# Pillar 3 Report and Supplementary Regulatory Capital Disclosure

For the period ended January 31, 2019

For further information, please contact:
Hratch Panossian, Executive Vice-President, Global Controller and Investor Relations (416) 956-3317
Jason Patchett, Senior Director, Investor Relations (416) 980-8691

# TABLE OF CONTENTS

This document is unaudited and should be read in conjunction with our quarterly report to shareholders and news release for Q1/19, and our 2018 annual report (including audited consolidated financial statements and accompanying management's discussion and analysis). Additional financial information is also available through our quarterly investor presentations as well as the quarterly conference call webcast. All relevant information in this document is prepared under International Financial Reporting Standards (IFRS) and all amounts are in millions of Canadian dollars, unless otherwise stated.

## PILLAR 3 REPORT

| Pillar 3 Report Index | Page |
|---|---|
| Pillar 3 Report Index | 1 |
| KM2: Key metrics - TLAC requirements | 3 |
| OV1: Overview of risk-weighted assets (RWA) | 4 |
| Changes in CET1 risk-weighted assets | 5 |
| LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | 6 |
| LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements | 7 |
| CC1: Composition of capital | 8 |
| CC2: Reconciliation of regulatory capital to balance sheet | 10 |
| Changes in Regulatory Capital | 12 |
| TLAC 1: TLAC composition | 13 |
| TLAC3: Resolution entity - creditor ranking at legal entity level | 14 |
| LR1: Summary comparison of accounting assets vs. leverage ratio exposure measure | 15 |
| LR2: Leverage ratio common disclosure | 15 |
| CR1: Credit quality of assets | 16 |
| CR2: Changes in stock of defaulted loans and debt securities | 16 |
| CR3: Credit risk mitigation techniques - overview | 16 |
| CR4: Standardized approach - credit risk exposure and credit risk mitigation (CRM) effects | 17 |
| CR5: Standardized approach – exposures by asset classes and risk-weights | 18 |
| CR6: Internal ratings based (IRB) – Credit risk exposures by portfolio and probability of default (PD) range | 19 |
| CR10: IRB (specialized lending and equities under the simple risk-weight method) | 23 |
| CCR1: Analysis of CCR exposure by approach | 24 |
| CCR2: Credit valuation adjustment (CVA) capital charge | 25 |
| CCR3: Standardized approach of CCR exposures by regulatory portfolio and risk-weights | 25 |
| CCR4: IRB - CCR exposures by portfolio and PD scale | 26 |
| CCR5: Composition of collateral for CCR exposure | 28 |
| CCR6: Credit derivatives exposures | 28 |
| CCR8: Exposures to central counterparties | 29 |
| SEC1: Securitization exposures in the banking book | 30 |
| SEC2: Securitization exposures in the trading book | 31 |
| SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | 32 |
| SEC4: Securitization exposures in the banking book and associated capital requirements - bank acting as investor | 33 |

## SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURES

| Disclosures provided to address Enhanced Disclosure Task Force (EDTF) recommendations | Page |
|---|---|
| Credit Exposure - Exposure at default (EAD) | 34 |
| Credit Exposure - Geographic Concentration | 35 |
| Credit Exposure - Maturity Profile | 36 |
| Credit Risk Associated With Derivatives | 37 |
| Advanced internal ratings-based (AIRB) Credit Risk Exposure - Loss Experience | 38 |
| AIRB Credit Risk Exposure - Back Testing | 39 |
| Glossary | 40 |

# PILLAR 3 REPORT

## PILLAR 3 REPORT INDEX

The index below provides a listing of Pillar 3 disclosure requirements issued by the Basel Committee of Banking Supervision (BCBS) which are currently effective for CIBC, along with their locations. The disclosures are located in our annual report, and supplementary packages, which may be found on our website (www.cibc.com). No information on CIBC's website, including the supplementary packages, should be considered incorporated herein by reference.

The credit risk framework within the BCBS' Capital Adequacy Requirements (CAR) is inclusive of requirements relating to counterparty credit risk, securitization activities, as well as other items such as settlement risk, equity investments in funds, and amounts below the threshold for capital deductions which are subject to a 250% risk-weight. Pages 34 to 39 of this document and disclosures in CIBC's 2018 Annual Report are prepared on a basis where these amounts are considered to be regulatory exposures or RWA relating to credit risk (i.e. credit risk related disclosures are generally inclusive of all or some of these amounts, depending upon the nature of the applicable disclosure), whereas the Pillar 3 report on pages 1 to 33 of this document provides a disaggregation of these amounts.

| Topic | Identifier | Table and templates | Pillar 3 Report Page references | 2018 Annual Report Page references | Supplementary Financial Information Page references |
|---|---|---|---|---|---|
| Overview of risk management, key prudential metrics and RWA | KM2 | Key metrics - total loss absorbing capacity (TLAC) requirements (at resolution group level) | 3 | 37, 41-47, 50-52, 54, 60, 64, 67, 68, 70, 76-78 | |
| | OVA | Bank risk management approach | | | |
| | OV1 | Overview of RWA | 4 | | |
| Linkages between financial statements and regulatory exposures | LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | 6 | | |
| | LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements | 7 | | |
| | LIA | Explanations of differences between accounting and regulatory exposure amounts | 6-7 | 117 | |
| Composition of capital and TLAC | CC1 | Composition of regulatory capital | 8 | | |
| | CC2 | Reconciliation of regulatory capital to balance sheet | 10 | | |
| | CCA | Main features of regulatory capital instruments and of other TLAC-eligible instruments $^{(1)}$ | | | |
| | TLAC1 | TLAC composition (at resolution group level) | 13 | | |
| | TLAC2 | Material subgroup entity - creditor ranking at legal entity level | n/a $^{(2)}$ | 14 | |
| | TLAC3 | Resolution entity - creditor ranking at legal entity level | 14 | | |
| Leverage ratio | LR1 | Summary comparison of accounting assets vs. leverage ratio exposure measure | 15 | | |
| | LR2 | Leverage ratio common disclosure template | 15 | | |
| Credit risk | CR A | General information about credit risk | | 51 | |
| | CR1 | Credit quality of assets | 16 | | |
| | CR2 | Changes in stock of defaulted loans and debt securities | 16 | | |
| | CRB | Additional disclosure related to the credit quality of assets | 16 | 52, 75, 107, 108, 135 | 23-32 |
| | CRC | Qualitative disclosure requirements related to credit risk mitigation techniques | 16 | 52, 63, 145 | |
| | CR3 | Credit risk mitigation techniques – overview | 16 | | |
| | CRD | Qualitative disclosures on banks' use of external credit ratings under the standardized approach for credit risk | | 56 | |
| | CR4 | Standardized approach - credit risk exposure and Credit Risk Mitigation (CRM) effects | 17 | | |
| | CR5 | Standardized approach - exposures by asset classes and risk weights | 18 | | |
| | CRE | Qualitative disclosures related to IRB models | 31, 46, 47, 51, 52-55 | | |
| | CR6 | IRB - Credit risk exposures by portfolio and PD range $^{(3)}$ | 19 | | |
| | CR7 | IRB - Effect on RWA of credit derivatives used as CRM techniques | n/a $^{(4)}$ | | |
| | CR8 | RWA flow statements of credit risk exposures under IRB | 5 | | |
| | CR9 | IRB - Backtesting of probability of default (PD) per portfolio $^{(3)}$ | n/a $^{(5)}$ | | |
| | CR10 | IRB (specialized lending and equities under the simple risk weight method) | 23 | | |
| Counterparty credit risk | CCRA | Qualitative disclosure related to counterparty credit risk | | 52, 56, 74, 143, 145, 146 | |
| | CCR1 | Analysis of counterparty credit risk (CCR) exposure by approach | 24 | | |
| | CCR2 | Credit valuation adjustment (CVA) capital charge | 25 | | |
| | CCR3 | Standardized approach of CCR exposures by regulatory portfolio and risk weights | 25 | | |
| | CCR4 | IRB - CCR exposures by portfolio and PD scale $^{(3)}$ | 26 | | |
| | CCR5 | Composition of collateral for CCR exposure | 28 | | |
| | CCR6 | Credit derivatives exposures | 28 | | |
| | CCR7 | RWA flow statements of CCR exposures under the Internal Model Method (IMM) | n/a $^{(6)}$ | | |
| | CCR8 | Exposures to central counterparties | 29 | | |
| Securitization $^{(7)}$ | SECA | Qualitative disclosure requirements related to securitization exposures | 32, 40, 63, 103, 109 | | |
| | SEC1 | Securitization exposures in the banking book | 30 | | |
| | SEC2 | Securitization exposures in the trading book | 31 | | |
| | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | 32 | | |
| | SEC4 | Securitization exposures in the banking book and associated capital requirements - bank acting as investor | 33 | | |
| Market risk | | | | | n/a $^{(8)}$ |

$^{\text{For footnotes, see next page.}}$

# KM2: KEY METRICS - TLAC REQUIREMENTS (AT RESOLUTION GROUP LEVEL) $^{(1)}$
($ millions)

| | Q1/19 |
|---|---|
| 1 Total loss-absorbing capacity (TLAC) available | 34,652 |
| 2 Total RWA at the level of the resolution group | 225,663 |
| 3 TLAC ratio: TLAC as a percentage of RWA (row 1/row 2) (%) | 15.4% |
| 4 Leverage ratio exposure measure at the level of the resolution group | 674,962 |
| 5 TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure (row 1/row 4) (%) | 5.1% |
| 6a Does the subordination exemption in the antepenultimate paragraph of Section 11 of the Financial Stability Board (FSB) TLAC Term Sheet apply? | Yes |
| 6b Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No |
| 6c If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognised as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognised as external TLAC if no cap was applied (%) | n/a |

$^{(1)}$ The Canadian bail-in regime, including OSFI's TLAC Guideline, came into effect on September 23, 2018. Under this regime, CIBC is required to meet target TLAC requirements by November 1, 2021. As a D-SIB, CIBC will be subject to a target risk-based TLAC Ratio of 23.25% (comprised of a minimum ratio of 21.5% and a Domestic Stability Buffer of 1.75% that is effective April 30, 2019) and a TLAC Leverage Ratio of 6.75%. In May 2018, OSFI issued a final guideline on TLAC disclosure requirements that requires D-SIBs to begin disclosing their TLAC and TLAC leverage ratios in the first quarter of 2019.

$^{\text{n/a Not applicable.}}$

# OV1: OVERVIEW OF RISK-WEIGHTED ASSETS (RWA)
$ millions

| | Q1/19 (a) | Q4/18 (b) | Q1/19 (c) |
|---|---|---|---|
| | RWA $^{(1)}$ | Minimum capital requirements |
| 1 Credit risk (excluding counterparty credit risk) (CCR) | 168,663 | 13,493 |
| 2 Of which: standardized approach (SA) $^{(2)}$ | 45,325 | 3,626 |
| 3 Of which: supervisory slotting approach | 431 | 34 |
| 4 Of which: advanced internal rating-based approach | 122,907 | 9,833 |
| 5 Counterparty credit risk $^{(3)(4)}$ | 14,902 | 1,192 |
| 6 Of which: current exposure method (CEM) | 6,746 | |
| 7 Of which: credit valuation adjustment (CVA) capital charge | 5,790 | 463 |
| 8 Of which: exposures to central counterparties | 387 | 31 |
| 9 Of which: standardized approach for counterparty credit risk (SA-CCR) | 8,725 | 698 |
| 10 Of which: internal model method (IMM) | | |
| 11 Equity positions in banking book under market-based approach | 349 | 28 |
| 12 Equity investments in funds - look-through approach $^{(5)}$ | 3 | |
| 13 Equity investments in funds - mandate-based approach $^{(5)}$ | 3 | |
| 14 Equity investments in funds - fall-back approach $^{(5)}$ | | |
| 15 Settlement risk | 1,538 | 123 |
| 16 Of which: subject to the transitional arrangement $^{(6)}$ | (698) | (56) |
| 17 Of which: internal ratings-based approach (IRBA) (Q4/18: IRB ratings-based approach (RBA)) | 252 | 20 |
| 18 Of which: external ratings-based approach (ERBA), including internal assessment approach (IAA) (Q4/18: IRB Supervisory Formula Approach (SFA)) | 1,852 | 148 |
| 19 Of which: standardized approach (SA) (Q4/18: SA/simplified supervisory formula approach (SSFA)) $^{(7)}$ | 132 | 11 |
| 20 Market risk | 8,498 | 680 |
| 21 Of which: standardized approach (SA) | 57 | 5 |
| 22 Of which: internal model approaches (IMM) | 8,441 | 675 |
| 23 Operational risk | 27,154 | 2,172 |
| 24 Of which: Basic Indicator Approach | | |
| 25 Of which: Standardized Approach $^{(8)}$ | 11,350 | 908 |
| 26 Of which: Advanced Measurement Approach $^{(8)}$ | 15,804 | 1,264 |
| 27 Amounts below the thresholds for deduction (subject to 250% risk-weight) | 4,556 | 365 |
| 28 Floor adjustment | | |
| 29 Total $^{(1)(4+7+8+9+10+11+12+16+19+23+24)}$ | 225,663 | 18,053 |

$^{(1)}$ Amounts are inclusive of a 6% scaling factor adjustment.
$^{(2)}$ Includes RWAs of \$5,123 million (Q4/18: \$5,444 million) relating to other assets that are subject to the credit risk framework but are not included in the standardized or IRB frameworks. Also includes RWAs of \$436 million (Q4/18: \$436 million) relating to non-trading equity investments.
$^{(3)}$ Comprises derivative and repo-style transactions.
$^{(4)}$ Prior to Q1/19, capital requirements relating to counterparty credit risk, other than those arising from the CVA capital charge or from exposures to central counterparties, were calculated using the current exposure method.
$^{(5)}$ Equity investments in funds are only included in table OV1.
$^{(6)}$ OSFI has permitted the initial impact of the adoption of the securitization framework to be phased in over a one-year period as a negative adjustment to RWAs.
$^{(7)}$ Includes securitization exposures which are risk-weighted at 1250%.
$^{(8)}$ Certain information has been reclassified to conform to the presentation adopted in the current quarter.

$^{\text{n/a Not applicable.}}$

**Variance analysis**

The increase in credit risk RWAs was primarily due to organic growth across our businesses and portfolio migrations, partially offset by the application of the securitization framework to securitized credit card receivables in Q1/19.

The increase in counterparty credit risk RWAs was primarily due to the implementation of the SA-CCR requirements.

The increase in market risk RWAs was primarily driven by movement in risk levels, which includes changes in open positions and the market rates affecting these positions.

The increase in operational risk RWAs was primarily driven by movement in risk levels, which reflects changes in loss experience, changes in the business environment, internal control factors and gross income, as defined by OSFI.

# CHANGES IN RISK-WEIGHTED ASSETS $^{(1)}$
$ millions

| | Q1/19 vs. Q4/18 | Q4/18 vs. Q3/18 | Q3/18 vs. Q2/18 | Q2/18 vs. Q1/18 |
|---|---|---|---|---|
| **Credit risk** | **CR8** | | | |
| | Original on-balance sheet exposure | Of which IRB approach | Of which all other $^{(2)}$ | | |
| 1 Balance at beginning of period | 171,551 | 120,234 | 51,317 | 167,399 | 163,915 | 159,617 |
| 2 Asset size $^{(3)}$ | 3,425 | 2,372 | 1,053 | 4,640 | (1,086) | 3,171 |
| 3 Asset quality $^{(4)}$ | 2,279 | 2,279 | | (424) | (424) | (1,126) |
| 4 Model updates $^{(5)}$ | (33) | 49 | (82) | (21) | 479 | (749) |
| 5 Methodology and policy $^{(6)}$ | (1,238) | (1,686) | 448 | | | |
| 6 Acquisitions and disposals | | | | 775 | 786 | 2,564 |
| 7 Foreign exchange movements | (203) | (36) | (167) | | | |
| 8 Other | (672) | (305) | (367) | (818) | 134 | (1,145) |
| 9 Balance at end of period | 175,109 | 122,907 | 52,202 | 171,551 | 167,399 | 163,915 |
| **Counterparty credit risk** | | | | | | |
| 10 Balance at beginning of period | 11,584 | 10,943 | | 11,472 | 11,131 |
| 11 Asset size $^{(3)}$ | (408) | 361 | 175 | 151 |
| 12 Credit quality of counterparties $^{(4)}$ | (24) | (40) | (331) | (591) |
| 13 Model updates $^{(5)}$ | 3,782 | | | 96 | |
| 14 Methodology and policy $^{(6)}$ | | | | | |
| 15 Acquisitions and disposals | 40 | 32 | 39 | 165 |
| 16 Foreign exchange movements | (72) | 288 | (412) | 520 |
| 17 Other | 14,902 | 11,584 | 10,943 | 11,472 |
| **Market risk** | | | | | | |
| 18 Balance at beginning of period | 6,383 | 7,154 | 6,907 | 5,609 |
| 19 Movement in risk levels $^{(7)}$ | 2,020 | (677) | 223 | 1,079 |
| 20 Methodology and policy $^{(6)}$ | (51) | (60) | 257 | |
| 21 Acquisitions and disposals | 16 | | | | |
| 22 Foreign exchange movements | 130 | (34) | 24 | (38) |
| 23 Other | 8,498 | 6,383 | 7,154 | 6,907 |
| **Operational risk** | | | | | | |
| 24 Balance at beginning of period | 26,626 | 26,324 | 25,774 | 25,241 |
| 25 Movement in risk levels $^{(8)}$ | 528 | 302 | 550 | 533 |
| 26 Methodology and policy $^{(6)}$ | | | | | |
| 27 Acquisitions and disposals | 27,154 | 26,626 | 26,324 | 25,774 |
| **Total** | | | | | | |

$^{(1)}$ 2018 amounts reflect CET1 RWAs. Beginning in the first quarter of 2019, amounts reflect Total RWAs.
$^{(2)}$ Includes credit risk under the standardized and supervisory slotting approaches, equity investment funds under the look-through and mandate based approaches, settlement risk, securitization exposures in the banking book, and amounts below the thresholds for deduction that are risk-weighted at 250%.
$^{(3)}$ Comprises derivative and repo-style transactions.
$^{(4)}$ Prior to Q1/19, capital requirements relating to counterparty credit risk, other than those arising from the CVA capital charge or from exposures to central counterparties, were calculated using the current exposure method.
$^{(5)}$ Equity investments in funds are only included in table OV1.
$^{(6)}$ Relates to regulatory changes implemented on an industry-wide basis and any capital methodology changes implemented within CIBC for our portfolios.
$^{(7)}$ Relates to changes in open positions and market volatility.
$^{(8)}$ Relates to changes in loss experience, business, environment, internal control factors and gross income.

