# CIBC Pillar 3 Report and Supplementary Regulatory Capital Disclosure - April 30, 2025

For further information, please contact:
Geoff Weiss, Senior Vice-President, Investor Relations and Performance Measurement (416) 980-5093
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 Q2/25, and our 2024 Annual Report (including audited consolidated financial statements and accompanying management's discussion and analysis), which is available on SEDAR+ at www.sedarplus.com. Additional financial information is also available through our quarterly investor presentations as well as the quarterly conference call webcast. CIBC prepares its consolidated financial statements in accordance with International Financial Reporting Standards (IFRS or GAAP). For Basel-related terms used in this package, refer to the Glossary.

The composition of the measures in this document and the disclosures, including the format of the templates herein, are calculated and disclosed pursuant to guidelines issued by the Office of the Superintendent of Financial Institutions (OSFI), including the Capital Adequacy Requirements (CAR) Guideline, Total Loss Absorbing Capacity (TLAC) Guideline, the Leverage Requirements Guideline and the Pillar 3 Disclosure Requirements Guideline.

All amounts in this document are in millions of Canadian dollars, unless otherwise stated.

# PILLAR 3 REPORT

| Pillar 3 report index | Page |
|---|---|
| KM1: Key metrics (at consolidated group level) | 3 |
| KM2: Key metrics - TLAC requirements (at resolution group level) | 4 |
| OV1: Overview of risk-weighted assets (RWA) | 5 |
| CMS1: Comparison of modelled and standardized RWA at risk level | 6 |
| CMS2: Comparison of modelled and standardized RWA for credit risk at asset class level | 8 |
| Changes in RWA | 11 |
| LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | 12 |
| LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements | 13 |
| PV1: Prudent valuation adjustments (PVAs) | 14 |
| CC1: Composition of regulatory capital | 16 |
| CC2: Reconciliation of regulatory capital to balance sheet | 18 |
| Changes in regulatory capital | 20 |
| TLAC1: TLAC composition (at resolution group level) | 21 |
| TLAC3: Resolution entity - Creditor ranking at legal entity level | 22 |
| CCyB1: Geographical distribution of credit exposures used in the calculation of the bank-specific countercyclical capital buffer requirement | 24 |
| LR1: Summary comparison of accounting assets vs. leverage ratio exposure measure | 26 |
| LR2: Leverage ratio common disclosure template | 26 |
| CR1: Credit quality of assets | 27 |
| CR2: Changes in stock of defaulted loans and debt securities | 29 |
| CR3: Credit risk mitigation (CRM) techniques – overview | 30 |
| CR4: Standardized approach (SA) – Credit risk exposure and CRM effects | 31 |
| CR5: SA - exposures by asset classes and risk-weights | 34 |
| CR6: IRB (unrated exposures by portfolio and PD range) | 39 |
| CR10: IRB (specialized lending and equities under the simple risk-weight method) | 54 |
| CCR1: Analysis of counterparty credit risk exposure by approach | 56 |
| CCR3: SA - counterparty credit risk exposures by regulatory portfolio and risk-weights | 58 |
| CCR4: IRB - counterparty credit risk exposures by portfolio and PD scale | 60 |
| CCR5: Composition of collateral for counterparty credit risk exposure | 70 |
| CCR6: Credit derivatives exposures | 72 |
| CCR8: Exposures to central counterparties | 73 |
| SEC1: Securitization exposures in the banking book | 74 |
| SEC2: Securitization exposures in the trading book | 76 |
| SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | 78 |
| SEC4: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as investor | 81 |

# TABLE OF CONTENTS (continued)

| PILLAR 3 REPORT | Page references |
|---|---|
| MR1: Market risk under the standardized approach | 84 |
| CVA1: The reduced basic approach for CVA (BA-CVA) | 85 |
| CVA2: The full basic approach for CVA (BA-CVA) | 85 |
| CVA3: The standardised approach for CVA (SA-CVA) | 85 |
| CVA4: RWA flow statements of CVA risk exposures under SA-CVA | 85 |
| **SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURES** | |
| **Disclosures provided to address Enhanced Disclosure Task Force recommendations** | |
| Credit exposure - Exposure at default (EAD) | 86 |
| Credit exposure - Geographic concentration | 87 |
| Credit exposure - Maturity profile | 88 |
| Credit risk associated with derivatives | 89 |
| Advanced internal ratings-based (AIRB) credit risk exposure - Loss experience | 90 |
| AIRB credit risk exposure - Back-testing | 91 |
| Glossary | 92 |

# PILLAR 3 REPORT INDEX

| Topic | Identifier | Table and templates | Frequency | Pillar 3 Report Page references | Q2/25 Quarterly Report Page references | 2024 Annual Report Page references | Supplementary Financial Information |
|---|---|---|---|---|---|---|---|
| Overview of key risk management, key prudential metrics and RWA | KM1 | Key metrics (at consolidated group level) | Quarterly | 3 | 25 | 39-40 | |
| | KM2 | Key metrics - TLAC requirements (at resolution group level) | Quarterly | 4 | 25 | 39, 40 | |
| | OV1 | Overview of RWA | Quarterly | 5 | | 35-45, 52-56, 58-60, 65, 68, 71, 73, 80-84 | |
| Linkages between financial statements and regulatory exposures | LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | Quarterly | 12 | | 129 | |
| | LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements | Quarterly | 13 | | | |
| | PV1 | Prudent valuation adjustments (PVAs) | Quarterly | 14 | | | |
| Asset remuneration | ENC | Asset encumbrance | Quarterly | - | 38 | 74 | |
| | REM1 | Remuneration policy | Annual | | | 2024 Proxy Circular | |
| | REM2 | New features recorded during the financial year | Annual | | | | |
| | REM3 | Special payments | Annual | | | | |
| | REM4 | Deferred remuneration | Annual | | | | |
| Composition of capital | CC1 | Composition of regulatory capital | Quarterly | 16 | 24-25, 71-72 | 37, 39-40, 164 | |
| | CC2 | Reconciliation of regulatory capital to balance sheet | Quarterly | 18 | | | |
| | CCA | Main features of regulatory capital instruments and of other TLAC-eligible instruments (1) | Quarterly | 24-25, 71-72 | 37, 39-40, 164 | |
| Leverage ratio | LR1 | Summary comparison of accounting assets vs. leverage ratio exposure measure | Quarterly | 26 | | | |
| | LR2 | Leverage ratio common disclosure template | Quarterly | 26 | | 57, 58, 59 | |
| Credit risk (continued) | CR1 | General information about credit risk | Quarterly | 27 | | | |
| | CR2 | Changes in stock of defaulted loans and debt securities | Quarterly | 29 | | | |
| | CR3 | Additional indicative disclosures related to the credit quality of assets | Annual | 30 | | 58, 66, 79, 99-107, 120, 144 | 23-34 |
| | CR4 | Qualitative disclosures on banks' use of credit risk mitigation techniques related to CRM techniques | Annual | 30 | | 62 | |
| | CR5 | SA - credit risk exposure and CRM effects | Quarterly | 31 | | | |
| | CR6 | IRB - credit risk exposures by portfolio and PD range (3) | Quarterly | 39 | | 38, 52-57, 61 | |
| | CR8 | RWA flow statements of credit risk exposures under IRB | Quarterly | 11 | | | |
| | CR9 | IRB - Back-testing of PD per portfolio (3) | Annual | n/a (5) | | | |
| | CR10 | IRB (specialized lending and equities under the simple risk-weight method) | Quarterly | 54 | | | |
| Counterparty credit risk | CCR4 | Qualitative disclosure related to counterparty credit risk | Annual | 58, 62, 79, 152, 154 | | | |
| | CCR1 | Analysis of counterparty credit risk exposure by approach | Quarterly | 56 | | 58, 62, 79, 152, 154 | |
| | CCR3 | SA - counterparty credit risk exposures by regulatory portfolio and risk-weights | Quarterly | 58 | | | |
| | CCR4 | IRB - counterparty credit risk exposures by portfolio and PD scale (3) | Quarterly | 60 | | | |
| | CCR5 | Composition of collateral for counterparty credit risk exposure | Quarterly | 70 | | | |
| | CCR6 | Credit derivatives exposures | Quarterly | 72 | | | |
| | CCR7 | RWA flow statements of counterparty credit risk exposures under the Internal Model Method (IMM) | Quarterly | 11 | | | |
| | CCR8 | Exposures to central counterparties | Quarterly | 73 | | | |
| Securitization (6) | SECA | Qualitative disclosure requirements related to securitization exposures | Annual | 43-44, 67, 117, 121, 144 | | | |
| | SEC1 | Securitization exposures in the banking book | Quarterly | 74 | | | |
| | SEC2 | Securitization exposures in the trading book | Quarterly | 76 | | | |
| | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | Quarterly | 78 | | | |
| | SEC4 | Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as investor | Quarterly | 81 | | | |
| Market risk | MR1 | Market risk under the SA | Quarterly | 84 | | 68-69 | |
| | MR2 | RWA flow statements of market risk exposures under an IMA | Quarterly | n/a (7) | | | |
| | MR3 | IMA values for trading purposes | Quarterly | n/a (7) | | | |
| | MR4 | Comparison of Value-at-Risk (VaR) estimates with gains/losses | Quarterly | n/a (7) | | | |
| Credit valuation adjustment risk | CVAA | General qualitative disclosure requirements related to CVA | Annual | 38-39, 47, 62, 130 | | | |
| | CVA1 | The reduced basic approach for CVA (BA-CVA) | Quarterly | 85 | | 38-39, 62, 130 | |
| | CVA2 | The full basic approach for CVA (BA-CVA) | Quarterly | 85 | | | |
| | CVA3 | The standardized approach for CVA (SA-CVA) | Quarterly | 85 | | | |
| | CVA4 | RWA flow statements of CVA risk exposures under SA-CVA | Quarterly | 85 | | | |
| Liquidity risk | LIQA | Liquidity risk management | Annual | | 73-80 | | |
| | LIQ1 | Liquidity Coverage Ratio (LCR) | Quarterly | 38-39 | 75 | | |
| | LIQ2 | Net Stable Funding Ratio (NSFR) | Quarterly | 39-40 | 77 | | |
| Operational risk | ORA | General qualitative information on a bank's operational risk framework | Annual | | 80-82 | | |
| | OR1 | Historical losses | Annual | n/a (5) | | | |
| | OR2 | Business indicator and subcomponents | Annual | n/a (5) | | | |
| | OR3 | Minimum required operational risk capital | Annual | n/a (5) | | | |
| Interest Rate Risk in the Banking Book | IRRBB | Qualitative and quantitative disclosure on interest rate risk in the banking book (IRRBB) | Annual | | 71-72 | | |
| Glossary | | Glossary | | 92 | | | |

(1) CCA is available at https://www.cibc.com/en/about-cibc/investor-relations/regulatory-capital-instruments.html.
(2) CIBC is not a G-SIB.
(3) There are several key differences between Basel and IFRS 9 which could lead to significantly different estimates for PD and loss given default (LGD). 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 2024 Annual Report for additional details.
(4) As at April 30, 2025, the use of credit derivatives reduced RWA relating to corporate exposures under the AIRB approach by nil.
(5) Templates CR9, OR1, OR2, OR3, are only required to be disclosed on an annual basis. Refer to CIBC's Pillar 3 Report and Supplementary Regulatory Capital Disclosure for the period ended October 31, 2024, which may be found on our website at https://www.cibc.com/en/about-cibc/investor-relations/quarterly-results.html.
(6) 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.
(7) CIBC does not apply Internal Model Approach for market risk.
n/a Not applicable.

# KM1: KEY METRICS (AT CONSOLIDATED GROUP LEVEL)

($ millions)

| | | Q2/25 (a) | Q1/25 (b) | Q4/24 (c) | Q3/24 (d) | Q2/24 (e) |
|---|---|---|---|---|---|---|
| **Available capital (amounts)** | | | | | | |
| 1 | Common Equity Tier 1 (CET1) | 45,795 | 46,213 | 44,516 | 43,784 | 42,728 |
| 2 | Tier 1 | 51,756 | 51,574 | 49,481 | 48,751 | 47,845 |
| 3 | Total capital | 60,697 | 59,114 | 56,809 | 56,145 | 55,478 |
| **Risk-weighted assets (amounts)** | | | | | | |
| 4 | Total RWA | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 |
| 4a | Total RWA (pre-floor) | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 |
| **Risk-based capital ratios as a percentage of RWA** | | | | | | |
| 5 | CET1 ratio | 13.4% | 13.5% | 13.3% | 13.3% | 13.1% |
| 5b | CET1 ratio (pre-floor ratio) | 13.4% | 13.5% | 13.3% | 13.3% | 13.1% |
| 6 | Tier 1 ratio | 15.2% | 15.1% | 14.8% | 14.8% | 14.7% |
| 6b | Tier 1 ratio (pre-floor ratio) | 15.2% | 15.1% | 14.8% | 14.8% | 14.7% |
| 7 | Total capital ratio | 17.8% | 17.3% | 17.0% | 17.1% | 17.0% |
| 7b | Total capital ratio (pre-floor ratio) | 17.8% | 17.3% | 17.0% | 17.1% | 17.0% |
| **Additional CET1 buffer requirement as a percentage of RWA** | | | | | | |
| 8 | Capital conservation buffer requirement (2.5% from 2019) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | Countercyclical buffer requirement (1) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 10 | Bank G-SIB and/or D-SIB additional requirements | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% |
| 11 | Total of bank CET1 specific buffer requirements (row 8 + 9 + 10) | 3.5% | 3.5% | 3.5% | 3.5% | 3.5% |
| 12 | CET1 available after meeting the bank's minimum capital requirements (2) | 8.9% | 9.0% | 8.8% | 8.8% | 8.6% |
| **Leverage Ratio** | | | | | | |
| 13 | Total leverage ratio exposure measure | 1,213,223 | 1,205,520 | 1,155,432 | 1,133,983 | 1,112,411 |
| 14 | Leverage ratio (row 2 / row 13) | 4.3% | 4.3% | 4.3% | 4.3% | 4.3% |

(1) Bank specific countercyclical buffer requirement of 0.04% in Q2/25 (Q1/25: 0.03%) is the amount which is determined based on our weighted average private sector exposures in jurisdictions identified by the BCBS.
(2) Calculated by row 5 above minus the CET 1 regulatory minimum requirement of 4.5%.

# KM2: KEY METRICS - TLAC REQUIREMENTS (AT RESOLUTION GROUP LEVEL) (1)

($ millions)

| | | Q2/25 (a) | Q1/25 (b) | Q4/24 (c) | Q3/24 (d) | Q2/24 (e) |
|---|---|---|---|---|---|---|
| 1 | TLAC available | 109,903 | 107,533 | 101,062 | 99,150 | 95,890 |
| 2 | Total RWA at the level of the resolution group | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 |
| 3 | TLAC Ratio (as a percentage of RWA) (row 1 / row 2) (%) | 32.2% | 31.4% | 30.3% | 30.1% | 29.4% |
| 4 | Leverage ratio exposure measure at the level of the resolution group | 1,213,223 | 1,205,520 | 1,155,432 | 1,133,983 | 1,112,411 |
| 5 | TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4) (%) | 9.1% | 8.9% | 8.7% | 8.7% | 8.6% |
| 6a | Does the subordination exemption in the penultimate paragraph of Section 11 of the Financial Stability Board (FSB) TLAC Term Sheet apply? | Yes | Yes | Yes | Yes | Yes |
| 6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No | No | No |
| 6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) | n/a | n/a | n/a | n/a | n/a |

(1) As a domestic systemically important bank (D-SIB), CIBC is subject to a target risk-based TLAC Ratio (which comprises a minimum risk-based TLAC ratio of 21.5% plus the then-applicable Domestic Stability Buffer (DSB)) and a minimum TLAC Leverage Ratio of 7.25%.
(2) Not applicable.

# OV1: OVERVIEW OF RWA (1)

($ millions)

| | RWA requirements | Q2/25 (a) | Q1/25 (b) | Q4/24 (c) | Q3/24 (d) | Q2/24 (e) |
|---|---|---|---|---|---|---|
| **Credit risk (excluding counterparty credit risk)** | | 248,223 | 248,957 | 243,106 | 244,923 | 240,995 |
| 2 | Of which: SA (2) | 23,177 | 24,047 | 23,822 | 22,725 | 22,785 |
| 3 | Of which: foundation internal ratings-based (FIRB) approach | 39,507 | 38,748 | 38,212 | 40,699 | 40,617 |
| 4 | Of which: supervisory slotting approach | 21 | 78 | 90 | 109 | 73 |
| 5 | Of which: AIRB approach | 185,518 | 186,084 | 180,982 | 181,390 | 177,520 |
| **Counterparty credit risk (3)** | | 11,231 | 11,539 | 10,167 | 8,917 | 9,214 |
| 7 | Of which: SA for counterparty credit risk (SA-CCR) | 351 | 378 | 338 | 242 | 356 |
| 8 | Of which: IMM | 5,901 | 5,519 | 5,143 | 4,526 | 4,560 |
| 9 | Of which: other CCR | 4,979 | 5,642 | 4,686 | 4,149 | 4,298 |
| **10 CVA** | | 3,882 | 3,588 | 3,381 | 3,082 | 3,301 |
| 11 | Equity investments in funds - look-through approach (4) | 2,371 | 2,341 | 2,160 | 2,131 | 2,072 |
| 12 | Equity investments in funds - mandate-based approach (4) | 50 | 29 | 36 | 46 | 37 |
| 13 | Settlement risk | 10,099 | 9,559 | 9,235 | 7,514 | 7,443 |
| **Securitization exposures in banking book** | | 2,768 | 2,905 | 2,370 | 1,236 | 1,953 |
| 15 | Of which: internal ratings-based approach (IRBA) | 2,768 | 2,905 | 2,370 | 1,236 | 1,953 |
| 16 | Of which: external ratings-based approach (ERBA), including internal assessment approach (IAA) | 3,574 | 3,317 | 3,193 | 3,071 | 2,612 |
| 17 | Of which: SA (5) | 3,757 | 3,337 | 3,672 | 3,207 | 2,878 |
| **18 Market risk** | | 10,352 | 12,049 | 12,188 | 11,112 | 12,787 |
| 19 | Of which: SA | 10,352 | 12,049 | 12,188 | 11,112 | 12,787 |
| 20 | Of which: IMM | | | | | |
| 21 | Capital charge for switch between trading book and banking book | | | | | |
| **22 Operational risk** | | 48,674 | 47,793 | 46,811 | 45,763 | 45,046 |
| 23 | Amounts below the thresholds for deduction (subject to 250% risk-weight) | 6,322 | 6,075 | 6,418 | 5,714 | 5,619 |
| **24 Output floor applied (%)** | | 67.5% | 67.5% | 67.5% | 67.5% | 67.5% |
| 25 | Floor adjustment | | | | | |
| 26 | N/A for D-SIBS | - | - | - | - | - |
| 27 | Total (1+6+10+11+12+13+14+18+21+22+23+25) | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 |

(1) For changes in RWA, refer to table "Changes in RWA".
(2) Includes RWA of $1,430 million (Q1/25: $1,541 million) relating to non-trading equity investments.
(3) Comprises derivative and repo-style transactions.
(4) Equity investments in funds are only included in table OV1.
(5) Includes securitization exposures that are risk-weighted at 1250%.
n/a Not applicable.

