424B2 1 a17-10322_18424b2.htm 424B2

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Filed Pursuant to Rule 424(b)(2)
Registration No. 333-216286

 

 

General Terms Supplement No. 1 dated May 1, 2017

(To Prospectus Supplement dated March 28, 2017

and Prospectus dated March 28, 2017)

Canadian Imperial Bank of Commerce

Senior Global Medium-Term Notes (Structured Notes)

General Terms Supplement No. 1

 

Canadian Imperial Bank of Commerce may from time to time offer and sell notes, the payments and performance of which will be linked to the performance of one or more indices or exchange traded funds (which we refer to as underliers). Specifically, the payments and performance of the notes may be linked to a single underlier, a basket of underliers or the lesser performing of two or more underliers.

 

The accompanying Prospectus and the accompanying Prospectus Supplement, each as may be amended from time to time, that form a part of Registration Statement No. 333-216286, and this General Terms Supplement No. 1 describe some of the terms that may apply generally to the notes, including any notes you purchase. A separate pricing supplement, which we refer to as the applicable pricing supplement and, if specified in the applicable pricing supplement, a separate product supplement, which we refer to as the applicable product supplement, will describe additional terms that apply to your notes. The applicable pricing supplement will identify whether any of the underliers described herein will be used to calculate a return on your notes, and the applicable pricing supplement and the applicable product supplement, if any, may each also describe any additions or changes to the descriptions of the underliers or terms of the notes set forth in this General Terms Supplement No. 1.

 

This General Terms Supplement No. 1 contains the following:

 

·                  Certain risks applicable to the notes. You should read these risks in conjunction with the risks described in the applicable pricing supplement, the applicable product supplement, if any, the accompanying Prospectus Supplement and the accompanying Prospectus.

·                  Certain terms that may relate to your notes in addition to the description of the notes contained in the applicable pricing supplement and applicable product supplement, if any, described above.

·                  Descriptions of certain dates that may relate to your notes, including the determination date (the final date on which a calculation is made to determine the amount payable on the notes, which may be the final averaging date, if averaging dates are applicable to your notes), any call observation date (a date on which a calculation is made to determine if the notes will be called on an applicable call payment date) and any coupon observation date (a date on which a calculation is made to determine the amount of any coupon, if any, that will be paid on an applicable coupon payment date). If your notes are linked to a basket of underliers or the lesser performing of two or more underliers, the applicable dates set forth above, which are dates on which calculations are made, may differ from the dates on which the levels of one or more basket underliers, potential lesser performing underliers or exchange rates, as applicable, are determined for the purposes of such calculations.

·                  A description of certain underliers to which your notes may be linked.

 

 

Your investment in the notes involves certain risks. See Additional Risk Factors Specific to the Notes” beginning on page GTS-1 to read about investment risks relating to the notes.

 

 

The notes will not constitute deposits insured by the Canada Deposit Insurance Corporation, the U.S. Federal Deposit Insurance Corporation or any other government agency or instrumentality of Canada, the United States or any other jurisdiction.

 

 

Neither the Securities and Exchange Commission (the “SEC”) nor any state or provincial securities commission has approved or disapproved of these securities or determined if this General Terms Supplement No. 1 , the applicable pricing supplement, the applicable product supplement, if any, the accompanying Prospectus Supplement or the accompanying Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

 

 

Canadian Imperial Bank of Commerce may use this General Terms Supplement No. 1 in the initial sale of the notes. In addition, CIBC World Markets Corp. or one of our other affiliates may use this General Terms Supplement No. 1 in a market-making transaction in a note after its initial sale. Unless we or our agent informs the purchaser otherwise in the confirmation of sale, this General Terms Supplement No. 1 is being used in a market-making transaction.

 

CIBC World Markets

General Terms Supplement No. 1 dated May 1, 2017.

 


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In this General Terms Supplement No. 1, when we refer to anotewe mean a note linked to one of the underliers specified herein unless the context requires otherwise. Please note that in this General Terms Supplement No. 1, references to “CIBC,” “the Issuer,” “the Bank,” “we,” “us” and “our” 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 toholdersmean those who own notes registered in their own names, on the books that we or the trustee maintain for this purpose, and not those who own beneficial interests in notes registered in street name or in notes issued in book-entry form through The Depository Trust Company (DTC). Please review the special considerations that apply to owners of beneficial interests in the accompanying Prospectus, underDescription of Senior Debt Securities — Legal Ownership and Book-Entry Issuance. References in this General Terms Supplement No. 1, the applicable product supplement, if any, and the applicable pricing supplement to the notes having a face amount of $1,000 are intended as illustrative; the actual face amount of the notes will be reflected in aggregate on the global note representing the notes. References in this General Terms Supplement No. 1 to the “accompanying Prospectus Supplement” mean the accompanying prospectus supplement, dated March 28, 2017 and references to the “accompanying Prospectus” mean the accompanying prospectus, dated March 28, 2017, and where the context so requires, as supplemented by the accompanying Prospectus Supplement, each relating to the Senior Global Medium-Term Notes (Structured Notes) of CIBC and each as may be amended from time to time, that form a part of Registration Statement No. 333-216286. References to theindenturein this General Terms Supplement No. 1 mean the indenture, dated September 15, 2012, between the Bank and Deutsche Bank Trust Company Americas, as trustee.

 

 

The Notes Are Part of a Series

 

The notes are part of a series of debt securities, entitled “Senior Global Medium-Term Notes (Structured Notes)”, that we may issue under the indenture from time to time. The notes areindexed notes, as defined in the accompanying Prospectus Supplement. This General Terms Supplement No. 1 describes certain underliers and certain other terms that may apply to the notes, including your notes. The applicable pricing supplement will identify whether any of the underliers described herein will be used to calculate a return on your notes, and the applicable pricing supplement may also describe any additions or changes to the descriptions of the underliers or terms of the notes. We describe terms that apply generally to all Senior Global Medium-Term Notes in “Description of the Notes We May Offer” in the accompanying Prospectus Supplement and “Description of Senior Debt Securities” in the accompanying Prospectus. The terms described here supplement those described in the accompanying Prospectus and Prospectus Supplement and, if the terms described here are inconsistent with those described there, the terms described here are controlling.

 

Please note that the information about the settlement or trade dates, issue price, underwriting discounts or commissions and net proceeds to us in the applicable pricing supplement relates only to the initial issuances and sales of your notes. If you have purchased your notes in a market-making transaction after any initial issuance and sale, any such relevant information about the sale to you will be provided in a separate confirmation of sale.

 

Specific Terms Will Be Described in Pricing Supplements and Product Supplements

 

The specific terms of your notes will be described in a pricing supplement and the applicable product supplement, if any, accompanying this General Terms Supplement No. 1. The terms described there are in addition to those described here and in the accompanying Prospectus and the accompanying Prospectus Supplement. If the description of any underlier to which your notes are linked or the terms described in the applicable pricing supplement are inconsistent with those described here or in the applicable product supplement, if any, accompanying Prospectus or accompanying Prospectus Supplement, the description of the underlier and the terms in the applicable pricing supplement are controlling. If the applicable pricing supplement specifies a different meaning for any term described herein, that modified definition will be deemed to apply to this General Terms Supplement No. 1 for all purposes with respect to your notes. If the applicable product supplement, if any, specifies different terms for your notes or a different meaning for any term described herein, the meaning or term contained in the applicable product supplement, if any, will control unless the applicable pricing supplement provides a different meaning, in which case the applicable pricing supplement will control.

 


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ADDITIONAL RISK FACTORS SPECIFIC TO THE NOTES

 

An investment in your notes is subject to the risks described below as well as the risks and considerations described in the applicable pricing supplement, the applicable product supplement, if any, the accompanying Prospectus Supplement and the accompanying Prospectus. Your notes are a riskier investment than ordinary debt securities. You should carefully consider whether the notes are suited to your particular circumstances.

 

You May Lose Your Entire Investment in the Notes

 

You can lose all or substantially all of your investment in the notes. The cash payment on your notes on the stated maturity date will be based on the performance of the applicable underlier or underliers.

 

Also, the market price of your notes prior to the stated maturity date may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.

 

Your Notes May Pay a Coupon at a Low Rate or They May Pay No Coupon At All

 

The applicable pricing supplement will state whether your notes pay a coupon. Therefore, your notes may pay no coupon at all. If your notes do pay a coupon, they may do so at a rate that is below the prevailing market rate for our debt securities that are not linked to the performance of one or more indices or exchange traded funds. Consequently, unless the amount payable on your notes on the stated maturity date substantially exceeds the amount you paid for your notes, the overall return you earn on your notes could be less than what you would have earned by investing in non-indexed debt securities that bear interest at prevailing market rates.

 

The Notes Are Subject to the Credit Risk of the Bank

 

Although the return on the notes will be based on the performance of the underlier, the payment of any amount due on the notes is subject to the credit risk of CIBC as issuer of the notes. The notes are our unsecured obligations. Investors are dependent on our ability to pay all amounts due on the notes, and therefore investors are subject to our credit risk and to changes in the markets view of our creditworthiness. SeeDescription of Senior Debt Securities — Ranking” on page 2 of the accompanying Prospectus.

 

The Market Value of Your Notes May Be Influenced by Many Unpredictable Factors

 

The following factors, among others, many of which are beyond our control, may influence the market value of your notes:

 

·                  the volatility i.e., the frequency and magnitude of changes of the values of the underlier or underliers;

·                  whether your notes are linked to a single underlier, a basket of underliers or the lesser performing of two or more underliers;

·                  the level of the underlier or underliers to which your notes are linked;

·                  the dividend rates of the stocks underlying the underlier or underliers;

·                  economic, financial, regulatory, political, military and other events that affect stock markets generally and the stocks underlying the underlier or basket underliers, and which may affect the closing level of the underlier or the basket closing level;

·                  interest rates and yield rates in the market;

·                  the time remaining until your notes mature; and

·                  our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures.

 

These factors may influence the market value of your notes if you sell your notes before maturity, including the price you may receive for your notes in any market making transaction. If you sell your notes prior to maturity, you may receive less than the face amount of your notes. You cannot predict the future performance of the applicable underlier or basket of underliers based on their historical performance.

 

If the Value of an Underlier Changes, the Market Value of Your Notes May Not Change in the Same Manner

 

Your notes may trade quite differently from the performance of the applicable underlier or underliers. Changes in the values of the underlier or underliers may not result in a comparable change in the market value of

 

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your notes. We discuss some of the reasons for this disparity under “— The Market Value of Your Notes May Be Influenced by Many Unpredictable Factorsabove.

 

The Return on Your Notes Will Not Reflect Any Dividends Paid on Any Underliers, or the Underlier Stocks, as Applicable

 

We refer to the stocks that are included in the applicable underlier as underlier stocks. If the underlier is an index the level of which the underlier sponsor calculates by reference to the prices of its underlier stocks, without taking account of the value of dividends paid on those stocks, the return on your notes will not reflect the return you would realize if you actually owned the underlier stocks and received the dividends paid on those stocks. In addition, if the underlier is an exchange traded fund, the return on your notes will not reflect the return you would realize if you actually owned the exchange traded fund and received the distributions paid on the shares of such fund. You will not receive any dividends that may be paid on any of the underlier stocks by the underlier stock issuers or, in case of an underlier that is an exchange traded fund, on the shares of such exchange traded fund. See “— You Have No Shareholder Rights or Rights to Receive Any Shares of an Underlier or Any Underlier Stock, as Applicablebelow for additional information.

 

You Have No Shareholder Rights or Rights to Receive Any Shares of an Underlier or Any Underlier Stock, as Applicable

 

Investing in your notes will not make you a holder of any shares of an underlier or the underlier stocks of any underlier, basket underliers or potential lesser performing underliers, as applicable. Neither you nor any other holder or owner of your notes will have any rights with respect to the underlier stocks, including any voting rights, any right to receive dividends or other distributions, any rights to make a claim against the underlier or the stocks comprising an underlier or any other rights of a holder of any shares of an underlier or the stocks comprising an underlier, as applicable. Your notes will be paid in cash, and you will have no right to receive delivery of any shares of the underlier or the stocks comprising an underlier, as applicable.

 

Other Investors in the Notes May Not Have the Same Interests as You

 

Other investors in the notes are not required to take into account the interests of any other investor in exercising remedies or voting or other rights in their capacity as securityholders or in making requests or recommendations to CIBC as to the establishment of other transaction terms. The interests of other investors may, in some circumstances, be adverse to your interests. For example, certain investors may take short positions (directly or indirectly through derivative transactions) on assets that are the same or similar to your notes, underlier, basket underliers, constituent indices or underlier stocks or other similar securities, which may adversely impact the market for or value of your notes.

 

Our Economic Interests and Those of any Dealer Participating in the Offering of the Notes Will Potentially Be Adverse to Your Interests

 

You should be aware of the following ways in which our economic interests and those of any dealer participating in the distribution of the notes, which we refer to as a “participating dealer,” will potentially be adverse to your interests as an investor in the notes. In engaging in certain of the activities described below, our affiliates or any participating dealer or its affiliates may take actions that may adversely affect the value of and your return on the notes, and in so doing they will have no obligation to consider your interests as an investor in the notes. Our affiliates or any participating dealer or its affiliates may realize a profit from these activities even if investors do not receive a favorable investment return on the notes.

 

·        Research reports by our affiliates or any participating dealer or its affiliates may be inconsistent with an investment in the notes and may adversely affect the level of the underliers. Our affiliates or any dealer participating in the offering of the notes or its affiliates may, at present or in the future, publish research reports on the underliers or the companies whose securities are included in the underliers. This research will be modified from time to time without notice and may, at present or in the future, express opinions or provide recommendations that are inconsistent with purchasing or holding the notes. Any research reports on the underliers or the companies whose securities are included in the underliers could adversely affect the level of the underliers and, therefore, adversely affect the value of and your return on the notes. You are encouraged to derive information concerning the underliers from multiple sources and should not rely on the views expressed by us or our affiliates or any participating dealer or its affiliates. In addition, any research reports on the underliers or the companies whose securities are included in the underliers published on or prior to the

 

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pricing date could result in an increase in the level of the underliers on the pricing date, which would adversely affect investors in the notes by increasing the level at which the underlier must close on the calculation day in order for investors in the notes to receive a favorable return.

 

·        Business activities of our affiliates or any participating dealer or its affiliates with the companies whose securities are included in the underliers may adversely affect the level of the underliers. Our affiliates or any participating dealer or its affiliates may, at present or in the future, engage in business with the companies whose securities are included in the underliers, including making loans to those companies (including exercising creditors’ remedies with respect to such loans), making equity investments in those companies or providing investment banking, asset management or other advisory services to those companies. These business activities could adversely affect the level of the underliers and, therefore, adversely affect the value of and your return on the notes. In addition, in the course of these business activities, our affiliates or any participating dealer or its affiliates may acquire non-public information about one or more of the companies whose securities are included in the underliers. If our affiliates or any participating dealer or its affiliates do acquire such non-public information, we and they are not obligated to disclose such non-public information to you.

 

·        Hedging activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the underliers. We expect to hedge our obligations under the notes through one or more hedge counterparties, which may include our affiliates or any participating dealer or its affiliates. Pursuant to such hedging activities, our hedge counterparty may acquire securities included in the underliers or listed or over-the-counter derivative or synthetic instruments related to the underliers or such securities. Depending on, among other things, future market conditions, the aggregate amount and the composition of such positions are likely to vary over time. To the extent that our hedge counterparty has a long hedge position in any of the securities included in the underliers, or derivative or synthetic instruments related to the underliers or such securities, they may liquidate a portion of such holdings at or about the time of the calculation date or at or about the time of a change in the securities included in the underliers. These hedging activities could potentially adversely affect the level of the underliers and, therefore, adversely affect the value of and your return on the notes.

 

·        Trading activities by our affiliates or any participating dealer or its affiliates may adversely affect the level of the underliers. Our affiliates or any participating dealer or its affiliates may engage in trading in the securities included in the underliers and other instruments relating to the underliers or such securities on a regular basis as part of their general broker-dealer and other businesses. Any of these trading activities could potentially adversely affect the prices of the securities included in the underliers and, therefore, adversely affect the value of and your return on the notes.

 

·        A participating dealer or its affiliates may realize hedging profits projected by its proprietary pricing models in addition to any selling concession or any distribution expense fee, creating a further incentive for the participating dealer to sell the notes to you. If any participating dealer or any of its affiliates conducts hedging activities for us in connection with the notes, that participating dealer or its affiliates will expect to realize a projected profit from such hedging activities, and this projected profit will be in addition to any concession or distribution expense fee that the participating dealer receives for the sale of the notes to you. This additional projected profit may create a further incentive for the participating dealer to sell the notes to you.

 

Past Performance is No Guide to Future Performance

 

The actual performance of the underlier, basket of underliers or potential lesser performing underliers over the life of the notes, as well as the amount payable at maturity, may bear little relation to the historical closing levels of the underlier, basket of underliers or potential lesser performing underliers set forth in the applicable pricing supplement or to the hypothetical return examples set forth elsewhere in the applicable product supplement, if any, and the applicable pricing supplement. We cannot predict the future performance of the underlier, basket of underliers or potential lesser performing underliers.

 

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The Calculation Agent Will Have the Authority to Make Determinations That Could Affect the Market Value of Your Notes, When Your Notes Mature and the Amount You Receive,  If Any, at Maturity

 

As of the date of this General Terms Supplement No.1, we will act as the calculation agent for the notes.  As calculation agent for your notes, we will make all determinations with respect to the notes as specified in the applicable pricing supplement or product supplement, if any, including, among other things, whether a market disruption event has occurred and in some cases the levels of the underlier(s) or basket.  The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of an underlier, individually or within a basket of underliers.  The exercise of this discretion by us could adversely affect the value of your notes and may present us with a conflict of interest.  We may appoint a different calculation agent without your consent and without notifying you.

 

The Policies of an Underlier Sponsor, if Applicable, and Changes that Affect an Underlier to Which Your Notes are Linked, or the Constituent Indices or Underlier Stocks Comprising Such Underlier, Could Affect the Amount Payable on Your Notes and Their Market Value

 

The policies of the applicable underlier sponsor concerning the calculation of the level of an underlier, basket of underliers or potential lesser performing underliers to which your notes are linked, additions, deletions or substitutions of the constituent indices, if applicable, and/or the underlier stocks comprising such underlier, basket underliers or potential lesser performing underliers, and the manner in which changes affecting the underlier stocks or their issuers, such as stock dividends, reorganizations or mergers, are reflected in the underlier level, could affect the level of the applicable underlier and, therefore, the amount payable on your notes on the stated maturity date and the market value of your notes before that date. The amount payable on your notes and their market value could also be affected if the applicable underlier sponsor changes these policies, for example, by changing the manner in which it calculates the underlier level or, in the case of an equity index, the method by which it constructs the underlier, or if any underlier sponsor discontinues or suspends calculation or publication of the underlier level, in which case it may become difficult to determine the market value of your notes. If events such as these occur, the calculation agentwhich initially will be CIBCmay determine the underlier, basket or potential lesser performing underlier levels on any such date (and, in the case of notes linked to a basket of underliers, the weighting multiplier of the applicable underlier)and thus the amount payable on the stated maturity datein a manner it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the underlier, basket or potential lesser performing underlier levels on any trading day and the amount payable on your notes more fully under “Supplemental Terms of the NotesDiscontinuance or Modification of an Underlier” and in any applicable product supplement or pricing supplement.

 

The Calculation Agent Can Postpone the Determination Date, Averaging Date, Call Observation Date or Coupon Observation Date If a Market Disruption Event or Non-Trading Day Occurs or Is Continuing

 

Unless otherwise specified in the applicable pricing supplement, in the case of notes linked to a single underlier, if the calculation agent determines that, on the determination date or any averaging date, call observation date or coupon observation date, as applicable, a market disruption event has occurred or is continuing with respect to such underlier or that day is not a trading day, the determination date, the applicable averaging date and each succeeding averaging date, if applicable, the call observation date, or the coupon observation date, as applicable, will be postponed as described underSupplemental Terms of the NotesDetermination Date, Supplemental Terms of the NotesAveraging Dates,Supplemental Terms of the NotesCall Observation Datesor Supplemental Terms of the NotesCoupon Observation Datesbelow, as the case may be. If the determination date or any averaging date, call observation date or coupon observation date, as applicable, is postponed to the last possible day and a market disruption event occurs or is continuing on such last possible day or such day is not a trading day, such date will nevertheless be the determination date, averaging date, call observation date or coupon observation date, as applicable.

 

Unless otherwise specified in the applicable pricing supplement, in the case of notes linked to a basket of underliers, if the calculation agent determines that, on the determination date or any averaging date, call observation date or coupon observation date, as applicable, a market disruption event has occurred or is continuing with respect to a basket underlier or that day is not a trading day with respect to a basket underlier, the determination date or any averaging date, call observation date or coupon observation date, as applicable, will be postponed as described under Supplemental Terms of the NotesDetermination Date,Supplemental Terms of the NotesAveraging Dates, Supplemental Terms of the NotesCall Observation DatesorSupplemental

 

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Terms of the NotesCoupon Observation Datesbelow, as the case may be. If the determination date or any averaging date, call observation date or coupon observation date, as applicable, is postponed to the last possible day and a market disruption event occurs or is continuing with respect to any basket underlier on such last possible day or such day is not a trading day with respect to such basket underlier, such date will nevertheless be the determination date or the applicable averaging date, call observation date or coupon observation date, as applicable.

 

Unless otherwise specified in the applicable pricing supplement, in the case of notes linked to the lesser performing of two or more underliers, if the calculation agent determines that, on the determination date or any averaging date, call observation date or coupon observation date, as applicable, a market disruption event has occurred or is continuing with respect to a potential lesser performing underlier or that day is not a trading day with respect to a potential lesser performing underlier, the determination date or any averaging date, call observation date or coupon observation date, as applicable, will be postponed as described underSupplemental Terms of the NotesDetermination Date, Supplemental Terms of the NotesAveraging Dates,Supplemental Terms of the NotesCall Observation Datesor Supplemental Terms of the NotesCoupon Observation Datesbelow, as the case may be. If the determination date or any averaging date, call observation date or coupon observation date, as applicable, is postponed to the last possible day and a market disruption event occurs or is continuing with respect to any potential lesser performing underlier on such last possible day or such day is not a trading day with respect to such potential lesser performing underlier, such date will nevertheless be the determination date or the applicable averaging date, call observation date or coupon observation date, as applicable.

 

As a result of any of the foregoing, the stated maturity date, call payment date or coupon payment date, as applicable, for your notes may also be postponed, as described underSupplemental Terms of the NotesStated Maturity Date,Supplemental Terms of the NotesCall Payment Dates, orSupplemental Terms of the NotesCoupon PaymentsCoupon Payment Datesas applicable, below. In such a case, you may not receive the cash payment, if any, that we are obligated to deliver on the stated maturity date, call payment date or coupon payment date, as applicable, until several days after the originally scheduled stated maturity date, call payment date or coupon payment date, as applicable. Moreover, if the closing level (or adjusted closing level, if applicable) of the underlier, any basket underlier or any potential lesser performing underlier is not available on the determination date or any averaging date, call observation date or coupon observation date, as applicable, because of a market disruption event, a non-trading day or for any other reason (except as described underSupplemental Terms of the NotesDiscontinuance or Modification of an Underlierbelow), in certain circumstances the calculation agent will determine the underlier, basket or potential lesser performing underlier level based on its assessment, made in its sole discretion, of the levels of the applicable underlier or underliers as described underSupplemental Terms of the Notes — Consequences of a Market Disruption Event or a Non-Trading Daybelow.

 

Except to the Extent CIBC is One of the Companies Whose Common Stock Comprises an Underlier, and Except to the Extent That We or Our Affiliates May Currently or in the Future Own Securities of, or Engage in Business With, the Applicable Underlier Sponsor or the Underlier Stock Issuers, There Is No Affiliation Between The Underlier Stock Issuers or Any Underlier Sponsor And Us, And We Are Not Responsible For Any Disclosure By The Underlier Stock Issuers or Underlier Sponsors

 

The common stock of CIBC may be represented in any number of underliers that are not specifically described in this General Terms Supplement No. 1. In addition, we or our affiliates may currently or from time to time in the future own securities of, or engage in business with, the applicable underlier sponsor or the underlier stock issuers. Unless otherwise disclosed in the applicable pricing supplement, we are not otherwise affiliated with the issuers of the underlier stocks or the underlier sponsors. Neither we nor any of our affiliates have participated in the preparation of any publicly available information or made anydue diligenceinvestigation or inquiry with respect to the underliers, basket of underliers or potential lesser performing underliers and the underlier stock issuers. You, as an investor in your notes, should make your own investigation into the underliers and the underlier stock issuers. SeeThe Underliersbelow for additional information about certain underliers, basket underliers or potential lesser performing underliers to which your notes may be linked.

 

Neither the underlier sponsors nor the underlier stock issuers are involved in the offering of your notes in any way and none of them have any obligation of any sort with respect to your notes. Thus, neither the underlier sponsors nor the underlier stock issuers have any obligation to take your interests into consideration for any reason, including in taking any corporate actions that might affect the market value of your notes.

 

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Certain Considerations for Insurance Companies and Employee Benefit Plans

 

Any insurance company or fiduciary of a pension plan or other employee benefit plan that is subject to the prohibited transaction rules of the Employee Retirement Income Security Act of 1974, as amended (ERISA”), or the Internal Revenue Code of 1986, as amended (the “Code”), including an individual retirement account (“IRA”) or a Keogh plan (or a governmental plan to which similar prohibitions apply), and that is considering purchasing the notes with the assets of the insurance company or the assets of such a plan, should consult with its counsel regarding whether the purchase or holding of the notes is or could become aprohibited transactionunder ERISA, the Code or any substantially similar prohibition. This is discussed in more detail underCertain U.S. Benefit Plan Investor Considerations” in the accompanying Prospectus.

 

Additional Risks Relating to Notes Linked to Underliers Denominated in Foreign Currencies or that Contain Foreign Stocks

 

If Your Notes Are Linked to Underliers Denominated in a Non-U.S. Dollar Currency and Such Underliers Are Adjusted to Reflect Their U.S. Dollar Value, Your Notes Will Be Subject to Foreign Currency Exchange Rate Risk

 

Your notes may be linked to an underlier, a basket of underliers or the lesser performing of two or more underliers and any such underlier or underliers may be denominated in a non-U.S. dollar currency. If specified in the applicable pricing supplement, the level of the underlier, each basket underlier or each potential lesser performing underlier denominated in a non-U.S. dollar currency will be adjusted to reflect its U.S. dollar value by converting the level of the underlier, the applicable basket underlier or the applicable potential lesser performing underlier from the non-U.S. dollar underlying currency to U.S. dollars. Consequently, if the value of the U.S. dollar strengthens against the non-U.S. dollar currency in which the underlier, any basket underlier or any potential lesser performing underlier is denominated, you may lose a significant part of your investment in the notes, even if the value of the underlier, each basket underlier or each potential lesser performing underlier increases over the life of your notes.

 

Foreign currency exchange rates vary over time, and may vary considerably during the life of your notes. Changes in a particular exchange rate result from the interaction of many factors directly or indirectly affecting economic and political conditions. Of particular importance are:

 

·                  rates of inflation;

·                  interest rate levels;

·                  the balance of payments among countries;

·                  the extent of government surpluses or deficits in the relevant foreign country and the United States; and

·                  other financial, economic, military and political factors.

 

All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments of the relevant foreign countries and the United States and other countries important to international trade and finance.

 

The price of the notes and any payment on the notes could also be adversely affected by delays in, or refusals to grant, any required governmental approval for conversions of a local currency and remittances abroad with respect to the underlier, basket of underliers or potential lesser performing underliers or other de facto restrictions on the repatriation of U.S. dollars.

