# Supplementary Regulatory Capital Disclosure
For the period ended July 31, 2014

For further information, please contact:
Geoff Weiss, Senior Vice-President, Corporate CFO and Investor Relations (416) 980-5093
Jason Patchett, Senior Director, Investor Relations (416) 980-8691
http://www.cibc.com/ca/pdf/investor/q314regulatoryfinancials.pdf

# 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 Q3/14, and our 2013 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 amounts are in millions of Canadian dollars, unless otherwise stated.

## BASEL RELATED SCHEDULES

| Schedule | Page |
|---|---|
| Regulatory Capital and Ratios - Basel III (All-in basis) | 1 |
| Reconciliation of Capital (All-in basis) to Consolidated Regulatory Balance Sheet | 3 |
| Regulatory Capital and Ratios - Basel III (Transitional basis) | 4 |
| Regulatory Capital and Ratios - Basel II | 5 |
| Changes in Regulatory Capital - Basel III (All-in basis) | 6 |
| Risk-Weighted Assets (RWA) - Basel III (All-in basis) & Basel II | 7 |
| Changes in Common Equity Tier 1 (CET1) RWA - Basel III (All-in basis) | 8 |
| Credit Exposure (Exposure at default) | 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 |
| Changes in Credit Quality of AIRB Exposure - Business and Government Portfolios (Risk Rating Method) | 17 |
| Credit Quality of AIRB Exposure - Retail Portfolios | 18 |
| Changes in Credit Quality of AIRB Exposure - Retail Portfolios | 21 |
| AIRB Credit Risk Exposure - Loss Experience | 22 |
| AIRB Credit Risk Exposure - Back-Testing | 23 |
| Business and Government AIRB Exposures by Industry Groups | 24 |
| Exposure at Default (EAD) under the Standardized Approach | 25 |
| Exposure Covered by Guarantees and Credit Derivatives | 26 |
| Exposures Securitized as Originator | 26 |
| Bank Sponsored Multi-Seller Conduits Exposure | 27 |
| Total Securitization Exposures - Internal ratings based (IRB) Approach | 27 |
| Securitization Exposures - Risk Weighted Assets and Capital Charges (IRB Approach) | 28 |
| Basel - Glossary | 30 |

# REGULATORY CAPITAL AND RATIOS - BASEL III (ALL-IN BASIS $^{1, 2}$)
(\$ millions)

| Row | | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Cross-reference |
|---|---|---|---|---|---|---|---|---|---|
| **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | | | | | | |
| 1 | Directly issued qualifying common share capital plus related stock surplus | 7,836 | 7,827 | 7,832 | 7,835 | 7,839 | 7,823 | 7,844 | A+B |
| 2 | Retained earnings | 9,258 | 8,820 | 8,985 | 8,402 | 8,026 | 7,545 | 7,229 | C |
| 3 | Accumulated other comprehensive income (and other reserves) | (18) | 60 | 138 | 309 | 179 | 270 | 230 | D |
| 5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 79 | 84 | 85 | 81 | 83 | 82 | 81 | E |
| **Common Equity Tier 1 capital before regulatory adjustments** | **17,155** | **16,791** | **17,040** | **16,627** | **16,127** | **15,720** | **15,384** | |
| **Common Equity Tier 1 capital: regulatory adjustments** | | | | | | | | | |
| 7 | Prudential valuation adjustments $^{2}$ | 52 | | | | | | | See footnote 5 | |
| 8 | Goodwill (net of related tax liability) | 1,613 | 1,367 | 1,800 | 1,663 | 1,653 | 1,640 | 1,643 | F+G+H |
| 9 | Other intangibles other than mortgage-servicing rights (net of related tax liability) | 826 | 806 | 802 | 678 | 666 | 633 | 632 | I+J |
| 10 | Deferred tax assets excluding those arising from temporary differences (net of related tax liability) | 64 | 66 | 72 | 87 | 78 | 99 | 65 | K |
| 11 | Cash flow hedge reserve | 26 | 27 | 11 | 13 | 4 | 10 | L |
| 12 | Shortfall of allowances to expected losses | 27 | 35 | 116 | 133 | 49 | 10 | See footnote 5 | |
| 14 | Gain and losses due to changes in own credit risk on fair valued liabilities | 60 | 63 | 71 | 69 | 63 | 39 | 52 | M |
| 15 | Defined benefit pension fund net assets (net of related tax liability) | 113 | 211 | 211 | 657 | 639 | 638 | 431 | N+P-O |
| 16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | 20 | 21 | 16 | 6 | 16 | 11 | 17 | See footnote 5 | |
| 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) | 201 | 472 | 503 | 446 | 417 | 350 | 302 | Q+R |
| 22 | Amount exceeding the 15% threshold | 82 | 91 | 82 | 63 | 36 | 103 |
| 23 | of which: significant investments in the common stock of financials | 55 | 61 | 55 | 42 | 24 | S+T |
| 25 | of which: deferred tax assets arising from temporary differences | 27 | 30 | 27 | 21 | 12 | U |
| **28** | **Total regulatory adjustments to Common Equity Tier 1** | **3,002** | **3,150** | **3,693** | **3,834** | **3,644** | **3,460** | **3,307** | |
| **29** | **Common Equity Tier 1 capital (CET1)** | **14,153** | **13,641** | **13,347** | **12,793** | **12,483** | **12,260** | **12,077** | |
| **Additional Tier 1 (AT1) capital: instruments** | | | | | | | | | |
| 31 | Directly issued qualifying Additional Tier 1 instruments plus related stock surplus | 1,281 | 881 | 881 | 881 | 881 | 881 | 881 | V |
| 32 | of which: classified as equity under applicable accounting standards | 1,281 | 881 | 881 | 881 | 881 | 881 | 881 | |
| 33 | Directly issued capital instruments subject to phase out from Additional Tier 1 | 1,649 | 2,005 | 2,004 | 2,255 | 2,255 | 2,255 | 2,255 | W+see footnote 7 |
| 34 | Additional Tier 1 Instruments (and CET1 instruments not in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) | 10 | 9 | 9 | 9 | 9 | 9 | 9 | X |
| **36** | **Additional Tier 1 capital before regulatory adjustments** | **2,940** | **2,895** | **2,894** | **3,145** | **3,145** | **3,145** | **3,145** | |
| **Additional Tier 1 capital: regulatory adjustments** | | | | | | | | | |
| 41 | Other deductions from Tier 1 capital as determined by OSFI $^{2}$ | 48 | 52 | 50 | 50 | 48 | 43 | | |
| 41b | of which: valuation adjustment for less liquid positions $^{2}$ | 48 | 52 | 50 | 50 | 48 | 43 | | |
| **Total regulatory adjustments to Additional Tier 1 capital** | **48** | **52** | **50** | **50** | **48** | **43** | | |
| **44** | **Additional Tier 1 capital (AT1)** | **2,940** | **2,847** | **2,842** | **3,095** | **3,095** | **3,097** | **3,102** | |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | **17,093** | **16,488** | **16,189** | **15,888** | **15,578** | **15,357** | **15,179** | |
| **Tier 2 capital: instruments and provisions** | | | | | | | | | |
| 47 | Directly issued capital instruments subject to phase out from Tier 2 | 3,605 | 3,605 | 3,605 | 3,972 | 3,972 | 4,000 | 4,055 | Y |
| 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) | 13 | 12 | 12 | 11 | 11 | 12 | 12 | Z |
| 50 | Collective allowances | 73 | 101 | 84 | 90 | 100 | 102 | 106 | AA+AB |
| **51** | **Tier 2 capital before regulatory adjustments** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** | **4,173** | |
| **57** | **Total regulatory adjustments to Tier 2 capital** | | | | | | | | |
| **58** | **Tier 2 capital (T2)** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** | **4,173** | |
| **59** | **Total capital (TC = T1 + T2)** | **20,784** | **20,206** | **19,890** | **19,961** | **19,661** | **19,471** | **19,352** | |
| **60** | **Total RWA $^{2}$** | | **135,883** | **140,505** | **136,747** | **133,994** | | **125,938** | **126,366** | |
| **60a** | **Common Equity Tier 1 (CET1) Capital RWA $^{2, 9}$** | **139,920** | | **135,883** | **140,505** | | **n/a** | **n/a** | **n/a** |
| **60b** | **Tier 1 Capital RWA $^{2, 9}$** | **140,174** | | **135,883** | **140,505** | | **n/a** | **n/a** | **n/a** |
| **60c** | **Total Capital RWA $^{2, 9}$** | **140,556** | | **135,883** | **140,505** | | **n/a** | **n/a** | **n/a** |

For footnotes, see next page.

# REGULATORY CAPITAL AND RATIOS - BASEL III (ALL-IN BASIS $^{1,2}$) (continued)

(\$ millions)

| Row | | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Cross-reference |
|---|---|---|---|---|---|---|---|---|---|
| **Capital ratios** | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 10.1% | 10.0% | 9.5% | 9.4% | 9.3% | 9.7% | 9.6% | |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 12.2% | 12.1% | 11.5% | 11.6% | 11.6% | 12.2% | 12.0% | |
| 63 | Total capital (as a percentage of risk-weighted assets) | 14.8% | 14.9% | 14.2% | 14.6% | 14.7% | 15.5% | 15.3% | |
| 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 risk-weighted assets) | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 68 | Common Equity Tier 1 available to meet buffers (as percentage of risk-weighted assets) | 10.1% | 10.0% | 9.5% | 9.4% | 9.3% | 9.7% | 9.6% | |
| **OSFI all-in target (minimum + capital conservation buffer + D-SIB surcharge (if applicable))** | | | | | | | | | |
| 69 | Common Equity Tier 1 all-in target ratio | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | |
| 70 | Tier 1 capital all-in target ratio | 8.5% | 8.5% | 8.5% | n/a | n/a | n/a | n/a | |
| 71 | Total capital all-in target ratio | 10.5% | 10.5% | 10.5% | n/a | n/a | n/a | n/a | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | | | | |
| 72 | Non-significant investments in the capital of other financials | 496 | 547 | 526 | 531 | 528 | 597 | 611 | AG + AI + AJ+ see footnote 8 |
| 73 | Significant investments in the common stock of financials | 1,436 | 1,365 | 1,333 | 1,277 | 1,254 | 1,240 | 1,181 | AD+AE+AF |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 652 | 681 | 669 | 643 | 618 | 599 | 631 | 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) | 73 | 101 | 84 | 90 | 101 | 113 | 118 | |
| 77 | Cap on inclusion of allowances in Tier 2 under standardized approach | 73 | 101 | 84 | 90 | 100 | 102 | 106 | AA |
| 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 | - | - | - | - | - | - | - | |
| **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 | |
| 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 | |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 2,005 | 2,005 | 2,004 | 2,255 | 2,255 | 2,255 | 2,255 | W + see footnote 7 |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 135 | 467 | 208 | 202 | 260 | 238 | AH + see footnote 7 |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 3,605 | 3,605 | 3,605 | 4,055 | 4,055 | 4,055 | 4,055 | |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | 285 | 324 | 327 | | | | 478 | |

$^{1}$ 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. OSFI mandated all institutions to have established a target CET1 ratio of 7%, comprised of the 2019 all-in minimum ratio plus conservation buffer effective the first quarter of 2013. For the Tier 1 and Total capital ratios, the all-in targets are 8.5% and 10.5%, respectively, effective the first quarter of 2014.
$^{2}$ OSFI issued a revised "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory in April 2014, which provided modifications to the disclosures required by the earlier advisory issued in July 2013. We have implemented these modifications prospectively from Q3/14 in accordance with OSFI's revised advisory.
$^{3}$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory in accordance with Basel III all-in-basis calculations.
$^{4}$ Cross-referenced to the consolidated balance sheet, refer to pages 3 and 4.
$^{5}$ Not recorded on the consolidated balance sheet.
$^{6}$ Comprises non-cumulative Class A Preferred Shares series 26, 27, 29 and 39 (effective Q3/14) which are treated as non-viability contingent capital in accordance with OSFI's capital adequacy guidelines.
$^{7}$ Comprises CIBC Tier 1 Notes - Series A due June 30, 2108 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.
$^{8}$ Synthetic positions not recorded on the consolidated balance sheet.
$^{9}$ As a result of CIBC's choice of option for calculating the credit valuation adjustment (CVA) capital charge, the calculation of CET1, Tier 1 and Total Capital ratios are based on different RWAs 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.
$^{n/a}$ Not applicable.

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

| Assets | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment Equity accounting | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{3}$ | Of which |
|---|---|---|---|---|---|---|
| Cash and non-interest-bearing deposits with banks | 2,975 | - | - | 2,975 | | |
| Interest-bearing deposits with banks | 8,217 | - | - | 8,217 | | |
| Securities | 69,461 | (49) | - | 69,412 | | AF |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 32 | |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 107 | AG |
| Significant investments in capital of non-financial institutions | | | | | 174 | |
| Other securities | | | | | 69,099 | |
| Cash collateral on securities borrowed | 3,238 | - | - | 3,238 | | |
| Securities purchased under resale agreements | 25,105 | - | - | 25,105 | | |
| Loans | 255,918 | - | - | 255,918 | | |
| Allowance for credit losses | (1,703) | - | (73) | (1,703) | | AA |
| Collective allowance reflected in Tier 2 capital | | | | | | (73) | |
| Excess in allowance over expected losses reflected in Tier 2 capital | | | | | | (1,630) | AB |
| Allowances not reflected in regulatory capital | | | | | | | |
| Derivative instruments | 18,227 | - | - | 18,227 | | |
| Customers' liability under acceptances | 8,274 | - | - | 8,274 | | |
| Land, buildings and equipment | 1,728 | - | - | 1,728 | | |
| Goodwill | 1,435 | - | - | 1,435 | | F |
| Software and other intangible assets | 918 | - | - | 918 | | |
| Investments in equity-accounted associates and joint ventures | 1,842 | 437 | | 2,279 | | |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10% of CET1) | | | | | 147 | Q |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15% basket of CET1) | | | | | 1,021 | AD |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 249 | G |
| Significant investments in capital of other financial institutions related to goodwill | | | | | 199 | |
| Significant investments in capital of non-financial institutions | | | | | 54 | R |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10% of CET1) | | | | | 383 | T |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15% basket of CET1) | | | | | 201 | AE |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | | | | | AJ |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 25 | |
| Non significant investments in capital of non-financial institutions | | | | | | | |
| Deferred tax assets | 505 | - | - | 505 | | |
| Deferred tax assets excluding those arising from temporary differences | | | | | 64 | K |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15% basket of CET1) | | | | | | U |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | | | | | 652 | AC |
| Deferred tax liabilities related to goodwill | | | | | (71) | H |
| Deferred tax liabilities related to software and other intangible assets | | | | | (92) | J |
| Deferred tax liabilities related to defined benefit pension fund net assets | | | | | (48) | P |
| Other assets | 199 | (103) | - | 199 | | |
| Defined benefit pension fund net assets | 9,083 | (103) | | 8,980 | | N |
| Other | | | | | 4 | Al |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 8,976 | |
| Other | | | | | | | |
| **Total assets** | **405,422** | **(152)** | **437** | **405,707** | | |

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

| Liabilities | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment Equity accounting | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{3}$ | Of which |
|---|---|---|---|---|---|---|
| Deposits | 322,314 | - | - | 322,314 | | |
| Obligations related to securities sold short | 12,803 | - | - | 12,803 | | |
| Cash collateral on securities lent | 1,359 | - | - | 1,359 | | |
| Obligations related to securities sold under repurchase agreements | 9,437 | - | - | 9,437 | | |
| Derivative instruments | 17,957 | - | - | 17,957 | | |
| Acceptances | 8,274 | - | - | 8,274 | | |
| Deferred tax liability | 29 | - | - | 29 | | |
| Other liabilities | 10,550 | 374 | (89) | 10,835 | | O |
| Defined benefit pension fund net liabilities | | | | | 10,797 | | |
| Other | | | | | 3,805 | | |
| Subordinated indebtedness | 4,187 | - | - | 4,187 | | Y |
| Subordinated indebtedness allowed for inclusion into Tier 2 capital subject to phase out | | | | | 3,605 | | |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for Tier 2 capital | | | | | 255 | | |
| Subordinated indebtedness excluded from Tier 2 capital due to cap | | | | | 285 | | |
| Subordinated indebtedness not allowed for Tier 2 capital | | | | | 42 | | |
| **Total liabilities** | **386,910** | **374** | **(89)** | **387,195** | | |
| **Equity** | | | | | | | |
| Preferred shares | 1,281 | - | - | 1,281 | | V |
| Preferred shares allowed for inclusion into additional Tier 1 capital | | | | | 1,281 | | |
| Preferred shares allowed for inclusion into additional Tier 1 capital subject to phase out | | | | | | W | |
| Preferred shares excluded from additional Tier 1 capital due to cap | | | | | | AH | |
| Common shares | 7,758 | - | - | 7,758 | | A |
| Contributed surplus | 78 | (525) | 525 | 78 | | B |
| Retained earnings | 9,258 | (525) | 525 | 9,258 | | C |
| Gains and losses due to changes in own credit risk on fair valued liabilities | 60 | | | | 60 | M |
| Other retained earnings | 9,198 | | | | 9,198 | |
| AOCI | (18) | (1) | 1 | (18) | | D |
| Cash flow hedges | (18) | (1) | 1 | (26) | L |
| Other | | | | | (44) | |
| Non-controlling interests | 155 | - | - | 155 | | |
| Portion allowed for inclusion into CET1 | 10 | | | | | E |
| Portion allowed for inclusion into additional Tier 1 capital | | | | | | 79 | |
| Portion allowed for inclusion into Tier 2 capital | 13 | | | | | | 53 | |
| Portion not allowed for regulatory capital | | | | | | | |
| **Total equity** | **18,512** | **(526)** | **526** | **18,512** | | |
| **Total liabilities and equity** | **405,422** | **(152)** | **437** | **405,707** | | |

# REGULATORY CAPITAL AND RATIOS - BASEL III (TRANSITIONAL BASIS)

| Row | | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 |
|---|---|---|---|---|---|---|---|---|
| **29** | **Common Equity Tier 1 capital (CET1)** | **16,983** | **16,532** | **16,705** | **16,698** | **16,218** | **15,871** | **15,556** |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | **18,491** | **18,076** | **17,851** | **17,830** | **17,412** | **17,070** | **16,718** |
| **59** | **Total capital (TC = T1 + T2)** | **22,081** | **21,581** | **21,295** | **21,601** | **21,251** | **20,992** | **20,689** |
| **60** | **Total risk-weighted assets +** | **155,644** | **152,044** | **153,245** | **151,338** | **152,176** | **138,256** | **134,821** |
| **Capital ratios** | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 10.9% | 10.9% | 10.9% | 11.0% | 10.7% | 11.5% | 11.5% |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 11.9% | 11.9% | 11.6% | 11.8% | 11.4% | 12.4% | 12.4% |
| 63 | Total capital (as a percentage of risk-weighted assets) | 14.2% | 14.2% | 13.9% | 14.3% | 14.0% | 15.2% | 15.3% |

$^{1}$ 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, 2014, CIBC Re had \$74 million in assets, \$(287) million in liabilities, and \$361 million in equity, and CIBC Life had \$78 million in assets, \$(87) million in liabilities, and \$165 million in equity.
$^{3}$ Refer to pages 1 and 2.
$^{4}$ The minimum total capital requirement is \$12,452 million (Q2/14:\$12,163 million) and is calculated by multiplying RWA by 8%. It refers to the minimum standard established by the Basel Committee on Banking Supervision (BCBS) before the application of the capital conservation buffer, and any other capital buffers including but not limited to the capital surcharge for global/domestic systemically important banks that may be established by regulators from time to time.

