# Supplementary Regulatory Capital Disclosure
For the period ended July 31, 2018

For further information, please contact:
Amy South, Senior Vice-President, Investor Relations (416) 594-7386
Jason Patchett, Senior Director, Investor Relations (416) 980-8691

# REGULATORY CAPITAL - TABLE OF CONTENTS

This document is unaudited and should be read in conjunction with our quarterly report to shareholders and news release for Q3/18, and our 2017 annual report (including audited consolidated financial statements and accompanying management's discussion and analysis). Additional financial information is also available through our quarterly investor presentations as well as the quarterly conference call webcast. All relevant information in this document is prepared under International Financial Reporting Standards (IFRS) and all amounts are in millions of Canadian dollars, unless otherwise stated.

## BASEL RELATED SCHEDULES

| Item | Page |
| :--- | ---: |
| Regulatory Capital and Ratios - Basel III (All-in basis) | 1 |
| Reconciliation of Capital (All-in basis) to Consolidated Regulatory Balance Sheet | 3 |
| Changes in Regulatory Capital - Basel III (All-in basis) | 5 |
| Basel III Leverage Ratio | 6 |
| Risk-Weighted Assets (RWA) - Basel III | 7 |
| Changes in Common Equity Tier 1 (CET1) RWA - Basel III (All-in basis) | 8 |
| Credit Exposure - Exposure at default (EAD) | 9 |
| Credit Exposure - Geographic Concentration | 10 |
| Credit Exposure - Maturity Profile | 11 |
| Credit Risk Associated with Derivatives | 12 |
| Credit Quality of Advanced Internal Ratings-based (AIRB) Exposure - Business and Government Portfolios (Risk Rating Method) | 13 |
| Credit Quality of AIRB Exposure - Retail Portfolios | 17 |
| AIRB Credit Risk Exposure - Loss Experience | 21 |
| AIRB Credit Risk Exposure - Back-Testing | 22 |
| Business and Government AIRB Exposures by Industry Groups | 23 |
| EAD under the Standardized Approach | 24 |
| Exposure Covered by Guarantees and Credit Derivatives | 25 |
| Exposures Securitized as Originator | 25 |
| Bank Sponsored Multi-Seller Conduits Exposure | 26 |
| Total Securitization Exposures (Internal Ratings-based (IRB) Approach) | 26 |
| Securitization Exposures - Risk-Weighted Assets and Capital Charges (IRB Approach) | 27 |
| Basel - Glossary | 29 |

# REGULATORY CAPITAL AND RATIOS - BASEL III (ALL-IN BASIS $^1$)

($ millions)

| Row | | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 | Cross-reference $^3$ |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | | | | | | | | |
| 1 | Directly issued qualifying common share capital plus related stock surplus | 13,334 | 13,295 | 13,204 | 12,685 | 12,320 | 8,574 | 8,351 | 8,096 | 7,879 | A+B |
| 2 | Retained earnings | 18,051 | 17,412 | 16,701 | 16,101 | 15,535 | 15,011 | 14,483 | 13,584 | 13,145 | C |
| 3 | Accumulated other comprehensive income (and other reserves) | 746 | 403 | (17) | 452 | 167 | 1,083 | 698 | 790 | 509 | D |
| 5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 118 | 113 | 106 | 109 | 107 | 114 | 108 | 101 | 113 | E |
| 6 | **Common Equity Tier 1 capital before regulatory adjustments** | **32,249** | **31,223** | **29,994** | **29,347** | **28,129** | **24,782** | **23,640** | **22,583** | **21,634** | |
| **Common Equity Tier 1 capital: regulatory adjustments** | | | | | | | | | | | |
| 7 | Prudential valuation adjustments | 55 | See footnote 4 | 50 | 60 | 62 | 63 | 60 | 67 | 69 | 68 | |
| 8 | Goodwill (net of related tax liabilities) | 5,436 | F+G+H | 5,370 | 5,188 | 5,284 | 5,019 | 1,468 | 1,444 | 1,461 | 1,449 | |
| 9 | Other intangibles other than mortgage-servicing rights (net of related tax liabilities) | 1,649 | I+J+AL | 1,654 | 1,660 | 1,654 | 1,531 | 1,304 | 1,277 | 1,258 | 1,214 | |
| 10 | Deferred tax assets excluding those arising from temporary differences (net of related tax liabilities) | 19 | K | 5 | 6 | 18 | 24 | 71 | 66 | 70 | 56 | |
| 11 | Cash flow hedge reserve | 10 | L | 39 | 33 | 27 | 46 | 38 | 23 | 26 | |
| 12 | Shortfall of allowances to expected losses $^5$ | 625 | See footnote 4 | 625 | 631 | 474 | 447 | 242 | 301 | 283 | 256 | |
| 14 | Gain and losses due to changes in own credit risk on fair valued liabilities | 48 | M+AK | 35 | 27 | 41 | 54 | 44 | 62 | 102 | 101 | |
| 15 | Defined benefit pension fund net assets (net of related tax liabilities) | 496 | N+O | 259 | 268 | 160 | 300 | 191 | 287 | 156 | 115 | |
| 19 | Significant investments in own shares (if not already netted off paid-in capital on reported balance sheet) | - | See footnote 4 | 3 | 5 | 13 | 4 | | | | |
| 19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) | - | P+Q | - | - | - | - | - | - | - | - | |
| 22 | Amount exceeding the 15% threshold | - | - | - | - | - | - | - | - | - | |
| 23 | of which: significant investments in the common stock of financials | - | - | - | - | - | - | - | - | - | |
| 25 | of which: deferred tax assets arising from temporary differences | - | R+S | - | - | - | - | - | - | - | - | |
| 28 | Total regulatory adjustments to Common Equity Tier 1 | **8,338** | | **7,998** | **7,879** | **7,729** | **7,465** | **3,426** | **3,547** | **3,435** | **3,289** | |
| 29 | **Common Equity Tier 1 capital (CET1)** | **23,911** | | **23,225** | **22,115** | **21,618** | **20,664** | **21,356** | **20,093** | **19,148** | **18,345** | |
| **Additional Tier 1 (AT1) capital: instruments** | | | | | | | | | | | |
| 30 | Directly issued qualifying Additional Tier 1 instruments plus related stock surplus $^6$ | 2,250 | U | 2,248 | 2,246 | 1,797 | 1,796 | 1,000 | 1,000 | 1,000 | 1,000 | |
| 31 | Directly issued capital instruments subject to phase out from Additional Tier 1 | 2,250 | V+see footnote 7 | 1,003 | 1,003 | 1,253 | 1,253 | 1,000 | 1,000 | 1,504 | 1,504 | |
| 33 | Additional Tier 1 Instruments (and CET1 instruments not in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) | 16 | W | 14 | 13 | 14 | 13 | 14 | 14 | 13 | 14 | |
| 36 | **Additional Tier 1 capital before regulatory adjustments** | **3,269** | | **3,265** | **3,262** | **3,064** | **3,062** | **2,268** | **2,267** | **2,518** | **2,517** | |
| **Additional Tier 1 capital: regulatory adjustments** | | | | | | | | | | | |
| 41 | Other deductions from Tier 1 capital as determined by OSFI | - | - | - | - | - | - | - | - | - | - | |
| 41b | of which: valuation adjustment for less liquid positions | - | - | - | - | - | - | - | - | - | - | |
| 43 | Total regulatory adjustments to Additional Tier 1 capital | - | - | - | - | - | - | - | - | - | - | |
| 44 | **Additional Tier 1 capital (AT1)** | **3,269** | | **3,265** | **3,262** | **3,064** | **3,062** | **2,268** | **2,267** | **2,518** | **2,517** | |
| 45 | **Tier 1 capital (T1 = CET1 + AT1)** | **27,180** | | **26,490** | **25,377** | **24,682** | **23,726** | **23,624** | **22,360** | **21,666** | **20,862** | |
| **Tier 2 capital: instruments and provisions** | | | | | | | | | | | |
| 46 | Directly issued qualifying Tier 2 instruments plus related stock surplus $^8$ | 3,390 | X | 3,407 | 1,925 | 1,961 | 1,961 | 1,982 | 1,975 | 2,001 | 2,005 | |
| 47 | Directly issued capital instruments subject to phase out from Tier 2 | 586 | Y | 1,188 | 1,182 | 1,204 | 1,197 | 1,279 | 1,287 | 1,323 | 1,354 | |
| 48 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Tier 2) | 21 | Z | 20 | 18 | 19 | 19 | 19 | 18 | 19 | 18 | |
| 50 | General allowances (Q4/17 and prior: Collective allowance under IAS 39) | 291 | AA+AB | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 | |
| 51 | Tier 2 capital before regulatory adjustments | 4,288 | 4,895 | 3,394 | 3,447 | 3,427 | 3,353 | 3,350 | 3,417 | 3,449 | |
| 57 | **Total regulatory adjustments to Tier 2 capital** | **4,288** | | **4,895** | **3,394** | **3,447** | **3,427** | **3,353** | **3,350** | **3,417** | **3,449** | |
| 58 | **Tier 2 capital (T2)** | **4,288** | | **4,895** | **3,394** | **3,447** | **3,427** | **3,353** | **3,350** | **3,417** | **3,449** | |
| 59 | **Total capital (TC = T1 + T2)** | **31,468** | | **31,385** | **28,771** | **28,129** | **27,153** | **26,977** | **25,710** | **25,083** | **24,311** | |
| 60 | **Total RWA** | **n/a** | | **n/a** | **n/a** | **n/a** | **n/a** | **n/a** | **n/a** | **n/a** | **n/a** | |
| 60a | Common Equity Tier 1 (CET1) Capital RWA | **211,820** | | **208,068** | **204,647** | **203,321** | **198,459** | **175,431** | **169,350** | **168,996** | **168,077** | |
| 60b | Tier 1 Capital RWA | **211,968** | | **208,231** | **204,647** | **203,321** | **198,686** | **175,431** | **169,575** | **169,322** | **168,407** | |
| 60c | Total Capital RWA $^9$ | **212,116** | | **208,394** | **204,647** | **203,321** | **198,867** | **175,431** | **169,755** | **169,601** | **168,690** | |

For footnotes, see next page.

# REGULATORY CAPITAL AND RATIOS - BASEL III (ALL-IN BASIS $^1$) (continued)

($ millions)

| Row | | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 | Cross-reference $^3$ |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Capital ratios** | | | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of RWAs) | 11.3% | 11.2% | 10.8% | 10.6% | 10.4% | 12.2% | 11.9% | 11.3% | 10.9% | |
| 62 | Tier 1 (as a percentage of RWAs) | 12.8% | 12.7% | 12.4% | 12.1% | 11.9% | 13.5% | 13.2% | 12.8% | 12.4% | |
| 63 | Total capital (as a percentage of RWAs) | 14.8% | 15.1% | 14.1% | 13.8% | 13.7% | 15.4% | 15.2% | 14.8% | 14.4% | |
| 64 | Buffer requirement (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer requirement plus D-SIB buffer requirement expressed as a percentage of RWAs) | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 66 | of which: institution specific countercyclical buffer requirement | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| 67a | of which: D-SIB buffer requirement | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | |
| 68 | Common Equity Tier 1 available to meet buffers (as percentage of RWAs) | 11.3% | 11.2% | 10.8% | 10.6% | 10.4% | 12.2% | 11.9% | 11.3% | 10.9% | |
| 69 | Common Equity Tier 1 all-in target ratio | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 70 | Tier 1 capital all-in target ratio | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | |
| 71 | Total capital all-in target ratio | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | | | | | | |
| 72 | Non-significant investments in the capital of other financials | 204 | 289 | 279 | 306 | 450 | 453 | 409 | 348 | 368 | AG+AI+AJ+ see footnote 11 |
| 73 | Significant investments in the common stock of financials | 829 | 814 | 804 | 802 | 810 | 828 | 806 | 814 | 828 | AD+AE+AF |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liabilities) | 1,024 | 1,034 | 1,030 | 1,170 | 1,157 | 912 | 894 | 978 | 981 | AC |
| **Applicable caps on the inclusion of allowances in Tier 2** | | | | | | | | | | | |
| 76 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) | 291 | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 | |
| 77 | Cap on inclusion of allowances in Tier 2 under standardized approach | 291 | AA | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 | |
| 78 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | - | - | - | - | - | - | - | - | - | |
| 79 | Cap on inclusion of allowances in Tier 2 under ratings-based approach | - | AB | - | - | - | - | - | - | - | |
| **Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | | | | | | | | | |
| 80 | Current cap on CET1 instruments subject to phase out arrangements | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | V+see footnote 7 |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 1,003 | V+see footnote 7 | 1,003 | 1,003 | 1,253 | 1,253 | 1,253 | 1,253 | 1,504 | 1,504 | |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 602 | AH+see footnote 7 | 597 | 608 | 369 | 376 | 392 | 158 | 167 | |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 1,802 | 1,802 | 1,802 | 2,253 | 2,253 | 2,253 | 2,253 | 2,704 | 2,704 | |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | - | - | - | - | - | - | - | - | - | |

$^1$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019, but retaining the phase-out rules for non-qualifying capital instruments. Including the application of the 1% D-SIB CET1 surcharge, but excluding the Domestic Stability Buffer of 1.5% (see footnote 10 below), OSFI's current minimum targets for the CET1, Tier 1 and Total capital ratios are 8%, 9.5% and 11.5%, respectively.
$^2$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory in accordance with Basel III all-in-basis calculations.
$^3$ Cross-referenced to the consolidated balance sheet, refer to pages 3 and 4.
$^4$ Not recorded on the consolidated balance sheet.
$^5$ Beginning in Q1/18, the allowance in the shortfall calculation is in accordance with IFRS 9. The allowance in prior periods was in accordance with International Accounting Standard (IAS) 39 and has not been restated. See external reporting changes discussed in "Notes to users" on page 1 of the Supplementary Financial Information for additional details.
$^6$ Comprises non-cumulative Class A Preferred Shares 39, 41, 43, and 45 (effective Q3/17) and 47 (effective Q1/18) which are treated as non-viability contingent capital in accordance with OSFI's capital adequacy guidelines.
$^7$ Comprises CIBC Tier 1 Notes - Series A and Series B due June 30, 2108 (together, the Tier 1 Notes). The adoption of IFRS 10 "Consolidated Financial Statements" required CIBC to deconsolidate CIBC Capital Trust, which resulted in the removal of Capital Trust securities issued by CIBC Capital Trust from the consolidated balance sheet and instead recognizing the senior deposit notes issued by CIBC to CIBC Capital Trust within Business and government deposits.
$^8$ Comprises Debentures due on October 28, 2024, January 26, 2026 and April 4, 2028 which are treated as non-viability contingent capital in accordance with OSFI's capital adequacy guidelines.
$^9$ As a result of the option that CIBC chose for calculating the credit valuation adjustment (CVA) capital charge, the calculation of CET1, Tier 1 and Total Capital ratios is based on different RWAs, before any capital floor adjustment, beginning in Q3/14. The charge will be phased-in during 2014-2019 and relates to bilateral over-the-counter (OTC) derivatives included in credit risk RWA. Q1/18, Q4/17 and Q2/17 RWA included capital floor adjustments. See page 7 for further details.
$^{10}$ Excludes the 1.5% Domestic Stability Buffer that OSFI requires D-SIBs to hold as this buffer requirement is intended to address Pillar 2 risks that are not adequately captured in the Pillar 1 capital requirements. The table above includes only the Pillar 1 capital requirements.
$^{11}$ Synthetic positions not recorded on the consolidated balance sheet.