 

Even Though Currencies Trade Around-The-Clock, Your Notes Will Not

 

Your notes may be linked to an underlier, a basket of underliers or the lesser performing of two or more underliers and any such underlier may be denominated in a non-U.S. dollar currency and adjusted to reflect its U.S. dollar value. The interbank market in foreign currencies is a global, around-the-clock market. Therefore, the hours of trading for your notes, if any trading market develops, will not conform to the hours during which the currencies in which the underliers are denominated or in which the underlying stocks of the underlier trade. Significant price and rate movements may take place in the underlying foreign currency exchange markets that will not be reflected immediately in the price of your notes. The possibility of these movements should be taken into account in relating the value of your notes to those in the underlying foreign currency exchange markets. There is no systematic

 

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reporting of last-sale information for foreign currencies. Reasonably current bid and offer information is available in certain brokersoffices, in bank foreign currency trading offices and to others who wish to subscribe for this information, but this information will not necessarily be reflected in the value of the underlier or underliers used to calculate the payment amount. There is no regulatory requirement that those quotations be firm or revised on a timely basis. The absence of last-sale information and the limited availability of quotations to individual investors may make it difficult for many investors to obtain timely, accurate data about the state of the underlying foreign currency exchange markets.

 

If Your Notes Are Linked to Certain U.S. Dollar Denominated Indices, Your Investment in the Notes Will Be  Subject to Foreign Currency Exchange Rate Risk

 

For notes linked to U.S. dollar denominated indices whose underlying stock prices are converted by the underlier sponsor into U.S. dollars for purposes of calculating the value of the underlier, investors of the notes will be exposed to currency exchange rate risk with respect to each of the currencies represented in the underlier which are converted in such manner. An investors net exposure will depend on the extent to which the currencies represented in such an underlier strengthen or weaken against the U.S. dollar and the relative weight of each relevant currency represented in the overall underlier. If, taking into account such weighting, the dollar strengthens against the component currencies, the value of the underlier will be adversely affected and the amount payable at maturity of the notes may be reduced.

 

Regulators Are Investigating Potential Manipulation of Published Currency Exchange Rates

 

It has been reported that the U.K. Financial Conduct Authority and regulators from other countries, including the United States, are in the process of investigating the potential manipulation of published currency exchange rates. If such manipulation has occurred or is continuing, certain published exchange rates may have been, or may be in the future, artificially lower (or higher) than they would otherwise have been. Any such manipulation could have an adverse impact on any payments on, and the value of, your notes and the trading market for your notes. In addition, we cannot predict whether any changes or reforms affecting the determination or publication of exchange rates or the supervision of currency trading will be implemented in connection with these investigations. Any such changes or reforms could also adversely impact your notes.

 

For considerations relating to foreign currency exchange rate risk, please see the applicable product supplement, if any, or pricing supplement.

 

If Your Notes Are Linked to Underliers Denominated in Non-U.S. Dollars and the Calculation Agent Adjusts Such Underliers to Reflect Their U.S. Dollar Value, a Decline in the Currency of One Underlier Against the U.S. Dollar May Offset Increases in the Currency of Other Underliers Against the U.S. Dollar Over the Life of the Notes

 

Your notes may be linked to a basket of underliers that are denominated in non-U.S. dollar currencies and that the calculation agent adjusts to reflect their U.S. dollar value. The applicable pricing supplement will specify whether a non-U.S. dollar denominated underlier will be so adjusted. Declines in the currency in which one basket underlier is denominated (i.e., if the value of the U.S. dollar strengthens against the non-U.S. dollar currency in which that underlier is denominated) may offset increases in the currencies in which the other basket underliers are denominated. As a result, even if the non-U.S. dollar currencies in which certain of the basket underliers are denominated have appreciated against the U.S. dollar over the term of your notes, you may lose a significant amount of your investment if some or all of the currencies in which the other basket underliers are denominated decline versus the U.S. dollar.

 

If Your Notes Are Linked to Underliers Denominated in Non-U.S. Dollars or the Underlying Stocks of Which Trade  in Foreign Currencies and Such Underliers Are Adjusted to Reflect Their U.S. Dollar Value, Intervention in the  Foreign Currency Exchange Markets by the Countries Issuing any Underlying Currency Could Materially and  Adversely Affect the Value of Your Notes

 

Specific foreign currencies exchange rates are volatile and are affected by numerous factors specific to each foreign country. Foreign currency exchange rates can be fixed by the sovereign government, allowed to float within a range of exchange rates set by the government, or left to float freely. Governments, including those issuing the currencies in which the underliers are denominated or in which the underlying stocks of the underlier trade, use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes, to

 

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affect the exchange rates of their respective currencies. Currency developments may occur in any of the countries issuing the currencies in which the underliers are denominated or in which the underlying stocks of the underlier trade to which your notes are linked. Often, these currency developments impact foreign currency exchange rates in ways that cannot be predicted.

 

Governments may also issue a new currency to replace an existing currency, fix the exchange rate or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special risk in purchasing notes linked to underliers that are denominated in a non-U.S. dollar currency or that convert the currencies in which non-U.S. dollar underlying stocks trade is that their liquidity, trading value and payment amount could be affected by the actions of sovereign governments that could change or interfere with previously freely determined currency valuations, fluctuations in response to other market forces and the movement of currencies across borders.

 

The calculation agent is not obligated to make any offsetting adjustment or change in the event of any other devaluation or revaluation or imposition of exchange or other regulatory controls or taxes or in the event of other developments affecting any underliers that are denominated in a non-U.S. dollar currency or that convert the currencies in which non-U.S. dollar underlying stocks trade.

 

If the applicable pricing supplement specifies that you are exposed to foreign currency risk (because the calculation agent converts the underlier level into U.S. dollars, a U.S. dollar-denominated underlier itself converts the prices of underlying stocks that trade in foreign currencies to their U.S. dollar equivalents, or otherwise), a weakening in the exchange rate of any such foreign currency relative to the U.S. dollar may have a material adverse effect on the value of your notes and the return on an investment in your notes.

 

If Your Notes Are Linked to Underliers Denominated in Non-U.S. Dollars or the Underlying Stocks of Which Trade in Foreign Currencies and Such Underliers Are Adjusted to Reflect Their U.S. Dollar Value, Suspensions or Disruptions of Market Trading in One or More Foreign Currencies May Adversely Affect the Value of Your Notes

 

The foreign currency exchange markets are subject to temporary distortions or other disruptions due to various factors, including government regulation and intervention, the lack of liquidity in the markets and the participation of speculators. If the applicable pricing supplement specifies that you are exposed to foreign currency risk (because the calculation agent converts the underlier level into U.S. dollars, a U.S. dollar-denominated underlier itself converts the prices of underlying stocks that trade in foreign currencies to their U.S. dollar equivalents, or otherwise), these circumstances could adversely affect the relevant foreign currency exchange rates and, therefore, the value of your notes.

 

If Your Notes Are Linked to Underliers That Are Comprised of Underlier Stocks Which Are Traded in Foreign  Currencies But Are Not Adjusted to Reflect Their U.S. Dollar Value, the Return on Your Notes Will Not Be  Adjusted for Changes in the Foreign Currency Exchange Rate

 

If your notes are linked to underliers whose underlier stocks are traded in foreign currencies but are not adjusted to reflect their U.S. dollar value, the amount payable on your notes at maturity will not be adjusted for changes in the applicable foreign currency/U.S. dollar exchange rates. The amount payable on the stated maturity date will be based solely upon the overall change in the level of the applicable underlier, basket of underliers or potential lesser performing underliers over the life of your notes. Changes in foreign currency exchange rates, however, may reflect changes in the economy of the foreign countries in which the underliers component stocks are listed that, in turn, may affect the underlier, basket or potential lesser performing underlier level.

 

If Your Notes Are Linked to Underliers Which Are Listed or Located Outside the U.S. or to Underliers Which Have Components Listed or Located Outside the United States, Your Investment in the Notes Will Be Subject to Risks Associated with Foreign Securities Markets

 

Your notes may be linked to an underlier or basket of underliers or the lesser performing of two or more underliers, or to underliers which have components, that have their primary listing on an exchange located outside the U.S. or may include stocks issued by foreign companies. Investments linked to the value of foreign equity securities involve particular risks. Any foreign securities market may be less liquid, more volatile and affected by global or domestic market developments in a different way than the U.S. securities market or other foreign securities markets. Both government intervention in a foreign securities market, either directly or indirectly, and cross-

 

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shareholdings in foreign companies, may affect trading prices and volumes in that market. Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the SEC. Further, foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.

 

The prices of securities in a foreign country are subject to political, economic, financial and social factors that are unique to such foreign countrys geographical region. These factors include: recent changes, or the possibility of future changes, in the applicable foreign governments economic and fiscal policies; the possible implementation of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities; fluctuations, or the possibility of fluctuations, in currency exchange rates; and the possibility of outbreaks of hostility, political instability, natural disaster or adverse public health developments. Any one of these factors, or the combination of more than one of these factors, could negatively affect such foreign securities market and the price of securities therein. Further, geographical regions may react to global factors in different ways, which may cause the prices of securities in a foreign securities market to fluctuate in a way that differs from those of securities in the U.S. securities market or other foreign securities markets. Foreign economies may also differ from the U.S. economy in important respects, including growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency, which may have a positive or negative effect on foreign securities prices.

 

Some underliers may have a primary listing in a country that may be considered to be a country with an emerging market. Countries with emerging markets may have relatively less stable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.

 

Additional Risks Relating to Underliers that are Exchange Traded Funds

 

If Your Notes are Linked to an Exchange Traded Fund, You Will Have Limited Anti-dilution Protection

 

If your notes are linked to an exchange traded fund, a basket of exchange traded funds or the lesser performing of two or more exchange traded funds, CIBC, as calculation agent for your notes, may adjust the underlier, closing level, basket or potential lesser performing closing level for certain events that may affect the underlier, basket underliers or potential lesser performing underliers, as applicable, but only in the situations we describe in “Supplemental Terms of the Notes — Anti-dilution Adjustments for Exchange Traded Funds”. The calculation agent will not be required to make an adjustment for every event that may affect an underlier and will have broad discretion to determine whether and to what extent an adjustment is required.

 

The Value of the Shares of an Underlier that is a Passively-Managed Exchange Traded Fund May Not Track the  Level of the Index Underlying the Exchange Traded Fund

 

Although the trading characteristics and valuations of shares of a passively-managed exchange traded fund will usually mirror the characteristics and valuations of the underlying index, the value of the shares of such exchange traded fund may not closely track the level of the underlying index. The value of a share of an exchange traded fund may reflect transaction costs and fees incurred or imposed by the issuer of the exchange traded fund that are not included in the calculation of the underlying index. Additionally, because the exchange traded fund may not actually hold all of the stocks that comprise the underlying index, but may invest in a representative sample of securities which have a similar investment profile as the stocks that comprise the underlying index, and may hold investments that are not included in the index, the exchange traded fund may not fully replicate the performance of the underlying index.

 

If Your Notes Are Linked to Certain Types of Exchange Traded Funds, Your Investment in the Notes May Be Subject to Concentration Risks

 

The stocks underlying an exchange traded fund may be stocks of companies representing a particular market sector, a particular geographic region or some other sector. As a result, your investment in the notes may be concentrated in a single sector. Although your investment in the notes will not result in the ownership or other direct

 

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interest in the stocks comprising the exchange traded fund, if the exchange traded fund concentrates its investments in this manner, the return on your investment in the notes will be subject to certain risks similar to those associated with direct equity investments in the market, geographic region or sector represented by the relevant underlier stocks.

 

In the Case of an Underlier That is an Exchange Traded Fund, the Policies of an Investment Advisor and  Changes that Affect an Underlier to Which Your Notes are Linked, or the Underlying Index Tracked by Such  Underlier, Could Affect the Amount Payable on Your Notes and Their Market Value

 

In the case of an underlier that is an exchange traded fund, the policies of the applicable investment advisor concerning the underlier to which your notes are linked, the method by which the underlier attempts to track the underlying index, the investment objective, the other investment policies of the investment advisor, and similar matters could affect the level of the applicable underlier and, therefore, the amount payable on your notes on the stated maturity date and the market value of your notes before that date. If events such as these occur, the calculation agent — which initially will be CIBC — may determine the underlier, basket or potential lesser performing underlier levels on any such date (and, in the case of notes linked to a basket of underliers, the weighting multiplier of the applicable underlier) — and thus the amount payable on the stated maturity date — in a manner it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the underlier levels on any trading day and the determination date and the amount payable on your notes more fully underSupplemental Terms of the Notes — Discontinuance or Modification of an UnderlierandSupplemental Terms of the Notes — Anti-dilution Adjustments for Exchange Traded Fundsand in any applicable product supplement or pricing supplement.

 

If the Underlier, Basket Underlier or Potential Lesser Performing Underlier is an Exchange Traded Fund, Except  to the Extent CIBC and Our Affiliates Act as Authorized Participants in the Distribution  of, and, at Any Time, May Hold, Shares of Such Exchange Traded Fund, There Is No Affiliation Between the  Sponsor of such Exchange Traded Fund and Us, and We Are Not Responsible for Any Disclosure by the  Exchange Traded Fund Sponsor

 

If an underlier or any basket or potential lesser performing underlier is an exchange traded fund, CIBC and one or more of our other affiliates may act, from time to time, as authorized participants in the distribution of shares of such exchange traded fund, and, at any time, may hold shares of the exchange traded fund. Unless otherwise disclosed in the applicable pricing supplement, CIBC is not otherwise affiliated with the sponsor of such exchange traded fund or the issuers of the stocks underlying such exchange traded fund. Our affiliates may currently or from time to time in the future engage in business with issuers of the stocks underlying exchange traded funds. Nevertheless, neither we nor any of our affiliates assumes any responsibility for the accuracy or the completeness of any information about any issuer of the stocks underlying an exchange traded fund. You, as an investor in your notes, should make your own investigation into such issuer.

 

Neither the sponsor of such exchange traded fund nor any issuer of the stocks underlying such exchange traded fund are involved in this offering of your notes in any way and none of them have any obligation of any sort with respect to your notes. Neither the exchange traded fund sponsor nor any such issuer have any obligation to take your interests into consideration for any reason, including when taking any corporate actions that might affect the value of your notes.

 

SUPPLEMENTAL TERMS OF THE NOTES

 

The terms below are in addition to the general terms of the notes specified in the accompanying Prospectus. These supplemental terms address, among other things, adjustments made as a result of the occurrence of a market disruption event or non-trading day or the change or discontinuation of an underlier. Any term indicated below that may be specified in the applicable pricing supplement may alternatively, or in addition, be specified in the applicable product supplement, if any. If the term is specified in the applicable pricing supplement and the applicable product supplement, if any, the term specified in the applicable pricing supplement will control in the event of conflict.

 

Specified Currency

 

Unless otherwise specified in the applicable pricing supplement, all payments of principal and coupons, if any, will be made in U.S. dollars ($orUSD).

 

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Form and Denomination

 

The notes will be issued only in global form through DTC. Unless otherwise specified in the applicable pricing supplement, the denomination of each note will be an amount equal to $1,000 or integral multiples of $1,000 in excess thereof.

 

No Listing

 

Unless otherwise specified in the applicable pricing supplement, your notes will not be listed or displayed on any securities exchange or included in any interdealer market quotation system.

 

Stated Maturity Date

 

The stated maturity date for your notes will be the date specified in the applicable pricing supplement, unless that date is not a business day, in which case the stated maturity date will be postponed to the next following business day unless otherwise specified in the applicable pricing supplement.

 

The stated maturity date will also be postponed if the originally scheduled stated maturity date for your notes as specified in the applicable pricing supplement is 3 or 5 scheduled business days following the originally scheduled determination date for your notes and the determination date is postponed as described under— Determination Datebelow. In such a case, the stated maturity date will be postponed by the same number of business day(s) from but excluding the originally scheduled determination date to and including the actual determination date. If, however, the originally scheduled stated maturity date for your notes is 10 scheduled business days following the original determination date for your notes, any postponement of the determination date will not postpone the stated maturity date.

 

Call Payment Dates

 

The call payment date or set of call payment dates for your notes will be the date or dates specified in the applicable pricing supplement, unless any such date is not a business day, in which case such call payment date will be postponed to the next following business day unless otherwise specified in the applicable pricing supplement.

 

A call payment date will also be postponed if the applicable originally scheduled call payment date as specified in the applicable pricing supplement is 3 or 5 scheduled business days following the originally scheduled call observation date related to such call payment date and such call observation date is postponed as described under— Call Observation Datesbelow. In such a case, such call payment date will be postponed by the same number of business day(s) from but excluding the applicable originally scheduled call observation date to and including the actual call observation date. If, however, the applicable originally scheduled call payment date for your notes is 10 scheduled business days following the applicable originally scheduled call observation date for your notes, any postponement of the call observation date will not postpone the applicable call payment date.

 

Determination Date

 

The following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please see “Consequences of a Market Disruption Event or a Non-Trading Dayin this General Terms Supplement No. 1.

 

Notes Linked to a Single Underlier. The determination date for your notes in this case will be the date specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event occurs or is continuing on such day or such day is not a trading day. In that event, the determination date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled determination date for your notes, however, the determination date will not be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled determination date for your notes, the determination date will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing on the day that is the last

 

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possible determination date or such last possible day is not a trading day, that day will nevertheless be the determination date. Notwithstanding the foregoing, if the applicable pricing supplement specifies averaging dates for your notes, the determination date will occur on the last averaging date.

 

Notes Linked to a Basket of Underliers. The determination date for your notes in this case will be the date specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a basket underlier occurs or is continuing on such day or such day is not a trading day with respect to a basket underlier. In that event, the determination date will be the first following trading day on which the calculation agent determines that, on or subsequent to such originally scheduled determination date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each of the basket underliers will be determined on or prior to the postponed determination date as set forth under “Consequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to a Basket of Underliersbelow. (In such case, the determination date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the determination date.) If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled determination date for your notes, however, the determination date will not be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled determination date for your notes, the determination date will not be postponed by more than five scheduled trading days. On such last possible determination date, if a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be the determination date. Notwithstanding the foregoing, if the applicable pricing supplement specifies averaging dates for your notes, the determination date for your notes will occur on the last averaging date.

 

Notes Linked to the Lesser Performing of Two or More Underliers. The determination date for your notes in this case will be the date specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a potential lesser performing underlier occurs or is continuing on such day or such day is not a trading day with respect to any potential lesser performing underlier. In the event the originally scheduled determination date is a non-trading day with respect to any potential lesser performing underlier, the determination date will be the first day thereafter that is a trading day for all potential lesser performing underliers (thefirst qualified trading day) provided that no market disruption event occurs or is continuing with respect to a potential lesser performing underlier on that day. If a market disruption event with respect to a potential lesser performing underlier occurs on the originally scheduled determination date or the first qualified trading day, the determination date will be the first following trading day on which the calculation agent determines that each potential lesser performing underlier has had at least one trading day (from and including the originally scheduled determination date or the first qualified trading day, as applicable) on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each potential lesser performing underlier will be determined on or prior to the postponed determination date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to the Lesser Performing of Two or More Underliersbelow. (In such case, the determination date may differ from the dates on which the levels of one or more potential lesser performing underliers are determined for the purpose of the calculations to be performed on the determination date.) If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled determination date for your notes, however, the determination date will not be postponed to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled determination date for your notes, the determination date will not be postponed by more than five scheduled trading days, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. On such last possible determination date, if a market disruption event occurs or is continuing with respect to a potential lesser performing underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such potential lesser performing underlier, that day will nevertheless be the determination date. Notwithstanding the foregoing, if the applicable pricing supplement specifies averaging dates for your notes, the determination date for your notes will occur on the last averaging date.

 

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Averaging Dates

 

The applicable pricing supplement may specify that averaging dates will apply to your notes. In such case, the following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please seeConsequences of a Market Disruption Event or a Non-Trading Dayin this General Terms Supplement No. 1.

 

Notes Linked to a Single Underlier. If a market disruption event occurs or is continuing on any day that would otherwise be an averaging date or such day is not a trading day, such averaging date and each succeeding averaging date, if any, will be postponed to the next trading day(s) on which the calculation agent determines that no market disruption event occurs or is continuing. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled last averaging date for your notes, however, no averaging date will be later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled last averaging date for your notes, no averaging date will be postponed later than the date that is five scheduled trading days after the originally scheduled last averaging date. If a market disruption event occurs or is continuing on such last possible averaging date or such last possible day is not a trading day, that day will nevertheless be the last averaging date. In such cases, more than one averaging date may occur simultaneously on such last possible day.

 

Notes Linked to a Basket of Underliers. If a market disruption event occurs or is continuing with respect to a basket underlier on any day that would otherwise be an averaging date or such day is not a trading day with respect to a basket underlier, such averaging date will be postponed to the next trading day on which the calculation agent determines that, on or subsequent to such originally scheduled averaging date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each of the basket underliers for that averaging date will be determined on or prior to the postponed averaging date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to a Basket of Underliersbelow. (In such case, the averaging date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the averaging date.) If an averaging date is postponed, each subsequent averaging date will be postponed by the same number of scheduled trading days, subject to the limitation described below. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled last averaging date for your notes, however, no averaging date will be later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled last averaging date for your notes, no averaging date will be postponed later than the date that is five scheduled trading days after the originally scheduled last averaging date. On such last possible averaging date, if a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be the last averaging date. In such cases, more than one averaging date may occur simultaneously on such last possible day.

 

Notes Linked to the Lesser Performing of Two or More Underliers. If a market disruption event occurs or is continuing with respect to a potential lesser performing underlier on any day that would otherwise be an averaging date or such day is not a trading day with respect to any potential lesser performing underlier, such averaging date will be postponed as follows. In the event the originally scheduled averaging date is a non-trading day with respect to any potential lesser performing underlier, such averaging date will be the first day thereafter that is a trading day for all underliers (thefirst qualified averaging trading day) provided that no market disruption event occurs or is continuing with respect to a potential lesser performing underlier on that day. If a market disruption event with respect to a potential lesser performing underlier occurs on the originally scheduled averaging date or the first qualified averaging trading day, such averaging date will be the first following trading day on which the calculation agent determines that each potential lesser performing underlier has had at least one trading day (from and including the originally scheduled averaging date or the first qualified averaging trading day, as applicable) on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each potential lesser performing underlier will be determined on or prior to the postponed averaging date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to the Lesser Performing of Two or More Underliersbelow. (In such case, the applicable averaging date may differ

 

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from the dates on which the levels of one or more potential lesser performing underliers are determined for the purpose of the calculations to be performed on such averaging date.) If an averaging date is postponed, each subsequent averaging date will be postponed by the same number of scheduled trading days, subject to the limitation described below. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the originally scheduled last averaging date for your notes, however, no averaging date will be later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the originally scheduled last averaging date for your notes, no averaging date will be postponed later than the date that is five scheduled trading days after the originally scheduled last averaging date, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. On such last possible averaging date, if a market disruption event occurs or is continuing with respect to a potential lesser performing underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such potential lesser performing underlier, that day will nevertheless be the last averaging date. In such cases, more than one averaging date may occur simultaneously on such last possible day.

 

Call Observation Dates

 

The applicable pricing supplement may specify that call observation dates will apply to your notes. In such case, the following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please seeConsequences of a Market Disruption Event or a Non-Trading Dayin this General Terms Supplement No. 1.

 

Notes Linked to a Single Underlier. The call observation date or dates for your notes in this case will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event occurs or is continuing on such day or dates or such day or dates are not trading days. In that event, such call observation date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing. If an originally scheduled call payment date for your notes is 3 or 5 scheduled business days following the applicable originally scheduled call observation date for your notes, however, such call observation date will not be postponed to a date later than the applicable originally scheduled call payment date or, if such originally scheduled call payment date is not a business day, later than the first business day after the applicable originally scheduled call payment date. However, if an originally scheduled call payment date for your notes is 10 scheduled business days following the applicable originally scheduled call observation date for your notes, such call observation date will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing on the day that is the last possible call observation date applicable to the relevant call payment date or such last possible day is not a trading day, that day will nevertheless be the call observation date.

 

Notes Linked to a Basket of Underliers. The call observation date or dates for your notes will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a basket underlier occurs or is continuing on such day or such day is not a trading day with respect to a basket underlier. In that event, the call observation date will be the first following trading day on which the calculation agent determines that, on or subsequent to such originally scheduled call observation date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each of the basket underliers for that call observation date will be determined on or prior to the postponed call observation date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to a Basket of Underliersbelow. (In such case, the call observation date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the call observation date.) If an originally scheduled call payment date for your notes is 3 or 5 scheduled business days following the applicable originally scheduled call observation date for your notes, however, such call observation date will not be postponed to a date later than the applicable originally scheduled call payment date or, if such originally scheduled call payment date is not a business day, later than the first business day after the applicable originally scheduled call payment date. However, if an originally scheduled call payment date for your notes is 10 scheduled business days following the applicable originally scheduled call observation date for your notes, such call observation date will not be postponed by more than five scheduled trading days. On such last possible call observation date applicable to the relevant call payment date, if a market disruption event occurs or is continuing with respect to a basket underlier

 

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that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be a call observation date.

 

Notes Linked to the Lesser Performing of Two or More Underliers. The call observation date or dates for your notes will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a potential lesser performing underlier occurs or is continuing on such day or such day is not a trading day with respect to any potential lesser performing underlier. In the event the originally scheduled call observation date is a non-trading day with respect to any potential lesser performing underlier, the call observation date will be the first day thereafter that is a trading day for all potential lesser performing underliers (thefirst qualified call trading day) provided that no market disruption event occurs or is continuing with respect to a potential lesser performing underlier on that day. If a market disruption event with respect to a potential lesser performing underlier occurs on the originally scheduled call observation date or the first qualified call trading day, the call observation date will be the first following trading day on which the calculation agent determines that each potential lesser performing underlier has had at least one trading day (from and including the originally scheduled call observation date or the first qualified call trading day, as applicable) on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each potential lesser performing underlier will be determined on or prior to the postponed call observation date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to the Lesser Performing of Two or More Underliersbelow. (In such case, the call observation date may differ from the dates on which the levels of one or more potential lesser performing underliers are determined for the purpose of the calculations to be performed on the call observation date.) If an originally scheduled call payment date for your notes is 3 or 5 scheduled business days following the applicable originally scheduled call observation date for your notes, however, such call observation date will not be postponed to a date later than the applicable originally scheduled call payment date or, if such originally scheduled call payment date is not a business day, later than the first business day after the applicable originally scheduled call payment date, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. However, if an originally scheduled call payment date for your notes is 10 scheduled business days following the applicable originally scheduled call observation date for your notes, such call observation date will not be postponed by more than five scheduled trading days, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. On such last possible call observation date applicable to the relevant call payment date, if a market disruption event occurs or is continuing with respect to a potential lesser performing underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such potential lesser performing underlier, that day will nevertheless be a call observation date.

 

Measurement Periods

 

The applicable pricing supplement may specify a measurement period. In such case, the following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please seeConsequences of a Market Disruption Event or a Non-Trading Dayin this General Terms Supplement No. 1.

 

Notes Linked to a Single Underlier. If the applicable pricing supplement specifies a measurement period, the applicable measurement period or measurement periods for your notes will be the date or dates specified in the applicable pricing supplement, excluding any date or dates on which the calculation agent determines that a market disruption event occurs or is continuing or that the calculation agent determines is not a trading day with respect to the underlier, unless, with respect to the measurement period, if any, for which the last day of such measurement period is the determination date, the calculation agent determines that a market disruption event occurs or is continuing on the determination date or the determination date is not a trading day. In that event, the last day of such measurement period will be postponed as described underDetermination Date — Notes Linked to a Single Underlierabove. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, however, the last day of such measurement period will not be postponed to a date later than the corresponding originally scheduled stated maturity date or, if the corresponding originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, the last day of such measurement period will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing on the day

 

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that is the last possible day of such measurement period or such last possible day is not a trading day, that day will nevertheless be the last day of such measurement period.

