# Pillar 3 Report and Supplementary Regulatory Capital Disclosure

For the period ended July 31, 2021

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 Q3/21, and our 2020 annual report (including audited consolidated financial statements and accompanying management's discussion and analysis). Additional financial information is also available through our quarterly investor presentations as well as the quarterly conference call webcast. CIBC prepares its consolidated financial statements in accordance with International Financial Reporting Standards (IFRS). For Basel-related terms used in this package, refer to the Glossary. All amounts in this document are in millions of Canadian dollars, unless otherwise stated.

## PILLAR 3 REPORT

| Topic | Identifier | Table and templates | Pillar 3 Report | 2020 Annual Report Page references | Supplementary Financial Information |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Pillar 3 report index | KM2 | Key metrics – Total loss absorbing capacity (TLAC) requirements (at resolution group level) | 3 | | |
| Overview of risk management, key prudential metrics and RWA | KM2 | Key metrics – TLAC requirements (at resolution group level) | 3 | Page references | |
| | OVA | Bank risk management approach | | 31, 43-49, 53-55, 57, 64, 68, 71-72, 74, 80-82 | |
| | OV1 | Overview of RWA | 4 | | |
| | Changes in RWA | | 5 | | |
| 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 | 6 | | |
| | LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements | 7 | | |
| | LIA | Explanations of differences between accounting and regulatory exposure amounts | 6-7 | 128 | |
| Composition of capital and TLAC | CC1 | Composition of regulatory capital | 8 | | |
| | CC2 | Reconciliation of regulatory capital to balance sheet | 10 | | |
| | CCA | Main features of regulatory capital instruments and of other TLAC-eligible instruments (1) | | | |
| | TLAC1 | TLAC composition (at resolution group level) | 13 | | |
| | TLAC2 | Material subgroup entity - creditor ranking at legal entity level | n/a (2) | | |
| | TLAC3 | Resolution entity - creditor ranking at legal entity level | 14 | | |
| Leverage ratio | LR1 | Summary comparison of accounting assets vs. leverage ratio exposure measure | 16 | | |
| | LR2 | Leverage ratio common disclosure template | 16 | | |
| Credit risk | CR1 | Credit quality of assets | 17 | 54 | |
| | CR2 | Changes in stock of defaulted loans and debt securities | 19 | | |
| | CRB | Additional disclosure related to the credit quality of assets | 17 | 55, 66, 79, 85, 116, 117, 145 | 23-34 |
| | CRC | Qualitative disclosure requirements related to CRM techniques | | 55, 67, 156 | |
| | CR3 | CRM techniques – overview | 20 | | |
| | CRD | Qualitative disclosures on banks' use of external credit ratings under the SA for credit risk | | | |
| | CR4 | SA - credit risk exposure and CRM effects | 21 | | |
| | CR5 | SA - exposures by asset classes and risk-weights | 24 | | |
| | CRE | Qualitative disclosures related to IRB models | | 33, 48-49, 54-58 | |
| | CR6 | IRB - Credit risk exposures by portfolio and PD range (3) | 27 | | |
| | CR7 | IRB - Effect on RWA of credit derivatives used as CRM techniques | n/a (4) | | |
| | CR8 | RWA flow statements of credit risk exposures under IRB | 5 | | |
| | CR9 | IRB - Backtesting of PD per portfolio (3) | n/a (5) | | |
| | CR10 | IRB (specialized lending and equities under the simple risk-weight method) | 37 | | |
| Counterparty credit risk | CCRA | Qualitative disclosure related to counterparty credit risk | | 55, 59, 78, 154, 156 | |
| | CCR1 | Analysis of counterparty credit risk exposure by approach | 39 | | |
| | CCR2 | CVA capital charge | 41 | | |
| | CCR3 | SA – counterparty credit risk exposures by regulatory portfolio and risk-weights | 42 | | |
| | CCR4 | IRB - counterparty credit risk exposures by portfolio and PD scale (3) | 44 | | |
| | CCR5 | Composition of collateral for counterparty credit risk exposure | 49 | | |
| | CCR6 | Credit derivatives exposures | 51 | | |
| | CCR7 | RWA flow statements of counterparty credit risk exposures under the Internal Model Method (IMM) | 5 | | |
| | CCR8 | Exposures to central counterparties | 52 | | |
| Securitization (6) | SECA | Qualitative disclosure requirements related to securitization exposures | | 41, 67, 114, 118 | |
| | SEC1 | Securitization exposures in the banking book | 53 | | |
| | SEC2 | Securitization exposures in the trading book | 55 | | |
| | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | 57 | | |
| | SEC4 | Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor | 60 | | |
| Market risk | | | n/a (7) | | |