# CMS1 – COMPARISON OF MODELLED AND STANDARDIZED RWA AT RISK LEVEL

($ millions)

| | Q2/25 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (d) |
| 1 | Credit risk (excluding counterparty credit risk) | 225,046 | 23,177 | 248,223 | 398,777 |
| 2 | Counterparty credit risk | 10,444 | 787 | 11,231 | 28,651 |
| 3 | CVA | | 3,882 | 3,882 | 3,882 |
| 4 | Securitization exposures in the banking book | 5,239 | 4,860 | 10,099 | 20,982 |
| 5 | Market risk | | 10,352 | 10,352 | 10,352 |
| 6 | Operational risk | 48,674 | | 48,674 | 48,674 |
| 7 | Residual RWA | 8,743 | | 8,743 | 8,743 |
| 8 | Total | 240,729 | 100,475 | 341,204 | 520,061 |

($ millions)

| | Q1/25 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (d) |
| 1 | Credit risk (excluding counterparty credit risk) | 224,910 | 24,047 | 248,957 | 397,881 |
| 2 | Counterparty credit risk | 10,690 | 849 | 11,539 | 29,322 |
| 3 | CVA | | 3,588 | 3,588 | 3,588 |
| 4 | Securitization exposures in the banking book | 5,339 | 4,220 | 9,559 | 21,608 |
| 5 | Market risk | | 12,049 | 12,049 | 12,049 |
| 6 | Operational risk | 47,793 | | 47,793 | 47,793 |
| 7 | Residual RWA | 8,445 | | 8,445 | 8,445 |
| 8 | Total | 240,939 | 100,991 | 341,930 | 520,686 |

($ millions)

| | Q4/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (d) |
| 1 | Credit risk (excluding counterparty credit risk) | 219,284 | 23,822 | 243,106 | 391,023 |
| 2 | Counterparty credit risk | 9,357 | 810 | 10,167 | 24,326 |
| 3 | CVA | | 3,381 | 3,381 | 3,381 |
| 4 | Securitization exposures in the banking book | 4,580 | 4,655 | 9,235 | 18,902 |
| 5 | Market risk | | 12,188 | 12,188 | 12,188 |
| 6 | Operational risk | 46,811 | | 46,811 | 46,811 |
| 7 | Residual RWA | 8,614 | | 8,614 | 8,614 |
| 8 | Total | 233,221 | 100,281 | 333,502 | 505,245 |

CMS1 – COMPARISON OF MODELLED AND STANDARDIZED RWA AT RISK LEVEL (continued)

($ millions)

| | Q3/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (d) |
| 1 | Credit risk (excluding counterparty credit risk) | 222,198 | 22,725 | 244,923 | 393,063 |
| 2 | Counterparty credit risk | 8,173 | 744 | 8,917 | 22,446 |
| 3 | CVA | | 3,082 | 3,082 | 3,082 |
| 4 | Securitization exposures in the banking book | 3,242 | 4,272 | 7,514 | 6,729 |
| 5 | Market risk | | 11,112 | 11,112 | 11,112 |
| 6 | Operational risk | 45,763 | | 45,763 | 45,763 |
| 7 | Residual RWA | 7,891 | | 7,891 | 7,891 |
| 8 | Total | 233,613 | 95,589 | 329,202 | 490,086 |

($ millions)

| | Q2/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (d) |
| 1 | Credit risk (excluding counterparty credit risk) | 218,210 | 22,785 | 240,995 | 393,042 |
| 2 | Counterparty credit risk | 8,459 | 755 | 9,214 | 24,094 |
| 3 | CVA | | 3,301 | 3,301 | 3,301 |
| 4 | Securitization exposures in the banking book | 3,864 | 3,579 | 7,443 | 6,070 |
| 5 | Market risk | | 12,787 | 12,787 | 12,787 |
| 6 | Operational risk | 45,046 | | 45,046 | 45,046 |
| 7 | Residual RWA | 7,728 | | 7,728 | 7,728 |
| 8 | Total | 230,533 | 95,981 | 326,514 | 492,068 |

# CMS2 – COMPARISON OF MODELLED AND STANDARDIZED RWA FOR CREDIT RISK AT ASSET CLASS LEVEL

($ millions)

| | Q2/25 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (1) (d) |
| 1 | Sovereign | 3,916 | 1,314 | 5,230 | 6,230 |
| | Of which: categorized as MDB/PSE in SA | 4,914 | | 4,914 | 6,944 |
| 2 | Banks and other financial institutions | 3,537 | 903 | 4,440 | 4,469 |
| 3 | Covered bonds | 2,956 | 372 | 3,328 | 6,479 |
| 4 | Equity | 249 | | 249 | 458 |
| 5 | Purchased receivables | | 1,430 | 1,430 | 1,430 |
| 6 | Corporates | 130,469 | 7,519 | 137,988 | 212,156 |
| | Of which: FIRB is applied | 36,852 | | 36,852 | 39,754 |
| | Of which: AIRB is applied | 94,167 | 94,167 | 164,675 |
| 7 | Retail | 72,944 | 4,777 | 77,721 | 134,350 |
| | Of which: qualifying revolving retail | 21,177 | 3,091 | 24,268 | 28,676 |
| | Of which: other retail | 1,690 | 237 | 1,927 | 16,899 |
| | Of which: retail residential mortgages | 40,047 | 1,140 | 41,187 | 88,581 |
| 8 | Specialized lending | 13,514 | | 13,514 | 30,542 |
| 9 | Of which: income-producing real estate and high volatility commercial real estate | 21 | | 21 | 100 |
| 10 | Others | 7,881 | | 7,881 | 7,881 |
| 11 | Total | 225,046 | 23,177 | 248,223 | 398,777 |

($ millions)

| | Q1/25 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (1) (d) |
| 1 | Sovereign | 224,910 | 24,047 | 248,957 | 397,881 |
| | Of which: categorized as MDB/PSE in SA | 4,893 | 1,030 | 5,923 | 5,347 |
| 2 | Banks and other financial institutions | 3,498 | 333 | 3,831 | 4,650 |
| 3 | Covered bonds | 2,927 | 333 | 3,260 | 5,398 |
| 4 | Equity | 276 | | 276 | 458 |
| 5 | Purchased receivables | | 1,430 | 1,430 | 1,541 |
| 6 | Corporates | 129,714 | 7,874 | 137,588 | 210,756 |
| | Of which: FIRB is applied | 35,541 | | 35,541 | 38,861 |
| | Of which: AIRB is applied | 94,173 | 94,173 | 162,901 |
| 7 | Retail | 73,423 | 4,851 | 78,274 | 135,107 |
| | Of which: qualifying revolving retail | 20,773 | 2,990 | 23,763 | 28,475 |
| | Of which: other retail | 1,589 | 275 | 1,864 | 16,689 |
| | Of which: retail residential mortgages | 40,961 | 1,192 | 42,153 | 90,639 |
| 8 | Specialized lending | 13,675 | | 13,675 | 30,808 |
| 9 | Of which: income-producing real estate and high volatility commercial real estate | 78 | | 78 | 100 |
| 10 | Others | 8,118 | 80 | 8,198 | 8,118 |
| 11 | Total | 224,910 | 24,047 | 248,957 | 397,881 |

CMS2 – COMPARISON OF MODELLED AND STANDARDIZED RWA FOR CREDIT RISK AT ASSET CLASS LEVEL (continued)

($ millions)

| | Q4/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (1) (d) |
| 1 | Sovereign | 4,803 | 1,293 | 6,096 | 5,004 |
| | Of which: categorized as MDB/PSE in SA | 3,528 | 1,005 | 4,533 | 4,462 |
| 2 | Banks and other financial institutions | 2,645 | 328 | 2,973 | 6,853 |
| 3 | Covered bonds | 289 | | 289 | 458 |
| 4 | Equity | | 1,427 | 1,427 | 1,427 |
| 5 | Purchased receivables | 126,358 | 7,331 | 133,689 | 204,360 |
| 6 | Corporates | | 35,177 | 35,177 | 39,564 |
| | Of which: FIRB is applied | 91,181 | | 91,181 | 157,465 |
| | Of which: AIRB is applied | 72,199 | 4,747 | 76,946 | 135,182 |
| 7 | Retail | | 19,749 | 2,981 | 22,730 | 27,450 |
| | Of which: qualifying revolving retail | 12,122 | 627 | 12,749 | 16,102 |
| | Of which: other retail | 40,328 | 1,139 | 41,467 | 91,630 |
| 8 | Specialized lending | 12,900 | | 12,900 | 29,043 |
| 9 | Of which: income-producing real estate and high volatility commercial real estate | 90 | | 90 | 100 |
| 10 | Others | 8,696 | | 8,696 | 8,696 |
| 11 | Total | 219,284 | 23,822 | 243,106 | 391,023 |

($ millions)

| | Q3/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (1) (d) |
| 1 | Sovereign | 5,211 | 1,343 | 6,554 | 5,811 |
| | Of which: categorized as MDB/PSE in SA | 3,754 | 1,049 | 4,803 | 4,656 |
| 2 | Banks and other financial institutions | 2,466 | 270 | 2,736 | 4,527 |
| 3 | Covered bonds | 301 | | 301 | 396 |
| 4 | Equity | | 1,322 | 1,322 | 1,322 |
| 5 | Purchased receivables | 129,201 | 7,095 | 136,296 | 211,862 |
| 6 | Corporates | | 37,933 | 37,933 | 47,612 |
| | Of which: FIRB is applied | 91,268 | | 91,268 | 157,155 |
| | Of which: AIRB is applied | 72,333 | 4,469 | 76,802 | 133,406 |
| 7 | Retail | | 18,869 | 2,757 | 21,626 | 26,257 |
| | Of which: qualifying revolving retail | 12,320 | 595 | 12,915 | 15,976 |
| | Of which: other retail | 41,144 | 1,117 | 42,261 | 91,173 |
| 8 | Specialized lending | 12,686 | | 12,686 | 27,513 |
| 9 | Of which: income-producing real estate and high volatility commercial real estate | 109 | | 109 | 163 |
| 10 | Others | 8,226 | | 8,226 | 8,226 |
| 11 | Total | 222,198 | 22,725 | 244,923 | 393,063 |

($ millions)

| | Q2/24 | | | |
|---|---|---|---|---|
| | RWA for modelled approaches that banks have supervisory approval to use (a) | RWA for portfolios where standardized approaches are used (b) | Total actual RWA (c) | RWA calculated using full standardized approach (1) (d) |
| 1 | Sovereign | 5,630 | 1,314 | 6,944 | 6,230 |
| | Of which: categorized as MDB/PSE in SA | 4,118 | 1,024 | 5,142 | 5,283 |
| 2 | Banks and other financial institutions | 2,517 | 242 | 2,759 | 7,559 |
| 3 | Covered bonds | 242 | | 242 | 394 |
| 4 | Equity | | 1,208 | 1,208 | 1,208 |
| 5 | Purchased receivables | 128,784 | 6,949 | 135,733 | 210,364 |
| 6 | Corporates | | 35,177 | 35,177 | 39,564 |
| | Of which: FIRB is applied | 38,016 | | 38,016 | 48,753 |
| | Of which: AIRB is applied | 90,768 | 90,768 | 154,662 |
| 7 | Retail | 69,768 | 5,120 | 74,888 | 149,276 |
| | Of which: qualifying revolving retail | 17,990 | 3,410 | 21,400 | 27,450 |
| | Of which: other retail | 12,375 | 590 | 12,965 | 15,840 |
| | Of which: retail residential mortgages | 40,961 | 1,192 | 42,153 | 90,639 |
| 8 | Specialized lending | 13,675 | | 13,675 | 30,808 |
| 9 | Of which: income-producing real estate and high volatility commercial real estate | 78 | | 78 | 100 |
| 10 | Others | 8,118 | 80 | 8,198 | 8,118 |
| 11 | Total | 218,210 | 22,785 | 240,995 | 393,042 |

For footnotes, see page 8.

# CHANGES IN RWA

($ millions)

| | **CR8** | | | | |
|---|---|---|---|---|---|
| **Credit risk** | Of which determined under an IRB approach (a) | Of which all other (1) (b) | Q2/25 vs. Q1/25 | Q1/25 vs. Q4/24 | Q4/24 vs. Q3/24 | Q3/24 vs. Q2/24 |
| 1 | Balance at beginning of period | 266,961 | 36,712 | 260,955 | 260,328 | 256,166 |
| 2 | Asset size (2)(3) | 4,882 | 685 | 870 | 1,610 | 2,646 |
| 3 | Asset quality (3)(4) | 1,365 | 1,368 | 767 | (162) |
| 4 | Model updates (5) | (520) | (245) | (862) | 1,563 |
| 5 | Methodology and policy (6) | (687) | (1,868) | | (329) |
| 6 | Acquisitions and disposals | | | | |
| 7 | Foreign exchange movements | (5,183) | (864) | 4,356 | 916 | 349 |
| 8 | Other | 247 | | (343) | 64 | 95 |
| 9 | Balance at end of period | 267,065 | 36,780 | 266,961 | 260,955 | 260,328 |

| | **CCR7** | | | | |
|---|---|---|---|---|---|
| | Of which determined under an IMM approach (c) | Of which all other (7) (d) | Q2/25 vs. Q1/25 | Q1/25 vs. Q4/24 | Q4/24 vs. Q3/24 | Q3/24 vs. Q2/24 |
| 1 | Balance at beginning of period | 15,127 | 13,548 | 11,999 | 12,515 |
| 2 | Asset size (2) | 750 | 207 | 1,147 | 1,743 | (220) |
| 3 | Credit quality of counterparties (4) | (278) | (8) | (270) | 49 | (267) | (343) |
| 4 | Model updates (5) | | | | |
| 5 | Methodology and policy (6) | | | | |
| 6 | Acquisitions and disposals | (486) | (153) | (333) | 383 | 73 | 47 |
| 7 | Foreign exchange movements | | | | | |
| 8 | Other | 15,113 | 5,901 | 9,212 | 15,127 | 13,548 | 11,999 |
| 9 | Balance at end of period | | | | | |

| **Market risk** | | | | | | |
|---|---|---|---|---|---|
| 1 | Balance at beginning of period | 12,049 | 11,112 | 12,787 |
| 2 | Movement in risk levels (8) | (1,697) | (209) | 1,372 | (466) |
| 3 | Model updates (5) | | (296) | (1,209) |
| 4 | Methodology and policy (6) | | | | |
| 5 | Acquisitions and disposals | | | | |
| 6 | Foreign exchange movements | | | | |
| 7 | Other | | | | |
| 8 | Balance at end of period | 10,352 | 12,049 | 12,188 | 11,112 |

| **Operational risk** | | | | | |
|---|---|---|---|---|---|
| 1 | Balance at beginning of period | 47,793 | 45,763 | 45,046 |
| 2 | Movement in risk levels | 881 | 982 | 1,048 | 717 |
| 3 | Methodology and policy (6) | | | | |
| 4 | Acquisitions and disposals | | | | |
| 5 | Balance at end of period | 48,674 | 47,793 | 46,811 | 45,763 |

(1) Includes credit risk under the standardized approach, equity investments in funds under the look-through and mandate based approaches, settlement risk, securitization exposures subject to the standardized approach and external ratings-based approach (excluding internal assessment approach), and amounts below the thresholds for deduction that are risk-weighted at 250%.
(2) Relates to net increase/decrease in the underlying exposures and related impacts, including tenor and CVA.
(3) Certain prior period balances have been restated.
(4) Relates to changes in CRM and credit quality of the borrower/counterparty.
(5) Relates to internal model or parameter changes.
(6) Relates to regulatory changes implemented on an industry-wide basis and any capital methodology changes implemented within CIBC for our portfolios.
(7) Includes counterparty credit risk under SA-CCR for over-the-counter (OTC) derivatives not eligible for IMM, as well as the comprehensive approach for CRM for securities financing transactions (SFTs), exposure to central counterparties, and the CVA capital charge.
(8) Relates to changes in open positions and market volatility.

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

| ASSETS ($ millions) | Carrying values as reported in financial statements (a) | Carrying values under regulatory consolidation (b) | Subject to credit risk framework (c) | Subject to counterparty credit risk framework (d) | Subject to market risk framework (e) | Not subject to regulatory requirements or subject to deduction from capital (f) |
|---|---|---|---|---|---|---|
| Cash and non-interest-bearing deposits with banks | 14,011 | 14,011 | | | | |
| Interest-bearing deposits with banks | 35,575 | 35,575 | | | | |
| Securities | 269,841 | 269,594 (4) | 156,222 | 3,197 | 3,969 | 109,403 | |
| Collateral on securities borrowed | 18,945 | 18,945 | | | | |
| Secured purchases under resale agreements | 91,261 | 91,261 | | 66,044 | 1,860 | 23,357 | |
| Loans (3) | 571,639 | 571,639 | 546,958 | 1,536 | 20,275 | 310 | 2,560 |
| Derivative instruments | 38,490 | 38,490 (7) | | 38,490 | | |
| Property and equipment | 3,277 | 3,277 | | | | 3,277 | |
| Goodwill | 5,400 | 5,400 | | | | |
| Software and other intangible assets | 2,813 | 2,813 | | | | 27 |
| Investments in equity-accounted associates and joint ventures | 765 | 1,067 | 1,040 | | | |
| Deferred tax assets | 783 | 770 | 1,568 | | | (798) (8) |
| Other assets | 37,343 | 37,299 | 19,641 | 8,754 | 7,259 | 1,345 |
| Total assets | 88,371 | 88,116 | 25,743 | 47,244 | 42,140 | 11,347 |
| **LIABILITIES** | | | | | | |
| Deposits | 255,523 | 255,523 | | | 27,720 | 255,523 |
| Obligations related to securities sold short | 441,342 | 441,342 | | | | 413,622 |
| Bank | 27,401 | 27,401 | | | | 27,401 |
| Secured borrowings | 60,361 | 60,361 | | | | 60,361 |
| Debt liabilities (3) | 784,042 | 784,042 | | 43,945 | | 756,907 |
| Obligations related to securities sold | 28,083 | 28,083 | | 6,715 | | 15,800 | 153 |
| Obligations related to securities sold under repurchase agreements | 6,715 | 6,715 | | 6,715 | | |
| Other liabilities (3) | 133,279 | 133,279 | | 133,279 | | |
| Derivative instruments | 43,945 | 43,945 (7) | | 43,945 | | |
| Deferred tax liability (3) | 49 | 49 | | | | 28,977 |
| Other liabilities (3) | 30,713 | 30,713 | | | 3,736 | 27,059 |
| Subordinated indebtedness | 74,705 | 74,705 | | 43,945 | 46,679 | 27,889 |
| Total liabilities | 1,028,195 | 1,028,195 | | 183,839 | 94,499 | 792,900 |

(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 Cayman Re and CIBC Life Insurance Company Limited (CIBC Cayman Re) and CIBC Life Insurance Company Limited (CIBC Life)) are excluded from the scope of regulatory consolidation. Refer to table CC2 for further information.
(3) Includes credit risk related assets, such as loans, debt securities, securities borrowed, and off-balance sheet exposures, and liabilities such as debt, subordinated indebtedness, and derivative exposures.
(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 non-trading and are risk-weighted under the credit risk framework.
(5) Non-trading loans are subject to credit risk only, with exception of business and government loans and acceptances of $10 million in other liabilities.
(6) Non-trading loans are subject to credit risk only, with exception of residential mortgage loans, which are risk-weighted under the securitization framework.
(7) Liabilities for repo-style transactions 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) Includes deferred tax liabilities related to software and other intangible assets, defined benefit pension assets, and goodwill 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)

| | Total (1) | Items subject to: | | | |
|---|---|---|---|---|---|
| | | 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) | 1,078,794 | 778,492 | 26,202 | 136,966 | 175,180 |
| 2 | Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1) | 235,295 | | | 183,939 | 94,499 |
| 3 | Total net amount under regulatory scope of consolidation | 843,499 | 778,492 | 26,202 | (46,973) | 80,681 |
| 4 | Off-balance sheet amounts (3) | 530,668 | 200,318 | 33,375 | 296,975 |
| 5 | Differences in valuations | (206) | (206) (4) | | |
| 6 | Differences due to different netting rules, other than those already included in row 3 | 29,616 | | 29,616 | |
| 7 | Differences due to consideration of provisions (5) | 4,013 | | 4,013 | | |
| 8 | Differences due to prudential filters | | | | | |
| 9 | Gross-up for SFTs (6) | 279,988 | | 279,988 | |
| 10 | Differences due to inclusion of potential future exposure and alpha multiplier in derivative EAD | 3,900 | | 3,900 | |
| 11 | Collateral (7) | (506,332) | | | (506,332) | |
| 12 | Other | (805) | | (805) | | |
| 13 | Exposure amounts considered for regulatory purposes | 1,184,341 | 981,812 | 59,577 | 57,174 | 80,681 |

(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 $988 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) 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 SA are netted against the exposures.
(6) Liabilities for repo-style transactions 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.
(7) Primarily comprises collateral for repo-style transactions, including those settled through qualified central counterparties (QCCPs).