 

Notes Linked to a Basket of Underliers. If the applicable pricing supplement specifies a measurement period, the applicable measurement period or measurement periods for your notes will be the date or dates specified in the applicable pricing supplement, excluding any date or dates on which the calculation agent determines that a market disruption event with respect to any basket underlier occurs or is continuing or that the calculation agent determines is not a trading day with respect to any basket underlier unless, with respect to the measurement period, if any, for which the last day of such measurement period is the determination date, the calculation agent determines that a market disruption event with respect to a basket underlier occurs or is continuing on the determination date or the determination date is not a trading day with respect to a basket underlier. In that event, the last day of such measurement period will be postponed as described under “Determination DateNotes Linked to a Basket of Underliersabove. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, however, the last day of such measurement period with respect to any basket underlier will not be postponed to a date later than the corresponding originally scheduled stated maturity date or, if the corresponding originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, the last day of such measurement period with respect to any basket underlier will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing on the day that is the last possible day of such measurement period applicable to such basket underlier or if such last possible day is not a trading day with respect to such basket underlier, that day will nevertheless be the last day of such measurement period with respect to such basket underlier.

 

Notes Linked to the Lesser Performing of Two or More Underliers. If the applicable pricing supplement specifies a measurement period, the applicable measurement period or measurement periods for your notes will be the date or dates specified in the applicable pricing supplement, excluding any date or dates on which the calculation agent determines that a market disruption event with respect to any potential lesser performing underlier occurs or is continuing or that the calculation agent determines is not a trading day with respect to any potential lesser performing underlier unless, with respect to the measurement period, if any, for which the last day of such measurement period is the determination date, the calculation agent determines that a market disruption event with respect to a potential lesser performing underlier occurs or is continuing on the determination date or the determination date is not a trading day with respect to any potential lesser performing underlier. In that event, the last day of such measurement period will be postponed as described under “Determination DateNotes Linked to the Lesser Performing of Two or More Underliersabove. If the originally scheduled stated maturity date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, however, the last day of such measurement period with respect to any potential lesser performing underlier will not be postponed to a date later than the corresponding originally scheduled stated maturity date or, if the corresponding originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. However, if the originally scheduled stated maturity date for your notes is 10 scheduled business days following the corresponding originally scheduled last day of such measurement period for your notes, the last day of such measurement period with respect to any potential lesser performing underlier will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing with respect to a potential lesser performing underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing on the day that is the last possible day of such measurement period applicable to such potential lesser performing underlier or if such last possible day is not a trading day with respect to such potential lesser performing underlier, that day will nevertheless be the last day of such measurement period with respect to such potential lesser performing underlier.

 

Consequences of a Market Disruption Event or a Non-Trading Day

 

Notes Linked to a Single Underlier. If a market disruption event occurs or is continuing on a day that would otherwise be the determination date or any averaging date, call observation date or coupon observation date, if any, or such day is not a trading day, then the determination date, the applicable averaging date and each succeeding averaging date, if applicable, the call observation date or the coupon observation date, if any, as applicable, will be postponed, as described under “— Determination DateNotes Linked to a Single Underlier, “— Averaging DatesNotes Linked to a Single Underlier, “— Call Observation DatesNotes Linked to a Single

 

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Underlier above, and “— Coupon Observation Dates — Notes Linked to a Single Underlierbelow. As a result of any of the foregoing, the stated maturity date, call payment date or coupon payment date, as applicable, for your notes may also be postponed, as described under “— Stated Maturity Date, “— Call Payment Dates” above or “— Coupon Payment Datesas applicable, below. If the closing level (or adjusted closing level, if applicable) of the underlier that must be used to determine the cash settlement amount is not available on the postponed determination date or any postponed averaging date, call observation date or coupon observation date, as applicable, because of a market disruption event, or, in the case of a non-U.S. dollar denominated underlier that the calculation agent adjusts to its U.S. dollar equivalent, the exchange rate that must be used to determine the cash settlement amount is not available, or the occurrence of a non-trading day or for any other reason (except as described under “— Discontinuance or Modification of an Underlierbelow), then the calculation agent will nevertheless determine the closing level (or adjusted closing level, if applicable) of the underlier, based on its assessment, made in its sole discretion, of the level of the underlier on that day; provided that, in the case of a non-U.S. dollar denominated underlier that the calculation agent adjusts to its U.S. dollar equivalent, the calculation agent will determine the adjusted closing level of the underlier based on (i) the closing level of the underlier or the exchange rate that is not affected by the market disruption event or non-trading day, if any, on the originally scheduled determination date, averaging date, call observation date or coupon observation date, if the closing level or the exchange rate was available on such date, (ii) the closing level of the underlier or the exchange rate, as applicable, that is affected by the market disruption event or non-trading day on the first trading day following the originally scheduled determination date, averaging date, call observation date, or coupon observation date, as applicable, on which no market disruption event exists; and (iii) the calculation agents assessment, made in its sole discretion, of the level of the underlier or the exchange rate if a market disruption event or non-trading day continues through the last possible day.

 

Notes Linked to a Basket of Underliers. If a market disruption event with respect to any basket underlier occurs or is continuing on a day that would otherwise be the determination date or any averaging date, call observation date or coupon observation date, if any, or such day is not a trading day, then the determination date, the applicable averaging date and each succeeding averaging date, if applicable, the call observation date or the coupon observation date, if any, as applicable, will be postponed as described under “— Determination DateNotes Linked to a Basket of Underliers, “— Averaging DatesNotes Linked to a Basket of Underliers, “— Call Observation DatesNotes Linked to a Basket of Underliers” above and “— Coupon Observation DatesNotes Linked to a Basket of Underliersbelow. As a result of any of the foregoing, the stated maturity date, call payment date or coupon payment date, as applicable, for your notes may also be postponed, as described under “— Stated Maturity Dateor “— Call Payment Datesabove orCoupon PaymentsCoupon Payment Datesbelow. If the determination date or any averaging date, call observation date or coupon observation date is postponed due to a market disruption event or non-trading day with respect to one or more of the basket underliers, the basket closing level for the postponed determination date or any postponed averaging date, call observation date or coupon observation date, as applicable, will be calculated based on (i) the closing level (or adjusted closing level, if applicable) and the applicable exchange rate, if any, of each of the basket underliers that is not affected by the market disruption event or non-trading day, if any, on the originally scheduled determination date or the applicable originally scheduled averaging date, call observation date or coupon observation date, as applicable, with respect to each such basket underlier, if any, (ii) the closing level and the exchange rate, if applicable, of each of the basket underliers that is affected by the market disruption event or non-trading day on the first trading day following the originally scheduled determination date or the applicable originally scheduled averaging date, call observation date or coupon observation date, as applicable, on which no market disruption event exists for that basket underlier (provided that, in the case of a basket underlier for which an adjusted closing level is applicable, if the unadjusted closing level or the applicable exchange rate was available on the originally scheduled determination date, averaging date, call observation date or coupon observation date, the closing level or exchange rate that was so available shall be used for purposes of calculating the adjusted closing level), and (iii) the calculation agents assessment, in its sole discretion, of the closing level of each basket underlier (and the exchange rate, if applicable) on the last possible postponed determination date, averaging date, call observation date or coupon observation date, as the case may be, with respect to each basket underlier as to which a market disruption event or non-trading day continues through the last possible postponed determination date, averaging date, call observation date or coupon observation date. As a result, this could result in the closing level and the applicable exchange rate, if any, of differing basket underliers being determined on different calendar dates. For the avoidance of doubt, once the closing level (or adjusted closing level, if applicable) and the applicable exchange rate, if any, for one or more basket underliers is determined for a determination date, averaging date, call observation date or coupon observation date, the occurrence of a later market disruption event or non-trading day will not alter such calculation.

 

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Notes Linked to the Lesser Performing of Two or More Underliers. If a market disruption event with respect to any potential lesser performing underlier occurs or is continuing on a day that would otherwise be the determination date or any averaging date, call observation date or coupon observation date, if any, or such day is not a trading day, then the determination date, the applicable averaging date, the call observation date or the coupon observation date, if any, as applicable, will be postponed as described under “— Determination DateNotes Linked to the Lesser Performing of Two or More Underliers, “— Averaging DatesNotes Linked to the Lesser Performing of Two or More Underliers,Call Observation DatesNotes Linked to the Lesser Performing of Two or More Underliers” above and “— Coupon Observation DatesNotes Linked to the Lesser Performing of Two or More Underliers” below. As a result of any of the foregoing, the stated maturity date, call payment date or coupon payment date, as applicable, for your notes may also be postponed, as described under “— Stated Maturity Dateor “— Call Payment Datesabove orCoupon PaymentsCoupon Payment Datesbelow. If the determination date or any averaging date, call observation date or coupon observation date is postponed to the last possible date due to the occurrence of serial non-trading days, the level of each potential lesser performing underlier will be the calculation agents assessment of such level, in its sole discretion, on such last possible determination date, averaging date, call observation date or coupon observation date, as applicable.

 

If the determination date or any averaging date, call observation date or coupon observation date is postponed due to a market disruption event with respect to any potential lesser performing underlier, the closing level of each potential lesser performing underlier with respect to such averaging date, call observation date or coupon observation date or the final underlier level with respect to the determination date, as applicable, will be calculated based on (i) for any potential lesser performing underlier that is not affected by a market disruption event on (A) the applicable originally scheduled averaging date, call observation date or coupon observation date or the first qualified averaging trading day, first qualified call trading day or first qualified coupon trading day, as applicable, thereafter (if applicable) or (B) the originally scheduled determination date or the first qualified trading day thereafter (if applicable), the closing level (or adjusted closing level, if applicable) and the applicable exchange rate, if any, of the potential lesser performing underlier on that date, (ii) for any potential lesser performing underlier that is affected by a market disruption event on (A) the applicable originally scheduled averaging date, call observation date or coupon observation date or the first qualified averaging trading day, first qualified call trading day or first qualified coupon trading day, as applicable, thereafter (if applicable) or (B) the originally scheduled determination date or the first qualified trading day thereafter (if applicable), the closing level of the potential lesser performing underlier on the first following trading day on which no market disruption event exists for such potential lesser performing underlier (provided that, in the case of a potential lesser performing underlier for which an adjusted closing level is applicable, if the unadjusted closing level or the applicable exchange rate was available on the originally scheduled determination date, averaging date, call observation date or coupon observation date, the closing level or exchange rate that was so available shall be used for purposes of calculating the adjusted closing level), and (iii) the calculation agents assessment, in its sole discretion, of the level of any potential lesser performing underlier (and the exchange rate, if applicable) on the last possible postponed determination date, averaging date, call observation date or coupon observation date, as applicable, with respect to such potential lesser performing underlier as to which a market disruption event continues through the last possible postponed determination date, averaging date, call observation date or coupon observation date. As a result, this could result in the closing level and the applicable exchange rate, if any, of differing potential lesser performing underliers being determined on different calendar dates. For the avoidance of doubt, once the closing level (or adjusted closing level, if applicable) and the applicable exchange rate, if any, for one or more potential lesser performing underliers is determined for a determination date, averaging date, call observation date or coupon observation date, the occurrence of a later market disruption event or non-trading day will not alter such calculation.

 

Coupon Payments

 

If so specified in the applicable pricing supplement, the notes will or may pay a coupon.

 

Coupon Payment Dates

 

The coupon payment date or set of coupon payment dates for your notes will be the date or dates specified in the applicable pricing supplement, unless for any such coupon payment date that date is not a business day, in which case such coupon payment date will be postponed to the next following business day unless otherwise specified in the applicable pricing supplement.

 

A coupon payment date will also be postponed if the applicable originally scheduled coupon payment date for your notes, as specified in the applicable pricing supplement, is 3 or 5 scheduled business days following the

 

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corresponding originally scheduled coupon observation date for your notes and such coupon observation date is postponed as described under— Coupon Observation Datesbelow. In such a case, such coupon payment date will be postponed by the same number of business day(s) from but excluding the applicable originally scheduled coupon observation date to and including the actual coupon observation date. If, however, the applicable originally scheduled coupon payment date for your notes is 10 scheduled business days following the applicable originally scheduled coupon observation date for your notes, any postponement of the coupon observation date will not postpone the applicable coupon payment date.

 

Coupon Observation Dates

 

The applicable pricing supplement may specify that coupon observation dates will apply to your notes. In such case, the following rules will apply unless otherwise specified in the applicable pricing supplement. For the consequences of a market disruption event or non-trading day, please seeConsequences of a Market Disruption Event or a Non-Trading Dayin this General Terms Supplement No. 1.

 

Notes Linked to a Single Underlier. If the applicable pricing supplement specifies that a coupon or coupons may be paid for your notes, the applicable coupon observation date or dates for your notes in this case will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event occurs or is continuing on such day or such day is not a trading day. In that event, such coupon observation date will be the first following trading day on which the calculation agent determines that a market disruption event does not occur and is not continuing and the closing level (or adjusted closing level, if applicable) will be determined as provided underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to a Single Underlierabove. If an originally scheduled coupon payment date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, however, a coupon observation date will not be postponed to a date later than the corresponding originally scheduled coupon payment date or, if the corresponding originally scheduled stated coupon payment date is not a business day, later than the first business day after the originally scheduled coupon payment date. However, if an originally scheduled coupon payment date for your notes is 10 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, such coupon observation date will not be postponed by more than five scheduled trading days. If a market disruption event occurs or is continuing on the day that is the last possible coupon observation date applicable to the relevant call payment date or such last possible day is not a trading day, that day will nevertheless be the coupon observation date applicable to the relevant coupon payment date. If a coupon observation date does not occur on the applicable originally scheduled coupon observation date, such coupon observation date will occur on the latest of the coupon observation dates applicable to the relevant coupon date.

 

Notes Linked to a Basket of Underliers. If the applicable pricing supplement specifies that a coupon or coupons may be paid for your notes, the applicable coupon observation date or dates for your notes in this case will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a basket underlier occurs or is continuing on such day or such day is not a trading day with respect to a basket underlier. In that event, such coupon observation date will be the first following trading day on which the calculation agent determines that, on or subsequent to such originally scheduled coupon observation date, each basket underlier has had at least one trading day on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each of the basket underliers for that coupon observation date will be determined on or prior to the postponed coupon observation date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to a Basket of Underliersabove. (In such case, the coupon observation date may differ from the dates on which the levels of one or more basket underliers are determined for the purpose of the calculations to be performed on the coupon observation date.) If an originally scheduled coupon payment date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, however, the coupon observation date will not be postponed to a date later than the originally scheduled coupon payment date or, if the originally scheduled stated coupon payment date is not a business day, later than the first business day after the originally scheduled coupon payment date. However, if an originally scheduled coupon payment date for your notes is 10 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, such coupon observation date will not be postponed by more than five scheduled trading days. On such last possible coupon observation date applicable to the relevant coupon payment date, if a market disruption event occurs or is continuing with respect to a basket underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such

 

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basket underlier, that day will nevertheless be the coupon observation date applicable to the relevant coupon payment date.

 

Notes Linked to the Lesser Performing of Two or More Underliers. If the applicable pricing supplement specifies that a coupon or coupons may be paid for your notes, the applicable coupon observation date or dates for your notes in this case will be the date or dates specified in the applicable pricing supplement, unless the calculation agent determines that a market disruption event with respect to a potential lesser performing underlier occurs or is continuing on such day or such day is not a trading day with respect to a potential lesser performing underlier. In the event the originally scheduled coupon observation date is a non-trading day with respect to any potential lesser performing underlier, the coupon observation date will be the first day thereafter that is a trading day for all potential lesser performing underliers (thefirst qualified coupon trading day) provided that no market disruption event occurs or is continuing with respect to a potential lesser performing underlier on that day. If a market disruption event with respect to a potential lesser performing underlier occurs on the originally scheduled coupon observation date or the first qualified coupon trading day, the coupon observation date will be the first following trading day on which the calculation agent determines that each potential lesser performing underlier has had at least one trading day (from and including the originally scheduled coupon observation date or the first qualified coupon trading day, as applicable) on which no market disruption event has occurred or is continuing and the closing level (or adjusted closing level, if applicable) of each potential lesser performing underlier will be determined on or prior to the postponed coupon observation date as set forth underConsequences of a Market Disruption Event or a Non-Trading Day — Notes Linked to the Lesser Performing of Two or More Underliersabove. (In such case, the coupon observation date may differ from the dates on which the levels of one or more lesser performing underliers are determined for the purpose of the calculations to be performed on the coupon observation date.) If an originally scheduled coupon payment date for your notes is 3 or 5 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, however, the coupon observation date will not be postponed to a date later than the originally scheduled coupon payment date or, if the originally scheduled stated coupon payment date is not a business day, later than the first business day after the originally scheduled coupon payment date, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. However, if an originally scheduled coupon payment date for your notes is 10 scheduled business days following the corresponding originally scheduled coupon observation date for your notes, such coupon observation date will not be postponed by more than five scheduled trading days, either due to the occurrence of serial non-trading days or due to the occurrence of one or more market disruption events. On such last possible coupon observation date applicable to the relevant coupon payment date, if a market disruption event occurs or is continuing with respect to a potential lesser performing underlier that has not yet had such a trading day on which no market disruption event has occurred or is continuing or if such last possible day is not a trading day with respect to such potential lesser performing underlier, that day will nevertheless be the coupon observation date applicable to the relevant coupon payment date.

 

Discontinuance or Modification of an Underlier

 

If, with respect to an underlier that is an index, an underlier sponsor discontinues publication of the applicable underlier or, with respect to an underlier that is an exchange traded fund, the underlier is delisted from the exchange on which the underlier has its primary listing, and such underlier sponsor, if applicable, or anyone else publishes a substitute underlier that the calculation agent determines is comparable to the applicable underlier or if the calculation agent designates a substitute underlier, then the calculation agent will determine the amount payable on a coupon payment date, call payment date or the stated maturity date by reference to the substitute underlier. We refer to any substitute underlier approved by the calculation agent as a successor underlier.

 

If the calculation agent determines that, with respect to an underlier that is an index, the publication of an underlier is discontinued, or with respect to an underlier that is an exchange traded fund, the underlier is delisted or withdrawn from the exchange on which the underlier has its primary listing, and there is no successor underlier, the calculation agent will determine the amount payable on a coupon payment date, call payment date or the stated maturity date, by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the applicable underlier.

 

If the calculation agent determines that an underlier, the underlier stocks comprising an underlier or any constituent index of an underlier or the method of calculating an underlier is changed at any time in any respectincluding any split or reverse split of the applicable underlier, a material change in the investment objective of an underlier that is an exchange traded fund, any addition, deletion or substitution and any reweighting or rebalancing of the constituent indices, if applicable, or the applicable underlier stocks, and whether the change is made by the

 

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applicable underlier sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor underlier, is due to events affecting one or more of the applicable underlier stocks or their issuers, or is due to any other reasonand is not otherwise reflected in the level of the applicable underlier by the applicable underlier sponsor pursuant to the applicable underlier methodology described under “The Underliers” below or in the applicable pricing supplement, then the calculation agent will be permitted (but not required) to make such adjustments in the applicable underlier or the method of its calculation and, in the case of notes linked to a basket of underliers, the applicable weighting multiplier or underlying weightings, as it believes are appropriate to ensure that the underlier, basket or potential lesser performing underlier level used to determine the amount payable on a coupon payment date, call payment date or the stated maturity date is equitable.

 

All determinations and adjustments to be made by the calculation agent with respect to an underlier may be made by the calculation agent in its sole discretion. The calculation agent is not obligated to make any such adjustments.

 

Role of Calculation Agent

 

The calculation agent, in its sole discretion, will make all determinations regarding the amount payable on your notes and any other determination as applicable or as specified in the applicable product supplement, if any, and applicable pricing supplement. In the absence of manifest error, all determinations made by the calculation agent will be conclusive for all purposes and binding on us and you and the calculation agent will have no liability for its determinations. All percentages and other amounts resulting from any calculation with respect to the notes will be rounded at the calculation agent’s discretion.  We may appoint a different calculation agent without your consent and without notifying you.

 

Anti-dilution Adjustments for Exchange Traded Funds

 

For notes linked to exchange traded funds, the calculation agent will have discretion to adjust the closing level of the underlier, any basket underlier or any potential lesser performing underlier, as applicable, if certain events occur (including those described above under “— Discontinuance or Modification of an Underlier). Exchange traded funds are registered investment companies that are eligible for trading on the exchanges on which they are listed. Generally, exchange traded funds (other than commodities based exchange traded funds) are subject to regulation under the Investment Company Act of 1940 and are restricted in their activities and have dividend requirements. In the event that any event other than a delisting or withdrawal from the relevant exchange occurs with respect to an exchange traded fund that is an underlier, the calculation agent shall determine whether and to what extent an adjustment should be made to the level of the underlier or any other term. The calculation agent shall have no obligation to make an adjustment for any such event.

 

Interest Payments

 

Your notes may bear interest if so specified in the applicable pricing supplement. If applicable, interest will accrue on the face amount of your notes and will be calculated and paid as described in the accompanying Prospectus Supplement with regard to fixed rate notes or floating rate notes, except that the interest rate and the interest payment dates will be those specified in the applicable pricing supplement. If the stated maturity date does not occur on the date specified in the applicable pricing supplement, however, the interest payment date scheduled for that date will instead occur on the postponed stated maturity date. No interest will accrue from and including the originally scheduled stated maturity date to and including the postponed stated maturity date, if the stated maturity date is so postponed.

 

Our Redemption Right

 

Redemption Right

 

If so specified in the applicable pricing supplement, we may redeem the particular notes prior to their stated maturity date at our option on any date on or after the initial redemption date specified in that pricing supplement, in whole or from time to time in part in increments of $1,000 or any other integral multiple of an authorized denomination specified in the applicable pricing supplement (provided that any remaining principal amount thereof shall be at least $1,000 or other minimum authorized denomination applicable thereto), for mandatory exchange into cash at the redemption price or prices specified in that pricing supplement, together with unpaid interest accrued thereon, if any, to the date of redemption. Unless otherwise specified in the applicable pricing supplement, we must

 

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give written notice to registered holders of the particular notes to be redeemed at our option not more than 45 nor less than 30 calendar days prior to the date of redemption.

 

Price Dependent Redemption Right

 

If so specified in the applicable pricing supplement, we may have the option to redeem the notes, in whole or in part, for mandatory exchange into cash during the price dependent redemption period (as defined below), which we can exercise at our sole discretion only if the closing level of an underlier or the basket closing level, as applicable, on the trading day immediately preceding the redemption notice date (as defined below) is greater, less than or equal to the upper or lower threshold level specified in such pricing supplement. If we elect to redeem your notes in such cases, your notes to be redeemed will be mandatorily exchanged for cash as described under the subsection entitled “— Redemption Rightabove.

 

Price Dependent Redemption Period. If we elect to exercise our price dependent redemption right, the applicable pricing supplement will specify the period during which the mandatory exchange of your notes to be redeemed for cash may be effected.

 

Redemption Notice Date. The redemption notice date is the date the notice of redemption is delivered to the holder of the notes and the trustee. If we elect to exercise our price dependent redemption right, the redemption notice date must fall within the price dependent redemption period, unless otherwise specified in the applicable pricing supplement.

 

Defeasance, Default, Other Terms

 

Your notes are not subject to the defeasance provisions described in the section “Description of Senior Debt Securities — Defeasance” beginning on page 6 of the accompanying Prospectus.

 

Unless otherwise specified in the applicable pricing supplement, if your notes have become immediately due and payable following an event of default (as defined in the section “Description of Senior Debt SecuritiesEvents of Default” in the accompanying Prospectus) with respect to the notes, the amount payable on the notes will be equal to the cash settlement amount payable on your notes, calculated as though the date of acceleration were the determination date.

 

If the notes have become immediately due and payable following an event of default, you will not be entitled to any payments with respect to the note in addition to the cash settlement amount payable on your notes, calculated as set forth in the preceding paragraph. For more information, see “Description of Senior Debt SecuritiesEvents of Default” beginning on page 7 of the accompanying Prospectus.

 

Modified Business Day

 

Unless otherwise specified in the applicable pricing supplement, any payment on your notes that would otherwise be due on a day that is not a business day may instead be paid on the next day that is a business day, with the same effect as if paid on the original due date. We discuss this term under “— Special Calculation Provisions” below.

 

Special Calculation Provisions

 

Business Day

 

When we refer to a business day with respect to your notes, we mean a day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is neither a legal holiday nor a day on which banking institutions are authorized or obligated by law, regulation or order to close in New York, unless otherwise specified in the applicable pricing supplement. Unless otherwise specified in the applicable pricing supplement or unless the context otherwise requires, when we refer to a scheduled business day, we mean a day that is scheduled to be such a day as of the trade date.

 

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Trading Day

 

When we refer to a trading day with respect to any underlier described herein that is an index other than the MSCI EAFE Index, MSCI Emerging Markets Index or the EURO STOXX 50® Index, we mean a day on which (i) the respective principal securities markets for all of the underlier stocks that comprise such underlier are open for trading, (ii) the underlier sponsor for such underlier is open for business and (iii) such underlier is calculated and published by the applicable underlier sponsor, unless otherwise specified in the applicable pricing supplement. Although an underlier sponsor may publish an underlier level with respect to the applicable underlier on a day when one or more of the principal securities markets for the underlier stocks for the applicable underlier are closed, that day would not be a trading day for purposes of the applicable underlier. Unless otherwise specified in the applicable pricing supplement or unless the context otherwise requires, when we refer to a scheduled trading day with respect to any underlier described herein that is an index other than the MSCI EAFE Index, MSCI Emerging Markets Index or the EURO STOXX 50® Index, we mean a day that is scheduled to be such a day as of the trade date.

 

When we refer to a trading day with respect to the MSCI EAFE Index, MSCI Emerging Markets Index or the EURO STOXX 50® Index, we mean a day on which the MSCI EAFE Index, MSCI Emerging Markets Index or the EURO STOXX 50® Index, as the case may be, is calculated and published by the underlier sponsor, unless otherwise specified in the applicable pricing supplement. Therefore, in the case of the MSCI EAFE Index or MSCI Emerging Markets Index, a day would be a trading day regardless of whether one or more of the principal securities markets for the underlier stocks for that index are closed on that day, if the underlier sponsor publishes that index level on that day. Similarly, in the case of the EURO STOXX 50® Index, a day would be a trading day regardless of whether one or more of the principal securities markets for the underlier stocks for the EURO STOXX 50® Index are closed on that day, if the underlier sponsor publishes the EURO STOXX 50® Index level on that day. Unless otherwise specified in the applicable pricing supplement or the context otherwise requires, when we refer to a scheduled trading day with respect to the MSCI EAFE Index, MSCI Emerging Markets Index or the EURO STOXX 50® Index, we mean a day that is scheduled to be such a day as of the trade date.

 

With respect to any underlier that is an index that is not described in this General Terms Supplement No. 1 , the applicable pricing supplement will specify the definition of trading day that will be applicable to your notes.

 

When we refer to a trading day with respect to any underlier that is an exchange traded fund, we mean a day on which (i) the exchange on which such underlier has its primary listing is open for trading and (ii) the price of one share of the underlier is quoted by the exchange on which such underlier has its primary listing. Unless otherwise specified in the applicable pricing supplement or the context otherwise requires, when we refer to a scheduled trading day with respect to any underlier that is an exchange traded fund, we mean a day that is scheduled to be such a day as of the trade date.