# REGULATORY CAPITAL AND RATIOS - BASEL III (ALL-IN BASIS $^1$) (continued)

| Row | | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 | Cross-reference $^3$ |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Capital ratios** | | | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of RWAs) | 11.3% | 11.2% | 10.8% | 10.6% | 10.4% | 12.2% | 11.9% | 11.3% | 10.9% | |
| 62 | Tier 1 (as a percentage of RWAs) | 12.8% | 12.7% | 12.4% | 12.1% | 11.9% | 13.5% | 13.2% | 12.8% | 12.4% | |
| 63 | Total capital (as a percentage of RWAs) | 14.8% | 15.1% | 14.1% | 13.8% | 13.7% | 15.4% | 15.2% | 14.8% | 14.4% | |
| 64 | Buffer requirement (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer requirement plus D-SIB buffer requirement expressed as a percentage of RWAs) | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 66 | of which: institution specific countercyclical buffer requirement | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| 67a | of which: D-SIB buffer requirement | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | |
| 68 | Common Equity Tier 1 available to meet buffers (as percentage of RWAs) | 11.3% | 11.2% | 10.8% | 10.6% | 10.4% | 12.2% | 11.9% | 11.3% | 10.9% | |
| 69 | Common Equity Tier 1 all-in target ratio | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 70 | Tier 1 capital all-in target ratio | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | |
| 71 | Total capital all-in target ratio | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | | | | | | |
| 72 | Non-significant investments in the capital of other financials | 204 | 289 | 279 | 306 | 450 | 453 | 409 | 348 | 368 | AG+AI+AJ+ see footnote 11 |
| 73 | Significant investments in the common stock of financials | 829 | 814 | 804 | 802 | 810 | 828 | 806 | 814 | 828 | AD+AE+AF |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liabilities) | 1,024 | 1,034 | 1,030 | 1,170 | 1,157 | 912 | 894 | 978 | 981 | AC |
| **Applicable caps on the inclusion of allowances in Tier 2** | | | | | | | | | | | |
| 76 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) | 291 | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 | |
| 77 | Cap on inclusion of allowances in Tier 2 under standardized approach | 291 | AA | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 | |
| 78 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | - | - | - | - | - | - | - | - | - | |
| 79 | Cap on inclusion of allowances in Tier 2 under ratings-based approach | - | AB | - | - | - | - | - | - | - | |
| **Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | | | | | | | | | |
| 80 | Current cap on CET1 instruments subject to phase out arrangements | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | V+see footnote 7 |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 1,003 | V+see footnote 7 | 1,003 | 1,003 | 1,253 | 1,253 | 1,253 | 1,253 | 1,504 | 1,504 | |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 602 | AH+see footnote 7 | 597 | 608 | 369 | 376 | 392 | 158 | 167 | |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 1,802 | 1,802 | 1,802 | 2,253 | 2,253 | 2,253 | 2,253 | 2,704 | 2,704 | |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | - | - | - | - | - | - | - | - | - | |

# RECONCILIATION OF CAPITAL (ALL-IN BASIS) TO CONSOLIDATED REGULATORY BALANCE SHEET $^1$

($ millions)

| | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment $^2$ | Equity accounting | Balance sheet as in the regulatory scope of consolidation | Of which | Cross reference to capital schedule $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Assets** | | | | | | | |
| Cash and non-interest-bearing deposits with banks | 3,663 | - | - | - | 3,663 | | |
| Interest-bearing deposits with banks | 14,138 | (1) | - | - | 14,137 | | |
| Securities | 102,628 | (246) | - | - | 102,382 | | |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | - | | 56 | AF |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | - | | | AG |
| Significant investments in capital of non-financial institutions | - | - | - | - | | | |
| Other securities | 102,326 | - | - | - | 102,326 | | |
| Cash collateral on securities borrowed | 5,083 | - | - | - | 5,083 | | |
| Securities purchased under resale agreements | 44,513 | - | - | - | 44,513 | | |
| Loans | 368,434 | - | - | - | 368,434 | | |
| Allowance for credit losses | (1,641) | - | - | - | (1,641) | | |
| General allowance reflected in Tier 2 capital | - | - | - | - | | (291) | AA |
| Excess in allowance over expected losses reflected in Tier 2 capital | - | - | - | - | | (1,350) | AB |
| Allowances not reflected in regulatory capital | - | - | - | - | - | | |
| Derivative instruments | 22,003 | - | - | - | 22,003 | | |
| Customers' liability under acceptances | 10,517 | - | - | - | 10,517 | | |
| Land, buildings and equipment | 1,733 | - | - | - | 1,733 | | |
| Goodwill | 5,510 | - | - | - | 5,510 | | F |
| Software and other intangible assets | 1,921 | - | - | - | 1,921 | | |
| Investments in equity-accounted associates and joint ventures | 499 | 398 | - | 897 | | | |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10% of CET1) | - | - | - | - | | | P |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15% basket of CET1) | - | - | - | - | | | R |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | - | | | |
| Significant investments in capital of other financial institutions related to goodwill | - | - | - | - | | 431 | AD |
| Significant investments in capital of other financial institutions related to intangibles | - | - | - | - | | 10 | G |
| Significant investments in capital of non-financial institutions | - | - | - | - | | 3 | AL |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10% of CET1) | - | - | - | - | | 34 | Q |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15% basket of CET1) | - | - | - | - | | | S |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | - | - | - | - | | 398 | AE |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | - | | 14 | AJ |
| Non significant investments in capital of non-financial institutions | - | - | - | - | | 7 | |
| Deferred tax assets | 535 | - | - | - | 535 | | |
| Deferred tax assets excluding those arising from temporary differences | - | - | - | - | | 19 | K |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15% basket of CET1) | - | - | - | - | | 1,024 | T |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | - | - | - | - | | (84) | AC |
| Deferred tax liabilities related to goodwill | - | - | - | - | | (275) | H |
| Deferred tax liabilities related to software and other intangible assets | - | - | - | - | | (149) | J |
| Deferred tax liabilities related to defined benefit pension fund net assets | - | - | - | - | | | O |
| Other assets | 645 | (114) | - | 645 | | | |
| Defined benefit pension fund net assets | 14,844 | - | - | 14,730 | | | N |
| Other | - | - | - | - | - | 5 | Al |
| **Total assets** | **595,025** | **(361)** | **398** | **595,062** | **14,725** | | |

# RECONCILIATION OF CAPITAL (ALL-IN BASIS) TO CONSOLIDATED REGULATORY BALANCE SHEET $^1$ (continued)

($ millions)

| | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment $^2$ | Equity accounting | Balance sheet as in the regulatory scope of consolidation | Of which | Cross reference to capital schedule $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Liabilities** | | | | | | | |
| Deposits | 459,767 | - | - | - | 459,767 | | |
| Obligations related to securities sold short | 12,152 | - | - | - | 12,152 | | |
| Cash collateral on securities lent | 2,462 | - | - | - | 2,462 | | |
| Obligations related to securities sold under repurchase agreements | 32,985 | - | - | - | 32,985 | | |
| Derivative instruments | 21,776 | - | - | - | 21,776 | | |
| Acceptances | 10,521 | - | - | - | 10,521 | | |
| Deferred tax liabilities | 31 | - | - | - | 31 | | |
| Other liabilities | 16,746 | 198 | (161) | - | 16,783 | | |
| Subordinated indebtedness | 4,031 | - | - | - | 4,031 | | |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital | - | - | - | - | | 3,390 | X |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital subject to phase out | - | - | - | - | | 586 | Y |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for Tier 2 capital | - | - | - | - | - | | |
| Subordinated indebtedness excluded from Tier 2 capital due to cap | - | - | - | - | | - | |
| Subordinated indebtedness not allowed for Tier 2 capital | - | - | - | - | 55 | | |
| **Total liabilities** | **560,471** | **198** | **(161)** | - | **560,508** | | |
| **Equity** | | | | | | | |
| Preferred shares | 2,250 | - | - | - | 2,250 | | |
| Preferred shares allowed for inclusion into additional Tier 1 capital | - | - | - | - | | 2,250 | U |
| Preferred shares allowed for inclusion into additional Tier 1 capital subject to phase out | - | - | - | - | | | AH |
| Preferred shares excluded from additional Tier 1 capital due to cap | - | - | - | - | | - | |
| Common shares | 13,201 | - | - | - | 13,201 | | A |
| Common shares - treasury positions | - | - | - | - | | | |
| Common shares | 13,201 | - | - | - | 13,201 | | |
| Contributed surplus | 133 | - | - | - | 133 | | B |
| Retained earnings | 18,051 | (561) | 561 | - | 18,051 | | C |
| Gains and losses due to changes in own credit risk on fair valued liabilities | - | - | - | - | | 52 | M |
| Other retained earnings | - | - | - | - | 17,999 | | |
| AOCI | 746 | 2 | (2) | - | 746 | | D |
| Cash flow hedges | - | - | - | - | | 10 | |
| Net fair value gains (losses) arising from changes in institution's own credit risk | - | - | - | - | | (4) | AK |
| Other | 995,029 | - | - | 740 | | | |
| Non-controlling interests | 173 | - | - | - | 173 | | |
| Portion allowed for inclusion into CET1 | - | - | - | - | | 118 | E |
| Portion allowed for inclusion into additional Tier 1 capital | - | - | - | - | | 16 | W |
| Portion allowed for inclusion into Tier 2 capital | - | - | - | - | | 21 | Z |
| Portion not allowed for regulatory capital | - | - | - | - | | 18 | |
| **Total equity** | **34,554** | **(559)** | **559** | - | **34,554** | | |
| **Total liabilities and equity** | **595,025** | **(361)** | **398** | - | **595,062** | | |

$^1$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory.
$^2$ Comprises our insurance subsidiaries: CIBC Reinsurance Company Limited (CIBC Re), and CIBC Life Insurance Company Limited (CIBC Life), which are excluded from the regulatory scope of consolidation. CIBC Re provides Life and Health reinsurance to Canadian insurance and international reinsurance companies. CIBC Re is also an active participant in the North American retrocession market. CIBC Life is primarily involved in direct underwriting of life insurance products and has assumed a closed creditor product block of business from a Canadian underwriter; current policies in-force include accidental death, hospital accident, hospital cash benefit plans, critical accident plan, accident recovery plan, term life, and creditor life and disability insurance products. As at July 31, 2018, CIBC Re had \$224 million in assets, \$(132) million in liabilities, and \$356 million in equity, and CIBC Life had \$137 million in assets, \$(66) million in liabilities, and \$203 million in equity.
$^3$ Refer to pages 1 and 2.

# CHANGES IN REGULATORY CAPITAL - BASEL III (ALL-IN BASIS $^1$)

($ millions)

| | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Common Equity Tier 1 (CET1) capital** | | | | | | | | | |
| Opening amount | 23,225 | 22,115 | 21,618 | 20,664 | 21,356 | 20,093 | 19,148 | 18,345 | 17,165 |
| Issue of common shares pursuant to the acquisition of The PrivateBank | - | - | - | - | 194 | 3,443 | - | - | - |
| Issue of common shares pursuant to the acquisition of Geneva Advisors | - | - | - | - | 126 | - | - | - | - |
| Issue of common shares pursuant to the acquisition of Wellington Financial | - | - | - | - | - | - | - | - | - |
| Shares issued in lieu of cash dividends (add back) | 46 | 47 | 196 | 201 | 187 | 191 | 170 | 164 | - |
| Other issue of common shares | 48 | 42 | 82 | 40 | 37 | 40 | 91 | 48 | 23 |
| Redeemed capital | - | - | - | - | - | - | - | - | - |
| Purchase of common shares for cancellation | (52) | - | - | - | - | - | - | - | - |
| Premium on purchase of common shares for cancellation | (150) | - | - | - | - | - | - | - | - |
| Gross dividends (deduction) | (612) | (615) | (592) | (593) | (560) | (518) | (502) | (488) | (487) |
| Profit for the quarter (attributable to shareholders of the parent company) | 1,365 | 1,313 | 1,323 | 1,159 | 1,093 | 1,045 | 1,402 | 927 | 1,435 |
| Removal of own credit spread (net of tax) | (13) | (8) | 14 | 13 | (10) | 18 | 40 | (1) | (29) |
| Change in AOCI balances included in regulatory capital | | | | | | | | | |
| Currency translation differences | 151 | 536 | (582) | 431 | (1,057) | 503 | (253) | 223 | 86 |
| Securities measured at fair value through other comprehensive income (FVOCI) (Q4/17 and prior: Available-for-sale investments) | (45) | (73) | (54) | (24) | (42) | 35 | (70) | 9 | 40 |
| Cash flow hedges | 10 | (39) | 6 | 6 | (19) | 8 | 15 | (3) | 8 |
| Post-employment defined benefit plans | 219 | (5) | 107 | (125) | 203 | (158) | 219 | 55 | (148) |
| Goodwill and other intangible assets (deduction, net of related tax liabilities) | (61) | (176) | 90 | (388) | (3,778) | (51) | (2) | (56) | 288 |
| Shortfall of allowance to expected losses | 6 | - | (157) | (27) | (205) | 59 | (18) | (27) | (63) |
| Other, including regulatory adjustments and transitional arrangements | - | - | - | - | - | - | - | - | - |
| Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) | (14) | 1 | 12 | 6 | 47 | (5) | 4 | (14) | 43 |
| Defined benefit pension fund net assets | (237) | 9 | (108) | 140 | (109) | 96 | (131) | (41) | (5) |
| Significant investments in financial institutions (amount above 10% threshold) | - | - | - | - | - | - | - | - | - |
| Amount exceeding 15% threshold | - | - | - | - | - | - | - | - | - |
| Prudential valuation adjustments | (5) | 10 | 2 | 1 | (3) | 7 | 2 | (1) | (5) |
| Other$^2$ | 36 | 62 | (83) | (12) | 81 | (7) | (22) | 8 | (6) |
| **Closing amount** | **23,911** | **23,225** | **22,115** | **21,618** | **20,664** | **21,356** | **20,093** | **19,148** | **18,345** |
| **Additional Tier 1 (AT1) capital** | | | | | | | | | |
| Opening amount | 3,265 | 3,262 | 3,064 | 3,062 | 2,268 | 2,267 | 2,518 | 2,517 | 2,517 |
| AT1 eligible capital issues | - | - | 450 | 800 | - | - | - | - | - |
| Redeemed capital | - | - | - | - | - | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | (251) | (251) | - | - | - | - | - |
| Other, including regulatory adjustments and transitional arrangements | 4 | 3 | (1) | - | 1 | - | - | - | - |
| **Closing amount** | **3,269** | **3,265** | **3,262** | **3,064** | **3,062** | **2,268** | **2,267** | **2,518** | **2,517** |
| **Total Tier 1 capital** | **27,180** | **26,490** | **25,377** | **24,682** | **23,726** | **23,624** | **22,360** | **21,666** | **20,862** |
| **Tier 2 capital: instruments and provisions** | | | | | | | | | |
| Directly issued qualifying Tier 2 instruments plus related stock surplus $^8$ | 3,390 | 3,407 | 1,925 | 1,961 | 1,961 | 1,982 | 1,975 | 2,001 | 2,005 |
| Directly issued capital instruments subject to phase out from Tier 2 | 586 | 1,188 | 1,182 | 1,204 | 1,197 | 1,279 | 1,287 | 1,323 | 1,354 |
| Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Tier 2) | 21 | 20 | 18 | 19 | 19 | 19 | 18 | 19 | 18 |
| General allowances (Q4/17 and prior: Collective allowance under IAS 39) | 291 | 280 | 269 | 263 | 250 | 73 | 70 | 74 | 72 |
| Tier 2 capital before regulatory adjustments | 4,288 | 4,895 | 3,394 | 3,447 | 3,427 | 3,353 | 3,350 | 3,417 | 3,449 |
| Total regulatory adjustments to Tier 2 capital | - | - | - | - | - | - | - | - | - |
| Tier 2 capital (T2) | 4,288 | 4,895 | 3,394 | 3,447 | 3,427 | 3,353 | 3,350 | 3,417 | 3,449 |
| Total capital (TC = T1 + T2) | 31,468 | 31,385 | 28,771 | 28,129 | 27,153 | 26,977 | 25,710 | 25,083 | 24,311 |
| Total RWA | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a |
| Common Equity Tier 1 (CET1) Capital RWA | 211,820 | 208,068 | 204,647 | 203,321 | 198,459 | 175,431 | 169,350 | 168,996 | 168,077 |
| Tier 1 Capital RWA | 211,968 | 208,231 | 204,647 | 203,321 | 198,686 | 175,431 | 169,575 | 169,322 | 168,407 |
| Total Capital RWA $^9$ | 212,116 | 208,394 | 204,647 | 203,321 | 198,867 | 175,431 | 169,755 | 169,601 | 168,690 |

$^1$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019, but retaining the phase-out rules for non-qualifying capital instruments. Including the application of the 1% D-SIB CET1 surcharge, but excluding the Domestic Stability Buffer of 1.5% (see footnote 10 below), OSFI's current minimum targets for the CET1, Tier 1 and Total capital ratios are 8%, 9.5% and 11.5%, respectively.
$^2$ Includes the net impact on retained earnings and AOCI as at November 1, 2017 from the adoption of IFRS 9. See external reporting changes discussed in "Notes to users" on page 1 of the Supplementary Financial Information for additional details.