# PV1: PRUDENT VALUATION ADJUSTMENTS (PVAs)

($ millions)

| | **Q2/25** | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | Equity (a) | Interest rates (b) | Foreign exchange (c) | Credit (d) | Commodities (e) | Total (f) | Of which: in the trading book (g) | Of which: in the banking book (h) |
| 1 | Closeout uncertainty, of which: | - | - | - | - | - | - | - | - |
| 2 | Mid-market value | - | - | - | - | - | - | - | - |
| 3 | Closeout cost | - | - | - | - | - | - | - | - |
| 4 | Concentration | - | - | - | 19 | - | 19 | - | 19 |
| 5 | Early termination | - | - | - | - | - | - | - | - |
| 6 | Model risk | - | - | - | - | - | - | - | - |
| 7 | Operational risk | - | - | - | - | - | - | - | - |
| 8 | Investing and funding costs | - | - | - | - | - | - | - | - |
| 9 | Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 | Future administrative costs | - | - | - | - | - | - | - | - |
| 11 | Other | - | - | - | - | - | - | - | - |
| 12 | Total adjustments | - | - | - | 19 | - | 19 | - | 19 |

($ millions)

| | **Q1/25** | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | Equity (a) | Interest rates (b) | Foreign exchange (c) | Credit (d) | Commodities (e) | Total (f) | Of which: in the trading book (g) | Of which: in the banking book (h) |
| 1 | Closeout uncertainty, of which: | - | - | - | - | - | - | - | - |
| 2 | Mid-market value | - | - | - | - | - | - | - | - |
| 3 | Closeout cost | - | - | - | - | - | - | - | - |
| 4 | Concentration | - | - | - | 18 | - | 18 | - | 18 |
| 5 | Early termination | - | - | - | - | - | - | - | - |
| 6 | Model risk | - | - | - | - | - | - | - | - |
| 7 | Operational risk | - | - | - | - | - | - | - | - |
| 8 | Investing and funding costs | - | - | - | - | - | - | - | - |
| 9 | Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 | Future administrative costs | - | - | - | - | - | - | - | - |
| 11 | Other | - | - | - | - | - | - | - | - |
| 12 | Total adjustments | - | - | - | 18 | - | 18 | - | 18 |

($ millions)

| | **Q4/24** | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | Equity (a) | Interest rates (b) | Foreign exchange (c) | Credit (d) | Commodities (e) | Total (f) | Of which: in the trading book (g) | Of which: in the banking book (h) |
| 1 | Closeout uncertainty, of which: | - | - | - | - | - | - | - | - |
| 2 | Mid-market value | - | - | - | - | - | - | - | - |
| 3 | Closeout cost | - | - | - | - | - | - | - | - |
| 4 | Concentration | - | - | - | 4 | - | 4 | - | 4 |
| 5 | Early termination | - | - | - | - | - | - | - | - |
| 6 | Model risk | - | - | - | - | - | - | - | - |
| 7 | Operational risk | - | - | - | - | - | - | - | - |
| 8 | Investing and funding costs | - | - | - | - | - | - | - | - |
| 9 | Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 | Future administrative costs | - | - | - | - | - | - | - | - |
| 11 | Other | - | - | - | - | - | - | - | - |
| 12 | Total adjustments | - | - | - | 4 | - | 4 | - | 4 |

PV1: PRUDENT VALUATION ADJUSTMENTS (PVAs) (continued)

($ millions)

| | **Q3/24** | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | Equity (a) | Interest rates (b) | Foreign exchange (c) | Credit (d) | Commodities (e) | Total (f) | Of which: in the trading book (g) | Of which: in the banking book (h) |
| 1 | Closeout uncertainty, of which: | - | - | - | - | - | - | - | - |
| 2 | Mid-market value | - | - | - | - | - | - | - | - |
| 3 | Closeout cost | - | - | - | 3 | - | 3 | - | 3 |
| 4 | Concentration | - | - | - | - | - | - | - | - |
| 5 | Early termination | - | - | - | - | - | - | - | - |
| 6 | Model risk | - | - | - | - | - | - | - | - |
| 7 | Operational risk | - | - | - | - | - | - | - | - |
| 8 | Investing and funding costs | - | - | - | - | - | - | - | - |
| 9 | Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 | Future administrative costs | - | - | - | - | - | - | - | - |
| 11 | Other | - | - | - | - | - | - | - | - |
| 12 | Total adjustments | - | - | - | 3 | - | 3 | - | 3 |

($ millions)

| | **Q2/24** | | | | | | | |
|---|---|---|---|---|---|---|---|---|
| | Equity (a) | Interest rates (b) | Foreign exchange (c) | Credit (d) | Commodities (e) | Total (f) | Of which: in the trading book (g) | Of which: in the banking book (h) |
| 1 | Closeout uncertainty, of which: | - | - | - | - | - | - | - | - |
| 2 | Mid-market value | - | - | - | - | - | - | - | - |
| 3 | Closeout cost | - | - | - | - | - | - | - | - |
| 4 | Concentration | - | - | - | 5 | - | 5 | - | 5 |
| 5 | Early termination | - | - | - | - | - | - | - | - |
| 6 | Model risk | - | - | - | - | - | - | - | - |
| 7 | Operational risk | - | - | - | - | - | - | - | - |
| 8 | Investing and funding costs | - | - | - | - | - | - | - | - |
| 9 | Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 | Future administrative costs | - | - | - | - | - | - | - | - |
| 11 | Other | - | - | - | - | - | - | - | - |
| 12 | Total adjustments | - | - | - | 5 | - | 5 | - | 5 |

# CC1: COMPOSITION OF REGULATORY CAPITAL

($ millions)

| | **Q2/25** | **Q1/25** | **Q4/24** | **Q3/24** | **Q2/24** | Cross-reference |
|---|---|---|---|---|---|---|
| **Common Equity Tier 1 capital: instruments and reserves** | | | | | | |
| 1 | Common Equity Tier 1 capital: instruments and reserves | 17,193 | 17,170 | 17,170 | 17,047 | 16,927 | |
| 2 | Retained earnings | 34,854 | 34,443 | 33,147 | 32,844 | 31,900 | |
| 3 | Accumulated other comprehensive income (AOCI) (and other reserves) | 4,085 | 4,442 | 3,143 | 2,899 | 1,347 | |
| 4 | Direct and indirect capital subject to phase out from CET1 (only applicable to non-joint stock companies) | - | - | - | - | - | |
| | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 18 | 19 | 18 | 19 | 24 | |
| | Regulatory adjustments applied to CET1 capital | 56,128 | 53,908 | 52,903 | 50,685 | |
| **CET1 capital: regulatory adjustments** | | | | | | |
| 9 | See footnotes 2 | 53,16 | | | | | |
| 10 | Goodwill (net of related tax liabilities) | 5,552 | 5,360 | 5,324 | 5,312 | |
| 11 | Other intangibles other than mortgage servicing rights (net of related tax liabilities) | 2,427 | 2,425 | 2,306 | 2,372 | |
| 12 | Investments in equity and other assets exceeding those arising from temporary differences (net of related tax liabilities) | 13 | 21 | 15 | 28 | |
| 13 | Cash flow hedge reserve | 1 | 21 | 15 | 16 | (737) | |
| 14 | Shortfall of provisions exceeding those expected losses (2) | - | 809 | 500 | 260 | |
| **CET1 capital** | | 45,795 | 46,213 | 44,516 | 43,784 | 42,728 | |
| **AT1 capital: regulatory adjustments** | | | | | | |
| 35 | Directly issued capital instruments subject to phase out from AT1 | - | - | - | - | - | |
| 36 | AT1 instruments (net of amount included in row 35) issued by subsidiaries and held by third parties (amount allowed in group AT1) | 19 | 19 | 19 | 18 | 18 | |
| 37 | Directly issued capital instruments not included in row 35 or 36 | - | - | - | - | - | |
| 38 | Regulatory adjustments applied to AT1 capital due to insufficient T2 coverage deductions | - | - | - | - | - | |
| **AT1 capital** | | 5,961 | 5,361 | 4,965 | 4,967 | 5,117 | |
| **T1 capital (CET1 + AT1)** | | 51,756 | 51,574 | 49,481 | 48,751 | 47,845 | |
| **T2 capital: regulatory adjustments** | | | | | | |
| 42 | Directly issued T2 instruments subject to phase out from T2 | - | - | - | - | - | |
| 43 | Directly issued T2 instruments (net of amount included in rows 34 or 35) issued by subsidiaries and held by third parties (amount allowed in group Tier 1) | 18 | 19 | 17 | 24 | 25 | |
| 44 | Directly issued T2 instruments not included in rows 34 or 35 or 43 | - | - | - | - | - | |
| 45 | Regulatory adjustments applied to T2 capital due to insufficient T2 coverage deductions | - | - | - | - | - | |
| **T2 capital** | | 8,941 | 7,540 | 7,328 | 7,394 | 7,633 | |
| **Total capital (TC + T2 + AT1)** | | 60,697 | 59,114 | 56,809 | 56,145 | 55,478 | |
| **Total RWA** | | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 | |
| **CET1 (as a percentage of RWA)** | | 13.4% | 13.5% | 13.3% | 13.3% | 13.1% | |
| **Tier 1 ratio (as a percentage of RWA)** | | 15.2% | 15.1% | 14.8% | 14.8% | 14.7% | |
| **Total capital ratio (as a percentage of RWA)** | | 17.8% | 17.3% | 17.0% | 17.1% | 17.0% | |
| **Buffer (minimum CET1 requirement plus capital conservation buffer plus countercyclical buffer plus higher loss absorbency, expressed as a percentage of RWA)** | | 8.9% | 9.0% | 8.8% | 8.8% | 8.6% | |
| **Of which: capital conservation buffer** | | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| **Of which: bank specific countercyclical buffer (2)** | | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| **Of which: D-SIB/G-SIB buffer** | | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | |
| **CET1 available to meet buffers (as percentage of RWA) (3)** | | 8.9% | 9.0% | 8.8% | 8.8% | 8.6% | |
| **CET1 capital plus minimum capital conservation buffer + D-SIB buffer (if applicable) (4)** | | 8.0% | 8.0% | 8.0% | 8.0% | 8.0% | |
| **CET1 target ratio** | | 9.5% | 9.5% | 9.5% | 9.5% | 9.5% | |
| **TLAC target ratio** | | 11.5% | 11.5% | 11.5% | 11.5% | 11.5% | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | |
| 71 | Non-significant investments in capital and other TLAC-eligible instruments of other financial entities | 434 | 438 | 314 | 434 | 1,283 | |
| 72 | Non-significant investments in the banking, financial, insurance and other T2LAC-eligible instruments | 937 | 592 | 570 | 647 | 670 | |
| 73 | Mortgage servicing rights (net of related tax liability) | 40 | 269 | 32 | 270 | 347 | |
| 74 | Temporary differences arising from changes in institution's own credit risk | 1,688 | 1,545 | 1,611 | 1,392 | 1,377 | |
| **Applicable caps on the inclusion of allowances in T2** | | | | | | |
| 76 | Allowances (including those in T2) in respect of exposures subject to SA (prior to application of cap) | 230 | 262 | 249 | 256 | 215 | |
| 77 | Allowances (including those in T2) in respect of exposures subject to SA (prior to application of cap) | 214 | 259 | 238 | 245 | 206 | |
| 78 | Allowances (including those in T2) in respect of exposures subject to IRB (prior to application of cap) | 409 | 369 | 314 | 282 | 225 | |
| 79 | Cap on inclusion of allowances in T2 under IRB | 1,444 | 1,399 | 1,402 | 1,383 | |

# CC2: RECONCILIATION OF REGULATORY CAPITAL TO BALANCE SHEET

Assets ($ millions)

| | Balance sheet as in report to shareholders | Balance sheet as in the regulatory scope of consolidation (1) | Of which | Cross reference to capital schedule (2) |
|---|---|---|---|---|
| Cash and non-interest-bearing deposits with banks | 14,011 | 14,011 | | |
| Interest-bearing deposits with banks | 35,575 | 35,575 | | |
| Securities | 269,841 | 269,594 | | 86 | AD |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | AE |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | |
| Significant investments in capital of non-financial institutions | | | | | 269,508 |
| Other securities | | | | | |
| Cash collateral on securities borrowed | 18,945 | 18,945 | | | |
| Securities purchased under resale agreements | 91,261 | 91,261 | | | |
| Loans (3) | 575,830 | 575,830 | | | |
| Allowance for credit losses | (4,191) | (4,191) | | (230) | Y |
| General allowance reflected in T2 capital | | | | (409) | Z |
| Excess in allowance over expected losses reflected in T2 capital | | | | (3,552) | |
| Allowances not reflected in regulatory capital | | | | | |
| Derivative instruments | 38,490 | 38,490 | | | |
| Property and equipment | 3,277 | 3,277 | | | |
| Goodwill | 5,400 | 5,400 | | | F |
| Software and other intangible assets | 2,813 | 2,813 | | | |
| Investments in equity-accounted associates and joint ventures | 765 | 1,067 | | | P |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10% of CET1) | | | | | R |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15% basket of CET1) | | | | 635 | AB |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | 9 | G |
| Significant investments in capital of other financial institutions related to goodwill | | | | 18 | Al |
| Significant investments in capital of other financial institutions related to intangibles | | | | 24 | Q |
| Significant investments in capital of non-financial institutions | | | | | S |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10% of CET1) | | | | 302 | AC |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15% basket of CET1) | | | | 36 | AG |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | | | | 43 | |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | |
| Non-significant investments in capital of non-financial institutions | | | | | |
| Deferred tax assets | 783 | 770 | | 20 | K |
| Deferred tax assets excluding those arising from temporary differences | | | | | | T |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15% basket of CET1) | | | | 1,568 | AA |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | | | | (93) | H |
| Deferred tax liabilities related to goodwill | | | | (404) | J |
| Deferred tax liabilities related to software and other intangible assets | | | | (321) | O |
| Deferred tax liabilities related to defined benefit pension fund net assets | | | | | |
| Other assets | 1,345 | 1,345 | | N |
| Defined benefit pension fund net assets | 35,998 | 35,954 | | 5 | AF |
| Other | | | | | |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | |
| Other | | | | | |
| Total assets | 1,090,143 | 1,090,141 | | 35,949 | |

Liabilities ($ millions)

| | Balance sheet as in report to shareholders | Balance sheet as in the regulatory scope of consolidation (1) | Of which | Cross reference to capital schedule (2) |
|---|---|---|---|---|
| Deposits | 784,627 | 784,627 | | |
| Obligations related to securities sold short | 20,093 | 20,093 | | |
| Cash collateral on securities lent | 6,715 | 6,715 | | |
| Obligations related to securities sold under repurchase agreements | 43,945 | 43,945 | | |
| Derivative instruments | 43,945 | 43,945 | | |
| Deferred tax liabilities | 49 | 49 | | |
| Other liabilities | 30,713 | 30,713 | | 8,284 | W |
| Subordinated indebtedness | 74,705 | 74,705 | | |
| Subordinated indebtedness included in capital | 6,774 | 6,774 | | |
| Subordinated indebtedness not allowed for T2 capital | | | | |
| **Total liabilities** | **1,028,197** | **1,028,195** | | **490** | |
| **Equity** | | | | | |
| Preferred shares and other equity instruments | 5,942 | 5,942 | | | U |
| Common shares | 16,929 | 16,929 | | 16,922 | A |
| Common shares - treasury positions | | | | | |
| Contributed surplus | 196 | 156 | | | B |
| Retained earnings | 34,804 | 34,804 | | | C |
| **AOCI** | 3,655 | 3,655 | | 91 | D |
| Cash flow hedges | | | | 1,079 | E |
| Net fair value gains (losses) arising from changes in institution's own credit risk | | | | 67 | AH |
| Other | | | | 2,510 | |
| Non-controlling interests | 280 | 280 | | | |
| Portion allowed for inclusion into CET1 | | | | 120 | 19 | V |
| Portion allowed for inclusion into additional T1 capital | | | | 19 | 19 | 123 |
| Portion not allowed for regulatory capital | | | | | | X |
| **Total liabilities and equity** | **61,946** | **61,946** | | | | |

For footnotes, see next page.

# CHANGES IN REGULATORY CAPITAL

($ millions)

| | **Q2/25** | **Q1/25** | **Q4/24** | **Q3/24** | **Q2/24** |
|---|---|---|---|---|---|
| **CET1 capital** | | | | | |
| 1 | Opening amount | 46,213 | 44,516 | 43,784 | 42,728 |
| 2 | Shares issued in lieu of cash dividends (add back) | 9 | 77 | 136 | 58 |
| 3 | Other issue of common shares | - | - | - | 45 | 299 |
| 4 | Redeemed capital | (108) | (53) | (90) | - |
| | Purchase of common shares for cancellation | (108) | (53) | (90) | - |
| 5 | Other issue of common shares for cancellation | (108) | (53) | (90) | - |
| 6 | Dividends and distributions | (988) | (1,002) | (922) | (912) | (905) |
| 7 | Net income attributable to equity shareholders | 1,998 | 2,163 | 1,874 | 1,786 | 1,739 |
| 8 | Currency translation differences | (1,164) | 882 | 140 | 50 | 465 |
| 9 | Securities gains/(losses) on fair value through other comprehensive income (AOCI) | (11) | 104 | (55) | (18) | (10) |
| 10 | Cash flow hedges (1) | 278 | 291 | 250 | 996 | (496) |
| 11 | Fair value change of fair value option derivatives attributable to changes in credit risk | 157 | (2) | (19) | 59 | (466) |
| 12 | Deferred benefit pension plans | (47) | 19 | 143 | 172 | 57 |
| 13 | Removal of own credit spread (net of tax) | (157) | 16 | (32) | (45) |
| 14 | Change in net eligible stock-based compensation, net of related tax liabilities | 241 | (168) | (142) | (10) | (89) |
| 15 | Shortfall of allowance to expected losses | | | | | |
| 16 | Other, including regulatory adjustments | | | | | |
| 17 | Deferred tax assets that arise solely from future profitability (excluding those arising from temporary differences) | 1 | (6) | (1) | (5) |
| 18 | Defined benefit pension fund net assets | 62 | (41) | (117) | (186) | (3) |
| 19 | Significant investments in capital of other financial institutions (amount above 10% threshold) | - | - | - | - | - |
| 20 | Defined benefit pension fund net assets | - | - | - | - | - |
| 21 | Prudential valuation adjustments | (306) | (286) | (199) | (1,005) | 470 |
| 22 | Closing amount | 45,795 | 46,213 | 44,516 | 43,784 | 42,728 |
| **AT1 capital** | | | | | |
| Opening amount | 5,361 | 4,965 | 4,967 | 4,943 |
| AT1 eligible capital issues | 600 | 693 | | (650) | (325) |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | (2) | |
| Regulatory adjustments | - | - | - | - |
| Closing amount | 5,961 | 5,361 | 4,965 | 4,967 | 5,117 |
| **T2 capital** | | | | | |
| Opening amount | 7,540 | 7,328 | 7,394 | 7,633 |
| New T2 eligible capital issues | 1,200 | | (1,000) | |
| Redeemed capital | - | - | - | - |
| Amortization adjustments | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | - | - |
| Other, including regulatory adjustments | - | - | - | - |
| Closing amount | 8,941 | 7,540 | 7,328 | 7,394 | 7,633 |
| **Total capital** | **60,697** | **59,114** | **56,809** | **56,145** | **55,478** |

(1) Change in net cash flow hedges is included in Line 11 then derecognized in Line 22.