# LI1: DIFFERENCES BETWEEN ACCOUNTING AND REGULATORY SCOPES OF CONSOLIDATION AND MAPPING OF FINANCIAL STATEMENT CATEGORIES WITH REGULATORY RISK CATEGORIES
$ millions

| | a | b | c | d | e | f | g |
|---|---|---|---|---|---|---|---|
| | Carrying values as reported in published financial statements | Carrying values under scope of regulatory consolidation $^{(2)}$ | Subject to credit risk framework | Subject to counterparty credit risk framework | Subject to the securitization framework $^{(3)}$ | Subject to the market risk framework | Not subject to capital requirements or subject to deduction from capital |
| **ASSETS** | | | | | | | |
| Cash and non-interest-bearing deposits with banks | 4,088 | 4,088 | 4,088 | - | - | - | - |
| Interest-bearing deposits with banks | 12,484 | 12,463 | 12,046 | - | - | 417 | - |
| Securities | 109,027 | 108,791 $^{(4)}$ | 55,884 | 1,196 | 1,529 | 51,378 | - |
| Cash collateral on securities borrowed | 4,962 | 4,962 | 4,962 | - | - | - | - |
| Securities purchased under resale agreements | 51,886 | 51,886 | 51,886 | - | - | - | - |
| Loans | 375,061 | 375,061 $^{(5)}$ | 369,451 | 428 | 2,014 | 16,521 | 3,168 |
| Other | | | | | | | |
| Derivative instruments | 21,174 | 21,174 $^{(6)}$ | 21,174 | - | - | 19,442 | - |
| Customers' liability under acceptances | 10,011 | 10,011 | 10,011 | - | - | - | - |
| Land, buildings and equipment | 1,783 | 1,783 | 1,783 | - | - | - | - |
| Goodwill | 5,555 | 5,555 | 5,555 | - | - | - | - |
| Software and other intangible assets | 1,920 | 1,920 | 1,920 | - | - | - | - |
| Investments in equity-accounted associates and joint ventures | 520 | 918 | 905 | - | - | 13 | - |
| Deferred tax assets | 621 | 621 | 984 | - | - | (363) $^{(7)}$ | - |
| Other assets | 15,555 | 15,451 | 11,818 | 2,613 | 5 | 796 | 219 |
| | 57,139 | 57,433 | 25,501 | 23,787 | 5 | 20,238 | 7,344 |
| **Total assets** | **614,647** | **614,684** | **466,970** | **82,259** | **3,548** | **88,554** | **10,512** |
| **LIABILITIES** | | | | | | | |
| Deposits | | | | | | | |
| Personal | 172,836 | 172,836 | 172,836 | - | - | - | - |
| Business and government | 239,697 | 239,697 | | 437 | - | 239,260 | - |
| Bank | 13,062 | 13,062 | 13,062 | - | - | - | - |
| Secured borrowings | 39,112 | 39,112 | 39,112 | - | - | - | - |
| | 464,707 | 464,707 | 437 | 464,270 |
| Obligations related to securities sold short | 15,435 | 15,435 | 15,418 | 17 | | | |
| Cash collateral on securities lent | 2,660 | 2,660 | 2,660 | - | - | - | - |
| Obligations related to securities sold under repurchase agreements | 42,481 | 42,481 | 42,481 | - | - | - | - |
| Other | | | | | | | |
| Derivative instruments | 23,337 | 23,337 $^{(6)}$ | | 12,533 | - | 21,731 | - |
| Acceptances | 10,051 | 10,051 | 10,051 | - | - | - | - |
| Deferred tax liability | 41 | 41 | 41 | - | - | - | - |
| Other liabilities | 15,690 | 15,727 | | 1,874 | - | 13,853 | - |
| Subordinated indebtedness | 4,162 | 4,162 | | 23,605 | - | 4,162 | - |
| **Total liabilities** | **578,564** | **578,601** | **57,674** | **12,533** | **23,605** | **39,460** | **492,394** |

$^{(1)}$ Amounts are included in more than one column if they are subject to more than one risk framework.
$^{(2)}$ CIBC's insurance subsidiaries CIBC Re and CIBC Life are excluded from the scope of regulatory consolidation. Refer to table CC2 for further information.
$^{(3)}$ Excludes securitization exposures in the trading book, which are subject to market risk.
$^{(4)}$ Non-trading securities are subject to credit risk, except for certain asset-backed securities that are risk-weighted under the securitization framework. Securities pledged as initial margin or as contributions to default funds of central counterparties, are subject to both credit risk and counterparty credit risk.
$^{(5)}$ Non-trading loans are subject to credit risk only, with the exception of securitization-related loans, which are risk-weighted under the securitization framework. Bankers' acceptances issued by CIBC are considered trading loans and are subject to both credit and market risk.
$^{(6)}$ Trading derivatives are subject to both counterparty credit risk and market risk.
$^{(7)}$ Includes deferred tax liabilities related to goodwill, software and other intangible assets and defined benefit pension assets that are offset against the amounts deducted from regulatory capital.

# LI2: MAIN SOURCES OF DIFFERENCES BETWEEN REGULATORY EXPOSURE AMOUNTS AND CARRYING VALUES IN FINANCIAL STATEMENTS
$ millions

| | Q1/19 |
|---|---|
| | Total $^{(1)}$ | Credit risk framework $^{(2)}$ | Securitization framework | Counterparty credit risk framework | Market risk framework |
| 1 Asset carrying value amount under scope of regulatory consolidation (as per template LI1) | 604,172 | 466,970 | 3,548 | 82,259 | 88,554 |
| 2 Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1) | 86,207 | 57,674 | | 39,460 |
| 3 Total net amount under regulatory scope of consolidation | 517,965 | 466,970 | 3,548 | 24,585 | 49,094 |
| 4 Off-balance sheet amounts $^{(3)}$ | 280,145 | 210,819 | 11,250 | 58,076 | - |
| 5 Differences in valuations | 837 | 837 $^{(4)}$ | | | |
| 6 Differences due to different netting rules, other than those already included in row 3 $^{(5)}$ | 2,042 | | 2,042 | | |
| 7 Differences due to consideration of provisions $^{(6)}$ | 1,467 | | 1,467 | | |
| 8 Differences due to prudential filters | | | | | |
| 9 Gross-up for securities financing transactions $^{(7)}$ | 90,282 | | 90,282 | | |
| 10 Potential future exposure and alpha for derivatives | 22,816 | | 22,816 | | |
| 11 Collateral $^{(8)}$ | (151,750) | | | (151,750) | |
| 12 Other $^{(9)}$ | | | | | (48,785) |
| 13 Exposure amounts considered for regulatory purposes | 715,019 | 680,093 | 14,798 | 46,051 | 309 |

$^{(1)}$ The total in column a will not equal the sum of columns b through e to the extent that items are subject to regulatory capital charges in more than one framework.
$^{(2)}$ Includes exposures of \$347 million (Q4/18: \$371 million) relating to equity investments in funds.
$^{(3)}$ Comprises off-balance sheet exposures for undrawn commitments, repo-style transactions, derivatives, third-party assets relating to our prime brokerage business and other off-balance sheet items.
$^{(4)}$ Includes basis adjustments for fair value hedges that impact the accounting carrying values but do not impact exposure amounts considered for regulatory purposes.
$^{(5)}$ Netting of exchange traded derivatives is permitted for regulatory purposes only. Netting of certain repo-style transactions cleared through certain central counterparties is permitted for accounting purposes but not for regulatory purposes. A gross-up is therefore required for these repo-style transactions, whereas exposures for exchange-traded derivative transactions are reduced for regulatory purposes.
$^{(6)}$ The accounting carrying value for loans is net of the full allowance for credit losses. For regulatory purposes only allowances on impaired (stage 3) loans that are risk-weighted under the standardized approach are netted against the exposures.
$^{(7)}$ Liabilities for repo-style transaction represent regulatory exposures under the counterparty credit risk framework. As these liabilities are deducted from the carrying value of assets in line 2, a gross-up is required to arrive at the exposure amount considered for regulatory purposes.
$^{(8)}$ Primarily comprises collateral for repo-style transactions, including those settled through QCCPs.
$^{(9)}$ Exposure at default is only considered for securitization positions in the trading book as regulatory capital requirements for all other items subject to the market risk framework are determined based on internally developed market risk models. We use the ERB approach for securitization positions in the trading book.

# CC1: COMPOSITION OF REGULATORY CAPITAL
($ millions)

| Row | Common Equity Tier 1 (CET1) capital: instruments and reserves | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 | Cross-reference $^{(1)}$ |
|---|---|---|---|---|---|---|---|
| 1 | Directly issued qualifying common share capital plus related stock surplus | 13,477 | 13,379 | 13,334 | 13,295 | 13,204 | A+B |
| 2 | Retained earnings | 19,101 | 18,537 | 18,051 | 17,412 | 16,701 | C |
| 3 | Accumulated other comprehensive income (AOCI) (and other reserves) | 752 | 777 | 746 | 403 | (17) | D |
| 4 | Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies) | n/a | n/a | n/a | n/a | n/a | |
| 5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 121 | 118 | 118 | 113 | 106 | E |
| 6 | Common Equity Tier 1 capital before regulatory adjustments | 33,451 | 32,811 | 32,249 | 31,223 | 29,994 | |
| | **Common Equity Tier 1 capital: regulatory adjustments** | | | | | | |
| 7 | Prudential valuation adjustments | 26 | 27 | 55 | 50 | 60 | See footnote 2 |
| 8 | Goodwill (net of related tax liabilities) | 5,480 | 5,489 | 5,436 | 5,370 | 5,188 | F+G+H |
| 9 | Other intangibles other than mortgage-servicing rights (net of related tax liabilities) | 1,641 | 1,661 | 1,649 | 1,654 | 1,660 | I+J+AL |
| 10 | Deferred tax assets excluding those arising from temporary differences (net of related tax liabilities) | 49 | K | 38 | 19 | 5 | 6 |
| 11 | Cash flow hedge reserve | 25 | L | (18) | 10 | 39 | |
| 12 | Shortfall of provisions to expected losses $^{(3)}$ | 662 | 647 | 625 | 625 | 631 | See footnote 2 |
| 13 | Securitization gain on sale | 55 | M+AK | 41 | 48 | 35 | 27 |
| 14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 174 | N+O | 284 | 496 | 259 | 268 |
| 15 | Defined benefit pension fund net assets (net of related tax liabilities) | 3 | | | | | See footnote 2 |
| 16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | | | | | | |
| 17 | Reciprocal cross holdings in common equity | - | - | - | - | - | |
| 18 | Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold) | - | - | - | - | - | |
| 19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) | - | - | - | - | - | P+Q |
| 20 | Mortgage servicing rights (amount above 10% threshold) | - | - | - | - | - | |
| 21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) | - | - | - | - | - | |
| 22 | Amount exceeding the 15% threshold | - | - | - | - | - | R+S |
| 23 | of which: significant investments in the common stock of financials | - | - | - | - | - | T |
| 24 | of which: mortgage servicing rights | - | - | - | - | - | |
| 25 | of which: deferred tax assets arising from temporary differences | - | - | - | - | - | |
| 26 | Other deductions or regulatory adjustments to CET1 as determined by OSFI | 8,115 | 8,170 | 8,338 | 7,998 | 7,879 | |
| 27 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions | | | | | | |
| 28 | Total regulatory adjustments to Common Equity Tier 1 | 8,115 | 8,170 | 8,338 | 7,998 | 7,879 | |
| 29 | **Common Equity Tier 1 capital (CET1)** | **25,336** | **24,641** | **23,911** | **23,225** | **22,115** | |
| | **Additional Tier 1 (AT1) capital: instruments** | | | | | | |
| 30 | Directly issued qualifying Additional Tier 1 instruments plus related stock surplus $^{(4)}$ | 2,575 | 2,250 | 2,250 | 2,248 | 2,246 | |
| 31 | of which: classified as equity under applicable accounting standards | 2,575 | U | 2,250 | 2,250 | 2,248 | 2,246 | |
| 32 | of which: classified as liabilities under applicable accounting standards | | | | | | |
| 33 | Directly issued capital instruments subject to phase out from Additional Tier 1 | 752 | V+see footnote 5 | 1,003 | 1,003 | 1,003 | 1,003 | |
| 34 | Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) | 16 | W | 14 | 16 | 14 | 13 | |
| 35 | of which: instruments issued by subsidiaries subject to phase out | | | | | | |
| 36 | Additional Tier 1 capital before regulatory adjustments | 3,343 | 3,267 | 3,269 | 3,265 | 3,262 | |
| | **Additional Tier 1 capital: regulatory adjustments** | | | | | | |
| 37 | Investments in own Additional Tier 1 instruments | - | - | - | - | - | |
| 38 | Reciprocal cross holdings in Additional Tier 1 instruments | - | - | - | - | - | |
| 39 | Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold) | - | - | - | - | - | |
| 40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions | - | - | - | - | - | |
| 41 | Other deductions from Tier 1 capital as determined by OSFI | - | - | - | - | - | |
| 41a | of which: reverse mortgages | - | - | - | - | - | |
| 42 | Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions | - | - | - | - | - | |
| 43 | Total regulatory adjustments to Additional Tier 1 capital | - | - | - | - | - | |
| 44 | **Additional Tier 1 capital (AT1)** | **3,343** | **3,267** | **3,269** | **3,265** | **3,262** | |
| 45 | **Tier 1 capital (T1 = CET1 + AT1)** | **28,679** | **27,908** | **27,180** | **26,490** | **25,377** | |
| | **Tier 2 capital: instruments and provisions** | | | | | | |
| 46 | Directly issued qualifying Tier 2 instruments plus related stock surplus $^{(6)}$ | 3,484 | 3,430 | 3,390 | 3,407 | 1,925 | X |
| 47 | General allowances | 601 | 579 | 586 | 1,188 | 1,182 | Y |
| 48 | Directly issued capital instruments subject to phase out from Tier 2 | 23 | Z | 20 | 21 | 20 | 18 |
| 49 | of which: instruments issued by subsidiaries subject to phase out | 276 | AA+AB | 293 | 291 | 280 | 269 | |
| 50 | 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 group Tier 2) | | | | | | |
| 51 | Tier 2 capital before regulatory adjustments | 4,384 | 4,322 | 4,288 | 4,895 | 3,394 | |

# CC1: COMPOSITION OF REGULATORY CAPITAL (continued)

| Row | | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 | Cross-reference $^{(1)}$ |
|---|---|---|---|---|---|---|---|
| 52 | Investments in own Tier 2 instruments | - | - | - | - | - | |
| 53 | Reciprocal cross holdings in Tier 2 instruments and other TLAC-eligible instruments | - | - | - | - | - | |
| 54 | Non-significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBS that are outside the scope of regulatory consolidation, where the institution does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) | - | - | - | - | - | |
| 54a | Non-significant investments in the other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs, where the institution does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions | - | - | - | - | - | |
| 55 | Significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation | - | - | - | - | - | |
| 56 | Other deductions from Tier 2 capital | - | - | - | - | - | |
| 57 | Total regulatory adjustments to Tier 2 capital | 4,384 | 4,322 | 4,288 | 4,895 | 3,394 | |
| 58 | **Tier 2 capital (T2)** | **4,384** | **4,322** | **4,288** | **4,895** | **3,394** | |
| 59 | **Total capital (TC = T1 + T2)** | **33,063** | **32,230** | **31,468** | **31,385** | **28,771** | |
| 60 | Total RWA | 225,663 | n/a | n/a | n/a | n/a | |
| 60a | Common Equity Tier 1 (CET1) Capital RWA $^{(7)}$ | n/a | 216,144 | 211,820 | 208,068 | 204,647 | |
| 60b | Tier 1 Capital RWA $^{(7)}$ | n/a | 216,303 | 211,968 | 208,231 | 204,647 | |
| 60c | Total Capital RWA $^{(7)}$ | n/a | 216,462 | 212,116 | 208,394 | 204,647 | |
| | **Capital ratios** | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of RWAs) | 11.2% | 11.4% | 11.3% | 11.2% | 10.8% | |
| 62 | Tier 1 (as a percentage of RWAs) | 12.7% | 12.9% | 12.8% | 12.7% | 12.4% | |
| 63 | Total capital (as a percentage of RWAs) | 14.7% | 14.9% | 14.8% | 15.1% | 14.1% | |
| 64 | Buffer (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer plus domestic systemically important bank (D-SIB) buffer expressed as a percentage of RWAs) | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 65 | of which: capital conservation buffer | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 66 | of which: bank specific countercyclical buffer | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| 67 | of which: G-SIB buffer | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| 67a | of which: D-SIB buffer | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | |
| 68 | Common Equity Tier 1 available to meet buffers (as percentage of RWAS) | 11.2% | 11.4% | 11.3% | 11.2% | 10.8% | |
| | OSFI target (minimum + capital conservation buffer + D-SIB buffer (if applicable)) $^{(8)}$ | | | | | | |
| 69 | Common Equity Tier 1 target ratio | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| 70 | Tier 1 capital target ratio | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | |
| 71 | Total capital target ratio | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | |
| | **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | |
| 72 | Non-significant investments in the capital and other TLAC-eligible instruments of other financial entities | 356 | See footnote 9 | 188 | 204 | 289 | 279 | |
| 73 | Significant investments in the common stock of financials | 838 | AD+AE+AF | 847 | 829 | 814 | 804 | |
| 74 | Mortgage servicing rights (net of related tax liability) | | | | | | |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liabilities) | 984 | AC | 1,013 | 1,024 | 1,034 | 1,030 | |
| | **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) | 276 | | 293 | 291 | 280 | 269 | |
| 77 | Cap on inclusion of allowances in Tier 2 under standardized approach | 276 | AA | 293 | 291 | 280 | 269 | |
| 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 internal ratings-based approach | | AB | | | | |
| | **Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | | | | |
| 80 | Current cap on CET1 instruments subject to phase out arrangements | n/a | n/a | n/a | n/a | n/a | |
| 81 | Amounts excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | n/a | n/a | n/a | n/a | |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 752 | V+see footnote 5 | 1,003 | 1,003 | 1,003 | 1,003 | |
| 83 | Amounts excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 845 | AH+see footnote 5 | 590 | 602 | 597 | 608 | |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 1,352 | | 1,802 | 1,802 | 1,802 | 1,802 | |
| 85 | Amounts excluded from T2 due to cap (excess over cap after redemptions and maturities) | | | | | | |

$^{(1)}$ CCA is available at https://www.cibc.com/en/about-cibc/investor-relations/regulatory-capital-instruments.html.
$^{(2)}$ CIBC is not a global systemically important bank (G-SIB).
$^{(3)}$ There are several key differences between Basel and IFRS 9 which could lead to significantly different estimates for PDs and LGDs. Basel parameters reflect long run historical experience including periods of downturn and adjustments for conservatism, whereas IFRS 9 parameters are point-in-time estimates based on forward-looking information. See the "Accounting and control matters" section in our 2018 Annual Report for additional details.
$^{(4)}$ CIBC does not use credit derivatives to reduce RWA.
$^{(5)}$ Template CR9 is only required to be disclosed on an annual basis. Please refer to CIBC's Supplementary Regulatory Capital Disclosure and Pillar 3 Report for the period ended October 31, 2018, which may be found on our website (www.cibc.com).
$^{(6)}$ We have no CCR exposures under the IMM method as at January 31, 2019.
$^{(7)}$ Excludes mortgages securitized through programs sponsored by the Canada Mortgage Housing Corporation, including the creation of mortgage-backed securities (MBS) under the National Housing Act MBS Program and the Canada Mortgage Bond Program. These exposures are risk-weighted under the credit risk framework.
$^{(8)}$ We have elected to apply the exception permitted in the "Pillar 3 Disclosure Requirements" guideline issued by the office of the Superintendent of Financial Institutions (OSFI) to provide the revised Pillar 3 disclosure requirements relating to market risk when the second phase of the revised Pillar 3 disclosure requirements comes into effect. An effective date for domestic implementation of the second phase of the revised Pillar 3 disclosure framework has not yet been announced by OSFI.