## SUPPLEMENTARY REGULATORY CAPITAL DISCLOSURES

Disclosures provided to address Enhanced Disclosure Task Force recommendations

| | | | | |
| :--- | :--- | :--- | :--- | :--- |
| Credit exposure - Exposure at default (EAD) | | | 63 | |
| Credit exposure - Geographic concentration | | | 64 | |
| Credit exposure - Maturity profile | | | 65 | |
| Credit risk associated with derivatives | | | 66 | |
| Advanced internal ratings-based (AIRB) credit risk exposure - Loss experience | | | 67 | |
| AIRB credit risk exposure - Back-testing | | | 68 | |
| Glossary | | | 69 | |

***

# PILLAR 3 REPORT INDEX

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

The credit risk framework within the Capital Adequacy Requirements (CAR) Guideline issued by the Office of the Superintendent of Financial Institutions (OSFI) is inclusive of requirements relating to
counterparty credit risk, securitization activities, as well as other items such as settlement risk, equity investments in funds, and amounts below the threshold for capital deductions which are subject to a
$250\%$ risk-weight. Pages 63 to 68 of this document and disclosures in CIBC's 2020 Annual Report are prepared on a basis where these amounts are considered to be regulatory exposures or RWA
relating to credit risk (i.e. credit risk related disclosures are generally inclusive of all or some of these amounts, depending upon the nature of the applicable disclosure), whereas the Pillar 3 report on
pages 1 to 62 of this document provides a disaggregation of these amounts.

| Topic | Identifier | Table and templates | Pillar 3 Report | 2020 Annual Report Page references | Supplementary Financial Information |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Overview of risk management, key prudential metrics and RWA | KM2 | Key metrics - TLAC requirements (at resolution group level) | 3 | 31, 43-49, 53-55, 57, 64, 68, 71-72, 74, 80-82 | |
| | OVA | Bank risk management approach | | | |
| | OV1 | Overview of RWA | 4 | | |
| Linkages between financial statements and regulatory exposures | LI1 | Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories | 6 | | |
| | LI2 | Main sources of differences between regulatory exposure amounts and carrying values in financial statements | 7 | | |
| | LIA | Explanations of differences between accounting and regulatory exposure amounts | 6-7 | 128 | |
| Composition of capital and TLAC | CC1 | Composition of regulatory capital | 8 | | |
| | CC2 | Reconciliation of regulatory capital to balance sheet | 10 | | |
| | CCA | Main features of regulatory capital instruments and of other TLAC-eligible instruments (1) | | | |
| | TLAC1 | TLAC composition (at resolution group level) | 13 | | |
| | TLAC2 | Material subgroup entity - creditor ranking at legal entity level | n/a (2) | | |
| | TLAC3 | Resolution entity - creditor ranking at legal entity level | 14 | | |
| Leverage ratio | LR1 | Summary comparison of accounting assets vs. leverage ratio exposure measure | 16 | | |
| | LR2 | Leverage ratio common disclosure template | 16 | | |
| Credit risk | CR1 | General information about credit risk | | 54 | |
| | CR1 | Credit quality of assets | 17 | | |
| | CR2 | Changes in stock of defaulted loans and debt securities | 19 | | |
| | CRB | Additional disclosure related to the credit quality of assets | 17 | 55, 66, 79, 85, 116, 117, 145 | 23-34 |
| | CRC | Qualitative disclosure requirements related to CRM techniques | | 55, 67, 156 | |
| | CR3 | CRM techniques – overview | 20 | | |
| | CRD | Qualitative disclosures on banks' use of external credit ratings under the SA for credit risk | | | |
| | CR4 | SA - credit risk exposure and CRM effects | 21 | | |
| | CR5 | SA - exposures by asset classes and risk weights | 24 | | |
| | CRE | Qualitative disclosures related to IRB models | | 33, 48-49, 54-58 | |
| | CR6 | IRB - Credit risk exposures by portfolio and PD range (3) | 27 | | |
| | CR7 | IRB - Effect on RWA of credit derivatives used as CRM techniques | n/a (4) | | |
| | CR8 | RWA flow statements of credit risk exposures under IRB | 5 | | |
| | CR9 | IRB - Backtesting of PD per portfolio (3) | n/a (5) | | |
| | CR10 | IRB (specialized lending and equities under the simple risk-weight method) | 37 | | |
| Counterparty credit risk | CCRA | Qualitative disclosure related to counterparty credit risk | | 55, 59, 78, 154, 156 | |
| | CCR1 | Analysis of counterparty credit risk exposure by approach | 39 | | |
| | CCR2 | CVA capital charge | 41 | | |
| | CCR3 | SA–counterparty credit risk exposures by regulatory portfolio and risk-weights | 42 | | |
| | CCR4 | IRB - counterparty credit risk exposures by portfolio and PD scale (3) | 44 | | |
| | CCR5 | Composition of collateral for counterparty credit risk exposure | 49 | | |
| | CCR6 | Credit derivatives exposures | 51 | | |
| | CCR7 | RWA flow statements of counterparty credit risk exposures under the Internal Model Method (IMM) | 5 | | |
| | CCR8 | Exposures to central counterparties | 52 | | |
| Securitization (6) | SECA | Qualitative disclosure requirements related to securitization exposures | | 41, 67, 114, 118 | |
| | SEC1 | Securitization exposures in the banking book | 53 | | |
| | SEC2 | Securitization exposures in the trading book | 55 | | |
| | SEC3 | Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | 57 | | |
| | SEC4 | Securitization exposures in the banking book and associated regulatory capital requirements – bank acting as investor | 60 | | |
| Market risk | | | n/a (7) | | |