# REGULATORY CAPITAL AND RATIOS - BASEL II $^{1}$

(\$ millions)

| | Q4/12 | Q3/12 |
|---|---|---|
| **Tier 1 capital $^{2}$** | | |
| Common shares | 7,751 | 7,727 |
| Contributed surplus | 85 | 87 |
| Retained earnings | 7,042 | 6,719 |
| Adjustment for transition to IFRS $^{3}$ | 274 | 549 |
| Foreign currency translation adjustments | (88) | (74) |
| Non-cumulative preferred shares | 1,706 | 2,006 |
| Innovative instruments $^{4}$ | 1,678 | 1,672 |
| Certain non-controlling interests in subsidiaries | 172 | 167 |
| Goodwill | (1,702) | (1,682) |
| Other deductions | (43) | (43) |
| 50/50 deductions from each of Tier 1 and Tier 2 $^{5}$ | (935) | (884) |
| **Tier 1 capital** | **15,940** | **16,244** |
| **Tier 2 capital $^{2}$** | | |
| Perpetual subordinated indebtedness | 219 | 221 |
| Other subordinated indebtedness (net of amortization) | 4,398 | 4,391 |
| Net after-tax unrealized holding gains on AFS equity securities | 196 | 201 |
| Eligible allowance | 106 | 145 |
| 50/50 deductions from each of Tier 1 and Tier 2 $^{5}$ | (935) | (884) |
| **Tier 2 capital** | **3,984** | **4,074** |
| **Total regulatory capital** | **19,924** | **20,318** |
| **Total RWA** | **115,229** | **114,894** |
| **Tier 1 capital ratio** | **13.8%** | **14.1%** |
| **Total capital ratio** | **17.3%** | **17.7%** |

$^{1}$ Basel II standards required that banks maintain a minimum Tier 1 and Total capital ratios of 4% and 8%, respectively. OSFI had established that Canadian deposit-taking institutions maintain Tier 1 and Total capital ratios of at least 7% and 10%, respectively.
$^{2}$ Excludes short trading positions in CIBC capital instruments.
$^{3}$ Incorporates OSFI's IFRS transitional relief election over five quarters starting November 1, 2011.
$^{4}$ On March 13, 2009 CIBC Capital Trust, wholly owned by CIBC, issued \$1.3 billion of 9.976% CIBC Tier 1 Notes - Series A due June 30, 2108 and \$300 million of 10.25% CIBC Tier 1 Notes - Series B due June 30, 2108 (together, the Tier 1 Notes). The Tier 1 Notes qualify as our Tier 1 regulatory capital.
$^{5}$ Items which are deducted 50% from each of Tier 1 capital and Tier 2 capital include allowance shortfall calculated under AIRB approach, securitization exposures (other than gain on sale of applicable securitized assets), investment in insurance activities and substantial investments in unconsolidated entities.

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

(\$ millions)

| | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 |
|---|---|---|---|---|---|---|
| **Core Tier 1 (CET1) capital** | | | | | | |
| Opening amount $^{2}$ | 13,641 | 13,347 | 12,360 | 12,483 | 12,260 | 12,077 |
| New capital issues | 33 | 12 | 24 | 14 | 15 | 26 |
| Redeemed capital | (15) | (18) | (27) | (18) | - | (48) |
| Purchase of common shares for cancellation | (59) | (67) | (100) | (59) | (158) |
| Premium on purchase of common shares for cancellation | (416) | (415) | (407) | (408) | (409) | (401) |
| Gross dividends (deduction) | 918 | 317 | 1,174 | 843 | 890 | 874 |
| Shares issued in lieu of dividends (add back) | 3 | 8 | (2) | (6) | (24) | 13 |
| Profit for the quarter (attributable to shareholders of the parent company) | (22) | (71) | 231 | 50 | 63 | 29 |
| Removal of own credit spread (net of tax) | 32 | 7 | 67 | (150) | 17 |
| Movements in other comprehensive income | (1) | 16 | (2) | 13 | (4) | (6) |
| Currency translation differences | (87) | 9 | (58) | n/a | n/a | n/a |
| Available-for-sale investments | (266) | 429 | (261) | (22) | (46) | 4 |
| Post-employment defined benefit plans | 8 | 81 | 17 | (84) | (39) | 42 |
| Goodwill and other intangible assets (deduction, net of related tax liability) | 2 | 6 | 15 | (9) | 21 | (34) |
| Shortfall of allowance to expected losses | 98 | 446 | (18) | (1) | (207) |
| Other, including regulatory adjustments and transitional arrangements | 271 | 31 | (57) | (29) | (67) | (48) |
| Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) | 82 | 9 | (9) | (19) | (27) | 67 |
| Defined benefit pension fund net assets | (52) | (17) | (21) | (4) | (5) | 1 |
| Prudential valuation adjustments | 13 | | | | | |
| Other | **14,153** | **13,641** | **13,347** | **12,793** | **12,483** | **12,260** |
| Closing amount | | | | | | |
| **Other non-core Tier 1 (additional Tier 1) capital** | | | | | | |
| Opening amount | 2,847 | 2,842 | 3,095 | 3,095 | 3,097 | 3,102 |
| New non-core tier 1 (additional tier 1) eligible capital issues | 400 | | | | | |
| Redeemed capital$^{3}$ | (356) | | (250) | | | |
| Redeemed capital | | | | | | |
| Impact of the cap on inclusion for instruments subject to phase out | 49 | 5 | (3) | (2) | (5) | |
| Other, including regulatory adjustments and transitional arrangements | **2,940** | **2,847** | **2,842** | **3,095** | **3,095** | **3,097** |
| Closing amount | **17,093** | **16,488** | **16,189** | **15,888** | **15,578** | **15,357** |
| **Total Tier 1 capital** | | | | | | |
| **Tier 2 capital** | | | | | | |
| Opening amount | 3,718 | 3,701 | 4,073 | 4,083 | 4,114 | 4,173 |
| New tier 2 eligible capital issues | | | | (550) | | |
| Amortization adjustments | | | | | | |
| Impact of the cap on inclusion for instruments subject to phase out | (49) | | | | | |
| Other, including regulatory adjustments and transitional arrangements | (327) | 478 | | | | |
| Closing amount | (27) | 17 | 4 | (10) | (31) | 13 |
| **Total regulatory capital** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** | **20,784** | **20,206** | **19,890** | **19,961** | **19,661** | **19,471** |

$^{1}$ 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.
$^{2}$ Q1/14 amounts are net of \$84 million of retained earnings and \$349 million of AOCI relating to the adoption of IAS 19 "Employee Benefits" and IFRS 10 "Consolidated Financial Statements".
$^{3}$ Due to the application of the cap on inclusion of non-qualifying capital instruments, the redemption of \$144 million of the total \$500 million of Non-cumulative Rate Rest Class A Series 33 and 37 Preferred Shares in Q3/14, and \$325 million of Non-cumulative Rate Reset Class A Series 35 Preferred Shares in Q2/14 did not impact Tier 1 capital.

# RISK-WEIGHTED ASSETS

| (\$ millions) | Credit risk | RWA | Minimum total capital required$^{3}$ | RWA - Basel III (All-in basis $^{2}$) | RWA - Basel II |
|---|---|---|---|---|---|
| | **Standardized approach** | | | | |
| Corporate | 6,975 | 558 | 7,108 | 6,544 | 6,394 | 7,179 | 7,309 | 7,473 | 7,926 | 8,078 |
| Sovereign | | | | | | | | | |
| Banks | | | | | | | | | |
| Real estate secured personal lending | | | | | | | | | |
| Other retail | | | | | | | | | |
| Trading book | | | | | | | | | |
| | **AIRB approach** | | | | | | | | |
| Corporate | 49,019 | 3,922 | 46,754 | 47,768 | 45,669 | 44,691 | 40,603 | 39,697 | 39,237 | 39,051 |
| Sovereign $^{4}$ | 1,717 | 137 | 1,728 | 1,674 | 1,704 | 1,738 | 1,650 | 1,760 | 1,727 | 1,685 |
| Banks | 3,930 | 314 | 3,670 | 5,790 | 5,169 | 4,561 | 4,800 | 4,148 | 2,840 | 3,042 |
| Real estate secured personal lending | 7,243 | 579 | 7,060 | 6,999 | 7,508 | 7,656 | 5,762 | 5,593 | 4,825 | 5,117 |
| Qualifying revolving retail | 16,024 | 1,282 | 16,124 | 16,060 | 18,775 | 16,908 | 15,505 | 15,904 | 15,852 | 14,725 |
| Other retail | 6,586 | 527 | 6,458 | 6,327 | 5,643 | 5,337 | 5,074 | 5,042 | 5,011 | 5,711 |
| Equity | 728 | 58 | 880 | 876 | 845 | 842 | 911 | 902 | 901 | 917 |
| Trading book | 2,286 | 183 | 2,470 | 3,449 | 3,085 | 3,142 | 2,943 | 2,885 | 2,064 | 2,401 |
| Securitization | 2,008 | 161 | 2,276 | 2,482 | 2,830 | 2,996 | 3,047 | 3,023 | 2,621 | 2,710 |
| Adjustment for scaling factor $^{5}$ | 5,355 | 428 | 5,219 | 5,460 | 5,449 | 5,244 | 4,818 | 4,737 | 4,505 | 4,521 |
| **Other credit RWA $^{5}$** | **14,735** | **1,179** | **12,903** | **12,503** | **12,030** | **11,921** | **11,282** | **12,461** | **5,851** | **5,649** |
| **Total credit risk (before adjustment for CVA phase-in) $^{6}$** | **116,606** | **9,328** | **112,650** | **115,932** | **115,101** | **112,215** | **103,704** | **103,625** | **93,360** | **93,607** |
| **Market risk (Internal Models and IRB Approach)** | | | | | | | | | |
| VaR | 656 | 52 | 726 | 728 | 696 | 685 | 793 | 852 | 983 | 1,033 |
| Stressed VaR | 1,766 | 141 | 1,902 | 1,669 | 876 | 1,365 | 1,624 | 1,903 | 1,141 | 1,009 |
| Incremental risk charge | 1,595 | 128 | 1,490 | 1,723 | 1,854 | 1,326 | 1,055 | 1,184 | 886 | 1,071 |
| Securitization | 94 | 8 | 30 | 50 | 34 | 20 | 22 | 14 | 23 | 25 |
| **Total market risk** | **4,111** | **329** | **4,148** | **4,170** | **3,460** | **3,396** | **3,494** | **3,953** | **3,033** | **3,138** |
| **Total RWA before adjustment for CVA phase-in** | **138,106** | **11,048** | **133,913** | **137,889** | **136,747** | **133,994** | **125,938** | **126,366** | **115,229** | **114,894** |
| **CVA adjustment $^{6}$** | | | | | | | | | |
| CET1 RWA | A | 1,814 | 145 | 1,970 | 2,616 | n/a | n/a | n/a | n/a | n/a | n/a |
| Tier 1 RWA | B | 2,068 | 165 | 1,970 | 2,616 | n/a | n/a | n/a | n/a | n/a | n/a |
| Total RWA | C | 2,450 | 196 | 1,970 | 2,616 | n/a | n/a | n/a | n/a | n/a | n/a |
| **Total RWA after adjustment for CVA phase-in** | | | | | | | | | |
| CET1 capital RWA | A+B | 139,920 | 11,193 | 135,883 | 140,505 | n/a | n/a | n/a | n/a | n/a | n/a |
| Tier 1 capital RWA | A+C | 140,174 | 11,213 | 135,883 | 140,505 | n/a | n/a | n/a | n/a | n/a | n/a |
| Total capital RWA | A+D | 140,556 | 11,244 | 135,883 | 140,505 | n/a | n/a | n/a | n/a | n/a | n/a |

$^{1}$ Certain prior period amounts have been reclassified to conform to the presentation adopted in the current period.
$^{2}$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019. Certain deductions from capital are phased in at 20% per year starting 2014. Transitional RWAs differ from RWAs on an all-in basis largely due to the risk weighting of amounts not yet deducted from capital under OSFI's transitional rules.
$^{3}$ Refers to the minimum standard established by the BCBS before the application of the capital conservation buffer and any other capital buffers including but not limited to the capital surcharge for global/domestic systemically important banks that may be established by regulators from time to time. It is calculated by multiplying RWA by 8%.
$^{4}$ Includes residential mortgages insured by Canadian Mortgage and Housing Corporation (CMHC), an agency of the government of Canada, and government guaranteed student loans.
$^{5}$ Effective Q1/13, certain items that were previously deducted from capital under Basel II (such as significant investments in commercial entities and exposures relating to securitization that are deducted from capital) are now risk-weighted at 1,250%. Other items are only deducted under Basel III if they exceed certain thresholds; the amounts not deducted are risk-weighted at 250%.
$^{6}$ As a result of CIBC's choice of option for calculating the CVA capital charge, the calculation of CET1, Tier 1 and Total Capital ratios are based on different RWAs beginning in Q3/14. The charge will be phased-in during 2014-2019 and relates to bilateral OTC derivatives included in credit risk RWA.
$^{n/a}$ Not applicable.

# CHANGES IN CET1 RISK-WEIGHTED ASSETS (ALL-IN BASIS $^{1}$)

| | Q3/14 vs. Q2/14 | Q2/14 vs. Q1/14 | Q1/14 vs. Q4/13 | Q4/13 vs. Q3/13 |
|---|---|---|---|---|
| | Credit risk | Market risk | Operational risk | Credit risk | Market risk | Operational risk | Credit risk | Market risk | Operational risk | Credit risk | Market risk | Operational risk |
| **Balance at beginning of period** | 114,620 | 4,148 | 17,115 | 118,548 | 4,170 | 17,787 | 115,101 | 3,460 | 18,186 | 112,215 | 3,396 | 18,383 |
| Book size $^{3}$ | 1,818 | (59) | (1,166) | (392) | 1,506 | 46 | 1,706 | 526 |
| Book quality $^{4}$ | (580) | 40 | 148 | (199) | (514) | (358) | (155) | (73) |
| Model updates | 1,879 | 88 | (64) | | 54 | 1 | 598 | 59 |
| Methodology and policy $^{5}$ | | | (1,846) | (1,533) | 2,616 | 2,616 | 535 | |
| Acquisitions and disposals | | | | (2,024) | | | | |
| Foreign exchange movements | (255) | (17) | (541) | (95) | 2,595 | 224 | 573 | 89 |
| Other | 938 | (218) | (459) | 37 | (786) | (89) | (371) | 61 |
| **Balance at end of period** | **118,420** | **5,613** | **114,620** | **5,779** | **118,548** | **7,961** | **115,101** | **5,521** |

| | Q3/14 vs. Q2/14 | Q2/14 vs. Q1/14 | Q1/14 vs. Q4/13 | Q4/13 vs. Q3/13 |
|---|---|---|---|---|
| | Market risk | Operational risk | Market risk | Operational risk | Market risk | Operational risk | Market risk | Operational risk |
| **Balance at beginning of period** | 4,148 | 17,115 | 4,170 | 17,787 | 3,460 | 18,186 | 3,396 | 18,383 |
| Movement in risk levels $^{8}$ | (15) | | (44) | | 558 | | 29 | |
| Model updates | | | 5 | - | | | | |
| Methodology and policy | | | - | - | | | | |
| Acquisitions and disposals | | | - | - | | | | |
| Foreign exchange movements | (22) | 17 | 152 | 35 |
| Other | 4,111 | 4,148 | 4,170 | 3,460 |
| **Balance at end of period** | | | | | | | | |

$^{1}$ 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.
$^{2}$ Comprises derivatives and repo-style transactions.
$^{3}$ Relates to net increase/decrease in the underlying exposures.
$^{4}$ Relates to changes in credit risk mitigation and credit quality of the borrower/counterparty.
$^{5}$ Relates to internal model or parameter changes.
$^{6}$ Relates to regulatory changes implemented on an industry wide basis (i.e. Basel III) and any capital methodology changes implemented within CIBC for our portfolios.
$^{7}$ Includes CET1 CVA RWAs (Q3/14: \$1,814 million; Q2/14: \$1,970 million) relating to bilateral OTC derivatives.
$^{8}$ Relates to changes in open positions and market data.
$^{9}$ Relates to changes in loss experience, business environment and internal control factors.