$^{\text{n/a Not applicable.}}$

# CC2: RECONCILIATION OF REGULATORY CAPITAL TO BALANCE SHEET
($ millions)

| Assets | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment $^{(1)}$ | Equity accounting | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{(2)}$ |
|---|---|---|---|---|---|---|
| Cash and non-interest-bearing deposits with banks | 4,088 | - | - | - | 4,088 | |
| Interest-bearing deposits with banks | 12,484 | (21) | - | - | 12,463 | |
| Securities | 109,027 | (236) | - | - | 108,791 | AF |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 66 | AG |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 108,725 | |
| Significant investments in capital of non-financial institutions | | | | | | |
| Other securities | | | | | | |
| Cash collateral on securities borrowed | 4,962 | - | - | - | 4,962 | |
| Securities purchased under resale agreements | 51,886 | - | - | - | 51,886 | |
| Loans | 376,776 | (1,715) | - | - | 376,776 | |
| Allowance for credit losses | | | | | | |
| General allowance reflected in Tier 2 capital | | | | | (276) | AA |
| Excess in allowance over expected losses reflected in Tier 2 capital | | | | | (1,439) | AB |
| Allowances not reflected in regulatory capital | | | | | | |
| Derivative instruments | 21,174 | - | - | - | 21,174 | |
| Customers' liability under acceptances | 10,011 | - | - | - | 10,011 | |
| Land, buildings and equipment | 1,783 | - | - | - | 1,783 | F |
| Goodwill | 5,555 | - | - | - | 5,555 | |
| Software and other intangible assets | 1,920 | - | - | - | 1,920 | |
| Investments in equity-accounted associates and joint ventures | 520 | - | 398 | - | 918 | P |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10% of CET1) | | | | | 440 | AD |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15% basket of CET1) | | | | | 10 |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 3 | AL |
| Significant investments in capital of other financial institutions related to goodwill | | | | | 37 | Q |
| Significant investments in capital of other financial institutions related to intangibles | | | | | | S |
| Significant investments in capital of non-financial institutions | | | | | 398 | AE |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10% of CET1) | | | | | 14 | AJ |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15% basket of CET1) | | | | | 16 | |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | | | | | | |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | | |
| Non-significant investments in capital of non-financial institutions | | | | | | |
| Other assets | 15,336 | (104) | - | - | 15,232 | N |
| Deferred tax assets | 621 | - | - | 621 | | |
| Deferred tax assets excluding those arising from temporary differences | | | | | 49 | K |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15% basket of CET1) | | | | | (85) | T |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | | | | | (282) | H |
| Deferred tax liabilities related to goodwill | | | | | (45) | J |
| Deferred tax liabilities related to software and other intangible assets | | | | | | O |
| Deferred tax liabilities related to defined benefit pension fund net assets | | | | | | |
| Defined benefit pension fund net assets | 219 | - | - | 219 | | |
| Other | 15,336 | (104) | | | 15,232 | N |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | 5 | AI |
| Other | | | | | 15,227 | |
| **Total assets** | **614,647** | **(361)** | **398** | **614,684** | |

| Liabilities | Balance sheet as in report to shareholders | Deconsolidation | Insurance entities adjustment $^{(1)}$ | Equity accounting | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{(2)}$ |
|---|---|---|---|---|---|---|
| Deposits | 464,707 | - | - | - | 464,707 | |
| Obligations related to securities sold short | 15,435 | - | - | - | 15,435 | |
| Cash collateral on securities lent | 2,660 | - | - | - | 2,660 | |
| Obligations related to securities sold under repurchase agreements | 42,481 | - | - | - | 42,481 | |
| Derivative instruments | 23,337 | - | - | - | 23,337 | |
| Acceptances | 10,051 | - | - | - | 10,051 | |
| Deferred tax liabilities | 41 | - | - | - | 41 | |
| Other liabilities | 15,690 | (17) | 54 | - | 15,727 | |
| Subordinated indebtedness | 4,162 | - | - | - | 4,162 | |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital | | | | | 3,484 | X |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital subject to phase out | | | | | 601 | Y |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for Tier 2 capital | | | | | 77 | |
| Subordinated indebtedness excluded from Tier 2 capital due to cap | | | | | | |
| Subordinated indebtedness not allowed for Tier 2 capital | | | | | | |
| **Total liabilities** | **578,564** | **(17)** | **54** | **578,601** | |
| **Equity** | | | | | | |
| Preferred shares | 2,575 | - | - | 2,575 | | |
| Preferred shares allowed for inclusion into additional Tier 1 capital | | | | 2,575 | U | |
| Preferred shares allowed for inclusion into additional Tier 1 capital subject to phase out | | | | | | V |
| Common shares | 13,350 | - | - | 13,350 | | |
| Preferred shares excluded from additional Tier 1 capital due to cap | | | | | 13,346 | A |
| Common shares - treasury positions | | | | | | |
| Common shares | | | | | | |
| Contributed surplus | 131 | - | - | 131 | B | |
| Retained earnings | 19,101 | (344) | 344 | - | 19,101 | C |
| Gains and losses due to changes in own credit risk on fair valued liabilities | | | | | 56 | M |
| Other retained earnings | | | | | 19,045 | |
| AOCI | 752 | - | - | 752 | D | |
| Cash flow hedges | | | | | (25) | L |
| Net fair value gains (losses) arising from changes in institution's own credit risk | | | | | 1 | AK |
| Other | 174 | - | - | 174 | 728 | |
| Non-controlling interests | | | | | | |
| Portion allowed for inclusion into CET1 | | | | | 121 | E |
| Portion allowed for inclusion into additional Tier 1 capital | | | | | 16 | W |
| Portion allowed for inclusion into Tier 2 capital | | | | | 23 | Z |
| Portion not allowed for regulatory capital | | | | | 14 | |
| **Total equity** | **36,083** | **(344)** | **398** | **36,083** | |
| **Total liabilities and equity** | **614,647** | **(361)** | **398** | **614,684** | |

$^{(1)}$ 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 January 31, 2019, CIBC Re had \$212 million in assets, \$80 million in liabilities, and \$132 million in equity, and CIBC Life had \$149 million in assets, \$(63) million in liabilities, and \$212 million in equity.
$^{(2)}$ Refer to table CC1.

# CHANGES IN REGULATORY CAPITAL

($ millions)

| | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 |
|---|---|---|---|---|---|
| **Common Equity Tier 1 (CET1) capital** | | | | | |
| Opening amount | 24,641 | 23,911 | 23,225 | 22,115 | 21,618 |
| Issue of common shares pursuant to the acquisition of The PrivateBank | | | | | 194 |
| Issue of common shares pursuant to the acquisition of Geneva Advisors | - | - | - | - | - |
| Issue of common shares pursuant to the acquisition of Wellington Financial | - | - | - | - | - |
| Shares issued in lieu of cash dividends (add back) | 57 | 48 | 46 | 47 | 196 |
| Other issue of common shares | 47 | 46 | 48 | 42 | 82 |
| Redeemed capital | | (52) | (52) | - | - |
| Purchase of common shares for cancellation | (163) | (150) | | | |
| Premium on purchase of common shares for cancellation | | | | | |
| Gross dividends (deduction) | (626) | (626) | (612) | (615) | (592) |
| Profit for the quarter (attributable to shareholders of the parent company) | 1,178 | 1,266 | 1,365 | 1,313 | 1,323 |
| Removal of own credit spread (net of tax) | (14) | 7 | (13) | (8) | 14 |
| Change in AOCI balances included in regulatory capital | (28) | 181 | 151 | 536 | (582) |
| Currency translation differences | 85 | (19) | (45) | (73) | (54) |
| Securities measured at fair value through other comprehensive income (FVOCI) | 43 | (28) | 10 | (39) | 6 |
| Cash flow hedges | (135) | (95) | 219 | (5) | 107 |
| Post-employment defined benefit plans | 29 | (65) | (61) | (176) | 90 |
| Goodwill and other intangible assets (deduction, net of related tax liabilities) | (15) | (22) | 6 | (157) |
| Shortfall of allowance to expected losses | | | | | |
| Other, including regulatory adjustments and transitional arrangements | | | | | |
| Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) | (11) | (19) | (14) | 1 | 12 |
| Defined benefit pension fund net assets | 110 | 212 | (237) | 9 | (108) |
| Significant investments in financial institutions (amount above 10% threshold) | | | | | |
| Amount exceeding 15% threshold | | 1 | 28 | (5) | 10 | 2 |
| Prudential valuation adjustments | | (26) | 31 | 36 | 62 | (83) |
| Closing amount | 25,336 | 24,641 | 23,911 | 23,225 | 22,115 |
| **Additional Tier 1 (AT1) capital** | | | | | |
| Opening amount | 3,267 | 3,269 | 3,265 | 3,262 | 3,064 |
| AT1 eligible capital issues | 325 | | | | 450 |
| Redeemed capital | | | | | |
| Impact of the cap on inclusion for instruments subject to phase out | (251) | (251) | | | |
| Other, including regulatory adjustments and transitional arrangements | 2 | (2) | 4 | 3 | (1) |
| Closing amount | 3,343 | 3,267 | 3,269 | 3,265 | 3,262 |
| **Total Tier 1 capital** | **28,679** | **27,908** | **27,180** | **26,490** | **25,377** |
| **Tier 2 capital** | | | | | |
| Opening amount | 4,322 | 4,288 | 4,895 | 3,394 | 3,447 |
| New Tier 2 eligible capital issues | | | | 1,500 | |
| Redeemed capital | | | (600) | | |
| Amortization adjustments | - | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | - | - | - |
| Other, including regulatory adjustments and transitional arrangements | 62 | 34 | (7) | 1 | (53) |
| Closing amount | 4,384 | 4,322 | 4,288 | 4,895 | 3,394 |
| **Total capital** | **33,063** | **32,230** | **31,468** | **31,385** | **28,771** |

$^{(1)}$ Includes the net impact on retained earnings and AOCI as at November 1, 2017 from the adoption of IFRS 9.

# TLAC1: TLAC COMPOSITION (AT RESOLUTION GROUP LEVEL)
($ millions)

| | Q1/19 Amounts |
|---|---|
| **Regulatory capital elements of TLAC and adjustments** | |
| 1 Common Equity Tier 1 capital (CET1) | 25,336 |
| 2 Additional Tier 1 capital (AT1) before TLAC adjustments | 3,343 |
| 3 AT1 ineligible as TLAC as issued out of subsidiaries to third parties | - |
| 4 Other adjustments | - |
| 5 AT1 instruments eligible under the TLAC framework | 3,343 |
| 6 Tier 2 capital (T2) before TLAC adjustments | 4,384 |
| 7 Amortized portion of T2 instruments where remaining maturity > 1 year | - |
| 8 T2 capital ineligible as TLAC as issued out of subsidiaries to third parties | - |
| 9 Other adjustments | - |
| 10 T2 instruments eligible under the TLAC framework | 4,384 |
| 11 TLAC arising from regulatory capital | 33,063 |
| **Non-regulatory capital elements of TLAC** | |
| 12 External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 1,589 |
| 13 External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements | |
| 14 Of which: amount eligible as TLAC after application of the caps | |
| 15 External TLAC instruments issued by funding vehicles prior to January 1, 2022 | - |
| 16 Eligible ex ante commitments to recapitalize a G-SIB in resolution | - |
| 17 TLAC arising from non-regulatory capital instruments before adjustments | 1,589 |
| **Non-regulatory capital elements of TLAC: adjustments** | |
| 18 TLAC before deductions | 34,652 |
| 19 Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs and D-SIBs) | n/a |
| 20 Deduction of investments in own other TLAC liabilities | - |
| 21 Other adjustments to TLAC | - |
| 22 TLAC available after deductions | 34,652 |
| **RWAs and leverage exposure measure for TLAC purposes** | |
| 23 Total RWAs adjusted as permitted under the TLAC regime | 225,663 |
| 24 Leverage exposure measure | 674,962 |
| **TLAC ratios and buffers** $^{(1)}$ | |
| 25 TLAC Ratio (as a percentage of RWAs adjusted as permitted under the TLAC regime) (%) | 15.4% |
| 26 TLAC Leverage Ratio (as a percentage of leverage exposure) (%) | 5.1% |
| 27 CET1 (as a percentage of RWAs) available after meeting the resolution group's minimum capital and TLAC requirements | n/a $^{(2)}$ |
| 28 Institution-specific buffer (capital conservation buffer plus countercyclical buffer plus higher loss absorbency, expressed as a percentage of RWAs) | 3.5% |
| 29 Of which: capital conservation buffer | 2.5% |
| 30 Of which: bank specific countercyclical buffer | 0.0% |
| 31 Of which: D-SIB / G-SIB buffer | 1.0% |

$^{(1)}$ The Canadian bail-in regime, including OSFI's TLAC Guideline, came into effect on September 23, 2018. Under this regime, CIBC is required to meet target TLAC requirements by November 1, 2021. As a D-SIB, CIBC will be subject to a target risk-based TLAC Ratio of 23.25% (comprised of a minimum ratio of 21.5% and a Domestic Stability Buffer of 1.75% that is effective April 30, 2019) and a TLAC Leverage Ratio of 6.75%. In May 2018, OSFI issued a final guideline on TLAC disclosure requirements that requires D-SIBs to begin disclosing their TLAC and TLAC leverage ratios in the first quarter of 2019.
$^{(2)}$ Not applicable until the first quarter of 2022.

$^{\text{n/a Not applicable.}}$

# TLAC3: RESOLUTION ENTITY - CREDITOR RANKING AT LEGAL ENTITY LEVEL $^{(1)(2)}$
($ millions)

| 1 Description of creditor ranking | Q1/19 Creditor ranking (most junior) | Total |
|---|---|---|
| | Common shares | Preferred shares | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | |
| 2 Total capital and liabilities net of credit risk mitigation | 13,350 | 2,575 | 4,059 | 1,642 | 4 | 21,626 |
| 3 Subset of row 2 that are excluded liabilities | - | - | - | - | - | 4 |
| 4 Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 13,346 | 2,575 | 4,059 | 1,642 | - | 21,622 |
| 5 Subset of row 4 that are potentially eligible as TLAC | 13,346 | 2,575 | 4,059 | 1,589 | - | 21,569 |
| 6 Subset of row 5 with 1 year $\le$ residual maturity < 2 years | - | - | - | 25 | - | 25 |
| 7 Subset of row 5 with 2 years $\le$ residual maturity < 5 years | - | - | - | 1,432 | - | 1,432 |
| 8 Subset of row 5 with 5 years $\le$ residual maturity < 10 years | - | - | 3,500 | 132 | - | 3,632 |
| 9 Subset of row 5 with residual maturity > 10 years, but excluding perpetual securities | - | - | 559 | - | 559 |
| 10 Subset of row 5 that is perpetual securities | 13,346 | 2,575 | | | - | 15,921 |

$^{(1)}$ Presented for CIBC at the legal entity level and therefore instruments issued by subsidiaries and special purpose entities are excluded.
$^{(2)}$ Common shares are presented at book value, preferred shares are presented at stated value and subordinated debt and bail-in-debt are presented at face value.
$^{(3)}$ Bail-in debt instruments are those liabilities which are subject to the bank recapitalization (bail-in) conversion regulations issued by the Department of Finance (Canada). Senior debt issued on or after September 23, 2018, with an original term to maturity of more than 400 days (including explicit or embedded options) that is unsecured or partially secured is subject to bail-in. Consumer deposits, certain derivatives, covered bonds, and certain structured notes would not be eligible for bail-in. While bail-in debt instruments and other senior unsecured liabilities issued by Canadian D-SIBs rank equally in the event of liquidation, only bail-in debt is subject to conversion under the bail-in regime. Bail-in debt issued by Canadian D-SIBs qualifies as TLAC pursuant to the exemption from the subordination requirement under the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet.
$^{(4)}$ Disclosure not currently required by OSFI.

# LR1: SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE
($ millions)

| Row $^{(1)}$ | | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 |
|---|---|---|---|---|---|---|
| 1 | Total consolidated assets as per published financial statements | 614,647 | 597,099 | 595,025 | 590,537 | 586,927 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | 37 | 38 | 37 | 27 | 67 |
| 3 | Adjustment for securitized exposures that meet the operational requirements for the recognition of risk transference | (3,168) | - | - | - | - |
| 4 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | 4,812 | 5,990 | 3,892 | 1,942 | (4,182) |
| 5 | Adjustment for derivative financial instruments | (681) | (1,815) | (1,165) | (1,292) | (1,945) |
| 6 | Adjustment for securities financing transactions (i.e. repos and similar secured lending) | 72,029 | 65,826 | 65,366 | 63,625 | 61,497 |
| 7 | Adjustment for off-balance sheet items (i.e. credit equivalent amounts of off-balance sheet exposures) | (12,714) | (13,192) | (13,986) | (13,532) | (15,758) |
| 8 | Other adjustments | 674,962 | 653,946 | 649,169 | 641,307 | 626,606 |
| 9 | Leverage ratio exposure measure | | | | | |

$^{(1)}$ To enhance comparability, the information for Q4/18 and prior quarters has been re-arranged to align with the row numbers in OSFI's "Leverage Ratio Disclosure Requirements" published in November 2018. The information for Q4/18 and prior quarters has not changed, however certain subtotals have been restated to align with the current presentation.

