level. The hypothetical
terms used below are not the actual terms. The actual terms will be set on the Trade Date and will be indicated on the cover of the applicable
pricing supplement. We cannot predict the Final Level. You should not take the scenario analysis and these examples as an indication
or assurance of the expected performance of the Underlying. The numbers appearing in the examples below may have been rounded for ease
of analysis. The following scenario analysis and examples illustrate the Payment at Maturity per $10.00 Note on a hypothetical offering
of the Notes, based on the following assumptions:
Investment
Term: |
2
years |
|
|
Upside
Gearing: |
2.00 |
|
|
Hypothetical
Maximum Gain: |
23.80% |
|
|
Buffer: |
15% |
|
|
Hypothetical
Initial Level: |
1,000.00 |
|
|
Hypothetical
Downside Threshold: |
850.00
(85.00% of the hypothetical Initial Level) |
Example
1— The level of the Underlying increases from an Initial Level of 1,000.00 to a Final Level of 1,025.00.
Because
the Underlying Return of 2.50% is greater than zero, the Payment at Maturity for each $10 principal amount of Notes is equal to the lesser
of:
(A) $10.00
+ [$10.00 × (2.50% × 2.00)], and
(B) $10.00
+ ($10.00 × 23.80%)
Payment
at Maturity = $10.50
Example
1 shows that the Notes provide a leveraged return if the positive Underlying Return multiplied by the Upside Gearing does not exceed
the Maximum Gain.
Example
2— The level of the Underlying increases from an Initial Level of 1,000.00 to a Final Level of 1,200.00.
Because
the Underlying Return of 20.00% is greater than zero, the Payment at Maturity for each $10 principal amount of Notes is equal to the
lesser of:
(A) $10.00
+ [$10.00 × (20.00% × 2.00)], and
(B) $10.00
+ ($10.00 × 23.80%)
Payment
at Maturity = $12.38
Example
2 shows that when the Underlying Return multiplied by the Upside Gearing exceeds the Maximum Gain, the return on the Notes will be limited
to the Maximum Gain.
Example
3— The level of the Underlying increases from an Initial Level of 1,000.00 to a Final Level of 1,500.00.
Because
the Underlying Return of 50.00% is greater than zero, the Payment at Maturity for each $10 principal amount of Notes is equal to the
lesser of:
(A) $10.00
+ [$10.00 × (50.00% × 2.00)], and
(B) $10.00
+ ($10.00 × 23.80%)
Payment
at Maturity = $12.38
Example
3 shows that the return on the Notes will not exceed the Maximum Gain, regardless of the extent to which the level of the Underlying
increases.
Example
4— The level of the Underlying decreases from an Initial Level of 1,000.00 to a Final Level of 900.00.
Payment
at Maturity = $10.00
Because
the Underlying Return is negative but the Final Level is greater than the Downside Threshold, the Payment at Maturity is equal to the
$10.000 principal amount per Note (a return of 0%).
Example
5— The level of the Underlying decreases from an Initial Level of 1,000.00 to a Final Level of 500.00.
Payment
at Maturity = $10 + [$10 × (-50.00% + 15%)] = $6.50
Because
the Underlying Return is negative and the Final Level is less than the Downside Threshold, the Notes will be fully exposed to any decline
in the level of the Underlying on the Final Valuation Date by more than the Buffer. In this case, you would incur a loss of 35.00% of
the principal amount.
Example
5 shows that you are exposed on a 1-to-1 basis to any decrease in the level of the Underlying by more than the Buffer. In this
case, you will lose up to 85% of your principal amount at maturity.
Scenario Analysis – Hypothetical
Payment at Maturity for each $10.00 principal amount of the Notes.
Hypothetical
Final Level |
Hypothetical
Underlying Return* |
Payment
at Maturity |
Return
on Notes at Maturity** |
2,000.00 |
100.00% |
$12.38 |
23.80% |
1,750.00 |
75.00% |
$12.38 |
23.80% |
1,500.00 |
50.00% |
$12.38 |
23.80% |
1,119.00 |
11.90% |
$12.38 |
23.80% |
1,100.00 |
10.00% |
$12.00 |
20.00% |
1,050.00 |
5.00% |
$11.00 |
10.00% |
1,025.00 |
2.50% |
$10.50 |
5.00% |
1,000.00 |
0.00% |
$10.00 |
0.00% |
950.00 |
-5.00% |
$10.00 |
0.00% |
900.00 |
-10.00% |
$10.00 |
0.00% |
850.00 |
-15.00% |
$10.00 |
0.00% |
840.00 |
-16.00% |
$9.90 |
-1.00% |
500.00 |
-50.00% |
$6.50 |
-35.00% |
250.00 |
-75.00% |
$4.00 |
-60.00% |
0.00 |
-100.00% |
$1.50 |
-85.00% |
*
The Underlying Return excludes cash dividend payments on the stocks included in the Underlying.