For footnotes, see next page.

***

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

(\$ millions)

| | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | a | b | c | d | e |
| 1 | TLAC available $^{(2)}$ | 73,300 | 65,502 | 62,731 | 60,612 | 58,141 |
| 1a | TLAC available with transitional arrangements for expected credit loss (ECL) provisioning not applied $^{(2)}$ | 73,300 | 65,502 | 62,731 | 60,612 | 58,141 |
| 2 | Total RWA at the level of the resolution group | 268,999 | 257,997 | 256,119 | 254,871 | 256,683 |
| 3 | TLAC ratio: TLAC as a percentage of RWA (row 1 / row 2) $(\%) ^{(2)}$ | 27.2\% | 25.4\% | 24.5\% | 23.8\% | 22.7\% |
| 3a | TLAC ratio: TLAC as a percentage of RWA (row 1a / row 2) $(\%)$ available with transitional arrangements for ECL provisioning not applied $^{(2)}$ | 27.2\% | 25.4\% | 24.5\% | 23.8\% | 22.7\% |
| 4 | Leverage ratio exposure measure at the level of the resolution group | 795,642 | 767,391 | 756,688 | 741,760 | 724,111 |
| 5 | TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4) $(\%) ^{(2)}$ | 9.2\% | 8.5\% | 8.3\% | 8.2\% | 8.0\% |
| 5a | TLAC Leverage Ratio: TLAC as a percentage of leverage ratio exposure measure with transitional arrangements for ECL provisioning not applied (row 1a / row 4) $(\%) ^{(2)}$ | 9.2\% | 8.5\% | 8.3\% | 8.2\% | 8.0\% |
| 6a | Does the subordination exemption in the antepenultimate 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 |

$^{(1)}$ Under the Canadian bail-in regime, including OSFI's TLAC Guideline, CIBC is required to meet target TLAC requirements by November 1, 2021. As a domestic systemically important bank (D-SIB), CIBC will be 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) and a minimum TLAC Leverage Ratio of $6.75\%$.
$^{(2)}$ Lines 1, 3 and 5 incorporate ECL transitional relief provided by OSFI as announced on March 27, 2020.
n/a Not applicable.

***

# OV1: OVERVIEW OF RWA $^{(1)}$

(\$ millions)

| | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | RWA $^{(2)}$ | Minimum capital requirements | RWA $^{(2)}$ | | | |
| 1 | Credit risk (excluding counterparty credit risk) | 200,932 | 16,075 | 195,110 | 193,242 | 193,394 | 194,148 |
| 2 | Of which: SA $^{(3)}$ | 54,980 | 4,398 | 53,194 | 54,512 | 55,652 | 56,111 |
| 3 | Of which: supervisory slotting approach | 411 | 33 | 407 | 317 | 291 | 319 |
| 4 | Counterparty credit risk $^{(4)}$ | 145,541 | 11,643 | 141,509 | 138,413 | 137,451 | 137,718 |
| | Of which: CVA capital charge | 18,497 | 1,480 | 16,625 | 17,120 | 17,120 | 18,250 |
| | Of which: exposures to central counterparties | 7,792 | 623 | 6,898 | 7,181 | 7,202 | 8,189 |
| | Of which: comprehensive approach for credit risk mitigation (for securities financing transactions (SFTS)) | 588 | 47 | 524 | 491 | 410 | 427 |
| | Of which: standardized approach for counterparty credit risk (SA-CCR) | 3,193 | 255 | 3,104 | 3,004 | 2,619 | 2,232 |
| | Of which: IMM | 415 | 33 | 347 | 208 | 335 | 374 |
| 7 | Equity positions in banking book under market-based approach | 6,509 | 521 | 5,752 | 6,236 | 6,554 | 7,028 |
| 8 | Equity investments in funds - look-through approach $^{(5)}$ | 516 | 41 | 475 | 499 | 437 | 413 |
| 9 | Equity investments in funds - mandate-based approach $^{(5)}$ | 43 | 3 | 31 | 12 | 12 | 8 |
| 10 | Equity investments in funds - fall-back approach $^{(5)}$ | - | - | - | - | - |
| 11 | Settlement risk | - | - | - | 28 | - | - |
| 12 | Securitization exposures in banking book | 1,978 | 158 | 2,276 | 2,383 | 2,735 | 2,571 |
| 12a | Of which: subject to the transitional arrangement | - | - | - | - | - | - |
| 13 | Of which: internal ratings-based approach (IRBA) | 50 | 4 | 216 | 168 | 597 | 317 |
| | Of which: external ratings-based approach (ERBA), including internal assessment approach (IAA) | 1,740 | 139 | 1,961 | 1,917 | 1,848 | 1,990 |
| 15 | Of which: SA $^{(6)}$ | 188 | 15 | 99 | 298 | 290 | 264 |
| 16 | Market risk | 10,939 | 875 | 7,937 | 7,331 | 5,858 | 6,122 |
| 17 | Of which: SA | 161 | 13 | 14 | 18 | 24 | 14 |
| 18 | Of which: IMM | 10,778 | 862 | 7,923 | 7,313 | 5,834 | 6,108 |
| 19 | Operational risk | 31,083 | 2,487 | 30,768 | 30,495 | 30,319 | 29,950 |
| 20 | Of which: Basic Indicator Approach | - | - | - | - | - | - |
| 21 | Of which: SA | 31,083 | 2,487 | 30,768 | 30,495 | 30,319 | 29,950 |
| 22 | Of which: Advanced Measurement Approach | - | - | - | - | - | - |
| 23 | Amounts below the thresholds for deduction (subject to 250\% risk-weight) | 5,011 | 401 | 4,775 | 5,037 | 4,968 | 5,221 |
| 24 | Floor adjustment | - | - | - | - | - | - |
| 25 | Total $^{(1+4+7+8+9+10+11+12+16+19+23+24)}$ | 268,999 | 21,520 | 257,997 | 256,119 | 254,871 | 256,683 |

$^{(1)}$ For changes in RWA, refer to table "Changes in RWA".
$^{(2)}$ Amounts are inclusive of a $6\%$ scaling factor adjustment that applies to IRB exposures, except for exposures related to asset securitization.
$^{(3)}$ Includes RWA of $\$6,903$ million (Q2/21: $\$7,233$ million) relating to other assets that are subject to the credit risk framework but are not included in the standardized or IRB frameworks. Also includes RWA of $\$612$ million (Q2/21: $\$500$ million) relating to non-trading equity investments.
$^{(4)}$ Comprises derivative and repo-style transactions.
$^{(5)}$ Equity investments in funds are only included in table OV1.
$^{(6)}$ Includes securitization exposures that are risk-weighted at $1250\%$.

***

# CHANGES IN RWA

## Credit risk

(\$ millions)

| | | CR8 | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | Original | Off-balance sheet | EAD post CRM and post-CCF | Average PD \% | | | |
| | | sheet gross exposures | exposure pre CCF | | | | | |
| 1 | Balance at beginning of period | 202,667 | | | | | | |
| 2 | Asset size $^{(2)}$ | 8,784 | 7,198 | 1,586 | 201,173 | 201,574 | 202,361 |
| 3 | Asset quality $^{(3)}$ | (4,027) | (4,027) | - | 6,058 | 3,368 | (1,423) |
| 4 | Model updates $^{(4)}$ | - | - | - | (1,315) | (153) | 1,388 |
| 5 | Methodology and policy $^{(5)}$ | (414) | 356 | (770) | 1,115 | (258) | (61) |
| 6 | Acquisitions and disposals | 1,234 | 505 | 729 | (3,224) | (3,257) | (528) |
| 7 | Foreign exchange movements | 236 | 236 | (263) | (101) | (163) |
| 8 | Other | 208,480 | 145,541 | 62,939 | 202,667 | 201,173 | 201,574 |
| 9 | Balance at end of period | | | | | | |

| | CCR7 | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Of which determined under an IMM approach | Of which all other $^{(6)}$ | | | | | |
| 1 | Balance at beginning of period | 16,625 | 5,752 | 10,873 | 17,120 | 17,120 | 18,250 |
| 2 | Asset size $^{(2)}$ | 2,060 | 1,065 | 995 | 175 | 688 | (847) |
| 3 | Credit quality of counterparties $^{(3)}$ | (203) | (181) | (22) | 81 | (126) | (119) |
| 4 | Model updates $^{(4)}$ | (191) | (191) | - | (236) | (75) | (81) |
| 5 | Methodology and policy $^{(5)}$ | - | - | - | - | - | - |
| 6 | Acquisitions and disposals | 206 | 64 | 142 | (515) | (487) | (83) |
| 7 | Foreign exchange movements | - | - | - | - | - | - |
| 8 | Other | 18,497 | 6,509 | 11,988 | 16,625 | 17,120 | 17,120 |
| 9 | Balance at end of period | | | | | | |