# LR2: LEVERAGE RATIO COMMON DISCLOSURE TEMPLATE
($ millions)

| Row | On-balance sheet exposures | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 |
|---|---|---|---|---|---|---|
| 1 | On-balance sheet items (excluding derivatives, securities financing transactions (SFTs) and grandfathered securitization exposures, but including collateral) | 533,494 | 526,651 | 522,696 | 514,986 | 500,027 |
| 2 | Gross up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework (IFRS) | | | | | |
| 3 | (Deductions of receivables assets for cash variation margin provided in derivative transactions) | (4,653) | (4,944) | (4,928) | (3,810) | (5,502) |
| 4 | (Asset amounts deducted in determining Tier 1 capital) | (8,060) | (8,130) | (8,291) | (7,964) | (7,852) |
| 5 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 to 4) | 520,781 | 513,577 | 509,477 | 503,212 | 486,673 |
| | **Derivative exposures** | | | | | |
| 6 | Replacement cost associated with all derivative transactions | 6,656 | 6,074 | 5,973 | 5,992 | 6,734 |
| 7 | Add-on amounts for potential future exposure (PFE) associated with all derivative transactions | 19,329 | 21,346 | 19,922 | 19,889 | 18,387 |
| 8 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | | | | | |
| 9 | Adjusted effective notional amount of written credit derivatives | 211 | 13 | 141 | |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (211) | (13) | (141) | | 467 |
| 11 | Total derivatives exposures (sum of lines 6 to 10) | 25,985 | 27,420 | 25,895 | 25,881 | 25,121 |
| | **Securities financing transaction exposures** | | | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | 56,848 | 48,938 | 49,596 | 49,881 | 55,260 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (3,610) | (4,029) | (3,107) | (4,065) | (4,501) |
| 14 | Counterparty credit risk (CCR) exposure for SFTs | 2,929 | 2,214 | 1,942 | 2,773 | 2,556 |
| 15 | Agent transaction exposures | | | | | |
| 16 | Total securities financing transaction exposures (sum of lines 12 to 15) | 56,167 | 47,123 | 48,431 | 48,589 | 53,315 |
| | **Other off-balance sheet exposures** | | | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 252,600 | 248,850 | 246,660 | 241,179 | 236,408 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (180,571) | (183,024) | (181,294) | (177,554) | (174,911) |
| 19 | Off-balance sheet items (sum of lines 17 and 18) | 72,029 | 65,826 | 65,366 | 63,625 | 61,497 |
| | **Capital and Total Exposures** | | | | | |
| 20 | Tier 1 capital | 28,679 | 27,908 | 27,180 | 26,490 | 25,377 |
| 21 | Total Exposures (sum of lines 5, 11, 16 and 19) | 674,962 | 653,946 | 649,169 | 641,307 | 626,606 |
| | **Leverage Ratio** | | | | | |
| 22 | Basel III leverage ratio | 4.2% | 4.3% | 4.2% | 4.1% | 4.0% |

# CR1: CREDIT QUALITY OF ASSETS
$ millions

| | Q1/19 | | | | Q4/18 | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | Allowances/ | **Net value** | **Gross carrying values of** | Allowances/ | **Net value** |
| | Defaulted exposures $^{(1)}$ | Non-defaulted exposures | impairments | (a+b-c) | Defaulted exposures $^{(1)}$ | Non-defaulted exposures | impairments | (a+b-c) |
| 1 Loans | 1,794 | 384,993 | 1,715 | 385,072 | 1,480 | 381,820 | 1,639 | 381,661 |
| 2 Debt securities | 411 | 82,439 | 24 | 82,826 | 375 | 75,380 | 23 | 75,732 |
| 2a Other investment $^{(2)}$ | - | 11 | - | 11 | - | 11 | - | 11 |
| 3 Off-balance sheet exposures $^{(3)}$ | 238 | 251,937 | 130 | 252,045 | 29 | 248,678 | 102 | 248,605 |
| 4 Total | 2,443 | 719,380 | 1,869 | 719,954 | 1,884 | 705,889 | 1,764 | 706,009 |

$^{(1)}$ For our retail exposures, our accounting definitions for past due and impaired are the same as our regulatory definitions for past due and defaulted, respectively. For our business and government exposures, our accounting and regulatory definitions of past due are the same, but our accounting definition for impairment takes into consideration guarantees and security for an individual exposure, while our regulatory definition of default is based on the financial condition of the borrower without consideration of guarantees and security. Under IFRS, all past due accounts that are not impaired and all non-past due accounts are classified either in stage 1 or in stage 2, and all impaired exposures are classified in stage 3 for expected credit loss provisioning. This column includes defaulted exposures based on our regulatory definition. Past due loans are considered non-defaulted exposures.
$^{(2)}$ Other investments include equity investments subject to the credit risk framework.
$^{(3)}$ Includes \$118.6 billion (Q4/18: \$116.5 billion) of personal, home equity and credit card lines, which are unconditionally cancellable at our discretion.

# CR2: CHANGES IN STOCK OF DEFAULTED LOANS AND DEBT SECURITIES $^{(1)(2)}$
$ millions

| | Q1/19 | Q4/18 |
|---|---|---|
| 1 Defaulted loans and debt securities at end of the previous reporting period | 1,884 | 2,161 |
| 2 Loans and debt securities that have defaulted since the last reporting period | 1,147 | 591 |
| Amounts repaid | (240) | (446) |
| 3 Returned to non-defaulted status | (108) | (159) |
| 4 Amounts written off | (278) | (272) |
| 5 Other changes $^{(3)}$ | 38 | 9 |
| 6 Defaulted loans and debt securities at end of the reporting period (1+2-3-4+5) | 2,443 | 1,884 |

$^{(1)}$ For our retail exposures, our accounting definitions for past due and impaired are the same as our regulatory definitions for past due and defaulted, respectively. For our business and government exposures, our accounting and regulatory definitions of past due are the same, but our accounting definition for impairment takes into consideration guarantees and security for an individual exposure, while our regulatory definition of default is based on the financial condition of the borrower without consideration of guarantees and security. Under IFRS, all past due accounts that are not impaired and all non-past due accounts are classified either in stage 1 or in stage 2, and all impaired exposures are classified in stage 3 for expected credit loss provisioning. This column includes defaulted exposures based on our regulatory definition. Past due loans are considered non-defaulted exposures.
$^{(2)}$ Includes off-balance sheet exposures.
$^{(3)}$ Includes changes due to foreign exchange movements.

# CR3: CREDIT RISK MITIGATION TECHNIQUES - OVERVIEW
$ millions

| | Q1/19 | | | | | Q4/18 | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | **Exposure unsecured: carrying amount** $^{(1)}$ | **Exposure secured by collateral** $^{(3)}$ | **Exposures secured by financial guarantees** | **Exposures secured by credit derivatives** $^{(4)}$ | **Exposure unsecured: carrying amount** $^{(1)}$ | **Exposure secured by collateral** $^{(3)}$ | **Exposures secured by financial guarantees** | **Exposures secured by credit derivatives** $^{(4)}$ |
| 1 Loans | 49,718 | 334,788 | 666 | 566 | 50,022 | 331,242 | 397 | |
| 2 Debt securities | 335,354 | 18,415 | 2,850 | 15,565 | 331,639 | 2,599 | 14,155 | |
| 3 Total $^{(3)}$ | 114,129 | 353,769 | 337,638 | 16,131 | 109,000 | 348,393 | 333,841 | 14,552 |
| 4 Of which defaulted | 64,411 | 1,010 | 1,008 | 2 | 727 | 1,189 | 1,187 | 2 |

$^{(1)}$ Includes fully unsecured exposures and the unsecured portion of partially-secured exposures.
$^{(2)}$ Amounts reflect the entire carrying value of exposures which are secured by either collateral or financial guarantees.
$^{(3)}$ All residential mortgages are included in exposure secured by collateral.
$^{(4)}$ Excludes derivatives which do not qualify in reducing exposures considered for regulatory capital purposes.

# CR4: STANDARDIZED APPROACH - CREDIT RISK EXPOSURE AND CREDIT RISK MITIGATION (CRM) EFFECTS
$ millions

| Asset classes | Q1/19 | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | **Exposures before CCF $^{(1)}$ and CRM** | | **Exposures post-CCF and CRM** | | **RWA and RWA density** | |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | RWA | RWA density % |
| 1 Sovereigns and their central banks | 13,745 | - | 13,745 | - | 2,432 | 18 |
| 2 Non-central government public sector entities | - | - | - | - | - | |
| 3 Multilateral development banks | | | | | | |
| 4 Banks | 1,952 | 4 | 1,952 | 4 | 476 | 24 |
| 5 Securities firms | - | - | - | - | - | |
| 6 Corporates | 27,508 | 6,285 | 27,508 | 6,285 | 33,559 | 99 |
| 7 Regulatory retail portfolios | 1,197 | 26 | 1,197 | 26 | 886 | 72 |
| 8 Secured by residential property | 3,682 | 2 | 3,682 | 2 | 2,413 | 65 |
| 9 Secured by commercial real estate | | | | | | |
| 10 Equity $^{(2)}$ | 411 | - | 411 | - | 436 | 106 |
| 11 Past-due loans $^{(3)}$ | - | - | - | - | - | |
| 12 Higher-risk categories | 8,152 | - | 8,152 | - | 9,679 | 119 |
| 13 Other assets $^{(4)}$ | 56,647 | 6,317 | 56,647 | 6,317 | 49,881 | 79 |
| 14 Total | | | | | | |

$ millions

| Asset classes | Q4/18 | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | **Exposures before CCF $^{(1)}$ and CRM** | | **Exposures post-CCF and CRM** | | **RWA and RWA density** | |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | RWA | RWA density % |
| 1 Sovereigns and their central banks | 12,047 | - | 12,047 | - | 2,319 | 19 |
| 2 Non-central government public sector entities | - | - | - | - | - | |
| 3 Multilateral development banks | - | - | - | - | - | |
| 4 Banks | 1,868 | 5 | 1,868 | 5 | 465 | 25 |
| 5 Securities firms | - | - | - | - | - | |
| 6 Corporates | 26,876 | 5,712 | 26,876 | 5,712 | 32,409 | 99 |
| 7 Regulatory retail portfolios | 1,218 | 26 | 1,218 | 26 | 915 | 74 |
| 8 Secured by residential property | 3,647 | 2 | 3,647 | 2 | 2,751 | 75 |
| 9 Secured by commercial real estate | - | - | - | - | - | |
| 10 Equity $^{(2)}$ | 411 | - | 411 | - | 436 | 106 |
| 11 Past-due loans $^{(3)}$ | - | - | - | - | - | |
| 12 Higher-risk categories | 8,707 | - | 8,707 | - | 10,095 | 116 |
| 13 Other assets $^{(4)}$ | 54,774 | 5,745 | 54,774 | 5,745 | 49,390 | 82 |
| 14 Total | | | | | | |

$^{(1)}$ Credit conversion factor.
$^{(2)}$ Comprises non-trading equities that are risk-weighted at 100% under the materiality clause. RWAs include the 6% adjustment for the scaling factor.
$^{(3)}$ Past due loans relating to CIBC FirstCaribbean and CIBC Bank USA are included in rows 1-9 of this table.
$^{(4)}$ Comprises amounts relating to settlement risk and other assets that are subject to the credit risk framework but are not included in the standardized or IRB frameworks, including other balance sheet assets that are risk-weighted at 100%, significant investments in the capital of non-financial institutions that are risk-weighted at 1250%, settlement risk, and amounts below the thresholds for deduction that are risk-weighted at 250%.

# CR5: STANDARDIZED APPROACH - EXPOSURES BY ASSET CLASSES AND RISK-WEIGHTS
$ millions

| Asset classes | Q1/19 Risk weight | | | | | | | | Total credit exposures amount (post CCF and post-CRM) |
|---|---|---|---|---|---|---|---|---|---|
| | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | |
| 1 Sovereigns and their central banks | 7,902 | 4,487 | - | 107 | 786 | 463 | - | - | 13,745 |
| 2 Non-central government public sector entities (PSEs) | - | - | - | - | - | - | - | - | - |
| 3 Multilateral development banks (MDBs) | - | 1,800 | - | - | - | - | - | - | 1,956 |
| 4 Banks | - | - | 83 | 70 | 3 | - | - | - | - |
| 5 Securities firms | - | - | - | - | - | - | - | - | - |
| 6 Corporates | 246 | 40 | - | 26 | - | 33,363 | 118 | - | 33,793 |
| 7 Regulatory retail portfolios | 43 | 17 | - | 5 | 1,122 | 29 | 7 | - | 1,223 |
| 8 Secured by residential property | - | 16 | 918 | - | 2,660 | 83 | 7 | - | 3,684 |
| 9 Secured by commercial real estate | - | - | - | - | - | - | - | - | 411 |
| 10 Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - |
| 11 Past-due loans | - | - | - | - | - | - | - | - | - |
| 12 Higher-risk categories | 1,640 | - | - | - | 4,653 | - | 1,859 | - | 8,152 |
| 13 Other assets $^{(2)}$ | 9,831 | 6,360 | 918 | 221 | 3,782 | 39,395 | 598 | 1,859 | 62,964 |
| 14 Total | | | | | | | | | |

$ millions

| Asset classes | Q4/18 Risk weight | | | | | | | | Total credit exposures amount (post CCF and post-CRM) |
|---|---|---|---|---|---|---|---|---|---|
| | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | |
| 1 Sovereigns and their central banks | 6,454 | 4,314 | 107 | 711 | 461 | - | - | - | 12,047 |
| 2 Non-central government public sector entities (PSEs) | - | - | - | - | - | - | - | - | - |
| 3 Multilateral development banks (MDBs) | - | 1,702 | - | 101 | 61 | 9 | - | - | 1,873 |
| 4 Banks | - | - | - | 24 | - | - | - | - | - |
| 5 Securities firms | 198 | 27 | - | 24 | - | 32,227 | 112 | - | 32,588 |
| 6 Corporates | 38 | 15 | - | 5 | 1,136 | 36 | 14 | - | 1,244 |
| 7 Regulatory retail portfolios | 16 | - | - | 3,536 | 97 | - | - | - | 3,649 |
| 8 Secured by residential property | - | - | - | - | - | - | - | - | 411 |
| 9 Secured by commercial real estate | - | - | - | - | - | - | - | - | - |
| 10 Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - |
| 11 Past-due loans | - | - | - | - | - | - | - | - | - |
| 12 Higher-risk categories | 1,835 | - | - | - | 4,973 | - | 1,899 | - | 8,707 |
| 13 Other assets $^{(2)}$ | 8,525 | 6,074 | 237 | 4,672 | 38,516 | 596 | 1,899 | 60,519 |
| 14 Total | | | | | | | | | |

$^{(1)}$ Comprises non-trading equity exposures that are risk-weighted at 100% under the materiality clause.
$^{(2)}$ Comprises balance sheet assets that are subject to the credit risk framework but are not included in the standardized or IRB frameworks, including settlement risk and amounts below the thresholds for deduction which are risk-weighted at 250%.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE $^{(1)}$
$ millions

| PD scale | Q1/19 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Business and government portfolios** | | | | | | | | | | | | |
| **Corporate** | | | | | | | | | | | | |
| 0.00 to <0.15 | 10,807 | 21,562 | 72 | 26,405 | 0.08 | 1,885 | 29 | 2.0 | 5,335 | 20 | 7 | |
| 0.15 to <0.25 | 20,264 | 25,996 | 67 | 37,599 | 0.19 | 4,054 | 42 | 2.5 | 15,999 | 43 | 30 | |
| 0.25 to <0.50 | 12,158 | 12,803 | 66 | 20,561 | 0.34 | 3,849 | 38 | 2.5 | 10,595 | 52 | 26 | |
| 0.50 to <0.75 | 24,067 | 14,835 | 50 | 31,517 | 0.64 | 2,079 | 33 | 2.4 | 18,243 | 58 | 65 | |
| 0.75 to <2.50 | 18,308 | 10,727 | 53 | 23,963 | 1.70 | 7,114 | 31 | 2.2 | 16,775 | 70 | 126 | |
| 2.50 to <10.00 | 2,594 | 1,454 | 51 | 3,341 | 6.62 | 26,612 | 31 | 1.9 | 3,791 | 113 | 70 | |
| 10.00 to 100.00 | 533 | 271 | 61 | 700 | 24.76 | 384 | 35 | 2.0 | 1,269 | 181 | 61 | |
| 100.00 (Default) | 511 | 238 | 88 | 721 | 100.00 | 440 | 38 | 2.0 | 1,683 | 233 | 160 | |
| **Total** | **89,242** | **87,886** | **65** | **144,807** | **0.96** | **46,417** | **35** | **2.3** | **73,690** | **51** | **545** | **270** |
| **Sovereign** | | | | | | | | | | | | |
| 0.00 to <0.15 | 51,944 | 10,495 | 63 | 58,530 | 0.02 | 1,165 | 8 | 3.0 | 1,394 | 2 | 1 | |
| 0.15 to <0.25 | 54 | 380 | 76 | 342 | 0.23 | 58 | 18 | 1.9 | 54 | 16 | |
| 0.25 to <0.50 | 189 | 63 | 77 | 238 | 0.33 | 56 | 35 | 1.3 | 86 | 36 | |
| 0.50 to <0.75 | 431 | 176 | 30 | 485 | 0.54 | 35 | 7 | 0.3 | 40 | 8 | |
| 0.75 to <2.50 | 41 | 9 | 69 | 47 | 1.80 | 32 | 18 | 1.8 | 18 | 38 | |
| 2.50 to <10.00 | 104 | 2 | 71 | 106 | 6.25 | 295 | 10 | 2.2 | 42 | 40 | 1 |
| 10.00 to <100.00 | | | | | | | | | | | | |
| 100.00 (Default) | | | | | | | | | | | | |
| **Total** | **52,763** | **11,125** | **66** | **59,748** | **0.04** | **1,641** | **8** | **2.8** | **1,634** | **3** | **2** | |
| **Banks** | | | | | | | | | | | | |
| 0.00 to <0.15 | 13,167 | 64,108 | 99 | 76,750 | 0.06 | 390 | 9 | 0.3 | 2,341 | 3 | 5 | |
| 0.15 to <0.25 | 1,413 | 3,071 | 89 | 4,162 | 0.17 | 79 | 7 | 0.7 | 200 | 5 | |
| 0.25 to <0.50 | 75 | 642 | 65 | 494 | 0.33 | 26 | 6 | 1.0 | 30 | 6 | |
| 0.50 to <0.75 | 34 | 169 | 84 | 177 | 0.73 | 33 | 12 | 0.3 | 31 | 18 | |
| 0.75 to <2.50 | 40 | 245 | 100 | 284 | 2.30 | 20 | 6 | 0.2 | 47 | 17 | |
| 2.50 to <10.00 | 631 | 28 | 93 | 657 | 6.08 | 211 | 12 | 2.4 | 307 | 47 | 5 | |
| 10.00 to <100.00 | | | | | 17.06 | 1 | 40 | 0.1 | n/a | | |
| 100.00 (Default) | | | | | | | | | | | | |
| **Total** | **15,360** | **68,263** | **98** | **82,524** | **0.33** | **760** | **9** | **2,956** | **4** | **10** | **1** |

$^{(1)}$ Amounts are calculated after taking into consideration the effect of credit risk mitigation strategies.
$^{(2)}$ Where a guarantee from a third-party exists, the credit rating of both the obligor and the guarantor will be assessed. In situations where an obligor has multiple outstanding exposures, those exposures without a guarantee reflect the PD of the obligor whereas guaranteed exposures will reflect the PD of the third-party. In such situations, the obligor will appear twice in both PD bands.
$^{(3)}$ Denoted in years.
$^{(4)}$ CIBC does not use credit derivatives to reduce RWA.
$^{(5)}$ Expected loss amounts are calculated for regulatory capital purposes based on our historical experience through-the-cycle and do not incorporate forward-looking information. Provision amounts represent stage 1, 2, and 3 allowance for credit loss amounts calculated in accordance with IFRS 9, which incorporate forward-looking information. Expected losses and provisions are both inputs into the calculation to determine the shortfall of allowances versus expected losses (if any) to be deducted from regulatory capital.

