CIBC plans to price absolute return notes linked to basket of indexes

By Angela McDaniels

Tacoma, Wash., Oct. 7 – Canadian Imperial Bank of Commerce plans to price 0% notes with absolute return buffer due October 2022 linked to an index basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.

If the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus 100% to 120% of the basket return. The exact participation rate will be set at pricing.

If the final basket level is less than or equal to the initial basket level but greater than or equal to the threshold value, 85% of the initial basket level, the payout will be par plus the absolute value of the basket return.

If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond 15%.

BofA Securities, Inc. is the agent.

The notes will price and settle in October.

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