# CREDIT EXPOSURE (EXPOSURE AT DEFAULT)

## Business and government portfolios

| | Q3/14 | | | | | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | 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** | | | | | | | | | | | | | | | | |
| Drawn | 52,424 | 3,094 | 52,153 | 3,013 | 52,884 | 3,115 | 50,634 | 3,336 | 50,182 | 3,385 | 48,022 | 3,207 | 44,912 | 3,174 | 43,836 | 3,448 |
| Undrawn commitments | 32,758 | 319 | 31,383 | 287 | 32,515 | 414 | 29,742 | 350 | 29,423 | 181 | 28,613 | 131 | 28,172 | 153 | 28,023 | 233 |
| Repo-style transactions | 25,075 | 12 | 22,995 | 10 | 23,143 | 10 | 23,778 | 7 | 26,559 | 115 | 25,782 | 141 | 27,592 | 166 | 29,823 | 138 |
| Other off-balance sheet | 9,580 | 197 | 11,248 | 216 | 10,832 | 194 | 9,600 | 131 | 9,526 | 98 | 11,808 | 162 | 9,408 | 169 | 8,332 | 180 |
| OTC derivatives | 5,448 | 5,727 | 6,535 | 4,037 | 4,315 | 3,484 | 3,633 | 3,430 |
| Total | 125,285 | 3,622 | 123,506 | 3,526 | 125,909 | 3,733 | 117,791 | 3,824 | 120,005 | 3,779 | 117,709 | 3,641 | 113,717 | 3,662 | 113,444 | 3,999 |
| **Sovereign** | | | | | | | | | | | | | | | | |
| Drawn | 24,718 | 4,027 | 24,274 | 3,985 | 18,221 | 3,671 | 20,848 | 3,051 | 21,775 | 3,010 | 21,450 | 2,888 | 22,422 | 2,835 | 20,849 | 2,687 |
| Undrawn commitments | 5,300 | 5,411 | 4,868 | 5,096 | 4,969 | 4,708 | 4,540 | 4,617 |
| Repo-style transactions | 5,556 | 5,391 | 4,613 | 5,766 | 4,185 | 5,110 | 4,018 | 5,666 |
| Other off-balance sheet | 445 | 419 | 296 | 311 | 590 | 518 | 519 | 486 |
| OTC derivatives | 1,927 | 2,033 | 3,441 | 2,254 | 2,532 | 1 | 3,294 | 5 | 2,924 | 3 | 3,055 | 5 |
| Total | 37,946 | 4,027 | 37,528 | 3,985 | 31,439 | 3,671 | 34,275 | 3,051 | 34,051 | 3,011 | 35,080 | 2,893 | 34,423 | 2,838 | 34,673 | 2,692 |
| **Banks** | | | | | | | | | | | | | | | | |
| Drawn | 10,424 | 1,214 | 9,399 | 1,280 | 12,605 | 1,076 | 12,534 | 999 | 10,493 | 957 | 11,357 | 897 | 10,789 | 873 | 10,981 | 730 |
| Undrawn commitments | 741 | 861 | 921 | 882 | 813 | 571 | 539 | 568 |
| Repo-style transactions | 32,171 | 6 | 30,065 | 6 | 31,105 | 28,431 | 20,041 | 17,144 | 15,509 | 21,449 |
| Other off-balance sheet | 57,413 | 57,910 | 52,752 | 41,974 | 48,327 | 49,192 | 44,188 | 43,504 |
| OTC derivatives | 4,945 | 21 | 5,395 | 9 | 6,777 | 13 | 6,964 | 6 | 6,879 | 7 | 7,714 | 7 | 7,841 | 8 | 7,941 | 9 |
| Total | 105,694 | 1,241 | 103,630 | 1,295 | 104,160 | 1,089 | 90,785 | 1,005 | 86,553 | 964 | 85,978 | 904 | 78,866 | 881 | 84,443 | 739 |
| **Gross business and government portfolios** | **268,925** | **8,890** | **264,664** | **8,806** | **261,508** | **8,493** | **242,851** | **7,880** | **240,609** | **7,754** | **238,767** | **7,438** | **227,006** | **7,381** | **232,560** | **7,430** |
| Less: Repo-style transaction collateral | 55,884 | 53,220 | 50,544 | 51,613 | 41,358 | 38,521 | 37,381 | 48,152 |
| **Net business and government portfolios** | **213,041** | **8,890** | **211,444** | **8,806** | **210,964** | **8,493** | **191,238** | **7,880** | **199,251** | **7,754** | **200,246** | **7,438** | **189,625** | **7,381** | **184,408** | **7,430** |

## Retail portfolios

| | **Real estate secured personal lending** | | | | | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments | Drawn | Undrawn commitments |
| Less than 1 year $^{2}$ | 169,327 | 2,225 | 166,772 | 2,265 | 165,760 | 2,328 | 165,295 | 2,193 | 164,569 | 2,184 | 163,938 | 2,157 | 164,357 | 2,170 | 165,482 | 2,183 |
| 1 - 3 years | 21,938 | 21,138 | 19,648 | 19,884 | 20,386 | 19,654 | 18,425 | 28,811 |
| Total | 191,265 | 2,225 | 187,910 | 2,265 | 185,408 | 2,328 | 185,179 | 2,193 | 184,955 | 2,184 | 183,592 | 2,157 | 182,782 | 2,170 | 194,293 | 2,183 |
| | **Qualifying revolving retail** | | | | | | | | | | | | | | | |
| Less than 1 year | 19,332 | 19,138 | 19,009 | 22,749 | 21,355 | 21,170 | 21,062 | 21,313 |
| 1 - 3 years | 41,223 | 41,344 | 41,198 | 44,415 | 40,641 | 40,386 | 40,580 | 39,745 |
| Other off-balance sheet | 267 | 259 | 248 | 386 | 347 | 323 | 316 | 341 |
| Total | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 | 61,958 | 61,399 |
| | **Other retail** | | | | | | | | | | | | | | | |
| Drawn | 8,691 | 707 | 8,534 | 716 | 8,298 | 749 | 7,752 | 705 | 7,801 | 1,959 | 7,766 | 1,990 | 7,694 | 2,080 | 7,791 | 2,159 |
| Undrawn commitments | 1,497 | 21 | 1,483 | 21 | 1,473 | 22 | 1,125 | 20 | 1,121 | 20 | 1,210 | 20 | 1,214 | 20 | 1,222 | 20 |
| Other off-balance sheet | 32 | 31 | 31 | 31 | 30 | 18 | 28 | 19 | 29 | 16 |
| Total | 10,220 | 728 | 10,048 | 737 | 9,802 | 771 | 8,908 | 725 | 8,952 | 1,997 | 9,004 | 2,029 | 8,937 | 2,116 | 9,042 | 2,195 |
| **Total retail portfolios** | **262,307** | **2,953** | **258,699** | **3,002** | **255,665** | **3,099** | **261,637** | **2,918** | **256,250** | **4,181** | **254,475** | **4,186** | **253,677** | **4,286** | **264,734** | **4,378** |
| **Gross credit exposure** | **546,316** | **11,843** | **538,558** | **11,808** | **533,476** | **11,592** | **521,287** | **10,798** | **514,578** | **11,935** | **511,616** | **11,624** | **499,555** | **11,667** | **516,297** | **11,808** |
| Less: Repo-style transaction collateral | 55,884 | 53,220 | 50,544 | 51,613 | 41,358 | 38,521 | 37,381 | 48,152 |
| **Net credit exposure** | **490,432** | **11,843** | **485,338** | **11,808** | **482,932** | **11,592** | **469,674** | **10,798** | **473,220** | **11,935** | **473,095** | **11,624** | **462,174** | **11,667** | **468,145** | **11,808** |

$^{1}$ Gross credit exposure after credit valuation adjustments for financial guarantors, and before allowance for credit losses.

# CREDIT EXPOSURE - GEOGRAPHIC CONCENTRATION $^{1}$

| | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
|---|---|---|---|---|---|---|---|---|---|
| **Business and government** | | | | | | | | | |
| Canada | | | | | | | | | |
| Drawn | 51,290 | 51,466 | 54,784 | 56,988 | 54,452 | 55,782 | 55,262 | 52,898 | 49,245 |
| Undrawn commitments | 29,759 | 29,043 | 29,050 | 28,389 | 27,832 | 27,167 | 27.491 | 27,772 | 28,414 |
| Repo-style transactions | 3,222 | 3,031 | 4,056 | 3,826 | 7,857 | 7,732 | 7,498 | 7,083 | 5,364 |
| Other off-balance sheet | 50,162 | 48,812 | 49,981 | 39,597 | 45,091 | 46,082 | 42,264 | 40,995 | 46,765 |
| OTC derivatives | 6,257 | 7,062 | 9,405 | 6,338 | 6,609 | 6,703 | 6,704 | 6,813 | 6,892 |
| Total | 140,690 | 139,414 | 147,276 | 135,138 | 141,841 | 143,466 | 139,219 | 135,561 | 136,680 |
| **United States** | | | | | | | | | |
| Drawn | 27,106 | 25,749 | 19,739 | 18,479 | 19,765 | 17,539 | 15,076 | 15,244 | 18,573 |
| Undrawn commitments | 6,402 | 6,020 | 6,484 | 5,732 | 5,603 | 5,269 | 4,255 | 3,927 | 3,625 |
| Repo-style transactions | 3,275 | 1,810 | 3,636 | 1,879 | 1,043 | 1,157 | 1,690 | 1,291 | 867 |
| Other off-balance sheet | 13,192 | 14,933 | 9,980 | 8,528 | 9,543 | 10,331 | 7,709 | 7,753 | 8,575 |
| OTC derivatives | 1,718 | 1,851 | 2,163 | 2,050 | 2,153 | 2,202 | 2,361 | 2,379 | 2,528 |
| Total | 51,693 | 50,363 | 42,002 | 36,668 | 38,107 | 36,498 | 31,091 | 30,594 | 34,168 |
| **Europe** | | | | | | | | | |
| Drawn | 3,513 | 3,419 | 3,839 | 3,706 | 3,398 | 3,260 | 3,460 | 3,358 | 4,707 |
| Undrawn commitments | 1,715 | 1,578 | 1,684 | 1,003 | 1,127 | 857 | 897 | 865 | 777 |
| Repo-style transactions | 246 | 248 | 416 | 271 | 383 | 424 | 251 | 127 | 80 |
| Other off-balance sheet | 3,575 | 5,305 | 3,673 | 3,642 | 3,700 | 4,831 | 3,985 | 3,303 | 2,955 |
| OTC derivatives | 3,100 | 3,251 | 4,028 | 4,027 | 4,051 | 4,720 | 4,586 | 4,672 | 4,733 |
| Total | 12,149 | 13,801 | 13,640 | 12,649 | 12,659 | 14,092 | 13,179 | 12,325 | 13,252 |
| **Other countries** | | | | | | | | | |
| Drawn | 5,657 | 5,192 | 5,348 | 4,843 | 4,835 | 4,248 | 4,325 | 4,166 | 4,376 |
| Undrawn commitments | 923 | 1,014 | 1,086 | 596 | 643 | 599 | 608 | 644 | 549 |
| Repo-style transactions | 175 | 142 | 209 | 386 | 144 | 202 | 299 | 285 | 124 |
| Other off-balance sheet | 509 | 527 | 246 | 118 | 109 | 274 | 157 | 271 | 219 |
| OTC derivatives | 1,245 | 991 | 1,157 | 840 | 913 | 867 | 747 | 562 | 502 |
| Total | 8,509 | 7,866 | 8,046 | 6,783 | 6,644 | 6,190 | 6,136 | 5,928 | 5,770 |
| **Total business and government** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |

$^{1}$ This table provides information of our business and government exposures under the AIRB approach. Substantially, all our retail exposures under the AIRB approach are based in Canada. Gross credit exposure after credit valuation adjustments for financial guarantors, and before allowance for credit losses.

# CREDIT EXPOSURE - MATURITY PROFILE $^{1}$

| (\$ millions) | Business and government portfolios | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | **Corporate** | | | | | | | | |
| | Less than 1 year $^{2}$ | 1 - 3 years | 3 - 5 years | Over 5 years | Less than 1 year $^{2}$ | 1 - 3 years | 3-5 years | Over 5 years | Less than 1 year $^{2}$ | 1 - 3 years | 3-5 years | Over 5 years |
| Q3/14 | 34,984 | 35,931 | 30,489 | 816 | 102,220 |
| Q2/14 | 35,925 | 35,700 | 29,815 | 963 | 102,403 |
| Q1/14 | 37,341 | 36,914 | 30,871 | 517 | 105,643 |
| Q4/13 | 33,807 | 33,689 | 28,844 | 487 | 96,827 |
| Q3/13 | 37,113 | 33,171 | 29,233 | 394 | 99,911 |
| Q2/13 | 40,520 | 29,785 | 28,292 | 531 | 99,128 |
| Q1/13 | 36,549 | 28,668 | 26,789 | 491 | 92,497 |
| Q4/12 | 33,205 | 28,130 | 27,046 | 261 | 88,642 |
| Q3/12 | 32,264 | 27,035 | 26,718 | 230 | 86,247 |
| | **Sovereign** | | | | | | | | |
| Q3/14 | 12,854 | 11,415 | 7,774 | 662 | 32,705 |
| Q2/14 | 12,525 | 11,060 | 8,230 | 1,145 | 32,507 |
| Q1/14 | 7,284 | 8,716 | 10,173 | 902 | 27,318 |
| Q4/13 | 6,213 | 8,807 | 13,107 | 902 | 29,029 |
| Q3/13 | 6,745 | 11,794 | 11,200 | 945 | 30,684 |
| Q2/13 | 6,463 | 10,541 | 12,132 | 1,278 | 30,414 |
| Q1/13 | 6,528 | 8,419 | 14,483 | 1,379 | 30,809 |
| Q4/12 | 7,850 | 8,301 | 13,419 | 1,051 | 30,621 |
| Q3/12 | 6,151 | 13,426 | 14,483 | 1,080 | 29,106 |
| | **Banks** | | | | | | | | |
| Q3/14 | 65,693 | 8,882 | 2,385 | 1,156 | 78,116 |
| Q2/14 | 63,890 | 9,517 | 1,831 | 1,296 | 76,534 |
| Q1/14 | 59,399 | 11,422 | 5,063 | 2,119 | 78,003 |
| Q4/13 | 47,063 | 10,581 | 5,524 | 2,214 | 65,382 |
| Q3/13 | 52,718 | 10,786 | 3,642 | 1,510 | 68,656 |
| Q2/13 | 53,226 | 11,550 | 3,998 | 1,930 | 70,704 |
| Q1/13 | 49,206 | 13,719 | 1,655 | 1,739 | 66,319 |
| Q4/12 | 47,446 | 15,909 | 1,628 | 162 | 65,145 |
| Q3/12 | 55,556 | 16,516 | 2,116 | 329 | 74,517 |
| **Total business and government portfolios** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |
| **Retail portfolios** | | | | | | | | | |
| **Real estate secured personal lending** | | | | | | | | | |
| Less than 1 year $^{2}$ | 67,124 | 63,641 | 60,748 | 61,172 | 63,501 | 64,097 | 63,949 | 75,856 | 74,840 |
| 1 - 3 years | 70,539 | 73,005 | 75,075 | 75,414 | 73,260 | 69,973 | 62,510 | 55,580 | 54,401 |
| 3 - 5 years | 51,933 | 49,175 | 47,077 | 45,981 | 45,686 | 47,059 | 53,934 | 60,479 | 63,650 |
| Over 5 years | 1,669 | 2,089 | 2,508 | 2,612 | 2,508 | 2,463 | 2,378 | 2,389 | 2,405 |
| Total | 191,265 | 187,910 | 185,408 | 185,179 | 184,955 | 183,592 | 182,782 | 194,293 | 195,296 |
| **Qualifying revolving retail** | | | | | | | | | |
| Less than 1 year | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 | 61,958 | 61,399 | 62,444 |
| Total | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 | 61,958 | 61,399 | 62,444 |
| **Other retail** | | | | | | | | | |
| Less than 1 year | 9,778 | 9,575 | 9,305 | 8,492 | 8,506 | 8,530 | 8,458 | 8,528 | 8,617 |
| 1- 3 years | 280 | 315 | 337 | 327 | 355 | 382 | 384 | 416 | 431 |
| 3 - 5 years | 104 | 100 | 101 | 46 | 46 | 47 | 49 | 50 | 51 |
| Over 5 years | 58 | 58 | 59 | 43 | 45 | 45 | 46 | 48 | 50 |
| Total | 10,220 | 10,048 | 9,802 | 8,908 | 8,952 | 9,004 | 8,937 | 9,042 | 9,149 |
| **Total retail portfolios** | **262,307** | **258,699** | **255,665** | **261,637** | **256,250** | **254,475** | **253,677** | **264,734** | **266,889** |
| **Total credit exposure** | **475,348** | **470,143** | **466,629** | **452,875** | **455,501** | **454,721** | **443,302** | **449,142** | **456,759** |

$^{1}$ Excludes securitization exposures.
$^{2}$ Demand loans are included in the "Less than 1 year" category.