$^{\text{n/a Not applicable.}}$

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE $^{(1)}$
$ millions

| PD scale | Q1/19 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 74,270 | n/a | - | 74,270 | 0.01 | 392,979 | 5 | n/a | 912 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **74,270** | **n/a** | **-** | **74,270** | **0.01** | **392,979** | **5** | **n/a** | **912** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 97,174 | 47,830 | 31 | 112,199 | 0.07 | 743,799 | 22 | n/a | 4,788 | 4 | 18 | |
| 0.15 to <0.25 | 7,884 | - | - | 7,884 | 0.19 | 26,370 | 25 | n/a | 793 | 10 | 4 | |
| 0.25 to <0.50 | 19,466 | 3,431 | 96 | 22,744 | 0.32 | 71,113 | 21 | n/a | 2,906 | 13 | 15 | |
| 0.50 to <0.75 | 12,669 | 2,166 | 33 | 13,382 | 0.57 | 70,330 | 22 | n/a | 2,676 | 20 | 17 | |
| 0.75 to <2.50 | 7,635 | 444 | 34 | 7,786 | 1.28 | 33,676 | 24 | n/a | 2,924 | 38 | 24 | |
| 2.50 to <10.00 | 3,389 | 23 | 41 | 3,398 | 5.83 | 13,612 | 21 | n/a | 2,599 | 76 | 41 | |
| 10.00 to <100.00 | 557 | 38 | 36 | 571 | 37.12 | 3,579 | 25 | n/a | 821 | 144 | 48 | |
| 100.00 (Default) | 335 | - | - | 335 | 100.00 | 2,196 | 26 | n/a | 365 | 109 | 64 | |
| **Total** | **149,109** | **53,932** | **36** | **168,299** | **0.65** | **964,675** | **22** | **n/a** | **17,872** | **11** | **231** | **115** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,968 | 45,584 | 78 | 38,430 | 0.06 | 3,913,914 | 95 | n/a | 1,381 | 4 | 20 | |
| 0.15 to <0.25 | 565 | 4,609 | 84 | 4,431 | 0.21 | 1,234,255 | 87 | n/a | 457 | 10 | 8 | |
| 0.25 to <0.50 | 2,370 | 6,848 | 68 | 6,995 | 0.34 | 1,091,144 | 90 | n/a | 1,094 | 16 | 21 | |
| 0.50 to <0.75 | 2,536 | 3,774 | 59 | 4,771 | 0.66 | 578,727 | 89 | n/a | 1,253 | 26 | 28 | |
| 0.75 to <2.50 | 5,239 | 7,136 | 70 | 10,247 | 1.43 | 1,995,515 | 90 | n/a | 4,880 | 48 | 133 | |
| 2.50 to <10.00 | 4,488 | 2,164 | 68 | 5,966 | 4.35 | 986,086 | 88 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 803 | 347 | 70 | 1,047 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 281 | |
| 100.00 (Default) | 45 | - | - | 45 | 100.00 | 15,487 | 85 | n/a | 73 | 162 | 37 | |
| **Total** | **19,014** | **70,462** | **75** | **71,932** | **1.19** | **10,084,897** | **92** | **n/a** | **17,511** | **24** | **757** | **810** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,269 | 1,746 | 76 | 4,589 | 0.11 | 80,362 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 66 | 11 | 9 | 67 | 0.22 | 17,465 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 43,900 | 73 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 942 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,174 | 783 | 59 | 4,636 | 1.20 | 127,042 | 76 | n/a | 3,864 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 61 | n/a | 2,311 | 96 | 73 | |
| 10.00 to 100.00 | 537 | 301 | 61 | 722 | 51.26 | 269,442 | 26 | n/a | 518 | 72 | 86 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 74 | n/a | 10 | 16 | 57 | |
| **Total** | **12,128** | **3,828** | **66** | **14,668** | **4.14** | **727,554** | **61** | **n/a** | **8,332** | **57** | **267** | **143** |
| **Total (all portfolios)** | **411,886** | **295,496** | **69** | **616,248** | **0.40** | **12,218,923** | **16** | **n/a** | **122,907** | **20** | **1,813** | **1,351** |

$^{(1)}$ Amounts are calculated after taking into consideration the effect of credit risk mitigation strategies.
$^{(2)}$ Where a guarantee from a third-party exists, the credit rating of both the obligor and the guarantor will be assessed. In situations where an obligor has multiple outstanding exposures, those exposures without a guarantee reflect the PD of the obligor whereas guaranteed exposures will reflect the PD of the third-party. In such situations, the obligor will appear twice in both PD bands.
$^{(3)}$ Denoted in years.
$^{(4)}$ CIBC does not use credit derivatives to reduce RWA.
$^{(5)}$ Expected loss amounts are calculated for regulatory capital purposes based on our historical experience through-the-cycle and do not incorporate forward-looking information. Provision amounts represent stage 1, 2, and 3 allowance for credit loss amounts calculated in accordance with IFRS 9, which incorporate forward-looking information. Expected losses and provisions are both inputs into the calculation to determine the shortfall of allowances versus expected losses (if any) to be deducted from regulatory capital.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Business and government portfolios** | | | | | | | | | | | | |
| **Corporate** | | | | | | | | | | | | |
| 0.00 to <0.15 | 9,855 | 22,905 | 75 | 27,119 | 0.08 | 1,873 | 28 | 1.9 | 5,403 | 20 | 7 | |
| 0.15 to <0.25 | 19,396 | 25,476 | 69 | 36,995 | 0.19 | 4,072 | 42 | 2.5 | 15,516 | 42 | 29 | |
| 0.25 to <0.50 | 12,082 | 12,882 | 68 | 20,812 | 0.34 | 3,816 | 38 | 2.4 | 10,464 | 50 | 26 | |
| 0.50 to <0.75 | 23,680 | 15,416 | 50 | 31,400 | 0.64 | 2,067 | 33 | 2.4 | 18,000 | 57 | 65 | |
| 0.75 to <2.50 | 17,185 | 10,558 | 53 | 22,783 | 1.72 | 7,027 | 31 | 2.1 | 15,832 | 69 | 120 | |
| 2.50 to <10.00 | 2,315 | 1,152 | 53 | 2,920 | 6.59 | 27,190 | 33 | 2.2 | 3,433 | 118 | 62 | |
| 10.00 to <100.00 | 525 | 246 | 58 | 667 | 26.02 | 402 | 42 | 1.8 | 1,415 | 212 | 68 | |
| 100.00 (Default) | 240 | 28 | 52 | 255 | 100.00 | 395 | 41 | 1.6 | 380 | 149 | 87 | |
| **Total** | **85,278** | **88,663** | **65** | **142,951** | **0.96** | **46,842** | **35** | **2.3** | **70,443** | **49** | **464** | **179** |
| **Sovereign** | | | | | | | | | | | | |
| 0.00 to <0.15 | 51,007 | 10,721 | 67 | 58,148 | 0.02 | 1,185 | 8 | 2.8 | 1,352 | 2 | 1 | |
| 0.15 to <0.25 | 58 | 95 | 70 | 125 | 0.23 | 62 | 36 | 1.3 | 38 | 30 | |
| 0.25 to <0.50 | 155 | 73 | 78 | 211 | 0.33 | 59 | 35 | 1.1 | 76 | 36 | |
| 0.50 to <0.75 | 431 | 182 | 32 | 488 | 0.55 | 36 | 7 | 0.4 | 44 | 9 | |
| 0.75 to <2.50 | 34 | 8 | 69 | 40 | 1.59 | 33 | 21 | 0.9 | 17 | 43 | |
| 2.50 to <10.00 | 19 | 2 | 71 | 20 | 6.57 | 308 | 13 | 2.3 | 10 | 50 | |
| 10.00 to <100.00 | | | | | | | | | | | | |
| 100.00 (Default) | | | | | | | | | | | | |
| **Total** | **51,704** | **11,081** | **66** | **59,032** | **0.03** | **1,683** | **8** | **2.8** | **1,537** | **3** | **1** | |
| **Banks** | | | | | | | | | | | | |
| 0.00 to <0.15 | 11,934 | 63,205 | 99 | 74,717 | 0.06 | 383 | 9 | 0.3 | 2,202 | 3 | 4 | |
| 0.15 to <0.25 | 1,104 | 3,030 | 90 | 3,829 | 0.17 | 67 | 8 | 0.7 | 212 | 6 | 1 | |
| 0.25 to <0.50 | 119 | 599 | 71 | 545 | 0.33 | 25 | 5 | 1.0 | 29 | 5 | |
| 0.50 to <0.75 | 49 | 167 | 84 | 189 | 0.73 | 28 | 13 | 0.3 | 33 | 17 | |
| 0.75 to <2.50 | 63 | 195 | 98 | 254 | 2.41 | 24 | 12 | 0.6 | 89 | 35 | 1 |
| 2.50 to <10.00 | 427 | 42 | 70 | 457 | 6.08 | 207 | 19 | 2.1 | 318 | 70 | 5 | |
| 10.00 to <100.00 | | | | | 17.06 | 2 | 25 | 0.2 | n/a | | |
| 100.00 (Default) | | | | | | | | | | | | |
| **Total** | **13,696** | **67,239** | **99** | **79,991** | **0.27** | **736** | **9** | **2,883** | **4** | **11** | **1** |

For footnotes, see page 19.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 76,945 | n/a | - | 76,945 | 0.01 | 405,472 | 5 | n/a | 939 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **76,945** | **n/a** | **-** | **76,945** | **0.01** | **405,472** | **5** | **n/a** | **939** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 96,456 | 47,146 | 31 | 111,246 | 0.07 | 585,979 | 22 | n/a | 4,432 | 4 | 16 | |
| 0.15 to <0.25 | 7,464 | - | - | 7,464 | 0.19 | 59,389 | 25 | n/a | 750 | 10 | 3 | |
| 0.25 to <0.50 | 21,259 | 5,185 | 83 | 25,556 | 0.32 | 148,513 | 23 | n/a | 3,519 | 14 | 19 | |
| 0.50 to <0.75 | 10,661 | 1,008 | 32 | 10,979 | 0.58 | 68,545 | 19 | n/a | 1,917 | 17 | 12 | |
| 0.75 to <2.50 | 7,922 | 428 | 34 | 8,069 | 1.28 | 58,241 | 24 | n/a | 2,996 | 37 | 25 | |
| 2.50 to <10.00 | 2,998 | 22 | 40 | 3,007 | 6.06 | 27,586 | 21 | n/a | 2,350 | 78 | 37 | |
| 10.00 to 100.00 | 510 | 28 | 38 | 521 | 36.37 | 5,449 | 24 | n/a | 734 | 141 | 42 | |
| 100.00 (Default) | 286 | - | - | 286 | 100.00 | 3,876 | 27 | n/a | 338 | 118 | 56 | |
| **Total** | **147,556** | **53,817** | **36** | **167,128** | **0.60** | **957,578** | **22** | **n/a** | **17,036** | **10** | **210** | **98** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,704 | 44,674 | 78 | 38,486 | 0.05 | 3,875,829 | 95 | n/a | 1,357 | 4 | 20 | |
| 0.15 to <0.25 | 1,193 | 5,736 | 78 | 5,661 | 0.21 | 1,317,215 | 87 | n/a | 580 | 10 | 10 | |
| 0.25 to <0.50 | 2,293 | 5,567 | 71 | 6,247 | 0.36 | 1,091,144 | 90 | n/a | 1,002 | 16 | 20 | |
| 0.50 to <0.75 | 2,852 | 3,707 | 60 | 5,068 | 0.66 | 571,347 | 90 | n/a | 1,328 | 26 | 30 | |
| 0.75 to <2.50 | 6,485 | 6,948 | 71 | 11,430 | 1.45 | 1,967,168 | 91 | n/a | 5,507 | 48 | 151 | |
| 2.50 to <10.00 | 4,903 | 2,101 | 71 | 6,401 | 4.35 | 986,086 | 89 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 994 | 528 | 70 | 1,245 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 281 | |
| 100.00 (Default) | 44 | - | - | 44 | 100.00 | 15,487 | 85 | n/a | 76 | 170 | 35 | |
| **Total** | **22,468** | **69,261** | **75** | **74,582** | **1.27** | **10,027,613** | **92** | **n/a** | **19,155** | **26** | **841** | **806** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,324 | 1,746 | 76 | 4,589 | 0.11 | 80,362 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 66 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 43,900 | 73 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,174 | 783 | 59 | 4,636 | 1.20 | 127,042 | 76 | n/a | 3,864 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 61 | n/a | 2,311 | 96 | 73 | |
| 10.00 to 100.00 | 537 | 301 | 61 | 722 | 51.26 | 269,442 | 26 | n/a | 518 | 72 | 86 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 74 | n/a | 10 | 16 | 57 | |
| **Total** | **12,128** | **3,828** | **66** | **14,668** | **4.14** | **727,554** | **61** | **n/a** | **8,332** | **57** | **267** | **143** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

$^{(1)}$ Amounts are calculated after taking into consideration the effect of credit risk mitigation strategies.
$^{(2)}$ The number of obligors for retail products reflects account level information rather than individual borrowers. In addition, certain products within real estate secured personal lending include both insured and uninsured components, such as mortgages and home-equity lines of credit secured by the same property. In such situations, the obligor will appear twice in both the insured and uninsured categories within the applicable PD band.
$^{(3)}$ Denoted in years.
$^{(4)}$ CIBC does not use credit derivatives to reduce RWA.
$^{(5)}$ Expected loss amounts are calculated for regulatory capital purposes based on our historical experience through-the-cycle and do not incorporate forward-looking information. Provision amounts represent stage 1, 2, and 3 allowance for credit loss amounts calculated in accordance with IFRS 9, which incorporate forward-looking information. Expected losses and provisions are both inputs into the calculation to determine the shortfall of allowances versus expected losses (if any) to be deducted from regulatory capital.
$^{(6)}$ Certain prior period amounts have been restated.

$^{\text{n/a Not applicable.}}$

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 76,945 | n/a | - | 76,945 | 0.01 | 405,472 | 5 | n/a | 939 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **76,945** | **n/a** | **-** | **76,945** | **0.01** | **405,472** | **5** | **n/a** | **939** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 96,456 | 47,146 | 31 | 111,246 | 0.07 | 585,979 | 22 | n/a | 4,432 | 4 | 16 | |
| 0.15 to <0.25 | 7,464 | - | - | 7,464 | 0.19 | 59,389 | 25 | n/a | 750 | 10 | 3 | |
| 0.25 to <0.50 | 21,259 | 5,185 | 83 | 25,556 | 0.32 | 148,513 | 23 | n/a | 3,519 | 14 | 19 | |
| 0.50 to <0.75 | 10,661 | 1,008 | 32 | 10,979 | 0.58 | 68,545 | 19 | n/a | 1,917 | 17 | 12 | |
| 0.75 to <2.50 | 7,922 | 428 | 34 | 8,069 | 1.28 | 58,241 | 24 | n/a | 2,996 | 37 | 25 | |
| 2.50 to <10.00 | 2,998 | 22 | 40 | 3,007 | 6.06 | 27,586 | 21 | n/a | 2,350 | 78 | 37 | |
| 10.00 to 100.00 | 510 | 28 | 38 | 521 | 36.37 | 5,449 | 24 | n/a | 734 | 141 | 42 | |
| 100.00 (Default) | 286 | - | - | 286 | 100.00 | 3,876 | 27 | n/a | 338 | 118 | 56 | |
| **Total** | **147,556** | **53,817** | **36** | **167,128** | **0.60** | **957,578** | **22** | **n/a** | **17,036** | **10** | **210** | **98** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,704 | 44,674 | 78 | 38,486 | 0.05 | 3,875,829 | 95 | n/a | 1,357 | 4 | 20 | |
| 0.15 to <0.25 | 1,193 | 5,736 | 78 | 5,661 | 0.21 | 1,317,215 | 89 | n/a | 580 | 10 | 10 | |
| 0.25 to <0.50 | 2,293 | 5,567 | 71 | 6,247 | 0.36 | 1,091,144 | 90 | n/a | 1,002 | 16 | 20 | |
| 0.50 to <0.75 | 2,852 | 3,707 | 60 | 5,068 | 0.66 | 571,347 | 90 | n/a | 1,328 | 26 | 30 | |
| 0.75 to <2.50 | 6,485 | 6,948 | 71 | 11,430 | 1.45 | 1,967,168 | 91 | n/a | 5,507 | 48 | 151 | |
| 2.50 to <10.00 | 4,903 | 2,101 | 71 | 6,401 | 4.35 | 986,086 | 89 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 994 | 528 | 70 | 1,245 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 328 | |
| 100.00 (Default) | 44 | - | - | 44 | 100.00 | 15,487 | 85 | n/a | 76 | 170 | 35 | |
| **Total** | **22,468** | **69,261** | **75** | **74,582** | **1.27** | **10,027,613** | **92** | **n/a** | **19,155** | **26** | **841** | **806** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,324 | 1,746 | 76 | 4,589 | 0.11 | 74,650 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 60 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 42,475 | 75 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,110 | 774 | 59 | 4,569 | 1.20 | 124,471 | 71 | n/a | 3,810 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 79 | n/a | 2,275 | 94 | 73 | |
| 10.00 to 100.00 | 567 | 291 | 61 | 743 | 52.40 | 269,442 | 76 | n/a | 526 | 71 | 88 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 78 | n/a | 12 | 17 | 63 | |
| **Total** | **12,157** | **3,866** | **66** | **14,713** | **4.29** | **739,933** | **70** | **n/a** | **8,241** | **56** | **273** | **140** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