 

Closing Level

 

Unless otherwise specified in the applicable pricing supplement, with respect to any underlier that is an index (other than the Russell 2000® Index), the closing level on any trading day will be the official closing level of the underlier or any successor underlier published by the underlier sponsor on such trading day for such underlier. Unless otherwise specified in the applicable pricing supplement, with respect to the Russell 2000® Index, the closing level on any trading day will be the closing level of the Russell 2000® Index or any successor underlier reported by Bloomberg Financial Services, or any successor reporting service we may select, on such trading day for the Russell 2000® Index. Currently, whereas the underlier sponsor publishes the official closing level of the Russell 2000® Index to six decimal places, Bloomberg Financial Services reports the closing level of the Russell 2000® Index to fewer decimal places. As a result, the closing level of the Russell 2000® Index reported by Bloomberg Financial Services may be lower or higher than the official closing level of the Russell 2000® Index published by the underlier sponsor.

 

Unless otherwise specified in the applicable pricing supplement, with respect to any underlier that is an exchange traded fund, the closing level on any trading day will equal the closing sale price or last reported sale price, regular way, for the underlier, on a per-share or other unit basis:

 

·                  on the principal national securities exchange on which that underlier is listed for trading on that day, or

 

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·                  if the underlier is not listed on any national securities exchange on that day, on any other U.S. national market system that is the primary market for the trading of that underlier.

 

If the underlier is not listed or traded as described above, then the closing price for that underlier on any day will be the average, as determined by the calculation agent, of the bid prices for the underlier obtained from as many dealers in that underlier selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need not exceed three and may include the calculation agent or any of its or our affiliates.

 

Level of the Underlier

 

With respect to an underlier that is an index, the level of the underlier at any time on any trading day will be the official level of the underlier or any successor underlier published by the underlier sponsor at any time on any trading day.

 

With respect to an underlier that is an exchange traded fund, the level of the underlier at any time on any trading day will be the sale price, regular way, for the underlier, on a per-share or other unit basis:

 

·                  on the principal national securities exchange on which that underlier is listed for trading on that day, or

 

·                  if the underlier is not listed on any national securities exchange on that day, on any other U.S. national market system that is the primary market for the trading of that underlier.

 

If the underlier is not listed or traded as described above, then the sale price for that underlier at any time on any day will be the average, as determined by the calculation agent, of the bid prices for the underlier obtained from as many dealers in that underlier selected by the calculation agent as will make those bid prices available to the calculation agent. The number of dealers need not exceed three and may include the calculation agent or any of its or our affiliates.

 

Market Disruption Event

 

With respect to any given trading day, any of the following will be a market disruption event with respect to an underlier that is an index:

 

·                  a suspension, absence or material limitation of trading in underlier stocks constituting 20% or more, by weight, of the applicable underlier or any constituent index of such underlier on their respective primary markets, in each case for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

 

·                  a suspension, absence or material limitation of trading in option or futures contracts, if available, relating to the applicable underlier or any constituent index of such underlier or to underlier stocks constituting 20% or more, by weight, of the applicable underlier or any constituent index of such underlier in the respective primary markets for those contracts, in each case for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

 

·                  underlier stocks constituting 20% or more, by weight, of the applicable underlier or any constituent index of such underlier, or option or futures contracts, if available, relating to the applicable underlier or any constituent index of such underlier, or to underlier stocks constituting 20% or more, by weight, of the applicable underlier or any constituent index of such underlier do not trade on what were the respective primary markets for those underlier stocks or contracts, as determined by the calculation agent in its sole discretion,

 

and, in the case of any of these events, the calculation agent determines in its sole discretion that the event could materially interfere with the ability of CIBC or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes. For more information about hedging by CIBC and/or any of its affiliates, seeHedgingbelow, in the applicable product supplement, if any, and similar sections in the applicable pricing supplement.

 

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The following events will not be market disruption events with respect to an underlier that is an index:

 

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

 

·                  a decision to permanently discontinue trading in the option or futures contracts relating to the applicable underlier or any constituent index of such underlier or to any underlier stock.

 

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

 

·                  a price change exceeding limits set by that market, or

 

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

 

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

 

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

 

For purposes of this subsection entitled — Market Disruption Event, aconstituent index of an underlierwith respect to the MSCI EAFE Index or MSCI Emerging Markets Index refers to the component country indices that comprise the MSCI EAFE Index or MSCI Emerging Markets Index. For any other underlier, the applicable pricing supplement will specify the constituent indices of the underlier, if any, that comprise or underlie the underlier or basket underliers to which your notes may be linked.

 

The following events will be market disruption events with respect to an underlier that is an exchange traded fund:

 

·                  a suspension, absence or material limitation of trading in the underlier on its primary market for more than two consecutive hours of trading or during the one half-hour before the close of trading in that market, as determined by the calculation agent in its sole discretion,

 

·                  a suspension, absence or material limitation of trading in option or futures contracts relating to the underlier in the primary market for those contracts for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

 

·                  the underlier does not trade on what was the primary market for the underlier, as determined by the calculation agent in its sole discretion,

 

and, in the case of any of these events, the calculation agent determines in its sole discretion that the event could materially interfere with the ability of CIBC or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes. For more information about hedging by CIBC and/or any of its affiliates, seeHedgingbelow, in the applicable product supplement, if any, and similar sections in the applicable pricing supplement.

 

The following events will not be market disruption events with respect to an underlier that is an exchange traded fund:

 

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

 

·                  a decision to permanently discontinue trading in option or futures contracts relating to the underlier.

 

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

 

·                  a price change exceeding limits set by that market, or

 

·                  an imbalance of orders relating to the shares of the underlier or those contracts, or

 

·                  a disparity in bid and ask quotes relating to the shares of the underlier or those contracts,

 

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

 

The following will be a market disruption event with respect to underliers that are denominated in currencies other than U.S. dollars or the underlying stocks of which trade in currencies other than U.S. dollars if such underliers are adjusted to reflect their U.S. dollar value:

 

·                  with respect to the exchange rate applicable to such underlier or underlying stocks, a market disruption event will occur when the exchange rate is not available as specified in the applicable pricing supplement if the calculation agent determines in its sole discretion that the event could materially interfere with the ability of CIBC or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the notes. For more information about hedging by CIBC and/or any of its affiliates, seeHedgingbelow, in the applicable product supplement, if any, and similar sections in the applicable pricing supplement.

 

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

 

As is the case throughout this General Terms Supplement No. 1, references to an underlier in this description of market disruption events includes the applicable underlier, basket underliers or potential lesser performing underliers and any successor underlier as it may be modified, replaced or adjusted from time to time.

 

THE UNDERLIERS

 

All information contained in this General Terms Supplement No. 1 and the applicable pricing supplement regarding any underlier, basket underlier or potential lesser performing underlier, including, without limitation, its make-up, its method of calculation (if applicable) and changes in its components and its historical closing values, is derived from publicly-available information prepared by the applicable underlier sponsor. Such information reflects the policies of, and is subject to change by, the applicable underlier sponsor. Each underlier, basket underlier or potential lesser performing underlier is calculated and maintained by its respective underlier sponsor. Neither CIBC nor CIBCWM, has participated in the preparation of such documents or made any due diligence inquiry with respect to any underlier, basket underlier, potential lesser performing underlier or underlier sponsor in connection with the offering of the notes. In connection with the offering of the notes, neither CIBC nor CIBCWM makes any representation that such information regarding any underlier, basket underlier, potential lesser performing underlier or underlier sponsor is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date of any offering of notes (including events that would affect the accuracy or completeness of the information described in this General Terms Supplement No. 1 or in the applicable pricing supplement) that would affect the value of any underlier, basket underlier or potential lesser performing underlier have been publicly disclosed. Subsequent disclosure of any such events could affect the value received at maturity or on any redemption date with respect to the notes and therefore the market value of the notes.

 

We or our affiliates may presently or from time to time engage in business with one or more of the issuers of the underlier stocks of any underlier, basket underlier or potential lesser performing underlier

 

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without regard to your interests, including extending loans to or entering into loans with, or making equity investments in, one or more of such issuers or providing advisory services to one or more of such issuers, such as merger and acquisition advisory services. In the course of our affiliates business, we or our affiliates may acquire non-public information about one or more of such issuers and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, our affiliates from time to time have published and in the future may publish research reports with respect to such issuers. These research reports may or may not recommend that investors buy or hold the securities of such issuers. As a prospective purchaser of notes, you should undertake an independent investigation of the applicable underlier, basket underliers or potential lesser performing underliers or of the issuers of the underlier stocks of the applicable underlier, basket underliers or potential lesser performing underliers to the extent required, in your judgment, to allow you to make an informed decision with respect to an investment in any notes.

 

In this General Terms Supplement No. 1 and the applicable product supplement, if any, and/or applicable pricing supplement, unless the context requires otherwise, references to any underlier, basket underlier or potential lesser performing underlier listed below will include any successor underlier to such underlier, basket underlier or potential lesser performing underlier and references to the underlier sponsor will include any successor thereto.

 

Some Initial and Common Concepts

 

An equity index is a hypothetical calculation of stocks that fit certain selection criteria and are selected for inclusion in the index by the index sponsor. One example might be an index that seeks to include all of the large capitalization stocks traded on the stock market in a certain country or region. The value of an index is calculated using a methodology developed by the index sponsor. Typically, the closing prices of each of the stocks included in the index on each trading day are the basis for the index level. Although it is not possible to invest directly into an index, buying an index-linked product such as an index-linked note allows an investor to gain exposure to the performance of the relevant portions of a stock market or markets without owning all of the stocks that underlie the index.

 

Some indices limit themselves to companies having a certain size of market capitalization, as described below. You will see these terms in the descriptions below.

 

·                  Large capa company with a large market capitalization (market capitalization is the number of shares outstanding, which may be adjusted to exclude certain shares, multiplied by the stocks trading price) relative to other common stocks traded within the same market

 

·                  Mid capa company with a market capitalization that is within range of the median relative to other common stocks traded within the same market

 

·                  Small capa company with a small market capitalization relative to large cap and mid cap common stocks traded within the same market

 

·                  Developed marketa developed, high income country with a formally regulated equity market that is characterized by having developed custody settlement mechanisms, dealing landscape and a relatively high total market capitalization; decisions on whether a market is developed, emerging or otherwise, and as to other categorization matters, are made by the underlier sponsor only and not by us or our affiliates

 

·                  Emerging marketa developing country that is in the process of rapid industrialization with an income level that is generally less than developed countries and an equity market with reasonable or advanced market infrastructure.

 

The companies included in each of the underliers, whether the underlier is an index or an exchange traded fund (ETF), may be divided into industry sectors by the applicable underlier sponsor. Sector designations are determined by the underlier sponsor using criteria it has selected or developed. Any underlier sponsor may use very different standards from another underlier sponsor to determine sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may

 

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also differ. As a result, sector comparisons between underliers with different underlier sponsors may reflect differences in methodology as well as actual differences in the sector composition of the underliers.

 

An ETF attempts to track the performance of a particular index and actually purchases many of the stocks in the index and holds them. The ETF may or may not hold all of the stocks in the underlying index. The ETF itself is typically listed on the New York Stock Exchange and has a trading price like a stock. Unlike an index, it is possible to invest directly in an ETF by buying the shares of the ETF. The trading price is usually, although not always, closely correlated with the net asset value of the assets held by the ETF (which are the stocks underlying the index the ETF tracks). The investment objective of the ETFs in the basket is to achieve investment results that correspond generally to the price and yield performance, before fees and expenses, of the underlying index. That type of ETF, sometimes called atracking ETF,uses a passive or indexing approach to try to achieve the ETFs investment objective. The ETF has an investment advisor, but the investment advisor does not try to outperform the index. This means, among other things, that a tracking ETF typically will not sell a particular holding just because it is performing poorly. Instead, the ETF seeks to track the index regardless of whether the index level is increasing or decreasing. The investment advisor makes decisions, subject to the ETFs applicable limitations, about the stocks and other investments to be held by ETF in order to track the index. The investment advisor charges fees that impact the price of the ETFs shares, as do transaction and other costs relating to the trading of the portfolio.

 

ETFs are registered investment companies and file information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SECs website at www.sec.gov. The descriptions below will provide theCIK numberfor the ETFs, which is an identifying number that will assist you in finding information about them filed with the SEC.

 

The ETFs also have certain concepts in common with each other. We have described some of these common concepts below.

 

Tracking Error

 

The difference between the performance of an ETF over a period of time and the performance of the index over such period of time is called thetracking errorover that period of time. This is typically measured as the difference between the ETFs returns and the index returns over the same period of time. This is also sometimes referred to as the “correlationbetween the index and the ETF . An index and ETF are perfectly correlated if the correlation is 1.00 (i.e., the tracking error is 0.00%). Tracking errors can result for a variety of reasons, but one of the common reasons is that an index is a theoretical financial calculation of the performance of certain assets, but an ETF holds an actual investment portfolio. The description of the ETF(s) to which your notes are linked, either below or in the accompanying pricing supplement, may discuss some of the additional reasons for tracking errors and provide information about the tracking error or information about the performance of the index and the performance of the ETF for the same period.

 

Creation Units

 

Prior to trading in the secondary market, shares of an ETF are issued at net asset value to certain institutional investors (typically market makers or other broker-dealers) only in large block-size units, known as creation units. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. Except when aggregated in creation units (or upon the liquidation of an ETF), shares of the ETFs are not redeemable securities. The descriptions of the ETF(s) to which your notes are linked, either below or in the accompanying pricing supplement, may describe the size of the creation units for the ETFs. For most investors, the important thing to know is that redemptions of creation units may cause temporary dislocations in tracking errors.

 

Indicative Values, Net Asset Value and Share Prices

 

ETFs calculate a net asset value, or NAV, at the end of each trading day. This value represents the value of their respective assets less any applicable liabilities, including fees and expenses. The actual trading price of an ETFs shares in the secondary market generally differs (and may deviate significantly during periods of market volatility) from the ETFs daily net asset value. This is because the trading price is affected by market forces such as supply and demand, economic conditions and other factors.

 

ETFs are required for regulatory reasons to disseminate an approximate net asset value, often called an “indicative value,every fifteen seconds throughout the trading day. These indicative values are disseminated by

 

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information providers or market data vendors. These approximate or indicative values should not be viewed as areal-timeupdate of the net asset value, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value is generally based on quotes and closing prices from the securitieslocal market and may not reflect events that occur subsequent to the local markets close. The approximate value may not be calculated by the ETF and may not be calculated using the same methodology. In any event, for purposes of your notes, the trading prices of the shares of the ETFs will be based on the trading prices alone (subject to adjustment) and not the NAV or these approximate values.

 

Additional Information

 

No underlier sponsor is under any obligation to continue to publish or sponsor an underlier and may discontinue it at any time. Additional information regarding underliers may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and underlier sponsor websites. We are not incorporating by reference any underlier sponsor website, the sources listed above or below or any material they include in this General Terms Supplement No. 1 or any applicable pricing supplement.

 

Licensing

 

Unless otherwise specified in the applicable pricing supplement, CIBC or one or more of its affiliates has contracted or, to the extent required, will seek to acquire a contract with the sponsor or publisher of the index or indices to which your notes may be linked for the rights to use such index or indices and certain associated trademarks or service marks for each index. CIBC or its affiliate generally obtains these licenses either on an individual basis for a particular offering of notes or for a term of years. Although each of CIBC and its affiliates anticipates that it will continue to enter into and renew such licenses, any such license could be terminated upon the occurrence of certain events in the future.

 

S&P 500® Index

 

The S&P 500® Index, which we also refer to herein as theindex”:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first launched on March 4, 1957 based on an initial value of 10 from 1941-1943; and

 

·                  is sponsored by S&P Dow Jones Indices LLC (“S&P”).

 

The S&P 500® Index includes a representative sample of 500 companies in leading industries of the U.S. economy. The 500 companies are not the 500 largest companies listed on the New York Stock Exchange (“NYSE”) and not all 500 companies are listed on the NYSE. S&P chooses companies for inclusion in the S&P 500 Index with an aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equity market. Although the S&P 500® Index contains 500 constituent companies, at any one time it may contain greater than 500 constituent trading lines since some companies may be represented by multiple share class lines in the index. The S&P 500® Index is calculated, maintained and published by S&P and is part of the S&P Dow Jones Indices family of indices. Additional information is available on the following websites: http://us.spindices.com/indices/equity/sp-500 and http://www.spdji.com/. We are not incorporating by reference the websites or any material they include in this General Terms Supplement No. 1.

 

S&P intends for the S&P 500® Index to provide a performance benchmark for the large-cap U.S. equity markets. Constituent changes are made on an as-needed basis and there is no schedule for constituent reviews. Constituent changes are generally announced one to five business days prior to the change. Relevant criteria for additions to the S&P 500® Index that are employed by S&P include: the company proposed for addition should have an unadjusted company market capitalization of $6.1 billion or more (for a company with multiple share class lines, eligibility is based on the total market capitalization of the company, including all publicly listed and unlisted share class lines, if applicable; for spin-offs, eligibility is determined using when-issued prices, if available); using composite pricing and volume, the ratio of annual dollar value traded in the proposed constituent to float-adjusted market capitalization of that company should be 1.00 or greater and the stock should trade a minimum of 250,000

 

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shares in each of the six months leading up to the evaluation date (for companies with multiple share classes, each listed share class line is viewed independently to determine if it meets the liquidity criteria); the company must be a U.S. company (characterized as a Form 10-K filer, a company whose U.S. portion of fixed assets and revenues constitutes a plurality of the total, a company with a primary listing of the common stock on the NYSE, NYSE Arca, NYSE MKT, NASDAQ Global Select Market, NASDAQ Select Market, NASDAQ Capital Market, Bats BZX, Bats BYX, Bats EDGA or Bats EDGX and a corporate governance structure consistent with U.S. practice); the proposed constituent has a public float of 50% or more of its stock; the inclusion of the company will contribute to sector balance in the index relative to sector balance in the market in the relevant market capitalization range; financial viability (the sum of the most recent four consecutive quartersGAAP earnings (net income excluding discontinued operations) should be positive); and, for IPOs, at least twelve months’ trading on an eligible exchange. Certain types of securities are always excluded, including business development companies (BDCs), limited partnerships, master limited partnerships, limited liability companies (LLCs), OTC bulletin board issues, closed-end funds, ETFs, ETNs, royalty trusts, tracking stocks, preferred stock and convertible preferred stock, unit trusts, equity warrants, convertible bonds, investment trusts, rights, and American depositary receipts (ADRs). Stocks are deleted from the S&P 500® Index when they are involved in mergers, acquisitions or significant restructurings such that they no longer meet the inclusion criteria, and when they substantially violate one or more of the addition criteria. Stocks that are delisted or moved to the pink sheets or the bulletin board are removed, and those that experience a trading halt may be retained or removed in S&Ps discretion. S&P evaluates additions and deletions with a view to maintaining S&P 500® Index continuity.

 

All publicly listed multiple share class lines are included separately in the S&P 500® Index, subject to, in the case of any such share class line, that share class line satisfying the liquidity and float criteria discussed above and subject to certain exceptions. It is possible that one listed share class line of a company may be included in the S&P 500® Index while a second listed share class line of the same company is excluded. For companies that issue a second publicly traded share class to index share class holders, the newly issued share class line is considered for inclusion if the event is mandatory and the market capitalization of the distributed class is not considered to be de minimis.

 

S&P divides the 500 companies included in the S&P 500® Index into eleven Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.

 

Calculation of the S&P 500® Index

 

The S&P 500 Index is calculated using a base-weighted aggregative methodology. This discussion describes the “price returncalculation of the S&P 500® Index. The applicable pricing supplement will describe the calculation if the underlier for your notes is not the price return calculation. The value of the S&P 500® Index on any day for which an index value is published is determined by a fraction, the numerator of which is the aggregate of the market price of each stock in the S&P 500® Index times the number of shares of such stock included in the S&P 500® Index, and the denominator of which is the divisor, which is described more fully below. Themarket valueof any underlier stock is the product of the market price per share of that stock times the number of the then-outstanding shares of such underlier stock that are then included in the S&P 500® Index.

 

The S&P 500® Index is also sometimes called abase-weighted aggregative indexbecause of its use of a divisor. Thedivisoris a value calculated by S&P that is intended to maintain conformity in index values over time and is adjusted for all changes in the underlier stocksshare capital after thebase dateas described below. The level of the S&P 500® Index reflects the total market value of all underlier stocks relative to the indexs base date of 1941-43.

 

In addition, the S&P 500® Index is float-adjusted, meaning that the share counts used in calculating the S&P 500® Index reflect only those shares available to investors rather than all of a companys outstanding shares. S&P seeks to exclude shares held by certain shareholders concerned with the control of a company, a group that generally includes the following: officers and directors, private equity, venture capital, special equity firms, publicly traded companies that hold shares for control in another company, strategic partners, holders of restricted shares, employee stock ownership plans, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government entities at all levels (except government retirement or pension funds) and any individual person who controls a 5% or greater stake in a company as reported in regulatory filings (collectively,control holders). To this end, S&P excludes all share-holdings (other than depositary banks, pension funds, mutual funds, exchange traded fund providers, 401(k) plans of the company, government retirement and

 

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pension funds, investment funds of insurance companies, asset managers and investment funds, independent foundations, savings plans and investment plans) with a position greater than 5% of the outstanding shares of a company from the float-adjusted share count to be used in S&P 500® Index calculations.

 

The exclusion is accomplished by calculating an Investable Weight Factor (IWF) for each stock that is part of the numerator of the float-adjusted index fraction described above:

 

IWF = (available float shares)/(total shares outstanding)

 

where available float shares is defined as total shares outstanding less shares held by control holders. In most cases, an IWF is reported to the nearest one percentage point. For companies with multiple share class lines, a separate IWF is calculated for each share class line.

 

Maintenance of the S&P 500® Index

 

In order to keep the S&P 500® Index comparable over time S&P engages in an index maintenance process. The S&P 500® Index maintenance process involves changing the constituents as discussed above, and also involves maintaining quality assurance processes and procedures, adjusting the number of shares used to calculate the S&P 500® Index, monitoring and completing the adjustments for company additions and deletions, adjusting for stock splits and stock dividends and adjusting for other corporate actions. In addition to its daily governance of indices and maintenance of the S&P 500® Index methodology, at least once within any 12 month period, the S&P 500® Index Committee reviews the S&P 500® Index methodology to ensure the S&P 500® Index continues to achieve the stated objective, and that the data and methodology remain effective. The S&P Index Committee may at times consult with investors, market participants, security issuers included in or potentially included in the S&P 500® Index, or investment and financial experts.

 

Divisor Adjustments

 

The two types of adjustments primarily used by S&P are divisor adjustments and adjustments to the number of shares (including float adjustments) used to calculate the S&P 500® Index. Set forth below is a table of certain corporate events and their resulting effect on the divisor and the share count. If a corporate event requires an adjustment to the divisor, that event has the effect of altering the market value of the affected underlier stock and consequently of altering the aggregate market value of the underlier stocks following the event. In order that the level of the S&P 500® Index not be affected by the altered market value (which could be an increase or decrease) of the affected underlier stock, S&P derives a new divisor by dividing the post-event market value of the underlier stocks by the pre-event index value, which has the effect of reducing the S&P 500® Indexs post-event value to the pre-event level.

 

Changes to the Number of Shares of a Constituent

 

The index maintenance process also involves tracking the changes in the number of shares included for each of the index companies. The timing of adjustments to the number of shares depends on the type of event causing the change, and whether the change represents 5% or more of the total share count (for companies with multiple share class lines, the 5% threshold is based on each individual share class line rather than total company shares). Changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented when the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change. At S&Ps discretion, however, de minimis merger and acquisition changes may be accumulated and implemented with the updates made at the quarterly share updates as described below. Changes in a company’s total shares outstanding of 5% or more due to public offerings are made as soon as reasonably possible. Other changes in a constituents total shares of 5% or more due to secondary public offerings (also known as placements), tender offers, Dutch auctions, exchange offers, bought deal equity offerings, prospectus offerings, company stock repurchases, private placements, redemptions, exercise of options, warrants, conversion of derivative securities, at-the-market stock offerings, and acquisitions of private companies or non-index companies that do not trade on a major exchange are applied weekly and are announced after the market close on Fridays for implementation after the close of trading the following Friday.

 

For changes of less than 5%, on the third Friday of the last month in each calendar quarter, S&P updates the share totals of companies in the S&P 500® Index as required by any changes in the number of shares outstanding. S&P implements a share freeze during this quarterly rebalancing, beginning after the market close on

 

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the Tuesday prior to the second Friday of each rebalancing month (i.e. March, June, September, and December) and ending after the market close on the third Friday of the rebalancing month.  During this frozen period, shares are not changed except for certain corporate action events (merger activity, stock splits and rights offerings). After the share count totals are updated, the divisor is adjusted to compensate for the net change in the total market value of the S&P 500® Index.

 

Adjustments for Corporate Actions

 

There is a large range of corporate actions that may affect companies included in the S&P 500® Index. Certain corporate actions require S&P to recalculate the share count or the float adjustment or to make an adjustment to the divisor to prevent the value of the S&P 500® Index from changing as a result of the corporate action. This helps ensure that the movement of the S&P 500® Index does not reflect the corporate actions of individual companies in the S&P 500® Index. Several types of corporate actions, and their related adjustments, are listed in the table below.

 

Corporate Action

 

Share Count Revision
Required?

 

Divisor Adjustment Required?

Stock split

 

Yes — share count is revised to reflect new count.

 

No — share count and price changes are off-setting

Change in shares outstanding (secondary issuance, share repurchase and/or share buy-back)

 

Yes — share count is revised to reflect new count.

 

Yes — divisor adjustment reflects change in market capitalization

Spin-off if spun-off company is not being added to the S&P 500® Index

 

No

 

Yes — divisor adjustment reflects
decline in index market value (i.e. value of the spun-off unit)

Spin-off if spun-off company is being added to the S&P 500® Index and no company is being removed

 

No

 

No

Spin-off if spun-off company is being added to the S&P 500® Index and another company is being removed

 

No

 

Yes — divisor adjustment reflects
deletion

Special dividends

 

No

 

Yes — calculation assumes that share price drops by the amount of the dividend; divisor adjustment reflects this change in index market value

Change in IWF

 

No

 

Yes — divisor change reflects the change in market value caused by the change to an IWF

Company added to or deleted from the S&P 500® Index

 

No

 

Yes — divisor is adjusted by the net change in market value, calculated as the shares issued multiplied by the price paid

Rights Offering

 

No

 

Yes — divisor adjustment reflects
increase in market capitalization (calculation assumes that offering is fully subscribed)

 

Recalculation Policy

 

S&P reserves the right to recalculate and republish the S&P 500® Index under certain limited circumstances. S&P may recalculate and republish the S&P 500® Index if it determines that the S&P 500® Index is incorrect or inconsistent within two trading days of the publication of the index level because of an incorrect closing price, missed corporate event, late announcement of a corporate event, or missed index methodology event (deviation from what is stated in the methodology document).

 

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Calculations and Pricing Disruptions

 

Closing levels for the S&P 500® Index are calculated by S&P based on the closing price of the individual constituents of the index as set by their primary exchange. Closing prices are received by S&P from one of its third party vendors and verified by comparing them with prices from an alternative vendor. The vendors receive the closing price from the primary exchanges. Prices used for the calculation of real-time index values are based on the “Consolidated Tape”. The “Consolidated Tape” is an aggregation of trades for each security over all regional exchanges and trading venues and includes the primary exchange. If there is a failure or interruption on one or more exchanges, real-time calculations will continue as long as the “Consolidated Tape” is operational. If there is a failure or interruption on one or more exchanges, real time calculations switch to theConsolidated Tapefor all securities listed on the affected exchange and an announcement is published on the S&P website at www.spdji.com. If an interruption is not resolved prior to the market close, index levels will be calculated using prices determined by the exchanges based on SEC Rule 123C hierarchy. A notice is published on the S&P website at www.spdji.com indicating any changes to the prices used in S&P 500® Index calculations. In extreme circumstances, S&P may decide to delay index adjustments or not publish the S&P 500® Index.