## Market risk

| | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Balance at beginning of period | 7,937 | 7,331 | 5,858 | 6,122 |
| 2 | Movement in risk levels $^{(7)}$ | 663 | (807) | 1,461 | (220) |
| 3 | Model updates $^{(4)}$ | (58) | 1,318 | (13) | (25) |
| 4 | Methodology and policy $^{(5)}$ | 2,505 | - | - | - |
| 5 | Acquisitions and disposals | (108) | 95 | 25 | (19) |
| 6 | Foreign exchange movements | - | - | - | - |
| 7 | Other | 10,939 | 7,937 | 7,331 | 5,858 |
| 8 | Balance at end of period | | | | | |

## Operational risk

| | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Balance at beginning of period | 30,768 | 30,495 | 30,319 | 29,950 |
| 2 | Movement in risk levels $^{(8)}$ | 315 | 273 | 176 | 369 |
| 3 | Methodology and policy $^{(5)}$ | - | - | - | - |
| 4 | Acquisitions and disposals | - | - | - | - |
| 5 | Foreign exchange movements | - | - | - | - |
| 6 | Other | 31,083 | 30,768 | 30,495 | 30,319 |
| 7 | Balance at end of period | | | | | |

$^{(1)}$ Includes credit risk under the standardized and supervisory slotting approaches, equity investments in funds under the look-through and mandate based approaches, settlement risk, securitization exposures in the banking book, and amounts below the thresholds for deduction that are risk-weighted at $250\%$.
$^{(2)}$ Relates to net increase/decrease in the underlying exposures and related impacts, including tenor and CVA.
$^{(3)}$ Relates to changes in credit risk mitigation and credit quality of the borrower/counterparty.
$^{(4)}$ Relates to internal model or parameter changes.
$^{(5)}$ Relates to regulatory changes implemented on an industry-wide basis and any capital methodology changes implemented within CIBC for our portfolios.
$^{(6)}$ Includes counterparty credit risk under SA-CCR for over-the-counter (OTC) derivatives not eligible for IMM, as well as the comprehensive approach for credit risk mitigation for SFTs, exposure to central counterparties, and the CVA capital charge.
$^{(7)}$ Relates to changes in open positions and market volatility.
$^{(8)}$ Relates to changes in revenue.

***

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

(\$ millions)

| | | Carrying values as reported in published financial statements | Carrying values under scope of regulatory consolidation $^{(2)}$ | Items subject to: | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | a | b | Credit risk framework | Counterparty credit risk framework | Securitization framework $^{(3)}$ | Market risk framework | Not subject to capital requirements or subject to deduction from capital |
| **ASSETS** | | | | c | d | e | f | g |
| Cash and non-interest-bearing deposits with banks | | 30,234 | 30,234 | 30,234 | - | - | - | - |
| Interest-bearing deposits with banks | | 20,062 | 20,062 | 20,007 | - | - | - | 55 |
| Securities | | 157,478 | 157,271 $^{(4)}$ | 101,450 | 921 | 1,115 | 54,706 | - |
| Cash collateral on securities borrowed | | 13,296 | 13,296 | 13,296 | - | - | - | - |
| Securities purchased under resale agreements | | 62,910 | 62,910 | 62,910 | - | - | - | - |
| Loans | | 438,350 | 438,350 $^{(5)}$ | 433,772 | 665 | 2,185 | 23,999 | 1,728 |
| Other | | - | - | - | - | - | - | - |
| Derivative instruments | | 34,360 | 34,360 $^{(6)}$ | 34,360 | - | - | 32,691 | - |
| Customers' liability under acceptances | | 10,817 | 10,817 | 10,817 | - | - | - | - |
| Property and equipment | | 3,133 | 3,133 | 3,133 | - | - | - | - |
| Goodwill | | 4,986 | 4,986 | - | - | - | - | - |
| Software and other intangible assets | | 1,949 | 1,949 | - | - | - | - | - |
| Investments in equity-accounted associates and joint ventures | | 655 | 1,010 | 978 | - | - | 32 | - |
| Deferred tax assets | | 435 | 435 | 1,078 | - | - | (643) $^{(7)}$ | - |
| Other assets | | 27,402 | 27,312 | 12,091 | 10,049 | 4,003 | 1,169 | - |
| Total assets | | 806,067 | 806,125 | 613,560 | 122,201 | 3,300 | 115,454 | 9,221 |
| **LIABILITIES** | | | | | | | | |
| Deposits | | 602,969 | 602,969 | 210,683 | - | 591 | 332,383 | - |
| Personal | | 210,683 | 210,683 | 210,683 | - | - | - | - |
| Business and government | | 332,974 | 332,974 | - | - | - | 332,383 | - |
| Bank | | 18,708 | 18,708 | - | - | - | 18,708 | - |
| Secured borrowings | | 40,604 | 40,604 | - | - | - | 40,604 | - |
| Obligations related to securities sold short | | 21,815 | 21,815 | - | - | 19,821 | 1,994 | - |
| Cash collateral on securities lent | | 3,611 | 3,611 | - | - | - | 3,611 | - |
| Obligations related to securities sold under repurchase agreements | | 64,633 | 64,633 | - | - | - | 64,633 | - |
| Other | | - | - | - | - | - | - | - |
| Derivative instruments | | 29,291 | 29,291 $^{(6)}$ | 29,291 | - | - | 29,291 | - |
| Acceptances | | 10,879 | 10,879 | - | - | - | 10,879 | - |
| Deferred tax liability | | 35 | 35 | - | - | - | 35 | - |
| Other liabilities | | 22,896 | 22,954 | - | - | 2,241 | 20,713 | - |
| Subordinated indebtedness | | 63,101 | 63,159 | 29,291 | - | 30,066 | 31,653 | - |
| Subordinated indebtedness allowed for inclusion in T2 capital | | 5,653 | 5,653 | - | - | 5,653 | - | - |
| Total liabilities | | 761,782 | 761,840 | 29,291 | 97,535 | 30,066 | 641,652 | - |
| **Equity** | | | | | | | | |
| Preferred shares and other equity instruments | | - | - | 3,575 | - | - | 3,575 | - |
| Common shares | | 14,252 | 14,252 | - | - | 14,251 | 1 | - |
| Contributed surplus | | 117 | 117 | - | - | 117 | - | - |
| Retained earnings | | 25,055 | 25,055 | (422) | 422 | 25,055 | - | - |
| AOCI | | 1,109 | 1,109 | - | - | 24,986 | - | - |
| Non-controlling interests | | 177 | 177 | - | - | - | - | - |
| Total equity | | 44,285 | 44,285 | (422) | 422 | 44,285 | - | - |
| Total liabilities and equity | | 806,067 | 806,125 | 29,291 | 97,535 | 30,066 | 641,652 | - |