# BASEL III LEVERAGE RATIO

($ millions)

| Row | | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **On-balance sheet exposures** | | | | | | | | | | |
| 1 | On-balance sheet items (excluding derivatives, securities financing transactions (SFTs) and grandfathered securitization exposures, but including collateral) | 522,696 | 514,986 | 500,027 | 493,003 | 486,823 | 456,527 | 442,244 | 437,179 | 426,904 |
| 2 | Asset amounts deducted in determining Basel III Tier 1 capital | (8,291) | (7,964) | (7,852) | (7,690) | (7,411) | (3,381) | (3,483) | (3,333) | (3,188) |
| 3 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 and 2) | 514,405 | 507,022 | 492,175 | 485,313 | 479,412 | 453,146 | 438,761 | 433,846 | 423,716 |
| **Derivative exposures** | | | | | | | | | | |
| 4 | Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) | 5,973 | 5,992 | 6,734 | 5,339 | 5,066 | 6,452 | 4,981 | 6,418 | 7,065 |
| 5 | Add-on amounts for potential future exposure (PFE) associated with all derivative transactions | 19,922 | 19,889 | 18,387 | 17,224 | 15,638 | 16,567 | 14,549 | 14,406 | 14,668 |
| 6 | Gross up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | - | - | - | - | - | - | - | - | - |
| 7 | (Deductions of receivables assets for cash variation margin provided in derivative transactions) | (4,928) | (3,810) | (5,502) | (4,016) | (4,585) | (4,990) | (5,408) | (5,667) | (5,450) |
| 8 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | 13 | 141 | 467 | 389 | 125 | - | - | 216 | 356 |
| 9 | Adjusted effective notional amount of written credit derivatives | (13) | (141) | (467) | (389) | - | - | - | (22) | (154) |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | - | - | - | - | - | - | - | - | - |
| 11 | Total derivatives exposures (sum of lines 4 to 10) | 20,967 | 22,071 | 19,619 | 18,547 | 16,244 | 18,029 | 14,122 | 15,351 | 16,485 |
| **Securities financing transaction exposures** | | | | | | | | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | 49,596 | 49,881 | 55,260 | 45,418 | 45,072 | 43,842 | 44,556 | 33,810 | 36,460 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (3,107) | (4,065) | (4,501) | (2,392) | 1,903 | 1,989 | 2,013 | 1,682 | 1,772 |
| 14 | Counterparty credit risk (CCR) exposure for SFTS | 1,942 | 2,773 | 2,556 | 1,903 | 1,989 | 2,013 | 1,682 | 1,772 | 1,135 |
| 15 | Agent transaction exposures | - | - | - | - | - | - | - | - | - |
| 16 | Total securities financing transaction exposures (sum of lines 12 to 15) | 48,431 | 48,589 | 53,315 | 44,929 | 47,061 | 45,855 | 46,238 | 35,582 | 37,595 |
| **Other off-balance sheet exposures** | | | | | | | | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 246,660 | 241,179 | 236,408 | 233,667 | 231,083 | 218,975 | 211,165 | 212,888 | 208,903 |
| 18 | Off-balance sheet items (sum of lines 17 and 18) | (181,294) | (177,554) | (174,911) | (172,103) | (171,486) | (163,901) | (154,456) | (152,187) | (149,527) |
| 19 | Total off-balance sheet exposures (sum of lines 17 and 18) | 65,366 | 63,625 | 61,497 | 61,564 | 59,597 | 56,709 | 60,701 | 59,376 |
| 20 | **Total Tier 1 capital** | **27,180** | **26,490** | **25,377** | **24,682** | **23,726** | **23,624** | **22,360** | **21,666** | **20,862** |
| 21 | **Total exposures (sum of lines 3, 11, 16 and 19)** | **649,169** | **641,307** | **626,606** | **610,353** | **602,314** | **572,104** | **555,830** | **545,480** | **537,172** |
| 22 | **Basel III leverage ratio** | **4.2%** | **4.1%** | **4.0%** | **4.0%** | **3.9%** | **4.1%** | **4.0%** | **3.9%** | **4.0%** |

## SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE

| | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| 1 | Total consolidated assets as per published financial statements | 595,025 | 590,537 | 586,927 | 565,264 | 560,912 | 528,591 | 513,294 | 501,357 | 494,490 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | 37 | 27 | 67 | 80 | 80 | 120 | 136 | 129 | 165 |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | - | - | - | - | - | - | - | - | - |
| 4 | Adjustment for derivative financial instruments | (1,036) | (1,868) | (9,684) | (5,796) | (10,126) | (7,583) | (9,775) | (12,412) | (12,067) |
| 5 | Adjustment for securities financing transactions (i.e. repos and similar secured lending) | (1,165) | (1,292) | (1,945) | (9,058) | (489) | 1,989 | 2,013 | 1,682 | 1,772 |
| 6 | Adjustment for off-balance sheet items (i.e. credit equivalent amounts of off-balance sheet exposures) | 65,366 | 63,625 | 61,497 | 61,564 | 59,597 | 55,074 | 56,709 | 60,701 | 59,376 |
| 7 | Other adjustments | (9,722) | (10,256) | (10,270) | (10,138) | (6,111) | (6,216) | (6,067) | (5,927) | - |
| 8 | Leverage ratio exposure | 649,169 | 641,307 | 626,606 | 610,353 | 602,314 | 572,104 | 555,830 | 545,480 | 537,172 |

# RISK-WEIGHTED ASSETS

($ millions)

| | Q3/18 | Minimum total capital required $^1$ | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Credit risk $^2$** | **RWA** | | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** |
| **Standardized approach** | | | | | | | | | | |
| Corporate | 31,501 | 2,520 | 29,756 | 27,707 | 28,029 | 26,631 | 3,727 | 3,578 | 3,645 | 3,674 |
| Sovereign | 2,342 | 187 | 1,535 | 1,454 | 1,597 | 1,550 | 777 | 621 | 780 | 658 |
| Banks | 470 | 38 | 463 | 430 | 488 | 438 | 439 | 442 | 521 | 472 |
| Real estate secured personal lending | 2,690 | 215 | 2,592 | 2,437 | 2,735 | 2,645 | 2,085 | 2,100 | 2,181 | 2,144 |
| Other retail | 861 | 69 | 855 | 838 | 933 | 873 | 833 | 666 | 667 | 647 |
| Trading book | 222 | 18 | 194 | 181 | 187 | 188 | 152 | 130 | 123 | 105 |
| | 38,086 | 3,047 | 35,395 | 33,047 | 33,969 | 32,325 | 8,013 | 7,537 | 7,917 | 7,700 |
| **AIRB approach** | | | | | | | | | | |
| Corporate | 65,554 | 5,244 | 65,193 | 63,716 | 64,924 | 64,133 | 64,418 | 64,074 | 64,856 | 65,185 |
| Sovereign | 2,111 | 169 | 2,209 | 2,303 | 2,093 | 2,048 | 1,900 | 2,075 | 2,185 | 2,245 |
| Banks | 3,541 | 283 | 3,925 | 3,505 | 3,215 | 3,110 | 3,582 | 3,601 | 3,526 | 3,753 |
| Real estate secured personal lending | 16,236 | 1,299 | 15,900 | 15,706 | 14,738 | 14,566 | 13,691 | 13,156 | 12,115 | 11,497 |
| Qualifying revolving retail | 17,914 | 1,433 | 17,826 | 17,844 | 17,355 | 16,931 | 17,050 | 17,432 | 17,512 | 17,200 |
| Other retail | 7,696 | 616 | 7,553 | 7,507 | 7,579 | 8,296 | 8,182 | 7,965 | 7,813 | 7,738 |
| Equity | 760 | 61 | 729 | 739 | 759 | 813 | 699 | 734 | 705 | 693 |
| Trading book | 3,560 | 285 | 3,793 | 3,666 | 3,345 | 3,164 | 3,641 | 3,359 | 3,576 | 3,387 |
| Securitization | 1,082 | 87 | 1,256 | 1,276 | 1,341 | 1,296 | 1,340 | 1,398 | 2,218 | 2,290 |
| Adjustment for scaling factor | 7,107 | 569 | 7,093 | 6,966 | 6,911 | 6,852 | 6,860 | 6,818 | 6,860 | 6,830 |
| Total credit risk (before adjustment for CVA phase-in) + | 125,561 | 10,046 | 125,477 | 123,228 | 122,260 | 121,209 | 121,363 | 120,612 | 121,366 | 120,818 |
| Market risk (Internal Models and IRB Approach) | 10,739 | 859 | 10,169 | 10,675 | 11,427 | 11,356 | 10,893 | 10,322 | 10,815 | 11,276 |
| Total credit risk (before adjustment for CVA phase-in) + | 174,386 | 13,952 | 171,041 | 166,950 | 167,656 | 164,890 | 140,269 | 138,471 | 140,098 | 139,794 |
| Value-at-risk (VaR) | 879 | 70 | 924 | 858 | 935 | 1,203 | 1,005 | 989 | 881 | 911 |
| Stressed VaR | 2,705 | 216 | 2,854 | 2,214 | 2,058 | 2,420 | 2,066 | 2,104 | 1,623 | 1,729 |
| Incremental risk charge | 2,725 | 218 | 2,583 | 2,290 | 1,843 | 2,186 | 3,167 | 2,383 | 1,624 | 1,209 |
| Securitization & other | 845 | 68 | 546 | 247 | 556 | 169 | 85 | 75 | 47 | 86 |
| Total market risk | 7,154 | 572 | 6,907 | 5,609 | 5,392 | 5,978 | 6,323 | 5,551 | 4,175 | 3,935 |
| Operational risk | 26,324 | 2,106 | 25,774 | 25,241 | 24,664 | 24,327 | 22,452 | 22,081 | 21,746 | 21,327 |
| Total RWA before adjustments for CVA phase-in and capital floor $^4, 5$ | 207,864 | 16,630 | 203,722 | 197,800 | 197,712 | 195,195 | 169,044 | 166,103 | 166,019 | 165,056 | A |
| CVA capital charge $^4$ | 3,956 | 316 | 4,346 | 3,798 | 3,498 | 3,264 | 3,655 | 3,247 | 2,977 | 3,021 | B |
| CET1 RWA | 4,104 | 328 | 4,509 | 3,940 | 3,741 | 3,491 | 3,909 | 3,472 | 3,303 | 3,351 | C |
| Tier 1 RWA | 4,252 | 340 | 4,672 | 4,083 | 3,935 | 3,672 | 4,112 | 3,652 | 3,582 | 3,634 | D |
| Total RWA | | | | | | | | | | |
| Capital floor adjustment $^5$ | | | | | | | | | | |
| CET1 RWA | n/a | n/a | n/a | 3,049 | 2,111 | n/a | 2,732 | n/a | n/a | n/a | E |
| Tier 1 RWA | n/a | n/a | n/a | 2,907 | 1,868 | n/a | 2,478 | n/a | n/a | n/a | F |
| Total RWA | n/a | n/a | n/a | 2,764 | 1,674 | n/a | 2,275 | n/a | n/a | n/a | G |
| Total RWA after adjustments for CVA phase-in and capital floor $^4, 5$ | | | | | | | | | | |
| CET1 capital RWA | 211,820 | 16,946 | 208,068 | 204,647 | 203,321 | 198,459 | 175,431 | 169,350 | 168,996 | 168,077 | A+B+E |
| Tier 1 capital RWA | 211,968 | 16,958 | 208,231 | 204,647 | 203,321 | 198,686 | 175,431 | 169,575 | 169,322 | 168,407 | A+C+F |
| Total capital RWA | 212,116 | 16,970 | 208,394 | 204,647 | 203,321 | 198,867 | 175,431 | 169,755 | 169,601 | 168,690 | A+D+G |

# CHANGES IN CET1 RISK-WEIGHTED ASSETS $^1$

($ millions)

| | Q3/18 vs. Q2/18 | Q2/18 vs. Q1/18 | Q1/18 vs. Q4/17 | Q4/17 vs. Q3/17 |
| :--- | ---: | ---: | ---: | ---: |
| **Credit risk** | **Credit risk** | **Of which counterparty credit risk $^2$** | **Credit risk** | **Of which counterparty credit risk $^2$** | **Credit risk** | **Of which counterparty credit risk $^2$** | **Credit risk** | **Of which counterparty credit risk $^2$** |
| Balance at beginning of period | 175,387 | 11,472 | 170,748 | 11,131 | 171,154 | 10,125 | 168,154 | 9,436 |
| Book size $^3$ | 3,346 | 175 | 4,905 | 151 | 5,167 | 1,127 | 3,131 | 668 |
| Book quality $^4$ | (1,417) | (331) | (1,717) | (591) | (1,298) | (346) | (1,117) | (361) |
| Model updates $^5$ | 479 | - | (653) | 96 | 69 | (558) | 513 | 380 | 70 |
| Methodology and policy $^6$ | - | - | - | - | 513 | 380 | - | - | - |
| Acquisitions and disposals | 825 | (278) | 2,729 | 165 | (2,967) | (137) | 2,160 | 130 |
| Foreign exchange movements | (278) | (412) | (625) | 520 | (2,190) | (18) | (686) | 252 |
| Other | 10,943 | 17,538 | 11,472 | 170,748 | 11,131 | 171,154 | 10,125 | |
| Balance at end of period $^7$ | 178,342 | 10,943 | 175,387 | 11,472 | 170,748 | 11,131 | 171,154 | 10,125 | |
| **Market risk** | **Q3/18 vs. Q2/18** | **Q2/18 vs. Q1/18** | **Q1/18 vs. Q4/17** | **Q4/17 vs. Q3/17** |
| Balance at beginning of period | 6,907 | 5,609 | 5,392 | 5,978 |
| Movement in risk levels $^8$ | 223 | 1,079 | 257 | 80 | (505) |
| Model updates $^5$ | - | - | - | - | - | - | - | - |
| Methodology and policy $^6$ | 24 | (38) | 145 | (113) |
| Acquisitions and disposals | - | - | - | - | - | - | - | - |
| Foreign exchange movements | - | - | - | - | - | - | - | - |
| Other | 7,154 | 6,907 | 5,609 | 5,392 |
| Balance at end of period | | | | | | | | |
| **Operational risk** | **Q3/18 vs. Q2/18** | **Q2/18 vs. Q1/18** | **Q1/18 vs. Q4/17** | **Q4/17 vs. Q3/17** |
| Balance at beginning of period | 25,774 | 25,241 | 24,664 | 24,327 |
| Movement in risk levels $^9$ | 550 | 533 | 536 | 215 |
| Methodology and policy $^6$ | - | - | 41 | - |
| Acquisitions and disposals | - | - | - | 122 |
| Balance at end of period | 26,324 | 25,774 | 25,241 | 24,664 |

# BASEL III LEVERAGE RATIO

| ($ millions) | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **On-balance sheet exposures** | | | | | | | | | |
| 1 | On-balance sheet items (excluding derivatives, securities financing transactions (SFTs) and grandfathered securitization exposures, but including collateral) | 522,696 | 514,986 | 500,027 | 493,003 | 486,823 | 456,527 | 442,244 | 437,179 | 426,904 |
| 2 | Asset amounts deducted in determining Basel III Tier 1 capital | (8,291) | (7,964) | (7,852) | (7,690) | (7,411) | (3,381) | (3,483) | (3,333) | (3,188) |
| 3 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 and 2) | 514,405 | 507,022 | 492,175 | 485,313 | 479,412 | 453,146 | 438,761 | 433,846 | 423,716 |
| **Derivative exposures** | | | | | | | | | |
| 4 | Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) | 5,973 | 5,992 | 6,734 | 5,339 | 5,066 | 6,452 | 4,981 | 6,418 | 7,065 |
| 5 | Add-on amounts for potential future exposure (PFE) associated with all derivative transactions | 19,922 | 19,889 | 18,387 | 17,224 | 15,638 | 16,567 | 14,549 | 14,406 | 14,668 |
| 7 | (Deductions of receivables assets for cash variation margin provided in derivative transactions) | (4,928) | (3,810) | (5,502) | (4,016) | (4,585) | (4,990) | (5,408) | (5,667) | (5,450) |
| 8 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | 13 | 141 | 467 | 389 | 125 | - | - | 216 | 356 |
| 9 | Adjusted effective notional amount of written credit derivatives | (13) | (141) | (467) | (389) | - | - | - | (22) | (154) |
| 11 | Total derivatives exposures (sum of lines 4 to 10) | 20,967 | 22,071 | 19,619 | 18,547 | 16,244 | 18,029 | 14,122 | 15,351 | 16,485 |
| **Securities financing transaction exposures** | | | | | | | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | 49,596 | 49,881 | 55,260 | 45,418 | 45,072 | 43,842 | 44,556 | 33,810 | 36,460 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (3,107) | (4,065) | (4,501) | (2,392) | 1,903 | 1,989 | 2,013 | 1,682 | 1,772 |
| 14 | Counterparty credit risk (CCR) exposure for SFTS | 1,942 | 2,773 | 2,556 | 1,903 | 1,989 | 2,013 | 1,682 | 1,772 | 1,135 |
| 16 | Total securities financing transaction exposures (sum of lines 12 to 15) | 48,431 | 48,589 | 53,315 | 44,929 | 47,061 | 45,855 | 46,238 | 35,582 | 37,595 |
| **Other off-balance sheet exposures** | | | | | | | | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 246,660 | 241,179 | 236,408 | 233,667 | 231,083 | 218,975 | 211,165 | 212,888 | 208,903 |
| 18 | Off-balance sheet items (sum of lines 17 and 18) | (181,294) | (177,554) | (174,911) | (172,103) | (171,486) | (163,901) | (154,456) | (152,187) | (149,527) |
| 19 | Total off-balance sheet exposures (sum of lines 17 and 18) | 65,366 | 63,625 | 61,497 | 61,564 | 59,597 | 56,709 | 60,701 | 59,376 |
| 20 | **Total Tier 1 capital** | **27,180** | **26,490** | **25,377** | **24,682** | **23,726** | **23,624** | **22,360** | **21,666** | **20,862** |
| 21 | **Total exposures (sum of lines 3, 11, 16 and 19)** | **649,169** | **641,307** | **626,606** | **610,353** | **602,314** | **572,104** | **555,830** | **545,480** | **537,172** |
| 22 | **Basel III leverage ratio** | **4.2%** | **4.1%** | **4.0%** | **4.0%** | **3.9%** | **4.1%** | **4.0%** | **3.9%** | **4.0%** |

## SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE

| | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| 1 | Total consolidated assets as per published financial statements | 595,025 | 590,537 | 586,927 | 565,264 | 560,912 | 528,591 | 513,294 | 501,357 | 494,490 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | 37 | 27 | 67 | 80 | 80 | 120 | 136 | 129 | 165 |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | - | - | - | - | - | - | - | - | - |
| 4 | Adjustment for derivative financial instruments | (1,036) | (1,868) | (9,684) | (5,796) | (10,126) | (7,583) | (9,775) | (12,412) | (12,067) |
| 5 | Adjustment for securities financing transactions (i.e. repos and similar secured lending) | (1,165) | (1,292) | (1,945) | (9,058) | (489) | 1,989 | 2,013 | 1,682 | 1,772 |
| 6 | Adjustment for off-balance sheet items (i.e. credit equivalent amounts of off-balance sheet exposures) | 65,366 | 63,625 | 61,497 | 61,564 | 59,597 | 55,074 | 56,709 | 60,701 | 59,376 |
| 7 | Other adjustments | (9,722) | (10,256) | (10,270) | (10,138) | (6,111) | (6,216) | (6,067) | (5,927) | - |
| 8 | Leverage ratio exposure | 649,169 | 641,307 | 626,606 | 610,353 | 602,314 | 572,104 | 555,830 | 545,480 | 537,172 |

# RISK-WEIGHTED ASSETS

($ millions)

| | Q3/18 | Minimum total capital required $^1$ | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Credit risk $^2$** | **RWA** | | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** | **RWA** |
| **Standardized approach** | | | | | | | | | | |
| Corporate | 31,501 | 2,520 | 29,756 | 27,707 | 28,029 | 26,631 | 3,727 | 3,578 | 3,645 | 3,674 |
| Sovereign | 2,342 | 187 | 1,535 | 1,454 | 1,597 | 1,550 | 777 | 621 | 780 | 658 |
| Banks | 470 | 38 | 463 | 430 | 488 | 438 | 439 | 442 | 521 | 472 |
| Real estate secured personal lending | 2,690 | 215 | 2,592 | 2,437 | 2,735 | 2,645 | 2,085 | 2,100 | 2,181 | 2,144 |
| Other retail | 861 | 69 | 855 | 838 | 933 | 873 | 833 | 666 | 667 | 647 |
| Trading book | 222 | 18 | 194 | 181 | 187 | 188 | 152 | 130 | 123 | 105 |
| | 38,086 | 3,047 | 35,395 | 33,047 | 33,969 | 32,325 | 8,013 | 7,537 | 7,917 | 7,700 |
| **AIRB approach** | | | | | | | | | | |
| Corporate | 65,554 | 5,244 | 65,193 | 63,716 | 64,924 | 64,133 | 64,418 | 64,074 | 64,856 | 65,185 |
| Sovereign | 2,111 | 169 | 2,209 | 2,303 | 2,093 | 2,048 | 1,900 | 2,075 | 2,185 | 2,245 |
| Banks | 3,541 | 283 | 3,925 | 3,505 | 3,215 | 3,110 | 3,582 | 3,601 | 3,526 | 3,753 |
| Real estate secured personal lending | 16,236 | 1,299 | 15,900 | 15,706 | 14,738 | 14,566 | 13,691 | 13,156 | 12,115 | 11,497 |
| Qualifying revolving retail | 17,914 | 1,433 | 17,826 | 17,844 | 17,355 | 16,931 | 17,050 | 17,432 | 17,512 | 17,200 |
| Other retail | 7,696 | 616 | 7,553 | 7,507 | 7,579 | 8,296 | 8,182 | 7,965 | 7,813 | 7,738 |
| Equity | 760 | 61 | 729 | 739 | 759 | 813 | 699 | 734 | 705 | 693 |
| Trading book | 3,560 | 285 | 3,793 | 3,666 | 3,345 | 3,164 | 3,641 | 3,359 | 3,576 | 3,387 |
| Securitization | 1,082 | 87 | 1,256 | 1,276 | 1,341 | 1,296 | 1,340 | 1,398 | 2,218 | 2,290 |
| Adjustment for scaling factor | 7,107 | 569 | 7,093 | 6,966 | 6,911 | 6,852 | 6,860 | 6,818 | 6,860 | 6,830 |
| Total credit risk (before adjustment for CVA phase-in) + | 125,561 | 10,046 | 125,477 | 123,228 | 122,260 | 121,209 | 121,363 | 120,612 | 121,366 | 120,818 |
| Market risk (Internal Models and IRB Approach) | 10,739 | 859 | 10,169 | 10,675 | 11,427 | 11,356 | 10,893 | 10,322 | 10,815 | 11,276 |
| Total credit risk (before adjustment for CVA phase-in) + | 174,386 | 13,952 | 171,041 | 166,950 | 167,656 | 164,890 | 140,269 | 138,471 | 140,098 | 139,794 |
| Value-at-risk (VaR) | 879 | 70 | 924 | 858 | 935 | 1,203 | 1,005 | 989 | 881 | 911 |
| Stressed VaR | 2,705 | 216 | 2,854 | 2,214 | 2,058 | 2,420 | 2,066 | 2,104 | 1,623 | 1,729 |
| Incremental risk charge | 2,725 | 218 | 2,583 | 2,290 | 1,843 | 2,186 | 3,167 | 2,383 | 1,624 | 1,209 |
| Securitization & other | 845 | 68 | 546 | 247 | 556 | 169 | 85 | 75 | 47 | 86 |
| Total market risk | 7,154 | 572 | 6,907 | 5,609 | 5,392 | 5,978 | 6,323 | 5,551 | 4,175 | 3,935 |
| Operational risk | 26,324 | 2,106 | 25,774 | 25,241 | 24,664 | 24,327 | 22,452 | 22,081 | 21,746 | 21,327 |
| Total RWA before adjustments for CVA phase-in and capital floor $^4, 5$ | 207,864 | 16,630 | 203,722 | 197,800 | 197,712 | 195,195 | 169,044 | 166,103 | 166,019 | 165,056 |
| CVA capital charge $^4$ | 3,956 | 316 | 4,346 | 3,798 | 3,498 | 3,264 | 3,655 | 3,247 | 2,977 | 3,021 |
| CET1 RWA | 4,104 | 328 | 4,509 | 3,940 | 3,741 | 3,491 | 3,909 | 3,472 | 3,303 | 3,351 |
| Tier 1 RWA | 4,252 | 340 | 4,672 | 4,083 | 3,935 | 3,672 | 4,112 | 3,652 | 3,582 | 3,634 |
| Total RWA | | | | | | | | | | |
| Capital floor adjustment $^5$ | | | | | | | | | | |
| CET1 RWA | n/a | n/a | n/a | 3,049 | 2,111 | n/a | 2,732 | n/a | n/a | n/a |
| Tier 1 RWA | n/a | n/a | n/a | 2,907 | 1,868 | n/a | 2,478 | n/a | n/a | n/a |
| Total RWA | n/a | n/a | n/a | 2,764 | 1,674 | n/a | 2,275 | n/a | n/a | n/a |
| Total RWA after adjustments for CVA phase-in and capital floor $^4, 5$ | | | | | | | | | | |
| CET1 capital RWA | 211,820 | 16,946 | 208,068 | 204,647 | 203,321 | 198,459 | 175,431 | 169,350 | 168,996 | 168,077 |
| Tier 1 capital RWA | 211,968 | 16,958 | 208,231 | 204,647 | 203,321 | 198,686 | 175,431 | 169,575 | 169,322 | 168,407 |
| Total capital RWA | 212,116 | 16,970 | 208,394 | 204,647 | 203,321 | 198,867 | 175,431 | 169,755 | 169,601 | 168,690 |

# AIRB CREDIT RISK EXPOSURE - LOSS EXPERIENCE

| | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Business and government portfolios** | Expected loss rate % $^1$ | Actual loss rate % $^1$ | Expected loss rate % $^1$ | Actual loss rate % $^1$ | Expected loss rate % $^1$ | Actual loss rate % $^1$ | Expected loss rate % $^1$ | Actual loss rate % $^1$ | Expected loss rate % $^1$ | Actual loss rate % $^1$ | Expected loss rate % $^1$ | Actual loss rate % $^1$ |
| Corporate | 0.50 | 0.05 | 0.58 | 0.05 | 0.62 | 0.05 | 0.62 | 0.05 | 0.57 | 0.29 |
| Sovereign | 0.01 | - | 0.01 | - | 0.01 | - | 0.01 | - | 0.01 | - |
| Banks | 0.10 | - | 0.13 | - | 0.15 | - | 0.12 | - | 0.13 | - |
| **Retail portfolios** | | | | | | | | | | |
| Real estate secured personal lending | 0.09 | 0.01 | 0.09 | 0.01 | 0.09 | 0.01 | 0.08 | 0.01 | 0.07 | 0.01 |
| Qualifying revolving retail | 3.70 | 2.78 | 3.77 | 2.80 | 4.05 | 2.81 | 4.03 | 2.88 |
| Other retail | 2.35 | 0.82 | 2.40 | 0.88 | 2.48 | 0.94 | 2.44 | 0.96 |

# AIRB CREDIT RISK EXPOSURE - BACK-TESTING $^1$

| Business and government portfolios $^2$ | Q3/18 | Q2/18 | Q1/18 | Q4/17 |
| :--- | ---: | ---: | ---: | ---: |
| | Average estimated PD % | Actual default rate % | Average estimated LGD % | Actual LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Average estimated LGD % | Actual LGD % | Estimated EAD % | Actual EAD % |
| Corporate | 2.94 | 0.47 | 31.80 | 29.10 | 74.49 | 62.87 | 2.97 | 0.46 | 33.05 | 27.29 | 74.80 | 58.38 |
| Sovereign | 0.68 | - | 97.00 | 100.00 | 67.15 | n/a | 0.66 | - | 97.00 | 100.00 | 68.05 | n/a |
| Banks | 1.87 | - | - | 68.93 | n/a | 1.47 | - | - | 66.97 | n/a |
| **Retail portfolios $^3$** | | | | | | | | | | | | |
| Real estate secured personal lending | 0.49 | 0.40 | 21.24 | 11.35 | n/a | n/a | 0.61 | 0.44 | 20.75 | 7.78 | n/a | n/a |
| Uninsured residential mortgages and personal loans | 0.58 | 0.56 | n/a | n/a | n/a | n/a | 0.61 | 0.56 | n/a | n/a | n/a | n/a |
| Insured residential mortgages | 0.21 | 0.18 | 41.94 | 11.50 | 93.66 | 88.19 | 0.21 | 0.19 | 40.52 | 7.92 | 94.42 | 92.18 |
| Home equity line of credit | 1.33 | 1.12 | 91.21 | 87.60 | 102.88 | 95.74 | 1.32 | 1.14 | 91.20 | 86.99 | 102.49 | 93.12 |
| Qualifying revolving retail | 2.19 | 1.76 | 82.27 | 75.33 | 104.66 | 95.11 | 2.26 | 1.80 | 81.91 | 75.92 | 95.40 | 99.06 |
| Other retail | | | | | | | | | | | | |
| **Business and government portfolios $^2$** | Q1/18 | Q4/17 |
| | Average estimated default PD % | Actual rate % | Average estimated LGD % | Actual LGD % | Estimated EAD % | Actual EAD % | Average estimated default PD % | Actual rate % | Average estimated LGD % | Actual LGD % | Estimated EAD % | Actual EAD % |
| Corporate | 3.15 | 0.43 | 33.30 | 19.20 | 74.45 | 77.20 | 3.01 | 0.50 | 42.13 | 27.20 | 74.80 | 58.64 |
| Sovereign | 0.71 | - | 97.00 | 100.00 | 69.73 | n/a | 0.67 | - | 97.00 | 100.00 | 69.21 | n/a |
| Banks | 1.60 | - | - | 68.60 | n/a | 1.47 | - | - | 75.08 | n/a |
| **Retail portfolios $^3$** | | | | | | | | | | | | |
| Real estate secured personal lending | 0.63 | 0.46 | 21.27 | 10.39 | n/a | n/a | 0.60 | 0.46 | 21.31 | 9.96 | n/a | n/a |
| Uninsured residential mortgages and personal loans | 0.62 | 0.58 | n/a | n/a | n/a | n/a | 0.61 | 0.58 | n/a | n/a | n/a | n/a |
| Insured residential mortgages | 0.21 | 0.19 | 38.93 | 16.81 | 94.21 | 89.24 | 0.21 | 0.20 | 42.22 | 14.83 | 97.29 | 94.27 |
| Home equity line of credit | 1.28 | 1.13 | 89.12 | 88.31 | 102.64 | 95.30 | 1.30 | 1.15 | 89.57 | 88.39 | 103.46 | 96.96 |
| Qualifying revolving retail | 2.40 | 1.83 | 81.64 | 78.57 | 97.35 | 97.30 | 2.38 | 1.81 | 82.42 | 81.42 | 96.73 | 91.14 |
| Other retail | | | | | | | | | | | | |

# BUSINESS AND GOVERNMENT AIRB EXPOSURES BY INDUSTRY GROUPS $^1$

($ millions)

| | **Q3/18** | | | | | | | **Total** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Drawn** | **Undrawn commitments** | **Repo-style transactions** | **Other off-balance sheet** | **OTC derivatives** | **Total** | | | | | | | | | |
| Commercial mortgages | 704 | 7 | - | - | - | 711 | 866 | 893 | 1,065 | 1,088 | 1,200 | 1,406 | 1,694 | 2,126 |
| Financial institutions | 39,461 | 5,581 | 10,786 | 75,159 | 12,799 | 143,786 | 142,918 | 136,990 | 129,106 | 131,342 | 135,655 | 131,665 | 134,727 | 126,294 |
| Retail and wholesale | 4,986 | 2,777 | - | 256 | 63 | 8,082 | 8,035 | 7,845 | 7,532 | 7,335 | 7,285 | 7,187 | 6,967 | 7,001 |
| Business services | 7,150 | 2,537 | 33 | 649 | 77 | 10,446 | 10,419 | 10,038 | 9,769 | 9,739 | 9,046 | 8,860 | 8,682 | 8,308 |
| Manufacturing - capital goods | 2,681 | 2,053 | - | 463 | 71 | 5,268 | 5,258 | 4,832 | 4,694 | 4,678 | 4,817 | 4,616 | 4,651 | 4,783 |
| Manufacturing - consumer goods | 3,578 | 1,448 | - | 227 | 23 | 5,276 | 5,067 | 4,926 | 4,909 | 4,886 | 4,875 | 4,566 | 4,546 | 4,705 |
| Real estate and construction | 30,525 | 7,233 | 116 | 1,020 | 75 | 38,969 | 37,973 | 36,377 | 36,067 | 36,811 | 36,964 | 34,817 | 34,549 | 33,616 |
| Agriculture | 5,789 | 1,459 | 22 | 45 | 7,315 | 7,221 | 7,064 | 6,936 | 6,826 | 6,886 | 6,692 | 6,582 | 6,749 |
| Oil and gas | 7,699 | 8,292 | 970 | 2,941 | 19,902 | 19,256 | 18,572 | 18,104 | 17,330 | 17,431 | 16,762 | 17,655 | 17,185 |
| Mining | 1,368 | 3,281 | - | 706 | 85 | 5,440 | 5,493 | 5,049 | 5,253 | 4,945 | 4,934 | 4,782 | 5,104 | 4,800 |
| Forest products | 438 | 512 | - | 147 | 11 | 1,108 | 1,085 | 1,074 | 1,083 | 1,040 | 1,096 | 1,091 | 1,072 | 1,196 |
| Hardware and software | 914 | 417 | - | 41 | 10 | 1,382 | 1,222 | 1,344 | 1,420 | 1,286 | 1,213 | 1,125 | 1,108 | 1,198 |
| Telecommunications and cable | 1,145 | 954 | 433 | 139 | 2,671 | 2,685 | 2,665 | 2,850 | 2,799 | 2,324 | 2,058 | 2,040 | 2,138 |
| Broadcasting, publishing, and printing | 564 | 112 | - | 5 | 681 | 605 | 551 | 525 | 636 | 872 | 889 | 899 |
| Transportation | 3,847 | 2,121 | 451 | 604 | 7,023 | 6,910 | 6,767 | 6,729 | 6,649 | 6,277 | 5,891 | 5,867 | 5,731 |
| Utilities | 4,789 | 5,304 | 2,053 | 624 | 12,770 | 11,984 | 11,717 | 12,062 | 11,721 | 12,991 | 11,670 | 11,197 | 11,435 |
| Education, health, and social services | 2,540 | 977 | 22 | 104 | 74 | 3,717 | 3,805 | 3,761 | 3,921 | 3,712 | 3,946 | 3,699 | 3,624 | 3,699 |
| Governments | 33,785 | 4,463 | 1,116 | 279 | 2,686 | 42,329 | 41,297 | 36,073 | 32,526 | 29,812 | 31,155 | 25,945 | 29,067 | 28,080 |
| | 151,963 | 49,528 | 12,073 | 82,980 | 20,332 | 316,876 | 312,099 | 296,538 | 284,530 | 282,524 | 288,731 | 273,704 | 280,021 | 269,943 |