 

Unscheduled Market Closures

 

In situations where an exchange fails to open or is forced to close early due to unforeseen events, such as natural disasters, inclement weather, outages, or other events, S&P will take the following actions:

 

·                  Market Disruption Prior to Open of Trading

 

o                If the exchange fails to open due to unforeseen circumstances, S&P treats this closure as a standard market holiday. All market driven actions (splits, bonuses, rights, cash dividends, spin-offs, etc.) are moved to the next trading date.

 

o                If exchanges indicate that trading, although delayed, will open for a given day, S&P will begin index calculation when the exchanges open.

 

·                  Market Disruption Intraday – If exchanges indicate that trading will not resume for a given day, index levels will be calculated using prices determined by the exchanges based on SEC Rule 123C hierarchy. Intraday index values will continue to use the last traded composite price until the primary exchange publishes official closing prices.

 

If all exchanges fail to open or in other extreme circumstances, S&P may determine not to publish the S&P 500® Index for that day.

 

License Agreement between S&P and CIBC

 

We and S&P have entered into a non-transferable, non-exclusive license agreement providing for the sublicense to us, in exchange for a fee, of the right to use the S&P 500® Index in connection with the issuance of the notes.

 

The license agreement between us and S&P provides that the following language must be stated in this document:

 

The S&P 500 Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by CIBC. Standard & Poor’s®, S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for use for certain purposes by CIBC. The notes are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, Standard & Poor’s Financial Services LLC, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the S&P 500 Index to track general market performance. S&P Dow Jones Indices’ only relationship to CIBC with respect to the S&P 500 Index is the licensing of the S&P 500 Index and certain trademarks, service marks and/or

 

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trade names of S&P Dow Jones Indices or its licensors.  The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to CIBC or the notes. S&P Dow Jones Indices have no obligation to take the needs of CIBC or the owners of the notes into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equation by which the notes are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on the S&P 500 Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by CIBC, but which may be similar to and competitive with the notes. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the S&P 500 Index.

 

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY CIBC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND CIBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

 

MSCI Indices

 

The MSCI EAFE Index, MSCI Singapore Free Index, MSCI Taiwan Index and MSCI Emerging Markets Index (each, anindexand, collectively, theMSCI Indices):

 

·                  are equity indices, and therefore cannot be invested in directly;

 

·                  do not file reports with the SEC because they are not issuers; and

 

·                  are sponsored, calculated, published and disseminated daily by MSCI Inc., which we refer to as MSCI, through numerous data vendors, on the MSCI website and in real time on Bloomberg Financial Markets and Reuters Limited.

 

The MSCI EAFE Index, MSCI Singapore Free Index, MSCI Taiwan Index and MSCI Emerging Markets Index are all free float adjusted market capitalization indices and are part of the MSCI Global Investable Market Indices, the methodology of which is described below. The indices are consideredstandardindices, which means they consist of all eligible large capitalization and mid-capitalization stocks, as determined by MSCI, in the relevant market. Additional information about the MSCI Global Investable Market Indices is available on the following website: https://www.msci.com/index-methodology. Daily closing price information for the MSCI Indices is available on the following website: https://www.msci.com/performance. We are not incorporating by reference the websites or any material they include in this General Terms Supplement No. 1.

 

MSCI EAFE Index. The MSCI EAFE Index is intended to provide performance benchmarks for the developed equity markets in Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and

 

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the United Kingdom. The constituent stocks of the MSCI EAFE Index are derived from the constituent stocks in the 21 MSCI standard single country indices for the developed market countries listed above.

 

MSCI divides the companies included in the MSCI EAFE Index into eleven Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.

 

MSCI Singapore Free Index. The MSCI Singapore Free Index is a developed market index that is designed to measure the performance of the large and mid cap segments of the Singapore market. The constituent stocks of the MSCI Singapore Free Index are selected from an eligible universe of equity securities listed on the Singapore Stock Exchange that includes companies listed on the Singapore Exchange Mainboard and SESDAQ market segments.

 

MSCI divides the companies included in the MSCI Singapore Free Index into six Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Financials, Industrials, Real Estate and Telecommunication Services.

 

MSCI Taiwan Index. The MSCI Taiwan Index is an emerging market index that is designed to measure the performance of the large and mid cap segments of the Taiwan market. The constituent stocks of the MSCI Taiwan Index are selected from an eligible universe of stocks that include those listed on the Taiwan Stock Exchange and the Taipei Exchange (formerly the GreTai Securities Market).

 

MSCI divides the companies included in the MSCI Taiwan Index into ten Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate and Telecommunication Services.

 

MSCI Emerging Markets Index. The MSCI Emerging Markets Index is intended to provide performance benchmarks for the emerging equity markets in the Americas, Europe, the Middle East, Africa and Asia, which are, as of the date of this General Terms Supplement No. 1, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The constituent stocks of the MSCI Emerging Markets Index are derived from the constituent stocks in the 23 MSCI standard single country indices for the emerging market countries listed above.

 

MSCI divides the companies included in the MSCI Emerging Market Index into eleven Global Industry Classification Sectors: Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.

 

Construction of the MSCI Indices

 

MSCI undertakes an index construction process, which involves: (i) defining the equity universe; (ii) determining the market investable equity universe for each market; (iii) determining market capitalization size segments for each market; (iv) applying index continuity rules for the standard index; (v) creating style segments within each size segment within each market; and (vi) classifying securities under the Global Industry Classification Standard (“GICS”). The index construction methodology differs in some cases depending on whether the relevant market is considered a developed market or an emerging market. The MSCI EAFE Index and the MSCI Singapore Free Index are developed market indices, and the MSCI Taiwan Index and the MSCI Emerging Markets Index are emerging markets indices. All of the MSCI Indices are standard indices, meaning that only securities that would qualify for inclusion in a large cap index or a mid cap index will be included as described below.

 

Defining the Equity Universe

 

(i)                                     Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI global index series, which will be classified as eitherdeveloped marketsoremerging markets. All listed equity securities, including real estate investment trusts and certain income trusts in Canada are eligible for inclusion in the equity universe. Limited partnerships, limited liability companies and business trusts, which are listed in the U.S. and are not structured to be taxed as limited partnerships, are likewise eligible for inclusion in the equity universe. Conversely, mutual funds, exchange traded funds, equity derivatives and most

 

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investment trusts are not eligible for inclusion in the equity universe. Preferred shares that exhibit characteristics of equity securities are eligible.

 

(ii)                                  Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country.

 

Determining the Market Investable Equity Universes

 

A market investable equity universe for a market is derived by (i) identifying eligible listings for each security in the equity universe; and (ii) applying investability screens to individual companies and securities in the equity universe that are classified in that market. A market is generally equivalent to a single country. The global investable equity universe is the aggregation of all market investable equity universes.

 

(i)                                     Identifying Eligible Listings: A security may have a listing in the country where it is classified (alocal listing) and/or in a different country (aforeign listing”). A security may be represented by either a local listing or a foreign listing (including a depositary receipt) in the global investable equity universe. A security may be represented by a foreign listing only if the security is classified in a country that meets the foreign listing materiality requirement (as described below), and the securitys foreign listing is traded on an eligible stock exchange of a developed market country if the security is classified in a developed market country or, if the security is classified in an emerging market country, an eligible stock exchange of a developed market country or an emerging market country.

 

In order for a country to meet the foreign listing materiality requirement, we determine all securities represented by a foreign listing that would be included in the countrys MSCI Country Investable Market Index if foreign listings were eligible from that country. The aggregate free-float adjusted market capitalization for all such securities should represent at least (i) 5% of the free float-adjusted market capitalization of the relevant MSCI Country Investable Market Index and (ii) 0.05% of the free-float adjusted market capitalization of the MSCI ACWI Investable Market Index. If a country does not meet the foreign listing materiality requirement, then securities in that country may not be represented by a foreign listing in the global investable equity universe.

 

(ii)                                  Applying Investability Screens: The investability screens used to determine the investable equity universe in each market are:

 

(a)                                 Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization. The equity universe minimum size requirement applies to companies in all markets and is derived as follows:

 

·                  First, the companies in the developed market equity universe are sorted in descending order of full market capitalization and the cumulative coverage of the free float-adjusted market capitalization of the developed market equity universe is calculated for each company. Each companys free float-adjusted market capitalization is represented by the aggregation of the free float-adjusted market capitalization of the securities of that company in the equity universe.

 

·                  Second, when the cumulative free float-adjusted market capitalization coverage of 99% of the sorted equity universe is achieved, by adding each companys free float-adjusted market capitalization in descending order, the full market capitalization of the company that reaches the 99% threshold defines the equity universe minimum size requirement.

 

·                  Third, the rank of this company by descending order of full market capitalization within the developed market equity universe is noted, and will be used in determining the equity universe minimum size requirement at the next rebalance.

 

As of November 2016, the equity universe minimum size requirement was set at US$215,000,000. Companies with a full market capitalization below this level are not included in any market investable equity universe. The equity universe minimum size requirement is reviewed and, if necessary, revised at each semi-annual index review, described below.

 

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(b)                                Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.

 

(c)                                 Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have at least one eligible listing that has adequate liquidity as measured by its 12-month and 3-month annualized traded value ratio (“ATVR”) and 3-month frequency of trading. The ATVR attempts to mitigate the impact of extreme daily trading volumes and takes into account the free float-adjusted market capitalization of securities. A minimum liquidity level of 20% of the 3-month ATVR and 90% of 3-month frequency of trading over the last 4 consecutive quarters, as well as 20% of the 12-month ATVR, are required for inclusion of a security in a market investable equity universe of a developed market. A minimum liquidity level of 15% of the 3-month ATVR and 80% of 3-month frequency of trading over the last 4 consecutive quarters, as well as 15% of the 12-month ATVR, are required for inclusion of a security in a market investable equity universe of an emerging market.

 

Only one listing per security may be included in the market investable equity universe. In instances where a security has two or more eligible listings that meet the above liquidity requirements, then the following priority rules are used to determine which listing will be used for potential inclusion of the security in the market investable equity universe:

 

(1)                                 Local listing

 

(2)                                 Foreign listing in the same geographical region (MSCI classifies markets into three main geographical regions: EMEA, Asia Pacific and Americas. If the security has several listings in the same geographical region, then the listing with the highest 3-month ATVR will be used).

 

(3)                                 Foreign listing in a different geographical region (if the security has several listings in a different geographical region, then the listing with the highest 3-month ATVR will be used).

 

Due to liquidity concerns relating to securities trading at very high stock prices, a security that is currently not a constituent of a MSCI Global Investable Markets Index that is trading at a stock price above US$10,000 will fail the liquidity screening and will not be included in any market investable equity universe.

 

(d)                                Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual security level. To determine the free float of a security, MSCI considers the proportion of shares of such security available for purchase in the public equity markets by international investors. In practice, limitations on the investment opportunities for international investors include: strategic stakes in a company held by private or public shareholders whose investment objective indicates that the shares held are not likely to be available in the market; limits on the proportion of a securitys share capital authorized for purchase by non-domestic investors; or other foreign investment restrictions which materially limit the ability of foreign investors to freely invest in a particular equity market, sector or security.

 

MSCI will then derive a “foreign inclusion factorfor the company that reflects the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. MSCI will then “float-adjustthe weight of each constituent company in an index by the companys foreign inclusion factor.

 

Once the free float factor has been determined for a security, the securitys total market capitalization is then adjusted by such free float factor, resulting in the free float-adjusted market capitalization figure for the security.

 

(e)                                 Minimum Length of Trading Requirement: This investability screen is applied at the individual security level. For an initial public offering to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of a semi-annual index review. This requirement is applicable to small new issues in all markets. Large initial public offerings are not subject to the minimum length of trading requirement and may be included in a market

 

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investable equity universe and a standard index, such as the MSCI Indices, outside of a quarterly or semi-annual index review.

 

(f)                                   Minimum Foreign Room Requirement: This investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at least 15%.

 

Determining Market Capitalization Size Segments for Each Market

 

Once a market investable equity universe is defined, it is segmented into the following size-based indices:

 

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

 

·                  Standard Index (Large Cap + Mid Cap)

 

·                  Large Cap Index

 

·                  Mid Cap Index

 

·                  Small Cap Index

 

Creating the size segment indices in each market involves the following steps: (i) defining the market coverage target range for each size segment; (ii) determining the global minimum size range for each size segment; (iii) determining the market size segment cutoffs and associated segment number of companies; (iv) assigning companies to the size segments; and (v) applying final size-segment investability requirements. For developed market indices and emerging market indices, the market coverage for a standard index is 85% and 42.5% respectively. As of October 2016, the global minimum size range for a developed market standard index is a full market capitalization of USD 2.54 billion to USD 5.84 billion, and the global minimum size range for an emerging market standard index is a full market capitalization of USD 1.27 billion to USD 2.92 billion.

 

Applying Index Continuity Rules for Standard Indices

 

In order to achieve index continuity, as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of five constituents will be maintained for a developed market standard index and a minimum number of three constituents will be maintained for an emerging market standard index, and involves the following steps:

 

·                  If after the application of the index construction methodology, a developed market standard index contains fewer than five securities or an emerging market standard index contains fewer than three securities, then the largest securities by free float-adjusted market capitalization are added to the index in order to reach the minimum number of required constituents.

 

·                  At subsequent index reviews, if the minimum number of securities described above is not met, then after the market investable equity universe is identified, the securities are ranked by free float-adjusted market capitalization, however, in order to increase stability the free float-adjusted market capitalization of the existing index constituents (prior to review) is multiplied by 1.50, and securities are added until the desired minimum number of securities is reached.

 

Creating Style Indices within Each Size Segment within each Market

 

All securities in the investable equity universe are classified into value or growth segments. The classification of a security into the value or growth segment is used by MSCI to construct additional indices.

 

Classifying Securities under the GICS

 

All securities in the global investable equity universe are assigned to the industry that best describes their business activities. The GICS classification of each security is used by MSCI to construct additional indices.

 

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Calculation Methodologies for the MSCI Indices

 

Price Return Methodology

 

The performance of each of the MSCI EAFE Index, the MSCI Singapore Free Index, the MSCI Taiwan Index and the MSCI Emerging Markets Index is a free float weighted average of the U.S. dollar values of their component securities.

 

Prices used to calculate the component securities are the official exchange closing prices or prices accepted as such in the relevant market. In the case of a market closure, or if a security does not trade on a specific day or during a specific period, MSCI carries forward the previous days price (or latest available closing price). In the event of a market outage resulting in any component security price to be unavailable, MSCI will generally use the last reported price for such component security for the purpose of performance calculation unless MSCI determines that another price is more appropriate based on the circumstances. Closing prices are converted into U.S. dollars, as applicable, using the closing spot exchange rates calculated by WM/Reuters at 4:00 P.M. London Time.

 

Daily Total Return Methodology

 

The MSCI Indices are net daily total return indices. A daily total return index measures the market performance, including price performance discussed under “Price Return Methodology” above and income from regular cash distributions, while a net daily total return index measures the price performance and income from dividends, net of certain withholding taxes. MSCI calculates withholding taxes using the highest applicable withholding tax rate applicable to institutional investors. The current withholding tax rate used by MSCI to calculate the MSCI Singapore Free Index is 0% except for real estate investment trusts, in which case the rate is 10%, and the withholding tax rate used to calculate the MSCI Taiwan Index is 20% except for real estate investment trusts, in which case the rate is 15%. This net income is reinvested in the index and thus makes up part of the total index performance. MSCIs net daily total return methodology reinvests net cash dividends in indices the day the security is quoted ex-dividend, or on the ex-date (converted to US dollars, as applicable). Certain dividends, including special/extraordinary dividends and commemorative dividends, are reinvested in the index if, a day prior to the ex-date, the dividend impact on price is less than 5%. If the impact is 5% or more, the dividend will be reflected in the index through a price adjustment. A specific price adjustment is always applied for stock dividends that are issued at no cost to the shareholders, an extraordinary capital repayment or a dividend paid in the shares of another company. Cash payments related to corporate events, such as mergers and acquisitions, are considered on a case-by-case basis.

 

Maintenance of the MSCI Indices

 

In order to maintain the representativeness of the MSCI Indices, structural changes to each MSCI Index as a whole may be made by adding or deleting component securities. Currently, such changes in the MSCI Indices may generally only be made on four dates throughout the year: after the close of the last business day of each February, May, August and November.

 

Each country index is maintained with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets. In maintaining each component country index, emphasis is also placed on its continuity, continuous investability of constituents and replicability of the index and on index stability and minimizing turnover.

 

MSCI classifies index maintenance in three broad categories. The first consists of ongoing event related changes, such as mergers and acquisitions, which are generally implemented in the country indices in which they occur. The second category consists of quarterly index reviews, aimed at promptly reflecting other significant market events. The third category consists of semi-annual index reviews that systematically re-assess the various dimensions of the equity universe.

 

Ongoing event-related changes to the country indices are the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events. They can also result from capital reorganizations in the form of rights issues, stock bonus issues, public placements and other similar corporate actions that take place on a continuing basis. MSCI will remove from the index as soon as practicable securities of companies that file for bankruptcy or other protection from their creditors, that are suspended and for which a return to normal

 

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business activity and trading is unlikely in the near future, or that fail stock exchange listing requirements with a delisting announcement. Securities may also be considered for early deletion in other significant cases, such as decreases in free float and foreign ownership limits, or when a constituent company acquires or merges with a non-constituent company or spins-off another company. In practice, when a constituent company is involved in a corporate event which results in the companys full market capitalization decreasing by more than 33% or the company decreases its foreign inclusion factor to below 0.15, the securities of that constituent company are considered for early deletion from the indices simultaneously with the event unless, in either case, it is a standard index constituent with a minimum free float-adjusted market capitalization at least two-thirds of one-half of the standard index interim size segment cut-off. Share conversions may also give rise to an early deletion. All changes resulting from corporate events are announced prior to their implementation, provided all necessary information on the event is available.

 

MSCIs quarterly index review process is designed to ensure that the country indices continue to be an accurate reflection of evolving equity markets. This goal is achieved by timely reflecting significant market driven changes that were not captured in each index at the time of their actual occurrence and that should not wait until the semi-annual index review due to their importance. These quarterly index reviews may result in additions and deletions of component securities from a country index (or a security being removed from one country listing and represented by a different country listing) and changes in “foreign inclusion factors” and in number of shares. Additions and deletions to component securities may result from: the addition of large companies that did not meet the minimum size criterion for inclusion at the time of their initial public offering or secondary offering; the replacement of companies which are no longer suitable industry representatives; the deletion of securities whose overall free float has fallen to less than 15% and that do not meet specified criteria; the deletion of securities that have become very small or illiquid; and the addition or deletion of securities as a result of other market events. Significant changes in free float estimates and corresponding changes in the foreign inclusion factor for component securities may result from: large market transactions involving strategic shareholders that are publicly announced; secondary offerings that, given lack of sufficient notice or small size (less than 5% of the companys outstanding shares) were not reflected immediately; increases in foreign ownership limits; decreases in foreign ownership limits which did not require foreign investors to immediately sell shares in the market; corrections resulting from the reclassification of shareholders from strategic to non-strategic, and vice versa; conversions of exchangeable bonds and other similar securities into already existing share types; the end of lock-up periods or expiration of loyalty incentives for non-strategic shareholders; and changes in the foreign inclusion factor as a result of other events of similar nature. Small changes in the number of shares resulting from, for example, exercise of options or warrants, conversion of convertible bonds or other instruments or share buybacks, are generally updated at the quarterly index review rather than at the time of the change, provided the absolute change is greater than 1,000 shares and relative change is greater than 0.02%. The results of the quarterly index reviews are announced at least two weeks in advance of their effective implementation dates as of the close of the last business day of February and August.

 

MSCIs semi-annual index review is designed to systematically reassess the component securities of the index. During each semi-annual index review, the universe of component securities is updated and the global minimum size range for the index is recalculated, which is based on the full market capitalization and the cumulative free float-adjusted market capitalization coverage of each security that is eligible to be included in the index. The following index maintenance activities, among others, are undertaken during each semi-annual index review: the list of countries in which securities may be represented by foreign listings is reviewed; the component securities are updated by identifying new equity securities that were not part of the index at the time of the previous quarterly index review; the minimum size requirement for the index is updated and new companies are evaluated relative to the new minimum size requirement; existing component securities that do not meet the minimum liquidity requirements of the index may be removed (or, with respect to any such security that has other listings, a determination is made as to whether any such listing can be used to represent the security in the market investable universe); and changes in “foreign inclusion factors” are implemented. During a semi-annual index review, component securities may be added or deleted from a country index for a range of reasons, including the reasons discussed with respect to component securities changes during quarterly index reviews as discussed above. Foreign listings may become eligible to represent securities only from the countries that met the foreign listing materiality requirement during the previous semi-annual index review (this requirement is applied only to countries that do not yet include foreign listed securities). Once a country meets the foreign listing materiality requirement at a given semi-annual index review, foreign listings will remain eligible for such country even if the foreign listing materiality requirements are not met in the future.

 

The results of the semi-annual index reviews are announced at least two weeks in advance of their effective implementation date as of the close of the last business day of May and November.

 

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Index maintenance also includes monitoring and completing adjustments for share changes, stock splits, stock dividends, and stock price adjustments due to company restructurings or spin-offs.

 

These guidelines and the policies implementing the guidelines are the responsibility of, and, ultimately, subject to adjustment by, MSCI.

 

License Agreement between MSCI Inc. (“MSCI”) and CIBC

 

CIBC will enter into an agreement with MSCI or its affiliates as necessary to provide us and certain of our affiliates or subsidiaries, in exchange for a fee, a non-exclusive license to use the MSCI indices in connection with certain securities, including the notes. We are not affiliated with MSCI, the only relationship between MSCI and us is any licensing of the use of MSCI’s indices and trademarks relating to them.

 

THE NOTES ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI, ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX.  THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY CIBC.  NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THE NOTES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THE NOTES PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE.  MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THE NOTES OR THE ISSUER OR OWNER OF THE NOTES.  NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THE NOTES INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES.  NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THE NOTES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATIONS BY WHICH THE NOTES WILL BE REDEEMABLE FOR CASH.  NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THE NOTES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THE NOTES.

 

ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN.  NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY CIBC, CIBC’S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF UNDERLIER-LINKED NOTES, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING

 

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ANY MSCI INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

No purchaser, seller or holder of the notes, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote the notes without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.

 

Hang Seng China Enterprises Index

 

The Hang Seng China Enterprises Index (also referred to herein as theindex):

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first launched on August 8, 1994 based on an initial value of 1,000 but was rebased with a value of 2,000 as at January 3, 2000; and

 

·                  is sponsored by Hang Seng Indexes Company Limited (HSI Company Limited), a wholly-owned subsidiary of Hang Seng Bank.

 

The Hang Seng China Enterprises Index is a free-float market capitalization weighted stock market index compiled, published and managed by HSI Company Limited. The Hang Seng China Enterprises Index was launched to track the performance of all H-shares of Chinese enterprises listed on the Stock Exchange of Hong Kong Ltd. (HKEx), which was one year after the first H-share company was listed on the HKEx. H-shares are Hong Kong listed shares, traded in Hong Kong dollars, of Chinese enterprises. Additional information about the Hang Seng China Enterprises Index is available on the following website: http://www.hsi.com.hk/HSI-Net/HSI-Net. Additional information about the HKEx is available on the following website: http://www.hkex.com.hk. We are not incorporating by reference the websites or any material they include in this General Terms Supplement No. 1.

 

Composition and Selection Criteria

 

The universe of possible constituent stocks of the Hang Seng China Enterprises Index is comprised of all H-share companies that have their primary listing on the Main Board of the HKEx, excluding stocks that are secondary listings, preference shares, debt securities, mutual funds and other derivatives. From this universe, constituent stocks are removed from or added to the Hang Seng China Enterprises Index quarterly based on the following eligibility screening and selection process:

 

·                  Listing history requirement. Constituent stocks should be listed for at least one month starting from the listing date to the review cut-off date (both dates inclusive).

 

·                  Turnover screening. Turnover velocity in each of the past 12 months is calculated for each constituent stock as the quotient of the median of daily traded shares in a specific calendar month divided by the free-float-adjusted issued shares at month end. A constituent stock is regarded as passing the monthly turnover test if it attains minimum velocity of 0.1%.

 

·                  New constituents. A new constituent stock must have maintained a 0.1% turnover velocity for at least ten out of the past 12 months and for all of the three most recent months.

 

·                  Existing constituents. An existing constituent stock must have maintained 0.1% turnover velocity for at least ten out of the past 12 months or, for months when an existing constituent does not meet the 0.1% turnover velocity, it must have had a monthly aggregate turnover among the top 90th percentile of the total market, where the total market is defined as including stocks primarily listed on the Main Board of the HKEx, excluding securities that are secondary listings, foreign companies, preference shares, debt securities, mutual funds and other derivatives.

 

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·                  Constituents with less than 12 months trading history. A stock with a trading history of less than six months must have attained a minimum turnover velocity of 0.1% for all trading months. A stock with a trading history of at least six months, but less than 12 months, may not have more than one month in which it has failed to attain a velocity of at least 0.1% and, for the latest three months, must have attained 0.1% for all trading months if the stock is not an existing constituent. The criteria in the preceding two sentences also applies to a stock that has transferred from Growth Enterprise Market to the Main Board of the HKEx in the 12 months before the data review cut-off date at the end of each fiscal quarter (March, June, September and December).

 

Combined market capitalization is computed for all individual H-share stocks, and they are ranked by this measure. Combined market capitalization is the sum of (i) full market capitalization, in terms of average month-end market capitalization in the past 12 months, and (ii) free-float-adjusted market capitalization, in terms of 12-month average market capitalization after free-float adjustment, each weighted by 50%. The average of the past month-end market capitalization since listing is used for stocks with a listing history of less than 12 months. If two stocks have the same combined market capitalization ranking, a higher rank is assigned to the stock with the higher full market capitalization.

 

Existing constituents ranked 49th or lower are removed from the Hang Seng China Enterprises Index while non-constituents ranked 32nd or higher are included. If the number of incoming stocks is greater than the number of outgoing constituents, constituents with the lowest Combined MV Rank will be removed from the index in order to maintain the number of constituents at 40. If the number of incoming stocks is smaller than the number of outgoing constituents, stocks with the highest Combined MV Rank will be added to the index in order to maintain the number of constituents at 40.

 

The underlier sponsor divides the Hang Seng China Enterprises Index into eleven industry sectors: Conglomerates, Consumer Goods, Consumer Services, Energy, Financials, Industrials, Information Technology, Materials, Properties & Construction, Telecommunications and Utilities.

 

Calculation Methodology

 

The Hang Seng China Enterprises Index is calculated using a free-float-adjusted market-weighted capitalization methodology. The discussion below describes the “price return” calculation of the Hang Seng China Enterprises Index. The applicable pricing supplement will describe the calculation if the underlier for your notes is not the price return calculation. Under this methodology, the following shareholdings, when exceeding 5% of shareholdings in the company on an individual basis, are viewed as non-free float and are excluded for index calculation purposes:

 

·                  Strategic holdings: shares held by governments and affiliated entities or any other entities which hold substantial shares in a company are considered as non-free float unless otherwise proved;

 

·                  Directors and management holdings: shares held by directors, members of the board committee, principal officers or founding members;

 

·                  Corporate cross-holdings: shares held by publicly traded companies or private firms/institutions; and

 

·                  Lock-up shares: shares that are subject to a publicly disclosed lock-up arrangement.

 

Any A-shares (shares listed in Shanghai largely restricted to Chinese investors) with trading restrictions will be classified as non-free float, regardless of the shareholding percentage.

