CIBC plans Capped Leveraged Index Return Notes tied to index basket

By Sarah Lizee

Olympia, Wash., July 16 – Canadian Imperial Bank of Commerce plans to price 0% Capped Leveraged Index Return Notes due July 2020 linked to a basket of unequally weighted indexes, according to an FWP filing with the Securities and Exchange Commission.

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

If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return that is expected to fall between 26% to 30% and will be set at pricing.

If the basket falls by up to 10%, the payout will be par.

Investors will lose 1% for each 1% decline beyond 10%.

BofA Merrill Lynch is the agent.

The notes will price in July and settle in August.

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