**
This “Return on Notes” is the number, expressed as a percentage, that results from comparing the Payment at Maturity per
$10 principal amount of the Notes to the purchase price of $10 per Note.
Information
About the Underlying |
The
S&P 500® Index
The
S&P 500® Index (Bloomberg ticker: “SPX <Index>”) is calculated, maintained and published by S&P
Dow Jones Indices LLC. The Underlying includes 500 leading companies and covers approximately 80% of market capitalization of the U.S.
equity markets. See “Index Descriptions—The S&P U.S. Indices” beginning on page S-45 of the accompanying underlying
supplement for additional information about the Underlying.
In
addition, information about the Underlying may be obtained from other sources, including, but not limited to, the index sponsor’s
website (including information regarding the Underlying’s sector weightings). We are not incorporating by reference into this pricing
supplement the website or any material it includes. None of us, UBS or any of our respective affiliates makes any representation that
such publicly available information regarding the Underlying is accurate or complete.
Historical
Performance of the Underlying
The
graph below illustrates the performance of the Underlying from January 1, 2018 to June 16, 2023, based on the daily Closing
Levels as reported by Bloomberg L.P. (“Bloomberg”), without independent verification. We have not conducted any independent
review or due diligence of the publicly available information from Bloomberg. On June 16, 2023, the Closing Level of the Underlying
was 4,409.59 (the “Hypothetical Initial Level”). The blue line indicates a hypothetical Downside Threshold of 3,748.15, which
is equal to 85.00% of the Hypothetical Initial Level. The historical performance of the Underlying should not be taken as an indication
of its future performance, and no assurances can be given as to the level of the Underlying at any time during the term of the Notes,
including the Final Valuation Date. We cannot give you assurance that the performance of the Underlying will result in the return of
any of your investment.
Historical
Performance of the S&P 500® Index
![](https://content.edgar-online.com/edgar_conv_img/2023/06/20/0001104659-23-072761_tm2317535d62_424b2img002.jpg) |
Source: Bloomberg |
United
States Federal Income Tax Considerations |
The
following discussion is a brief summary of the material U.S. federal income tax considerations relating to an investment in the Notes.
The following summary is not complete and is both qualified and supplemented by (although to the extent inconsistent supersedes) the
discussion entitled “Material U.S. Federal Income Tax Consequences” in the underlying supplement, which you should carefully
review prior to investing in the Notes. Except with respect to the section below under “Non-U.S. Holders,” it applies only
to those U.S. Holders who are not excluded from the discussion of United States Taxation in the accompanying prospectus.
The
U.S. federal income tax considerations of your investment in the Notes are uncertain. No statutory, judicial or administrative authority
directly discusses how the Notes should be treated for U.S. federal income tax purposes. In the opinion of our tax counsel, Mayer Brown
LLP, it would generally be reasonable to treat the Notes as prepaid derivative contracts. Pursuant to the terms of the Notes, you agree
to treat the Notes in this manner for all U.S. federal income tax purposes. If this treatment is respected, you should generally recognize
capital gain or loss upon the sale, exchange, redemption or payment upon maturity in an amount equal to the difference between the amount
you receive in such transaction and the amount that you paid for your Notes. Such gain or loss should generally be treated as long-term
capital gain or loss if you have held your Notes for more than one year.
The
expected characterization of the Notes is not binding on the U.S. Internal Revenue Service (the “IRS”) or the courts. It
is possible that the IRS would seek to characterize the Notes in a manner that results in tax consequences to you that are different
from those described above or in the accompanying underlying supplement. Such alternate treatment could include a requirement that a
holder accrue ordinary income over the life of the Notes or treat all gain or loss at maturity as ordinary gain or loss. For a more detailed
discussion of certain alternative characterizations with respect to the Notes and certain other considerations with respect to an investment
in the Notes, you should consider the discussion set forth in “Material U.S. Federal Income Tax Consequences” of the underlying
supplement. We are not responsible for any adverse consequences that you may experience as a result of any alternative characterization
of the Notes for U.S. federal income tax or other tax purposes.