# TLAC1: TLAC COMPOSITION (AT RESOLUTION GROUP LEVEL)

($ millions)

| | **Q2/25** | **Q1/25** | **Q4/24** | **Q3/24** | **Q2/24** |
|---|---|---|---|---|---|
| **Regulatory capital elements of TLAC and adjustments** | | | | | |
| 1 | CET1 capital | 45,795 | 46,213 | 44,516 | 43,784 | 42,728 |
| 2 | AT1 capital before TLAC adjustments | 5,961 | 5,361 | 4,965 | 4,967 | 5,117 |
| 3 | AT1 ineligible as TLAC as issued out of subsidiaries to third parties | | | | | |
| 4 | Other adjustments | | | | | |
| 5 | AT1 instruments eligible under the TLAC framework | 5,961 | 5,361 | 4,965 | 4,967 | 5,117 |
| 6 | T2 capital before TLAC adjustments | 8,941 | 7,540 | 7,328 | 7,394 | 7,633 |
| 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 | 8,941 | 7,540 | 7,328 | 7,394 | 7,633 |
| 11 | TLAC arising from regulatory capital | 60,697 | 59,114 | 56,809 | 56,145 | 55,478 |
| **Non-regulatory capital elements of TLAC** | | | | | |
| 12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | | | | | |
| 13 | External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements | 49,211 | 48,628 | 44,376 | 43,042 | 40,437 |
| 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 | 49,211 | 48,628 | 44,376 | 43,042 | 40,437 |
| **Non-regulatory capital elements of TLAC: adjustments** | | | | | |
| 18 | TLAC before deductions | 109,908 | 107,742 | 101,185 | 99,187 | 95,915 |
| 19 | Deductions of exposures between multiple point of entry resolution groups that correspond to items eligible for TLAC (not applicable to special purpose entities (SPEs) G-SIBs and D-SIBs) | n/a | | n/a | | n/a |
| 20 | Deduction of investments in own other TLAC liabilities | (165) | (209) | (123) | (37) | (25) |
| 21 | Other adjustments to TLAC | | | | | |
| 22 | TLAC available after deductions | 109,803 | 107,533 | 101,062 | 99,150 | 95,890 |
| **RWA and leverage exposure measure for TLAC purposes** | | | | | |
| 23 | Total RWA adjusted as permitted under the TLAC regime | 341,204 | 341,930 | 333,502 | 329,202 | 326,514 |
| 24 | Leverage exposure measure | 1,213,223 | 1,205,520 | 1,155,432 | 1,133,983 | 1,112,411 |
| **TLAC ratios and buffers (1)** | | | | | |
| 25 | TLAC Ratio (as a percentage of RWA adjusted as permitted under the TLAC regime) (%) | 32.2% | 31.4% | 30.3% | 30.1% | 29.4% |
| 26 | TLAC Leverage Ratio (as a percentage of leverage exposure) (%) | 9.1% | 8.9% | 8.7% | 8.7% | 8.6% |
| 27 | CET1 (as a percentage of RWA) available after meeting the resolution group's minimum capital and TLAC requirements | 8.9% | 9.0% | 8.8% | 8.8% | 8.6% |
| 28 | Institution-specific buffer (capital conservation buffer plus countercyclical buffer plus higher loss absorbency, expressed as a percentage of RWA) | 3.5% | 3.5% | 3.5% | 3.5% | 3.5% |
| 29 | Of which: capital conservation buffer | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 30 | Of which: bank specific countercyclical buffer (2) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 31 | Of which: D-SIB/G-SIB buffer | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% |

(1) As a D-SIB, CIBC is subject to a target risk-based TLAC Ratio (which comprises a minimum risk-based TLAC ratio of 21.5% plus the then-applicable DSB) and a minimum TLAC Leverage Ratio of 7.25%.
(2) Bank specific countercyclical buffer requirement of 0.04% in Q2/25 (Q1/25: 0.03%) is the amount which is determined based on our weighted average private sector exposures in jurisdictions identified by the BCBS.
n/a Not applicable.

# TLAC3: RESOLUTION ENTITY - CREDITOR RANKING AT LEGAL ENTITY LEVEL (1)(2)

($ millions)

| | **Q2/25** | | | | | |
|---|---|---|---|---|---|---|
| **Creditor ranking** | (most junior) | (most senior) | | | | |
| | Common shares (a) | Preferred shares and other equity instruments (b) | Subordinated debt (c) | Bail-in debt (3) (d) | Other liabilities (4) (e) | Total (f) |
| 1 | Description of creditor ranking | | | | | | |
| 2 | Total capital and liabilities net of CRM | 16,929 | 5,942 | 8,700 | 58,599 | | 90,170 |
| 3 | Subset of row 2 that are excluded liabilities | 7 | | 76 | 244 | | 327 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 16,922 | 5,942 | 8,624 | 58,355 | | 89,843 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 16,922 | 5,942 | 5,924 (5) | 48,400 | | 77,188 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity < 2 years | | | | 21,051 | | 21,051 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity < 5 years | | | | 20,537 | | 20,537 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity < 10 years | | | 5,924 | 4,726 | | 10,650 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | | | | 2,086 | | 2,086 |
| 10 | Subset of row 5 that is perpetual securities | 16,922 | 5,942 | | 22,864 |

($ millions)

| | **Q1/25** | | | | | |
|---|---|---|---|---|---|---|
| **Creditor ranking** | (most junior) | (most senior) | | | | |
| | Common shares (a) | Preferred shares and other equity instruments (b) | Subordinated debt (c) | Bail-in debt (3) (d) | Other liabilities (4) (e) | Total (f) |
| 1 | Description of creditor ranking | | | | | | |
| 2 | Total capital and liabilities net of CRM | 17,027 | 5,341 | 7,464 | 66,551 | | 96,383 |
| 3 | Subset of row 2 that are excluded liabilities | 5 | | 58 | 368 | | 431 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 17,022 | 5,341 | 7,406 | 66,183 | | 95,952 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 17,022 | 5,341 | 5,942 (5) | 48,011 | | 76,316 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity < 2 years | | | | 20,796 | | 20,796 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity < 5 years | | | | 20,115 | | 20,115 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity < 10 years | | | 5,942 | 4,960 | | 10,902 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | | | | 2,140 | | 2,140 |
| 10 | Subset of row 5 that is perpetual securities | 17,022 | 5,341 | | 22,363 |

($ millions)

| | **Q4/24** | | | | | |
|---|---|---|---|---|---|---|
| **Creditor ranking** | (most junior) | (most senior) | | | | |
| | Common shares (a) | Preferred shares and other equity instruments (b) | Subordinated debt (c) | Bail-in debt (3) (d) | Other liabilities (4) (e) | Total (f) |
| 1 | Description of creditor ranking | | | | | | |
| 2 | Total capital and liabilities net of CRM | 17,011 | 4,946 | 7,516 | 61,496 | | 90,969 |
| 3 | Subset of row 2 that are excluded liabilities | 2 | | 64 | 434 | | 500 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 17,009 | 4,946 | 7,452 | 61,062 | | 90,469 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 17,009 | 4,946 | 5,936 (5) | 43,205 | | 71,096 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity < 2 years | | | | 8,974 | | 8,974 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity < 5 years | | | | 26,217 | | 26,217 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity < 10 years | | | 5,936 | 5,883 | | 11,819 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | | | | 2,131 | | 2,131 |
| 10 | Subset of row 5 that is perpetual securities | 17,009 | 4,946 | | 21,955 |

(1) Presented for CIBC at the legal entity level and therefore instruments issued by subsidiaries and SPEs 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.
(5) Includes NVCC subordinated debt only.

TLAC3: RESOLUTION ENTITY - CREDITOR RANKING AT LEGAL ENTITY LEVEL (continued) (1)(2)

($ millions)

| | **Q3/24** | | | | | |
|---|---|---|---|---|---|---|
| **Creditor ranking** | (most junior) | (most senior) | | | | |
| | Common shares (a) | Preferred shares and other equity instruments (b) | Subordinated debt (c) | Bail-in debt (3) (d) | Other liabilities (4) (e) | Total (f) |
| 1 | Description of creditor ranking | | | | | | |
| 2 | Total capital and liabilities net of CRM | 16,919 | 4,949 | 7,516 | 60,642 | | 90,026 |
| 3 | Subset of row 2 that are excluded liabilities | 2 | | 37 | 126 | | 165 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 16,917 | 4,949 | 7,479 | 60,516 | | 89,861 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 16,917 | 4,949 | 5,963 (5) | 41,865 | | 69,694 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity < 2 years | | | | 12,465 | | 12,465 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity < 5 years | | | | 22,652 | | 22,652 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity < 10 years | | | 5,963 | 4,700 | | 10,663 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | | | | 2,048 | | 2,048 |
| 10 | Subset of row 5 that is perpetual securities | 16,917 | 4,949 | | 21,866 |

($ millions)

| | **Q2/24** | | | | | |
|---|---|---|---|---|---|---|
| **Creditor ranking** | (most junior) | (most senior) | | | | |
| | Common shares (a) | Preferred shares and other equity instruments (b) | Subordinated debt (c) | Bail-in debt (3) (d) | Other liabilities (4) (e) | Total (f) |
| 1 | Description of creditor ranking | | | | | | |
| 2 | Total capital and liabilities net of CRM | 16,813 | 5,098 | 8,014 | 57,787 | | 87,712 |
| 3 | Subset of row 2 that are excluded liabilities | | | 20 | 130 | | 150 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 16,813 | 5,098 | 7,994 | 57,657 | | 87,562 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 16,813 | 5,098 | 6,230 (5) | 38,735 | | 66,876 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity < 2 years | | | | 9,827 | | 9,827 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity < 5 years | | | | 22,033 | | 22,033 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity < 10 years | | | 6,230 | 4,843 | | 11,073 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | | | | 2,032 | | 2,032 |
| 10 | Subset of row 5 that is perpetual securities | 16,813 | 5,098 | | 21,911 |

For footnotes, see page 22.

# CCyB1 - GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES USED IN THE CALCULATION OF THE BANK-SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER REQUIREMENT

($ millions)

| **Geographical breakdown** | **Countercyclical capital buffer rate % (a)** | **Exposure values and/or RWA used in the computation of the countercyclical capital buffer (b)** | **RWA (c)** | **Bank-specific countercyclical capital buffer rate % (1) (d)** | **Countercyclical buffer amount (e)** |
|---|---|---|---|---|---|
| **Q2/25** | | | | | |
| Australia | 1.00 | 8,638 | 1,104 | | |
| Belgium | 1.00 | 6,655 | 21 | | |
| Canada | 0.50 | 246 | 431 | 154 | |
| Czech Republic | 1.25 | 21 | | |
| Denmark | 2.50 | 26 | 15 | | |
| France | 1.00 | 4,838 | 375 | 315 | |
| Germany | 1.00 | 2,870 | 317 | | |
| Hong Kong | 0.75 | 1,541 | 450 | | |
| Luxembourg | 1.00 | 799 | 142 | | |
| Netherlands | 0.50 | 4,818 | 335 | | |
| Norway | 1.00 | 1,861 | 142 | | |
| South Korea | 2.50 | 197 | 46 | | |
| Sweden | 1.00 | 620 | 271 | | |
| United Kingdom | 2.00 | 18,113 | 2,386 | | |
| **Sum (2)** | | 1,132,146 | 34,775 | 0.9% | | 132 (4) |

($ millions)

| **Geographical breakdown** | **Countercyclical capital buffer rate % (a)** | **Exposure values and/or RWA used in the computation of the countercyclical buffer (b)** | **RWA (c)** | **Bank-specific countercyclical capital buffer rate % (1) (d)** | **Countercyclical buffer amount (e)** |
|---|---|---|---|---|---|
| **Q1/25** | | | | | |
| Australia | 1.00 | 5,183 | 1,008 | | |
| Belgium | 1.00 | 5,638 | 16 | | |
| Canada | 0.50 | 574 | 252 | | |
| Czech Republic | 1.25 | 10 | 6 | | |
| Denmark | 2.50 | 1,462 | 211 | | |
| France | 1.00 | 1,398 | 599 | | |
| Germany | 1.00 | 2,870 | 317 | | |
| Hong Kong | 0.75 | 1,541 | 450 | | |
| Luxembourg | 1.00 | 799 | 142 | | |
| Netherlands | 0.50 | 4,818 | 335 | | |
| Norway | 1.00 | 1,861 | 142 | | |
| South Korea | 2.50 | 197 | 46 | | |
| Sweden | 1.00 | 620 | 271 | | |
| United Kingdom | 2.00 | 18,113 | 2,386 | | |
| **Sum (2)** | | 1,125,994 | 24,911 | 0.0% | | 131 (4) |

CCyB1 - GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES USED IN THE CALCULATION OF THE BANK-SPECIFIC COUNTERCYCLICAL BUFFER REQUIREMENT (continued)

($ millions)

| **Geographical breakdown** | **Countercyclical capital buffer rate % (a)** | **Exposure values and/or RWA used in the computation of the countercyclical buffer (b)** | **RWA (c)** | **Bank-specific countercyclical capital buffer rate % (1) (d)** | **Countercyclical buffer amount (e)** |
|---|---|---|---|---|---|
| **Q4/24** | | | | | |
| Australia | 1.00 | 5,903 | 1,112 | | |
| Belgium | 1.00 | 743 | 58 | 22 | |
| Canada | 0.50 | 1,895 | 1,498 | 507 | |
| Czech Republic | 1.25 | 1,001 | 981 | 497 | |
| Denmark | 2.50 | 2,870 | 317 | | |
| France | 1.00 | 1,541 | 450 | | |
| Germany | 1.00 | 799 | 142 | | |
| Hong Kong | 0.75 | 4,818 | 335 | | |
| Luxembourg | 1.00 | 1,861 | 142 | | |
| Netherlands | 0.50 | 197 | 46 | | |
| Norway | 1.00 | 620 | 271 | | |
| South Korea | 2.50 | 18,113 | 2,368 | | |
| Sweden | 1.00 | 20,720 | 2,368 | | |
| United Kingdom | 2.00 | 34,808 | 5,859 | 0.0% | | 121 (4) |
| **Sum (2)** | | 1,042,843 | 242,681 | | |

($ millions)

| **Geographical breakdown** | **Countercyclical capital buffer rate % (a)** | **Exposure values and/or RWA used in the computation of the countercyclical buffer (b)** | **RWA (c)** | **Bank-specific countercyclical capital buffer rate % (1) (d)** | **Countercyclical buffer amount (e)** |
|---|---|---|---|---|---|
| **Q3/24** | | | | | |
| Australia | 1.00 | 5,903 | 1,112 | | |
| Belgium | 1.00 | 743 | 58 | 22 | |
| Canada | 0.50 | 1,895 | 1,498 | 507 | |
| Czech Republic | 1.25 | 1,001 | 981 | 497 | |
| Denmark | 2.50 | 2,870 | 317 | | |
| France | 1.00 | 1,541 | 450 | | |
| Germany | 1.00 | 799 | 142 | | |
| Hong Kong | 0.75 | 4,818 | 335 | | |
| Luxembourg | 1.00 | 1,861 | 142 | | |
| Netherlands | 0.50 | 197 | 46 | | |
| Norway | 1.00 | 620 | 271 | | |
| South Korea | 2.50 | 18,113 | 2,368 | | |
| Sweden | 1.00 | 20,720 | 2,368 | | |
| United Kingdom | 2.00 | 34,808 | 5,859 | 0.0% | | 121 (4) |
| **Sum (2)** | | 1,050,549 | 5,688 | 0.0% | | 115 (4) |

($ millions)

| **Geographical breakdown** | **Countercyclical capital buffer rate % (a)** | **Exposure values and/or RWA used in the computation of the countercyclical buffer (b)** | **RWA (c)** | **Bank-specific countercyclical capital buffer rate % (1) (d)** | **Countercyclical buffer amount (e)** |
|---|---|---|---|---|---|
| **Q2/24** | | | | | |
| Australia | 1.00 | 7,283 | 1,128 | | |
| Belgium | 1.00 | 7,540 | 76 | | |
| Canada | 0.50 | 1,354 | 692 | | |
| Czech Republic | 1.25 | 1,013 | 1,294 | 635 | |
| Denmark | 2.50 | 4,017 | 1,477 | 567 | |
| France | 1.00 | 1,589 | 648 | | |
| Germany | 1.00 | 1,548 | 672 | | |
| Hong Kong | 0.75 | 1,648 | 572 | | |
| Luxembourg | 1.00 | 1,589 | 667 | | |
| Netherlands | 0.50 | 951 | 244 | | |
| Norway | 1.00 | 19,199 | 2,247 | | |
| South Korea | 2.50 | 34,035 | 5,774 | | |
| Sweden | 1.00 | 240,985 | 328,026 | 0.0% | | 74 (4) |
| United Kingdom | 2.00 | 1,059,706 | 252,060 | | |
| **Sum (2)** | | 1,059,706 | 252,060 | 0.0% | | 74 (4) |

(1) Bank specific countercyclical buffer requirement of 0.04% in Q2/25 (Q1/25: 0.03%) is the amount which is determined based on our weighted average private sector exposures in jurisdictions identified by the BCBS.
(2) Total of private sector credit exposures or RWA for private sector credit exposures, respectively, across all jurisdictions to which the bank is exposed, including jurisdictions with no countercyclical capital buffer rate or with a countercyclical capital buffer set at zero, and RWA weighted by the bank-specific countercyclical buffer rate.
(3) Total of private sector credit exposures or RWA for private sector credit exposures, respectively, across all jurisdictions to which the bank is exposed, including jurisdictions with no countercyclical capital buffer rate or with a countercyclical capital buffer set at zero, and RWA weighted by the bank-specific countercyclical buffer rate.
(4) Computed using the total RWA $341,204 million (Q1/25: $341,204 million, multiplied by the bank-specific countercyclical buffer rate.