# CREDIT EXPOSURE - GEOGRAPHIC CONCENTRATION $^{1}$

| (\$ millions) | Business and government | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | **Canada** | | | | | | | | |
| | Drawn | Undrawn commitments | Repo-style transactions | Other off-balance sheet | OTC derivatives | Total | Drawn | Undrawn commitments | Repo-style transactions | Other off-balance sheet | OTC derivatives | Total |
| Q3/14 | 51,290 | 29,759 | 3,222 | 50,162 | 6,257 | 140,690 | 27,106 | 6,402 | 3,275 | 13,192 | 1,718 | 51,693 |
| Q2/14 | 51,466 | 29,043 | 3,031 | 48,812 | 7,062 | 139,414 | 25,749 | 6,020 | 1,810 | 14,933 | 1,851 | 50,363 |
| Q1/14 | 54,784 | 29,050 | 4,056 | 49,981 | 9,405 | 147,276 | 19,739 | 6,484 | 3,636 | 9,980 | 2,163 | 42,002 |
| Q4/13 | 56,988 | 28,389 | 3,826 | 39,597 | 6,338 | 135,138 | 18,479 | 5,732 | 1,879 | 8,528 | 2,050 | 36,668 |
| Q3/13 | 54,452 | 27,832 | 7,857 | 45,091 | 6,609 | 141,841 | 19,765 | 5,603 | 1,043 | 9,543 | 2,153 | 38,107 |
| Q2/13 | 55,782 | 27,167 | 7,732 | 46,082 | 6,703 | 143,466 | 17,539 | 5,269 | 1,157 | 10,331 | 2,202 | 36,498 |
| Q1/13 | 55,262 | 27.491 | 7,498 | 42,264 | 6,704 | 139,219 | 15,076 | 4,255 | 1,690 | 7,709 | 2,361 | 31,091 |
| Q4/12 | 52,898 | 27,772 | 7,083 | 40,995 | 6,813 | 135,561 | 15,244 | 3,927 | 1,291 | 7,753 | 2,379 | 30,594 |
| Q3/12 | 49,245 | 28,414 | 5,364 | 46,765 | 6,892 | 136,680 | 18,573 | 3,625 | 867 | 8,575 | 2,528 | 34,168 |
| | **Europe** | | | | | | | | | | | | | | | |
| Drawn | 3,513 | 1,715 | 246 | 3,575 | 3,100 | 12,149 | 3,513 | 1,578 | 248 | 5,305 | 3,251 | 13,801 |
| Undrawn commitments | 3,419 | 1,578 | 248 | 5,305 | 3,251 | 13,801 | 3,419 | 1,578 | 248 | 5,305 | 3,251 | 13,801 |
| Repo-style transactions | 3,839 | 1,684 | 416 | 3,673 | 4,028 | 13,640 | 3,839 | 1,684 | 416 | 3,673 | 4,028 | 13,640 |
| Other off-balance sheet | 3,706 | 1,003 | 271 | 3,642 | 4,027 | 12,649 | 3,706 | 1,003 | 271 | 3,642 | 4,027 | 12,649 |
| OTC derivatives | 3,398 | 1,127 | 383 | 3,700 | 4,051 | 12,659 | 3,398 | 1,127 | 383 | 3,700 | 4,051 | 12,659 |
| Total | 17,875 | 7,356 | 1,564 | 16,327 | 18,667 | 61,785 | 17,875 | 7,356 | 1,564 | 16,327 | 18,667 | 61,785 |
| | **Other countries** | | | | | | | | | | | | | | | |
| Drawn | 5,657 | 923 | 175 | 509 | 1,245 | 8,509 | 5,192 | 1,014 | 142 | 527 | 991 | 7,866 |
| Undrawn commitments | 5,348 | 1,086 | 209 | 246 | 1,157 | 8,046 | 5,348 | 1,086 | 209 | 246 | 1,157 | 8,046 |
| Repo-style transactions | 4,843 | 386 | 386 | 118 | 840 | 6,783 | 4,843 | 386 | 386 | 118 | 840 | 6,783 |
| Other off-balance sheet | 4,835 | 144 | 144 | 109 | 913 | 6,644 | 4,835 | 144 | 144 | 109 | 913 | 6,644 |
| OTC derivatives | 4,248 | 599 | 596 | 274 | 867 | 6,190 | 4,248 | 599 | 596 | 274 | 867 | 6,190 |
| Total | 24,853 | 2,258 | 1,480 | 1,050 | 3,152 | 22,749 | 24,853 | 2,258 | 1,480 | 1,050 | 3,152 | 22,749 |
| **Total business and government** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |

| | **Europe** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | Drawn | Undrawn commitments | Repo-style transactions | Other off-balance sheet | OTC derivatives | Total | Drawn | Undrawn commitments | Repo-style transactions | Other off-balance sheet | OTC derivatives | Total |
| Q3/14 | 3,513 | 1,715 | 246 | 3,575 | 3,100 | 12,149 | 3,513 | 1,578 | 248 | 5,305 | 3,251 | 13,801 |
| Q2/14 | 3,419 | 1,578 | 248 | 5,305 | 3,251 | 13,801 | 3,419 | 1,578 | 248 | 5,305 | 3,251 | 13,801 |
| Q1/14 | 3,839 | 1,684 | 416 | 3,673 | 4,028 | 13,640 | 3,839 | 1,684 | 416 | 3,673 | 4,028 | 13,640 |
| Q4/13 | 3,706 | 1,003 | 271 | 3,642 | 4,027 | 12,649 | 3,706 | 1,003 | 271 | 3,642 | 4,027 | 12,649 |
| Q3/13 | 3,398 | 1,127 | 383 | 3,700 | 4,051 | 12,659 | 3,398 | 1,127 | 383 | 3,700 | 4,051 | 12,659 |
| Q2/13 | 3,260 | 857 | 424 | 4,831 | 4,720 | 14,092 | 3,260 | 857 | 424 | 4,831 | 4,720 | 14,092 |
| Q1/13 | 3,460 | 897 | 251 | 3,985 | 4,586 | 13,179 | 3,460 | 897 | 251 | 3,985 | 4,586 | 13,179 |
| Q4/12 | 3,358 | 865 | 127 | 3,303 | 4,672 | 12,325 | 3,358 | 865 | 127 | 3,303 | 4,672 | 12,325 |
| Q3/12 | 4,707 | 777 | 80 | 2,955 | 4,733 | 13,252 | 4,707 | 777 | 80 | 2,955 | 4,733 | 13,252 |
| | **Other countries** | | | | | | | | | | | | | | | |
| Drawn | 5,657 | 923 | 175 | 509 | 1,245 | 8,509 | 5,192 | 1,014 | 142 | 527 | 991 | 7,866 |
| Undrawn commitments | 923 | 1,014 | 209 | 246 | 1,157 | 8,046 | 1,014 | 1,086 | 209 | 246 | 1,157 | 8,046 |
| Repo-style transactions | 175 | 142 | 209 | 386 | 144 | 202 | 299 | 285 | 124 |
| Other off-balance sheet | 509 | 527 | 246 | 118 | 109 | 274 | 157 | 271 | 219 |
| OTC derivatives | 1,245 | 991 | 1,157 | 840 | 913 | 867 | 747 | 562 | 502 |
| Total | 8,509 | 7,866 | 8,046 | 6,783 | 6,644 | 6,190 | 6,136 | 5,928 | 5,770 |
| **Total business and government** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |

$^{1}$ This table provides information of our business and government exposures under the AIRB approach. Substantially, all our retail exposures under the AIRB approach are based in Canada. Gross credit exposure after credit valuation adjustments for financial guarantors, and before allowance for credit losses.

# CREDIT EXPOSURE - MATURITY PROFILE $^{1}$

| (\$ millions) | Business and government portfolios | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | **Corporate** | | | | | | | | |
| | Less than 1 year $^{2}$ | 1 - 3 years | 3 - 5 years | Over 5 years | Less than 1 year $^{2}$ | 1 - 3 years | 3-5 years | Over 5 years | Less than 1 year $^{2}$ | 1 - 3 years | 3-5 years | Over 5 years |
| Q3/14 | 34,984 | 35,931 | 30,489 | 816 | 102,220 |
| Q2/14 | 35,925 | 35,700 | 29,815 | 963 | 102,403 |
| Q1/14 | 37,341 | 36,914 | 30,871 | 517 | 105,643 |
| Q4/13 | 33,807 | 33,689 | 28,844 | 487 | 96,827 |
| Q3/13 | 37,113 | 33,171 | 29,233 | 394 | 99,911 |
| Q2/13 | 40,520 | 29,785 | 28,292 | 531 | 99,128 |
| Q1/13 | 36,549 | 28,668 | 26,789 | 491 | 92,497 |
| Q4/12 | 33,205 | 28,130 | 27,046 | 261 | 88,642 |
| Q3/12 | 32,264 | 27,035 | 26,718 | 230 | 86,247 |
| | **Sovereign** | | | | | | | | |
| Q3/14 | 12,854 | 11,415 | 7,774 | 662 | 32,705 |
| Q2/14 | 12,525 | 11,060 | 8,230 | 1,145 | 32,507 |
| Q1/14 | 7,284 | 8,716 | 10,173 | 902 | 27,318 |
| Q4/13 | 6,213 | 8,807 | 13,107 | 902 | 29,029 |
| Q3/13 | 6,745 | 11,794 | 11,200 | 945 | 30,684 |
| Q2/13 | 6,463 | 10,541 | 12,132 | 1,278 | 30,414 |
| Q1/13 | 6,528 | 8,419 | 14,483 | 1,379 | 30,809 |
| Q4/12 | 7,850 | 8,301 | 13,419 | 1,051 | 30,621 |
| Q3/12 | 6,151 | 13,426 | 14,483 | 1,080 | 29,106 |
| | **Banks** | | | | | | | | |
| Q3/14 | 65,693 | 8,882 | 2,385 | 1,156 | 78,116 |
| Q2/14 | 63,890 | 9,517 | 1,831 | 1,296 | 76,534 |
| Q1/14 | 59,399 | 11,422 | 5,063 | 2,119 | 78,003 |
| Q4/13 | 47,063 | 10,581 | 5,524 | 2,214 | 65,382 |
| Q3/13 | 52,718 | 10,786 | 3,642 | 1,510 | 68,656 |
| Q2/13 | 53,226 | 11,550 | 3,998 | 1,930 | 70,704 |
| Q1/13 | 49,206 | 13,719 | 1,655 | 1,739 | 66,319 |
| Q4/12 | 47,446 | 15,909 | 1,628 | 162 | 65,145 |
| Q3/12 | 55,556 | 16,516 | 2,116 | 329 | 74,517 |
| **Total business and government portfolios** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |
| **Retail portfolios** | | | | | | | | | |
| **Real estate secured personal lending** | | | | | | | | | |
| Less than 1 year $^{2}$ | 67,124 | 63,641 | 60,748 | 61,172 | 63,501 | 64,097 | 63,949 | 75,856 | 74,840 |
| 1 - 3 years | 70,539 | 73,005 | 75,075 | 75,414 | 73,260 | 69,973 | 62,510 | 55,580 | 54,401 |
| 3 - 5 years | 51,933 | 49,175 | 47,077 | 45,981 | 45,686 | 47,059 | 53,934 | 60,479 | 63,650 |
| Over 5 years | 1,669 | 2,089 | 2,508 | 2,612 | 2,508 | 2,463 | 2,378 | 2,389 | 2,405 |
| Total | 191,265 | 187,910 | 185,408 | 185,179 | 184,955 | 183,592 | 182,782 | 194,293 | 195,296 |
| **Qualifying revolving retail** | | | | | | | | | |
| Less than 1 year | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 | 61,958 | 61,399 | 62,444 |
| Total | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 | 61,958 | 61,399 | 62,444 |
| **Other retail** | | | | | | | | | |
| Less than 1 year | 9,778 | 9,575 | 9,305 | 8,492 | 8,506 | 8,530 | 8,458 | 8,528 | 8,617 |
| 1- 3 years | 280 | 315 | 337 | 327 | 355 | 382 | 384 | 416 | 431 |
| 3 - 5 years | 104 | 100 | 101 | 46 | 46 | 47 | 49 | 50 | 51 |
| Over 5 years | 58 | 58 | 59 | 43 | 45 | 45 | 46 | 48 | 50 |
| Total | 10,220 | 10,048 | 9,802 | 8,908 | 8,952 | 9,004 | 8,937 | 9,042 | 9,149 |
| **Total retail portfolios** | **262,307** | **258,699** | **255,665** | **261,637** | **256,250** | **254,475** | **253,677** | **264,734** | **266,889** |
| **Total credit exposure** | **475,348** | **470,143** | **466,629** | **452,875** | **455,501** | **454,721** | **443,302** | **449,142** | **456,759** |

$^{1}$ Excludes securitization exposures.
$^{2}$ Demand loans are included in the "Less than 1 year" category.

# CREDIT RISK ASSOCIATED WITH DERIVATIVES

| (\$ millions) | Interest rate derivatives | | | | | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | Trading | ALM | Current replacement cost | Credit equivalent amount $^{2}$ | Risk-weighted amount |
| | | | Total | | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
| Over-the-counter | | | | | | | | | | | | | | |
| Forward rate agreements | 68 | | 68 | 32 | 3 | 3 | 2 | 2 | 6 | 4 | 17 |
| Swap contracts | 9,637 | 932 | 10,569 | 3,407 | 729 | 823 | 1,093 | 1,195 | 1,205 | 1,427 | 1,333 | 1,031 | 1,331 |
| Purchased options | 152 | 5 | 157 | 34 | 14 | 14 | 14 | 17 | 19 | 22 | 19 | 12 | 15 |
| Total interest rate derivatives | 9,859 | 937 | 10,796 | 3,473 | 746 | 840 | 1,112 | 1,234 | 1,233 | 1,450 | 1,362 | 1,047 | 1,363 |
| **Foreign exchange derivatives** | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | |
| Forward contracts | 1,250 | 150 | 1,400 | 1,683 | 493 | 433 | 621 | 398 | 421 | 393 | 396 | 255 | 229 |
| Swap contracts | 2,946 | 1,069 | 4,015 | 2,482 | 417 | 466 | 1,151 | 1,059 | 980 | 879 | 881 | 604 | 672 |
| Purchased options | 169 | 169 | 182 | 66 | 79 | 99 | 42 | 37 | 30 | 30 | 24 | 26 |
| Total | 4,365 | 1,219 | 5,584 | 4,347 | 976 | 978 | 1,871 | 1,499 | 1,438 | 1,302 | 1,307 | 883 | 927 |
| **Credit derivatives** | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | |
| Credit default swap contracts - protection purchased | 215 | | 215 | 361 | 36 | 38 | 90 | 101 | 147 | 115 | 192 | 255 | 364 |
| Credit default swap contracts - protection sold | 62 | | 62 | 337 | 7 | | | | | | | | | |
| **Equity derivatives** | | | | | | | | | | | | | | |
| Over-the-counter | 277 | | 277 | 698 | 43 | 38 | 90 | 101 | 147 | 115 | 192 | 255 | 364 |
| Exchange-traded | 322 | 70 | 392 | 1,095 | 121 | 108 | 138 | 94 | 114 | 119 | 86 | 42 | 44 |
| **Precious metal derivatives** | | | | | | | | | | | | | | |
| Over-the-counter | 209 | | 209 | 539 | 14 | 3 | 8 | 5 | 6 | 2 | 5 |
| Exchange-traded | 531 | 70 | 601 | 1,634 | 135 | 111 | 146 | 99 | 120 | 124 | 88 | 42 | 44 |
| **Other commodity derivatives** | | | | | | | | | | | | | | |
| Over-the-counter | 13 | | 13 | 8 | 3 | 3 | 5 | 4 | 4 | 12 | 6 | 4 | 5 |
| Exchange-traded | 155 | | 155 | 21 | 1 | 1 | 1 | 1 | 1 | 12 | 6 | 4 | 5 |
| Total | 801 | 801 | 3,916 | 727 | 825 | 649 | 625 | 630 | 347 | 416 | 249 | 247 |
| **Non-trade exposure related to central counterparties** | 258 | 323 | 290 | 293 | 237 | 216 | 128 | n/a | n/a |
| **CET 1 CVA charge** | 1,814 | 1,971 | 2,616 | n/a | n/a | n/a | n/a | n/a | n/a |
| **Total derivatives before netting** | 16,001 | 2,226 | 18,227 | 14,229 | 4,706 | 5,092 | 6,779 | 3,817 | 3,811 | 3,566 | 3,499 | 2,480 | 2,950 |
| Less: effect of master netting agreements | (12,879) | | | | | | | | | | | | | |
| **Total derivatives** | **5,348** | **14,229** | **4,706** | **5,092** | **6,779** | **3,817** | **3,811** | **3,566** | **3,499** | **2,480** | **2,950** |

$^{1}$ Under Basel II (until October 31, 2012), exchange-traded and centrally cleared contracts were excluded in accordance with OSFI.
$^{2}$ Sum of current replacement cost and potential future exposure, adjusted for the master netting agreements and the impact of collateral amounting to \$2,515 million (Q2/14: \$2,754 million). The collateral comprises cash of \$1,867 million (Q2/14: \$1,991 million) and government securities of \$648 million (Q2/14: \$763 million).
$^{n/a}$ Not applicable.

# CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD)

## Q3/14
| | **Corporate** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 |
| **Investment grade** | | | | | | | | | |
| 10 | 0.01%-0.03% | AAA | Aaa | 778 | - | 0.03 | 18 | 4 | 130 |
| 21 | 0.01%-0.03% | AA+ | Aa1 | 8,217 | 93 | 0.04 | 11 | 2 | 853 |
| 24 | 0.04%-0.05% | AA | Aa2 | 8,979 | 80 | 0.04 | 11 | 3 | 900 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 7,573 | 873 | 0.05 | 11 | 4 | 833 |
| 31 | 0.07%-0.09% | A+ | A1 | 1,393 | 79 | 0.08 | 11 | 4 | 153 |
| 34 | 0.09%-0.12% | A | A2 | 7,271 | 5,203 | 76 | 0.11 | 14 | 395 |
| 37 | 0.13%-0.16% | A- | A3 | 12,372 | 7,640 | 76 | 0.14 | 14 | 1,732 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,719 | 35,718 | 39 | 0.18 | 11 | 2,070 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 10,718 | 28,776 | 55 | 0.26 | 12 | 2,805 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 10,783 | 5,622 | 57 | 0.50 | 19 | 5,433 |
| **Non-investment grade** | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 9,342 | 4,579 | 54 | 0.72 | 12 | 6,691 |
| 54 | 0.62%-1.09% | BB | Ba2 | 7,999 | 4,547 | 54 | 0.95 | 12 | 7,189 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 7,949 | 7,763 | 52 | 1.49 | 11 | 1,132 |
| 61 | 1.93%-3.99% | B+ | B1 | 2,828 | 2,616 | 85 | 3.54 | 9 | 793 |
| 64 | 4.00%-7.27% | B | B2 | 2,682 | 556 | 55 | 5.59 | 29 | 1,497 |
| 67 | 7.28%-12.11% | B- | B3 | 555 | 16,557 | 55 | 12.52 | 30 | 16,572 |
| **Watch list** | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 332 | 99 | 50 | 15.53 | 31 | 516 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 541 | 127 | 52 | 18.49 | 31 | 1,000 |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government portfolios** | **94,418** | **47,426** | **46** | **1.00** | **41** | **24,125** | **94,533** |

## Q3/14
| | **Sovereign** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight% | RWA |
| **Investment grade** | | | | | | | | | | |
| 00 | 0.01%-0.015% | Aaa | Aaa | 18,846 | 200 | 80 | 0.01 | 5 | 1 | 102 |
| 21 | 0.016%-0.025% | AA+ | Aa1 | 880 | 10 | 5 | 0.02 | 11 | 2 | 143 |
| 24 | 0.026%-0.05% | AA | Aa2 | 1,645 | 1,606 | 80 | 0.03 | 11 | 2 | 278 |
| 27 | 0.06%-0.09% | AA- | Aa3 | 803 | 280 | 29 | 0.05 | 11 | 4 | 522 |
| 31 | 0.096%-0.09% | A+ | A1 | 737 | 822 | 76 | 0.04 | 23 | 7 | 54 |
| 34 | 0.10%-0.16% | A | A2 | 372 | 236 | 79 | 0.11 | 14 | 55 |
| 37 | 0.17%-0.27% | A- | A3 | 549 | 349 | 80 | 0.16 | 23 | 9 | 92 |
| **Non-investment grade** | | | | | | | | | | |
| 51 | 0.274%-0.42% | BBB+ | Baa1 | 6,863 | 75 | 0.25 | 11 | 19 | 1,655 |
| 54 | 0.43%-0.61% | BB+ | Ba1 | 65 | 14 | 0.50 | 47 | 62 | 30 |
| 57 | 0.62%-1.09% | BB | Ba2 | 14 | 44 | 1.46 | 16 | 34 |
| 61 | 1.10%-1.92% | BB- | Ba3 | 25 | 14 | 2.40 | 37 | 90 |
| 64 | 1.93%-3.99% | B+ | B1 | 26 | 1 | 5.59 | 57 | 157 |
| 67 | 4.00%-7.27% | B | B2 | 252 | 30 | 15.53 | 10 | 383 |
| **Watch list** | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 1 | 3 | 70 | 15.53 | 32 | 1 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 8 | | | | | |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government** | **32,647** | **6,656** | **77** | **0.14** | **15** | **3** | **9,013** |

## Q3/14
| | **Banks** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight% | RWA |
| **Investment grade** | | | | | | | | | | |
| 10 | 0.01%-0.03% | AAA | Aaa | 1,837 | - | 0.03 | 14 | 2 | 28 |
| 21 | 0.01%-0.03% | AA+ | Aa1 | 220 | 92 | 0.04 | 11 | 4 | 33 |
| 24 | 0.04%-0.05% | AA | Aa2 | 7,003 | - | 0.04 | 8 | 2 | 165 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 9,393 | - | 0.05 | 21 | 7 | 436 |
| 31 | 0.07%-0.09% | A+ | A1 | 19,754 | - | 0.08 | 8 | 3 | 1,519 |
| 34 | 0.09%-0.12% | A | A2 | 11,742 | 2 | 0.11 | 16 | 9 | 1,040 |
| 37 | 0.13%-0.16% | A- | A3 | 16,459 | 100 | 0.14 | 8 | 5 | 1,220 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 6,709 | 301 | 0.18 | 9 | 8 | 511 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 2,347 | 388 | 0.26 | 14 | 12 | 284 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,184 | 171 | 0.37 | 18 | 21 | 243 |
| **Non-investment grade** | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 196 | - | 0.50 | 19 | 23 | 44 |
| 54 | 0.62%-1.09% | BB | Ba2 | 587 | - | 0.72 | 12 | 15 | 90 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 312 | 1 | 1.46 | 6 | 11 | 36 |
| 61 | 1.93%-3.99% | B+ | B1 | 14 | 1 | 2.40 | 9 | 34 |
| 64 | 4.00%-7.27% | B | B2 | 349 | - | 5.59 | 16 | 57 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 70 | 15.53 | 7 | 21 |
| **Watch list** | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 3 | 3 | 70 | 15.53 | 7 | 32 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 8 | | | | | |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government** | **78,109** | **1,058** | **70** | **0.14** | **11** | **6** | **4,570** |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | |
| Strong | | | | 7,019 | 132 | 60 | 70 | 4,914 | 6,913 | 95 | 60 | 70 | 4,839 |
| Good | | | | 418 | 32 | 56 | 90 | 376 | 489 | 8 | 60 | 90 | 440 |
| Satisfactory | | | | 382 | 85 | 51 | 115 | 439 | 376 | 73 | 50 | 115 | 337 |
| Weak | | | | 24 | 250 | 60 | 27 | 252 | 68 | 6 | 5 |
| Default | | | | - | - | - | - | - | - | - | - | - |
| **Total business and government** | **213,041** | **249** | **56** | **74** | **5,789** | **7,810** | **176** | **56** | **74** | **5,779** |

$^{1}$ Gross credit exposure after credit valuation adjustments for financial guarantors and credit risk mitigation, and before allowance for credit losses.

## Q1/14
| | **Corporate** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight% | RWA |
| **Investment grade** | | | | | | | | | | |
| 10 | 0.01%-0.03% | AAA | Aaa | 1,741 | - | 0.03 | 16 | 5 | 42 |
| 21 | 0.01%-0.03% | AA+ | Aa1 | 288 | 93 | 0.04 | 13 | 3 | 52 |
| 24 | 0.04%-0.05% | AA | Aa2 | 7,743 | - | 0.04 | 10 | 3 | 165 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 10,616 | 1,053 | 0.05 | 10 | 4 | 1,059 |
| 31 | 0.07%-0.09% | A+ | A1 | 19,754 | - | 0.08 | 8 | 3 | 1,519 |
| 34 | 0.09%-0.12% | A | A2 | 8,474 | 46 | 0.11 | 15 | 8 | 768 |
| 37 | 0.13%-0.16% | A- | A3 | 17,011 | 101 | 0.14 | 9 | 7 | 1,220 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,775 | 366 | 0.18 | 11 | 10 | 583 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 3,336 | 552 | 0.26 | 14 | 12 | 284 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 739 | 133 | 0.37 | 19 | 27 | 196 |
| **Non-investment grade** | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 521 | - | 0.50 | 14 | 22 | 111 |
| 54 | 0.62%-1.09% | BB | Ba2 | 587 | - | 0.72 | 12 | 15 | 90 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 312 | 1 | 1.46 | 6 | 11 | 36 |
| 61 | 1.93%-3.99% | B+ | B1 | 14 | 1 | 2.40 | 9 | 34 |
| 64 | 4.00%-7.27% | B | B2 | 349 | - | 5.59 | 40 | 54 |
| 67 | 7.28%-12.11% | B- | B3 | 1 | 70 | 15.53 | 7 | 21 |
| **Watch list** | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 9 | 3 | 70 | 15.53 | 31 | 167 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 8 | | | | | |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government** | **78,002** | **1,295** | **68** | **0.15** | **15** | **10** | **6,959** |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | |
| Strong | | | | 7,132 | 104 | 65 | 70 | 4,993 | 7,127 | 52 | 60 | 70 | 4,989 |
| Good | | | | 477 | 8 | 90 | 429 | 448 | 15 | 60 | 90 | 404 |
| Satisfactory | | | | 303 | 63 | 45 | 115 | 350 | 293 | 70 | 50 | 115 | 337 |
| Weak | | | | 40 | 250 | 100 | 60 | 250 | 150 | 6 | 2 |
| Default | | | | - | - | - | - | - | - | - | - | - |
| **Total business and government** | **210,964** | **55,102** | **70** | **0.69** | **23** | **26** | **57,708** | **191,238** | **51,547** | **69** | **74** | **54,631** |

## Q4/13
| | **Corporate** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | EAD | Notional of undrawn commitments | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight% | RWA |
| **Investment grade** | | | | | | | | | | |
| 10 | 0.01%-0.03% | AAA | Aaa | 1,750 | - | 0.03 | 19 | 4 | 52 |
| 21 | 0.01%-0.03% | AA+ | Aa1 | 411 | 93 | 0.04 | 13 | 3 | 52 |
| 24 | 0.04%-0.05% | AA | Aa2 | 7,435 | - | 0.04 | 11 | 3 | 287 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 7,967 | - | 0.05 | 21 | 8 | 648 |
| 31 | 0.07%-0.09% | A+ | A1 | 17,894 | - | 0.08 | 8 | 3 | 1,428 |
| 34 | 0.09%-0.12% | A | A2 | 5,101 | 6 | 0.11 | 16 | 9 | 465 |
| 37 | 0.13%-0.16% | A- | A3 | 14,295 | 100 | 0.14 | 8 | 5 | 1,144 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,136 | 331 | 0.18 | 11 | 8 | 561 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 2,954 | 268 | 0.26 | 15 | 10 | 780 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 1,076 | 134 | 0.37 | 19 | 27 | 204 |
| **Non-investment grade** | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 235 | - | 0.50 | 10 | 44 | 96 |
| 54 | 0.62%-1.09% | BB | Ba2 | 585 | - | 0.72 | 14 | 16 | 103 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 254 | 1 | 1.46 | 4 | 11 | 36 |
| 61 | 1.93%-3.99% | B+ | B1 | 337 | 1 | 2.40 | 15 | 41 |
| 64 | 4.00%-7.27% | B | B2 | 253 | 1 | 5.59 | 40 | 139 |
| 67 | 7.28%-12.11% | B- | B3 | 1,664 | 2 | 1.88 | 11 | 463 |
| **Watch list** | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 70 | 15.53 | 30 | 156 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 8 | | | | | |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government** | **65,378** | **1,234** | **68** | **0.15** | **15** | **11** | **6,959** |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | |
| Strong | | | | 7,127 | 52 | 60 | 70 | 4,989 |
| Good | | | | 448 | 15 | 60 | 90 | 404 |
| Satisfactory | | | | 293 | 70 | 50 | 115 | 337 |
| Weak | | | | 250 | 100 | 60 | 2 |
| Default | | | | - | - | - | - | - |
| **Total business and government** | **191,238** | **51,547** | **69** | **74** | **5,880** |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS

## Q3/14
| | **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 adjusted risk weight % |
| Insured Drawn and Undrawn $^{3}$ | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 102,972 | - | 0.01 | 5 | 1 | 19 | 1 |
| Very low | 0.11%-0.20% | 835 | - | 0.12 | 27 | 19 | 159 | 19 |
| Uninsured Undrawn $^{4}$ | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 15,558 | 31,229 | 50 | 0.03 | 15 | 1 | 230 | 1 |
| Very low | 0.11%- 0.20% | 4,730 | 5,612 | 84 | 0.14 | 18 | 6 | 272 | 1 |
| Low | 0.21%- 0.35% | 332 | 332 | 100 | 0.22 | 19 | 8 | 27 | 9 |
| Medium | 0.36% -0.50% | 683 | 1,256 | 54 | 0.42 | 16 | 11 | 77 | 12 |
| Medium | 0.51% - 1.00% | 486 | 806 | 60 | 0.53 | 17 | 14 | 66 | 15 |
| High | 1.01% - 2.00% | 54 | 54 | 100 | 1.00 | 26 | 33 | 18 |
| Default | 2.01%- 5.00% | 90 | 166 | 54 | 2.94 | 17 | 41 | 37 | 47 |
| Default | 5.01% - 10.00% | 5 | 8 | 59 | 23.34 | 17 | 92 | 4 | 141 |
| Default | 10.01% - 99.99% | 5 | 8 | 59 | 23.34 | 17 | 92 | 4 | 141 |
| Default | 100.00% | | | | | | | | |
| Uninsured Drawn + | | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 28,722 | n/a | n/a | 0.07 | 18 | 3 | 882 | 3 |
| Very low | 0.11%-0.20% | 19,064 | n/a | n/a | 0.16 | 19 | 7 | 1,245 | 6 |
| Low | 0.21%- 0.35% | 2,004 | n/a | n/a | 0.42 | 24 | 17 | 336 | 2 |
| Medium | 0.36%- 0.50% | 10,187 | n/a | n/a | 0.61 | 19 | 17 | 1,717 | 12 |
| Medium | 0.51% - 1.00% | 3,957 | n/a | n/a | 1.19 | 23 | 32 | 1,269 | 11 |
| High | 1.01%- 2.00% | 888 | n/a | n/a | 3.09 | 21 | 52 | 458 | 6 |
| High | 2.01%- 5.00% | 322 | n/a | n/a | 7.07 | 19 | 75 | 242 | 4 |
| High | 5.01% - 10.00% | 200 | n/a | n/a | 19.10 | 19 | 103 | 206 | 7 |
| Default | 10.01% - 99.99% | 142 | n/a | n/a | 100.00 | 20 | 111 | 157 | 22 |
| Default | 100.00% | | | | | | | | |
| **Qualifying revolving credit** | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 24,143 | 29,568 | 75 | 0.05 | 91 | 3 | 689 | 10 |
| Very low | 0.11%- 0.20% | 8,732 | 9,460 | 76 | 0.16 | 90 | 8 | 685 | 12 |
| Low | 0.21%- 0.35% | 335 | 398 | 60 | 0.26 | 95 | 13 | 42 | 1 |
| Medium | 0.36%- 0.50% | 7,306 | 7,756 | 61 | 0.43 | 86 | 17 | 1,229 | 27 |
| Medium | 0.51% - 1.00% | 5,054 | 3,919 | 64 | 0.73 | 90 | 27 | 1,361 | 33 |
| High | 1.01% - 2.00% | 6,660 | 3,902 | 64 | 1.42 | 92 | 45 | 3,013 | 86 |
| High | 2.01%- 5.00% | 5,939 | 2,337 | 63 | 3.21 | 91 | 81 | 4,794 | 172 |
| High | 5.01% - 10.00% | 1,543 | 429 | 75 | 6.79 | 87 | 129 | 1,990 | 92 |
| Default | 10.01% - 99.99% | 1,059 | 289 | 72 | 29.54 | 87 | 205 | 2,172 | 282 |
| Default | 100.00% | 51 | 100.00 | 73 | 100 | 49 |
| **Other retail** | | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 1,021 | 1,721 | 46 | 0.06 | 68 | 12 | 124 | 13 |
| Very low | 0.11% -0.20% | 433 | 92 | 81 | 0.14 | 79 | 24 | 106 | 26 |
| Low | 0.21%- 0.35% | 230 | 0.25 | 75 | 35 | 81 | 37 |
| Medium | 0.36%- 0.50% | 977 | 284 | 58 | 0.47 | 72 | 50 | 486 | 3 |
| Medium | 0.51% - 1.00% | 1,642 | 638 | 42 | 0.64 | 82 | 67 | 1,098 | 9 |
| High | 1.01% - 2.00% | 1,653 | 131 | 61 | 1.59 | 78 | 94 | 1,553 | 21 |
| High | 2.01%- 5.00% | 3,304 | 55 | 51 | 2.66 | 39 | 55 | 1,801 | 42 |
| High | 5.01% - 10.00% | 548 | 158 | 55 | 6.67 | 76 | 115 | 632 | 27 |
| Default | 10.01% - 99.99% | 215 | 14 | 53 | 23.17 | 83 | 171 | 369 | 41 |
| Default | 100.00% | 197 | 100.00 | 47 | 172 | 339 | 69 |
| **Total retail portfolios** | **262,307** | **100,614** | **65** | **0.65** | **32** | **12** | **30,905** | **1,040** |

# CREDIT QUALITY OF AIRB EXPOSURE - BACK-TESTING

## Business and government portfolios $^{1}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporate | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Sovereign | 2.95 | 0.51 | 40.96 | 78.85 | 42.52 | 2.96 | 0.51 | 39.07 | 79.19 | 48.87 |
| Banks | 2.56 | n/a | n/a | 79.32 | n/a | 2.62 | 97.00 | 8.47 | 98.95 | n/a |
| | 1.31 | n/a | n/a | 82.01 | n/a | 1.37 | n/a | 81.63 | n/a |

## Retail portfolios $^{2}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Real estate secured personal lending | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Uninsured residential mortgages and personal loans | 0.47 | 0.27 | 18.49 | 13.05 | n/a | n/a | 0.51 | 0.28 | 19.29 | 8.57 | n/a | n/a |
| Insured residential mortgages | 0.52 | 0.31 | n/a | n/a | n/a | n/a | 0.53 | 0.32 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.25 | 0.11 | 23.44 | 19.84 | 96.88 | 87.39 | 0.25 | 0.10 | 23.34 | 13.41 | 98.88 | 94.01 |
| Qualifying revolving retail | 1.24 | 1.14 | 89.96 | 86.89 | 97.83 | 94.57 | 1.29 | 1.13 | 90.27 | 86.23 | 102.31 | 98.20 |
| Other retail | 2.00 | 1.51 | 86.06 | 74.23 | 101.96 | 93.89 | 2.31 | 1.64 | 85.67 | 80.84 | 93.78 | 91.49 |

| | Q1/14 | | | | | | Q4/13 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Business and government portfolios $^{1}$ | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Corporate | 2.95 | 0.54 | 40.34 | 79.04 | 54.06 | 2.77 | 0.57 | 44.91 | 79.57 | 60.13 |
| Sovereign | 2.60 | - | 61.09 | 21.92 | 98.95 | n/a | 2.54 | 63.07 | 28.75 | 98.95 | n/a |
| Banks | 1.32 | - | - | 86.06 | n/a | 1.27 | - | 84.93 | n/a |
| Retail portfolios $^{2}$ | | | | | | | | | | |
| Real estate secured personal lending | 0.51 | 0.25 | 18.59 | 10.05 | n/a | n/a | 0.54 | 0.25 | 18.96 | 6.72 | n/a | n/a |
| Insured residential mortgages | 0.54 | 0.32 | n/a | n/a | n/a | n/a | 0.55 | 0.33 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.26 | 0.09 | 24.14 | 9.56 | 98.90 | 92.42 | 0.26 | 0.09 | 25.85 | 12.69 | 99.60 | 95.99 |
| Qualifying revolving retail | 1.30 | 1.15 | 90.10 | 85.93 | 102.28 | 98.34 | 1.28 | 1.14 | 87.11 | 81.99 | 98.36 | 96.03 |
| Other retail | 2.32 | 1.75 | 86.03 | 80.08 | 95.65 | 94.19 | 2.41 | 1.77 | 79.87 | 82.65 | 95.70 | 83.73 |

$^{1}$ Estimated LGD is based on accounts that default. Estimated EAD is based on all accounts. For actual LGD, payments are discounted to the default date using discount rates based on opportunity cost (the highest interest rate at which we would originate a new loan in the corresponding portfolio). Estimated and actual EAD include only revolving facilities.
$^{2}$ Both estimated and actual EAD are based on accounts that default. Actual LGD is based on payments received after default for accounts that entered default 24 months before the effective month, using a discount rate based on opportunity cost. Estimated and actual EAD include only revolving products (lines of credit, credit cards, and overdraft facilities). Retail information is based upon our internal parameter monitoring system, which covers more than 90% of retail exposures.
$^{n/a}$ Not applicable.