# CREDIT EXPOSURE (EAD $^1$)

## Business and government portfolios

| | **Q3/18** | | | | | | | **Total** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** |
| Corporate | 84,468 | 25,968 | 82,777 | 24,756 | 78,623 | 23,150 | 78,312 | 23,390 | 76,424 | 22,316 | 74,544 | 3,362 | 71,977 | 3,204 | 72,807 | 3,370 |
| Drawn | 42,096 | 4,816 | 40,825 | 4,404 | 40,340 | 3,996 | 39,078 | 4,085 | 38,629 | 3,693 | 39,935 | 147 | 37,667 | 135 | 36,845 | 145 |
| Undrawn commitments | 96,429 | 8 | 90,817 | 11 | 91,235 | 28 | 76,899 | 39 | 75,016 | 28 | 72,087 | 38 | 65,326 | 15 | 53,644 | 33 |
| Repo-style transactions | 15,099 | 811 | 16,531 | 738 | 14,072 | 703 | 13,484 | 697 | 13,848 | 675 | 15,688 | 216 | 15,706 | 235 | 18,350 | 229 |
| Other off-balance sheet | 9,122 | 37 | 9,759 | 39 | 9,043 | 46 | 8,990 | 64 | 8,111 | 75 | 9,885 | - | 8,245 | - | 9,001 | - |
| OTC derivatives | 247,214 | 31,640 | 240,709 | 29,948 | 233,313 | 27,923 | 216,763 | 28,275 | 212,028 | 26,787 | 212,139 | 3,763 | 198,921 | 3,589 | 190,647 | 3,777 |
| **Sovereign** | | | | | | | | | | | | | | | | |
| Drawn | 54,102 | 11,660 | 50,531 | 11,494 | 47,049 | 11,108 | 41,439 | 11,827 | 46,090 | 11,061 | 42,224 | 5,026 | 41,810 | 4,759 | 44,055 | 4,773 |
| Undrawn commitments | 6,395 | - | 6,484 | - | 6,168 | - | 5,642 | - | 5,733 | - | 5,547 | - | 4,722 | - | 4,670 | - |
| Repo-style transactions | 17,320 | - | 14,497 | - | 15,102 | - | 14,374 | - | 12,269 | - | 13,268 | - | 10,439 | - | 10,020 | - |
| Other off-balance sheet | 534 | 535 | 536 | 533 | 554 | 682 | 693 | 753 |
| OTC derivatives | 2,553 | 2,801 | 2,497 | 2,660 | 2,487 | 3,677 | 2,951 | 3,581 |
| | 80,904 | 11,660 | 74,848 | 11,494 | 71,352 | 11,108 | 64,648 | 11,827 | 67,133 | 11,061 | 65,398 | 5,026 | 60,615 | 4,759 | 63,079 | 4,773 |
| **Banks** | | | | | | | | | | | | | | | | |
| Drawn | 13,393 | 2,000 | 13,186 | 1,923 | 11,446 | 1,821 | 10,422 | 2,021 | 10,276 | 1,854 | 10,326 | 1,776 | 10,150 | 1,689 | 10,715 | 1,940 |
| Undrawn commitments | 1,037 | 5 | 980 | 6 | 996 | 6 | 840 | 8 | 984 | 9 | 1,040 | 1,089 | 1,011 |
| Repo-style transactions | 24,093 | - | 29,446 | - | 26,739 | - | 21,469 | - | 22,459 | - | 22,296 | - | 24,008 | - | 22,720 | - |
| Other off-balance sheet | 67,347 | - | 66,862 | - | 63,491 | - | 64,176 | - | 62,155 | - | 64,972 | - | 61,464 | - | 62,107 | - |
| OTC derivatives | 8,657 | 278 | 8,182 | 242 | 8,165 | 222 | 7,527 | 232 | 6,350 | 233 | 7,603 | 219 | 6,053 | 160 | 6,005 | 167 |
| | 114,527 | 2,283 | 118,656 | 2,171 | 110,837 | 2,049 | 104,434 | 2,261 | 102,224 | 2,096 | 106,237 | 1,995 | 102,764 | 1,849 | 102,558 | 2,107 |
| **Gross business and government portfolios** | 442,645 | 45,583 | 434,213 | 43,613 | 415,502 | 41,080 | 385,845 | 42,363 | 381,385 | 39,944 | 383,774 | 10,784 | 362,300 | 10,197 | 356,284 | 10,657 |
| Less: repo-style transaction collateral | 125,769 | 122,114 | 118,964 | 101,315 | 98,861 | 95,043 | 88,596 | 76,263 |
| **Net business and government portfolios** | 316,876 | 45,583 | 312,099 | 43,613 | 296,538 | 41,080 | 284,530 | 42,363 | 282,524 | 39,944 | 288,731 | 10,784 | 273,704 | 10,197 | 280,021 | 10,657 |

## Retail portfolios

| | **Q3/18** | | | | | | | **Total** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** |
| **Real estate secured personal lending** | | | | | | | | | | | | | | | | |
| Drawn | 225,107 | 3,551 | 225,115 | 3,423 | 224,655 | 3,200 | 223,291 | 3,423 | 219,304 | 3,284 | 211,790 | 2,696 | 206,740 | 2,556 | 201,580 | 2,645 |
| Undrawn commitments | 19,962 | 3 | 19,978 | 3 | 18,900 | 3 | 18,922 | 3 | 19,967 | 4 | 19,543 | 17,926 | 18,375 | 245,069 | 3,554 | 245,093 | 3,426 | 243,555 | 3,203 | 242,213 | 3,426 | 239,271 | 3,288 | 231,333 | 2,696 | 224,666 | 2,556 | 219,955 | 2,645 |
| **Qualifying revolving retail** | | | | | | | | | | | | | | | | |
| Drawn | 22,337 | - | 22,245 | - | 21,941 | - | 21,982 | - | 21,922 | - | 21,578 | - | 21,504 | - | 21,597 | - |
| Undrawn commitments | 50,762 | - | 49,812 | - | 49,860 | - | 49,140 | - | 46,383 | - | 46,623 | - | 48,231 | - | 47,140 | - |
| Other off-balance sheet | 273 | - | 311 | - | 240 | - | 293 | - | 311 | - | 302 | - | 258 | - | 319 | - |
| | 73,372 | - | 72,368 | - | 72,041 | - | 71,415 | - | 68,616 | - | 68,503 | - | 69,993 | - | 69,056 | - |
| **Other retail** | | | | | | | | | | | | | | | | |
| Drawn | 11,828 | 1,144 | 11,558 | 1,138 | 11,047 | 1,081 | 10,755 | 1,158 | 10,466 | 1,080 | 10,117 | 851 | 9,762 | 797 | 9,671 | 794 |
| Undrawn commitments | 2,487 | 26 | 2,448 | 28 | 2,430 | 27 | 2,396 | 28 | 2,142 | 30 | 2,088 | 27 | 2,073 | 25 | 2,026 | 26 |
| Other off-balance sheet | 29 | - | 31 | - | 36 | - | 37 | - | 33 | - | 34 | - | 36 | - | 32 | - |
| | 14,344 | 1,170 | 14,037 | 1,166 | 13,513 | 1,108 | 13,188 | 1,186 | 12,641 | 1,110 | 12,239 | 878 | 11,871 | 822 | 11,729 | 820 |
| **Total retail portfolios** | 332,785 | 4,724 | 331,498 | 4,592 | 329,109 | 4,311 | 326,816 | 4,612 | 320,528 | 4,398 | 312,075 | 3,574 | 306,530 | 3,378 | 300,740 | 3,465 |
| **Securitization exposures** | 14,054 | 14,436 | 13,884 | 14,174 | 13,350 | 12,546 | 13,001 | 18,863 |
| **Gross credit exposure** | 789,484 | 50,307 | 780,147 | 48,205 | 758,495 | 45,391 | 726,835 | 46,975 | 715,263 | 44,342 | 708,395 | 14,358 | 681,831 | 13,575 | 675,887 | 14,122 |
| Less: repo-style transaction collateral | 125,769 | 122,114 | 118,964 | 101,315 | 98,861 | 95,043 | 88,596 | 76,263 |
| **Net credit exposure** | 663,715 | 50,307 | 658,033 | 48,205 | 639,531 | 45,391 | 625,520 | 46,975 | 616,402 | 44,342 | 613,352 | 14,358 | 593,235 | 13,575 | 599,624 | 14,122 |

# CREDIT EXPOSURE - GEOGRAPHIC CONCENTRATION $^1$

| | **Q3/18** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Business and government** | | | | | | | | | |
| **Canada** | | | | | | | | | |
| Drawn | 95,072 | 91,465 | 85,135 | 80,338 | 79,063 | 75,259 | 72,212 | 75,116 | 74,422 |
| Undrawn commitments | 37,449 | 37,189 | 36,469 | 34,823 | 34,791 | 36,021 | 33,465 | 32,082 | 32,578 |
| Repo-style transactions | 6,582 | 7,846 | 8,278 | 6,962 | 6,730 | 8,244 | 7,748 | 7,497 | 4,336 |
| Other off-balance sheet | 59,687 | 58,302 | 54,903 | 52,371 | 51,675 | 55,082 | 54,291 | 54,925 | 49,518 |
| OTC derivatives | 9,882 | 9,300 | 8,118 | 9,133 | 7,625 | 11,394 | 7,973 | 8,887 | 8,722 |
| | 208,672 | 204,102 | 192,903 | 183,627 | 179,884 | 186,000 | 175,689 | 178,507 | 169,576 |
| **United States** | | | | | | | | | |
| Drawn | 41,594 | 41,347 | 38,552 | 36,261 | 41,524 | 40,900 | 39,201 | 38,792 | 37,999 |
| Undrawn commitments | 8,413 | 7,639 | 7,562 | 7,417 | 7,596 | 7,403 | 7,360 | 7,923 | 7,937 |
| Repo-style transactions | 3,521 | 3,160 | 3,138 | 2,790 | 2,430 | 2,299 | 2,253 | 1,675 | 4,181 |
| Other off-balance sheet | 16,190 | 16,749 | 16,962 | 19,358 | 19,971 | 18,819 | 19,294 | 21,077 | 20,510 |
| OTC derivatives | 5,919 | 6,325 | 5,926 | 4,754 | 4,078 | 4,364 | 4,055 | 3,885 | 3,077 |
| | 75,637 | 75,220 | 72,140 | 70,580 | 75,599 | 73,785 | 72,163 | 73,352 | 73,704 |
| **Europe** | | | | | | | | | |
| Drawn | 6,217 | 5,325 | 4,570 | 4,683 | 3,805 | 3,623 | 4,189 | 5,244 | 4,602 |
| Undrawn commitments | 2,296 | 2,138 | 2,198 | 2,133 | 1,946 | 2,085 | 1,791 | 1,725 | 1,661 |
| Repo-style transactions | 906 | 932 | 1,889 | 1,035 | 1,166 | 1,232 | 781 | 460 | 572 |
| Other off-balance sheet | 6,580 | 8,295 | 5,483 | 5,900 | 4,376 | 6,892 | 3,715 | 4,717 | 4,761 |
| OTC derivatives | 3,169 | 3,562 | 3,449 | 3,306 | 3,282 | 3,502 | 3,427 | 3,687 | 3,726 |
| | 19,168 | 20,252 | 17,589 | 17,057 | 14,575 | 17,334 | 13,903 | 15,833 | 15,322 |
| **Other countries** | | | | | | | | | |
| Drawn | 9,080 | 8,357 | 8,861 | 8,891 | 8,398 | 7,312 | 8,335 | 8,425 | 7,471 |
| Undrawn commitments | 1,370 | 1,323 | 1,275 | 1,187 | 1,013 | 1,013 | 862 | 796 | 744 |
| Repo-style transactions | 1,064 | 708 | 807 | 640 | 557 | 833 | 395 | 489 | 174 |
| Other off-balance sheet | 523 | 582 | 751 | 564 | 535 | 549 | 563 | 491 | 504 |
| OTC derivatives | 1,362 | 1,555 | 2,212 | 1,984 | 1,963 | 1,905 | 1,794 | 2,128 | 2,448 |
| | 13,399 | 12,525 | 13,906 | 13,266 | 12,466 | 11,612 | 11,949 | 12,329 | 11,341 |
| | 316,876 | 312,099 | 296,538 | 284,530 | 282,524 | 288,731 | 273,704 | 280,021 | 269,943 |

# CREDIT EXPOSURE - MATURITY PROFILE $^1$

| Business and government portfolios | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Corporate** | | | | | | | | | |
| Less than 1 year $^2$ | 64,337 | 63,506 | 61,810 | 57,008 | 56,711 | 60,057 | 56,518 | 57,633 | 55,488 |
| 1 - 3 years | 53,430 | 52,742 | 52,309 | 50,953 | 50,325 | 50,961 | 47,897 | 46,676 | 44,333 |
| 3 - 5 years | 39,054 | 37,994 | 34,340 | 36,704 | 34,676 | 34,822 | 34,003 | 36,411 | 36,344 |
| Over 5 years | 1,793 | 1,723 | 1,714 | 1,952 | 1,818 | 2,169 | 1,957 | 2,108 | 1,638 |
| | 157,783 | 156,796 | 150,173 | 146,617 | 143,530 | 148,009 | 140,375 | 142,828 | 137,803 |
| **Sovereign** | | | | | | | | | |
| Less than 1 year $^2$ | 17,429 | 14,694 | 15,110 | 12,181 | 18,998 | 14,516 | 15,532 | 15,277 | 14,571 |
| 1 - 3 years | 20,028 | 21,222 | 20,506 | 20,091 | 18,926 | 19,695 | 17,024 | 16,886 | 15,951 |
| 3 - 5 years | 26,314 | 24,368 | 21,070 | 17,774 | 16,496 | 16,883 | 16,819 | 20,131 | 16,302 |
| Over 5 years | 1,160 | 1,349 | 1,087 | 1,322 | 1,213 | 1,871 | 1,344 | 1,504 | 1,581 |
| | 64,931 | 61,633 | 57,773 | 51,368 | 55,633 | 52,965 | 50,719 | 53,798 | 48,405 |
| **Banks** | | | | | | | | | |
| Less than 1 year $^2$ | 77,489 | 77,543 | 74,797 | 72,800 | 70,511 | 72,948 | 68,075 | 69,199 | 67,043 |
| 1 - 3 years | 13,637 | 12,688 | 10,992 | 11,227 | 10,773 | 12,768 | 10,212 | 9,042 | 8,787 |
| 3 - 5 years | 2,337 | 2,534 | 2,229 | 1,844 | 1,611 | 1,573 | 4,008 | 4,627 | 7,396 |
| Over 5 years | 699 | 905 | 574 | 674 | 466 | 468 | 315 | 527 | 509 |
| | 94,162 | 93,670 | 88,592 | 86,545 | 83,361 | 87,757 | 82,610 | 83,395 | 83,735 |
| **Retail portfolios** | | | | | | | | | |
| **Real estate and secured personal lending** | | | | | | | | | |
| Less than 1 year $^2$ | 82,326 | 83,307 | 80,217 | 77,712 | 75,496 | 70,478 | 68,450 | 69,027 | 75,233 |
| 1 - 3 years | 102,426 | 100,985 | 101,537 | 100,461 | 98,288 | 93,231 | 84,631 | 78,550 | 71,028 |
| 3 - 5 years | 57,981 | 59,151 | 60,735 | 63,138 | 64,414 | 66,324 | 70,175 | 70,880 | 71,746 |
| Over 5 years | 2,336 | 1,650 | 1,066 | 902 | 1,073 | 1,300 | 1,410 | 1,498 | 1,507 |
| | 245,069 | 245,093 | 243,555 | 242,213 | 239,271 | 231,333 | 224,666 | 219,955 | 219,514 |
| **Qualifying revolving retail** | | | | | | | | | |
| Less than 1 year $^2$ | 73,372 | 72,368 | 72,041 | 71,415 | 68,616 | 68,503 | 69,993 | 69,056 | 68,334 |
| **Other retail** | | | | | | | | | |
| Less than 1 year $^2$ | 12,416 | 12,363 | 12,116 | 12,036 | 11,754 | 11,501 | 11,274 | 11,242 | 11,204 |
| 1 - 3 years | 186 | 183 | 209 | 169 | 174 | 186 | 185 | 180 | 210 |
| 3 - 5 years | 552 | 448 | 354 | 295 | 214 | 176 | 148 | 130 | 116 |
| Over 5 years | 1,190 | 1,043 | 834 | 688 | 499 | 376 | 264 | 177 | 117 |
| | 14,344 | 14,037 | 13,513 | 13,188 | 12,641 | 12,239 | 11,871 | 11,729 | 11,647 |
| **Total retail portfolios** | 332,785 | 331,498 | 329,109 | 326,816 | 320,528 | 312,075 | 306,530 | 300,740 | 299,495 |
| **Total credit exposure** | 649,661 | 643,597 | 625,647 | 611,346 | 603,052 | 600,806 | 580,234 | 580,761 | 569,438 |