 

A free-float adjustment factor representing the proportion of shares that is free floated as a percentage of the issued shares is rounded up to the nearest whole percentage for free-float adjustment factors of less than 10% and is otherwise rounded up to the nearest multiple of 5%. Free-float adjustment factors are reviewed quarterly. For companies with more than one class of shares, free-float adjustment factors will be calculated separately for each class of shares. A cap of 10% on individual stock weightings is applied, such that no individual constituent in the index will have a weighting exceeding a predetermined cap level on the index capping date.

 

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The Hang Seng China Enterprises Index is calculated and disseminated every 2 seconds during trading hours on each trading day of the HKEx and is calculated as the product of (i) the current aggregate free-float-adjusted market capitalization of constituents divided by the previous trading days aggregate free-float-adjusted market capitalization of constituents, (ii) multiplied by the previous trading days closing index level. The current aggregate free-float-adjusted market capitalization of constituents on any trading day is the sum of the current free-float-adjusted market capitalizations of the constituents, which for each constituent is the product of the current price of the constituent, the actual total number of each class of H-shares issued by the constituent, the free-float adjustment factor for the constituent (which is between zero and 1) and the cap factor for the constituent (which is between zero and 1). A cap factor is calculated quarterly, such that no individual constituent in the index will have a weighting exceeding 10% on the index capping date. The previous trading days aggregate free-float-adjusted market capitalization of constituents is the sum of the previous trading days free-float-adjusted market capitalizations of the constituents, which for each constituent is the product of the closing price of the constituent on the previous trading day, the actual total number of each class of H-shares issued by the constituent, the free-float adjustment factor for the constituent (which is between zero and 1) and the cap factor for the constituent (which is between zero and 1), in each case as determined on that trading day.

 

Index Rebalancing

 

The adjustment of the free-float adjustment factor, the calculation of the cap factor, and the update of issued shares is undertaken quarterly.

 

The index may also be adjusted on an ad hoc basis in the event of certain corporate actions and events. A minimum notice period of two trading days will be given to index users for any ad hoc rebalance. For corporate actions, including bonus issues, rights issues, stock splits and stock consolidations, the issued shares will be updated simultaneously with the index adjustment. Other corporate events, including placing and issuance of new shares, will result in an adjustment to the free-float factor if the number of free-float issued shares changes by more than 10%. After the update, the index will be recapped if the weighting of any capped constituent fell below 5 percentage points from the cap level, or the weighting of any constituent is higher than 5 percentage points above the cap level.

 

In the event of ad hoc constituent changes, the index will only be recapped if the weighting of a newly included constituent is higher than the cap level. For ad hoc constituent deletion, no recapping will be undertaken.

 

Trading Halt or Suspension of Stocks

 

If trading in a constituent stock has been suspended for any reason, its constituency in the Hang Seng China Enterprises Index will be reviewed in the regular index review. The last traded price will be used for index calculation during the suspension period.

 

Where the HKEx considers it necessary for the protection of the investor or the maintenance of an orderly market, it may at any time direct a trading halt or suspend dealings in any securities or cancel the listing of any securities in such circumstances and subject to such conditions as it thinks fit, whether requested by the listed issuer or not. The HKEx may also do so where: (1) an issuer fails, in a manner which the HKEx considers material, to comply with the HKEx listing rules; (2) the HKEx considers there are insufficient securities in the hands of the public; (3) the HKEx considers that the listed issuer does not have a sufficient level of operations or sufficient assets to warrant the continued listing of the issuers securities; or (4) the HKEx considers that the issuer or its business is no longer suitable for listing.

 

In the following circumstances, when an announcement cannot be made promptly, an issuer must apply for a trading halt or suspension of its own accord, and such request for a trading halt or suspension will normally be acceded to: (1) where the issuer has information that, in the view of the HKEx, there is or there is likely to be a false market (i.e., where there is material misinformation or materially incomplete information in the market which is compromising proper price discovery) in the issuers securities; (2) where the issuer reasonably believes that there is inside information which must be disclosed under the HKExs inside information rules; or (3) where the issuer reasonably believes or it is reasonably likely that confidentiality may have been lost in respect of certain inside information.

 

In the following circumstances, pending an announcement, an issuer must apply for a trading halt or suspension of its own accord, and such request for a trading halt or suspension will normally be acceded to: (1)

 

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where the issuer has signed an agreement in respect of a share transaction, major transaction, very substantial disposal, very substantial acquisition or reverse takeover and the required announcement has not been published on a business day; (2) where the issuer has signed an agreement in respect of a notifiable transaction, which the issuer reasonably believes would require disclosure under the HKExs inside information rules; or (3) where the issuer has finalized the major terms of an agreement in respect of a notifiable transaction, which the issuer reasonably believes would require disclosure under the HKExs inside information rules, and the issuer considers that the necessary degree of security cannot be maintained or that the security may have been breached.

 

An issuer may request a suspension (other than a trading halt), and such request will normally only be acceded to in the following circumstances: (1) where the issuer is subject to an offer, but only where terms have been agreed in principle and require discussion with, and agreement by, one or more major shareholders (suspensions in such cases will normally only be appropriate where no previous announcement has been made); (2) to maintain an orderly market as determined by the HKEx; (3) where there is an occurrence of certain levels of notifiable transactions, such as substantial changes in the nature, control or structure of the issuer, where publication of full details is necessary to permit a realistic valuation to be made of the securities concerned, or the approval of shareholders is required; (4) where the issuer is no longer suitable for listing, or becomes a “cash” company (a company whose net assets are comprised significantly of cash); (5) where the issuer is going into receivership or liquidation; or (6) where the issuer confirms that it will be unable to meet its obligation to disclose periodic financial information in accordance with the HKExs listing rules.

 

Trading on the HKEx

 

Trading on the HKEx is fully electronic through an Automatic Order Matching and Execution System. Trading on the HKEx takes place each Monday to Friday (excluding public holidays). The trading day consists of a pre-opening auction session from 9:00 a.m. to 9:30 a.m., followed by a morning trading session from 9:30 a.m. to 12:00 p.m., and an afternoon trading session from 1:00 p.m. to 4:00 p.m. (Hong Kong time). Hong Kong time is 12 hours ahead of Eastern Daylight Savings Time and 13 hours ahead of Eastern Standard Time. Settlement of trades is required within 48 hours and is conducted by electronic book-entry delivery through the Central Clearing and Settlement System. Because of the time differences between New York City and Hong Kong, on any normal trading day, using the last reported closing prices of the constituent stocks on the HKEx, the closing level of the Hang Seng China Enterprises Index on any such trading day generally will be calculated, published and disseminated in the United States by the opening of business in New York on the same business day.

 

License Agreement between HSI Company Limited and CIBC

 

CIBC will enter into an agreement with HSI Company Limited or its affiliates as necessary to provide us and certain of our affiliates or subsidiaries, in exchange for a fee, a non-exclusive license to use the Hang Seng China Enterprises Index, which is published and managed by HSI Company Limited, in connection with certain securities, including the notes.

 

The index is published and compiled by HSI Company Limited pursuant to a license from Hang Seng Data Services Limited. The mark and name “Hang Seng China Enterprises Index” are proprietary to Hang Seng Data Services Limited. NEITHER HSI COMPANY LIMITED NOR HANG SENG DATA SERVICES LIMITED WARRANTS OR REPRESENTS OR GUARANTEES TO ANY BROKER OR HOLDER OF THE NOTES OR ANY OTHER PERSON (i) THE ACCURACY OR COMPLETENESS OF THE INDEX AND ITS COMPUTATION OR ANY INFORMATION RELATED THERETO; OR (ii) THE FITNESS OR SUITABILITY FOR ANY PURPOSE OF THE INDEX OR ANY COMPONENT OR DATA COMPRISED IN IT; OR (iii) THE RESULTS WHICH MAY BE OBTAINED BY ANY PERSON FROM THE USE OF THE INDEX OR ANY COMPONENT OR DATA COMPRISED IN IT FOR ANY PURPOSE, AND NO WARRANTY OR REPRESENTATION OR GUARANTEE OF ANY KIND WHATSOEVER RELATING TO THE INDEX IS GIVEN OR MAY BE IMPLIED. The process and basis of computation and compilation of the index and any of the related formula or formulae, constituent stocks and factors may at any time be changed or altered by HSI Company Limited without notice. TO THE EXTENT PERMITTED BY APPLICABLE LAW, NO RESPONSIBILITY OR LIABILITY IS ACCEPTED BY HSI COMPANY LIMITED OR HANG SENG DATA SERVICES LIMITED (i) IN RESPECT OF THE USE OF AND/ OR REFERENCE TO THE INDEX BY CIBC IN CONNECTION WITH THE NOTES; OR (ii) FOR ANY INACCURACIES, OMISSIONS, MISTAKES OR ERRORS OF HSI COMPANY LIMITED IN THE COMPUTATION OF THE INDEX; OR (iii) FOR ANY INACCURACIES, OMISSIONS, MISTAKES, ERRORS OR INCOMPLETENESS OF ANY INFORMATION USED IN CONNECTION WITH THE COMPUTATION OF THE INDEX WHICH IS SUPPLIED BY ANY OTHER PERSON; OR (iv) FOR ANY ECONOMIC OR OTHER LOSS WHICH MAY BE DIRECTLY OR INDIRECTLY SUSTAINED BY ANY BROKER OR

 

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HOLDER OF THE NOTES OR ANY OTHER PERSON DEALING WITH THE NOTES AS A RESULT OF ANY OF THE AFORESAID, AND NO CLAIMS, ACTIONS OR LEGAL PROCEEDINGS MAY BE BROUGHT AGAINST HSI COMPANY LIMITED AND/OR HANG SENG DATA SERVICES LIMITED in connection with the notes in any manner whatsoever by any broker, holder or other person dealing with the notes. Any broker, holder or other person dealing with the notes does so therefore in full knowledge of this disclaimer and can place no reliance whatsoever on HSI Company Limited and Hang Seng Data Services Limited. For the avoidance of doubt, this disclaimer does not create any contractual or quasicontractual relationship between any broker, holder or other person and HSI Company Limited and/or Hang Seng Data Services Limited and must not be construed to have created such relationship.

 

Russell 2000® Index

 

The Russell 2000® Index, which we also refer to herein as theindex:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first launched in 1984 based on an initial value of 100 as of December 31, 1978; and

 

·                  is sponsored by FTSE Russell, the trade name of FTSE International Limited and Frank Russell Company, both owned by the London Stock Exchange Group plc (the “Exchange”).

 

The Russell 2000® Index measures the composite price performance of stocks of 2,000 companies in the U.S. equity market. It is generally considered to be asmall-capindex. Additional information about the Russell 2000® Index is available on the following website: http://www.ftse.com/products/indices/russell-us. We are not incorporating by reference the website or any material it includes in this General Terms Supplement No. 1.

 

FTSE Russell divides the 2,000 companies included in the Russell 2000® Index into nine sectors: Consumer Discretionary, Consumer Staples, Energy, Financial Services, Health Care, Materials & Processing, Producer Durables, Technology and Utilities.

 

The index includes approximately 2,000 of the smallest securities that form the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S. companies, or 98% based on market capitalization, of the investable U.S. equity market. The Russell 2000® Index represents approximately 10% of the total market capitalization of the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market.

 

Selection of Constituent Stocks of the Russell 2000® Index

 

The Russell 2000® Index is a sub-index of the Russell 3000® Index. To be eligible for inclusion in the Russell 3000® Index, and, consequently, the Russell 2000® Index, a companys stocks must be listed on the last trading day of May of a given year and FTSE Russell must have access to documentation verifying the companys eligibility for inclusion. Eligible initial public offerings (IPOs) are added to FTSE Russell U.S. Indices at the end of each calendar quarter, based on total market capitalization rankings within the market-adjusted capitalization breaks established during the most recent reconstitution. To be added to any FTSE Russell U.S. index during a quarter outside of reconstitution, IPOs must meet additional eligibility criteria.

 

A company is included in the U.S. equity markets and is eligible for inclusion in the Russell 3000® Index, and consequently, the Russell 2000® Index, if that company incorporates in the U.S., has its headquarters in the U.S. and also trades with the highest liquidity in the U.S. If a company does not satisfy all of the above criteria, it can still be included in the U.S. equity market if any one of the following home country indicators is in the United States: (i) country of incorporation, (ii) country of headquarters and (iii) country in which the company trades with the highest liquidity (as defined by a two-year average daily dollar trading volume from all exchanges within the country), and the primary location of that companys assets or its revenue, based on an average of two years of assets or revenues data, is also in the United States. In addition, if there is insufficient information to assign a company to the U.S. equity markets based on its assets or revenue, the company may nonetheless be assigned to the U.S. equity markets if the headquarters of the company is located in the United States or if the headquarters of

 

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the company is located in certainbenefit-driven incorporation countries, orBDIs, and that companys most liquid stock exchange is in the United States. The BDI countries are Anguilla, Antigua and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Curaçao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten and Turks and Caicos Islands. ADRs and ADSs are not eligible for inclusion in the Russell 2000® Index.

 

Exclusions from the Russell 2000® Index

 

FTSE Russell specifically excludes the following companies and securities from the Russell 2000® Index: (i) preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights, installment receipts and trust receipts; (ii) royalty trusts, U.S. limited liability companies, closed-end investment companies, companies that are required to report Acquired Fund Fees and Expenses (as defined by the SEC), including business development companies, blank check companies, special-purpose acquisition companies and limited partnerships; (iii) companies with a total market capitalization of less than $30 million; (iv) companies with only a small portion of their shares available in the marketplace (companies with 5% or less float); (v) bulletin board, pink sheets or over-the-counter traded securities, including securities for which prices are displayed on the FINRA ADF; and (vi) real estate investment trusts and publicly traded partnerships that generate, or have historically generated, unrelated business taxable income and have not taken steps to block their unrelated business taxable income to equity holders.

 

Initial List of Eligible Securities

 

The primary criterion FTSE Russell uses to determine the initial list of securities eligible for the Russell 3000® Index and, consequently, the Russell 2000® Index, is total market capitalization, which is calculated by multiplying the total outstanding shares for a company by the market price as of the last trading day in May for those securities being considered at annual reconstitution. IPOs may be added between constitutions as noted below. All common stock share classes are combined in determining a companys total shares outstanding. If multiple share classes have been combined, the number of total shares outstanding will be multiplied by the primary exchange close price and used to determine the companys total market capitalization. In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately. Stocks must have a closing price at or above $1.00 on their primary exchange or an eligible secondary exchange on the last trading day of May of each year to be eligible for inclusion in the Russell 2000® Index. In order to reduce unnecessary turnover, if an existing members closing price is less than $1.00 on the last trading day of May, it will be considered eligible if the average of the daily closing prices from their primary exchange during the month of May is equal to or greater than $1.00. If an existing member does not trade on the last trading day in May, it must price at $1.00 or above on another eligible U.S. exchange to remain eligible.

 

Multiple Share Classes

 

If an eligible company trades under multiple share classes or if a company distributes shares of an additional share class to its existing shareholders through a mandatory corporate action, each share class will be reviewed independently for inclusion. Share classes in addition to the primary vehicle that have a total market capitalization larger than the smallest company in the Russell 3000ETM Index, an average daily dollar trading value that exceeds that of the global median, and a float greater than 5% of shares available in the market place are eligible for inclusion. Where an additional share class does not meet these requirements, the shares will be aggregated with the primary vehicle.

 

The primary vehicle will generally be designated as the share class with the highest two-year trading volume as of the last trading day in May. In the absence of two yearsworth of data, all available data will be used for this calculation. If the difference between trading volumes for each share class is less than 20%, the share class with the most available shares outstanding will be used as the primary vehicle. At least 100 day trading volume is necessary to consider the class as a primary vehicle for existing members. New members will be analyzed on all available data, even if that data is for less than 100 days.

 

Annual Reconstitution

 

The Russell 2000® Index is reconstituted annually by FTSE Russell to reflect changes in the marketplace. The list of companies is ranked based on total market capitalization on the last trading day in May, with the actual

 

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reconstitution occurring on the final Friday of June each year, unless the final Friday in June is the 29th or 30th, in which case reconstitution will occur on the preceding Friday. A full calendar for reconstitution is made available each spring. Changes in the constituents are preannounced and subject to change if any corporate activity occurs or if any new information is received prior to release.

 

For mergers and spin-offs that are effective between the last trading 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. No reevaluation will be conducted for non index members that have been considered ineligible as of rank day if a subsequent corporate action occurs between rank day and the reconstitution effective date.

 

For companies with multiple share classes, all share classes, including unlisted shares, will be aggregated and considered total shares outstanding. Total shares are multiplied by the primary exchange close price and used to determine the companys total market capitalization for the purpose of ranking of companies and determination of index membership. The companys rank will be determined based on the cumulative market capitalization. As of the June 2016 annual reconstitution, any share class of a company that does not independently qualify for eligibility in the index is no longer aggregated with the shares of such company’s primary vehicle (generally the share class with the highest two-year trading volume) and is removed from such company’s available shares.

 

Index Calculation and Capitalization Adjustments

 

As a capitalization-weighted index, the Russell 2000® Index reflects changes in the capitalization, or market value, of the underlier stocks relative to the capitalization on a base date. This discussion describes the “price return” calculation of the Russell 2000® Index. The applicable pricing supplement will describe the calculation if the underlier for your notes is not the price return calculation. The current Russell 2000® Index value is the compounded result of the cumulative daily (or monthly) return percentages, where the starting value of the index is equal to the base value (100) and base date (December 31, 1978). Returns between any two dates can then be derived by dividing the ending period index value (IV1) by the beginning period (IV0) index value, so that the return equals [(IV1/ IV0) — 1]*100. The ending period index value, for purposes of calculating the Russell 2000® Index value, on any date is determined by adding the market values of the underlier stocks, which are derived by multiplying the price of each stock by the number of available shares, to arrive at the total market capitalization of the 2,000 stocks.

 

Constituent stocks of the index are weighted in the Russell 2000® Index by their free-float market capitalization, which is calculated by multiplying the primary closing price by the number of free-float shares. Free-float shares are shares that are available to the public for purchase as determined by FTSE Russell. FTSE Russell determines shares available to the public for purchase based on information recorded in corporate filings with the Securities and Exchange Commission and other reliable sources in the event of missing or questionable data. Adjustments to shares are reviewed at reconstitution and for major corporate actions such as mergers. FTSE Russell removes the following types of shares from total market capitalization to arrive at free-float market capitalization:

 

·                  Shares directly owned by State, Regional, Municipal and Local governments (excluding shares held by independently managed pension schemes for governments).

 

·                  Shares held by Sovereign Wealth Funds where each holding is 10% or greater. If the holding subsequently decreases below 10%, the shares will remain restricted until the holding falls below 7%.

 

·                  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.

 

·                  Shares held within employee share plans.

 

·                  Shares held by public companies or by non-listed subsidiaries of public companies.

 

·                  Shares held by founders, promoters, former directors, founding venture capital and private equity firms, private companies and individuals (including employees) where the holding is 10% or greater. If the

 

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holding subsequently decreases below 10%, the shares will remain restricted until the holding falls below 7%.

 

·                  All shares where the holder is subject to a lock-in clause (for the duration of that clause).

 

·                  Shares held for publicly announced strategic reasons, including shares held by several holders acting in concert.

 

·                  Shares that are subject to on-going contractual agreements (such as swaps) where they would ordinarily be treated as restricted.

 

Portfolio holdings (such as pension and insurance funds) and holdings by investment companies are not considered as restricted free float, unless any single portfolio holding is 30% or greater. In this case, such holding will be regarded as strategic and therefore restricted. The shares will remain restricted until the holding falls below 27%. ETFs and nominee holdings are likewise not considered as restricted free float, unless they otherwise represent the types of holdings listed above.

 

Corporate Actions Affecting the Index

 

FTSE Russell adjusts the index on a daily basis in response to certain corporate actions and events. Therefore, a companys membership in the index and its weight in the index can be impacted by these corporate actions. The adjustment is applied based on sources of public information, including press releases and SEC filings. Prior to the completion of a corporate action or event, FTSE Russell estimates the effective date. FTSE Russell will then adjust the anticipated effective date based on public information until the date is considered final. Depending on the time on a given day that an action is determined to be final, FTSE Russell will generally either (1) apply the action before the open on the ex-date or (2) apply the action after providing appropriate notice. If FTSE Russell has confirmed the completion of a corporate action, scheduled to become effective subsequent to a rebalance, the event may be implemented in conjunction with the rebalance to limit turnover, provided appropriate notice can be given. FTSE Russell applies the following methodology guidelines when adjusting the index in response to corporate actions and events:

 

“No Replacement” Rule — Securities that are deleted from the Index between reconstitution dates, for any reason (e.g., mergers, acquisitions or other similar corporate activity) are not replaced. Thus, the number of securities in the Index over the past year will fluctuate according to corporate activity.

 

Mergers and Acquisitions Adjustments due to mergers and acquisitions are applied to the index after the action is determined to be final. Deletions due to cash acquisitions may not require delisting confirmation from the exchange, provided all other conditions (regulatory & shareholder) have been achieved.

 

Between constituents: When mergers and acquisitions take place between companies that are both constituents of a FTSE Russell index, the target company is deleted and its market capitalization simultaneously moves to the acquiring companys stock.

 

Between a constituent and a non-constituent: Where a company has been acquired by a non-constituent for shares, or a combination of cash and shares, the acquiring company will be included in the target’s index provided it is eligible in all other respects at the time of the merger, regardless of previous eligibility screenings.

 

Rights Offerings — Rights offered to shareholders are reflected in the index only if the subscription price of the rights is at a discount to the market price. Provided that FTSE Russell has been alerted to the rights offer prior to the ex-date, it will adjust the price of the stock for the value of the rights and increased shares according to the terms of the offering before the open on the ex-date.

 

Spin-offs— If a constituent company is split and forms two or more companies by issuing new equity to existing shareholders, then the resulting companies may be eligible to continue as constituents in the same FTSE Russell Indexes as their predecessor company. If eligible, the spin-off entity will be added to the same indexes as the parent company, per the terms, on the ex-date of the distribution. The spin-off entity will be retained in the same indexes until the next annual reconstitution, where it will be re-ranked or deleted. Where the spin-off entity has not

 

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commenced trading within 20 business days from the ex-date of the distribution and no firm trading date has been announced, then it will normally be deleted at zero value with 2 business days’ notice.

 

Initial Public Offerings — Eligible IPOs are added to the Russell 2000® Index at the end of each calendar quarter based on total market capitalization ranking within the market-adjusted capitalization breaks established at the most recent annual reconstitution, except that fourth quarter IPO additions will be processed after the close on the third Friday of each December.

 

An IPO of additional share classes will be considered for eligibility on the same quarterly schedule and must meet the same eligibility criteria for all other multiple share classes. If at the time of the IPO the additional share class does not meet the eligibility criteria for separate index membership, the shares will be aggregated with the primary vehicle and subsequently reviewed for separate inclusion at reconstitution.

 

Once IPO additions have been announced, an IPO may be added to the index prior to the previously announced schedule, if a corporate action has deemed this to be appropriate and notice can be provided (e.g. an index member automatically receives shares via a stock distribution into a projected IPO add).

 

Tender Offers — A company acquired as a result of a tender offer is removed when (a) offer acceptances reach 90% (initial, extension or subsequent); and shareholders have validly tendered and the shares have been irrevocably accepted for payment; and all pertinent offer conditions have been reasonably met and the acquirer has not explicitly stated that it does not intend to acquire the remaining shares; or  (b) where offer acceptances are below 90%, there is reason to believe that the remaining free float is under 5% based on information available at the time; or (c) following completion of the offer the acquirer has stated intent to finalize the acquisition via a short-form merger, squeeze-out, top-up option or any other compulsory mechanism. If these conditions for index deletion due to a tender offer are not met, a free float change based on the reported acceptance results at the expiration of the offer period (initial, subsequent, or final) may be implemented where: (x) the minimum acceptance level as stipulated by the acquirer has been met; and (y) shareholders have validly tendered and the shares have been irrevocably accepted for payment; and (z) all pertinent offer conditions have been reasonably met.

 

Delisted and Halted Stocks — A stock will be deleted as a constituent if it is delisted from all eligible exchanges, becomes bankrupt, files for bankruptcy protection, is insolvent or is liquidated, or where evidence of a change in circumstances makes it ineligible for index inclusion.

 

If a constituent is suspended, FTSE Russell will determine its treatment as follows:

 

·                  if a constituent is declared bankrupt without any indication of compensation to shareholders, the last traded price will be adjusted down to zero value and it will subsequently be removed from the index with T+2 notice.

 

·                  in all other cases, the constituent will continue to be included in the index for a period of up to 20 business days at its last traded price.

 

·                  if the constituent continues to be suspended at the end of that period, it will be subject to review and a decision will be taken to either allow the constituent to remain in the index for a further period of up to 20 business days or to remove it at zero value. FTSE Russell will take into account the stated reasons for the suspension in making this determination. These reasons may include any stated intentions regarding a date for the resumption of trading, along with company announcements about a pending acquisition or restructuring, and any stated intentions regarding a date for the resumption of trading.

 

·                  this procedure will be repeated at successive 20 business day intervals thereafter until either trading recommences or the suspension period reaches 80 business days.

 

·                  if the suspension period reaches 80 business days without the constituent company not announcing a firm date for the resumption of trading during the 40 business day period, notice will be made that the constituent will be removed from the index at zero value upon the expiry of at least 40 business days.

 

·                  in limited cases where the suspended constituent’s weight in the index is significant and FTSE Russell determines that a market-related value can be established for such constituent (for example, continued

 

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trade in similar company securities), deletion of the constituent may be made at the market-related value instead. If this happens, FTSE Russell will set out its rationale for treating the constituent in this manner at the end of the 80 business day period.

 

·                  if following the end of the 80 business day period, a suspended constituent resumes trading before the Wednesday before the first Friday of March, June, September or December, the deletion notice will be rescinded and the constituent will be retained in the index. If the constituent resumes trading after these dates but before the review effective date, the constituent will continue to be removed from the index as previously announced but in these circumstances the deletion may instead be implemented at market value.

 

·                  if trading is restored after a constituent is deleted from the index, it will only be considered for re-inclusion after 12 months from its removal. It will be treated as a new issue for the purposes of its eligibility for the index.

 

Bankruptcy and Voluntary Liquidations — Companies that file for a Chapter 7 liquidation bankruptcy or have filed a liquidation plan will be removed from the index at the time of the bankruptcy filing (except when shareholder approval is required to finalize the liquidation plan, in which case the company will be removed once shareholder approval has been granted); whereas companies filing for a Chapter 11 reorganization bankruptcy will remain a member of the index, unless the company is delisted from the primary exchange, in which case normal delisting rules apply. If a company files for bankruptcy, is delisted and it can be confirmed that it will not trade over-the-counter, FTSE Russell may remove the stock at a nominal price of $0.0001.

 

Stock Distributions — A price adjustment for stock distributions is applied on the ex-date of the distribution.

 

Dividends Regular cash dividends are reinvested across the index at the close on the dividend ex-date, while special cash dividends are subtracted from the price of the stock before the open on the ex-date.

 

Updates to Share Capital — Changes to shares outstanding due to buybacks (including Dutch auctions), secondary offerings, merger activity with a non-index member and other potential changes are generally updated at the end of the month so long as the cumulative change to available shares outstanding is greater than 5%. FTSE Russell verifies this information using publicly available information filed with the SEC. The float factor determined during the most recent annual reconstitution is applied to this figure, and only the available shares will be added to the index. No such changes are made in June due to the most recent annual reconstitution. Month-end changes in November and December will be processed as one event after the close on the third Friday of each December.

 

If a company distributes shares of an additional share class to its existing shareholders through a mandatory corporate action, FTSE Russell will evaluate 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 requirements (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).