Non
U.S.-Holders. A “dividend equivalent” payment is treated as a dividend from sources within the United States and such payments
generally would be subject to a 30% U.S. withholding tax if paid to a Non-U.S. Holder. Under Treasury regulations, payments (including
deemed payments) with respect to equity-linked instruments (“ELIs”) that are “specified ELIs” may be treated
as dividend equivalents if such specified ELIs reference an interest in an “underlying security,” which is generally any
interest in an entity taxable as a corporation for U.S. federal income tax purposes if a payment with respect to such interest could
give rise to a U.S. source dividend. However, Internal Revenue Service guidance provides that withholding on dividend equivalent
payments will not apply to specified ELIs that are not delta-one instruments and that are issued before January 1, 2025. We expect
that the delta of the Notes will not be one, and therefore, we expect that Non-U.S. Holder should not be subject to withholding on dividend
equivalent payments, if any, under the Notes. However, it is possible that the Notes could be treated as deemed reissued for U.S. federal
income tax purposes upon the occurrence of certain events affecting the Underlying or the Notes, and following such occurrence the Notes
could be treated as subject to withholding on dividend equivalent payments. Non-U.S. Holders that enter, or have entered, into other
transactions in respect of the Underlying or the Notes should consult their tax advisors as to the application of the dividend equivalent
withholding tax in the context of the Notes and their other transactions. If any payments are treated as dividend equivalents subject
to withholding, we (or the applicable paying agent) would be entitled to withhold taxes without being required to pay any additional
amounts with respect to amounts so withheld.
Please
see the discussion under the section entitled “Material U.S. Federal Income Tax Consequences” in the underlying supplement
for a further discussion of the U.S. federal income tax consequences of an investment in the Notes. You should consult your tax advisor
as to the tax consequences of such characterization and any possible alternative characterizations of the Notes for U.S. federal income
tax purposes. You should also consult your tax advisor concerning the U.S. federal income tax and other tax consequences of your investment
in the Notes in your particular circumstances, including the application of state, local or other tax laws and the possible effects of
changes in federal or other tax laws.
Certain
Canadian Federal Income Tax Considerations |
In
the opinion of Blake, Cassels & Graydon LLP, our Canadian tax counsel, the following summary describes the principal Canadian
federal income tax considerations under the Income Tax Act (Canada) and the regulations thereto (the “Canadian Tax Act”)
generally applicable at the date hereof to a purchaser who acquires beneficial ownership of a Note pursuant to this pricing supplement
and who for the purposes of the Canadian Tax Act and at all relevant times: (a) is neither resident nor deemed to be resident
in Canada; (b) deals at arm’s length with CIBC and any transferee resident (or deemed to be resident) in Canada to whom
the purchaser disposes of the Note; (c) does not use or hold and is not deemed to use or hold the Note in, or in the course
of, carrying on a business in Canada; (d) is entitled to receive all payments (including any interest and principal) made on
the Note; (e) is not a, and deals at arm’s length with any, “specified shareholder” of CIBC for purposes of
the thin capitalization rules in the Canadian Tax Act; and (f) is not an entity in respect of which CIBC is a “specified
entity” for purposes of the Hybrid Mismatch Proposals, as defined below (a “Non-Resident Holder”). For these purposes,
a “specified shareholder” generally includes a person who (either alone or together with persons with whom that person
is not dealing at arm’s length for the purposes of the Canadian Tax Act) owns or has the right to acquire or control or is
otherwise deemed to own 25% or more of CIBC’s shares determined on a votes or fair market value basis, and an entity in respect
of which CIBC is a “specified entity” generally includes (i) an entity that is a specified shareholder of CIBC (as
defined above), (ii) an entity in which CIBC (either alone or together with entities with whom CIBC is not dealing at arm’s
length for purposes of the Canadian Tax Act) owns or has the right to acquire or control or is otherwise deemed to own a 25% or greater
equity interest, and (iii) an entity in which an entity described in (i) (either alone or together with entities with whom
such entity is not dealing at arm’s length for purposes of the Canadian Tax Act) owns or has the right to acquire or control
or is otherwise deemed to own a 25% or greater equity interest. Special rules which apply to non-resident insurers carrying
on business in Canada and elsewhere are not discussed in this summary.
For
greater certainty, this summary takes into account all specific proposals to amend the Canadian Tax Act publicly announced by or
on behalf of the Minister of Finance (Canada) prior to the date hereof, including the proposals released on April 29, 2022 with
respect to “hybrid mismatch arrangements” (the “Hybrid Mismatch Proposals”). This summary assumes that no
amount paid or payable to a holder described herein will be the deduction component of a “hybrid mismatch arrangement”
under which the payment arises within the meaning of proposed paragraph 18.4(3)(b) of the Canadian Tax Act contained in the
Hybrid Mismatch Proposals. Investors should note that the Hybrid Mismatch Proposals are in consultation form, are highly complex,
and there remains significant uncertainty as to their interpretation and application. There can be no assurance that the Hybrid Mismatch
Proposals will be enacted in their current form, or at all.