# CHANGES IN CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) $^{1}$

| | Q3/14 vs. Q2/14 | Q2/14 vs. Q1/14 | Q1/14 vs. Q4/13 | Q4/13 vs. Q3/13 |
|---|---|---|---|---|
| | Credit risk | | | |
| | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| **Corporate** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | (1,103) | 1,316 | 3 | 3 | 1,544 | (3,447) | (1,461) | (1) | (1,120) |
| Non-investment grade | 992 | 342 | 1 | 1,066 | 435 | 33 | (1) | 0.03 | 5 | (63) |
| Watch list | (43) | (69) | (2) | 0.21 | (7) | (29) (276) | (77) | 94 | 14 | 0.76 | 10 | (49) |
| Default | (217) | 1,593 | 1 | (0.04) | 1 | 2,165 | (3,092) | (1,334) | (1) | 0.04 | 1 | (968) |
| **Sovereign** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | 252 | (63) | (1) | (13) | 4,904 | 299 | 1 | (0.00) | (1) | (5) | 285 |
| Non-investment grade | (53) | (28) | (10) | 0.05 | (11) | 285 | 251 | 38 | (0.12) | (2) | (4) | 31 |
| Watch list | - | - | - | - | - | - | - | - | - | - | - | - |
| Default | 199 | (91) | (1) | (1) | (24) | 5,189 | 550 | 2 | 0.01 | 26 |
| **Bank** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | 1,624 | (146) | (1) | 81 | (991) | (91) | (4) | (3) | (2,732) |
| Non-investment grade | (41) | (6) | 0.25 | 2 | 5 | (479) | 6 | (1) | (0.01) | (3) | (11) | (319) |
| Watch list | (7) | (24) | (68) | (9) | 1 | (67) | (5) |
| Default | 1,576 | (152) | (1) | 132 | (1,469) | (85) | 3 | (0.01) | (4) | (4) | (3,056) |
| | 1,558 | 1,350 | (0.02) | 1 | 2,273 | 628 | (869) | (0.01) | (2) | (3) | (3,998) |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | | | | | | | |
| Strong | 106 | 37 | 75 | (219) | (9) | (5) | (154) |
| Good | 24 | (4) | (64) | 12 | 60 | 11 | 6 | 12 |
| Satisfactory | (3) | (2) | (8) | (13) |
| Weak | 2 | (32) | 1 | (1) | (93) |
| Default | 1 | (1) | 39 | 73 | 10 | (148) |
| **Total business and government** | **1,597** | **1,423** | **1** | **2,283** | **480** | **(868)** | **(2)** | **(4,091)** |

## Q1/14 vs. Q4/13
| | **Corporate** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| **Investment grade** | | | | | | | | | | |
| 10 | 0.01%-0.42% | AAA to BBB- | Aaa to Baa3 | (1,103) | 3 | 3 | 1,544 | 47 |
| 21 | 0.43%-12.11% | BB+ to B- | Ba1 to B3 | 992 | 1 | 0.21 | (7) | (29) (276) | (77) |
| 80 | 12.12%-99.99% | CCC+ to C | Caa1 to Ca | (43) | 4 | 19 | 1 | (12) (169) | (3) |
| Default | 100.00% | D | C | (217) | 1,593 | 1 | (0.04) | 1 | 2,165 | (3,092) |
| **Sovereign** | | | | | | | | | | |
| Investment grade | 100.00% | AAA to BBB- | Aaa to Baa3 | 252 | (63) | (1) | (13) | 4,904 | 299 |
| Non-investment grade | 0.43%-12.11% | BB+ to B- | Ba1 to B3 | (53) | (28) | (10) | 0.05 | (11) | 285 |
| Watch list | 12.12%-99.99% | CCC+ to C | Caa1 to Ca | - | - | - | - | - | - |
| Default | 100.00% | D | C | - | - | - | - | - | - |
| **Bank** | | | | | | | | | | |
| Investment grade | 0.01%-0.42% | AAA to BBB- | Aaa to Baa3 | 1,624 | (146) | (1) | 81 | (991) | (91) |
| Non-investment grade | 0.43%-12.11% | BB+ to B- | Ba1 to B3 | (41) | (6) | 0.25 | 2 | 5 | (479) |
| Watch list | 12.12%-99.99% | CCC+ to C | Caa1 to Ca | (7) | (24) | (68) | (9) | 1 |
| Default | 100.00% | D | C | 1,576 | (152) | (1) | 132 | (1,469) | (85) |
| | 1,558 | 1,350 | (0.02) | 1 | 2,273 | 628 | (869) | (0.01) |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | |
| Strong | | | | 106 | 37 | 75 | (219) | (9) | (5) |
| Good | | | | 24 | (4) | (64) | 12 | 60 |
| Satisfactory | | | | (3) | (2) | (8) | (13) |
| Weak | | | | 2 | (32) | 1 | (1) | (93) |
| Default | | | | 1 | (1) | 39 | 73 | 10 |
| **Total business and government** | **1,597** | **1,423** | **1** | **2,283** | **480** | **(868)** | **(2)** | **(4,091)** |

## Q4/13 vs. Q3/13
| | **Corporate** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| CIBC rating | PD bands | Standard & Poor's equivalent | Moody's Investors Service equivalent | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| **Investment grade** | | | | | | | | | | |
| 10 | 0.01%-0.03% | AAA | Aaa | 1,939 | - | 0.03 | 19 | 4 | 52 |
| 21 | 0.01%-0.03% | AA+ | Aa1 | 515 | 84 | 0.04 | 11 | 6 | 86 |
| 24 | 0.04%-0.05% | AA | Aa2 | 7,435 | - | 0.04 | 15 | 7 | 512 |
| 27 | 0.05%-0.06% | AA- | Aa3 | 7,967 | - | 0.05 | 21 | 8 | 648 |
| 31 | 0.07%-0.09% | A+ | A1 | 17,894 | - | 0.08 | 13 | 8 | 1,428 |
| 34 | 0.09%-0.12% | A | A2 | 5,101 | 6 | 0.11 | 22 | 14 | 816 |
| 37 | 0.13%-0.16% | A- | A3 | 14,295 | 100 | 0.14 | 8 | 9 | 1,284 |
| 41 | 0.17%-0.22% | BBB+ | Baa1 | 5,136 | 331 | 0.18 | 11 | 11 | 561 |
| 44 | 0.23%-0.30% | BBB | Baa2 | 2,624 | 525 | 0.26 | 15 | 16 | 415 |
| 47 | 0.31%-0.42% | BBB- | Baa3 | 822 | 78 | 0.37 | 16 | 19 | 200 |
| **Non-investment grade** | | | | | | | | | | |
| 51 | 0.43%-0.61% | BB+ | Ba1 | 235 | - | 0.50 | 11 | 44 | 96 |
| 54 | 0.62%-1.09% | BB | Ba2 | 585 | - | 0.72 | 14 | 16 | 103 |
| 57 | 1.10%-1.92% | BB- | Ba3 | 254 | 1 | 1.46 | 4 | 11 | 36 |
| 61 | 1.93%-3.99% | B+ | B1 | 337 | 1 | 2.40 | 15 | 41 |
| 64 | 4.00%-7.27% | B | B2 | 253 | 1 | 5.59 | 40 | 139 |
| 67 | 7.28%-12.11% | B- | B3 | 1,664 | 2 | 1.88 | 11 | 463 |
| **Watch list** | | | | | | | | | | |
| 70 | 12.12%-20.67% | CCC+ | Caa1 | 70 | 15.53 | 30 | 156 |
| 75 | 12.12%-20.67% | CCC to CCC- | Caa2 to Caa3 | 8 | | | | | |
| 80 | 20.68%-99.99% | CC to C | Ca | - | - | - | - | - | - |
| **Default** | | | | | | | | | | |
| 90 | 100.00% | D | C | - | - | - | - | - | - |
| | **Total business and government** | **65,378** | **1,234** | **68** | **0.15** | **15** | **11** | **6,959** |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | |
| Strong | | | | 7,127 | 52 | 60 | 70 | 4,989 |
| Good | | | | 448 | 15 | 60 | 90 | 404 |
| Satisfactory | | | | 293 | 70 | 50 | 115 | 337 |
| Weak | | | | 250 | 100 | 60 | 2 |
| Default | | | | - | - | - | - | - |
| **Total business and government** | **191,238** | **51,547** | **69** | **74** | **5,880** |

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS

## Q2/14
| | **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 adjusted risk weight % |
| Insured Drawn and Undrawn $^{3}$ | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 145,198 | 30,466 | 50 | 0.02 | 9 | 1 | 1,944 | 1 | 1 |
| Very low | 0.11%-0.20% | 24,432 | 5,241 | 83 | 0.16 | 19 | 7 | 1,642 | 7 |
| Uninsured Undrawn $^{4}$ | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 15,558 | 31,229 | 50 | 0.03 | 15 | 1 | 230 | 1 |
| Very low | 0.11%- 0.20% | 4,730 | 5,612 | 84 | 0.14 | 18 | 6 | 272 | 1 |
| Low | 0.21%- 0.35% | 332 | 332 | 100 | 0.22 | 19 | 8 | 27 | 9 |
| Medium | 0.36% -0.50% | 2,750 | 1,281 | 54 | 0.42 | 22 | 15 | 422 | 15 |
| Medium | 0.51% - 1.00% | 9,619 | 723 | 62 | 0.63 | 19 | 17 | 1,645 | 17 |
| High | 1.01%- 2.00% | 3,838 | 52 | 100 | 1.19 | 23 | 32 | 1,238 | 32 |
| Default | 2.01%- 5.00% | 946 | 3.10 | 20 | 51 | 500 | 51 |
| Default | 5.01% - 10.00% | 371 | 151 | 6.78 | 19 | 74 | 275 |
| Default | 10.01% - 99.99% | 187 | 11 | 53 | 20.01 | 19 | 104 | 194 |
| Default | 100.00% | 126 | - | 100.00 | 21 | 107 | 135 |
| Uninsured Drawn + | | | | | | | | | | |
| Exceptionally low | 0.01% -0.10% | 28,722 | n/a | n/a | 0.07 | 18 | 3 | 882 | 3 |
| Very low | 0.11%-0.20% | 19,064 | n/a | n/a | 0.16 | 19 | 7 | 1,245 | 6 |
| Low | 0.21%- 0.35% | 2,004 | n/a | n/a | 0.42 | 24 | 17 | 336 | 2 |
| Medium | 0.36%- 0.50% | 10,187 | n/a | n/a | 0.61 | 19 | 17 | 1,717 | 12 |
| Medium | 0.51% - 1.00% | 3,957 | n/a | n/a | 1.19 | 23 | 32 | 1,269 | 11 |
| High | 1.01%- 2.00% | 888 | n/a | n/a | 3.09 | 21 | 52 | 458 | 6 |
| High | 2.01%- 5.00% | 322 | n/a | n/a | 7.07 | 19 | 75 | 242 | 4 |
| High | 5.01% - 10.00% | 200 | n/a | n/a | 19.10 | 19 | 103 | 206 | 7 |
| Default | 10.01% - 99.99% | 142 | n/a | n/a | 100.00 | 20 | 111 | 157 | 22 |
| Default | 100.00% | | | | | | | | |
| **Qualifying revolving credit** | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 24,143 | 29,568 | 75 | 0.05 | 91 | 3 | 689 | 10 |
| Very low | 0.11%- 0.20% | 8,732 | 9,460 | 76 | 0.16 | 90 | 8 | 685 | 12 |
| Low | 0.21%- 0.35% | 335 | 398 | 60 | 0.26 | 95 | 13 | 42 | 1 |
| Medium | 0.36%- 0.50% | 7,306 | 7,756 | 61 | 0.43 | 86 | 17 | 1,229 | 27 |
| Medium | 0.51% - 1.00% | 5,054 | 3,919 | 64 | 0.73 | 90 | 27 | 1,361 | 33 |
| High | 1.01% - 2.00% | 6,660 | 3,902 | 64 | 1.42 | 92 | 45 | 3,013 | 86 |
| High | 2.01%- 5.00% | 5,939 | 2,337 | 63 | 3.21 | 91 | 81 | 4,794 | 172 |
| High | 5.01% - 10.00% | 1,543 | 429 | 75 | 6.79 | 87 | 129 | 1,990 | 92 |
| Default | 10.01% - 99.99% | 1,059 | 289 | 72 | 29.54 | 87 | 205 | 2,172 | 282 |
| Default | 100.00% | 51 | 100.00 | 73 | 100 | 49 |
| **Other retail** | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 1,021 | 1,721 | 46 | 0.06 | 68 | 12 | 124 | 13 |
| Very low | 0.11%-0.20% | 433 | 92 | 81 | 0.14 | 79 | 24 | 106 | 26 |
| Low | 0.21%-0.35% | 230 | 0.25 | 75 | 35 | 81 | 37 |
| Medium | 0.36%-0.50% | 977 | 284 | 58 | 0.47 | 72 | 50 | 486 | 3 |
| Medium | 0.51%-1.00% | 1,642 | 638 | 42 | 0.64 | 82 | 67 | 1,098 | 9 |
| High | 1.01%-2.00% | 1,653 | 131 | 61 | 1.59 | 78 | 94 | 1,553 | 21 |
| High | 2.01%-5.00% | 3,304 | 55 | 51 | 2.66 | 39 | 55 | 1,801 | 42 |
| High | 5.01%-10.00% | 548 | 158 | 55 | 6.67 | 76 | 115 | 632 | 27 |
| Default | 10.01%-99.99% | 215 | 14 | 53 | 23.17 | 83 | 171 | 369 | 41 |
| Default | 100.00% | 197 | 100.00 | 47 | 172 | 339 | 69 |
| **Total retail portfolios** | **262,307** | **100,614** | **65** | **0.65** | **32** | **12** | **30,905** | **1,040** |