# LR1: SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE

($ millions)

| | Q2/25 | Q1/25 | Q4/24 | Q3/24 | Q2/24 |
|---|---|---|---|---|---|
| 1 | Total consolidated assets as per published financial statements | 1,090,143 | 1,082,464 | 1,041,985 | 1,021,407 | 1,001,758 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | (2) | (18) | (19) | (18) | (15) |
| 3 | Adjustment for securitized exposures that meet the operational requirements for the recognition of risk transference | (2,536) | (2,675) | (3,389) | (3,852) | (2,938) |
| 4 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | | | | | |
| 5 | Adjustment for derivative financial instruments | 1,212 | 2,623 | 1,115 | 4,074 | 3,062 |
| 6 | Adjustment for SFTs (i.e., repos and similar secured lending) | 3,127 | 5,194 | 1,778 | 3,513 | 2,589 |
| 7 | Adjustment for off-balance sheet items (i.e., credit equivalent amounts of off-balance sheet exposures) | 138,949 | 137,228 | 130,274 | 124,633 | 122,937 |
| 8 | Other adjustments | (17,670) | (19,296) | (16,312) | (15,774) | (14,982) |
| 9 | Leverage ratio exposure measure | 1,213,223 | 1,205,520 | 1,155,432 | 1,133,983 | 1,112,411 |

# LR2: LEVERAGE RATIO COMMON DISCLOSURE TEMPLATE

| | Q2/25 | Q1/25 | Q4/24 | Q3/24 | Q2/24 |
|---|---|---|---|---|---|
| **On-balance sheet items (excluding derivatives, SFTs and grandfathered securitization exposures, but including collateral)** | | | | | |
| 1 | On-balance sheet exposures | 938,908 | 936,448 | 901,391 | 891,410 | 867,599 |
| 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) | (7,779) | (9,383) | (6,919) | (6,890) | (7,278) |
| 4 | (Asset amounts deducted in determining T1 capital) | (9,891) | (9,914) | (9,391) | (8,884) | (7,705) |
| 5 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 to 4) | 921,238 | 917,151 | 885,081 | 875,636 | 852,616 |
| **Derivative exposures** | | | | | |
| 6 | Replacement cost associated with all derivative transactions | 10,003 | 11,652 | 10,599 | 8,430 | 8,762 |
| 7 | Add-on amounts for potential future exposure associated with all derivative transactions | 29,700 | 29,543 | 26,950 | 25,955 | 25,710 |
| 8 | Adjusted effective notional amount of written credit derivatives | 3,323 | 3,593 | 3,399 | 2,909 | 3,739 |
| 9 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | (3,323) | (3,593) | (3,399) | (2,909) | (3,739) |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | 39,703 | 41,195 | 37,549 | 34,385 | 34,472 |
| 11 | Total derivatives exposures (sum of lines 6 to 10) | 110,206 | 104,752 | 100,750 | 95,816 | 99,797 |
| **SFT exposures** | | | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | (6,958) | (6,196) | (4,542) | (3,780) |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | 10,085 | 11,270 | 7,974 | | |
| 14 | Counterparty credit risk exposure for SFTs | | | | | |
| 15 | Agent transaction exposures | | | | | |
| 16 | Total SFT exposures (sum of lines 12 to 15) | 113,333 | 109,946 | 102,528 | 99,329 | 102,386 |
| **Other off-balance sheet exposures** | | | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 450,318 | 445,447 | 430,273 | 415,295 | 410,149 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (311,369) | (308,219) | (299,999) | (290,662) | (287,212) |
| 19 | Off-balance sheet items (sum of lines 17 and 18) | 138,949 | 137,228 | 130,274 | 124,633 | 122,937 |
| **Capital and Total Exposures** | | | | | |
| 20 | T1 capital | 51,756 | 51,574 | 49,481 | 48,751 | 47,845 |
| 21 | Total Exposures (sum of lines 5, 11, 16 and 19) | 1,213,223 | 1,205,520 | 1,155,432 | 1,133,983 | 1,112,411 |
| 22 | Leverage Ratio | 4.3% | 4.3% | 4.3% | 4.3% | 4.3% |

# CR1: CREDIT QUALITY OF ASSETS

($ millions)

| | **Q2/25** | | | | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | **Allowances/ impairments** | **Of which ECL accounting provisions for credit losses on SA exposures (1)** | **Of which ECL accounting provisions for credit losses on IRB exposures** | **Net value (a+b-c)** |
| | Defaulted exposures (a) | Non-defaulted exposures (b) | (c) | Allocated in regulatory category of specific (d) | Allocated in regulatory category of general (e) | (f) | (g) |
| 1 | Loans | 3,295 | 572,535 | 4,191 | 178 | 221 | 3,792 | 571,639 |
| 2 | Debt securities | 438 | 200,713 | 33 | 11 | 22 | | 201,118 |
| 2a | Other investment (2) | | 3 | | | | | 3 |
| 3 | Off-balance sheet exposures (3) | 288 | | 264 | 10 | 254 | | 449,017 |
| 4 | Total | 4,021 | 1,222,244 | 4,488 | 189 | 253 | 4,046 | 1,221,777 |

($ millions)

| | **Q1/25** | | | | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | **Allowances/ impairments** | **Of which ECL accounting provisions for credit losses on SA exposures (1)** | **Of which ECL accounting provisions for credit losses on IRB exposures** | **Net value (a+b-c)** |
| | Defaulted exposures (a) | Non-defaulted exposures (b) | (c) | Allocated in regulatory category of specific (d) | Allocated in regulatory category of general (e) | (f) | (g) |
| 1 | Loans | 3,262 | 568,961 | 4,104 | 193 | 249 | 3,662 | 568,119 |
| 2 | Debt securities | 468 | 200,000 | 37 | 12 | 25 | | 200,431 |
| 2a | Other investment (2) | | 3 | | | | | 3 |
| 3 | Off-balance sheet exposures (3) | 250 | | 272 | 10 | 262 | | 444,716 |
| 4 | Total | 3,980 | 1,213,702 | 4,413 | 205 | 284 | 3,924 | 1,213,269 |

($ millions)

| | **Q4/24** | | | | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | **Allowances/ impairments** | **Of which ECL accounting provisions for credit losses on SA exposures (1)** | **Of which ECL accounting provisions for credit losses on IRB exposures** | **Net value (a+b-c)** |
| | Defaulted exposures (a) | Non-defaulted exposures (b) | (c) | Allocated in regulatory category of specific (d) | Allocated in regulatory category of general (e) | (f) | (g) |
| 1 | Loans | 2,914 | 559,295 | 3,917 | 176 | 240 | 3,501 | 558,292 |
| 2 | Debt securities | 457 | 192,464 | 36 | 12 | 24 | | 192,885 |
| 2a | Other investment (2) | | 3 | | | | | 3 |
| 3 | Off-balance sheet exposures (3) | 166 | | 197 | 5 | 192 | | 429,783 |
| 4 | Total | 3,537 | 1,181,576 | 4,150 | 188 | 269 | 3,693 | 1,180,963 |

CR1: CREDIT QUALITY OF ASSETS (continued)

($ millions)

| | **Q3/24** | | | | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | **Allowances/ impairments** | **Of which ECL accounting provisions for credit losses on SA exposures (1)** | **Of which ECL accounting provisions for credit losses on IRB exposures** | **Net value (a+b-c)** |
| | Defaulted exposures (a) | Non-defaulted exposures (b) | (c) | Allocated in regulatory category of specific (d) | Allocated in regulatory category of general (e) | (f) | (g) |
| 1 | Loans | 2,757 | 551,312 | 3,920 | 187 | 251 | 3,482 | 550,149 |
| 2 | Debt securities | 461 | 189,971 | 37 | 12 | 24 | 1 | 190,395 |
| 2a | Other investment (2) | | 4 | | | | | 4 |
| 3 | Off-balance sheet exposures (3) | 339 | | 198 | 5 | 193 | | 414,888 |
| 4 | Total | 3,557 | 1,156,034 | 4,155 | 199 | 280 | 3,676 | 1,155,436 |

($ millions)

| | **Q2/24** | | | | | | |
|---|---|---|---|---|---|---|---|
| | **Gross carrying values of** | **Allowances/ impairments** | **Of which ECL accounting provisions for credit losses on SA exposures (1)** | **Of which ECL accounting provisions for credit losses on IRB exposures** | **Net value (a+b-c)** |
| | Defaulted exposures (a) | Non-defaulted exposures (b) | (c) | Allocated in regulatory category of specific (d) | Allocated in regulatory category of general (e) | (f) | (g) |
| 1 | Loans | 2,849 | 544,946 | 3,898 | 183 | 244 | 3,471 | 543,897 |
| 2 | Debt securities | 465 | 176,555 | 38 | 13 | 24 | 1 | 176,982 |
| 2a | Other investment (2) | | 4 | | | | | 4 |
| 3 | Off-balance sheet exposures (3) | 266 | | 188 | 5 | 183 | | 409,098 |
| 4 | Total | 3,580 | 1,130,525 | 4,124 | 196 | 273 | 3,655 | 1,129,981 |

For footnotes, see page 27.

# CR2: CHANGES IN STOCK OF DEFAULTED LOANS AND DEBT SECURITIES (1)

($ millions)

| | **Q2/25** | **Q1/25** | **Q4/24** | **Q3/24** | **Q2/24** |
|---|---|---|---|---|---|
| 1 | Defaulted loans and debt securities at end of the previous reporting period | 3,980 | 3,537 | 3,580 | 3,580 | 3,684 |
| 2 | Loans and debt securities that have defaulted since the last reporting period | 1,225 | 1,408 | 1,305 | 1,157 | 1,072 |
| 3 | Amounts repaid (2) | (445) | (540) | (500) | (619) | (417) |
| 4 | Returned to non-defaulted status | (206) | (160) | (184) | (141) | (146) |
| 5 | Amounts written off | (169) | (431) | (473) | (499) | (698) |
| 6 | Other changes (3) | 179 | 156 | (126) | 14 | - |
| 7 | Defaulted loans and debt securities at end of the reporting period | 4,021 | 3,980 | 3,580 | 3,580 | 3,580 |

(1) Includes off-balance sheet exposures.
(2) Includes proceeds from the disposal of loans.
(3) Includes changes due to foreign exchange movements.

# CR3: CREDIT RISK MITIGATION (CRM) TECHNIQUES – OVERVIEW

($ millions)

| | **Q2/25** | | | | | |
|---|---|---|---|---|---|---|
| **Exposure unsecured:** | Exposure carrying amount (a) | Exposure secured by collateral (b) | Exposure secured by financial guarantees (c) | Exposure secured by credit derivatives (f) |
| 1 | Loans | 71,383 | 500,256 | 486,153 | 4,103 | - |
| 2 | Debt securities | 173,415 | 27,703 | 5,013 | 22,890 | - |
| 3 | Total (3) | 244,798 | 527,959 | 501,166 | 26,793 | - |
| 4 | Of which defaulted (6) | 528 | 2,290 | | | |

| | **Q1/25** | | | | | |
|---|---|---|---|---|---|---|
| **Exposure unsecured:** | Exposure carrying amount (a) | Exposure secured by collateral (b) | Exposure secured by financial guarantees (c) | Exposure secured by credit derivatives (f) |
| 1 | Loans | 68,933 | 499,186 | 495,379 | 3,807 | - |
| 2 | Debt securities | 172,686 | 27,745 | 4,557 | 23,188 | - |
| 3 | Total (3) | 241,619 | 526,931 | 499,936 | 26,995 | - |
| 4 | Of which defaulted (6) | 595 | 1,752 | | | |

($ millions)

| | **Q4/24** | | | | | |
|---|---|---|---|---|---|---|
| **Exposure unsecured:** | Exposure carrying amount (a) | Exposure secured by collateral (b) | Exposure secured by financial guarantees (c) | Exposure secured by credit derivatives (f) |
| 1 | Loans | 67,889 | 490,403 | 486,685 | 3,518 | - |
| 2 | Debt securities | 168,295 | 24,590 | 3,624 | 20,966 | - |
| 3 | Total (3) | 236,184 | 514,993 | 490,509 | 24,484 | - |
| 4 | Of which defaulted (6) | 533 | 2,010 | | | |

| | **Q3/24** | | | | | |
|---|---|---|---|---|---|---|
| **Exposure unsecured:** | Exposure carrying amount (a) | Exposure secured by collateral (b) | Exposure secured by financial guarantees (c) | Exposure secured by credit derivatives (f) |
| 1 | Loans | 65,913 | 484,236 | 481,238 | 2,998 | - |
| 2 | Debt securities | 23,395 | 3,021 | 3,021 | 20,892 | - |
| 3 | Total (3) | 232,395 | 508,149 | 484,259 | 23,890 | - |
| 4 | Of which defaulted (6) | 554 | 1,823 | | | |

($ millions)

| | **Q2/24** | | | | | |
|---|---|---|---|---|---|---|
| **Exposure unsecured:** | Exposure carrying amount (a) | Exposure secured by collateral (b) | Exposure secured by financial guarantees (c) | Exposure secured by credit derivatives (f) |
| 1 | Loans | 69,147 | 474,756 | 472,384 | 2,372 | - |
| 2 | Debt securities | 152,824 | 24,158 | 3,273 | 20,885 | - |
| 3 | Total (3) | 221,965 | 498,914 | 475,657 | 23,257 | - |
| 4 | Of which defaulted (6) | 521 | 1,895 | | | |

(1) Excludes off-balance sheet exposures.
(2) Amounts reflect the gross carrying values of exposures which are secured by either collateral or financial guarantees.
(3) Amounts reflect the gross carrying values of exposures which are secured by more than one form of security, exposures are first reduced by the amount secured by collateral, and then financial guarantees and credit derivatives, as applicable.
(4) All residential mortgages are included in exposure secured by collateral.
(5) Amounts are net of allowance for credit losses.

# CR4: SA - CREDIT RISK EXPOSURE AND CRM EFFECTS

($ millions)

| **Asset classes** | **Exposures before CCF (1) and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
|---|---|---|---|
| | On-balance sheet amount (a) | Off-balance sheet amount (b) | On-balance sheet amount (c) | Off-balance sheet amount (d) | RWA (e) | RWA density % (f) |
| **Q2/25** | | | | | | |
| 1 | Sovereigns and their central banks | 6,501 | 150 | 6,651 | 280 | 813 | 76 |
| 2 | PSEs | 920 | 163 | 920 | 163 | 877 | 4 |
| 3 | MDBs | 994 | - | 994 | - | 981 | 100 |
| 4 | Banks | 1,390 | - | 1,390 | - | 372 | 27 |
| | Of which: securities firms and other financial institutions treated as banks | - | - | - | - | - |
| 5 | Covered bonds | 6,717 | 3,245 | 6,593 | 1,222 | 6,699 | 90 |
| 6 | Corporates | 529 | 224 | 529 | 224 | 622 | 103 |
| | Of which: securities firms and other financial institutions treated as corporates | - | - | - | - | - |
| | Of which: specialized lending | 1,270 | 1,161 | 1,270 | 1,161 | 1,430 | 44 |
| 7 | Subordinated debt, equity and other capital | 3,493 | 16,637 | 3,993 | 4,252 | 3,627 | 48 |
| 8 | Retail | 2,535 | 43 | 2,788 | 17 | 1,596 | 48 |
| 9 | Real estate | 185 | - | 185 | - | 84 | 50 |
| | Of which: general RRE | 185 | - | 185 | - | 84 | 50 |
| | Of which: IPRRE | - | - | - | - | - |
| | Of which: other RRE | - | - | - | - | - |
| | Of which: general CRE | 242 | 10 | 242 | 10 | 197 | 100 |
| | Of which: IPCRE | 187 | 3 | 187 | 3 | 200 | 107 |
| | Of which: land acquisition, development and construction | 40 | 61 | 40 | 61 | 100 | 149 |
| 10 | Reverse mortgages | 15,684 | 3 | 17,615 | 2 | 7,808 | 116 |
| 11 | MBS | 43,893 | 20,357 | 48,663 | 5,991 | 23,177 | 47 |
| 12 | Defaulted exposures (2) | | | | | |
| 13 | Other assets (3) | | | | | |
| 14 | Total | 43,893 | 20,357 | 48,663 | 5,991 | 23,177 | 47 |

($ millions)

| **Asset classes** | **Exposures before CCF (1) and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
|---|---|---|---|
| | On-balance sheet amount (a) | Off-balance sheet amount (b) | On-balance sheet amount (c) | Off-balance sheet amount (d) | RWA (e) | RWA density % (f) |
| **Q1/25** | | | | | | |
| 1 | Sovereigns and their central banks | 6,202 | 170 | 6,522 | 239 | 896 | 296 |
| 2 | PSEs | 1,001 | - | 1,068 | 86 | 777 | 89 |
| 3 | MDBs | 1,250 | - | 1,250 | - | 990 | 79 |
| 4 | Banks | - | - | - | - | - |
| | Of which: securities firms and other financial institutions treated as banks | - | - | - | - | - |
| 5 | Covered bonds | 6,877 | 3,399 | 6,966 | 1,331 | 7,231 | 102 |
| 6 | Corporates | 598 | 264 | 592 | 91 | 695 | 102 |
| | Of which: securities firms and other financial institutions treated as corporates | - | - | - | - | - |
| | Of which: specialized lending | 1,394 | 117 | 1,354 | 47 | 1,541 | 45 |
| 7 | Subordinated debt, equity and other capital | 3,910 | 16,668 | 3,908 | 4,255 | 3,643 | 46 |
| 8 | Retail | 3,722 | 58 | 3,542 | 24 | 1,509 | 45 |
| 9 | Real estate | 3,028 | | 2,849 | 20 | 1,084 | 50 |
| | Of which: general RRE | 285 | 1 | 233 | 1 | 104 | 50 |
| | Of which: IPRRE | 211 | | 210 | | 100 |
| | Of which: other RRE | 187 | 3 | 186 | 1 | 100 |
| | Of which: general CRE | 40 | 61 | 40 | 61 | 100 |
| | Of which: IPCRE | | | | | |
| | Of which: land acquisition, development and construction | | | | | |
| 10 | Reverse mortgages | 12,680 | | 12,744 | 2 | 7,953 | 150 |
| 11 | MBS | 417 | 2 | 415 | 2 | 253 | 119 |
| 12 | Defaulted exposures (2) | 17,592 | | 17,592 | | 7,953 | 45 |
| 13 | Other assets (3) | | | | | |
| 14 | Total | 42,232 | 19,383 | 42,046 | 5,578 | 22,785 | 48 |

CR4: SA - CREDIT RISK EXPOSURE AND CRM EFFECTS (continued)

($ millions)

| **Asset classes** | **Exposures before CCF (1) and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
|---|---|---|---|
| | On-balance sheet amount (a) | Off-balance sheet amount (b) | On-balance sheet amount (c) | Off-balance sheet amount (d) | RWA (e) | RWA density % (f) |
| **Q4/24** | | | | | | |
| 1 | Sovereigns and their central banks | 6,769 | 181 | 6,950 | 181 | 1,032 | 389 |
| 2 | PSEs | 696 | 122 | 735 | 122 | 868 | 78 |
| 3 | MDBs | 1,290 | - | 1,290 | - | 1,390 | 95 |
| 4 | Banks | - | - | - | - | - |
| | Of which: securities firms and other financial institutions treated as banks | - | - | - | - | - |
| 5 | Covered bonds | 6,432 | 3,448 | 6,183 | 1,303 | 6,699 | 89 |
| 6 | Corporates | 543 | 264 | 529 | 264 | 626 | 102 |
| | Of which: securities firms and other financial institutions treated as corporates | - | - | - | - | - |
| | Of which: specialized lending | 1,000 | 113 | 1,000 | 113 | 1,437 | 137 |
| 7 | Subordinated debt, equity and other capital | 3,811 | 16,030 | 3,908 | 4,094 | 3,404 | 43 |
| 8 | Retail | 3,608 | 4 | 3,420 | 31 | 1,605 | 47 |
| 9 | Real estate | 2,928 | 80 | 2,777 | 91 | 1,016 | 35 |
| | Of which: general RRE | 2,608 | 2 | 2,470 | 4 | 874 | 35 |
| | Of which: IPRRE | 185 | | 168 | | 82 | 50 |
| | Of which: other RRE | 247 | 5 | 222 | 1 | 295 | 99 |
| | Of which: general CRE | 211 | 21 | 211 | 21 | 223 | 100 |
| | Of which: IPCRE | 187 | 3 | 186 | 1 | 200 | 107 |
| | Of which: land acquisition, development and construction | 45 | 69 | 45 | 69 | 109 | 149 |
| 10 | Reverse mortgages | 17,869 | 2 | 17,869 | 2 | 8,698 | 49 |
| 11 | MBS | 417 | | 417 | | 253 | 119 |
| 12 | Defaulted exposures (2) | 17,417 | | 17,417 | | 7,953 | 45 |
| 13 | Other assets (3) | | | | | |
| 14 | Total | 41,806 | 20,015 | 41,863 | 5,610 | 23,822 | 50 |