For footnotes, see page 20.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 76,945 | n/a | - | 76,945 | 0.01 | 405,472 | 5 | n/a | 939 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **76,945** | **n/a** | **-** | **76,945** | **0.01** | **405,472** | **5** | **n/a** | **939** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 96,456 | 47,146 | 31 | 111,246 | 0.07 | 585,979 | 22 | n/a | 4,432 | 4 | 16 | |
| 0.15 to <0.25 | 7,464 | - | - | 7,464 | 0.19 | 59,389 | 25 | n/a | 750 | 10 | 3 | |
| 0.25 to <0.50 | 21,259 | 5,185 | 83 | 25,556 | 0.32 | 148,513 | 23 | n/a | 3,519 | 14 | 19 | |
| 0.50 to <0.75 | 10,661 | 1,008 | 32 | 10,979 | 0.58 | 68,545 | 19 | n/a | 1,917 | 17 | 12 | |
| 0.75 to <2.50 | 7,922 | 428 | 34 | 8,069 | 1.28 | 58,241 | 24 | n/a | 2,996 | 37 | 25 | |
| 2.50 to <10.00 | 2,998 | 22 | 40 | 3,007 | 6.06 | 27,586 | 21 | n/a | 2,350 | 78 | 37 | |
| 10.00 to 100.00 | 510 | 28 | 38 | 521 | 36.37 | 5,449 | 24 | n/a | 734 | 141 | 42 | |
| 100.00 (Default) | 286 | - | - | 286 | 100.00 | 3,876 | 27 | n/a | 338 | 118 | 56 | |
| **Total** | **147,556** | **53,817** | **36** | **167,128** | **0.60** | **957,578** | **22** | **n/a** | **17,036** | **10** | **210** | **98** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,704 | 44,674 | 78 | 38,486 | 0.05 | 3,875,829 | 95 | n/a | 1,357 | 4 | 20 | |
| 0.15 to <0.25 | 1,193 | 5,736 | 78 | 5,661 | 0.21 | 1,317,215 | 89 | n/a | 580 | 10 | 10 | |
| 0.25 to <0.50 | 2,293 | 5,567 | 71 | 6,247 | 0.36 | 1,091,144 | 90 | n/a | 1,002 | 16 | 20 | |
| 0.50 to <0.75 | 2,852 | 3,707 | 60 | 5,068 | 0.66 | 571,347 | 90 | n/a | 1,328 | 26 | 30 | |
| 0.75 to <2.50 | 6,485 | 6,948 | 71 | 11,430 | 1.45 | 1,967,168 | 91 | n/a | 5,507 | 48 | 151 | |
| 2.50 to <10.00 | 4,903 | 2,101 | 71 | 6,401 | 4.35 | 986,086 | 89 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 994 | 528 | 70 | 1,245 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 328 | |
| 100.00 (Default) | 44 | - | - | 44 | 100.00 | 15,487 | 85 | n/a | 76 | 170 | 35 | |
| **Total** | **22,468** | **69,261** | **75** | **74,582** | **1.27** | **10,027,613** | **92** | **n/a** | **19,155** | **26** | **841** | **806** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,324 | 1,746 | 76 | 4,589 | 0.11 | 74,650 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 60 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 42,475 | 75 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,110 | 774 | 59 | 4,569 | 1.20 | 124,471 | 71 | n/a | 3,810 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 79 | n/a | 2,275 | 94 | 73 | |
| 10.00 to 100.00 | 567 | 291 | 61 | 743 | 52.40 | 269,442 | 76 | n/a | 526 | 71 | 88 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 78 | n/a | 12 | 17 | 63 | |
| **Total** | **12,157** | **3,866** | **66** | **14,713** | **4.29** | **739,933** | **70** | **n/a** | **8,241** | **56** | **273** | **140** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

For footnotes, see page 20.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 76,945 | n/a | - | 76,945 | 0.01 | 405,472 | 5 | n/a | 939 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **76,945** | **n/a** | **-** | **76,945** | **0.01** | **405,472** | **5** | **n/a** | **939** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 96,456 | 47,146 | 31 | 111,246 | 0.07 | 585,979 | 22 | n/a | 4,432 | 4 | 16 | |
| 0.15 to <0.25 | 7,464 | - | - | 7,464 | 0.19 | 59,389 | 25 | n/a | 750 | 10 | 3 | |
| 0.25 to <0.50 | 21,259 | 5,185 | 83 | 25,556 | 0.32 | 148,513 | 23 | n/a | 3,519 | 14 | 19 | |
| 0.50 to <0.75 | 10,661 | 1,008 | 32 | 10,979 | 0.58 | 68,545 | 19 | n/a | 1,917 | 17 | 12 | |
| 0.75 to <2.50 | 7,922 | 428 | 34 | 8,069 | 1.28 | 58,241 | 24 | n/a | 2,996 | 37 | 25 | |
| 2.50 to <10.00 | 2,998 | 22 | 40 | 3,007 | 6.06 | 27,586 | 21 | n/a | 2,350 | 78 | 37 | |
| 10.00 to 100.00 | 510 | 28 | 38 | 521 | 36.37 | 5,449 | 24 | n/a | 734 | 141 | 42 | |
| 100.00 (Default) | 286 | - | - | 286 | 100.00 | 3,876 | 27 | n/a | 338 | 118 | 56 | |
| **Total** | **147,556** | **53,817** | **36** | **167,128** | **0.60** | **957,578** | **22** | **n/a** | **17,036** | **10** | **210** | **98** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,704 | 44,674 | 78 | 38,486 | 0.05 | 3,875,829 | 95 | n/a | 1,357 | 4 | 20 | |
| 0.15 to <0.25 | 1,193 | 5,736 | 78 | 5,661 | 0.21 | 1,317,215 | 89 | n/a | 580 | 10 | 10 | |
| 0.25 to <0.50 | 2,293 | 5,567 | 71 | 6,247 | 0.36 | 1,091,144 | 90 | n/a | 1,002 | 16 | 20 | |
| 0.50 to <0.75 | 2,852 | 3,707 | 60 | 5,068 | 0.66 | 571,347 | 90 | n/a | 1,328 | 26 | 30 | |
| 0.75 to <2.50 | 6,485 | 6,948 | 71 | 11,430 | 1.45 | 1,967,168 | 91 | n/a | 5,507 | 48 | 151 | |
| 2.50 to <10.00 | 4,903 | 2,101 | 71 | 6,401 | 4.35 | 986,086 | 89 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 994 | 528 | 70 | 1,245 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 281 | |
| 100.00 (Default) | 44 | - | - | 44 | 100.00 | 15,487 | 85 | n/a | 76 | 170 | 35 | |
| **Total** | **22,468** | **69,261** | **75** | **74,582** | **1.27** | **10,027,613** | **92** | **n/a** | **19,155** | **26** | **841** | **806** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,324 | 1,746 | 76 | 4,589 | 0.11 | 74,650 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 60 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 42,475 | 75 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,110 | 774 | 59 | 4,569 | 1.20 | 124,471 | 71 | n/a | 3,810 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 79 | n/a | 2,275 | 94 | 73 | |
| 10.00 to 100.00 | 567 | 291 | 61 | 743 | 52.40 | 269,442 | 76 | n/a | 526 | 71 | 88 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 78 | n/a | 12 | 17 | 63 | |
| **Total** | **12,157** | **3,866** | **66** | **14,713** | **4.29** | **739,933** | **70** | **n/a** | **8,241** | **56** | **273** | **140** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

For footnotes, see page 20.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q1/19 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 74,270 | n/a | - | 74,270 | 0.01 | 392,979 | 5 | n/a | 912 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **74,270** | **n/a** | **-** | **74,270** | **0.01** | **392,979** | **5** | **n/a** | **912** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 97,174 | 47,830 | 31 | 112,199 | 0.07 | 743,799 | 22 | n/a | 4,788 | 4 | 18 | |
| 0.15 to <0.25 | 7,884 | - | - | 7,884 | 0.19 | 26,370 | 25 | n/a | 793 | 10 | 4 | |
| 0.25 to <0.50 | 19,466 | 3,431 | 96 | 22,744 | 0.32 | 71,113 | 21 | n/a | 2,906 | 13 | 15 | |
| 0.50 to <0.75 | 12,669 | 2,166 | 33 | 13,382 | 0.57 | 70,330 | 22 | n/a | 2,676 | 20 | 17 | |
| 0.75 to <2.50 | 7,635 | 444 | 34 | 7,786 | 1.28 | 33,676 | 24 | n/a | 2,924 | 38 | 24 | |
| 2.50 to <10.00 | 3,389 | 23 | 41 | 3,398 | 5.83 | 13,612 | 21 | n/a | 2,599 | 76 | 41 | |
| 10.00 to <100.00 | 557 | 38 | 36 | 571 | 37.12 | 3,579 | 25 | n/a | 821 | 144 | 48 | |
| 100.00 (Default) | 335 | - | - | 335 | 100.00 | 2,196 | 26 | n/a | 365 | 109 | 64 | |
| **Total** | **149,109** | **53,932** | **36** | **168,299** | **0.65** | **964,675** | **22** | **n/a** | **17,872** | **11** | **231** | **115** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,968 | 45,584 | 78 | 38,430 | 0.06 | 3,913,914 | 95 | n/a | 1,381 | 4 | 20 | |
| 0.15 to <0.25 | 565 | 4,609 | 84 | 4,431 | 0.21 | 1,234,255 | 87 | n/a | 457 | 10 | 8 | |
| 0.25 to <0.50 | 2,370 | 6,848 | 68 | 6,995 | 0.34 | 1,091,144 | 90 | n/a | 1,094 | 16 | 21 | |
| 0.50 to <0.75 | 2,536 | 3,774 | 59 | 4,771 | 0.66 | 578,727 | 89 | n/a | 1,253 | 26 | 28 | |
| 0.75 to <2.50 | 5,239 | 7,136 | 70 | 10,247 | 1.43 | 1,995,515 | 90 | n/a | 4,880 | 48 | 133 | |
| 2.50 to <10.00 | 4,488 | 2,164 | 68 | 5,966 | 4.35 | 986,086 | 88 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 803 | 347 | 70 | 1,047 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 281 | |
| 100.00 (Default) | 45 | - | - | 45 | 100.00 | 15,487 | 85 | n/a | 73 | 162 | 37 | |
| **Total** | **19,014** | **70,462** | **75** | **71,932** | **1.19** | **10,084,897** | **92** | **n/a** | **17,511** | **24** | **757** | **810** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,269 | 1,746 | 76 | 4,589 | 0.11 | 80,362 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 66 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 42,475 | 75 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,110 | 774 | 59 | 4,569 | 1.20 | 124,471 | 76 | n/a | 3,864 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 61 | n/a | 2,311 | 96 | 73 | |
| 10.00 to 100.00 | 537 | 301 | 61 | 722 | 51.26 | 269,442 | 26 | n/a | 518 | 72 | 86 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 74 | n/a | 10 | 16 | 57 | |
| **Total** | **12,157** | **3,866** | **66** | **14,713** | **4.29** | **739,933** | **70** | **n/a** | **8,241** | **56** | **273** | **140** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

For footnotes, see page 20.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PROBABILITY OF DEFAULT (PD) RANGE (continued) $^{(1)}$
$ millions

| PD scale | Q4/18 | | | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| | Original on-balance sheet exposure | Off-balance sheet gross exposures pre CCF | Average CCF % | EAD post CRM and post-CCF | Average PD % | Number of obligors $^{(2)(6)}$ | Average LGD % | Average maturity $^{(3)}$ | RWA $^{(4)}$ | RWA density % | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 76,945 | n/a | - | 76,945 | 0.01 | 405,472 | 5 | n/a | 939 | 1 | 1 | |
| 0.15 to <0.25 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.25 to <0.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.50 to <0.75 | - | - | - | - | - | - | - | - | - | - | - | |
| 0.75 to <2.50 | - | - | - | - | - | - | - | - | - | - | - | |
| 2.50 to <10.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 10.00 to <100.00 | - | - | - | - | - | - | - | - | - | - | - | |
| 100.00 (Default) | - | - | - | - | - | - | - | - | - | - | - | |
| **Total** | **76,945** | **n/a** | **-** | **76,945** | **0.01** | **405,472** | **5** | **n/a** | **939** | **1** | **1** | |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 96,456 | 47,146 | 31 | 111,246 | 0.07 | 585,979 | 22 | n/a | 4,432 | 4 | 16 | |
| 0.15 to <0.25 | 7,464 | - | - | 7,464 | 0.19 | 59,389 | 25 | n/a | 750 | 10 | 3 | |
| 0.25 to <0.50 | 21,259 | 5,185 | 83 | 25,556 | 0.32 | 148,513 | 23 | n/a | 3,519 | 14 | 19 | |
| 0.50 to <0.75 | 10,661 | 1,008 | 32 | 10,979 | 0.58 | 68,545 | 19 | n/a | 1,917 | 17 | 12 | |
| 0.75 to <2.50 | 7,922 | 428 | 34 | 8,069 | 1.28 | 58,241 | 24 | n/a | 2,996 | 37 | 25 | |
| 2.50 to <10.00 | 2,998 | 22 | 40 | 3,007 | 6.06 | 27,586 | 21 | n/a | 2,350 | 78 | 37 | |
| 10.00 to 100.00 | 510 | 28 | 38 | 521 | 36.37 | 5,449 | 24 | n/a | 734 | 141 | 42 | |
| 100.00 (Default) | 286 | - | - | 286 | 100.00 | 3,876 | 27 | n/a | 338 | 118 | 56 | |
| **Total** | **147,556** | **53,817** | **36** | **167,128** | **0.60** | **957,578** | **22** | **n/a** | **17,036** | **10** | **210** | **98** |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,704 | 44,674 | 78 | 38,486 | 0.05 | 3,875,829 | 95 | n/a | 1,357 | 4 | 20 | |
| 0.15 to <0.25 | 1,193 | 5,736 | 78 | 5,661 | 0.21 | 1,317,215 | 89 | n/a | 580 | 10 | 10 | |
| 0.25 to <0.50 | 2,293 | 5,567 | 71 | 6,247 | 0.36 | 1,091,144 | 90 | n/a | 1,002 | 16 | 20 | |
| 0.50 to <0.75 | 2,852 | 3,707 | 60 | 5,068 | 0.66 | 571,347 | 90 | n/a | 1,328 | 26 | 30 | |
| 0.75 to <2.50 | 6,485 | 6,948 | 71 | 11,430 | 1.45 | 1,967,168 | 91 | n/a | 5,507 | 48 | 151 | |
| 2.50 to <10.00 | 4,903 | 2,101 | 71 | 6,401 | 4.35 | 986,086 | 89 | n/a | 6,027 | 101 | 229 | |
| 10.00 to <100.00 | 994 | 528 | 70 | 1,245 | 30.28 | 269,769 | 89 | n/a | 2,346 | 224 | 281 | |
| 100.00 (Default) | 44 | - | - | 44 | 100.00 | 15,487 | 85 | n/a | 76 | 170 | 35 | |
| **Total** | **22,468** | **69,261** | **75** | **74,582** | **1.27** | **10,027,613** | **92** | **n/a** | **19,155** | **26** | **841** | **806** |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,324 | 1,746 | 76 | 4,589 | 0.11 | 74,650 | 45 | n/a | 489 | 11 | 2 | |
| 0.15 to <0.25 | 60 | 11 | 9 | 67 | 0.22 | 17,097 | 84 | n/a | 26 | 39 | |
| 0.25 to <0.50 | 772 | 550 | 58 | 1,089 | 0.30 | 42,475 | 75 | n/a | 448 | 41 | 2 | |
| 0.50 to <0.75 | 950 | 274 | 53 | 1,087 | 0.61 | 29,197 | 72 | n/a | 666 | 61 | 5 | |
| 0.75 to <2.50 | 4,110 | 774 | 59 | 4,569 | 1.20 | 124,471 | 71 | n/a | 3,810 | 83 | 42 | |
| 2.50 to <10.00 | 2,307 | 163 | 67 | 2,417 | 4.32 | 148,199 | 79 | n/a | 2,275 | 94 | 73 | |
| 10.00 to 100.00 | 567 | 291 | 61 | 743 | 52.40 | 269,442 | 76 | n/a | 526 | 71 | 88 | |
| 100.00 (Default) | 61 | - | - | 61 | 100.00 | 11,947 | 78 | n/a | 12 | 17 | 63 | |
| **Total** | **12,157** | **3,866** | **66** | **14,713** | **4.29** | **739,933** | **70** | **n/a** | **8,241** | **56** | **273** | **140** |
| **Total (all portfolios)** | **409,804** | **293,927** | **70** | **615,342** | **0.41** | **12,179,857** | **17** | **n/a** | **120,234** | **20** | **1,801** | **1,238** |

For footnotes, see page 20.

# CR10: IRB (SPECIALIZED LENDING AND EQUITIES UNDER THE SIMPLE RISK-WEIGHT METHOD) $^{(1)}$
$ millions

| Regulatory categories | Remaining maturity | Specialized lending Other than high volatility commercial real estate (HVCRE) $^{(2)}$ | | | | Exposure amount | | | Expected losses |
|---|---|---|---|---|---|---|---|---|---|
| | | On-balance sheet amount | Off-balance sheet amount | RW % | PF | CF | IPRE | Total | RWA | | |
| **Q1/19** | | | | | | | | | | | |
| **Strong** | Less than 2.5 years | 50 | - | 70 | - | - | 407 | 407 | 301 | 2 | |
| | Equal to or more than 2.5 years | 404 | 3 | 70 | - | - | - | - | - | - | |
| **Good** | Less than 2.5 years | - | - | - | - | - | - | - | - | - | |
| | Equal to or more than 2.5 years | 94 | - | 90 | - | - | 94 | 94 | 90 | 1 | |
| **Satisfactory** | | 32 | - | 90 | - | - | 32 | 32 | 39 | 1 | |
| **Weak** | | 115 | - | 250 | - | - | - | - | - | - | |
| **Default** | | 1 | - | - | - | - | 1 | 1 | 1 | - | |
| **Total** | | **531** | **3** | **534** | **534** | **431** | **5** | |
| $ millions | Regulatory categories | Remaining maturity | Specialized lending Other than high volatility commercial real estate (HVCRE) $^{(2)}$ | | | | Exposure amount | | | Expected losses |
| | | | On-balance sheet amount | Off-balance sheet amount | RW % | PF | CF | IPRE | Total | RWA | |
| **Q4/18** | | | | | | | | | | | |
| **Strong** | Less than 2.5 years | 50 | - | 70 | - | - | - | - | - | - | |
| | Equal to or more than 2.5 years | 495 | 4 | 70 | - | - | 499 | 499 | 371 | 2 | |
| **Good** | Less than 2.5 years | - | - | - | - | - | - | - | - | - | |
| | Equal to or more than 2.5 years | 99 | - | 90 | - | - | 99 | 99 | 94 | 1 | |
| **Satisfactory** | | 25 | - | 115 | - | - | 25 | 25 | 30 | 1 | |
| **Weak** | | 1 | - | 250 | - | - | 1 | 1 | 1 | 2 | |
| **Default** | | 1 | - | - | - | - | 1 | 1 | 1 | - | |
| **Total** | | **621** | **4** | **625** | **625** | **497** | **4** | |

$^{(1)}$ CIBC has no exposures to high-volatility commercial real estate or to equities under the simple risk-weight approach.
$^{(2)}$ Comprises certain commercial loans that are risk-weighted under the supervisory slotting approach.