# CREDIT EXPOSURE - GEOGRAPHIC CONCENTRATION $^1$

| | **Q3/18** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Business and government** | | | | | | | | | |
| **Canada** | | | | | | | | | |
| Drawn | 95,072 | 91,465 | 85,135 | 80,338 | 79,063 | 75,259 | 72,212 | 75,116 | 74,422 |
| Undrawn commitments | 37,449 | 37,189 | 36,469 | 34,823 | 34,791 | 36,021 | 33,465 | 32,082 | 32,578 |
| Repo-style transactions | 6,582 | 7,846 | 8,278 | 6,962 | 6,730 | 8,244 | 7,748 | 7,497 | 4,336 |
| Other off-balance sheet | 59,687 | 58,302 | 54,903 | 52,371 | 51,675 | 55,082 | 54,291 | 54,925 | 49,518 |
| OTC derivatives | 9,882 | 9,300 | 8,118 | 9,133 | 7,625 | 11,394 | 7,973 | 8,887 | 8,722 |
| | 208,672 | 204,102 | 192,903 | 183,627 | 179,884 | 186,000 | 175,689 | 178,507 | 169,576 |
| **United States** | | | | | | | | | |
| Drawn | 41,594 | 41,347 | 38,552 | 36,261 | 41,524 | 40,900 | 39,201 | 38,792 | 37,999 |
| Undrawn commitments | 8,413 | 7,639 | 7,562 | 7,417 | 7,596 | 7,403 | 7,360 | 7,923 | 7,937 |
| Repo-style transactions | 3,521 | 3,160 | 3,138 | 2,790 | 2,430 | 2,299 | 2,253 | 1,675 | 4,181 |
| Other off-balance sheet | 16,190 | 16,749 | 16,962 | 19,358 | 19,971 | 18,819 | 19,294 | 21,077 | 20,510 |
| OTC derivatives | 5,919 | 6,325 | 5,926 | 4,754 | 4,078 | 4,364 | 4,055 | 3,885 | 3,077 |
| | 75,637 | 75,220 | 72,140 | 70,580 | 75,599 | 73,785 | 72,163 | 73,352 | 73,704 |
| **Europe** | | | | | | | | | |
| Drawn | 6,217 | 5,325 | 4,570 | 4,683 | 3,805 | 3,623 | 4,189 | 5,244 | 4,602 |
| Undrawn commitments | 2,296 | 2,138 | 2,198 | 2,133 | 1,946 | 2,085 | 1,791 | 1,725 | 1,661 |
| Repo-style transactions | 906 | 932 | 1,889 | 1,035 | 1,166 | 1,232 | 781 | 460 | 572 |
| Other off-balance sheet | 6,580 | 8,295 | 5,483 | 5,900 | 4,376 | 6,892 | 3,715 | 4,717 | 4,761 |
| OTC derivatives | 3,169 | 3,562 | 3,449 | 3,306 | 3,282 | 3,502 | 3,427 | 3,687 | 3,726 |
| | 19,168 | 20,252 | 17,589 | 17,057 | 14,575 | 17,334 | 13,903 | 15,833 | 15,322 |
| **Other countries** | | | | | | | | | |
| Drawn | 9,080 | 8,357 | 8,861 | 8,891 | 8,398 | 7,312 | 8,335 | 8,425 | 7,471 |
| Undrawn commitments | 1,370 | 1,323 | 1,275 | 1,187 | 1,013 | 1,013 | 862 | 796 | 744 |
| Repo-style transactions | 1,064 | 708 | 807 | 640 | 557 | 833 | 395 | 489 | 174 |
| Other off-balance sheet | 523 | 582 | 751 | 564 | 535 | 549 | 563 | 491 | 504 |
| OTC derivatives | 1,362 | 1,555 | 2,212 | 1,984 | 1,963 | 1,905 | 1,794 | 2,128 | 2,448 |
| | 13,399 | 12,525 | 13,906 | 13,266 | 12,466 | 11,612 | 11,949 | 12,329 | 11,341 |
| | 316,876 | 312,099 | 296,538 | 284,530 | 282,524 | 288,731 | 273,704 | 280,021 | 269,943 |

# CREDIT EXPOSURE - MATURITY PROFILE $^1$

| Business and government portfolios | Q3/18 | Q2/18 | Q1/18 | Q4/17 | Q3/17 | Q2/17 | Q1/17 | Q4/16 | Q3/16 |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Corporate** | | | | | | | | | |
| Less than 1 year $^2$ | 64,337 | 63,506 | 61,810 | 57,008 | 56,711 | 60,057 | 56,518 | 57,633 | 55,488 |
| 1 - 3 years | 53,430 | 52,742 | 52,309 | 50,953 | 50,325 | 50,961 | 47,897 | 46,676 | 44,333 |
| 3 - 5 years | 39,054 | 37,994 | 34,340 | 36,704 | 34,676 | 34,822 | 34,003 | 36,411 | 36,344 |
| Over 5 years | 1,793 | 1,723 | 1,714 | 1,952 | 1,818 | 2,169 | 1,957 | 2,108 | 1,638 |
| | 157,783 | 156,796 | 150,173 | 146,617 | 143,530 | 148,009 | 140,375 | 142,828 | 137,803 |
| **Sovereign** | | | | | | | | | |
| Less than 1 year $^2$ | 17,429 | 14,694 | 15,110 | 12,181 | 18,998 | 14,516 | 15,532 | 15,277 | 14,571 |
| 1 - 3 years | 20,028 | 21,222 | 20,506 | 20,091 | 18,926 | 19,695 | 17,024 | 16,886 | 15,951 |
| 3 - 5 years | 26,314 | 24,368 | 21,070 | 17,774 | 16,496 | 16,883 | 16,819 | 20,131 | 16,302 |
| Over 5 years | 1,160 | 1,349 | 1,087 | 1,322 | 1,213 | 1,871 | 1,344 | 1,504 | 1,581 |
| | 64,931 | 61,633 | 57,773 | 51,368 | 55,633 | 52,965 | 50,719 | 53,798 | 48,405 |
| **Banks** | | | | | | | | | |
| Less than 1 year $^2$ | 77,489 | 77,543 | 74,797 | 72,800 | 70,511 | 72,948 | 68,075 | 69,199 | 67,043 |
| 1 - 3 years | 13,637 | 12,688 | 10,992 | 11,227 | 10,773 | 12,768 | 10,212 | 9,042 | 8,787 |
| 3 - 5 years | 2,337 | 2,534 | 2,229 | 1,844 | 1,611 | 1,573 | 4,008 | 4,627 | 7,396 |
| Over 5 years | 699 | 905 | 574 | 674 | 466 | 468 | 315 | 527 | 509 |
| | 94,162 | 93,670 | 88,592 | 86,545 | 83,361 | 87,757 | 82,610 | 83,395 | 83,735 |
| **Retail portfolios** | | | | | | | | | |
| **Real estate and secured personal lending** | | | | | | | | | |
| Less than 1 year $^2$ | 82,326 | 83,307 | 80,217 | 77,712 | 75,496 | 70,478 | 68,450 | 69,027 | 75,233 |
| 1 - 3 years | 102,426 | 100,985 | 101,537 | 100,461 | 98,288 | 93,231 | 84,631 | 78,550 | 71,028 |
| 3 - 5 years | 57,981 | 59,151 | 60,735 | 63,138 | 64,414 | 66,324 | 70,175 | 70,880 | 71,746 |
| Over 5 years | 2,336 | 1,650 | 1,066 | 902 | 1,073 | 1,300 | 1,410 | 1,498 | 1,507 |
| | 245,069 | 245,093 | 243,555 | 242,213 | 239,271 | 231,333 | 224,666 | 219,955 | 219,514 |
| **Qualifying revolving retail** | | | | | | | | | |
| Less than 1 year $^2$ | 73,372 | 72,368 | 72,041 | 71,415 | 68,616 | 68,503 | 69,993 | 69,056 | 68,334 |
| **Other retail** | | | | | | | | | |
| Less than 1 year $^2$ | 12,416 | 12,363 | 12,116 | 12,036 | 11,754 | 11,501 | 11,274 | 11,242 | 11,204 |
| 1 - 3 years | 186 | 183 | 209 | 169 | 174 | 186 | 185 | 180 | 210 |
| 3 - 5 years | 552 | 448 | 354 | 295 | 214 | 176 | 148 | 130 | 116 |
| Over 5 years | 1,190 | 1,043 | 834 | 688 | 499 | 376 | 264 | 177 | 117 |
| | 14,344 | 14,037 | 13,513 | 13,188 | 12,641 | 12,239 | 11,871 | 11,729 | 11,647 |
| **Total retail portfolios** | 332,785 | 331,498 | 329,109 | 326,816 | 320,528 | 312,075 | 306,530 | 300,740 | 299,495 |
| **Total credit exposure** | 649,661 | 643,597 | 625,647 | 611,346 | 603,052 | 600,806 | 580,234 | 580,761 | 569,438 |

# CREDIT RISK ASSOCIATED WITH DERIVATIVES

| ($ millions) | **Q3/18** | | | **Risk-weighted amount** | | | | | | | | |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | **Current replacement cost** | | **Credit equivalent amount $^1$** | **Q3/18** | **Q2/18** | **Q1/18** | **Q4/17** | **Q3/17** | **Q2/17** | **Q1/17** | **Q4/16** | **Q3/16** |
| | **Trading** | **ALM** | **Total** | | | | | | | | | |
| **Interest rate derivatives** | | | | | | | | | | | | |
| Over-the-counter | 5,718 | 897 | 6,615 | 5,084 | 544 | 542 | 563 | 653 | 693 | 759 | 741 | 915 | 1,100 |
| Forward rate agreements | 86 | 12 | 98 | 22 | 12 | 11 | 16 | 22 | 17 | 20 | 14 | 13 | 21 |
| Swap contracts | 5,884 | 909 | 6,793 | 5,148 | 557 | 555 | 580 | 678 | 711 | 781 | 761 | 930 | 1,143 |
| Purchased options | - | - | - | 94 | 3 | 3 | 1 | 2 | 2 | 2 | 1 |
| Exchange-traded | 5,885 | 909 | 6,794 | 5,242 | 560 | 558 | 581 | 680 | 713 | 783 | 762 | 932 | 1,144 |
| **Foreign exchange derivatives** | | | | | | | | | | | | |
| Over-the-counter | 2,330 | 9 | 2,339 | 3,199 | 892 | 976 | 1,061 | 938 | 970 | 869 | 839 | 900 | 732 |
| Forward contracts | 4,621 | 1,900 | 6,521 | 4,754 | 928 | 861 | 834 | 847 | 784 | 775 | 653 | 673 | 653 |
| Swap contracts | 230 | - | 230 | 249 | 68 | 68 | 84 | 81 | 107 | 126 | 104 |
| Purchased options | 7,181 | 1,909 | 9,090 | 8,202 | 1,888 | 1,905 | 1,979 | 1,866 | 1,861 | 1,770 | 1,596 | 1,696 | 1,529 |
| **Credit derivatives** | | | | | | | | | | | | |
| Over-the-counter | 114 | - | 114 | 42 | 10 | 7 | 8 | 10 | 7 | 4 | 4 | 7 | 8 |
| Credit default swap contracts - protection purchased | - | - | - | 3 | - | - | - | - | - | - | - | - | - |
| Credit default swap contracts - protection sold | 114 | - | 114 | 45 | 10 | 7 | 8 | 10 | 7 | 4 | 4 | 7 | 8 |
| **Equity derivatives** | | | | | | | | | | | | |
| Over-the-counter | 1,238 | 134 | 1,372 | 1,729 | 421 | 504 | 498 | 520 | 479 | 540 | 445 | 379 | 300 |
| Exchange-traded | 1,884 | - | 1,884 | 4,711 | 119 | 110 | 101 | 84 | 75 | 70 | 44 | 49 | 45 |
| | 3,122 | 134 | 3,256 | 6,440 | 540 | 614 | 599 | 604 | 554 | 610 | 489 | 428 | 345 |
| **Precious metal derivatives** | | | | | | | | | | | | |
| Over-the-counter | 28 | - | 28 | 44 | 19 | 21 | 22 | 19 | 15 | 20 | 28 | 17 | 15 |
| Exchange-traded | 148 | - | 148 | 15 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| | 176 | - | 176 | 59 | 20 | 22 | 23 | 20 | 16 | 21 | 29 | 17 | 15 |
| **Other commodity derivatives** | | | | | | | | | | | | |
| Over-the-counter | 2,492 | - | 2,492 | 3,870 | 1,306 | 1,388 | 1,155 | 902 | 730 | 1,054 | 991 | 1,025 | 888 |
| Exchange-traded | 81 | - | 81 | 1,487 | 58 | 50 | 50 | 40 | 33 | 38 | 37 | 39 | 43 |
| | 2,573 | - | 2,573 | 5,357 | 1,364 | 1,438 | 1,205 | 942 | 763 | 1,092 | 1,028 | 1,064 | 931 |
| **Non-trade exposure related to central counterparties** | | | | | | | | | | | | |
| CET1 CVA capital charge | | | | | 3,956 | 4,346 | 3,798 | 3,498 | 3,264 | 3,655 | 3,247 | 2,977 | 3,021 |
| **Total derivatives before netting $^1$** | **19,051** | **2,952** | **22,003** | **25,345** | **8,546** | **9,100** | **8,360** | **7,796** | **7,323** | **8,088** | **7,310** | **7,407** | **7,218** |
| Less: effect of netting $^2$ | | | | (11,491) | | | | | | | | |
| **Total derivatives** | **10,512** | | **25,345** | **8,546** | **9,100** | **8,360** | **7,796** | **7,323** | **8,088** | **7,310** | **7,407** | **7,218** |

# CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) $^1,2$

## Banks

| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| :--- | :--- | :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Investment grade $^3$** | | | | **Q3/18** | | | | | | **Q2/18** | | | | | |
| 10 | 0.03%-0.03% | AAA | Aaa | 3,015 | 0.02 | 25 | 8 | 252 | 3,137 | 0.02 | 25 | 9 | 269 |
| 21 | 0.03%-0.03% | AA+ | Aa1 | 85 | 0.03 | 15 | 3 | 2 | 88 | 0.03 | 20 | 4 | 2 |
| 24 | 0.04%-0.05% | AA | Aa2 | 35,169 | 0.04 | 6 | 1 | 347 | 33,682 | 0.04 | 6 | 1 | 288 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 6,317 | 0.05 | 15 | 7 | 412 | 7,200 | 0.05 | 18 | 8 | 579 |
| 31 | 0.07%-0.09% | A+ | A1 | 21,484 | 51 | 65 | 0.08 | 22 | 7 | 1,591 | 20,610 | 50 | 65 | 0.08 | 24 | 8 | 1,672 |
| 34 | 0.09%-0.12% | A | A2 | 10,240 | 102 | 64 | 0.10 | 8 | 4 | 400 | 13,650 | 102 | 64 | 0.10 | 7 | 4 | 501 |
| 37 | 0.13%-0.16% | A- | A3 | 10,620 | 255 | 67 | 0.12 | 10 | 5 | 533 | 7,432 | 285 | 65 | 0.12 | 13 | 6 | 466 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 4,309 | 678 | 64 | 0.16 | 12 | 9 | 386 | 5,394 | 517 | 65 | 0.16 | 15 | 10 | 556 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 716 | - | 64 | 0.23 | 13 | 15 | 107 | 201 | 50 | 65 | 0.23 | 6 | 9 | 19 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,082 | 477 | 64 | 0.33 | 17 | 18 | 200 | 875 | 403 | 63 | 0.33 | 17 | 19 | 163 |
| | 93,037 | 1,648 | 61 | 0.08 | 12 | 5 | 4,230 | 92,222 | 1,495 | 60 | 0.07 | 13 | 5 | 4,515 |
| **Non-investment grade $^3$** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 280 | 50 | 50 | 0.52 | 34 | 50 | 8,738 | 16,057 | 6,939 | 49 | 0.52 | 34 | 52 | 8,281 |
| 54 | 0.62%-1.09% | BB | Ba2 | 243 | 1 | 67 | 0.71 | 32 | 52 | 8,663 | 15,121 | 6,430 | 50 | 0.70 | 32 | 52 | 7,912 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 89 | 1.41 | 40 | 94 | 84 | 124 | 1.41 | 41 | 95 | 118 |
| 61 | 1.93%-3.99% | B+ | B1 | 276 | 1 | 66 | 2.49 | 9 | 27 | 74 | 291 | 1 | 67 | 2.49 | 7 | 18 | 54 |
| 64 | 4.00%-7.27% | B | B2 | 480 | 3 | 56 | 6.08 | 14 | 52 | 248 | 587 | 48 | 50 | 6.08 | 13 | 46 | 268 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 9.76 | 40 | 144 | 2 |
| | 1,125 | 54 | 51 | 3.79 | 13 | 40 | 469 | 1,448 | 156 | 49 | 3.59 | 14 | 38 | 569 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 243 | 14 | 43 | 100.00 | 40 | 109 | 264 | 404 | 52 | 38 | 100.00 | 33 | 183 | 739 |
| | 243 | 14 | 43 | 100.00 | 40 | 109 | 264 | 404 | 52 | 38 | 100.00 | 33 | 183 | 739 |
| | 157,072 | 69,881 | 60 | 0.90 | 33 | 43 | 67,147 | 155,931 | 67,581 | 60 | 1.03 | 33 | 43 | 66,828 |
| **Sovereign** | | | | | | | | | | | | | | | | |
| **Investment grade** | | | | | | | | | | | | | | | | |
| 00 | 0.01%-0.015% | AAA | Aaa | 30,958 | 191 | 65 | 0.01 | 6 | 1 | 219 | 29,125 | 205 | 65 | 0.01 | 5 | 1 | 211 |
| 10 | 0.016%-0.025% | AAA | Aaa | 22,764 | 3,263 | 63 | 0.02 | 8 | 2 | 476 | 21,107 | 3,190 | 63 | 0.02 | 9 | 2 | 452 |
| 21 | 0.016%-0.025% | AA+ | Aa1 | 2,501 | 1,405 | 64 | 0.02 | 13 | 2 | 51 | 2,513 | 1,382 | 64 | 0.02 | 13 | 2 | 51 |
| 24 | 0.016%-0.025% | AA | Aa2 | 2,624 | 496 | 65 | 0.02 | 25 | 8 | 217 | 2,604 | 750 | 65 | 0.02 | 29 | 7 | 187 |
| 27 | 0.026%-0.035% | AA- | Aa3 | 2,364 | 1,899 | 66 | 0.03 | 19 | 3 | 77 | 2,248 | 1,840 | 66 | 0.03 | 19 | 3 | 69 |
| 31 | 0.036%-0.05% | A+ | A1 | 793 | 833 | 65 | 0.04 | 20 | 7 | 56 | 826 | 851 | 65 | 0.04 | 25 | 8 | 67 |
| 34 | 0.06%-0.065% | A | A2 | 1,115 | 1,128 | 66 | 0.05 | 17 | 6 | 68 | 1,284 | 781 | 66 | 0.05 | 27 | 15 | 189 |
| 37 | 0.066%-0.08% | A- | A3 | 381 | 288 | 66 | 0.08 | 19 | 9 | 35 | 496 | 430 | 66 | 0.08 | 16 | 8 | 40 |
| 41 | 0.09%-0.16% | BBB+ | Baa1 | 490 | 183 | 67 | 0.14 | 27 | 16 | 80 | 550 | 301 | 66 | 0.14 | 18 | 12 | 65 |
| 44 | 0.16%-0.26% | BBB | Baa2 | 123 | 80 | 68 | 0.23 | 39 | 31 | 38 | 150 | 94 | 67 | 0.23 | 39 | 37 | 56 |
| 47 | 0.27%-0.42% | BBB- | Baa3 | 179 | 57 | 74 | 0.33 | 37 | 35 | 64 | 111 | 48 | 68 | 0.33 | 48 | 47 | 53 |
| | 64,292 | 9,823 | 65 | 0.02 | 9 | 2 | 1,381 | 61,014 | 9,872 | 65 | 0.02 | 9 | 2 | 1,440 |
| **Non-investment grade** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 555 | 123 | 29 | 0.54 | 8 | 10 | 54 | 518 | 213 | 45 | 0.54 | 8 | 10 | 53 |
| 54 | 0.62%-1.09% | BB | Ba2 | 24 | 7 | 58 | 0.74 | 35 | 57 | 14 | 31 | 12 | 55 | 0.74 | 35 | 60 | 19 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 31 | 2 | 67 | 1.41 | 20 | 38 | 12 | 33 | 2 | 65 | 1.41 | 27 | 53 |
| 61 | 1.93%-3.99% | B+ | B1 | 6 | 1 | 67 | 2.49 | 20 | 47 | 3 | 6 | 1 | 67 | 2.49 | 20 | 47 | 3 |
| 64 | 4.00%-7.27% | B | B2 | 21 | 4 | 68 | 6.08 | 17 | 54 | 12 | 30 | 4 | 68 | 6.08 | 21 | 65 |
| 67 | 7.28%-12.11% | B- | B3 | 2 | 9.76 | 20 | 75 | 2 | 63 |
| | 639 | 137 | 32 | 0.83 | 10 | 15 | 97 | 618 | 232 | 46 | 0.88 | 11 | 18 | 111 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 64,931 | 9,960 | 64 | 0.03 | 9 | 2 | 1,478 | 61,632 | 10,104 | 64 | 0.03 | 9 | 3 | 1,551 |

# CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) (continued) $^1,2$

## Banks (continued)

| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | **Q3/18** | | | | | | **Q2/18** | | | | | |
| :--- | :--- | :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | | | | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA |
| **Investment grade $^3$** | | | | | | | | | | | | | | | |
| 10 | 0.03%-0.03% | AAA | Aaa | 3,015 | 0.02 | 25 | 8 | 252 | 3,137 | 0.02 | 25 | 9 | 269 |
| 21 | 0.03%-0.03% | AA+ | Aa1 | 85 | 0.03 | 15 | 3 | 2 | 88 | 0.03 | 20 | 4 | 2 |
| 24 | 0.04%-0.05% | AA | Aa2 | 35,169 | 0.04 | 6 | 1 | 347 | 33,682 | 0.04 | 6 | 1 | 288 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 6,317 | 0.05 | 15 | 7 | 412 | 7,200 | 0.05 | 18 | 8 | 579 |
| 31 | 0.07%-0.09% | A+ | A1 | 21,484 | 51 | 65 | 0.08 | 22 | 7 | 1,591 | 20,610 | 50 | 65 | 0.08 | 24 | 8 | 1,672 |
| 34 | 0.09%-0.12% | A | A2 | 10,240 | 102 | 64 | 0.10 | 8 | 4 | 400 | 13,650 | 102 | 64 | 0.10 | 7 | 4 | 501 |
| 37 | 0.13%-0.16% | A- | A3 | 10,620 | 255 | 67 | 0.12 | 10 | 5 | 533 | 7,432 | 285 | 65 | 0.12 | 13 | 6 | 466 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 4,309 | 678 | 64 | 0.16 | 12 | 9 | 386 | 5,394 | 517 | 65 | 0.16 | 15 | 10 | 556 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 716 | - | 64 | 0.23 | 13 | 15 | 107 | 201 | 50 | 65 | 0.23 | 6 | 9 | 19 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,082 | 477 | 64 | 0.33 | 17 | 18 | 200 | 875 | 403 | 63 | 0.33 | 17 | 19 | 163 |
| | 93,037 | 1,648 | 61 | 0.08 | 12 | 5 | 4,230 | 92,222 | 1,495 | 60 | 0.07 | 13 | 5 | 4,515 |
| **Non-investment grade $^3$** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 177 | 106 | 49 | 0.54 | 24 | 29 | 51 | 35 | 53 | 42 | 0.54 | 24 | 29 | 51 |
| 54 | 0.62%-1.09% | BB | Ba2 | 280 | 1 | 67 | 0.73 | 18 | 27 | 66 | 396 | 46 | 50 | 0.73 | 12 | 18 | 70 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 89 | 1.41 | 40 | 94 | 84 | 124 | 1.41 | 41 | 95 | 118 |
| 61 | 1.93%-3.99% | B+ | B1 | 276 | 1 | 66 | 2.49 | 9 | 27 | 74 | 291 | 1 | 67 | 2.49 | 7 | 18 | 54 |
| 64 | 4.00%-7.27% | B | B2 | 480 | 3 | 56 | 6.08 | 14 | 52 | 248 | 587 | 48 | 50 | 6.08 | 13 | 46 | 268 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 9.76 | 40 | 144 | 2 |
| | 1,125 | 54 | 51 | 3.79 | 13 | 40 | 469 | 1,448 | 156 | 49 | 3.59 | 14 | 38 | 569 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 243 | 14 | 43 | 100.00 | 40 | 109 | 264 | 404 | 52 | 38 | 100.00 | 33 | 183 | 739 |
| | 243 | 14 | 43 | 100.00 | 40 | 109 | 264 | 404 | 52 | 38 | 100.00 | 33 | 183 | 739 |
| | 157,072 | 69,881 | 60 | 0.90 | 33 | 43 | 67,147 | 155,931 | 67,581 | 60 | 1.03 | 33 | 43 | 66,828 |
| **Sovereign** | | | | | | | | | | | | | | | | |
| **Investment grade** | | | | | | | | | | | | | | | | |
| 00 | 0.01%-0.015% | AAA | Aaa | 30,958 | 191 | 65 | 0.01 | 6 | 1 | 219 | 29,125 | 205 | 65 | 0.01 | 5 | 1 | 211 |
| 10 | 0.016%-0.025% | AAA | Aaa | 22,764 | 3,263 | 63 | 0.02 | 8 | 2 | 476 | 21,107 | 3,190 | 63 | 0.02 | 9 | 2 | 452 |
| 21 | 0.016%-0.025% | AA+ | Aa1 | 2,501 | 1,405 | 64 | 0.02 | 13 | 2 | 51 | 2,513 | 1,382 | 64 | 0.02 | 13 | 2 | 51 |
| 24 | 0.016%-0.025% | AA | Aa2 | 2,624 | 496 | 65 | 0.02 | 25 | 8 | 217 | 2,604 | 750 | 65 | 0.02 | 29 | 7 | 187 |
| 27 | 0.026%-0.035% | AA- | Aa3 | 2,364 | 1,899 | 66 | 0.03 | 19 | 3 | 77 | 2,248 | 1,840 | 66 | 0.03 | 19 | 3 | 69 |
| 31 | 0.036%-0.05% | A+ | A1 | 793 | 833 | 65 | 0.04 | 20 | 7 | 56 | 826 | 851 | 65 | 0.04 | 25 | 8 | 67 |
| 34 | 0.06%-0.065% | A | A2 | 1,115 | 1,128 | 66 | 0.05 | 17 | 6 | 68 | 1,284 | 781 | 66 | 0.05 | 27 | 15 | 189 |
| 37 | 0.066%-0.08% | A- | A3 | 381 | 288 | 66 | 0.08 | 19 | 9 | 35 | 496 | 430 | 66 | 0.08 | 16 | 8 | 40 |
| 41 | 0.09%-0.16% | BBB+ | Baa1 | 490 | 183 | 67 | 0.14 | 27 | 16 | 80 | 550 | 301 | 66 | 0.14 | 18 | 12 | 65 |
| 44 | 0.16%-0.26% | BBB | Baa2 | 123 | 80 | 68 | 0.23 | 39 | 31 | 38 | 150 | 94 | 67 | 0.23 | 39 | 37 | 56 |
| 47 | 0.27%-0.42% | BBB- | Baa3 | 179 | 57 | 74 | 0.33 | 37 | 35 | 64 | 111 | 48 | 68 | 0.33 | 48 | 47 | 53 |
| | 64,292 | 9,823 | 65 | 0.02 | 9 | 2 | 1,381 | 61,014 | 9,872 | 65 | 0.02 | 9 | 2 | 1,440 |
| **Non-investment grade** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 555 | 123 | 29 | 0.54 | 8 | 10 | 54 | 518 | 213 | 45 | 0.54 | 8 | 10 | 53 |
| 54 | 0.62%-1.09% | BB | Ba2 | 24 | 7 | 58 | 0.74 | 35 | 57 | 14 | 31 | 12 | 55 | 0.74 | 35 | 60 | 19 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 31 | 2 | 67 | 1.41 | 20 | 38 | 12 | 33 | 2 | 65 | 1.41 | 27 | 53 |
| 61 | 1.93%-3.99% | B+ | B1 | 6 | 1 | 67 | 2.49 | 20 | 47 | 3 | 6 | 1 | 67 | 2.49 | 20 | 47 | 3 |
| 64 | 4.00%-7.27% | B | B2 | 21 | 4 | 68 | 6.08 | 17 | 54 | 12 | 30 | 4 | 68 | 6.08 | 21 | 65 |
| 67 | 7.28%-12.11% | B- | B3 | 2 | 9.76 | 20 | 75 | 2 | 63 |
| | 639 | 137 | 32 | 0.83 | 10 | 15 | 97 | 618 | 232 | 46 | 0.88 | 11 | 18 | 111 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 64,931 | 9,960 | 64 | 0.03 | 9 | 2 | 1,478 | 61,632 | 10,104 | 64 | 0.03 | 9 | 3 | 1,551 |

# CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) (continued) $^1,2$

## Banks (continued)

| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | **Q1/18** | | | | | | **Q4/17** | | | | | |
| :--- | :--- | :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | | | | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA |
| **Investment grade $^3$** | | | | | | | | | | | | | | | |
| 10 | 0.03%-0.03% | AAA | Aaa | 2,725 | 0.02 | 24 | 8 | 206 | 2,724 | 0.02 | 22 | 5 | 122 |
| 21 | 0.03%-0.03% | AA+ | Aa1 | 87 | 0.03 | 20 | 6 | 3 | 86 | 0.03 | 28 | 8 | 4 |
| 24 | 0.04%-0.05% | AA | Aa2 | 31,969 | 0.04 | 6 | 1 | 301 | 36,085 | 0.04 | 7 | 1 | 401 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 7,036 | 0.05 | 15 | 7 | 459 | 2,709 | 0.05 | 26 | 11 | 275 |
| 31 | 0.07%-0.09% | A+ | A1 | 18,887 | 50 | 65 | 0.08 | 22 | 7 | 1,408 | 16,683 | 50 | 65 | 0.08 | 22 | 8 | 1,358 |
| 34 | 0.09%-0.12% | A | A2 | 12,883 | 102 | 64 | 0.10 | 7 | 4 | 464 | 14,419 | 62 | 69 | 0.10 | 6 | 3 | 461 |
| 37 | 0.13%-0.16% | A- | A3 | 6,659 | 285 | 65 | 0.13 | 15 | 8 | 524 | 7,079 | 330 | 63 | 0.13 | 16 | 9 | 603 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,144 | 376 | 64 | 0.17 | 14 | 10 | 537 | 4,542 | 341 | 65 | 0.17 | 16 | 12 | 544 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 502 | 220 | 64 | 0.24 | 7 | 7 | 38 | 516 | 145 | 68 | 0.24 | 10 | 10 | 50 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,048 | 402 | 63 | 0.34 | 14 | 15 | 161 | 586 | 300 | 63 | 0.34 | 16 | 17 | 98 |
| | 86,908 | 1,522 | 60 | 0.08 | 12 | 5 | 4,101 | 85,387 | 1,314 | 60 | 0.08 | 12 | 5 | 3,916 |
| **Non-investment grade $^3$** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 525 | 106 | 49 | 0.53 | 21 | 9 | 48 | 35 | 53 | 42 | 0.53 | 44 | 53 | 6 |
| 54 | 0.62%-1.09% | BB | Ba2 | 243 | 1 | 67 | 0.73 | 18 | 27 | 66 | 396 | 46 | 50 | 0.73 | 12 | 18 | 70 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 144 | - | 1.40 | 42 | 95 | 136 | 75 | 1.40 | 41 | 95 | 118 |
| 61 | 1.93%-3.99% | B+ | B1 | 256 | 2.45 | 9 | 23 | 60 | 210 | 1 | 69 | 2.45 | 7 | 18 | 54 |
| 64 | 4.00%-7.27% | B | B2 | 512 | 48 | 50 | 6.00 | 13 | 47 | 243 | 443 | 6.00 | 12 | 44 | 196 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 9.76 | 40 | 144 | 2 |
| | 1,681 | 155 | 49 | 2.77 | 12 | 32 | 555 | 1,160 | 100 | 46 | 3.10 | 11 | 31 | 382 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 94,162 | 1,702 | 61 | 0.12 | 12 | 5 | 4,699 | 93,670 | 1,651 | 59 | 0.12 | 13 | 5 | 5,084 |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | | | | | | | |
| Strong | 579 | 9 | 67 | 70 | 406 | 707 | 29 | 52 | 70 | 495 |
| Good | 117 | - | 90 | 105 | 145 | 90 | 130 |
| Satisfactory | 13 | - | 115 | 15 | 13 | 115 | 15 |
| Weak | 1 | - | 200 | 2 | 1 | 1 |
| Default | - | - | - | - | - | - | - | - | - |
| Total business and government | 316,876 | 81,552 | 61 | 0.49 | 22 | 23 | 73,324 | 311,233 | 79,336 | 61 | 0.56 | 22 | 24 | 73,463 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