## Q1/14
| | **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 adjusted risk weight % |
| Insured Drawn and Undrawn $^{3}$ | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 143,188 | 29,902 | 50 | 0.02 | 9 | 1 | 1,916 | 1 | 1 |
| Very low | 0.11%-0.20% | 24,224 | 4,194 | 79 | 0.16 | 20 | 7 | 1,642 | 7 |
| Uninsured Undrawn $^{4}$ | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 23,898 | 28,963 | 76 | 0.05 | 92 | 3 | 678 | 3 |
| Very low | 0.11%- 0.20% | 8,469 | 9,250 | 76 | 0.16 | 90 | 8 | 664 | 7 |
| Low | 0.21%- 0.35% | 354 | 420 | 62 | 0.26 | 95 | 13 | 44 | 2 |
| Medium | 0.36%- 0.50% | 7,231 | 7,632 | 62 | 0.43 | 86 | 17 | 1,215 | 18 |
| Medium | 0.51% - 1.00% | 5,520 | 4,326 | 69 | 0.72 | 91 | 27 | 1,466 | 27 |
| High | 1.01%- 2.00% | 6,555 | 3,760 | 65 | 1.42 | 92 | 45 | 2,972 | 45 |
| High | 2.01%- 5.00% | 6,045 | 2,327 | 65 | 3.20 | 91 | 81 | 4,881 | 117 |
| High | 5.01% - 10.00% | 1,051 | 288 | 73 | 31.27 | 88 | 207 | 2,178 | 50 |
| Default | 10.01% - 99.99% | 100 | 71 | 95 | 47 |
| **Qualifying revolving credit** | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 23,699 | 28,963 | 76 | 0.05 | 92 | 3 | 678 | 10 |
| Very low | 0.11%- 0.20% | 8,469 | 9,250 | 76 | 0.16 | 90 | 8 | 664 | 12 |
| Low | 0.21%- 0.35% | 354 | 420 | 62 | 0.26 | 95 | 13 | 44 | 2 |
| Medium | 0.36%- 0.50% | 7,231 | 7,632 | 62 | 0.43 | 86 | 17 | 1,215 | 27 |
| Medium | 0.51% - 1.00% | 5,520 | 4,326 | 69 | 0.72 | 91 | 27 | 1,466 | 35 |
| High | 1.01%- 2.00% | 6,555 | 3,760 | 65 | 1.42 | 92 | 45 | 2,972 | 61 |
| High | 2.01%- 5.00% | 6,045 | 2,327 | 65 | 3.20 | 91 | 81 | 4,881 | 117 |
| High | 5.01% - 10.00% | 1,051 | 288 | 73 | 31.27 | 88 | 207 | 2,178 | 50 |
| Default | 10.01% - 99.99% | 100 | 71 | 95 | 47 |
| **Other retail** | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 904 | 1,567 | 49 | 0.05 | 63 | 12 | 104 | 13 |
| Very low | 0.11%-0.20% | 404 | 93 | 81 | 0.11 | 80 | 24 | 100 | 26 |
| Low | 0.21%-0.35% | 227 | 0.25 | 75 | 35 | 81 | 37 |
| Medium | 0.36%-0.50% | 1,276 | 871 | 32 | 0.37 | 72 | 45 | 576 | 3 |
| Medium | 0.51%-1.00% | 1,085 | 189 | 45 | 0.75 | 80 | 73 | 790 | 9 |
| High | 1.01%-2.00% | 1,514 | 1,659 | 107 | 1.43 | 76 | 91 | 1,504 | 21 |
| High | 2.01%-5.00% | 3,313 | 85 | 42 | 2.57 | 40 | 55 | 1,837 | 42 |
| High | 5.01%-10.00% | 356 | 94 | 60 | 4.30 | 72 | 111 | 395 | 27 |
| Default | 10.01%-99.99% | 370 | 391 | 61 | 24.99 | 78 | 161 | 629 | 41 |
| Default | 100.00% | 180 | 336 | 187 | 100.00 | 46 | 168 | 315 |
| **Total retail portfolios** | **255,665** | **96,843** | **64** | **0.67** | **32** | **12** | **30,359** |

# AIRB CREDIT RISK EXPOSURE - LOSS EXPERIENCE

## Business and government portfolios $^{2}$
| | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
|---|---|---|---|---|---|---|---|---|---|
| | 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 %$^{1}$ | Expected loss rate %$^{1}$ | Actual loss rate %$^{1}$ | Expected loss rate %$^{1}$ | Actual loss rate %$^{1}$ |
| Corporate | 0.55 | 0.12 | 0.54 | 0.16 | 0.57 | 0.20 | 0.56 | 0.23 |
| Sovereign | 0.16 | 0.15 | 0.15 | 0.11 |
| Banks | - | - | - | - | - | - | - | - |
| Retail portfolios $^{3}$ | | | | | | | | | | |
| Real estate secured personal lending | 0.05 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 |
| Qualifying revolving retail | 3.89 | 2.91 | 3.78 | 3.24 | 3.96 | 3.28 | 3.91 | 3.29 |
| Other retail | 2.22 | 1.04 | 2.50 | 1.60 | 2.64 | 1.67 | 2.65 | 1.66 |
| | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
| | 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 %$^{1}$ |
| Business and government portfolios $^{2}$ | | | | | | | | | |
| Corporate | 0.60 | 0.38 | 0.60 | 0.47 | 0.60 | 0.45 | 0.64 | 0.52 |
| Sovereign | 0.10 | 0.11 | 0.09 | 0.13 |
| Banks | - | - | - | - | - | - | - | - |
| Retail portfolios $^{3}$ | | | | | | | | | |
| Real estate secured personal lending | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 | 0.05 | 0.02 |
| Qualifying revolving retail | 3.51 | 3.47 | 3.49 | 3.36 | 4.20 | 3.53 | 4.18 | 3.60 |
| Other retail | 2.67 | 1.89 | 2.78 | 1.41 | 2.91 | 1.49 | 3.05 | 1.52 |

$^{1}$ Actual loss rates on business and government portfolios for each quarter represent the write-offs, less recoveries plus the change in individual allowance for the previous 12 months, divided by the outstanding balance at the beginning of the previous 12 month period. The expected loss rate represents the loss rate that was predicted by the Basel parameter estimates at the beginning of the period defined above.
Actual loss rates on retail portfolios for each quarter represent write-offs less recoveries for the previous 12 months, divided by the outstanding balance at the beginning of the previous 12 month period. The expected loss rate represents the loss rate that was predicted by the Basel II parameter estimates at the beginning of the period defined above.
Differences between actual and expected loss rates are due to the following reasons:
Expected losses are generally calculated using "through the business cycle" risk parameters while actual losses are determined at a "point in time" and reflect more current economic conditions. "Through the cycle" parameters are estimated to include a long time horizon and as a result, actual losses may exceed expected losses during an economic downturn and may fall below expected losses during times of economic growth.
$^{2}$ Business and government portfolios:
Actual loss rates for business and government exposures were lower than the historically measured expected losses as average default rates and LGDs were higher during the historically measured period than the preceding 12 months.
$^{3}$ Retail portfolios:
The increases in the actual loss rates for "Qualifying revolving retail" and "Other retail" in Q3/13 are due to a charge of \$20 million in July 2013 resulting from a revision of estimated loss parameters on our unsecured lending portfolios. Changes in the expected loss rates are due to the implementation of updated AIRB parameters.

# AIRB CREDIT RISK EXPOSURE – BACK-TESTING

## Business and government portfolios $^{1}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporate | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Sovereign | 2.95 | 0.51 | 40.96 | 78.85 | 42.52 | 2.96 | 0.51 | 39.07 | 79.19 | 48.87 |
| Banks | 2.56 | n/a | n/a | 79.32 | n/a | 2.62 | 97.00 | 8.47 | 98.95 | n/a |
| | 1.31 | n/a | n/a | 82.01 | n/a | 1.37 | n/a | 81.63 | n/a |

## Retail portfolios $^{2}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Real estate secured personal lending | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Uninsured residential mortgages and personal loans | 0.47 | 0.27 | 18.49 | 13.05 | n/a | n/a | 0.51 | 0.28 | 19.29 | 8.57 | n/a | n/a |
| Insured residential mortgages | 0.52 | 0.31 | n/a | n/a | n/a | n/a | 0.53 | 0.32 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.25 | 0.11 | 23.44 | 19.84 | 96.88 | 87.39 | 0.25 | 0.10 | 23.34 | 13.41 | 98.88 | 94.01 |
| Qualifying revolving retail | 1.24 | 1.14 | 89.96 | 86.89 | 97.83 | 94.57 | 1.29 | 1.13 | 90.27 | 86.23 | 102.31 | 98.20 |
| Other retail | 2.00 | 1.51 | 86.06 | 74.23 | 101.96 | 93.89 | 2.31 | 1.64 | 85.67 | 80.84 | 93.78 | 91.49 |

| | Q1/14 | | | | | | Q4/13 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Business and government portfolios $^{1}$ | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Corporate | 2.95 | 0.54 | 40.34 | 79.04 | 54.06 | 2.77 | 0.57 | 44.91 | 79.57 | 60.13 |
| Sovereign | 2.60 | - | 61.09 | 21.92 | 98.95 | n/a | 2.54 | 63.07 | 28.75 | 98.95 | n/a |
| Banks | 1.32 | - | - | 86.06 | n/a | 1.27 | - | 84.93 | n/a |
| Retail portfolios $^{2}$ | | | | | | | | | | |
| Real estate secured personal lending | 0.51 | 0.25 | 18.59 | 10.05 | n/a | n/a | 0.54 | 0.25 | 18.96 | 6.72 | n/a | n/a |
| Insured residential mortgages | 0.54 | 0.32 | n/a | n/a | n/a | n/a | 0.55 | 0.33 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.26 | 0.09 | 24.14 | 9.56 | 98.90 | 92.42 | 0.26 | 0.09 | 25.85 | 12.69 | 99.60 | 95.99 |
| Qualifying revolving retail | 1.30 | 1.15 | 90.10 | 85.93 | 102.28 | 98.34 | 1.28 | 1.14 | 87.11 | 81.99 | 98.36 | 96.03 |
| Other retail | 2.32 | 1.75 | 86.03 | 80.08 | 95.65 | 94.19 | 2.41 | 1.77 | 79.87 | 82.65 | 95.70 | 83.73 |

$^{1}$ Estimated LGD is based on accounts that default. Estimated EAD is based on all accounts. For actual LGD, payments are discounted to the default date using discount rates based on opportunity cost (the highest interest rate at which we would originate a new loan in the corresponding portfolio). Estimated and actual EAD include only revolving facilities.
$^{2}$ Both estimated and actual EAD are based on accounts that default. Actual LGD is based on payments received after default for accounts that entered default 24 months before the effective month, using a discount rate based on opportunity cost. Estimated and actual EAD include only revolving products (lines of credit, credit cards, and overdraft facilities). Retail information is based upon our internal parameter monitoring system, which covers more than 90% of retail exposures.
$^{n/a}$ Not applicable.

# CHANGES IN CREDIT QUALITY OF AIRB EXPOSURE - BUSINESS AND GOVERNMENT PORTFOLIOS (RISK RATING METHOD) $^{1}$

| | Q3/14 vs. Q2/14 | Q2/14 vs. Q1/14 | Q1/14 vs. Q4/13 | Q4/13 vs. Q3/13 |
|---|---|---|---|---|
| | Credit risk | | | |
| | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| **Corporate** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | (1,103) | 1,316 | 3 | 3 | 1,544 | (3,447) | (1,461) | (1) | (1,120) |
| Non-investment grade | 992 | 342 | 1 | 1,066 | 435 | 33 | (1) | 0.03 | 5 | (63) |
| Watch list | (43) | (69) | (2) | 0.21 | (7) | (29) (276) | (77) | 94 | 14 | 0.76 | 10 | (49) |
| Default | (217) | 1,593 | 1 | (0.04) | 1 | 2,165 | (3,092) | (1,334) | (1) | 0.04 | 1 | (968) |
| **Sovereign** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | 252 | (63) | (1) | (13) | 4,904 | 299 | 1 | (0.00) | (1) | (5) | 285 |
| Non-investment grade | (53) | (28) | (10) | 0.05 | (11) | 285 | 251 | 38 | (0.12) | (2) | (4) | 31 |
| Watch list | - | - | - | - | - | - | - | - | - | - | - | - |
| Default | 199 | (91) | (1) | (1) | (24) | 5,189 | 550 | 2 | 0.01 | 26 |
| **Bank** | | | | | | | | | | | | | | | | | | | | | | | | |
| Investment grade | 1,624 | (146) | (1) | 81 | (991) | (91) | (4) | (3) | (2,732) |
| Non-investment grade | (41) | (6) | 0.25 | 2 | 5 | (479) | 6 | (1) | (0.01) | (3) | (11) | (319) |
| Watch list | (7) | (24) | (68) | (9) | 1 | (67) | (5) |
| Default | 1,576 | (152) | (1) | 132 | (1,469) | (85) | 3 | (0.01) | (4) | (4) | (3,056) |
| | 1,558 | 1,350 | (0.02) | 1 | 2,273 | 628 | (869) | (0.01) | (2) | (3) | (3,998) |
| **Commercial mortgages (Slotting approach)** | | | | | | | | | | | | | | | | | | | | | | | | |
| Strong | | | | 106 | 37 | 75 | (219) | (9) | (5) | (154) |
| Good | | | | 24 | (4) | (64) | 12 | 60 |
| Satisfactory | | | | (3) | (2) | (8) | (13) |
| Weak | | | | 2 | (32) | 1 | (1) | (93) |
| Default | | | | 1 | (1) | 39 | 73 | 10 |
| **Total business and government** | **1,597** | **1,423** | **1** | **2,283** | **480** | **(868)** | **(2)** | **(4,091)** |

$^{1}$ Gross credit exposure after credit valuation adjustments for financial guarantors and credit risk mitigation, and before allowance for credit losses.

# CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^{1}$

## Q1/14
| | **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 adjusted risk weight % |
| Insured Drawn and Undrawn $^{3}$ | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 143,188 | 29,902 | 50 | 0.02 | 9 | 1 | 1,916 | 1 | 1 |
| Very low | 0.11%-0.20% | 24,224 | 4,194 | 79 | 0.16 | 20 | 7 | 1,642 | 7 |
| Uninsured Undrawn $^{4}$ | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 23,898 | 28,963 | 76 | 0.05 | 92 | 3 | 678 | 3 |
| Very low | 0.11%- 0.20% | 8,469 | 9,250 | 76 | 0.16 | 90 | 8 | 664 | 7 |
| Low | 0.21%- 0.35% | 354 | 420 | 62 | 0.26 | 95 | 13 | 44 | 2 |
| Medium | 0.36%- 0.50% | 7,231 | 7,632 | 62 | 0.43 | 86 | 17 | 1,215 | 18 |
| Medium | 0.51% - 1.00% | 5,520 | 4,326 | 69 | 0.72 | 91 | 27 | 1,466 | 27 |
| High | 1.01%- 2.00% | 6,555 | 3,760 | 65 | 1.42 | 92 | 45 | 2,972 | 45 |
| High | 2.01%- 5.00% | 6,045 | 2,327 | 65 | 3.20 | 91 | 81 | 4,881 | 117 |
| High | 5.01% - 10.00% | 1,051 | 288 | 73 | 31.27 | 88 | 207 | 2,178 | 50 |
| Default | 10.01% - 99.99% | 100 | 71 | 95 | 47 |
| **Qualifying revolving credit** | | | | | | | | | | |
| Exceptionally low | 0.01%- 0.10% | 23,699 | 28,963 | 76 | 0.05 | 92 | 3 | 678 | 10 |
| Very low | 0.11%- 0.20% | 8,469 | 9,250 | 76 | 0.16 | 90 | 8 | 664 | 12 |
| Low | 0.21%- 0.35% | 354 | 420 | 62 | 0.26 | 95 | 13 | 44 | 2 |
| Medium | 0.36%- 0.50% | 7,231 | 7,632 | 62 | 0.43 | 86 | 17 | 1,215 | 27 |
| Medium | 0.51% - 1.00% | 5,520 | 4,326 | 69 | 0.72 | 91 | 27 | 1,466 | 35 |
| High | 1.01%- 2.00% | 6,555 | 3,760 | 65 | 1.42 | 92 | 45 | 2,972 | 61 |
| High | 2.01%- 5.00% | 6,045 | 2,327 | 65 | 3.20 | 91 | 81 | 4,881 | 117 |
| High | 5.01% - 10.00% | 1,051 | 288 | 73 | 31.27 | 88 | 207 | 2,178 | 50 |
| Default | 10.01% - 99.99% | 100 | 71 | 95 | 47 |
| **Other retail** | | | | | | | | | | |
| Exceptionally low | 0.01%-0.10% | 904 | 1,567 | 49 | 0.05 | 63 | 12 | 104 | 13 |
| Very low | 0.11%-0.20% | 404 | 93 | 81 | 0.11 | 80 | 24 | 100 | 26 |
| Low | 0.21%-0.35% | 227 | 0.25 | 75 | 35 | 81 | 37 |
| Medium | 0.36%-0.50% | 1,276 | 871 | 32 | 0.37 | 72 | 45 | 576 | 3 |
| Medium | 0.51%-1.00% | 1,085 | 189 | 45 | 0.75 | 80 | 73 | 790 | 9 |
| High | 1.01%-2.00% | 1,514 | 1,659 | 107 | 1.43 | 76 | 91 | 1,504 | 21 |
| High | 2.01%-5.00% | 3,313 | 85 | 42 | 2.57 | 40 | 55 | 1,837 | 42 |
| High | 5.01%-10.00% | 356 | 94 | 60 | 4.30 | 72 | 111 | 395 | 27 |
| Default | 10.01%-99.99% | 370 | 391 | 61 | 24.99 | 78 | 161 | 629 | 41 |
| Default | 100.00% | 180 | 336 | 187 | 100.00 | 46 | 168 | 315 |
| **Total retail portfolios** | **255,665** | **96,843** | **64** | **0.67** | **32** | **12** | **30,359** |

$^{1}$ Comprises Canadian residential mortgages and HELOCs, qualifying revolving retail exposures (credit cards and unsecured lines of credit); and other retail exposures (loans secured by non-residential assets, unsecured loans including student loans, and scored small business loans). These retail portfolios are under the AIRB approach and exclude international portfolios which are under the standardized approach. Amounts are before allowance for credit losses and after credit risk mitigation.
$^{2}$ Calculated as (RWA + 12.5 x expected losses) / EAD based on unrounded figures.
$^{3}$ Comprises insured residential mortgages for which we utilize the substitution approach, whereby PD and LGD values appropriate for the insurance provider are used in the RWA calculations. We do not have any drawn or undrawn insured HELOCs.
$^{4}$ Comprises both residential mortgages and HELOCs.