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

***

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

(\$ millions)

| | | 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) | 796,904 | 613,560 | 3,300 | 122,201 | 115,454 |
| 2 | Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1) | 120,188 | | | 97,535 | 50,478 |
| 3 | Total net amount under regulatory scope of consolidation | 676,716 | 613,560 | 3,300 | 24,666 | 64,976 |
| 4 | Off-balance sheet amounts $^{(3)}$ | 355,085 | 244,491 | 11,784 | 98,810 | - |
| 5 | Differences in valuations | (353) | (353) $^{(4)}$ | - | - | - |
| 6 | Differences due to different netting rules, other than those already included in row 3 | 8,077 | 8,077 | - | - | - |
| 7 | Differences due to consideration of provisions $^{(5)}$ | 2,686 | 2,686 | - | - | - |
| 8 | Differences due to prudential filters | - | - | - | - | - |
| 9 | Gross-up for securities financing transactions $^{(6)}$ | 136,488 | 136,488 | - | - | - |
| 10 | Differences due to inclusion of potential future exposure and alpha multiplier in derivative EAD | 12,632 | 12,632 | - | - | - |
| 11 | Collateral $^{(7)}$ | (226,150) | (226,150) | - | - | - |
| 12 | Other | - | - | - | - | - |
| 13 | Exposure amounts considered for regulatory purposes | 965,181 | 860,384 | 15,084 | 54,523 | 64,976 |

$^{(1)}$ 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 $\$540$ million (Q2/21: $\$489$ 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).

***

# CC1: COMPOSITION OF REGULATORY CAPITAL

(\$ millions)