($ millions)

| **Asset classes** | **Exposures before CCF (1) and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
|---|---|---|---|
| | On-balance sheet amount (a) | Off-balance sheet amount (b) | On-balance sheet amount (c) | Off-balance sheet amount (d) | RWA (e) | RWA density % (f) |
| **Q3/24** | | | | | | |
| 1 | Sovereigns and their central banks | 5,869 | 37 | 6,262 | 198 | 295 | 5 |
| 2 | PSEs | 1,001 | 179 | 1,118 | 179 | 935 | 84 |
| 3 | MDBs | 970 | - | 970 | - | 770 | 79 |
| 4 | Banks | - | - | - | - | - |
| | Of which: securities firms and other financial institutions treated as banks | - | - | - | - | - |
| 5 | Covered bonds | 6,267 | 3,276 | 6,012 | 1,218 | 6,483 | 90 |
| 6 | Corporates | 553 | 253 | 546 | 84 | 647 | 102 |
| | Of which: securities firms and other financial institutions treated as corporates | - | - | - | - | - |
| | Of which: specialized lending | 946 | 84 | 946 | 84 | 1,322 | 135 |
| 7 | Subordinated debt, equity and other capital | 3,503 | 15,779 | 3,510 | 4,034 | 3,206 | 43 |
| 8 | Retail | 2,828 | 5 | 2,680 | 2 | 947 | 35 |
| 9 | Real estate | 223 | 8 | 199 | 2 | 100 | 49 |
| | Of which: general RRE | 186 | | 166 | | 82 | 49 |
| | Of which: IPRRE | 197 | | 197 | | 100 |
| | Of which: other RRE | 202 | 3 | 201 | 1 | 113 |
| | Of which: general CRE | 44 | 78 | 44 | 78 | 109 |
| | Of which: IPCRE | | | | | |
| | Of which: land acquisition, development and construction | 40 | 78 | 44 | 78 | 106 |
| 10 | Reverse mortgages | 17,417 | | 17,417 | | 8,225 | 47 |
| 11 | MBS | 460 | 251 | 2 | 317 | 126 |
| 12 | Defaulted exposures (2) | 17,417 | | 17,417 | | 8,225 | 47 |
| 13 | Other assets (3) | | | | | |
| 14 | Total | 40,660 | 19,451 | 40,467 | 5,804 | 22,725 | 49 |

($ millions)

| **Asset classes** | **Exposures before CCF (1) and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
|---|---|---|---|
| | On-balance sheet amount (a) | Off-balance sheet amount (b) | On-balance sheet amount (c) | Off-balance sheet amount (d) | RWA (e) | RWA density % (f) |
| **Q2/24** | | | | | | |
| 1 | Sovereigns and their central banks | 6,191 | 36 | 6,622 | 177 | 287 | 4 |
| 2 | PSEs | 1,024 | 164 | 1,084 | 72 | 885 | 77 |
| 3 | MDBs | 705 | - | 705 | - | 141 | 20 |
| 4 | Banks | 833 | - | 833 | - | 242 | 29 |
| | Of which: securities firms and other financial institutions treated as banks | - | - | - | - | - |
| 5 | Covered bonds | 6,140 | 3,358 | 5,872 | 1,258 | 6,393 | 90 |
| 6 | Corporates | 575 | 269 | 572 | 89 | 677 | 102 |
| | Of which: securities firms and other financial institutions treated as corporates | - | - | - | - | - |
| | Of which: specialized lending | 922 | 80 | 922 | 32 | 1,208 | 127 |
| 7 | Subordinated debt, equity and other capital | 4,936 | 15,664 | 4,936 | 4,007 | 3,901 | 44 |
| 8 | Retail | 3,472 | 80 | 3,269 | 31 | 1,522 | 46 |
| 9 | Real estate | 2,837 | 5 | 2,679 | 2 | 944 | 35 |
| | Of which: general RRE | 189 | | 168 | | 81 | 48 |
| | Of which: IPRRE | 219 | 5 | 196 | 1 | 197 | 100 |
| | Of which: other RRE | 187 | 3 | 186 | 1 | 200 | 107 |
| | Of which: general CRE | 40 | 67 | 40 | 27 | 100 | 149 |
| | Of which: IPCRE | | | | | |
| | Of which: land acquisition, development and construction | | | | | |
| 10 | Reverse mortgages | 417 | 1 | 211 | 1 | 253 | 119 |
| 11 | MBS | 17,592 | | 17,592 | | 7,953 | 45 |
| 12 | Defaulted exposures (2) | | | | | |
| 13 | Other assets (3) | | | | | |
| 14 | Total | 42,232 | 19,383 | 42,046 | 5,578 | 22,785 | 48 |

For footnotes, see page 31.

# CR5: SA - EXPOSURES BY ASSET CLASSES AND RISK-WEIGHTS

($ millions)

| **Asset classes** | **0%** | **15%** | **20%** | **25%** | **30%** | **35%** | **40%** | **45%** | **50%** | **55%** | **60%** | **65%** | **70%** | **75%** | **80%** | **85%** | **90%** | **100%** | **105%** | **110%** | **130%** | **150%** | **250%** | **400%** | **1250%** | **Others** | **Total credit exposure amount (post-CCF and post-CRM)** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q2/25** | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Sovereigns and their central banks | | 55 | | | | | | | | | | | | | | 965 | 60 | | | | | | | | | 1,089 |
| 2 | PSEs | | 124 | | | | | | | | | | | 263 | | | | | | | | | | | | 1,498 |
| 3 | MDBs | | | | | | | | | | | | | | | | | | | | | | | | | | 1,089 |
| 4 | Banks | | | 1,206 | | | | | | | | | 33 | | | | | | | | | | | | | 1,320 |
| | Of which: securities firms and other financial institutions | | | | | | | | | | | | | | | | 21 | | | | | | | | | |
| 5 | Covered bonds | | | | | | | | | | | | | | | | | | | 5,235 | | | 32 | | | | 7,725 |
| 6 | Corporates | | | | | | | | | | | | | | | | | | | | | | | | | | 606 |
| | Of which: securities firms and other financial institutions treated as corporates | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: specialized lending | 264 | 7 | | | | | | | | 3,979 | | | | | | | | | | | | | | | | 1,316 |
| 7 | Subordinated debt, equity and other capital | 4,266 | | | | | | | | | | | | | | | | | | | | | | | | | 1,316 |
| 8 | Retail | 671 | 326 | 400 | 394 | 28 | 389 | 20 | 28 | | | | | | | | | | | | | | | | | 8,245 |
| | Of which: general RRE | 671 | 326 | 354 | 376 | 362 | 366 | | | | | | | | | | | | | | | | | | | 3,566 |
| | Of which: IPRRE | | | 46 | 18 | 27 | 28 | | | | | | | | | | | | | | | | | | | | 2,885 |
| | Of which: other RRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: general CRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: IPCRE | | | | | | | | | | | | | 9 | | | 160 | | | | | | | | 190 |
| | Of which: land acquisition, development and construction | | | | | | | | | | | | | | | | 32 | 144 | | | | | | | 185 |
| 9 | Reverse mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10 | MBS | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11 | Defaulted exposures | 10,783 | | | | | | | | | | | | | | | | | | | | | | | | | 10,783 |
| 12 | Other assets (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
| 13 | Total | 17,900 | 4,266 | 2,694 | 326 | 480 | 394 | 382 | 28 | 750 | 266 | 4,007 | 5,235 | 32,229 | 12,229 | 144 | 278 | 256 | 49,559 |

Exposure amounts and CCFs applied to off-balance sheet exposures, categorized based on risk bucket of converted exposures.

| **Risk weight** | **On-balance sheet exposure (pre-CCF)** | **Off-balance sheet exposure (pre-CCF)** | **Weighted average CCF%** | **Total exposure (post-CCF)** | **Exposure (post-CRM)** |
|---|---|---|---|---|---|
| **Q2/25** | | | | | |
| 1 | Less than 40% | 22,236 | 22,380 | 26% | 25,968 |
| 2 | 40-70% | 1,492 | 80 | 39% | 1,448 |
| 3 | 75-80% | 3,873 | 4,427 | 26% | 4,007 |
| 4 | 85% | 4,334 | 2,252 | 42% | 5,389 |
| 5 | 90-100% | 12,405 | 1,174 | 147% | 12,889 |
| 6 | 105-130% | 163 | 50% | 160 |
| 7 | 150% | 250 | 59 | 42% | 264 |
| 8 | 250% | 258 | 47 | 39% | 277 |
| 9 | 400% | | | | |
| 10 | 1250% | | | | |
| 11 | Total exposures | 43,883 | 20,593 | 35% | 49,559 |

CR5: SA - EXPOSURES BY ASSET CLASSES AND RISK-WEIGHTS (continued)

($ millions)

| **Asset classes** | **Risk weight** | **Total credit exposure amount (post-CCF and post-CRM)** |
|---|---|---|
| | **0%** | **15%** | **20%** | **25%** | **30%** | **35%** | **40%** | **45%** | **50%** | **55%** | **60%** | **65%** | **70%** | **75%** | **80%** | **85%** | **90%** | **100%** | **105%** | **110%** | **130%** | **150%** | **250%** | **400%** | **1250%** | **Others** | |
| **Q1/25** | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Sovereigns and their central banks | | 6,421 | | | | | | | | | | | | | | 258 | | | | | | | | | | 6,761 |
| 2 | PSEs | | 59 | 124 | | | | | | | | | 279 | | | | | | | | | | | | | 1,152 |
| 3 | MDBs | | | | | | | | | | | | | | | | | | | | | | | | | | 722 |
| 4 | Banks | | | 1,156 | | | | | | | | 32 | | | | | | | | | | | | | | 1,250 |
| | Of which: securities firms and other financial institutions | | | | | | | | | | | | | | | | | | | | | | | | | |
| 5 | Covered bonds | | | | | | | | | | | | | | | | | | | 5,389 | | | 24 | | | | 8,027 |
| 6 | Corporates | | | | | | | | | | | | | | | | | | | | | | | | | | 683 |
| | Of which: securities firms and other financial institutions treated as corporates | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: specialized lending | 279 | | | | | | | | | 848 | | | | | | | | | | | | | | | | 1,411 |
| 7 | Subordinated debt, equity and other capital | 4,132 | | | | | | | | | | | | | | | | | | | | | | | | | 8,163 |
| 8 | Retail | 326 | 441 | 398 | 369 | 27 | 391 | 26 | | | | | | | | | | | | | | | | | | 3,566 |
| | Of which: general RRE | 395 | 380 | 369 | | | | | | | | | | | | | | | | | | | | | | 2,885 |
| | Of which: IPRRE | 46 | 18 | 27 | 25 | | | | | | | | | | | | | | | | | | | | | 169 |
| | Of which: other RRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: general CRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: IPCRE | | | | | | | | | | | | | 228 | | | | | | | | | | | | 234 |
| | Of which: land acquisition, development and construction | | | | | | | | | | | | | | | | 155 | 68 | | | | | | | 210 |
| 9 | Reverse mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10 | MBS | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11 | Defaulted exposures | 12,319 | | | | | | | | | | | | | | | | | | | | | | | | | 12,319 |
| 12 | Other assets (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
| 13 | Total | 18,078 | 4,132 | 2,825 | 326 | 441 | 398 | 369 | 27 | 771 | 26 | 255 | 4,056 | 5,389 | 46 | 12,843 | 5 | 155 | 264 | 277 | 20,437 | 51,683 |

Exposure amounts and CCFs applied to off-balance sheet exposures, categorized based on risk bucket of converted exposures.

| **Risk weight** | **On-balance sheet exposure (pre-CCF)** | **Off-balance sheet exposure (pre-CCF)** | **Weighted average CCF%** | **Total exposure (post-CCF)** | **Exposure (post-CRM)** |
|---|---|---|---|---|---|
| **Q1/25** | | | | | |
| 1 | Less than 40% | 23,494 | 12,481 | 26% | 27,200 |
| 2 | 40-70% | 1,492 | 80 | 39% | 1,448 |
| 3 | 75-80% | 2,938 | 4,371 | 26% | 4,056 |
| 4 | 85% | 4,435 | 2,252 | 42% | 5,389 |
| 5 | 90-100% | 12,870 | 1,323 | 147% | 12,889 |
| 6 | 105-130% | 163 | 50% | 160 |
| 7 | 150% | 250 | 59 | 42% | 264 |
| 8 | 250% | 258 | 47 | 39% | 277 |
| 9 | 400% | | | | |
| 10 | 1250% | | | | |
| 11 | Total exposures | 45,900 | 20,613 | 34% | 51,683 |

CR5: SA - EXPOSURES BY ASSET CLASSES AND RISK-WEIGHTS (continued)

($ millions)

| **Asset classes** | **Risk weight** | **Total credit exposure amount (post-CCF and post-CRM)** |
|---|---|---|
| | **0%** | **15%** | **20%** | **25%** | **30%** | **35%** | **40%** | **45%** | **50%** | **55%** | **60%** | **65%** | **70%** | **75%** | **80%** | **85%** | **90%** | **100%** | **105%** | **110%** | **130%** | **150%** | **250%** | **400%** | **1250%** | **Others** | |
| **Q4/24** | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Sovereigns and their central banks | | 5,993 | 12 | | | | | | | | | | | | | 251 | | | | | | | | | | 6,328 |
| 2 | PSEs | | 60 | 113 | | | | | | | | | 261 | | | | | | | | | | | | | 1,113 |
| 3 | MDBs | | | 696 | | | | | | | | | | | | | | | | | | | | | | | 696 |
| 4 | Banks | | | 1,225 | | | | | | | | 21 | | | | | | | | | | | | | | 1,298 |
| | Of which: securities firms and other financial institutions | | | | | | | | | | | | | | | | | | | | | | | | | |
| 5 | Covered bonds | | | | | | | | | | | | | | | | | | | 5,337 | | | 25 | | | | 7,485 |
| 6 | Corporates | | | | | | | | | | | | | | | | | | | | | | | | | | 613 |
| | Of which: securities firms and other financial institutions treated as corporates | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: specialized lending | 7 | | | | | | | | | 780 | | | | | | | | | | | | | | | | 1,045 |
| 7 | Subordinated debt, equity and other capital | 4,203 | | | | | | | | | | | | | | | | | | | | | | | | | 7,902 |
| 8 | Retail | 740 | 299 | 433 | 398 | 364 | 27 | 382 | 359 | 24 | 28 | | | | | | | | | | | | | | | | 7,902 |
| | Of which: general RRE | 740 | 299 | 388 | 381 | 364 | | | | | | | | | | | | | | | | | | | | 3,451 |
| | Of which: IPRRE | 45 | 17 | 27 | 23 | | | | | | | | | | | | | | | | | | | | | 165 |
| | Of which: other RRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: general CRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: IPCRE | | | | | | | | | 7 | | | | | | | | 25 | | | | | | | 223 |
| | Of which: land acquisition, development and construction | | | | | | | | | | | | | | | | 33 | 219 | | | | | | | 212 |
| 9 | Reverse mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10 | MBS | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11 | Defaulted exposures | 9,173 | | | | | | | | | | | | | | | | | | | | | | | | | 9,173 |
| 12 | Other assets (1) | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 13 | Total | 15,226 | 4,203 | 2,793 | 299 | 433 | 398 | 364 | 27 | 736 | 24 | 254 | 3,724 | 5,337 | 33 | 12,813 | 5 | 172 | 374 | 258 | 17,869 | 47,473 |

Exposure amounts and CCFs applied to off-balance sheet exposures, categorized based on risk bucket of converted exposures.

| **Risk weight** | **On-balance sheet exposure (pre-CCF)** | **Off-balance sheet exposure (pre-CCF)** | **Weighted average CCF%** | **Total exposure (post-CCF)** | **Exposure (post-CRM)** |
|---|---|---|---|---|---|
| **Q4/24** | | | | | |
| 1 | Less than 40% | 19,700 | 12,262 | 26% | 23,352 |
| 2 | 40-70% | 1,453 | 76 | 39% | 1,405 |
| 3 | 75-80% | 2,716 | 3,941 | 26% | 3,724 |
| 4 | 85% | 4,451 | 2,554 | 42% | 5,337 |
| 5 | 90-100% | 12,839 | 1,093 | 147% | 12,846 |
| 6 | 105-130% | 179 | 2 | 50% | 177 |
| 7 | 150% | 250 | 59 | 42% | 264 |
| 8 | 250% | 240 | 46 | 39% | 258 |
| 9 | 400% | | | | |
| 10 | 1250% | | | | |
| 11 | Total exposures | 41,932 | 20,045 | 34% | 47,473 |

CR5: SA - EXPOSURES BY ASSET CLASSES AND RISK-WEIGHTS (continued)

($ millions)

| **Asset classes** | **Risk weight** | **Total credit exposure amount (post-CCF and post-CRM)** |
|---|---|---|
| | **0%** | **15%** | **20%** | **25%** | **30%** | **35%** | **40%** | **45%** | **50%** | **55%** | **60%** | **65%** | **70%** | **75%** | **80%** | **85%** | **90%** | **100%** | **105%** | **110%** | **130%** | **150%** | **250%** | **400%** | **1250%** | **Others** | |
| **Q3/24** | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Sovereigns and their central banks | | 62 | | | | | | | | | | | | | | 621 | | | | | | | | | | 1,196 |
| 2 | PSEs | | 159 | | | | | | | | | | 269 | | | | | | | | | | | | | 876 |
| 3 | MDBs | | | 696 | | | | | | | | | | | | | | | | | | | | | | | 696 |
| 4 | Banks | | | 1,066 | | | | | | | | 31 | | | | | | | | | | | | | | 1,196 |
| | Of which: securities firms and other financial institutions | | | | | | | | | | | | | | | | | | | | | | | | | |
| 5 | Covered bonds | | | | | | | | | | | | | | | | | | | 5,152 | | | 30 | | | | 7,230 |
| 6 | Corporates | | | | | | | | | | | | | | | | | | | | | | | | | | 632 |
| | Of which: securities firms and other financial institutions treated as corporates | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: specialized lending | 7 | | | | | | | | | | | | | | | | | | | | | | | | | 980 |
| 7 | Subordinated debt, equity and other capital | 4,084 | | | | | | | | | | | | | | | | | | | | | | | | | 7,544 |
| 8 | Retail | 723 | 226 | 424 | 398 | 368 | 27 | 379 | 20 | 28 | | | | | | | | | | | | | | | | 7,544 |
| | Of which: general RRE | 723 | 226 | 381 | 368 | 356 | | | | | | | | | | | | | | | | | | | | 2,682 |
| | Of which: IPRRE | | | 46 | 17 | 27 | 23 | | | | | | | | | | | | | | | | | | | 166 |
| | Of which: other RRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: general CRE | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Of which: IPCRE | | | | | | | | | | | | | 7 | | | | | | | | | | | | 200 |
| | Of which: land acquisition, development and construction | | | | | | | | | | | | | | | | 22 | 173 | | | | | | | 202 |
| 9 | Reverse mortgages | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 10 | MBS | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11 | Defaulted exposures | 9,103 | | | | | | | | | | | | | | | | | | | | | | | | | 9,103 |
| 12 | Other assets (1) | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 13 | Total | 15,402 | 4,084 | 2,465 | 226 | 424 | 398 | 368 | 27 | 740 | 20 | 257 | 3,486 | 5,152 | 22 | 12,284 | 5 | 173 | 376 | 232 | 17,417 | 46,071 |

Exposure amounts and CCFs applied to off-balance sheet exposures, categorized based on risk bucket of converted exposures.

| **Risk weight** | **On-balance sheet exposure (pre-CCF)** | **Off-balance sheet exposure (pre-CCF)** | **Weighted average CCF%** | **Total exposure (post-CCF)** | **Exposure (post-CRM)** |
|---|---|---|---|---|---|
| **Q3/24** | | | | | |
| 1 | Less than 40% | 19,350 | 11,980 | 26% | 22,959 |
| 2 | 40-70% | 1,453 | 76 | 39% | 1,405 |
| 3 | 75-80% | 2,592 | 3,834 | 26% | 3,486 |
| 4 | 85% | 4,306 | 2,471 | 41% | 5,102 |
| 5 | 90-100% | 12,390 | 1,081 | 147% | 12,808 |
| 6 | 105-130% | 181 | 33% | 178 |
| 7 | 150% | 399 | 66 | 41% | 376 |
| 8 | 250% | 240 | 46 | 38% | 252 |
| 9 | 400% | | | | |
| 10 | 1250% | | | | |
| 11 | Total exposures | 40,661 | 19,483 | 34% | 46,071 |

For footnotes, see page 34.

# CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (1)

($ millions)

| **AIRB approach** | **PD scale** | **Q2/25** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | | Original on-balance sheet exposure (a) | Off-balance sheet exposure pre CCF (b) | EAD post-CRM and post-CCF (c) | Average PD % (d) | Number of obligors (2) (e) | Average LGD % (f) | Average maturity (3) (g) | RWA (h) | RWA density % (i) | Expected losses (5) (j) | Provisions (5) (k) |
| **Business and government portfolios** | **Corporate** | | | | | | | | | | | |
| 0.00 to <0.15 | 14,949 | 9,330 | 57 | 20,256 | 0.06 | 2,638 | 26 | 2.2 | 4,954 | 18 | 7 |
| 0.15 to <0.25 | 11,671 | 22,325 | 40 | 20,542 | 0.19 | 576 | 36 | 2.2 | 7,154 | 35 | 13 |
| 0.25 to <0.50 | 8,336 | 10,845 | 38 | 12,409 | 0.34 | 387 | 36 | 2.4 | 6,235 | 50 | 15 |
| 0.50 to <0.75 | 6,824 | 6,686 | 39 | 9,434 | 0.58 | 279 | 34 | 2.3 | 5,704 | 60 | 19 |
| 0.75 to <2.50 | 7,568 | 7,093 | 40 | 10,390 | 1.02 | 384 | 30 | 2.3 | 6,568 | 63 | 32 |
| 2.50 to <10.00 | 2,758 | 3,157 | 43 | 4,105 | 3.69 | 902 | 29 | 2.5 | 3,793 | 92 | 46 |
| 10.00 to 100.00 | 490 | 441 | 38 | 659 | 19.01 | 44 | 34 | 2.1 | 1,088 | 165 | 41 |
| 100.00 (Default) | 271 | 45 | 33 | 286 | 100.00 | 23 | 37 | 1.4 | 758 | 265 | 55 |
| **Total (Default)** | **54,774** | **78,743** | **39** | **85,391** | **0.97** | **3,159** | **33** | **2.1** | **36,254** | **42** | **228** | **198** |
| | **Corporate specialized lending** | | | | | | | | | | | |
| 0.00 to <0.15 | | 882 | | 1,001 | 0.08 | 15 | 29 | 1.4 | 187 | 12 | 10 |
| 0.15 to <0.25 | 3,094 | 3,094 | 51 | 4,846 | 0.20 | 98 | 29 | 1.6 | 1,316 | 29 | 3 |
| 0.25 to <0.50 | 2,799 | 2,998 | 57 | 4,823 | 0.34 | 79 | 26 | 2.7 | 1,367 | 35 | 3 |
| 0.50 to <0.75 | 3,258 | 2,495 | 53 | 5,097 | 0.58 | 134 | 27 | 2.9 | 2,503 | 49 | 7 |
| 0.75 to <2.50 | 7,237 | 4,532 | 55 | 8,606 | 1.03 | 201 | 31 | 2.7 | 5,378 | 62 | 26 |
| 2.50 to <10.00 | 966 | 738 | 61 | 1,180 | 2.99 | 47 | 35 | 2.2 | 1,278 | 90 | 13 |
| 10.00 to <100.00 | 50 | | 100 | 100.00 | 1 | 25 | 1.0 | 238 | 246 | 10 |
| 100.00 (Default) | 2,558 | 58 | 50 | 100.00 | 1 | 25 | 1.0 | 238 | 246 | 10 |
| **Total (Default)** | **18,631** | **15,168** | **58** | **26,658** | **0.90** | **605** | **29** | **2.7** | **12,578** | **50** | **64** | **26** |
| | **Sovereign (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 191,761 | 17,839 | 56 | 206,333 | 0.02 | 1,377 | 8 | 2.3 | 4,002 | 2 | 7 |
| 0.15 to <0.25 | 394 | 432 | 52 | 620 | 0.22 | 73 | 30 | 2.2 | 193 | 28 |
| 0.25 to <0.50 | 155 | 54 | 68 | 173 | 0.34 | 49 | 26 | 1.9 | 46 | 28 |
| 0.50 to <0.75 | 155 | 47 | 57 | 178 | 0.58 | 27 | 26 | 2.6 | 71 | 40 |
| 0.75 to <2.50 | 42 | 12 | 60 | 49 | 1.16 | 37 | 27 | 1.1 | 50 | 56 |
| 2.50 to <10.00 | 25 | 27 | 46 | 37 | 3.52 | 361 | 40 | 2.1 | 124 | 1 |
| 10.00 to 100.00 | 8 | 45 | 8 | 17.82 | 6 | 46 | 1.0 | 19 | 211 | 1 |
| 100.00 (Default) | 50 | | 100.00 | 1 | 55 | 2.5 | 187 | |
| **Total (Default)** | **197,098** | **17,364** | **60** | **207,457** | **0.02** | **1,939** | **8** | **2.4** | **4,669** | **2** | **8** | **1** |
| | **Banks (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 5,220 | 47 | 62 | 5,249 | 0.01 | 30 | 5 | 3.0 | 56 | 1 | |

CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (1)

($ millions)

| **AIRB approach** | **PD scale** | **Q4/24** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | | Original on-balance sheet exposure (a) | Off-balance sheet exposure pre CCF (b) | EAD post-CRM and post-CCF (c) | Average PD % (d) | Number of obligors (2) (e) | Average LGD % (f) | Average maturity (3) (g) | RWA (h) | RWA density % (i) | Expected losses (5) (j) | Provisions (5) (k) |
| **Business and government portfolios** | **Corporate** | | | | | | | | | | | |
| 0.00 to <0.15 | 13,519 | 28,711 | 40 | 24,114 | 0.08 | 322 | 32 | 1.8 | 4,245 | 18 | 6 |
| 0.15 to <0.25 | 19,763 | 10,102 | 62 | 26,028 | 0.19 | 590 | 37 | 2.4 | 6,920 | 35 | 13 |
| 0.25 to <0.50 | 15,491 | 8,136 | 59 | 20,325 | 0.34 | 343 | 38 | 1.8 | 6,951 | 50 | 14 |
| 0.50 to <0.75 | 17,057 | 8,790 | 53 | 21,689 | 0.58 | 333 | 38 | 2.2 | 5,870 | 57 | 19 |
| 0.75 to <2.50 | 29,221 | 15,465 | 52 | 37,270 | 1.11 | 529 | 31 | 2.4 | 10,740 | 64 | 25 |
| 2.50 to <10.00 | 11,537 | 4,118 | 52 | 13,699 | 3.46 | 950 | 30 | 2.4 | 10,751 | 89 | 108 |
| 10.00 to 100.00 | 4,933 | 981 | 54 | 5,465 | 20.50 | 695 | 42 | 1.6 | 10,910 | 200 | 529 |
| 100.00 (Default) | 1,198 | 275 | 53 | 1,344 | 100.00 | 621 | 33 | 1.8 | 2,799 | 208 | 241 |
| **Total (Default)** | **113,566** | **56,530** | **57** | **145,754** | **2.44** | **3,166** | **34** | **2.3** | **37,685** | **43** | **232** | **201** |
| | **Corporate specialized lending** | | | | | | | | | | | |
| 0.00 to <0.15 | | 325 | 1,219 | 71 | 1,189 | 0.06 | 18 | 30 | 1.8 | 143 | 12 |
| 0.15 to <0.25 | | 3,113 | 2,568 | 58 | 4,597 | 0.19 | 92 | 29 | 2.6 | 1,316 | 29 | 3 |
| 0.25 to <0.50 | | 3,258 | 1,932 | 60 | 4,408 | 0.34 | 82 | 27 | 2.8 | 1,662 | 38 | 4 |
| 0.50 to <0.75 | | 3,579 | 3,281 | 53 | 5,334 | 0.58 | 120 | 27 | 2.8 | 2,544 | 48 | 8 |
| 0.75 to <2.50 | | 6,062 | 3,608 | 55 | 8,037 | 1.01 | 201 | 31 | 2.7 | 5,397 | 67 | 26 |
| 2.50 to <10.00 | | 966 | 738 | 61 | 1,415 | 2.91 | 48 | 32 | 2.2 | 1,278 | 90 | 13 |
| 10.00 to <100.00 | | 62 | 35 | 96 | 96 | 23.46 | 8 | 50 | 1.7 | 238 | 248 | 10 |
| 100.00 (Default) | | | | | | | | | | | |
| **Total (Default)** | | **17,365** | **13,381** | **58** | **25,076** | **0.80** | **564** | **29** | **2.6** | **12,578** | **50** | **64** | **26** |
| | **Sovereign (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 196,389 | 16,716 | 59 | 206,333 | 0.02 | 1,377 | 8 | 2.4 | 4,265 | 2 | 7 |
| 0.15 to <0.25 | 351 | 529 | 65 | 693 | 0.22 | 73 | 30 | 2.2 | 193 | 28 |
| 0.25 to <0.50 | 128 | 36 | 75 | 155 | 0.34 | 49 | 26 | 1.9 | 44 | 28 |
| 0.50 to <0.75 | 137 | 8 | 57 | 142 | 0.58 | 29 | 27 | 2.6 | 67 | 47 |
| 0.75 to <2.50 | 63 | 50 | 52 | 89 | 1.00 | 38 | 35 | 1.1 | 50 | 56 |
| 2.50 to <10.00 | 22 | 25 | 60 | 37 | 3.15 | 369 | 31 | 2.0 | 32 | 86 |
| 10.00 to 100.00 | 8 | 45 | 8 | 17.82 | 3 | 48 | 1.1 | 18 | 225 | 1 |
| 100.00 (Default) | 50 | | 100.00 | 1 | 55 | 2.5 | 187 | |
| **Total (Default)** | **197,098** | **17,364** | **60** | **207,457** | **0.02** | **1,939** | **8** | **2.4** | **4,669** | **2** | **8** | **1** |
| | **Banks (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 5,220 | 47 | 62 | 5,249 | 0.01 | 30 | 5 | 3.0 | 56 | 1 | |

CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (1)

($ millions)

| **AIRB approach** | **PD scale** | **Q3/24** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | | Original on-balance sheet exposure (a) | Off-balance sheet exposure pre CCF (b) | EAD post-CRM and post-CCF (c) | Average PD % (d) | Number of obligors (2) (e) | Average LGD % (f) | Average maturity (3) (g) | RWA (h) | RWA density % (i) | Expected losses (5) (j) | Provisions (5) (k) |
| **Business and government portfolios** | **Corporate** | | | | | | | | | | | |
| 0.00 to <0.15 | 12,382 | 28,822 | 40 | 24,000 | 0.08 | 512 | 32 | 1.8 | 4,337 | 18 | 6 |
| 0.15 to <0.25 | 11,238 | 30,498 | 40 | 23,367 | 0.19 | 590 | 37 | 2.4 | 6,920 | 35 | 13 |
| 0.25 to <0.50 | 8,337 | 12,759 | 39 | 13,367 | 0.34 | 343 | 38 | 2.4 | 5,879 | 55 | 14 |
| 0.50 to <0.75 | 8,847 | 11,538 | 53 | 15,007 | 0.58 | 333 | 38 | 2.2 | 5,480 | 57 | 19 |
| 0.75 to <2.50 | 29,221 | 15,465 | 52 | 37,270 | 1.11 | 529 | 31 | 2.4 | 10,740 | 82 | 186 |
| 2.50 to <10.00 | 2,982 | 2,649 | 41 | 4,107 | 3.65 | 950 | 30 | 2.4 | 3,878 | 94 | 50 |
| 10.00 to 100.00 | 1,079 | 586 | 38 | 1,299 | 19.01 | 695 | 42 | 1.6 | 10,910 | 200 | 529 |
| 100.00 (Default) | 77 | 5 | 344 | 100.00 | 23 | 37 | 1.4 | 758 | 265 | 55 |
| **Total (Default)** | **52,377** | **91,759** | **57** | **88,036** | **0.95** | **3,166** | **34** | **2.3** | **37,685** | **43** | **232** | **201** |
| | **Corporate specialized lending** | | | | | | | | | | | |
| 0.00 to <0.15 | | 325 | 1,219 | 71 | 1,189 | 0.06 | 18 | 30 | 1.8 | 143 | 12 |
| 0.15 to <0.25 | | 3,113 | 2,568 | 58 | 4,597 | 0.19 | 92 | 29 | 2.6 | 1,316 | 29 | 3 |
| 0.25 to <0.50 | | 3,258 | 1,932 | 60 | 4,408 | 0.34 | 82 | 27 | 2.8 | 1,662 | 38 | 4 |
| 0.50 to <0.75 | | 3,579 | 3,281 | 53 | 5,334 | 0.58 | 120 | 27 | 2.8 | 2,544 | 48 | 8 |
| 0.75 to <2.50 | | 6,062 | 3,608 | 55 | 8,037 | 1.01 | 201 | 31 | 2.7 | 5,397 | 67 | 26 |
| 2.50 to <10.00 | | 966 | 738 | 61 | 1,415 | 2.91 | 48 | 32 | 2.2 | 1,278 | 90 | 13 |
| 10.00 to <100.00 | | 62 | 35 | 96 | 96 | 23.46 | 8 | 50 | 1.7 | 238 | 248 | 10 |
| 100.00 (Default) | | | | | | | | | | | |
| **Total (Default)** | | **17,365** | **13,381** | **58** | **25,076** | **0.80** | **564** | **29** | **2.6** | **12,578** | **50** | **64** | **26** |
| | **Sovereign (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 196,389 | 16,716 | 59 | 206,333 | 0.02 | 1,377 | 8 | 2.4 | 4,265 | 2 | 7 |
| 0.15 to <0.25 | 351 | 529 | 65 | 693 | 0.22 | 73 | 30 | 2.2 | 193 | 28 |
| 0.25 to <0.50 | 128 | 36 | 75 | 155 | 0.34 | 49 | 26 | 1.9 | 44 | 28 |
| 0.50 to <0.75 | 137 | 8 | 57 | 142 | 0.58 | 29 | 27 | 2.6 | 67 | 47 |
| 0.75 to <2.50 | 63 | 50 | 52 | 89 | 1.00 | 38 | 35 | 1.1 | 50 | 56 |
| 2.50 to <10.00 | 22 | 25 | 60 | 37 | 3.15 | 369 | 31 | 2.0 | 32 | 86 |
| 10.00 to 100.00 | 8 | 45 | 8 | 17.82 | 3 | 48 | 1.1 | 18 | 225 | 1 |
| 100.00 (Default) | 50 | | 100.00 | 1 | 55 | 2.5 | 187 | |
| **Total (Default)** | **197,098** | **17,364** | **60** | **207,457** | **0.02** | **1,939** | **8** | **2.4** | **4,669** | **2** | **8** | **1** |
| | **Banks (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 5,220 | 47 | 62 | 5,249 | 0.01 | 30 | 5 | 3.0 | 56 | 1 | |

CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (1)

($ millions)

| **AIRB approach** | **PD scale** | **Q2/24** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | | Original on-balance sheet exposure (a) | Off-balance sheet exposure pre CCF (b) | EAD post-CRM and post-CCF (c) | Average PD % (d) | Number of obligors (2) (e) | Average LGD % (f) | Average maturity (3) (g) | RWA (h) | RWA density % (i) | Expected losses (5) (j) | Provisions (5) (k) |
| **Business and government portfolios** | **Corporate** | | | | | | | | | | | |
| 0.00 to <0.15 | 14,941 | 8,636 | 69 | 20,926 | 0.07 | 2,084 | 27 | 2.3 | 2,806 | 14 | 4 |
| 0.15 to <0.25 | 10,102 | 26,028 | 40 | 23,367 | 0.20 | 592 | 36 | 2.2 | 8,623 | 33 | 20 |
| 0.25 to <0.50 | 8,136 | 8,995 | 39 | 12,485 | 0.34 | 343 | 38 | 2.4 | 6,951 | 50 | 15 |
| 0.50 to <0.75 | 11,347 | 10,608 | 39 | 15,387 | 0.58 | 279 | 34 | 2.2 | 5,870 | 57 | 19 |
| 0.75 to <2.50 | 15,537 | 13,692 | 41 | 21,891 | 1.12 | 529 | 31 | 2.4 | 10,740 | 82 | 186 |
| 2.50 to <10.00 | 4,933 | 4,241 | 38 | 5,465 | 3.69 | 950 | 30 | 2.4 | 3,793 | 92 | 46 |
| 10.00 to 100.00 | 1,198 | 275 | 53 | 1,344 | 100.00 | 23 | 37 | 1.4 | 758 | 265 | 55 |
| 100.00 (Default) | 50 | | 100.00 | 1 | 25 | 1.0 | 238 | 246 | 10 |
| **Total (Default)** | **55,057** | **78,081** | **39** | **85,422** | **0.90** | **3,137** | **33** | **2.1** | **35,231** | **42** | **228** | **198** |
| | **Corporate specialized lending** | | | | | | | | | | | |
| 0.00 to <0.15 | | 231 | 1,250 | 71 | 1,189 | 0.06 | 18 | 30 | 1.8 | 143 | 12 |
| 0.15 to <0.25 | | 2,941 | 2,442 | 58 | 4,646 | 0.20 | 96 | 29 | 2.8 | 1,470 | 30 | 3 |
| 0.25 to <0.50 | | 3,198 | 2,147 | 60 | 4,476 | 0.34 | 82 | 27 | 2.8 | 1,662 | 38 | 4 |
| 0.50 to <0.75 | | 3,579 | 3,281 | 53 | 5,334 | 0.58 | 120 | 27 | 2.8 | 2,544 | 48 | 9 |
| 0.75 to <2.50 | | 7,277 | 5,790 | 52 | 10,287 | 0.96 | 201 | 31 | 2.7 | 5,378 | 62 | 26 |
| 2.50 to <10.00 | | 966 | 738 | 61 | 1,180 | 2.99 | 47 | 35 | 2.2 | 1,278 | 90 | 13 |
| 10.00 to <100.00 | | 35 | 96 | 96 | 23.46 | 8 | 50 | 1.7 | 238 | 246 | 10 |
| 100.00 (Default) | | | | | | | | | | | |
| **Total (Default)** | | **16,610** | **13,163** | **58** | **24,178** | **0.80** | **531** | **28** | **2.6** | **12,472** | **50** | **66** | **28** |
| | **Sovereign (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 196,389 | 16,716 | 59 | 206,333 | 0.02 | 1,377 | 8 | 2.4 | 4,265 | 2 | 7 |
| 0.15 to <0.25 | 351 | 529 | 65 | 693 | 0.22 | 73 | 30 | 2.2 | 193 | 28 |
| 0.25 to <0.50 | 128 | 36 | 75 | 155 | 0.34 | 49 | 26 | 1.9 | 44 | 28 |
| 0.50 to <0.75 | 137 | 8 | 57 | 142 | 0.58 | 29 | 27 | 2.6 | 67 | 47 |
| 0.75 to <2.50 | 63 | 50 | 52 | 89 | 1.00 | 38 | 35 | 1.1 | 50 | 56 |
| 2.50 to <10.00 | 22 | 25 | 60 | 37 | 3.15 | 369 | 31 | 2.0 | 32 | 86 |
| 10.00 to 100.00 | 8 | 45 | 8 | 17.82 | 3 | 48 | 1.1 | 18 | 225 | 1 |
| 100.00 (Default) | 50 | | 100.00 | 1 | 55 | 2.5 | 187 | |
| **Total (Default)** | **197,098** | **17,364** | **60** | **207,457** | **0.02** | **1,939** | **8** | **2.4** | **4,669** | **2** | **8** | **1** |
| | **Banks (6)** | | | | | | | | | | | |
| 0.00 to <0.15 | 5,220 | 47 | 62 | 5,249 | 0.01 | 30 | 5 | 3.0 | 56 | 1 | |