# CCR1: ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH $^{(1)}$
$ millions

| | Q1/19 | | | | | |
|---|---|---|---|---|---|---|
| | Replacement cost | Potential future exposure | EEPE $^{(2)}$ | Alpha used for computing regulatory EAD | EAD post-CRM | RWA |
| 1 SA-CCR (for derivatives) | 4,220 | 12,924 | 1.4 | 23,930 | 6,893 |
| 2 Internal Model Method (for derivatives and SFTS) | - | - | - | - | - |
| 3 Simple Approach for credit risk mitigation (for SFTS) | - | - | - | - | - |
| 4 Comprehensive Approach for credit risk mitigation (for SFTs) | - | - | - | - | - |
| 5 VaR for SFTS | - | - | - | - | - |
| 6 Total | | | | | 8,725 |

$ millions

| | Q4/18 | | | | | |
|---|---|---|---|---|---|---|
| | Replacement cost | Potential future exposure | EEPE $^{(2)}$ | Alpha used for computing regulatory EAD | EAD post-CRM | RWA |
| 1 Current Exposure Method and Standardized Approach | 8,824 | 13,180 | - | 21,926 | 4,806 |
| 2 Internal Model Method (for derivatives and SFTs) | - | - | - | - | - |
| 3 Simple Approach for credit risk mitigation (for SFTS) | - | - | - | 12,392 | 1,940 |
| 4 Comprehensive Approach for credit risk mitigation (for SFTs) | - | - | - | - | - |
| 5 VaR for SFTS | - | - | - | - | - |
| 6 Total | | | | | 6,746 |

$^{(1)}$ Excludes RWA relating to CVA charges and exposures and RWA arising from transactions cleared through QCCPs.
$^{(2)}$ Effective Expected Positive Exposure.

# CCR2: CVA CAPITAL CHARGE

| | Q1/19 | Q4/18 |
|---|---|---|
| | EAD post-CRM $^{(1)}$ | RWA $^{(1)}$ | EAD post-CRM | RWA $^{(1)}$ |
| Total portfolios subject to the Advanced CVA capital charge | | | | |
| 1 (i) VaR component (including the 3xmultiplier) | 15,439 | 5,790 | 16,026 | 4,236 |
| 2 (ii) Stressed VaR component (including the 3xmultiplier) | | | | |
| 3 All portfolios subject to the Standardized CVA capital charge | 15,439 | 5,790 | 16,026 | 4,236 |
| 4 Total subject to the CVA capital charge | | | | |

$^{(1)}$ Prior to Q1/19, RWAs included application of a scaling factor of 80%. Beginning in Q1/19 RWAs are no longer scaled as the phase-in is no longer applicable.

# CCR3: STANDARDIZED APPROACH - CCR EXPOSURES BY REGULATORY PORTFOLIO AND RISK-WEIGHTS $^{(1)(2)}$
$ millions

| Regulatory portfolio | Q1/19 Risk weight | | | | | | | | Total credit exposure |
|---|---|---|---|---|---|---|---|---|---|
| | 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | |
| Sovereigns | - | - | - | - | - | - | - | - | - |
| Non-central government public sector entities (PSEs) | - | - | - | - | - | - | - | - | - |
| Multilateral development banks (MDBs) | - | - | - | - | - | - | - | - | - |
| Banks | - | 1 | - | 13 | 2 | 366 | 10 | - | 392 |
| Securities firms | - | - | - | - | - | - | - | - | - |
| Corporates | - | - | - | - | - | - | - | - | - |
| Regulatory retail portfolios | - | - | - | - | - | - | - | - | - |
| Other assets | - | - | - | - | - | - | - | - | - |
| Total | - | 1 | 13 | 2 | 366 | 10 | - | 392 |

$ millions

| Regulatory portfolio | Q4/18 Risk weight | | | | | | | | Total credit exposure |
|---|---|---|---|---|---|---|---|---|---|
| | 0% | 10% | 20% | 50% | 75% | 100% | 150% | Others | |
| Sovereigns | - | - | - | - | - | - | - | - | - |
| Non-central government public sector entities (PSEs) | - | - | - | - | - | - | - | - | - |
| Multilateral development banks (MDBs) | - | - | 23 | - | - | - | - | - | 23 |
| Banks | - | - | - | - | - | - | - | - | - |
| Securities firms | - | - | - | - | - | - | - | - | - |
| Corporates | 2 | - | - | - | 282 | - | - | 284 |
| Regulatory retail portfolios | - | - | - | - | - | - | - | - | - |
| Other assets | - | - | - | - | - | - | - | 307 |
| Total | - | 2 | 23 | 282 | 307 |

$^{(1)}$ Prior to Q1/19, counterparty credit risk for our standardized portfolios was calculated under the current exposure method.
$^{(2)}$ Amounts are calculated after taking into account the effect of credit mitigation strategies.

# CCR4: CCR EXPOSURES BY PORTFOLIO AND PD SCALE
$ millions

| PD scale | Q1/19 | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | EAD post-CRM | Average PD % | Number of obligors $^{(1)}$ | Average LGD % | Average maturity $^{(2)}$ | RWA | RWA density % |
| **Corporate** | | | | | | | |
| 0.00 to <0.15 | 8,674 | 0.08 | 941 | 21 | 1.6 | 849 | 10 |
| 0.15 to <0.25 | 3,171 | 0.18 | 666 | 36 | 1.3 | 1,006 | 32 |
| 0.25 to <0.50 | 1,586 | 0.33 | 325 | 35 | 2.7 | 696 | 44 |
| 0.50 to <0.75 | 2,636 | 0.62 | 674 | 29 | 1.4 | 1,233 | 47 |
| 0.75 to <2.50 | 2,111 | 1.82 | 790 | 23 | 0.9 | 1,229 | 58 |
| 2.50 to <10.00 | 1,070 | 6.38 | 526 | 13 | 0.2 | 570 | 53 |
| 10.00 to 100.00 | 36 | 22.52 | 80 | 24 | 0.8 | 50 | 139 |
| 100.00 (Default) | 2 | 100.00 | 2 | 20 | 6 | 300 |
| **Total** | **19,286** | **0.78** | **4,004** | **25** | **1.5** | **5,639** | **29** |
| **Sovereign** | | | | | | | |
| 0.00 to <0.15 | 5,187 | 0.02 | 86 | 7 | 3.3 | 113 | 2 |
| 0.15 to <0.25 | 11 | 0.17 | 3 | 16 | 0.3 | 1 | 9 |
| 0.25 to <0.50 | 1 | 0.33 | 2 | 35 | 7.8 | - | - |
| 0.50 to <0.75 | - | - | - | - | - | - | - |
| 0.75 to <2.50 | 23 | 6.08 | 3 | 27 | - | 19 | 83 |
| 2.50 to <10.00 | - | - | - | - | - | - | - |
| 10.00 to <100.00 | - | - | - | - | - | - | - |
| 100.00 (Default) | 5,222 | 0.05 | 94 | 8 | 3.3 | 133 | 3 |
| **Banks** | | | | | | | |
| 0.00 to <0.15 | 10,435 | 0.08 | 161 | 40 | 1.5 | 1,903 | 18 |
| 0.15 to <0.25 | 1,281 | 0.19 | 54 | 40 | 1.4 | 469 | 37 |
| 0.25 to <0.50 | 180 | 0.33 | 20 | 41 | 1.3 | 88 | 49 |
| 0.50 to <0.75 | 116 | 0.65 | 27 | 43 | 0.6 | 74 | 64 |
| 0.75 to <2.50 | 34 | 1.57 | 21 | 41 | 0.8 | 31 | 91 |
| 2.50 to <10.00 | 2 | 9.48 | 7 | 54 | 0.1 | 3 | 150 |
| 10.00 to <100.00 | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,048 | 0.11 | 291 | 40 | 1.5 | 2,568 | 21 |
| **Total (all portfolios)** | **36,556** | **0.46** | **4,389** | **28** | **1.7** | **8,340** | **23** |

$^{(1)}$ Where a guarantee from a third-party exists, the credit rating of both the obligor and the guarantor will be assessed. In situations where an obligor has multiple outstanding exposures, those exposures without a guarantee reflect the PD of the obligor whereas guaranteed exposures will reflect the PD of the third-party. In such situations, the obligor will appear twice in both PD bands.
$^{(2)}$ Denoted in years.

# CCR4: CCR EXPOSURES BY PORTFOLIO AND PD SCALE
$ millions

| PD scale | Q4/18 | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | EAD post-CRM | Average PD % | Number of obligors $^{(1)}$ | Average LGD % | Average maturity $^{(2)}$ | RWA | RWA density % |
| **Corporate** | | | | | | | |
| 0.00 to <0.15 | 9,282 | 0.07 | 1,029 | 20 | 1.3 | 798 | 9 |
| 0.15 to <0.25 | 2,171 | 0.18 | 680 | 33 | 1.5 | 592 | 27 |
| 0.25 to <0.50 | 1,254 | 0.33 | 325 | 31 | 4.2 | 448 | 36 |
| 0.50 to <0.75 | 1,861 | 0.62 | 699 | 33 | 0.9 | 943 | 51 |
| 0.75 to <2.50 | 1,688 | 2.00 | 830 | 22 | 0.6 | 953 | 56 |
| 2.50 to <10.00 | 306 | 7.30 | 485 | 27 | 0.4 | 329 | 108 |
| 10.00 to 100.00 | 57 | 29.41 | 72 | 19 | 0.4 | 62 | 109 |
| 100.00 (Default) | 3 | 100.00 | 1 | 15 | 0.8 | 5 | 167 |
| **Total** | **16,622** | **0.61** | **4,121** | **24** | **1.4** | **4,130** | **25** |
| **Sovereign** | | | | | | | |
| 0.00 to <0.15 | 4,622 | 0.02 | 85 | 6 | 3.7 | 82 | 2 |
| 0.15 to <0.25 | 11 | 0.16 | 4 | 16 | 1 | 9 |
| 0.25 to <0.50 | - | - | - | - | - | - | - |
| 0.50 to <0.75 | - | - | - | - | - | - | - |
| 0.75 to <2.50 | 8 | 6.08 | 4 | 26 | - | 7 | 88 |
| 2.50 to <10.00 | - | - | - | - | - | - | - |
| 10.00 to <100.00 | - | - | - | - | - | - | - |
| 100.00 (Default) | 4,641 | 0.03 | 93 | 6 | 3.4 | 90 | 2 |
| **Banks** | | | | | | | |
| 0.00 to <0.15 | 10,797 | 0.08 | 163 | 34 | 1.6 | 1,601 | 15 |
| 0.15 to <0.25 | 1,291 | 0.18 | 55 | 31 | 2.1 | 379 | 29 |
| 0.25 to <0.50 | 421 | 0.33 | 23 | 28 | 1.1 | 144 | 34 |
| 0.50 to <0.75 | 132 | 0.70 | 25 | 32 | 2.6 | 59 | 45 |
| 0.75 to <2.50 | 105 | 1.77 | 24 | 23 | 1.1 | 55 | 52 |
| 2.50 to <10.00 | 2 | 9.31 | 6 | 12 | 1 | 50 |
| 10.00 to <100.00 | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,748 | 0.12 | 296 | 33 | 1.6 | 2,239 | 18 |
| **Total (all portfolios)** | **34,011** | **0.35** | **4,510** | **25** | **1.8** | **6,459** | **19** |

For footnotes, see page 26.

# CCR5: COMPOSITION OF COLLATERAL FOR CCR EXPOSURE $^{(1)}$
$ millions

| | Q1/19 | | | | | |
|---|---|---|---|---|---|---|
| | **Collateral used in derivative transactions** | | **Collateral used in SFTs** | |
| | Fair value of collateral received | Fair value of posted collateral | Fair value of collateral received | Fair value of posted collateral |
| | Segregated | Unsegregated | Segregated | Unsegregated |
| Cash - domestic currency | 1,365 | 806 | 17,553 | 28,648 |
| Cash - other currencies | 1,992 | 4,069 | 27,548 | 28,206 |
| Domestic sovereign debt | 338 | 1,322 | 41,596 | 37,405 |
| Other sovereign debt | 278 | 2,410 | 1,997 | 31,232 | 33,562 |
| Corporate bonds | 5 | - | 2,050 | 555 |
| Equity securities | 1,386 | - | 15,374 | 28,392 |
| Other collateral | 2 | 453 | 131 |
| Total | 5,366 | 2,410 | 8,647 | 135,484 | 156,768 |

$ millions

| | Q4/18 | | | | | |
|---|---|---|---|---|---|---|
| | **Collateral used in derivative transactions** | | **Collateral used in SFTs** | |
| | Fair value of collateral received | Fair value of posted collateral | Fair value of collateral received | Fair value of posted collateral |
| | Segregated | Unsegregated | Segregated | Unsegregated |
| Cash - domestic currency | 1,566 | 741 | 12,519 | 26,137 |
| Cash - other currencies | 2,474 | 4,385 | 21,013 | 22,805 |
| Domestic sovereign debt | 808 | 1,059 | 39,913 | 32,329 |
| Other sovereign debt | 387 | 1,173 | 4,253 | 25,701 | 25,526 |
| Corporate bonds | 7 | - | 2,139 | 494 |
| Equity securities | 1,943 | 388 | 17,270 | 30,303 |
| Other collateral | 388 | - | 216 | 40 |
| Total | 7,573 | 1,173 | 10,654 | 118,595 | 137,594 |

$^{(1)}$ Includes collateral amounts that do not reduce regulatory exposures. Amounts reflect the fair value of collateral posted and received and are reported after considering any applicable haircut. Application of a haircut has the effect of reducing the fair value of collateral received and increasing the fair value of collateral posted.

# CCR6: CREDIT DERIVATIVES EXPOSURES

| | Q1/19 | Q4/18 |
|---|---|---|
| | Protection bought | Protection sold | Protection bought | Protection sold |
| **Notionals** | | | | |
| Single-name credit default swaps | 545 | 567 | 13 |
| Index credit default swaps | 315 | 171 | 197 |
| Total return swaps | - | - | - | - |
| Credit options | - | - | - | - |
| Other credit derivatives | 384 | 59 | 596 | 260 |
| Total notionals | 1,244 | 230 | 1,360 | 470 |
| **Fair values** | | | | |
| Positive fair value (asset) | 112 | 115 | 3 |
| Negative fair value (liability) $^{(1)}$ | 11 | 128 | 13 | 131 |

$^{(1)}$ Prior period amounts have been restated.

# CCR8: EXPOSURES TO CENTRAL COUNTERPARTIES
$ millions

| | Q1/19 | Q4/18 |
|---|---|---|
| | EAD (post-CRM) | RWA | EAD (post-CRM) | RWA |
| 1 Exposures to QCCPs (total) | 387 | 602 |
| 2 Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | 4,350 | 123 | 10,046 | 270 |
| 3 (i) OTC derivatives | 517 | 11 | 3,509 | 74 |
| 4 (ii) Exchange-traded derivatives | 3,173 | 99 | 5,797 | 181 |
| 5 (iii) Securities financing transactions | 660 | 13 | 740 | 15 |
| 6 (iv) Netting sets where cross-product netting has been approved | | | | |
| 7 Segregated initial margin | 2,410 | 1,173 |
| 8 Non-segregated initial margin | 1,432 | 3,257 | 100 |
| 9 Pre-funded default fund contributions | 431 | 264 | 369 | 232 |
| 10 Unfunded default fund contributions | 480 | 689 |
| 11 Exposures to Non-QCCPs (total) | - | - | - | - |
| 12 Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which | - | - | - | - |
| 13 (i) OTC derivatives | - | - | - | - |
| 14 (ii) Exchange-traded derivatives | - | - | - | - |
| 15 (iii) Securities financing transactions | - | - | - | - |
| 16 (iv) Netting sets where cross-product netting has been approved | - | - | - | - |
| 17 Segregated initial margin | - | - | - | - |
| 18 Non-segregated initial margin | - | - | - | - |
| 19 Pre-funded default fund contributions | - | - | - | - |
| 20 Unfunded default fund contributions | - | - | - | - |

# SEC1: SECURITIZATION EXPOSURES IN THE BANKING BOOK
$ millions

| | Q1/19 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | **Bank acts as originator $^{(1)}$** | | | **Bank acts as sponsor $^{(2)}$** | | | **Bank acts as investor** | | |
| | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total |
| 1 Retail (total) - of which | 507 | - | 507 | 6,895 | 6,895 | 2,577 | 2,577 |
| 2 residential mortgage | - | - | - | 2,336 | 2,336 | 142 | 142 |
| 3 credit card | 507 | - | 507 | 805 | 805 | 574 | 574 |
| 4 other retail exposures | - | - | - | 3,754 | 3,754 | 1,861 | 1,861 |
| 5 resecuritization | - | - | - | - | - | - | - |
| 6 Wholesale (total) - of which | - | - | - | 2,664 | 2,664 | 2,127 | 28 | 2,155 |
| 7 loans to corporates | - | - | - | - | - | - | - | - |
| 8 commercial mortgage | - | - | - | 1,928 | 1,928 | 2,123 | 2,123 |
| 9 lease and receivables | - | - | - | 736 | 736 | 4 | 28 | 32 |
| 10 other wholesale | - | - | - | - | - | - | - |
| 11 resecuritization | - | - | - | - | - | - | - |

$ millions

| | Q4/18 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | **Bank acts as originator $^{(1)}$** | | | **Bank acts as sponsor $^{(2)}$** | | | **Bank acts as investor** | | |
| | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total |
| 1 Retail (total) - of which | 318 | - | 318 | 6,327 | 6,327 | 2,454 | 2,454 |
| 2 residential mortgage | - | - | - | 2,098 | 2,098 | 142 | 142 |
| 3 credit card | 318 | - | 318 | 749 | 749 | 461 | 461 |
| 4 other retail exposures | - | - | - | 3,480 | 3,480 | 1,851 | 1,851 |
| 5 resecuritization | - | - | - | - | - | - | - |
| 6 Wholesale (total) - of which | - | - | - | 3,058 | 3,058 | 1,796 | 26 | 1,822 |
| 7 loans to corporates | - | - | - | - | - | - | - | - |
| 8 commercial mortgage | - | - | - | 2,309 | 2,309 | 1,790 | 1,790 |
| 9 lease and receivables | - | - | - | 749 | 749 | 6 | 26 | 32 |
| 10 other wholesale | - | - | - | - | - | - | - |
| 11 resecuritization | - | - | - | - | - | - | - |

$^{(1)}$ Prior to Q1/19, exposures associated with our credit card securitization trust, CARDS II Trust, were risk-weighted under the credit risk framework.
$^{(2)}$ Includes exposures relating to CIBC-sponsored multi-seller conduits.