 

License Agreement between FTSE Russell and CIBC

 

CIBC will enter an agreement with FTSE Russell as necessary to provide us and certain of our affiliates or subsidiaries, in exchange for a fee, a non-exclusive license to use the Russell 2000® Index and its related trademarks in connection with certain securities, including the notes. We are not affiliated with FTSE Russell; the only relationship between FTSE Russell and us is any licensing of the use of FTSE Russell’s indices and trademarks relating to them.

 

The license agreement between FTSE Russell and the Bank provides that the following language must be set forth when referring to any FTSE Russell Indexes or the FTSE Russell trademarks in this pricing supplement:

 

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The notes are not sponsored, endorsed, sold or promoted by Frank Russell Company (“Russell”).  Russell makes no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the Russell 2000® Index to track general stock market performance or a segment of the same.  Russell’s publication of the Russell 2000® Index in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 2000® Index is based.  Russell’s only relationship to CIBC and its affiliates is the licensing of certain trademarks and trade names of Russell and of the Russell 2000® Index which is determined, composed and calculated by Russell without regard to CIBC and its affiliates or the notes.  Russell is not responsible for and has not reviewed the notes nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise.  Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell 2000® Index.  Russell has no obligation or liability in connection with the administration, marketing or trading of the notes.

 

RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN AND RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.  RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY CIBC AND/OR ITS AFFILIATES, INVESTORS, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN.  RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RUSSELL 2000® INDEX OR ANY DATA INCLUDED THEREIN.  WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

FTSE® 100 Index

 

The FTSE® 100 Index, which we also refer to herein as theindex:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first launched with a base level of 1,000 as of December 30, 1983; and

 

·                  is sponsored, calculated, published and disseminated by FTSE Russell, the trade name of FTSE International Limited and Frank Russell Company, both owned by the Exchange.

 

The FTSE® 100 is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies traded on the London Stock Exchange. Additional information on the FTSE® 100 Index is available from the following website: http://www.ftse.com/products/indices/uk. We are not incorporating by reference the website or any material it includes in this General Terms Supplement No. 1.

 

FTSE Russell divides the 100 companies included in the FTSE® 100 Index into 19 sectors: Oil & Gas, Chemicals, Basic Resources, Construction & Materials, Industrial Goods & Services, Automobiles & Parts, Food & Beverage, Personal & Household Goods, Health Care, Retail, Media, Travel & Leisure, Telecommunications, Utilities, Banks, Insurance, Real Estate, Financial Services and Technology.

 

FTSE® 100 Index Composition and Selection Criteria

 

The FTSE® 100 Index consists of the 100 largest U.K.-listed blue chip companies, based on full market capitalization, that pass screening tests for free-float and liquidity. The FTSE® 100 Index is reviewed on a quarterly basis in March, June, September and December based on data from the close of business on the Tuesday before the first Friday of the review month. Any constituent changes are implemented after the close of business on the third Friday of the review month (i.e. effective Monday), following the expiration of the Intercontinental Exchange Futures Europe futures and options contracts.

 

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Eligibility Standards

 

Onlypremium listedequity shares, as defined by the Financial Conduct Authority in its Listing Rules Sourcebook, are eligible for inclusion in the FTSE® 100 Index. Eligible stocks must pass free-float and liquidity screens before being included in the index.

 

Free-Float Screen — With regard to free-float, a stock must have a minimum free float (as described below) of 25% if the issuing company is incorporated in the United Kingdom and 50% if it is a non-United Kingdom incorporated company. A new company may be initially included in the index with a free float outside of the above parameters so long as it has an initial free float above 5% and it is expected to meet the minimum free float requirements within 12 months of its first day of trading.

 

Liquidity Screen — With regard to liquidity, each eligible stock is tested for liquidity annually in June by calculating its median daily trading per month. When calculating the median of daily trades per month of any security, a minimum of 5 trading days in each month must exist, otherwise the month is excluded from the test. Liquidity is tested from the first business day in May of the previous year to the last business day of April. The median trade is calculated by ranking each daily trade total and selecting the middle-ranking day. Any period of suspension is not included in the test. The liquidity test is applied on a pro-rata basis where the testing period is less than 12 months. A stock not presently included in the FTSE® 100 Index that does not turnover at least 0.025% of its shares in issue (after application of any investability weightings) based on its median daily trade per month in at least ten of the 12 months prior to the annual index review in June will not be eligible for inclusion until the next annual review. An existing constituent failing to trade at least 0.015% of its shares in issue (after the application of any investability weightings) based on its median daily trade per month for at least eight of the 12 months prior to the annual index review will be removed from the FTSE® 100 Index and will not be eligible for inclusion until the next annual review. New issues must have a minimum trading record of at least 20 trading days prior to the review date and that they have turned over at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade each month, on a pro-rata basis since premium listing or UK Nationality allocation date if non-UK incorporated.

 

Price— There must be an accurate and reliable price for the purposes of determining the market value of a company.

 

Market Capitalization Ranking — Eligible stocks that pass the free-float and liquidity screens and that have an accurate and reliable price are ranked by FTSE Russell according to their market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded. Only the quoted equity capital of a constituent company will be included in the calculation of its market capitalization. Where a company has two or more classes of equity, secondary lines will be included in the calculation of the market capitalization of the company only if those lines are significant and liquid. FTSE Russell will add a stock to the FTSE® 100 Index at the quarterly review if it has risen to 90th place or above on the full market capitalization rankings and will delete a stock at the quarterly review if it has fallen to 111th place or below on these rankings. Market capitalization rankings are calculated using data as of the Tuesday before the first Friday of the review month.

 

100 Constituent Limitation — The FTSE® 100 Index always contains 100 constituents. If a greater number of companies qualify to be inserted in the index than qualify to be removed, the lowest ranking constituents of the index will be removed so that the total number of stocks remains at 100 following inclusion of those that qualify to be inserted. Likewise, if a greater number of companies qualify to be removed than to be inserted at the quarterly review, securities of the highest ranking companies that are then not included in the FTSE® 100 Index will be inserted to match the number of companies being removed, in order to maintain the total at 100.

 

Index Calculation

 

The FTSE® 100 Index is a market capitalization weighted index. This means that the price movement of a larger company (that is, one representing larger percentage of the index) will have a greater effect on the price of the index than will the price movement of a smaller company (that is, one representing a smaller percentage of the index).

 

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The value of the FTSE® 100 Index is represented by a fraction, (a) the numerator of which is the sum of the product of (i) the price of each component stock, (ii) the number of shares issued for each such component and (iii) a free float factor for each such component (described more fully below), and (b) the denominator of which is a divisor. The divisor represents the total issued share capital of the index on the base date; the divisor may be adjusted as necessary to allow for changes in issued share capital of individual securities without distorting the index.

 

As noted above, a free float factor is applied to each index component. By employing this approach, FTSE Russell uses the investable market capitalization, not the total market capitalization, of each constituent to determine the value of the FTSE® 100 Index. Investable market capitalization depends on free float. The following are excluded from free float: shares directly owned by state, regional, municipal and local governments (excluding shares held by independently managed pension schemes for governments); shares held by sovereign wealth funds where each holding is 10% or greater of the total number of shares in issue (if the holding subsequently decreases below 10%, the shares will be excluded from free float until the holding falls below 7%); 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; shares held within employee share plans; shares held by public companies or by non-listed subsidiaries of public companies; shares held by founders, promoters, former directors, founding venture capital and private equity firms, private companies and individuals (including employees) where the holding is 10% or greater of the total number of shares in issue (if the holding subsequently decreases below 10%, the shares will be excluded from free float until the holding falls below 7%); all shares where the holder is subject to a lock-in clause (for the duration of that clause, after which free float changes resulting from the expiration of a lock-in clause will be implemented at the next quarterly review subsequent to there being a minimum of 20 business days between the expiration date of such lock-in clause and the Tuesday before the first Friday of the review month; if the previously locked-in shares are sold by way of a corporate event (such as a secondary offering), any change to the free float will be applied five business days following completion and therefore will not be subject to the minimum 20 business day rule); shares held for publicly announced strategic reasons, including shares held by several holders acting in concert; and shares that are subject to ongoing contractual agreements (such as swaps) where they would ordinarily be treated as restricted.

 

The FTSE® 100 Index is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the FTSE® 100 Index are notified through appropriate media.

 

Index Maintenance

 

The FTSE® 100 Index is reviewed quarterly for changes in free float. A stocks free float is also reviewed and adjusted if necessary following certain corporate events. Following a takeover or merger involving one or more index constituents, the free float restrictions will be based on restricted holdings in the successor company and will be implemented when the offer has completed (or lapsed) unless it directly reflects a corporate action independent of and not conditional on the takeover or merger completing or lapsing. If the corporate event includes another corporate action that affects the index, a change in free float is implemented at the same time as the corporate action. If there is no corporate action, the change in free float will be applied at the next quarterly review. Following the application of an initial free float restriction, a stocks free float will only be changed if its rounded free float moves more than three percentage points above or below the existing rounded free float. Companies with a free float of above 99% and of 15% or below will not be subject to the three percentage points threshold.

 

At each quarterly review, the Committee publishes a Reserve List containing the six highest ranking non-constituents of the FTSE® 100 Index. The Reserve List will be used in the event that one or more constituents are deleted from the index during the period up to the next quarterly review. If a merger or takeover results in one index constituent being absorbed by another constituent, the resulting company will remain a constituent and a vacancy will be created. This vacancy will be filled by selecting the highest ranking security in the Reserve List as at the close of the FTSE® 100 Index calculation two days prior to the deletion and related index adjustment. If an index constituent is taken over by a non-constituent company, the original constituent will be removed and may be replaced by the acquiring company where eligible for index inclusion. Any eligible company resulting from the takeover will be eligible to become the replacement company if it is ranked higher than any other company on the Reserve List. If a constituent company is split to form two or more companies, then the resulting companies will be eligible for inclusion as FTSE® 100 Index constituents, based on their respective full market capitalizations (before the application of any investability weightings), provided that they qualify in all other respects. Any eligible company resulting from a split that, after 20 business days, has no available market price and no known trading date will be removed. If a split results in the inclusion of an ineligible non-equity security, such security will remain in the FTSE®

 

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100 Index for two trading days and then be removed. If a constituent is delisted or ceases to have a firm quotation, it will be removed from the list of constituents and be replaced by the highest ranking eligible company from the Reserve List as at the close of the Index calculation two days prior to the deletion.

 

Capitalization Adjustments

 

A premium listed secondary line of a company will be considered for index inclusion if its total market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded, is greater than 25% of the total market capitalization of the companys principal line and the secondary line is eligible, in its own right. Should the full market capitalization of a secondary line, which is already a constituent of the FTSE All-Share Index, fall below 20% of the full market capitalization of the company’s principal line at an annual review, the secondary line will be deleted from the FTSE® 100 Index unless its full market capitalization remains above the qualification level for continued inclusion as a constituent of the FTSE All-Share Index at that review. Where a company’s shares are issued partly, or nil, paid and the call dates are already determined and known, the market price will, for the purposes of calculating its market capitalization, be adjusted so as to include all such calls (i.e. the fully paid price).

 

Share Weighting ChangesFor the purposes of computing the FTSE® 100 Index, the number of shares in issue for each constituent security is expressed to the nearest share and, to prevent a large number of insignificant weighting changes, the number of shares in issue for each constituent security is amended only when the total shares in issue held within the index system changes by more than 1% on a cumulative basis. Changes will be made quarterly after the close of business on the third Friday of March, June, September and December. The data for these changes will be taken from the close of business on the third Wednesday of the month prior to the review month.

 

If a corporate action is applied to a constituent which involves a change in the number of shares in issue, the change in shares will be applied simultaneously with the corporate action. If accumulated changes in the number of shares in issue add up to 10% or more or when an accumulated share change represents $2 billion of a companys total market capitalization, they are implemented between quarters. If an adjustment is made, it will be applied for the first time at the next review in March of the following year.

 

Shares in Issue IncreaseWhen a company increases the number of shares it has in issue, the market capitalization of that company increases and the total market capitalization will rise accordingly. The index divisor is adjusted to maintain a constant index value.

 

Weighting AmendmentsThe market capitalization of a company is adjusted to take account of various corporate actions. To prevent the value of the FTSE® 100 Index from changing due to such an event, all corporate actions which affect the market capitalization of the FTSE® 100 Index require an offsetting divisor adjustment. By adjusting the divisor, the value of the FTSE® 100 Index remains constant before and after the event. Below is a summary of the more frequent corporate actions and their resulting adjustment.

 

Type of Corporate Action

 

Adjustment

 

Adjustment to Divisor

Issue of new shares

 

Share weighting increased

 

Yes

Share repurchase

 

Share weighting decreased

 

Yes

Bonus issue of same stock or stock split

 

Number of shares held before issue or split divided by number of shares held after issue or split

 

No

 

Rights Issues/Entitlement Offers -These are an entitlement or right to buy additional shares directly from the company in proportion to existing holdings. FTSE Russell will only adjust the index to account for a right if the subscription price of the right is at a discount to the market price of the stock. Provided FTSE Russell has been alerted to the rights offer prior to the ex-date, a price adjustment and share increase proportionate to the terms of the offer will be implemented before the open on the ex-date. The rights become attached to the shares on the ex-date.

 

Where the rights issue/entitlement offer subscription price remains unconfirmed on the ex-date, FTSE Russell will estimate the subscription price using the value being raised and the offer terms. If the rights issue is greater than ten to one, FTSE Russell will consider thishighly dilutiveand, to facilitate replication, FTSE Russell

 

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will include on the ex-date: 1) a separate temporary line to track the market value of the rights; and 2) a temporary line at a fixed value to reflect the subscription cash. The temporary lines are included within the index calculation until the end of the rights subscription period at which point they will be deleted and the new shares consolidated into the existing share line. The temporary rights line will be deleted at its last traded price and the opening price of the ordinary line will be adjusted to ensure there is no divisor change as a result of the consolidation of the temporary lines into the ordinary line.

 

Where the shares being issued are not entitled to the next dividend, FTSE Russell will deviate from the standard index treatment and include on the ex-date 1) a separate temporary line to track the market value of the rights; and 2) a temporary line at a fixed value to reflect the subscription cash. The temporary lines will be deleted and the rights shares will be aggregated with the ordinary shares: 1) If the dividend ex-date occurs prior to the end of the rights subscription period, the temporary lines will be deleted and the new shares assimilated into the ordinary line at the open on the dividend ex-date; and 2) If the dividend ex-date occurs after the expiration of the rights subscription period, the temporary rights and cash lines will be deleted after the close on the last day of the rights subscription period, and replaced by a temporary dummy line equal to the ordinary line close price minus the upcoming dividend. If an active non-ranking for dividend constituent exists, this will be temporarily included instead of a dummy line. On the open of the ex-dividend date, the dummy line is deleted and the shares are aggregated with the ordinary line.

 

In the event the rights issue involves a non-constituent (including non-equity) and the value of the right cannot be determined, there will be no adjustment on the ex-date. If the rights are scheduled to trade, a rights line will be added to the index at a value of zero on the ex-date and will be deleted from the index at the market price when it commences trading, with the provision of appropriate notice. No cash temporary line will be included as the index will not subscribe to the rights.

 

Where a company announces an open offer or a rights issue with an ex-entitlement date on the same day, FTSE Russell will apply an index adjustment either before the market-open on the ex-entitlement day or as an intra-day adjustment as soon as possible thereafter. The adjustment will be applied based on the previous days closing price with the new shares included in the index weighting at the open offer price.

 

In the case of an accelerated rights offer, where the ex-date is theoretical and typically not quoted by the exchange, shares are increased and a price adjustment is applied according to the terms of the offer before the open on the day the security resumes trading.

 

Market Disruption

 

Inaccuracies may arise in the index and constituent data from time to time. These may result from different events, including the complexity of certain corporate events, late announced or missed dividends, pricing errors, external disruptions or market distortions, incorrect, incomplete or late data input, as well incorrect application of index criteria such free floats, sectors or constituent make-up. Where an inaccuracy is identified, FTSE Russell follows its Index Recalculation Policy when determining whether an index or index series should be recalculated and/or associated data products reissued as a result of an inaccuracy. Because corporate events may be complex and the issues that could arise are unpredictable, FTSE Russell reserves the right to consult market participants in complex cases as to the appropriate course of action. These consultations and decisions include whether to recalculate indices and/or reissue its associated data products.

 

License Agreement between FTSE Russell and CIBC

 

CIBC will enter into an agreement with FTSE Russell or its affiliates as necessary to provide us and certain of our affiliates or subsidiaries, in exchange for a fee, a non-exclusive license to use the FTSE® 100 in connection with certain securities, including the notes.

 

The notes are not in any way sponsored, endorsed, sold or promoted by FTSE International Limited (“FTSE”) or the London Stock Exchange Group companies (“LSEG”) (together the “Licensor Parties”) and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE® 100 (the “Index”) (upon which the notes may be based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the notes. None of the Licensor Parties have provided or will provide any financial or investment advice or recommendation in relation to

 

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the Index to CIBC or to its clients. The Index is calculated by FTSE or its agent. None of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein.

 

All rights in the Index vest in FTSE. “FTSE®” is a trade mark of LSEG and is used by FTSE under license.

 

EURO STOXX 50® Index

 

The EURO STOXX 50® Index, which we also refer to herein as the “index”:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first published on February 26, 1998, based on an initial index value of 1,000 as of December 31, 1991; and

 

·                  was created and is sponsored and maintained by STOXX Limited (“STOXX”).

 

The EURO STOXX 50® Index is a free-float market capitalization-weighted index of 50 European blue-chip stocks. The 50 stocks included in the EURO STOXX 50® Index trade in Euros, and are allocated, based on their country of incorporation, primary listing and largest trading volume, to one of the following countries: Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain, which we refer to collectively as the Eurozone. Companies allocated to a Eurozone country but not traded in Euros are not eligible for inclusion in the index. The level of the EURO STOXX 50® Index is disseminated on the STOXX website.  STOXX is under no obligation to continue to publish the index and may discontinue publication of it at any time.  Additional information regarding the EURO STOXX 50® Index may be obtained from the STOXX website: https://www.stoxx.com/index-details?symbol=sx5e.  We are not incorporating by reference the website or any material it includes in this General Terms Supplement No.1.

 

EURO STOXX 50® Index Composition

 

The EURO STOXX 50® Index is composed of 50 underlier stocks chosen by STOXX from the 19 EURO STOXX Supersector indices, which represent the Eurozone portion of the STOXX Europe 600 Supersector indices. STOXX selects underlier stocks that have, in its view, a high degree of liquidity and represent the largest companies across all market sectors. The 19 supersectors from which stocks are selected for the EURO STOXX 50® Index are Automobiles & Parts, Banks, Basic Resources, Chemicals, Construction & Materials, Financial Services, Food & Beverages, Health Care, Industrial Goods & Services, Insurance, Media, Oil & Gas, Personal & Household Goods, Real Estate, Retail, Technology, Telecommunications, Travel & Leisure and Utilities, although stocks from each of these supersectors are not necessarily included at a given time.

 

Component Selection

 

The composition of the EURO STOXX 50® Index is reviewed by STOXX annually in September. Within each of the 19 EURO STOXX Supersector indices, the respective index component stocks are ranked by free-float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding EURO STOXX Total Market Index Supersector Index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All remaining stocks that are current EURO STOXX 50® Index components are then added to the selection list. The stocks on the selection list are then ranked by free-float market capitalization. The 40 largest stocks on the selection list are chosen as index components. The remaining 10 stocks are then selected from the largest current stocks ranked between 41 and 60. If the number of index components is still below 50, then the largest remaining stocks on the selection list are added until the EURO STOXX 50® Index contains 50 stocks. In exceptional cases, the STOXX Management Board may make additions and deletions to the selection list.

 

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Ongoing Maintenance of Component Stocks

 

The component stocks of the EURO STOXX 50® Index are monitored on an ongoing monthly basis for deletion and quarterly basis for addition.

 

The component stocks of the EURO STOXX 50® Index are subject to afast exitrule. A component stock is deleted if it ranks 75 or below on the monthly selection list and it ranked 75 or below on the selection list of the previous month. The highest-ranked non-component stock will replace the exiting component stock. The EURO STOXX 50® Index is also subject to afast entryrule. All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis. A stock is added if it qualifies for the latest blue-chip selection list generated at the end of February, May, August or November and if it ranks within the lower buffer (between 1 and 25) on the selection list. If added, the stock replaces the smallest component stock.

 

A deleted stock is replaced immediately to maintain the fixed number of stocks. The replacement is based on the latest selection list that is updated monthly. In case of merger and acquisition where a blue-chip stock is involved, the original stock is replaced by the new stock. If a stock is deleted from the EURO STOXX in between the regular review dates but is still a component of the STOXX Regional TMI, then this stock will remain in the EURO STOXX 50® Index until the next regular review. In the case of a spin-off, if the original stock was a component stock, then each spin-off stock qualifies for addition if it lies within the lower buffer (between 1 and 40) on the latest selection list. The largest qualifying spin-off stock replaces the original component stock, while the next qualifying spin-off stock replaces the lowest ranked component stock and likewise for other qualifying spin-off stocks.

 

The free float factors and outstanding number of shares for each underlier stock that STOXX uses to calculate the EURO STOXX 50® Index, as described below, are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review. Certain extraordinary adjustments to the free float factors and/or the number of outstanding shares are implemented and made effective more quickly. The timing depends on the magnitude of the change. Each components weight is capped at 10% of the EURO STOXX 50® Indexs total free float market capitalization. The free float factor reduces the underlier stocks number of shares to the actual amount available on the market. All holdings that are larger than five percent of the total outstanding number of shares and held on a long-term basis are excluded from the index calculation (including, but not limited to, stock owned by the company itself, stock owned by governments, stock owned by certain individuals or families, and restricted shares).

 

Index Calculation

 

STOXX calculates the EURO STOXX 50® Index using theLaspeyres formula,which measures the aggregate price changes in the underlier stocks against a fixed base quantity weight. The discussion below describes the “price returncalculation of the EURO STOXX 50® Index. The applicable pricing supplement will describe the calculation of the EURO STOXX 50® Index if the underlier for your notes is not the price return calculation. The formula for calculating the EURO STOXX 50® Index value can be expressed as follows:

 

EURO STOXX 50® Index =

 

Free Float Market Capitalization of
the
EURO STOXX 50® Index

 

 

Divisor

 

 

Thefree float market capitalization of the EURO STOXX 50® Indexis equal to the sum of the product of the price, the number of shares, the free float factor and the weighting cap factor for each underlier stock as of the time the EURO STOXX 50® Index is being calculated. The index stocks trade in Euros and thus, no currency conversion is required. Where any index component stock price is unavailable on any trading day, the underlier sponsor will generally use the last reported price for such component stock.

 

In case the investability and tradability of the index and index based products is affected by an upcoming market or company event that is considered significant orextremeby the STOXX Management Board, the following actions or a combination of the following actions are taken. For all such changes a minimum notification period of two full trading days will be observed. The action scope may include but is not limited to:

 

·                  application of expert judgment for index component pricing data,

 

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·                  adjustment of operational procedures,

 

·                  postponement of index adjustments,

 

·                  adjustment of selection lists,

 

·                  change of weights of index constituents by adjusting the number of shares, free-float factors or weighting cap-factors, or

 

·                  adjustment of index compositions.

 

EURO STOXX 50® Divisor

 

The EURO STOXX 50® Index is calculated using a divisor that helps to maintain the continuity of the indexs value so that corporate actions do not artificially increase or decrease the level of the EURO STOXX 50® Index. The divisor is calculated by starting with the previous divisor in effect for the EURO STOXX 50® Index (which we call theoriginal divisor value) and multiplying it by a fraction, the numerator of which is the previous free float market capitalization of the EURO STOXX 50® Index, plus or minus the difference between the closing market capitalization of the EURO STOXX 50® Index and the adjusted closing market capitalization of the EURO STOXX 50® Index, and the denominator of which is the previous free float market capitalization of the EURO STOXX 50®. The adjusted free float market capitalization is calculated for stocks of companies that have experienced a corporate action of the type described below as of the time the new divisor value is being calculated using the free float market capitalization calculated with adjusted closing prices, the new number of shares, and the new free float factor minus the free float market capitalization calculated with that stocks original closing price, number of shares, and free float factor, in each case as used in calculating the original divisor value.

 

Divisor Adjustments

 

STOXX adjusts the divisor for the EURO STOXX 50® Index to maintain the continuity of the EURO STOXX 50® Index values across changes due to corporate actions. Changes in weights due to corporate actions are distributed proportionally across all index components and equal an investment into the portfolio. The following is a summary of the adjustments to any underlier stock made for corporate actions and the effect of such adjustments on the divisor, where shareholders of the underlier stock will receiveBnew shares for everyAshare held (where applicable) and assuming that the version of the index to which your notes are linked is the price return version. If your notes are linked to the total return calculation of the EURO STOXX 50® Index, please see the discussion in your pricing supplement regarding divisor adjustments. All adjusted prices consider withholding taxes based on the new shares being distributed, usingB * (1 — witholding tax where applicable).

 

(1)         Special cash dividend:

 

Adjusted price = closing price — dividend announced by the company * (1- withholding tax if applicable)

 

Divisor: decreases

 

(2)         Split and reverse split:

 

Adjusted price = closing price * A / B

 

New number of shares = old number of shares * B / A

 

Divisor: no change

 

(3)         Rights offering:

 

Adjusted price = (closing price * A + subscription price * B) / (A + B)

 

New number of shares = old number of shares * (A + B) / A

 

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Divisor: increases

 

If the subscription price is not available or if the subscription price is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.

 

Extremely dilutive rights issues having a share ratio larger or equal to 2000% (B/A>20) are treated as follows:

 

STOXX will announce the deletion of the company from all indices following the standard rules for index replacements if sufficient notice of two trading days before the ex-date can be given.

 

The company may enter the indices again at the next periodic index review, but only after the new rights issue shares have been listed.

 

Extremely dilutive rights issues for which two trading days notice before the ex-date cannot be given, and all highly dilutive rights issues having a share ratio larger or equal to 200% (B/A>2) are treated as follows:

·                  The rights issue shares are included into the indices with a theoretical price on the ex-date;

·                  The rights issue shares must be listed on an eligible stock exchange and tradable starting on the ex-date, otherwise, only a price adjustment is made and the rights are not included;

·                  The rights issue shares will have the same parameters as the parent company;

·                  The rights issue shares will be removed after their first trading day at the close; and

·                  The number of shares and weighting factors will be increased after the new rights issue shares have been listed.

 

(4)         Stock dividend:

 

Adjusted price = closing price * A / (A + B)

 

New number of shares = old number of shares * (A + B) / A

 

Divisor: no change

 

(5)         Stock dividend from treasury stock if treated as extraordinary dividend:

 

Adjusted close = closeclose * B / (A + B)

 

Divisor: decreases

 

(6)         Stock dividend of another company:

 

Adjusted price = (closing price * Aprice of other company * B) / A

 

Divisor: decreases

 

(7)         Return of capital and share consolidation:

 

Adjusted price = [closing pricecapital return announced by company * (1- withholding tax)] * A / B

 

New number of shares = old number of shares * B / A

 

Divisor: decreases

 

(8)         Repurchase of shares/ self-tender:

 

Adjusted price = [(price before tender * old number of shares)(tender price * number of tendered shares)] / (old number of sharesnumber of tendered shares)

 

New number of shares = old number of sharesnumber of tendered shares

 

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Divisor: decreases

 

(9)         Spin- off:

 

Adjusted price = (closing price * Aprice of spin-off shares * B) / A

 

Divisor: decreases

 

(10)  Combination stock distribution (dividend or split) and rights offering:

 

For this corporate action, the following additional assumptions apply:

 

Shareholders receive B new shares from the distribution and C new shares from the rights offering for every A share held; and

 

If A is not equal to one, all the following “new number of shares” formulae need to be divided by A.