CR6: IRB - CREDIT RISK EXPOSURES BY PORTFOLIO AND PD RANGE (1)

($ millions)

| **AIRB approach** | **PD scale** | **Q2/24** | | | | | | | | | |
|---|---|---|---|---|---|---|---|---|---|---|
| | | Original on-balance sheet exposure (a) | Off-balance sheet exposure pre CCF (b) | EAD post-CRM and post-CCF (c) | Average PD % (d) | Number of obligors (2) (e) | Average LGD % (f) | Average maturity (3) (g) | RWA (h) | RWA density % (i) | Expected losses (5) (j) | Provisions (5) (k) |
| **Retail portfolios** | **Real estate secured personal lending (insured)** | | | | | | | | | | | |
| 0.00 to <0.15 | n/a | | | n/a | 0.02 | 26,343 | 6 | n/a | 478 | 1 | 1 |
| 0.15 to <0.25 | 39,836 | 995 | | n/a | 0.17 | 5,865 | 27 | n/a | 134 | 13 | 1 |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | |
| 0.00 to <0.15 | 115,923 | 64,671 | 42 | 143,334 | 0.07 | 724,640 | 22 | n/a | 6,455 | 5 | 22 |
| 0.15 to <0.25 | 16,003 | 6,512 | 87 | 21,684 | 0.17 | 50,692 | 24 | n/a | 2,227 | 10 | 9 |
| 0.25 to <0.50 | 64,847 | 6,405 | 38 | 67,302 | 0.34 | 271,860 | 22 | n/a | 10,548 | 16 | 54 |
| 0.50 to <0.75 | 27,336 | | | 27,336 | 0.54 | 67,561 | 19 | n/a | 5,479 | 20 | 31 |
| 0.75 to <2.50 | 14,722 | 1,485 | 40 | 15,319 | 1.54 | 52,096 | 23 | n/a | 6,242 | 41 | 53 |
| 2.50 to <10.00 | 7,673 | 707 | 34 | 7,913 | 4.98 | 32,904 | 22 | n/a | 6,295 | 80 | 89 |
| 10.00 to <100.00 | 1,159 | 25 | 38 | 1,168 | 35.24 | 4,173 | 22 | n/a | 1,644 | 141 | 96 |
| 100.00 (Default) | 724 | | | 724 | 100.00 | 2,735 | 22 | n/a | 1,137 | 157 | 85 |
| **Qualifying revolving retail** | 248,387 | 79,805 | 46 | 284,780 | 0.80 | 1,206,661 | 22 | n/a | 40,027 | 14 | 439 | 462 |
| 0.00 to <0.15 | 3,904 | 73,108 | 66 | 53,746 | 0.07 | 5,433,744 | 91 | n/a | 2,255 | 4 | 36 |
| 0.15 to <0.25 | 1,690 | 12,245 | 57 | 8,728 | 0.23 | 1,791,221 | 88 | n/a | 916 | 10 | 18 |
| 0.25 to <0.50 | 1,378 | 5,839 | 58 | 5,872 | 0.33 | 945,833 | 66 | n/a | 106 | 11 | 2 |
| 0.50 to <0.75 | 2,485 | 5,839 | 58 | 5,872 | 0.61 | 950,501 | 89 | n/a | 1,359 | 23 | 32 |
| 0.75 to <2.50 | 5,431 | 3,287 | 61 | 7,451 | 1.53 | 1,604,157 | 88 | n/a | 3,459 | 46 | 101 |
| 2.50 to <10.00 | 7,544 | 1,871 | 62 | 8,700 | 4.14 | 1,373,744 | 91 | n/a | 8,275 | 95 | 324 |
| 10.00 to <100.00 | 1,472 | 198 | 62 | 1,594 | 24.43 | 352,720 | 88 | n/a | 3,274 | 205 | 345 |
| 100.00 (Default) | 74 | | | 74 | 100.00 | 20,680 | 82 | n/a | 104 | 141 | 53 |
| **Other retail** | 22,894 | 100,159 | 64 | 87,171 | 1.19 | 12,472,600 | 90 | n/a | 19,748 | 23 | 911 | 1,481 |
| 0.00 to <0.15 | 3,181 | 1,568 | 82 | 1,643 | 0.08 | 8,344 | 81 | n/a | 282 | 17 | 1 |
| 0.15 to <0.25 | 1,254 | 397 | 71 | 1,538 | 0.17 | 2,410 | 21 | n/a | 133 | 9 | 1 |
| 0.25 to <0.50 | 3,787 | 1,087 | 113 | 5,013 | 0.40 | 226,678 | 57 | n/a | 1,819 | 36 | 12 |
| 0.50 to <0.75 | 611 | 341 | 68 | 845 | 0.65 | 10,064 | 77 | n/a | 535 | 63 | 4 |
| 0.75 to <2.50 | 6,097 | 176 | 81 | 6,240 | 1.12 | 160,409 | 61 | n/a | 4,085 | 65 | 44 |
| 2.50 to <10.00 | 2,229 | 12 | 128 | 2,244 | 4.37 | 69,184 | 59 | n/a | 1,922 | 86 | 61 |
| 10.00 to <100.00 | 809 | 441 | 50 | 1,028 | 61.96 | 289,305 | 23 | n/a | 557 | 54 | 102 |
| 100.00 (Default) | 84 | | | 84 | 100.00 | 17,316 | 67 | n/a | 119 | 142 | 47 |
| **SME retail** | 15,199 | 4,063 | 85 | 18,635 | 4.93 | 783,710 | 57 | n/a | 9,452 | 51 | 272 | 127 |
| 0.00 to <0.15 | 338 | | | | | | | | | | | |
| 0.15 to <0.25 | 2,321 | | | | | | | | | | | |
| 1 - 3 years | 1,611 | | | | | | | | | | | |
| **Total retail portfolios** | **4,270** | **4,348** | **4,427** | **4,512** | **4,646** | |
| **Total credit exposure** | **971,259** | **969,818** | **942,103** | **953,977** | **936,163** | |

(1) Excludes securitization exposures, and exposures under the SA.
(2) Demand loans without a maturity date are included in the "Less than 1 year" category.

# CREDIT RISK ASSOCIATED WITH DERIVATIVES

($ millions)

| **Interest rate derivatives** | **Current replacement cost (1)** | | **Credit equivalent amount (2)** | **Risk-weighted amount** |
|---|---|---|---|---|
| | Trading (a) | Asset management (b) | Total (c) | | Q2/25 (d) | Q1/25 (e) | Q4/24 (f) | Q3/24 (g) | Q2/24 (h) |
| Over-the-counter | | | | | | | | | |
| Forward rate agreements | 4 | 2 | 6 | 15 | 4 | 9 | 15 | 3 |
| Swap contracts | 1,463 | 192 | 1,655 | 3,735 | 1,019 | 772 | 710 | 655 | 442 |
| Purchased options | 56 | 5 | 61 | 124 | 60 | 32 | 24 | 20 | 8 |
| Written options | 3 | 1 | 4 | 18 | 7 | 10 | 6 | 4 | 3 |
| Exchange-traded | 1,526 | 200 | 1,726 | 3,892 | 1,090 | 823 | 755 | 682 | 464 |
| Total interest rate derivatives | 1,526 | 200 | 1,726 | 4,010 | 1,094 | 825 | 756 | 684 | 466 |
| **Foreign exchange derivatives** | | | | | | | | | |
| Over-the-counter | | | | | | | | | |
| Forward contracts | 1,675 | 19 | 1,694 | 5,166 | 1,617 | 1,833 | 2,010 | 1,487 | 1,716 |
| Swap contracts | 535 | 512 | 1,047 | 2,971 | 557 | 444 | 482 | 450 | 434 |
| Purchased options | 338 | 2 | 340 | 491 | 146 | 281 | 171 | 157 | 155 |
| Written options | 93 | | 93 | 259 | 95 | 86 | 52 | 56 | 46 |
| Exchange-traded | 2,641 | 533 | 3,174 | 8,887 | 2,415 | 2,644 | 2,715 | 2,150 | 2,351 |
| Total foreign exchange derivatives | 2,641 | 533 | 3,174 | 9,461 | 2,438 | 2,666 | 2,735 | 2,176 | 2,393 |
| **Credit derivatives** | | | | | | | | | |
| Over-the-counter | | | | | | | | | |
| Credit default swap contracts - protection purchased | 2 | | 2 | 15 | 13 | 14 | 11 | 14 |
| Credit default swap contracts - protection sold | - | | - | 4 | 4 | 4 | 4 | 4 | 7 |
| Total | 2 | | 2 | 19 | 17 | 18 | 15 | 21 |
| **Equity derivatives** | | | | | | | | | |
| Over-the-counter | 173 | 30 | 203 | 4,856 | 1,150 | 1,223 | 1,048 | 905 | 952 |
| Exchange-traded | 136 | - | 136 | 3,570 | 119 | 167 | 161 | 162 | 135 |
| Total | 309 | 30 | 339 | 8,426 | 1,269 | 1,390 | 1,209 | 1,067 | 1,087 |
| **Precious metal and other commodity derivatives** | | | | | | | | | |
| Over-the-counter | 1,878 | 22 | 1,900 | 3,372 | 1,588 | 1,200 | 956 | 1,027 |
| Exchange-traded | 3 | 3 | 6 | 2,651 | 106 | 85 | 77 | 65 | 78 |
| Total | 1,881 | 22 | 1,903 | 6,023 | 1,694 | 1,285 | 1,033 | 1,092 | 1,215 |
| **RWA related to non-trade exposures to central counterparties** | 401 | 3,882 | | | 426 | 414 | 361 | 367 |
| **RWA related to CVA capital charge** | | | | | 3,588 | 3,381 | 3,082 | 3,301 |
| **Total derivatives** | **6,359** | **785** | **7,144** | **28,061** | **10,797** | **10,197** | **9,546** | **8,477** | **8,850** |

(1) Current replacement cost reflects the current mark-to-market value of derivatives offset by eligible financial collateral, where present.
(2) Under IMM, expected effective positive exposure (EEPE) is used, which computes through simulation, the expected exposures with consideration to the expected movements in underlying risk factor and netting/collateral agreements. The EAD is calculated as EEPE multiplied by the prescribed alpha factor of 1.4. The EAD under SA-CCR is calculated as the sum of replacement cost and potential future exposure, multiplied by the prescribed alpha factor of 1.4.

# CCR1: ANALYSIS OF COUNTERPARTY CREDIT RISK EXPOSURE BY APPROACH (continued) (1)

($ millions)

| | **Q3/24** | | | | | |
|---|---|---|---|---|---|---|
| | Replacement cost (a) | Potential future exposure (b) | Effective expected positive exposure (c) | Alpha used for computing regulatory EAD (d) | EAD post-CRM (e) | RWA (f) |
| 1 | SA-CCR (for derivatives) | 85 | 449 | 11,805 | 1.4 | 746 | 242 |
| 2 | IMM (for derivatives and SFTs) | | 1.4 | 16,457 | 4,526 |
| 3 | Simple Approach for CRM (for SFTs) | | | | | |
| 4 | Comprehensive Approach for CRM (for SFTs) | 19,114 | | 3,523 |
| 5 | VaR for SFTs | - | - | - | - | - |
| 6 | Total | | | 8,291 |

($ millions)

| | **Q2/24** | | | | | |
|---|---|---|---|---|---|---|
| | Replacement cost (a) | Potential future exposure (b) | Effective expected positive exposure (c) | Alpha used for computing regulatory EAD (d) | EAD post-CRM (e) | RWA (f) |
| 1 | SA-CCR (for derivatives) | 117 | 664 | 11,261 | 1.4 | 1,134 | 356 |
| 2 | IMM (for derivatives and SFTs) | | 1.4 | 15,706 | 4,560 |
| 3 | Simple Approach for CRM (for SFTs) | | | | | |
| 4 | Comprehensive Approach for CRM (for SFTs) | | | 17,604 | 3,666 |
| 5 | VaR for SFTs | - | - | - | - | - |
| 6 | Total | | | 8,582 |

For footnotes, see page 56.

# CCR3: SA - COUNTERPARTY CREDIT RISK EXPOSURES BY REGULATORY PORTFOLIO AND RISK-WEIGHTS

($ millions)

| **Regulatory portfolio** | **Risk weight** | **0%** | **10%** | **20%** | **30%** | **40%** | **50%** | **75%** | **80%** | **85%** | **100%** | **130%** | **150%** | **Others** | **Total credit exposure** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q2/25** | | | | | | | | | | | | | | | |
| Sovereigns | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| PSEs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| MDBs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Securities firms and other financial institutions treated as Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Corporates | | - | - | - | - | - | - | - | - | 4 | | | | | 4 |
| Of which: specialized lending | | - | - | - | - | - | - | - | - | 4 | | | | | 4 |
| Securities firms and other financial institutions treated as Corporate | | - | - | - | - | - | - | - | - | 120 | | | | | 120 |
| Regulatory retail portfolios | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Other assets | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | | - | - | - | - | - | - | - | - | 124 | | | | | 125 |

($ millions)

| **Regulatory portfolio** | **Risk weight** | **0%** | **10%** | **20%** | **30%** | **40%** | **50%** | **75%** | **80%** | **85%** | **100%** | **130%** | **150%** | **Others** | **Total credit exposure** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q1/25** | | | | | | | | | | | | | | | |
| Sovereigns | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| PSEs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| MDBs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Securities firms and other financial institutions treated as Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Corporates | | - | - | - | - | - | - | - | - | 3 | | | | | 4 |
| Of which: specialized lending | | - | - | - | - | - | - | - | - | 1 | | | | | 1 |
| Securities firms and other financial institutions treated as Corporate | | - | - | - | - | - | - | - | - | 134 | | | | | 134 |
| Regulatory retail portfolios | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Other assets | | - | - | - | - | - | - | - | - | 135 | | | | | 135 |
| **Total** | | - | - | - | - | - | - | - | - | 135 | | | | | 138 |

($ millions)

| **Regulatory portfolio** | **Risk weight** | **0%** | **10%** | **20%** | **30%** | **40%** | **50%** | **75%** | **80%** | **85%** | **100%** | **130%** | **150%** | **Others** | **Total credit exposure** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q4/24** | | | | | | | | | | | | | | | |
| Sovereigns | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| PSEs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| MDBs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Securities firms and other financial institutions treated as Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Corporates | | - | - | - | - | - | - | - | - | 4 | | | | | 6 |
| Of which: specialized lending | | - | - | - | - | - | - | - | - | 4 | | | | | 4 |
| Securities firms and other financial institutions treated as Corporate | | - | - | - | - | - | - | - | - | 121 | | | | | 121 |
| Regulatory retail portfolios | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Other assets | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | | - | - | - | - | - | - | - | - | 4 | | | | | 127 |

CCR3: SA - COUNTERPARTY CREDIT RISK EXPOSURES BY REGULATORY PORTFOLIO AND RISK-WEIGHTS (continued) (1)

($ millions)

| **Regulatory portfolio** | **Risk weight** | **0%** | **10%** | **20%** | **30%** | **40%** | **50%** | **75%** | **80%** | **85%** | **100%** | **130%** | **150%** | **Others** | **Total credit exposure** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q3/24** | | | | | | | | | | | | | | | |
| Sovereigns | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| PSEs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| MDBs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Securities firms and other financial institutions treated as Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Corporates | | - | - | - | - | - | - | - | - | 4 | 1 | | | | 5 |
| Of which: specialized lending | | - | - | - | - | - | - | - | - | 4 | | | | | 4 |
| Securities firms and other financial institutions treated as Corporate | | - | - | - | - | - | - | - | - | 114 | | | | | 114 |
| Regulatory retail portfolios | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Other assets | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | | - | - | - | - | - | - | - | - | 4 | 115 | | | | 119 |

($ millions)

| **Regulatory portfolio** | **Risk weight** | **0%** | **10%** | **20%** | **30%** | **40%** | **50%** | **75%** | **80%** | **85%** | **100%** | **130%** | **150%** | **Others** | **Total credit exposure** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| **Q2/24** | | | | | | | | | | | | | | | |
| Sovereigns | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| PSEs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| MDBs | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Securities firms and other financial institutions treated as Banks | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Corporates | | - | - | - | - | - | - | - | - | 5 | 1 | | | | 6 |
| Of which: specialized lending | | - | - | - | - | - | - | - | - | 5 | | | | | 5 |
| Securities firms and other financial institutions treated as Corporate | | - | - | - | - | - | - | - | - | 119 | | | | | 119 |
| Regulatory retail portfolios | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| Other assets | | - | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | | - | - | - | - | - | - | - | - | 5 | 120 | | | | 125 |

For footnotes, see page 58.

# CCR4: IRB - COUNTERPARTY CREDIT RISK EXPOSURES BY PORTFOLIO AND PD SCALE

($ millions)

| **AIRB approach** | **PD scale** | **EAD post-CRM (a)** | **Average PD % (b)** | **Number of obligors (1) (c)** | **Average LGD % (d)** | **Average maturity (2) (e)** | **RWA (f)** | **RWA density % (g)** |
|---|---|---|---|---|---|---|---|---|
| **Corporate** | | 323 | 0.08 | 253 | 35 | 1.6 | 36 | 11 |
| 0.00 to <0.15 | | 741 | 0.19 | 435 | 29 | 3.7 | 142 | 19 |
| 0.15 to <0.25 | | 888 | 0.34 | 327 | 37 | 4.2 | 303 | 34 |
| 0.25 to <0.50 | | 326 | 0.58 | 324 | 32 | 5.5 | 130 | 40 |
| 0.50 to <0.75 | | 882 | 1.12 | 619 | 30 | 2.4 | 445 | 50 |
| 0.75 to <2.50 | | 231 | 3.49 | 267 | 38 | 1.8 | 228 | 99 |
| 2.50 to <10.00 | | 17 | 18.82 | 46 | 43 | 3.4 | 34 | 200 |
| 10.00 to 100.00 | | 3,409 | 0.84 | 2,276 | 33 | 3.3 | 1,320 | 39 |
| 100.00 (Default) | | | | | | | | |
| **Sovereign** | | 5,475 | 0.04 | 144 | 22 | 1.5 | 215 | 4 |
| 0.00 to <0.15 | | 304 | 0.22 | 18 | 39 | 0.2 | 62 | 20 |
| 0.15 to <0.25 | | 83 | 0.34 | 5 | 40 | 0.3 | 23 | 28 |
| 0.25 to <0.50 | | 5 | 0.58 | 5 | 31 | 2.2 | 2 | 40 |
| 0.50 to <0.75 | | 2 | 1.43 | 2 | 40 | 0.1 | 3 | 75 |
| 0.75 to <2.50 | | 34 | 5.59 | 3 | 45 | 3.2 | 47 | 138 |
| 2.50 to <10.00 | | 1 | 18.12 | 1 | 95 | 5.0 | |
| 10.00 to <100.00 | | 5,905 | 0.09 | 178 | 23 | 1.5 | 352 | 6 |
| 100.00 (Default) | | | | | | | | |
| **Banks (3)** | | 224 | 0.04 | 13 | 34 | 0.7 | 16 | 7 |
| 0.00 to <0.15 | | 4 | 0.22 | 1 | 35 | 1 | 25 |
| 0.15 to <0.25 | | 1 | 0.34 | 1 | 45 | |