This
summary is supplemental to and should be read together with the description of material Canadian federal income tax considerations
relevant to a Non-Resident Holder owning Notes under “Material Income Tax Consequences—Canadian Taxation” in the
accompanying prospectus and a Non-Resident Holder should carefully read that description as well.
This
summary is of a general nature only and is not intended to be, nor should it be construed to be, legal or tax advice to any particular
Non-Resident Holder. Non-Resident Holders are advised to consult with their own tax advisors with respect to their particular circumstances.
Based
on Canadian tax counsel’s understanding of the Canada Revenue Agency’s administrative policies, and having regard to
the terms of the Notes, interest payable on the Notes should not be considered to be “participating debt interest” as
defined in the Canadian Tax Act and accordingly, a Non-Resident Holder should not be subject to Canadian non-resident withholding
tax in respect of amounts paid or credited or deemed to have been paid or credited by CIBC on a Note as, on account of or in lieu
of payment of, or in satisfaction of, interest.
Non-Resident
Holders should consult their own advisors regarding the consequences to them of a disposition of the Notes to a person with whom
they are not dealing at arm’s length for purposes of the Canadian Tax Act. |
Supplemental
Plan of Distribution (Conflicts of Interest) |
Pursuant
to the terms of a distribution agreement, CIBCWM will purchase the Notes from CIBC for distribution to UBS (the “Agent”).
CIBCWM will agree to sell to the Agent, and the Agent will agree to purchase, all of the Notes at the price to public set forth on the
cover hereof.
CIBCWM
is our affiliate, and is deemed to have a conflict of interest under FINRA Rule 5121. In accordance with FINRA Rule 5121, CIBCWM
may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.
We
expect to deliver the Notes against payment therefor in New York, New York on a date that is more than two business days following the
Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle
in two business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes
on any date prior to two business days before delivery will be required to specify alternative settlement arrangements to prevent a failed
settlement.
The
Bank may use this pricing supplement in the initial sale of the Notes. In addition, CIBCWM or another of the Bank’s affiliates
may use this pricing supplement in market-making transactions in any Notes after their initial sale. Unless CIBCWM or we inform you otherwise
in the confirmation of sale, this pricing supplement is being used by CIBCWM in a market-making transaction.
While
CIBCWM may make markets in the Notes, it is under no obligation to do so and may discontinue any market-making activities at any time
without notice. See the section titled “Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus
supplement.
The
price at which you purchase the Notes includes costs that the Bank or its affiliates expect to incur and profits that the Bank or its
affiliates expect to realize in connection with hedging activities related to the Notes. These costs and profits will likely reduce the
secondary market price, if any secondary market develops, for the Notes. As a result, you may experience an immediate and substantial
decline in the market value of your Notes on the Settlement Date.
The Bank’s
Estimated Value of the Notes |
The
Bank’s initial estimated value of the Notes set forth on the cover of this pricing supplement is equal to the sum of the values
of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the Notes, valued using our
internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of
the Notes. The Bank’s initial estimated value does not represent a minimum price at which CIBCWM or any other person would be willing
to buy your Notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the Bank’s
initial estimated value 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. For additional information, see “Key
Risks—The Bank’s Initial Estimated Value of the Notes Will Not Be Determined by Reference to Credit Spreads for Our Conventional
Fixed-Rate Debt” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the Notes
is derived from the Bank’s or a third party hedge provider’s internal pricing models. These models are dependent on inputs
such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable,
and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events
and/or environments. Accordingly, the Bank’s initial estimated value of the Notes will be determined when the terms of the Notes
are set based on market conditions and other relevant factors and assumptions existing at that time. See “Key Risks—The Bank’s
Initial Estimated Value Does Not Represent Future Values of the Notes and May Differ From Others’ Estimates” in this
pricing supplement.
The
Bank’s initial estimated value of the Notes will be lower than the initial issue price of the Notes because costs associated with
selling, structuring and hedging the Notes are included in the initial issue price of the Notes. These costs include the projected profits
that our hedge counterparties, which may include our affiliates, expect to realize for assuming risks inherent in hedging our obligations
under the Notes and the estimated cost of hedging our obligations under the Notes. Because hedging our obligations entails risk and may
be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may
result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the Notes. See
“Key Risks—The Bank’s Initial Estimated Value of the Notes Will Be Lower Than the Initial Issue Price (Price to Public)
of the Notes” in this pricing supplement.
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