 

If rights are applicable after stock distribution (one action applicable to another):

 

Adjusted price = [closing price * A + subscription price * C * (1 + B / A)] / [(A + B) * (1 + C / A)]

 

New number of shares = old number of shares * [(A + B) * (1 + C / A)] / A

 

Divisor: increases

 

If stock distribution is applicable after rights (one action applicable to another):

 

Adjusted price = (closing price * A + subscription price * C) / [(A + C) * (1 + B / A)]

 

New number of shares = old number of shares * [(A + C) * (1 + B / A)]

 

Divisor: increases

 

Stock distribution and rights (neither action is applicable to the other):

 

Adjusted price = (closing price * A + subscription price * C) / (A + B + C)

 

New number of shares = old number of shares * (A + B + C) / A

 

Divisor: increases

 

(11)       Addition/deletion of a company

 

No price adjustments are made. The net change in market capitalization determines the divisor adjustment.

 

(12)       Free float and shares changes

 

No price adjustments are made. The change in market capitalization determines the divisor adjustment.

 

License Agreement between STOXX and CIBC

 

We have entered into an agreement with STOXX providing us and certain of our affiliates or subsidiaries identified in that agreement with a non-exclusive license and, for a fee, with the right to use the EURO STOXX 50®, which is owned and published by STOXX, in connection with certain securities, including the notes.

 

STOXX, its affiliates and its third party licensors (individually or collectively, the “Licensors”) have no relationship to us, other than the licensing of the EURO STOXX 50® and the related trademarks for use in connection with the notes.

 

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STOXX and the Licensors do not:

 

·                  sponsor, endorse, sell or promote the notes;

 

·                  recommend that any person invest in the notes or any other securities;

 

·                  have any responsibility or liability for or make any decisions about the timing, amount or pricing of the notes;

 

·                  have any responsibility or liability for the administration, management or marketing of the notes; or

 

·                  consider the needs of the notes or the owners of the notes in determining, composing or calculating the EURO STOXX 50® or have any obligation to do so.

 

STOXX and the Licensors will not have any liability in connection with the notes. Specifically,

 

·                  STOXX and the Licensors do not make any warranty, express or implied and disclaim any and all warranty about:

 

·                  the results to be obtained by the notes, the owner of the notes or any other person in connection with the use of the EURO STOXX 50® and the data included in the EURO STOXX 50® Index;

 

·                  the accuracy or completeness of the EURO STOXX 50® and its data; or

 

·                  the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index and its data;

 

·                  STOXX and the Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50® or its data; and

 

·                  Under no circumstances will STOXX or the Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or the Licensors knows that they might occur.

 

The licensing agreement between CIBC and STOXX is solely for our benefit and the benefit of STOXX and not for the benefit of the owners of the notes or any other third parties.

 

TOPIX

 

TOPIX (also referred to herein as theindex), also known as the Tokyo Stock Price Index:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first launched on July 1, 1969 with a base level of 100 as of January 4, 1968; and

 

·                  is sponsored, calculated, published and disseminated by the Tokyo Stock Exchange, Inc., which we refer to as the TSE.

 

TOPIX is a capitalization weighted index of all the domestic common stocks listed on the First Section of the TSE. Domestic stocks admitted to the TSE are assigned either to the TSE First Section Index, the TSE Second Section Index or the TSE Mothers Index. Stocks listed in the First Section, which number approximately 2,005, are the largest firms listed on the TSE. Additional information about TOPIX is available on the following website: http://www.jpx.co.jp/english/markets/indices/topix/. We are not incorporating by reference the website or any material it includes in this General Terms Supplement No. 1.

 

The companies included in TOPIX are divided into 33 industry sectors: Fishery, Agriculture & Forestry, Mining, Construction, Foods, Textiles & Apparels, Pulp & Paper, Chemicals, Pharmaceutical, Oil & Coal Products, Rubber Products, Glass & Ceramics Products, Iron & Steel, Nonferrous Metals, Metal Products, Machinery, Electric Appliances, Transportation Equipment, Precision Instruments, Other Products, Electric Power & Gas, Land Transportation, Marine Transportation, Air Transportation, Warehousing & Harbor Transportation Services, Information & Communication, Wholesale Trade, Retail Trade, Banks, Securities & Commodity Futures, Insurance, Other Financing Business, Real Estate and Services.

 

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TOPIX Composition and Maintenance

 

TOPIX is comprised of all domestic common stocks listed on the TSE First Section, excluding certain types of securities such as subscription warrants, preferred stock, and equity contribution securities. Companies scheduled to be delisted or newly listed companies that are still in the waiting period are excluded from the indices. The number of constituents will change according to new listings and delistings. The reasons for stock additions and deletions to the TSE First Section are described further below.

 

TOPIX Calculation

 

TOPIX is a free-float-adjusted market-capitalization-weighted index, which reflects movements in the market capitalization as measured from a base index value of 100 set on the base date of January 4, 1968. The discussion below describes theprice returncalculation of TOPIX. The applicable pricing supplement will describe the calculation of TOPIX if the underlier for your notes is not the price return calculation.

 

TSE calculates TOPIX by multiplying the base index value of 100 by the quotient of the current free-float-adjusted market value divided by the base market value. The resulting value is not expressed in Japanese yen but presented as a number of points, rounded to the nearest one hundredth. The formula for calculating TOPIX value can be expressed as follows:

 

Index value =

Base index value of 100 x

 

Current free-float-
adjusted market value

 

 

Base market value

 

 

The current free-float-adjusted market value is the sum of the products of the price times the number of free-float-adjusted shares for each constituent stock.

 

The number of free-float-adjusted shares for this calculation is the total number of listed shares multiplied by free-float weight. The total number of listed shares used for this purpose is usually the same as the number of actual listed shares. However, in some cases these numbers will differ as a consequence of the index methodology. For instance, in the case of a stock split, the number of listed shares will increase on the additional listing date after the stock split becomes effective; on the other hand, the number of listed shares for index calculation purposes will increase on the ex-rights date.

 

Free-float weight is the weight of listed shares deemed to be available for trading in the market, and is determined and calculated by the TSE for each constituent stock. It is calculated by subtracting the quotient of non-free-float shares divided by listed shares from one. Free-float weight is reviewed once a year in order to reflect the latest distribution of share ownership. The TSE estimates non-free-float shares using publicly available documents, and generally deems shares held by the top ten major shareholders (with certain exceptions), treasury stocks and shares held by members of the issuers board of directors to be unavailable for trading in the market. The TSE may deem other shares to be unavailable for trading in the market. The timing of the yearly free- float-weight review is different according to the settlement terms of listed companies. In addition to the yearly review, extraordinary reviews may be conducted for events TSE expects will significantly affect the free-float weight. These include when new shares are allocated to a third party, preferred shares are converted or subscription warrants are exercised, as well as in the event of a company spin-off, merger, stock-swap, take-over bid and other events TSE judges deem will significantly affect free-float weight.

 

In the event of any increase or decrease in the current free-float-adjusted market value due to causes other than fluctuations in the stock market, such as public offerings or changes in the number of listed companies in the TSE First Section, adjustments are made by TSE to the base market value in order to maintain the continuity of TOPIX. The base market value will be adjusted after the end of the trading session on the adjustment date.

 

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Additions and Deletions to the TSE First Section (and therefore, TOPIX)

 

TSE adds or removes securities for various listing and delisting events as shown in the table below.

 

Additions and Deletions of Constituents

 

Event

Adjustment Date

Stock Price Used for
Adjustment

Addition

A company is to be newly listed on the TSE First Section (directly listed or via another stock exchange)

One business day before last business day of the month after that of such initial listing date

Price on adjustment date

New listing of a newly formed company resulting from a corporate consolidation, etc. that results in a TOPIX or such index constituent being delisted and the new company being included in TOPIX or such index

One business day before listing date

Base price

Assignment to the TSE First Section from the TSE Second Section

One business day before last business day of the month after that of such assignment

Price on adjustment date

Deletion

New listing of a newly formed company resulting from a corporate consolidation, etc. that result in TOPIX or such index constituent being delisted and the new company being included in TOPIX or such index which used to include the delisted company.

Initial listing date of newly established company, etc. (normally two business days after delisting date)

Price on business day before the delisting date

A constituent is to be delisted due to a reason other than as described in the preceding scenario

One business day before delisting date

Price on business day before adjustment date

A constituents securities are designated to be delisted

One business day before the date of reassignment date

Price on business day before adjustment date

Assignment to the TSE Second Section or JASDAQ from the TSE First Section

Date of change

Price on business day before adjustment date

 

The adjusted base market value will equal the old base market value multiplied by the quotient of the free-float-adjusted market value on the business day before the adjustment date plus or minus, as applicable, the adjustment amount divided by the free-float-adjusted market value on the business day before the adjustment date.

 

The adjustment amount for the foregoing calculation will be an amount equal to the product of the change (the absolute value of the increase or decrease) in the number of shares used for index calculations times the price of the shares used for adjustment.

 

Changes in the number of shares and the price of the shares for adjustments to the base market value will be made as described in the table below.

 

Change in the Number of Shares

Event

Adjustment Date

Stock Price Used for Adjustment

Change of free-float weight

One business day before effective date.

Price on the adjustment date

Public offering

One business day before additional listing date

Price on the adjustment date

Allocation of new shares to a third party

Four business days after additional listing date

Price on the adjustment date

Issues to shareholders with payment

One business day before ex-rights date

Price on the adjustment date

Exercise of subscription warrants

One business day before last business day of the month after that of exercise

Price on the adjustment date

Conversion of preferred shares

One business day before last business day of the month after that of conversion

Price on the adjustment date

 

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Cancellation of treasury stock

One business day before last business day of the month after that of cancellation of treasury stocks

Price on the adjustment date

Merger or acquisitions between a non- surviving constituent and another constituent

Delisting date of the non-surviving constituent

Price on the adjustment date

Merger or acquisitions other than that described above

One business day before additional listing date

Price on the adjustment date

Sale of shares held by the Japanese government (Nippon Telegraph, Telephone and Japan Tobacco and Japan Post Holdings only)

Date determined by TSE (generally the delivery date)

Price on the adjustment date

Company spin-off (case where the number of shares of the succeeding company increases)

One business day before additional listing date

Price on the adjustment date

Other adjustments

One business day before last business day of the first or second month after the information is published in the “Sho-Ho” (TSE Notice)

Price on the adjustment date

 

No adjustments will be made to the base market value in the case of a stock split or reverse stock split.

 

Retroactive adjustments will not be made to revise the figures of the index that have already been calculated and disseminated even if issuing companies file amendments on previously released information.

 

License Agreement between TSE and CIBC

 

CIBC will enter into an agreement with TSE or its affiliates as necessary to provide us and certain of our affiliates or subsidiaries, in exchange for a fee, a non-exclusive license to use TOPIX, which is sponsored, calculated and published by TSE, in connection with certain securities, including the notes.

 

The notes are not sponsored, endorsed or promoted by TSE. No inference should be drawn from the information contained in this General Terms Supplement No. 1 that TSE makes any representation or warranty, implied or express, to CIBC any holder of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes in particular or the ability of TOPIX to track general stock market performance.

 

TSE determines, composes and calculates TOPIX without regard to the notes. TSE has no obligation to take into account your interest, or that of anyone else having an interest, in the notes in determining, composing or calculating TOPIX. TSE is not responsible for and has not participated in the determination of the terms, prices or amount of the notes and will not be responsible for or participate in any determination or calculation regarding the principal amount of the notes payable at the stated maturity date or upon redemption. TSE has no obligation or liability in connection with the administration, marketing or trading of the notes.

 

Neither CIBC nor any of its affiliates accepts any responsibility for the calculation, maintenance or publication of TOPIX or any successor index. TSE disclaims all responsibility for any errors or omissions in the calculation and dissemination of TOPIX or the manner in which TOPIX is applied in determining any initial index level or final index level or any amount payable upon maturity or redemption of the notes.

 

TOPIX Index Value and TOPIX Marks are subject to the proprietary rights owned by the Tokyo Stock Exchange, Inc. and the Tokyo Stock Exchange, Inc. owns all rights and know-how relating to TOPIX such as calculation, publication and use of TOPIX Index Value and relating to TOPIX Marks. The Tokyo Stock Exchange, Inc. shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of TOPIX Index Value or to change TOPIX Marks or cease the use thereof. The Tokyo Stock Exchange, Inc. makes no warranty or representation whatsoever, either as to the results stemmed from the use of TOPIX Index Value and TOPIX Marks or as to the figure at which TOPIX Index Value stands on any particular day. The Tokyo Stock Exchange, Inc. gives no assurance regarding accuracy or completeness of TOPIX Index Value and data

 

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contained therein. Further, the Tokyo Stock Exchange, Inc. shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of TOPIX Index Value. No notes are in any way sponsored, endorsed or promoted by the Tokyo Stock Exchange, Inc. The Tokyo Stock Exchange, Inc. shall not bear any obligation to give an explanation of the notes or an advice on investments to any purchaser of the notes or to the public. The Tokyo Stock Exchange, Inc. neither selects specific stocks or groups thereof nor takes into account any needs of the issuer or any purchaser of the notes, for calculation of TOPIX Index Value. Including but not limited to the foregoing, the Tokyo Stock Exchange, Inc. shall not be responsible for any damage resulting from the issue and sale of the notes.

 

The Dow Jones Industrial AverageTM

 

The Dow Jones Industrial AverageTM, which we also refer to herein as theDJIAor theindex:

 

·                  is an equity index, and therefore cannot be invested in directly;

 

·                  does not file reports with the SEC because it is not an issuer;

 

·                  was first calculated on May 26, 1896 with a base value of 40.94 and twelve constituent stocks; and

 

·                  is sponsored by S&P.

 

The DJIA is a price-weighted index composed of 30 blue chip companies selected at the discretion of an Averages Committee composed of three representatives of S&P and two representatives of The Wall Street Journal. While stock selection is not governed by quantitative rules, a stock typically is added to the index only if the Averages Committee believes the company has an excellent reputation, demonstrates sustained growth and is of interest to a large number of investors. Maintaining adequate sector representation within the indices is also a consideration in the selection process. The DJIA covers all industries with the exception of transportation and utilities.

 

The U.S. dollar price return calculation (which does not include dividends or other distributions, only the trading prices of the stocks) of the DJIA is reported by Bloomberg Financial Services under the ticker symbolINDU <Index>. S&P is under no obligation to continue to publish the DJIA and may discontinue publication of the DJIA at any time. Additional information regarding the DJIA, including its constituent stocks, may be obtained the following website: http://us.spindices.com/index-family/us-equity/dow-jones-averages. We are not incorporating by reference the website or any material it includes in this General Terms Supplement No. 1.

 

S&P intends for the DJIA to serve as a measure of the entire U.S. market, and therefore the economy, and the DJIA is not limited to traditionally defined industrial stocks, keeping the definition of “industrial”  broad. The DJIA’s index universe consists of  securities in the S&P 500®, excluding stocks classified under Global Industry Classification Standard code 2030 (Transportation) and 55 (Utilities). Changes in the composition of the DJIA are made by the Averages Committee without consultation with the component companies represented in the DJIA, any stock exchange, any official agency or us. Changes to the DJIA are made on an as-needed basis. There is no annual or semi-annual reconstitution. Rather, changes in response to corporate actions and market developments can be made at any time. Constituent changes are typically announced one to five days before they are scheduled to be implemented.

 

S&P Indexes classifies securities within its indices according to a four-tier system that currently comprises 10 Industries, 19 Supersectors, 41 Sectors and 114 Subsectors.

 

The DJIA is price weighted rather than market capitalization weighted. Therefore, the component stock weightings are affected only by changes in the stocks prices, in contrast with the weightings of other indices that are affected by both price changes and changes in the number of shares outstanding. The value of the DJIA is the sum of the primary exchange prices of each of the 30 common stocks included in the DJIA, divided by a divisor. The divisor is changed in accordance with a mathematical formula to adjust for stock dividends, stock splits, spin-offs and other corporate actions. The current divisor of the DJIA is published daily in the Wall Street Journal and other publications. While this methodology reflects current practice in calculating the DJIA, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect the return on your notes. Where

 

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any index component stock price is unavailable on any trading day, the index sponsor will generally use the last reported price for such component stock.

 

Adjustments for Corporate Actions

 

There is a large range of corporate actions that may affect companies included in the index. Certain corporate actions require S&P to make an adjustment to the divisor to prevent the value of the index from changing as a result of the corporate action. Corporate actions (such as stock splits, stock dividends, and rights offerings) are applied after the close of trading on the day prior to the ex-date. Several types of corporate actions, and their related adjustments, are listed in the table below.

 

Corporate Action

Adjustment Made To Index

Divisor Adjustment?

Spin-off

The spun-off company is added to the index at a zero price on the ex-date with no divisor adjustment and, if not permanently added, will be removed after the first day of regular way trading with a divisor adjustment. Any potential impacts on index constituents are evaluated by the Index Committee on a case by case basis.

Yes

Rights Offering

The price is adjusted according to the terms of the rights offering.

Yes

Stock dividend, stock split, reverse stock split

The price is adjusted according to the terms of the stock split.

Yes

Share Issuance, Share Repurchase, Equity Offering or Warrant Conversion

Index does not use a number of shares or investable weight factors — no impact

No

Special Dividends

Price of the stock making the special dividend payment is reduced by the per share special dividend amount after the close of trading on the day before the dividend ex-date.

Yes

Constituent Change

Deletions due to delistings, acquisition or any other corporate event resulting in the deletion of the stock from the index will be replaced on the effective date of the drop. In the case of a zero price spin-off, the spun-off company is not replaced.

Yes

 

In situations where an exchange fails to open or is forced to close early due to unforeseen events, such as natural disasters, inclement weather, outages, or other events, S&P will take the following actions:

 

·                  Market Disruption Prior to Open of Trading

 

o                If the exchange fails to open due to unforeseen circumstances, S&P treats this closure as a standard market holiday. All market driven actions (splits, bonuses, rights, cash dividends, spin-offs, etc.) are moved to the next trading date.

 

o                If exchanges indicate that trading, although delayed, will open for a given day, S&P will begin index calculation when the exchanges open.

 

·                  Market Disruption Intraday – If exchanges indicate that trading will not resume for a given day, index levels will be calculated using prices determined by the exchanges based on SEC Rule 123C hierarchy.

 

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Intraday index values will continue to use the last traded composite price until the primary exchange publishes official closing prices.

 

If all exchanges fail to open or in other extreme circumstances, S&P may determine not to publish the index for that day.

 

S&P reserves the right to recalculate an index under certain limited circumstances. S&P may choose to recalculate and republish an index if it is found to be incorrect or inconsistent within two trading days of the publication of the index level in question for one of the following reasons:

 

·                  Closing price of a stock on a given day is incorrect

 

·                  Missed corporate event

 

·                  Late announcement

 

·                  Missed index methodology event (deviation from what is stated in the methodology document)

 

Any other restatement or recalculation of an index is only done under extraordinary circumstances to reduce or avoid possible market impact or disruption as solely determined by the S&P’s Index Committee.

 

License Agreement between S&P and CIBC

 

Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”), and the DJIA is a product of S&P. We and S&P have entered into a non-transferable, non-exclusive license agreement providing for the sublicense to us, in exchange for a fee, of the right to use the DJIA in connection with the issuance of the notes.

 

The license agreement between us and S&P provides that the following language must be stated in this document:

 

The DJIA is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by CIBC.  Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC; DJIA®, The Dow®, Dow Jones® and Dow Jones Industrial Average are trademarks of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by CIBC.  The notes are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, Standard & Poor’s Financial Services LLC, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”).  S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the notes or any member of the public regarding the advisability of investing in securities generally or in the notes particularly or the ability of the DJIA to track general market performance.  S&P Dow Jones Indices’ only relationship to CIBC with respect to the DJIA is the licensing of the DJIA and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices or its licensors.  The DJIA is determined, composed and calculated by S&P Dow Jones Indices without regard to CIBC or the notes.  S&P Dow Jones Indices have no obligation to take the needs of CIBC or the owners of the notes into consideration in determining, composing or calculating the DJIA.  S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of the notes or the timing of the issuance or sale of the notes or in the determination or calculation of the equations by which the notes are to be converted into cash, surrendered or redeemed, as the case may be.  S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of the notes. There is no assurance that investment products based on the DJIA will accurately track index performance or provide positive investment returns.  S&P Dow Jones Indices LLC is not an investment advisor.  Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.  Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the notes currently being issued by CIBC, but which may be similar to and competitive with the notes.  In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the DJIA.

 

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE DJIA OR ANY DATA RELATED THERETO OR ANY COMMUNICATION,

 

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INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO.  S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN.  S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY CIBC, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DJIA OR WITH RESPECT TO ANY DATA RELATED THERETO.  WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE.  THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND CIBC, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

 

The iShares® MSCI Emerging Markets ETF

 

The shares of the iShares® MSCI Emerging Markets ETF (the “MSCI ETF) are issued by iShares, Inc. (“iShares”). iShares was organized as a Maryland corporation on September 1, 1994 and is authorized to have multiple series or portfolios, of which the MSCI ETF is one.

 

·                  The MSCI ETF is a tracking ETF that seeks to track the investment results of the MSCI Emerging Markets Index (theindex), an index composed of large- and mid-capitalization emerging market equities;

 

·                  Investment Advisor: BlackRock Fund Advisors (BFA”);

 

·                  The MSCI ETFs shares trade on the NYSE Arca under the ticker symbolEEM” (Bloomberg ticker NDUEEGF);

 

·                  iShares’ SEC CIK Number is 0000930667;

 

·                  The MSCI ETFs inception date was April 7, 2003; and

 

·                  The MSCI ETFs shares are issued or redeemed only in creation units of 450,000 shares or multiples thereof.

 

We obtained the following fee information from the iShares® website without independent verification. The investment advisor is entitled to receive a management fee from the MSCI ETF based on the MSCI ETFs allocable portion of an aggregate management fee based on the aggregate average daily net assets of the MSCI ETF and a set of other specified iShares®  funds (thefunds) as follows: 0.75% per annum of the aggregate net assets of the funds less than or equal to U.S. $14.0 billion, plus 0.68% per annum of the aggregate net assets of the funds on amounts in excess of U.S. $14.0 billion up to and including U.S. $28.0 billion, plus 0.61% per annum of the aggregate net assets of the funds on amounts in excess of U.S. $28.0 billion up to and including U.S. $42.0 billion, plus 0.54% per annum of the aggregate net assets of the funds on amounts in excess of U.S. $42.0 billion up to and including U.S. $56.0 billion, plus 0.47% per annum of the aggregate net assets of the funds on amounts in excess of U.S. $56.0 billion up to and including U.S. $70.0 billion, plus 0.41% per annum of the aggregate net assets of the funds on amounts in excess of U.S. $70.0 billion up to and including U.S. $84.0 billion, plus 0.35% per annum of the aggregate net assets of the funds in excess of U.S. $84.0 billion. As of December 31, 2016, the expense ratio of the MSCI ETF was 0.72% per annum.

 

The investment advisory agreement of the MSCI ETF provides that BFA will pay all operating expenses of the MSCI ETF, except interest expenses, taxes, brokerage expenses, distribution fees or expenses and extraordinary expenses. The MSCI ETF may also pay “Acquired Fund Fees and Expenses,” reflecting the MSCI ETFs pro rata share of the fees and expenses incurred by investing in other investment companies.

 

For additional information regarding iShares or BFA, please consult the reports (including the Annual Report to Shareholders on Form N-CSR for the fiscal year ended August 31, 2016) and other information the company files

 

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with the SEC. In addition, information regarding the MSCI ETF, including its top portfolio holdings, may be obtained from the iShares®  website at https://www.ishares.com/us/products/239637/EEM.

 

If a market disruption event occurs with respect to the MSCI ETF, the calculation agent has the discretion to adjust the closing price of the MSCI ETF on such date or to determine it in a different manner as described here, the applicable product supplement, if any, or in the applicable pricing supplement.

 

Investment Objective and Strategy

 

The MSCI ETF seeks to track the investment results of the index. The MSCI ETFs investment objective may be changed without shareholder approval.

 

Representative Sampling

 

BFA uses a representative sampling strategy to attempt to track the performance of the index. For the MSCI ETF, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, earnings valuation and yield) and liquidity measures similar to those of the index.

 

The MSCI ETF generally invests at least 90% of its assets in the securities of the index and in depositary receipts representing securities of the index. The MSCI ETF may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the MSCI ETF track the index. The MSCI ETF may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. Also, the MSCI ETF may lend securities representing up to one-third of the value of the MSCI ETFs total assets (including the value of the collateral received). The MSCI ETF invests all of its assets that are invested in India in a wholly owned subsidiary located in the Republic of Mauritius. BFA also serves of the investment advisor of the subsidiary.

 

Tracking Error

 

The performance of the MSCI ETF and the index may vary due to a variety of factors, including differences between the MSCI ETFs assets and the index, pricing differences (including differences between a securitys price at the local market close and the intrinsic value of a security at the time of calculation of the MSCI ETFs net asset value per share), transaction costs, the MSCI ETFs holding of cash, differences in timing of the accrual of dividends and differences between the MSCI ETFs portfolio and the index resulting from new or existing legal restrictions that apply to the MSCI ETF but not to the index or to investors using a representative sampling strategy in general. BFA expects that, overtime, the MSCI ETFs performance difference will not exceed 5%. The MSCI ETFs use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the MSCI ETF used an indexing strategy in which an exchange traded fund invests in substantially all of the securities in its index in approximately the same proportions as in the index.

 

Industry Concentration Policy

 

The MSCI ETF will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the index is concentrated in that industry or group of industries.

 

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USE OF PROCEEDS

 

We expect that the net proceeds from the sale of the notes will be used as described under “Use of Proceeds” in the accompanying Prospectus Supplement and Prospectus and to hedge market risks of the Bank associated with its obligation to pay the cash settlement amount at maturity of the notes.

 

HEDGING

 

We may hedge our obligations under the notes by, among other things, purchasing securities, futures, options or other derivative instruments with returns linked or related to changes in the value of the underlier and/or securities underlying the underlier, and we may adjust these hedges by, among other things, purchasing or selling securities, futures, options or other derivative instruments at any time. Our cost of hedging will include the projected profit that our counterparty expects to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our or our counterparty’s control, such hedging may result in a profit that is more or less than expected, or could result in a loss. It is possible that we could receive substantial returns from these hedging activities while the value of the notes declines.

 

We expect to hedge our obligations under the notes through one of our affiliates and/or another unaffiliated counterparty.

 

We have no obligation to engage in any manner of hedging activity and we will do so solely at our discretion and for our own account. No holder of the notes will have any rights or interest in our hedging activity or any positions we or any unaffiliated counterparty may take in connection with our hedging activity. The hedging activity discussed above may adversely affect the value of the notes from time to time.

 

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We have not authorized anyone to provide any information or to make any representations other than those contained in or incorporated by reference in this General Terms Supplement No. 1, the accompanying Prospectus Supplement or the accompanying Prospectus. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may provide. This General Terms Supplement No. 1 is an offer to sell only the notes offered hereby, but only under circumstances and in jurisdictions where it is lawful to do so. The information contained in this General Terms Supplement No. 1, the accompanying Prospectus Supplement and the accompanying Prospectus is current only as of the respective dates of such documents.

 

TABLE OF CONTENTS

 

General Terms Supplement No. 1

 

 

 

Page

Additional Risk Factors Specific to the Notes

 

GTS-1

Supplemental Terms of the Notes

 

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The Underliers

 

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S&P 500® Index

 

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MSCI Indices

 

GTS-34

Hang Seng China Enterprises Index

 

GTS-42

Russell 2000® Index

 

GTS-46

FTSE100® Index

 

GTS-52

EURO STOXX 50® Index

 

GTS-57

TOPIX

 

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The Dow Jones Industrial AverageTM

 

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The iShares® MSCI Emerging Markets ETF

 

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Use of Proceeds

 

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Hedging

 

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