# CHANGES IN CREDIT QUALITY OF AIRB EXPOSURE - RETAIL PORTFOLIOS $^{1}$

| | Q3/14 vs. Q2/14 | Q2/14 vs. Q1/14 | Q1/14 vs. Q4/13 | Q4/13 vs. Q3/13 |
|---|---|---|---|---|
| | Credit risk | | | |
| | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | | | | | | | | | | | | | | | | | |
| Exceptionally low | 2,251 | 1,134 | 73 | 2,218 | 1,611 | 1 | 40 |
| Very low | (39) | (5) | 1 | (7) | 97 | 107 | 3 | (0.01) | 8 |
| Low | 1,157 | 85 | (2) | (0.02) | (1) | 169 | 156 | 129 | (3) | 20 |
| Medium | (33) | 11 | (0.03) | (1) | (25) | 16 | 4 | (0.04) | 5 |
| High | 9 | 1 | (0.32) | 8 | 9 | (3) | 5 | (0.49) | (1) | 8 |
| Default | 10 | - | (1) | 1 | 12 | 6 | - | 3 |
| **Qualifying revolving credit** | | | | | | | | | | | | | | | | | | | | | | | | |
| Exceptionally low | 216 | 162 | 5 | 491 | 653 | 27 |
| Very low | 121 | 124 | 21 | (65) | (22) | (9) |
| Low | (155) | (174) | (2) | 0.01 | (21) | (206) | (91) | (1) | 0.01 | (43) |
| Medium | (71) | (45) | (1) | 0.02 | (51) | 27 | 64 | (1) | 0.02 | 41 |
| High | (28) | (1) | (1.03) | (1) | (55) | 36 | 1 | (0.70) | (2) | 49 |
| Default | (2) | 1 | 4 | 1 | 3 | 1 | (3) |
| **Other retail** | | | | | | | | | | | |
| Exceptionally low | 7 | 11 | 1 | 139 | 142 | (3) | 0.01 | 3 | 25 |
| Very low | 41 | 13 | 0.01 | 40 | 510 | 460 | (2) | (0.05) | 2 | (3) | 317 |
| Low | 55 | (1) | (1) | 1 | 54 | 128 | 35 | 3 | 147 |
| Medium | (2) | 1 | 0.12 | 1 | (174) | (47) | 13 | (1.94) | 5 | (259) |
| High | 10 | (1) | (8) | 3 | 1 | 12 | 21 |
| **Total retail portfolios** | **3,608** | **1,320** | **258** | **3,034** | **2,451** | **(0.02)** | **288** |

## Q1/14 vs. Q4/13
| | **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| 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 | EAD | Notional of undrawn | Exposure weighted-average EAD % | Exposure weighted-average PD % | Exposure weighted-average LGD % | Exposure weighted-average risk weight % | RWA |
| Exceptionally low | 0.01% - 0.20% | 4,013 | 136 | (1) | 104 | 1,829 | (47) | (1) | 147 |
| Very low | (3,491) | (44) | (2) | 0.10 | 2 | 4 | (278) | (1,323) | (95) | (2) | 0.02 | (1) | (141) |
| Low | 285 | 144 | (1) | (0.06) | (1) | (83) | 41 | (103) | (5) | 0.02 | 1 | 57 |
| Medium | (471) | (68) | (41) | 0.49 | 1 | 5 | (181) | (237) | (1) | 1 | (138) |
| High | (108) | 1 | (0.10) | 6 | (96) | (92) | (2) | (12) | 1.25 | (1) | (96) |
| Default | 1 | 2 | 4 | 6 | 4 | 11 | 229 | 169 | (1) | (0.02) | (530) |
| **Qualifying revolving credit** | | | | | | | | | | | | | | |
| Exceptionally low | (2,710) | (4,278) | 4 | 0.01 | (22) | 2,424 | 2,705 | 1 | 102 |
| Very low | (1,754) | (1,792) | (3) | 0.02 | (1) | (263) | 586 | 600 | (0.01) | 82 |
| Low | (2,476) | (1,678) | 6 | (0.08) | (2) | (1,230) | 1,248 | 1,125 | 1 | (0.01) | 1 | 462 |
| Medium | 170 | 65 | 5 | (0.68) | 1 | (9) | (506) | 754 | 380 | 1 | 788 |
| High | (183) | (41) | (2) | 1.07 | (13) | (533) | 176 | 73 | 4 | 0.20 | 1 | 406 |
| Default | (142) | 24 | (14) | (163) | 19 | (1) | 3 | 26 |
| **Other retail** | | | | | | | | | | | | | | | |
| Exceptionally low | 202 | 240 | 6 | (0.01) | 4 | 31 | (88) | 21 | (1) | 1 | 1 | (10) |
| Very low | 88 | 61 | (41) | (0.02) | 1 | 1 | 51 | (193) | 6 | (0.01) | 2 | (74) |
| Low | 176 | 41 | 4 | (0.06) | 1 | 160 | 352 | (5) | 0.04 | 6 | 424 |
| Medium | 295 | 98 | 11 | (0.17) | 1 | 2 | 261 | (188) | (3) | (0.20) | (91) |
| High | 7 | 3 | 0.09 | 1 | 14 | 73 | (2.50) | 4 | 130 |
| Default | 126 | (25) | (73) | 167 | 3 | (121) | (72) |
| **Total retail portfolios** | **894** | **443** | **(7)** | **1.20** | **1** | **1** | **684** | **(44)** | **(5,972)** | **7,112** | **1** | **(0.05)** | **(1)** | **(1)** | **2,013** |

$^{1}$ Comprises Canadian residential mortgages and HELOCs, qualifying revolving retail exposures (credit cards and unsecured lines of credit); and other retail exposures (loans secured by non-residential assets, unsecured loans including student loans, and scored small business loans). These retail portfolios are under the AIRB approach and exclude international portfolios which are under the standardized approach. Amounts are before allowance for credit losses and after credit risk mitigation.
$^{2}$ Includes both insured and uninsured residential mortgages, and both drawn and undrawn commitments. For insured mortgages, we utilize the substitution approach, whereby PD and LGD values appropriate for the insurance provider are used in the RWA calculations.

# AIRB CREDIT RISK EXPOSURE - LOSS EXPERIENCE

## Business and government portfolios $^{2}$
| | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
|---|---|---|---|---|---|---|---|---|---|
| | 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 %$^{1}$ | Expected loss rate %$^{1}$ | Actual loss rate %$^{1}$ | Expected loss rate %$^{1}$ | Actual loss rate %$^{1}$ |
| Corporate | 0.55 | 0.12 | 0.54 | 0.16 | 0.57 | 0.20 | 0.56 | 0.23 |
| Sovereign | 0.16 | 0.15 | 0.15 | 0.11 |
| Banks | - | - | - | - | - | - | - | - |
| Retail portfolios $^{3}$ | | | | | | | | | | |
| Real estate secured personal lending | 0.05 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 |
| Qualifying revolving retail | 3.89 | 2.91 | 3.78 | 3.24 | 3.96 | 3.28 | 3.91 | 3.29 |
| Other retail | 2.22 | 1.04 | 2.50 | 1.60 | 2.64 | 1.67 | 2.65 | 1.66 |
| | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
| | 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 %$^{1}$ |
| Business and government portfolios $^{2}$ | | | | | | | | | |
| Corporate | 0.60 | 0.38 | 0.60 | 0.47 | 0.60 | 0.45 | 0.64 | 0.52 |
| Sovereign | 0.10 | 0.11 | 0.09 | 0.13 |
| Banks | - | - | - | - | - | - | - | - |
| Retail portfolios $^{3}$ | | | | | | | | | |
| Real estate secured personal lending | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 | 0.05 | 0.02 |
| Qualifying revolving retail | 3.51 | 3.47 | 3.49 | 3.36 | 4.20 | 3.53 | 4.18 | 3.60 |
| Other retail | 2.67 | 1.89 | 2.78 | 1.41 | 2.91 | 1.49 | 3.05 | 1.52 |

$^{1}$ Actual loss rates on business and government portfolios for each quarter represent the write-offs, less recoveries plus the change in individual allowance for the previous 12 months, divided by the outstanding balance at the beginning of the previous 12 month period. The expected loss rate represents the loss rate that was predicted by the Basel parameter estimates at the beginning of the period defined above.
Actual loss rates on retail portfolios for each quarter represent write-offs less recoveries for the previous 12 months, divided by the outstanding balance at the beginning of the previous 12 month period. The expected loss rate represents the loss rate that was predicted by the Basel II parameter estimates at the beginning of the period defined above.
Differences between actual and expected loss rates are due to the following reasons:
Expected losses are generally calculated using "through the business cycle" risk parameters while actual losses are determined at a "point in time" and reflect more current economic conditions. "Through the cycle" parameters are estimated to include a long time horizon and as a result, actual losses may exceed expected losses during an economic downturn and may fall below expected losses during times of economic growth.
$^{2}$ Business and government portfolios:
Actual loss rates for business and government exposures were lower than the historically measured expected losses as average default rates and LGDs were higher during the historically measured period than the preceding 12 months.
$^{3}$ Retail portfolios:
The increases in the actual loss rates for "Qualifying revolving retail" and "Other retail" in Q3/13 are due to a charge of \$20 million in July 2013 resulting from a revision of estimated loss parameters on our unsecured lending portfolios. Changes in the expected loss rates are due to the implementation of updated AIRB parameters.

# AIRB CREDIT RISK EXPOSURE – BACK-TESTING

## Business and government portfolios $^{1}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Corporate | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Sovereign | 2.95 | 0.51 | 40.96 | 78.85 | 42.52 | 2.96 | 0.51 | 39.07 | 79.19 | 48.87 |
| Banks | 2.56 | n/a | n/a | 79.32 | n/a | 2.62 | 97.00 | 8.47 | 98.95 | n/a |
| | 1.31 | n/a | n/a | 82.01 | n/a | 1.37 | n/a | 81.63 | n/a |

## Retail portfolios $^{2}$
| | Q3/14 | | | | | | Q2/14 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Real estate secured personal lending | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Uninsured residential mortgages and personal loans | 0.47 | 0.27 | 18.49 | 13.05 | n/a | n/a | 0.51 | 0.28 | 19.29 | 8.57 | n/a | n/a |
| Insured residential mortgages | 0.52 | 0.31 | n/a | n/a | n/a | n/a | 0.53 | 0.32 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.25 | 0.11 | 23.44 | 19.84 | 96.88 | 87.39 | 0.25 | 0.10 | 23.34 | 13.41 | 98.88 | 94.01 |
| Qualifying revolving retail | 1.24 | 1.14 | 89.96 | 86.89 | 97.83 | 94.57 | 1.29 | 1.13 | 90.27 | 86.23 | 102.31 | 98.20 |
| Other retail | 2.00 | 1.51 | 86.06 | 74.23 | 101.96 | 93.89 | 2.31 | 1.64 | 85.67 | 80.84 | 93.78 | 91.49 |

| | Q1/14 | | | | | | Q4/13 | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Business and government portfolios $^{1}$ | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % | Average estimated PD % | Actual default rate % | Actual Estimated LGD % | Estimated EAD % | Actual EAD % |
| Corporate | 2.95 | 0.54 | 40.34 | 79.04 | 54.06 | 2.77 | 0.57 | 44.91 | 79.57 | 60.13 |
| Sovereign | 2.60 | - | 61.09 | 21.92 | 98.95 | n/a | 2.54 | 63.07 | 28.75 | 98.95 | n/a |
| Banks | 1.32 | - | - | 86.06 | n/a | 1.27 | - | 84.93 | n/a |
| Retail portfolios $^{2}$ | | | | | | | | | | |
| Real estate secured personal lending | 0.51 | 0.25 | 18.59 | 10.05 | n/a | n/a | 0.54 | 0.25 | 18.96 | 6.72 | n/a | n/a |
| Insured residential mortgages | 0.54 | 0.32 | n/a | n/a | n/a | n/a | 0.55 | 0.33 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.26 | 0.09 | 24.14 | 9.56 | 98.90 | 92.42 | 0.26 | 0.09 | 25.85 | 12.69 | 99.60 | 95.99 |
| Qualifying revolving retail | 1.30 | 1.15 | 90.10 | 85.93 | 102.28 | 98.34 | 1.28 | 1.14 | 87.11 | 81.99 | 98.36 | 96.03 |
| Other retail | 2.32 | 1.75 | 86.03 | 80.08 | 95.65 | 94.19 | 2.41 | 1.77 | 79.87 | 82.65 | 95.70 | 83.73 |

$^{1}$ Estimated LGD is based on accounts that default. Estimated EAD is based on all accounts. For actual LGD, payments are discounted to the default date using discount rates based on opportunity cost (the highest interest rate at which we would originate a new loan in the corresponding portfolio). Estimated and actual EAD include only revolving facilities.
$^{2}$ Both estimated and actual EAD are based on accounts that default. Actual LGD is based on payments received after default for accounts that entered default 24 months before the effective month, using a discount rate based on opportunity cost. Estimated and actual EAD include only revolving products (lines of credit, credit cards, and overdraft facilities). Retail information is based upon our internal parameter monitoring system, which covers more than 90% of retail exposures.
$^{n/a}$ Not applicable.

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

| (\$ millions) | Drawn | Undrawn commitments | Repo-style transactions | Other off-balance sheet | OTC derivatives | Total | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Q1/13 | Q4/12 | Q3/12 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Commercial mortgages | 7,708 | 141 | - | - | - | 7,849 | 7,810 | 7,959 | 7,931 | 7,685 | 7,614 | 7,550 | 7,628 | 7,666 |
| Financial institutions | 18,097 | 3,285 | 6,609 | 61,540 | 7,741 | 97,272 | 96,486 | 102,426 | 82,936 | 91,974 | 96,285 | 85,009 | 83,426 | 94,579 |
| Retail and wholesale | 3,451 | 2,266 | 307 | 39 | 6,063 | 6,371 | 6,403 | 5,952 | 5,848 | 5,551 | 5,432 | 5,305 | 5,178 |
| Business services | 4,093 | 1,913 | 1 | 464 | 38 | 6,509 | 6,145 | 6,149 | 6,033 | 6,024 | 5,968 | 5,819 | 5,583 | 6,048 |
| Manufacturing - capital goods | 1,605 | 1,611 | 99 | 50 | 3,365 | 3,282 | 3,438 | 3,366 | 3,156 | 3,054 | 2,837 | 2,833 | 2,874 |
| Manufacturing - consumer goods | 2,364 | 949 | 170 | 33 | 3,516 | 3,467 | 3,470 | 3,590 | 3,476 | 3,476 | 3,247 | 3,019 | 3,205 |
| Real estate and construction | 14,289 | 4,081 | 824 | 90 | 19,284 | 18,391 | 18,453 | 17,689 | 16,857 | 16,039 | 14,986 | 15,011 | 14,270 |
| Agriculture | 4,064 | 1,345 | 71 | 24 | 5,504 | 5,519 | 5,023 | 4,903 | 4,862 | 4,829 | 4,743 | 4,718 | 4,709 |
| Oil and gas | 4,713 | 8,104 | 935 | 1,285 | 16,012 | 15,472 | 13,536 | 13,503 | 12,517 | 12,309 | 11,658 | 11,382 |
| Mining | 1,243 | 2,373 | 412 | 40 | 4,068 | 4,125 | 4,414 | 4,042 | 3,922 | 3,854 | 3,595 | 3,663 | 3,501 |
| Forest products | 547 | 534 | 110 | 24 | 1,215 | 1,241 | 1,234 | 1,164 | 1,145 | 1,162 | 1,121 | 1,125 | 1,179 |
| Hardware and software | 721 | 388 | 31 | 7 | 1,147 | 1,152 | 1,296 | 1,088 | 1,051 | 1,115 | 999 | 893 |
| Telecommunications and cable | 682 | 1,034 | 327 | 64 | 2,107 | 2,132 | 2,183 | 2,184 | 2,115 | 2,132 | 2,081 | 1,864 | 1,902 |
| Broadcasting, publishing, and printing | 250 | 249 | 163 | 1 | 663 | 678 | 761 | 733 | 720 | 770 | 724 | 678 | 720 |
| Transportation | 1,946 | 1,503 | 392 | 237 | 4,078 | 4,126 | 4,192 | 3,714 | 3,613 | 3,202 | 3,287 | 2,799 | 2,805 |
| Utilities | 2,318 | 5,098 | 1,331 | 402 | 9,149 | 8,370 | 8,480 | 7,154 | 6,885 | 6,422 | 5,626 | 5,768 | 5,441 |
| Education, health, and social services | 1,768 | 829 | 7 | 71 | 2,748 | 2,372 | 2,448 | 2,342 | 2,426 | 2,483 | 2,495 | 2,402 | 2,399 |
| Governments | 17,707 | 3,096 | 301 | 191 | 2,172 | 23,467 | 23,765 | 17,171 | 22,673 | 23,952 | 23,883 | 27,603 | 25,761 | 20,921 |
| **Total business and government** | **87,566** | **38,799** | **6,918** | **67,438** | **12,320** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** | **189,625** | **184,408** | **189,870** |

$^{1}$ Gross credit exposure after credit valuation adjustments for financial guarantors, and before allowance for credit losses.

# EXPOSURE AT DEFAULT UNDER THE STANDARDIZED APPROACH

| (\$ millions) | Risk-weight category | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | 0% | 20% | 35% | 50% | 75% | 100% | 150% | Total |
| **Q3/14** | | | | | | | | |
| Corporate | - | - | - | 190 | - | 3,616 | 6 | 3,622 |
| Sovereign | 3,058 | 93 | - | 190 | 686 | 4,027 |
| Banks | - | 1,206 | - | - | 35 | 1,241 |
| Real estate secured personal lending | - | - | - | - | 1,922 | 303 | 2,225 |
| Other retail | - | - | - | 644 | - | 84 | 728 |
| Total | 3,058 | 1,299 | 190 | 2,566 | 4,337 | 393 | 11,843 |
| **Q2/14** | 3,060 | 790 | 687 | 2,611 | 4,259 | 401 | 11,808 |
| **Q1/14** | 2,739 | 992 | 857 | 487 | 2,117 | 4,379 | 21 | 11,592 |
| **Q4/13** | 2,532 | 962 | 115 | 394 | 2,686 | 4,090 | 19 | 10,798 |
| **Q3/13** | 2,246 | 1,001 | - | 392 | 4,061 | 4,225 | 10 | 11,935 |
| **Q2/13** | 2,124 | 881 | - | 309 | 4,066 | 4,234 | 10 | 11,624 |
| **Q1/13** | 2,043 | 748 | - | 365 | 4,152 | 4,359 | - | 11,667 |
| **Q4/12** | 1,890 | 654 | - | 283 | 4,245 | 4,736 | - | 11,808 |
| **