| Row | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 | Cross-reference $^{(1)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | | | | |
| 1 | Directly issued qualifying common share capital plus related stock surplus | 14,368 | 14,249 | 14,110 | 14,025 | 13,922 | A+B |
| 2 | Retained earnings | 25,055 | 24,003 | 23,060 | 22,119 | 21,726 | C |
| 3 | Accumulated other comprehensive income (AOCI) (and other reserves) | 1,109 | 1,007 | 1,435 | 1,447 | n/a | D |
| 4 | Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies) | 114 | 112 | n/a | n/a | n/a | E |
| 5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 683 | 683 | 124 | 128 | n/a | |
| **6** | **CET1 capital before regulatory adjustments** | **40,646** | **39,047** | **38,301** | **37,707** | **37,225** | |
| **CET1 capital: regulatory adjustments** | | | | | | | |
| 7 | Prudential valuation adjustments | 22 | See footnote 2 | 23 | 21 | 24 | 30 | |
| 8 | Goodwill (net of related tax liabilities) | 4,909 | 4,851 | 5,008 | 5,177 | 5,422 | F+G+H |
| 9 | Other intangibles other than mortgage-servicing rights (net of related tax liabilities) | 1,684 | 1,677 | 1,654 | 1,662 | 1,650 | I+J+AL |
| 10 | Deferred tax assets excluding those arising from temporary differences (net of related tax liabilities) | 8 | 10 | 11 | 24 | 17 | |
| 11 | Cash flow hedge reserve | 292 | 242 | 250 | 274 | 304 | K |
| 12 | Shortfall of provisions to expected losses $^{(3)}$ | - | - | - | - | - | See footnote 2 |
| 13 | Securitization gain on sale | 24 | (14) | 35 | 51 | M+AK |
| 14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 892 | 686 | 403 | 206 | 152 | N+O |
| 15 | Defined benefit pension fund net assets (net of related tax liabilities) | 3 | 20 | 18 | 21 | 7 | See footnote 2 |
| 16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | - | - | - | - | - | |
| 17 | Reciprocal cross holdings in common equity | - | - | - | - | - | |
| 18 | Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10\% threshold) | - | - | - | - | - | |
| 19 | net of eligible short positions (amount above 10\% threshold) | - | - | - | - | - | |
| 20 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, | - | - | - | - | - | P+Q |
| 21 | Mortgage servicing rights (amount above 10\% threshold) | - | - | - | - | - | R+S |
| 22 | Deferred tax assets arising from temporary differences (amount above 10\% threshold, net of related tax liability) | - | - | - | - | - | T |
| 23 | Amount exceeding the 15\% threshold | (283) | (401) | (488) | (592) | (610) | |
| 24 | of which: significant investments in the common stock of financials | - | - | - | - | - | |
| 25 | of which: mortgage servicing rights | - | - | - | - | - | |
| 26 | Other deductions or regulatory adjustments to CET1 as determined by OSFI $^{(4)}$ | 7,551 | 7,132 | 6,863 | 6,831 | 7,023 | |
| **27** | **CET1 capital** | **33,095** | **31,915** | **31,438** | **30,876** | **30,202** | |
| 28 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 (AT1) and Tier 2 (T2) to cover deductions | 32,812 | 31,514 | 30,950 | 30,284 | 29,592 | |
| **29** | **Total regulatory adjustments to CET1** | **-** | **-** | **-** | **-** | **-** | |
| **29a** | **CET1 capital with transitional arrangements for ECL provisioning not applied** | **3,575** | **3,575** | **3,575** | **3,575** | **2,825** | |
| **AT1 capital: instruments** | | | | | | | |
| 30 | Directly issued qualifying AT1 instruments plus related stock surplus $^{(5)}$ | 3,575 | 3,575 | 3,575 | 3,575 | 2,825 | U |
| 31 | of which: classified as equity under applicable accounting standards | 3,575 | 3,575 | 3,575 | 3,575 | 2,825 | |
| 32 | Directly issued capital instruments subject to phase out from AT1 | - | - | - | - | - | |
| 33 | AT1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) | 251 | 251 | 251 | 303 | 304 | V+see footnote 6 |
| 34 | of which: instruments issued by subsidiaries subject to phase out | 19 | 18 | 20 | 22 | 19 | W |
| **35** | **AT1 capital before regulatory adjustments** | **3,845** | **3,844** | **3,846** | **3,899** | **3,148** | |
| **AT1 capital: regulatory adjustments** | | | | | | | |
| 36 | Investments in own AT1 instruments | - | - | - | - | - | |
| 37 | Reciprocal cross holdings in AT1 instruments | - | - | - | - | - | |
| 38 | Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10\% threshold) | - | - | - | - | - | |
| 39 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions | - | - | - | - | - | |
| 40 | Other deductions from Tier 1 (T1) capital as determined by OSFI | - | - | - | - | - | |
| 41 | of which: reverse mortgages | - | - | - | - | - | |
| 41a | Regulatory adjustments applied to AT1 due to insufficient T2 to cover deductions | - | - | - | - | - | |
| **42** | **Total regulatory adjustments to AT1 capital** | **-** | **-** | **-** | **-** | **-** | |
| **43** | **T1 capital (T1 = CET1 + AT1)** | **36,940** | **35,759** | **35,284** | **34,775** | **33,350** | |
| **44** | **T1 capital with transitional arrangements for ECL provisioning not applied** | **36,657** | **35,358** | **34,796** | **34,183** | **32,740** | |
| **T2 capital: instruments and provisions** | | | | | | | |
| 45 | Directly issued qualifying T2 instruments plus related stock surplus $^{(7)}$ | 5,036 | 5,051 | 4,059 | 5,035 | 5,098 | X |
| 46 | Directly issued capital instruments subject to phase out from T2 | 451 | 451 | 451 | 628 | 674 | Y |
| 47 | T2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) | 26 | 25 | 28 | 29 | 25 | Z |
| 48 | of which: instruments issued by subsidiaries subject to phase out | - | - | - | - | - | |
| 49 | General allowances | 449 | 540 | 533 | 502 | 493 | AA+AB |
| **50** | **T2 capital before regulatory adjustments** | **5,962** | **6,067** | **5,071** | **6,194** | **6,290** | |

Footnotes: see next page.