# SEC2: SECURITIZATION EXPOSURES IN THE TRADING BOOK $^{(1)}$
$ millions

| | Q1/19 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | **Bank acts as originator $^{(2)}$** | | | **Bank acts as sponsor $^{(3)}$** | | | **Bank acts as investor** | | |
| | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total |
| 1 Retail (total) - of which | - | 9 | 9 | - | - | 294 | 294 |
| 2 residential mortgage | - | - | - | 4 | 4 | - | 165 | 165 |
| 3 credit card | - | - | - | 1 | 1 | 52 | 52 |
| 4 other retail exposures | - | 4 | 4 | - | - | 77 | 77 |
| 5 resecuritization | - | - | - | - | - | - | - |
| 6 Wholesale (total) - of which | - | - | - | 4 | 4 | 2 | - | 2 |
| 7 loans to corporates | - | - | - | - | - | - | - | - |
| 8 commercial mortgage | - | - | - | 3 | 3 | 1 | - | 1 |
| 9 lease and receivables | - | - | - | 1 | 1 | - | - |
| 10 other wholesale | - | - | - | - | - | - | - |
| 11 resecuritization | - | - | - | - | - | - | - |

$ millions

| | Q4/18 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | **Bank acts as originator $^{(2)}$** | | | **Bank acts as sponsor $^{(3)}$** | | | **Bank acts as investor** | | |
| | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total |
| 1 Retail (total) - of which | - | 2 | 2 | - | - | 7 | 7 | 238 | 238 |
| 2 residential mortgage | - | - | - | 2 | 2 | - | 124 | 124 |
| 3 credit card | 2 | - | 2 | 1 | 1 | - | 85 | 85 |
| 4 other retail exposures | - | 2 | 2 | - | - | 4 | 4 |
| 5 resecuritization | - | - | - | - | - | - | 29 | 29 |
| 6 Wholesale (total) - of which | - | - | - | 3 | 3 | 2 | - | 2 |
| 7 loans to corporates | - | - | - | - | - | - | 1 | - | 1 |
| 8 commercial mortgage | - | - | - | 2 | 2 | 1 | - | 1 |
| 9 lease and receivables | - | - | - | 1 | 1 | - | - |
| 10 other wholesale | - | - | - | - | - | - | - |
| 11 resecuritization | - | - | - | - | - | - | - |

$^{(1)}$ Exposures included in this table are risk-weighted under the market risk framework.
$^{(2)}$ Includes direct investments in CARDS II Trust.
$^{(3)}$ Includes direct investments in CIBC-sponsored multi-seller conduits.

# SEC3: SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS - BANK ACTING AS ORIGINATOR OR AS SPONSOR $^{(1)}$
$ millions

| | Exposure values (by RW bands) | | | | | Exposure values (by regulatory approach) | | | RWA (by regulatory approach) $^{(2)}$ | | | Capital charge after cap |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | <20% RW | to 50% RW | >50% to 100% RW | >100% to 1250% RW | 1250% RW | IRBA | ERBA (including IAA) | SA 1250% | IRBA | ERBA (including IAA) | SA 1250% | IRBA | ERBA (including IAA) | SA 1250% |
| **Q1/19** | | | | | | | | | | | | | | |
| 1 Total exposures | 9,748 | 318 | 624 | 9,442 | - | 86 | 1,381 | 7 | 86 | 1,381 | 7 | - | - | - |
| 2 Traditional securitization | 9,748 | 318 | 624 | 9,442 | - | 86 | 1,381 | 7 | 86 | 1,381 | 7 | - | - | - |
| 3 Of which securitization | 9,748 | 318 | 624 | 9,442 | - | 86 | 1,381 | 7 | 86 | 1,381 | 7 | - | - | - |
| 4 Of which retail underlying | 7,084 | 318 | - | 7,402 | - | 86 | 1,177 | - | - | 1,177 | - | - | - |
| 5 Of which wholesale | 2,664 | - | 624 | 2,040 | - | - | 204 | - | - | 204 | - | - | - |
| 6 Of which resecuritization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 7 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 8 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 9 Synthetic securitization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 10 Of which securitization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 11 Of which retail underlying | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 12 Of which wholesale | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 13 Of which resecuritization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 14 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 15 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |

$ millions

| | Exposure values (by RW bands) | | | | | Exposure values (by regulatory approach) | | | RWA (by regulatory approach) $^{(2)}$ | | | Capital charge after cap |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | <20% RW | to 50% RW | >50% to 100% RW | >100% to 1250% RW | 1250% RW | IRBA | ERBA (including IAA) | SA 1250% | IRBA | ERBA (including IAA) | SA 1250% | IRBA | ERBA (including IAA) | SA 1250% |
| **Q4/18** | | | | | | | | | | | | | | |
| 1 Total exposures | 9,385 | 3,385 | 625 | 8,759 | - | 650 | 68 | 54 | 5 | 650 | 68 | 54 | - | - | - |
| 2 Traditional securitization | 9,385 | 3,385 | 625 | 8,759 | - | 650 | 68 | 54 | 5 | 650 | 68 | 54 | - | - | - |
| 3 Of which securitization | 9,385 | 3,385 | 625 | 8,759 | - | 650 | 68 | 54 | 5 | 650 | 68 | 54 | - | - | - |
| 4 Of which retail underlying | 6,327 | - | - | 6,326 | - | 470 | - | - | - | 470 | - | - | - | - |
| 5 Of which wholesale | 3,058 | - | 625 | 2,433 | - | 180 | 68 | - | - | 180 | - | - | - | - |
| 6 Of which resecuritization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 7 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 8 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 9 Synthetic securitization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 10 Of which securitization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 11 Of which retail underlying | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 12 Of which wholesale | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 13 Of which resecuritization | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 14 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 15 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |

$^{(1)}$ Prior to Q1/19, exposures associated with our credit card securitization trust, CARDS II Trust, were risk-weighted under the credit risk framework.
$^{(2)}$ Excludes the impact of the one-year phase in of the initial impact of the adoption of the securitization framework.

# SEC4: SECURITIZATION EXPOSURES IN THE BANKING BOOK AND ASSOCIATED REGULATORY CAPITAL REQUIREMENTS - BANK ACTING AS INVESTOR
$ millions

| | Exposure values (by RW bands) | | | | | Exposure values (by regulatory approach) | | | RWA (by regulatory approach) $^{(1)}$ | | | Capital charge after cap |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | <20% RW | to 50% RW | >50% to 100% RW | >100% to 1250% RW | 1250% RW | IRB RBA (including IAA) | SA/ SSFA | 1250% | IRB RBA (including IAA) | SA/ SSFA | 1250% | IRB RBA (including IAA) | SA/ SSFA | 1250% |
| **Q1/19** | | | | | | | | | | | | | | |
| 1 Total exposures | 4,187 | 517 | 28 | 1,601 | 3,103 | 166 | 471 | 132 | 166 | 471 | 132 | 14 | 37 | - |
| 2 Traditional securitization | 4,187 | 517 | 28 | 1,601 | 3,103 | 166 | 471 | 132 | 166 | 471 | 132 | 14 | 37 | - |
| 3 Of which securitization | 4,183 | 517 | - | 1,601 | 3,099 | - | - | - | - | - | - | - | - | - |
| 4 Of which retail underlying | 2,060 | 517 | - | 1,193 | 1,384 | - | 119 | 281 | 10 | 22 | - | - | - |
| 5 Of which wholesale | 2,123 | - | 28 | 408 | 1,715 | - | 47 | 190 | 4 | 15 | - | - | - |
| 6 Of which resecuritization | 4 | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 7 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 8 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 9 Synthetic securitization | - | - | 28 | - | 28 | - | - | 132 | - | - | 132 | - | - | - |
| 10 Of which securitization | - | - | 28 | - | 28 | - | - | 132 | - | - | 132 | - | - | - |
| 11 Of which retail underlying | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 12 Of which wholesale | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 13 Of which resecuritization | - | - | 28 | - | 28 | - | - | 132 | - | - | 132 | - | - | - |
| 14 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 15 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |

$ millions

| | Exposure values (by RW bands) | | | | | Exposure values (by regulatory approach) | | | RWA (by regulatory approach) $^{(1)}$ | | | Capital charge after cap |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| | <20% RW | to 50% RW | >50% to 100% RW | >100% to 1250% RW | 1250% RW | IRB RBA (including IAA) | SA/ SSFA | 1250% | IRB RBA (including IAA) | SA/ SSFA | 1250% | IRB RBA (including IAA) | SA/ SSFA | 1250% |
| **Q4/18** | | | | | | | | | | | | | | |
| 1 Total exposures | 4,250 | 26 | - | 1,376 | 415 | 220 | 175 | 17 | 9 | 220 | 175 | 17 | 13 | - |
| 2 Traditional securitization | 4,250 | 26 | - | 1,376 | 415 | 220 | 175 | 17 | 9 | 220 | 175 | 17 | 13 | - |
| 3 Of which securitization | 4,244 | 26 | - | 1,375 | 410 | - | - | - | - | - | - | - | - | - |
| 4 Of which retail underlying | 2,454 | - | - | 1,259 | 1,195 | - | 118 | 89 | - | 9 | 7 | - | - |
| 5 Of which wholesale | 1,790 | - | 26 | 102 | 31 | 8 | 2 | - | - | 8 | 2 | - | - |
| 6 Of which resecuritization | 6 | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 7 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 8 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 9 Synthetic securitization | - | 26 | - | 26 | - | 55 | 4 | - | - | 55 | 4 | - | - |
| 10 Of which securitization | - | 26 | - | 26 | - | - | - | - | - | - | - | - | - | - |
| 11 Of which retail underlying | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 12 Of which wholesale | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 13 Of which resecuritization | - | 26 | - | 26 | - | - | - | - | - | - | - | - | - | - |
| 14 Of which senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| 15 Of which non-senior | - | - | - | - | - | - | - | - | - | - | - | - | - | - |

$^{(1)}$ Excludes the impact of the one-year phase in of the initial impact of the adoption of the securitization framework.

# CREDIT EXPOSURE - MATURITY PROFILE $^{(1)}$
($ millions)

| | Q1/19 | Q4/18 | Q3/18 | Q2/18 | Q1/18 |
|---|---|---|---|---|---|
| **Business and government portfolios** | | | | | |
| **Corporate** | | | | | |
| Less than 1 year $^{(2)}$ | 63,818 | 64,031 | 63,506 | 64,337 | 61,810 |
| 1 - 3 years | 53,414 | 53,240 | 53,430 | 52,742 | 52,309 |
| 3 - 5 years | 45,181 | 41,327 | 39,054 | 37,994 | 34,340 |
| Over 5 years | 2,214 | 1,599 | 1,793 | 1,723 | 1,714 |
| **Sovereign** | 164,627 | 160,197 | 157,783 | 156,796 | 150,173 |
| Less than 1 year $^{(2)}$ | 11,804 | 14,672 | 17,429 | 14,694 | 15,110 |
| 1 - 3 years | 21,009 | 17,739 | 20,028 | 21,222 | 20,506 |
| 3 - 5 years | 31,012 | 29,981 | 26,314 | 24,368 | 21,070 |
| Over 5 years | 1,143 | 1,283 | 1,160 | 1,349 | 1,087 |
| **Banks** | 64,968 | 63,675 | 64,931 | 61,633 | 57,773 |
| Less than 1 year $^{(2)}$ | 78,456 | 75,868 | 77,489 | 77,543 | 74,797 |
| 1 - 3 years | 12,887 | 13,518 | 13,637 | 12,688 | 10,992 |
| 3 - 5 years | 2,588 | 2,800 | 2,337 | 2,534 | 2,229 |
| Over 5 years | 642 | 552 | 699 | 905 | 574 |
| **Total business and government portfolios** | **94,573** | **92,738** | **94,162** | **93,670** | **88,592** |
| **Total business and government portfolios** | **324,168** | **316,610** | **316,876** | **312,099** | **296,538** |
| **Retail portfolios** | | | | | |
| **Real estate and secured personal lending** | | | | | |
| Less than 1 year $^{(2)}$ | 82,810 | 82,713 | 82,326 | 83,307 | 80,217 |
| 1 - 3 years | 103,063 | 103,552 | 102,426 | 100,985 | 101,537 |
| 3 - 5 years | 53,464 | 55,006 | 57,981 | 59,151 | 60,735 |
| Over 5 years | 3,232 | 2,802 | 2,336 | 1,650 | 1,066 |
| **Qualifying revolving retail** | 242,569 | 244,073 | 245,069 | 245,093 | 243,555 |
| Less than 1 year $^{(2)}$ | 71,933 | 74,582 | 73,372 | 72,368 | 72,041 |
| **Other retail** | 71,933 | 74,582 | 73,372 | 72,368 | 72,041 |
| Less than 1 year $^{(2)}$ | 12,100 | 12,403 | 12,416 | 12,363 | 12,116 |
| 1 - 3 years | 236 | 212 | 186 | 183 | 209 |
| 3 - 5 years | 836 | 703 | 552 | 448 | 354 |
| Over 5 years | 1,496 | 1,395 | 1,190 | 1,043 | 834 |
| **Total retail portfolios** | **14,668** | **14,713** | **14,344** | **14,037** | **13,513** |
| **Total credit exposure** | **329,170** | **333,368** | **332,785** | **331,498** | **329,109** |
| | **653,338** | **649,978** | **649,661** | **643,597** | **625,647** |

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

# CREDIT RISK ASSOCIATED WITH DERIVATIVES $^{(1)}$
($ millions)

| | Q1/19 | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | **Current replacement cost** | | **Credit equivalent amount** | | **Risk-weighted amount** |
| | Trading | ALM | Total | | | | | | | | |
| **Interest rate derivatives** | | | | | | | | | | | |
| Over-the-counter | 19 | 1 | 20 | 75 | 1,543 | 539 | 544 | 542 | 563 |
| Forward rate agreements | 1,558 | 137 | 1,695 | 5,877 | 45 | 2 | 1 | 1 | 2 |
| Swap contracts | 5 | - | 5 | 9 | 1,543 | 539 | 544 | 542 | 563 |
| Purchased options | 1,582 | 138 | 1,720 | 6,013 | 1,597 | 549 | 557 | 555 | 580 |
| Exchange-traded | 158 | - | 158 | 110 | 2 | 5 | 3 | 3 | 1 |
| Total interest rate derivatives | 1,582 | 138 | 1,720 | 6,123 | 1,599 | 554 | 560 | 558 | 581 |
| **Foreign exchange derivatives** | | | | | | | | | | | |
| Over-the-counter | 740 | 4 | 744 | 5,304 | 1,450 | 1,017 | 892 | 976 | 1,061 |
| Forward contracts | 764 | 11 | 775 | 4,234 | 893 | 886 | 928 | 861 | 834 |
| Swap contracts | 91 | 91 | 778 | 235 | 83 | 68 | 68 | 84 |
| Purchased options | 1,595 | 15 | 1,610 | 10,316 | 2,578 | 1,986 | 1,888 | 1,905 | 1,979 |
| **Credit derivatives** | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | |
| Credit default swap contracts - protection purchased | - | - | - | 11 | - | 9 | 10 | 7 | 8 |
| Credit default swap contracts - protection sold | - | - | - | 12 | - | 9 | 10 | 7 | 8 |
| **Equity derivatives** | | | | | | | | | | | |
| Over-the-counter | 150 | 58 | 208 | 3,762 | 954 | 535 | 421 | 504 | 498 |
| Exchange-traded | 493 | - | 493 | 2,088 | 57 | 116 | 119 | 110 | 101 |
| | 643 | 58 | 701 | 5,850 | 1,011 | 651 | 540 | 614 | 599 |
| **Precious metal derivatives** | | | | | | | | | | | |
| Over-the-counter | 43 | - | 43 | 339 | 103 | 23 | 19 | 21 | 22 |
| Exchange-traded | 8 | - | 8 | 2 | 1 | 1 | 1 | 1 | 1 |
| | 43 | - | 43 | 347 | 105 | 24 | 20 | 22 | 23 |
| **Other commodity derivatives** | | | | | | | | | | | |
| Over-the-counter | 551 | 108 | 659 | 4,005 | 1,304 | 1,523 | 1,306 | 1,388 | 1,155 |
| Exchange-traded | 20 | - | 20 | 967 | 37 | 59 | 58 | 50 | 50 |
| | 571 | 108 | 679 | 4,972 | 1,341 | 1,582 | 1,364 | 1,438 | 1,205 |
| **Non-trade exposure related to central counterparties** | | | | | | | | | | | |
| CET1 CVA capital charge | | | | 5,790 | 224 | 208 | 210 | 167 |
| **Total derivatives** | **4,434** | **319** | **4,753** | **27,620** | **12,702** | **9,266** | **8,546** | **9,100** | **8,360** |

$^{(1)}$ In Q1/19, we adopted SA-CCR for the determination of capital requirements relating to counterparty credit risk, which impacted the calculation of replacement cost, credit equivalent amount and risk-weighted assets. Beginning in Q1/19, replacement cost includes the impact of certain collateral amounts that were previously excluded from this calculation. Also beginning in Q1/19, credit equivalent amount is calculated as the sum of replacement cost and potential future exposure, multiplied by an alpha of 1.4, and is reduced by CVA losses.

# AIRB CREDIT RISK EXPOSURE - LOSS EXPERIENCE
| | **Q1/19** | | **Q4/18** | | **Q3