## Canadian residential mortgages and HELOCS

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 79,004 | - | 0.01 | 5 | 1 | 767 | 1 | 1 |
| Very low | 0.11%- 0.20% | 825 | - | 0.12 | 24 | 18 | 147 | 1 | 18 |
| Low | 0.21% 0.35% | 694 | - | 0.25 | 19 | 21 | 147 | 22 |
| Uninsured Undrawn $^5$ | | | | | | | | | |
| Exceptionally low | 0.01% 0.10% | 79,829 | - | 0.01 | 5 | 1 | 914 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,713 | 46,873 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,329 | 4,441 | 97 | 0.27 | 20 | 10 | 434 | 2 | 11 |
| Uninsured Drawn $^5$ | | | | | | | | | |
| Exceptionally low | 0.01% 0.10% | 81,257 | n/a | n/a | 0.06 | 22 | 3 | 2,810 | 11 | 4 |
| Very low | 0.11%- 0.20% | 19,283 | n/a | n/a | 0.16 | 22 | 7 | 1,440 | 7 | 8 |
| Low | 0.21% - 0.35% | 9,443 | n/a | n/a | 0.27 | 22 | 11 | 1,029 | 6 | 12 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 31,477 | 37,321 | 77 | 0.04 | 96 | 3 | 883 | 13 | 3 |
| Very low | 0.11% - 0.20% | 8,803 | 9,688 | 70 | 0.14 | 91 | 7 | 635 | 11 | 9 |
| Low | 0.21% 0.35% | 6,367 | 5,320 | 88 | 0.26 | 88 | 12 | 751 | 15 | 15 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 1,172 | 1,292 | 77 | 0.08 | 67 | 10 | 120 | 1 | 5 |
| Very low | 0.11%- 0.20% | 3,231 | 445 | 64 | 0.13 | 30 | 9 | 297 | 1 | 23 |
| Low | 0.21% 0.35% | 1,121 | 585 | 58 | 0.29 | 74 | 39 | 432 | 2 | 41 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 82,236 | - | 0.01 | 5 | 1 | 763 | 1 | 1 |
| Very low | 0.11%- 0.20% | 392 | - | 0.18 | 23 | 22 | 85 | 22 |
| Low | 0.21% 0.35% | 674 | - | 0.25 | 19 | 21 | 140 | 21 |
| **Uninsured Undrawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 83,388 | - | 0.01 | 5 | 1 | 1,017 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,582 | 46,445 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,428 | 4,428 | 100 | 0.14 | 23 | 7 | 314 | 1 | 7 |
| **Uninsured Drawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 77,166 | n/a | n/a | 0.06 | 20 | 3 | 2,435 | 9 | 3 |
| Very low | 0.11%- 0.20% | 15,445 | n/a | n/a | 0.18 | 23 | 9 | 1,348 | 6 | 9 |
| Low | 0.21% - 0.35% | 23,245 | n/a | n/a | 0.31 | 19 | 11 | 2,494 | 14 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 30,533 | 36,292 | 77 | 0.04 | 96 | 3 | 859 | 13 | 3 |
| Very low | 0.11%- 0.20% | 8,608 | 9,506 | 70 | 0.14 | 91 | 7 | 620 | 11 | 9 |
| Low | 0.21% 0.35% | 6,286 | 5,250 | 88 | 0.26 | 88 | 12 | 741 | 15 | 15 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 3,259 | 1,301 | 77 | 0.08 | 33 | 6 | 196 | 1 | 5 |
| Very low | 0.11%- 0.20% | 1,153 | 446 | 64 | 0.13 | 72 | 22 | 251 | 1 | 23 |
| Low | 0.21% 0.35% | 1,109 | 586 | 58 | 0.29 | 74 | 39 | 432 | 2 | 41 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

## Canadian residential mortgages and HELOCS

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 82,236 | - | 0.01 | 5 | 1 | 763 | 1 | 1 |
| Very low | 0.11%- 0.20% | 392 | - | 0.18 | 23 | 22 | 85 | 22 |
| Low | 0.21% 0.35% | 674 | - | 0.25 | 19 | 21 | 140 | 21 |
| **Uninsured Undrawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 83,388 | - | 0.01 | 5 | 1 | 1,017 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,582 | 46,445 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,428 | 4,428 | 100 | 0.14 | 23 | 7 | 314 | 1 | 7 |
| **Uninsured Drawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 77,166 | n/a | n/a | 0.06 | 20 | 3 | 2,435 | 9 | 3 |
| Very low | 0.11%- 0.20% | 15,445 | n/a | n/a | 0.18 | 23 | 9 | 1,348 | 6 | 9 |
| Low | 0.21% - 0.35% | 23,245 | n/a | n/a | 0.31 | 19 | 11 | 2,494 | 14 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 30,533 | 36,292 | 77 | 0.04 | 96 | 3 | 859 | 13 | 3 |
| Very low | 0.11%- 0.20% | 8,608 | 9,506 | 70 | 0.14 | 91 | 7 | 620 | 11 | 9 |
| Low | 0.21% 0.35% | 6,286 | 5,250 | 88 | 0.26 | 88 | 12 | 741 | 15 | 15 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 3,259 | 1,301 | 77 | 0.08 | 33 | 6 | 196 | 1 | 5 |
| Very low | 0.11%- 0.20% | 1,153 | 446 | 64 | 0.13 | 72 | 22 | 251 | 1 | 23 |
| Low | 0.21% 0.35% | 1,109 | 586 | 58 | 0.29 | 73 | 37 | 432 | 2 | 41 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

## Canadian residential mortgages and HELOCS

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 82,236 | - | 0.01 | 5 | 1 | 763 | 1 | 1 |
| Very low | 0.11%- 0.20% | 392 | - | 0.18 | 23 | 22 | 85 | 22 |
| Low | 0.21% 0.35% | 674 | - | 0.25 | 19 | 21 | 140 | 21 |
| **Uninsured Undrawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 83,388 | - | 0.01 | 5 | 1 | 1,017 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,582 | 46,445 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,428 | 4,428 | 100 | 0.14 | 23 | 7 | 314 | 1 | 7 |
| **Uninsured Drawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 77,166 | n/a | n/a | 0.06 | 20 | 3 | 2,435 | 9 | 3 |
| Very low | 0.11%- 0.20% | 15,445 | n/a | n/a | 0.18 | 23 | 9 | 1,348 | 6 | 9 |
| Low | 0.21% - 0.35% | 23,245 | n/a | n/a | 0.31 | 19 | 11 | 2,494 | 14 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 30,533 | 36,292 | 77 | 0.04 | 96 | 3 | 859 | 13 | 3 |
| Very low | 0.11%- 0.20% | 8,608 | 9,506 | 70 | 0.14 | 91 | 7 | 620 | 11 | 9 |
| Low | 0.21% 0.35% | 6,286 | 5,250 | 88 | 0.26 | 88 | 12 | 741 | 15 | 15 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 3,259 | 1,301 | 77 | 0.08 | 33 | 6 | 196 | 1 | 5 |
| Very low | 0.11%- 0.20% | 1,153 | 446 | 64 | 0.13 | 72 | 22 | 251 | 1 | 23 |
| Low | 0.21% 0.35% | 1,109 | 586 | 58 | 0.29 | 73 | 37 | 432 | 2 | 41 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

## Canadian residential mortgages and HELOCS

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 82,236 | - | 0.01 | 5 | 1 | 763 | 1 | 1 |
| Very low | 0.11%- 0.20% | 392 | - | 0.18 | 23 | 22 | 85 | 22 |
| Low | 0.21% 0.35% | 674 | - | 0.25 | 19 | 21 | 140 | 21 |
| **Uninsured Undrawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 83,388 | - | 0.01 | 5 | 1 | 1,017 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,582 | 46,445 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,428 | 4,428 | 100 | 0.14 | 23 | 7 | 314 | 1 | 7 |
| **Uninsured Drawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 77,166 | n/a | n/a | 0.06 | 20 | 3 | 2,435 | 9 | 3 |
| Very low | 0.11%- 0.20% | 15,445 | n/a | n/a | 0.18 | 23 | 9 | 1,348 | 6 | 9 |
| Low | 0.21% - 0.35% | 23,245 | n/a | n/a | 0.31 | 19 | 11 | 2,494 | 14 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 30,533 | 36,292 | 77 | 0.04 | 96 | 3 | 859 | 13 | 3 |
| Very low | 0.11%- 0.20% | 8,608 | 9,506 | 70 | 0.14 | 91 | 7 | 620 | 11 | 9 |
| Low | 0.21% 0.35% | 6,286 | 5,250 | 88 | 0.26 | 88 | 12 | 741 | 15 | 15 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 3,259 | 1,301 | 77 | 0.08 | 33 | 6 | 196 | 1 | 5 |
| Very low | 0.11%- 0.20% | 1,153 | 446 | 64 | 0.13 | 72 | 22 | 251 | 1 | 23 |
| Low | 0.21% 0.35% | 1,109 | 586 | 58 | 0.29 | 73 | 37 | 432 | 2 | 41 |

# CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) (continued) $^1,2$

## Banks (continued)

| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | **Q1/18** | | | | | | **Q4/17** | | | | | |
| :--- | :--- | :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| | | | | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | RWA |
| **Investment grade $^3$** | | | | | | | | | | | | | | | |
| 10 | 0.03%-0.03% | AAA | Aaa | 2,725 | 0.02 | 24 | 8 | 206 | 2,724 | 0.02 | 22 | 5 | 122 |
| 21 | 0.03%-0.03% | AA+ | Aa1 | 87 | 0.03 | 20 | 6 | 3 | 86 | 0.03 | 28 | 8 | 4 |
| 24 | 0.04%-0.05% | AA | Aa2 | 31,969 | 0.04 | 6 | 1 | 301 | 36,085 | 0.04 | 7 | 1 | 401 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 7,036 | 0.05 | 15 | 7 | 459 | 2,709 | 0.05 | 26 | 11 | 275 |
| 31 | 0.07%-0.09% | A+ | A1 | 18,887 | 50 | 65 | 0.08 | 22 | 7 | 1,408 | 16,683 | 50 | 65 | 0.08 | 22 | 8 | 1,358 |
| 34 | 0.09%-0.12% | A | A2 | 12,883 | 102 | 64 | 0.10 | 7 | 4 | 464 | 14,419 | 62 | 69 | 0.10 | 6 | 3 | 461 |
| 37 | 0.13%-0.16% | A- | A3 | 6,659 | 285 | 65 | 0.13 | 15 | 8 | 524 | 7,079 | 330 | 63 | 0.13 | 16 | 9 | 603 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,144 | 376 | 64 | 0.17 | 14 | 10 | 537 | 4,542 | 341 | 65 | 0.17 | 16 | 12 | 544 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 502 | 220 | 64 | 0.24 | 7 | 7 | 38 | 516 | 145 | 68 | 0.24 | 10 | 10 | 50 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,048 | 402 | 63 | 0.34 | 14 | 15 | 161 | 586 | 300 | 63 | 0.34 | 16 | 17 | 98 |
| | 86,908 | 1,522 | 60 | 0.08 | 12 | 5 | 4,101 | 85,387 | 1,314 | 60 | 0.08 | 12 | 5 | 3,916 |
| **Non-investment grade $^3$** | | | | | | | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 525 | 106 | 49 | 0.53 | 21 | 9 | 48 | 35 | 53 | 42 | 0.53 | 44 | 53 | 6 |
| 54 | 0.62%-1.09% | BB | Ba2 | 243 | 1 | 67 | 0.73 | 18 | 27 | 66 | 396 | 46 | 50 | 0.73 | 12 | 18 | 70 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 144 | - | 1.40 | 42 | 95 | 136 | 75 | 1.40 | 41 | 95 | 118 |
| 61 | 1.93%-3.99% | B+ | B1 | 256 | 2.45 | 9 | 23 | 60 | 210 | 1 | 69 | 2.45 | 7 | 18 | 54 |
| 64 | 4.00%-7.27% | B | B2 | 512 | 48 | 50 | 6.00 | 13 | 47 | 243 | 443 | 6.00 | 12 | 44 | 196 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 9.76 | 40 | 144 | 2 |
| | 1,681 | 155 | 49 | 2.77 | 12 | 32 | 555 | 1,160 | 100 | 46 | 3.10 | 11 | 31 | 382 |
| **Watch list** | | | | | | | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | - | - | - | - | - | - | - | - | - | - |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | - | - | - | - | - | - | - | - | - | - |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - | - | - | - | - |
| **Default** | | | | | | | | | | | | | | | | |
| 90 | 100.00% | D | C | 88,590 | 1,677 | 59 | 0.12 | 12 | 5 | 4,659 | 86,547 | 1,414 | 59 | 0.12 | 13 | 5 | 5,084 |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | | | | | | | |
| Strong | 579 | 9 | 67 | 70 | 406 | 707 | 29 | 52 | 70 | 495 |
| Good | 117 | - | 90 | 105 | 145 | 90 | 130 |
| Satisfactory | 13 | - | 115 | 15 | 13 | 115 | 15 |
| Weak | 1 | - | 200 | 2 | 1 | 1 |
| Default | - | - | - | - | - | - | - | - | - |
| Total business and government | 316,876 | 81,552 | 61 | 0.49 | 22 | 23 | 73,324 | 311,233 | 79,336 | 61 | 0.56 | 22 | 24 | 73,463 |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^1,2$

## Canadian residential mortgages and HELOCS (continued)

| PD bands | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Expected losses | Expected losses adjusted average risk weight % $^3$ |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Insured Drawn and Undrawn $^4$** | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 82,236 | - | 0.01 | 5 | 1 | 763 | 1 | 1 |
| Very low | 0.11%- 0.20% | 392 | - | 0.18 | 23 | 22 | 85 | 22 |
| Low | 0.21% 0.35% | 674 | - | 0.25 | 19 | 21 | 140 | 21 |
| **Uninsured Undrawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 83,388 | - | 0.01 | 5 | 1 | 1,017 | 1 | 1 |
| Very low | 0.11%- 0.20% | 14,582 | 46,445 | 31 | 0.04 | 32 | 4 | 522 | 2 | 4 |
| Low | 0.21% 0.35% | 4,428 | 4,428 | 100 | 0.14 | 23 | 7 | 314 | 1 | 7 |
| **Uninsured Drawn $^5$** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 77,166 | n/a | n/a | 0.06 | 20 | 3 | 2,435 | 9 | 3 |
| Very low | 0.11%- 0.20% | 15,445 | n/a | n/a | 0.18 | 23 | 9 | 1,348 | 6 | 9 |
| Low | 0.21% - 0.35% | 23,245 | n/a | n/a | 0.31 | 19 | 11 | 2,494 | 14 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 0.01% - 0.10% | 30,533 | 36,292 | 77 | 0.04 | 96 | 3 | 859 | 13 | 3 |
| Very low | 0.11%-