***

# CC1: COMPOSITION OF REGULATORY CAPITAL (continued)

| Row | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 | Cross-reference $^{(1)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 51 | Total regulatory adjustments to T2 capital | 42,902 | 41,826 | 40,355 | 40,969 | 39,640 | |
| 52 | Investments in own T2 instruments | - | - | - | - | - | |
| 53 | Reciprocal cross holdings in T2 instruments and other TLAC-eligible instruments | - | - | - | - | - | |
| 54 | Non-significant investments in the capital of banking, financial and insurance entities and other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation, where the institution does not own more than 10\% of the issued common share capital of the entity (amount above 10\% threshold) | - | - | - | - | - | |
| 54a | Non-significant investments in the other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs, where the institution does not own more than 10\% of the issued common share capital of the entity: amount previously designated for the 5\% threshold but that no longer meets the conditions | - | - | - | - | - | |
| 55 | Significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation | 5,962 | 6,067 | 5,071 | 6,194 | 6,290 | |
| 56 | Other deductions from T2 capital | - | - | - | - | - | |
| **57** | **Total regulatory adjustments to T2 capital** | **-** | **-** | **-** | **-** | **-** | |
| **58** | **T2 capital** | **5,962** | **6,067** | **5,071** | **6,194** | **6,290** | |
| **59** | **Total capital (TC = T1 + T2)** | **42,902** | **41,826** | **40,355** | **40,969** | **39,640** | |
| **59a** | **Total capital with transitional arrangements for ECL provisioning not applied** | **268,999** | **257,997** | **256,119** | **254,871** | **256,683** | |
| **Capital ratios** | | | | | | | |
| 60 | CET1 (as a percentage of RWA) | 12.3\% | 12.4\% | 12.3\% | 12.1\% | 11.8\% | |
| 61 | CET1 (as a percentage of RWA) with transitional arrangements for ECL provisioning not applied | 12.2\% | 12.4\% | 12.1\% | 11.9\% | 11.5\% | |
| 62 | T1 (as a percentage of RWA) | 13.7\% | 13.9\% | 13.8\% | 13.6\% | 13.0\% | |
| 62a | T1 (as a percentage of RWA) with transitional arrangements for ECL provisioning not applied | 13.6\% | 13.7\% | 13.6\% | 13.4\% | 12.8\% | |
| 63 | Total capital (as a percentage of RWA) | 16.0\% | 16.2\% | 15.8\% | 16.1\% | 15.4\% | |
| 63a | Total capital (as a percentage of RWA) with transitional arrangements for ECL provisioning not applied | 16.0\% | 16.2\% | 15.8\% | 16.1\% | 15.4\% | |
| 64 | Buffer (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer plus D-SIB buffer expressed as a percentage of RWA) | 8.0\% | 8.0\% | 8.0\% | 8.0\% | 8.0\% | |
| 65 | of which: capital conservation buffer | 2.5\% | 2.5\% | 2.5\% | 2.5\% | 2.5\% | |
| 66 | of which: bank specific countercyclical buffer | 0.0\% | 0.0\% | 0.0\% | 0.0\% | 0.0\% | |
| 67 | of which: G-SIB buffer | 0.0\% | 0.0\% | 0.0\% | 0.0\% | 0.0\% | |
| 67a | of which: D-SIB buffer | 1.0\% | 1.0\% | 1.0\% | 1.0\% | 1.0\% | |
| 68 | CET1 available to meet buffers (as percentage of RWA) | 12.3\% | 12.4\% | 12.3\% | 12.1\% | 11.8\% | |
| 69 | OSFI target (minimum + capital conservation buffer + D-SIB buffer (if applicable)) $^{(8)}$ | 8.0\% | 8.0\% | 8.0\% | 8.0\% | 8.0\% | |
| 70 | CET1 target ratio | 9.5\% | 9.5\% | 9.5\% | 9.5\% | 9.5\% | |
| 71 | T1 capital target ratio | 11.5\% | 11.5\% | 11.5\% | 11.5\% | 11.5\% | |
| 72 | Total capital target ratio | | | | | | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | | |
| 73 | Non-significant investments in the capital and other TLAC-eligible instruments of other financial entities | 565 | 407 | 325 | 392 | 305 | AG+AI+AJ+ see footnote 9 |
| 74 | Significant investments in the common stock of financials | 926 | 908 | 1,026 | 933 | 1,008 | AD+AE+AF |
| 75 | Mortgage servicing rights (net of related tax liability) | 1,078 | 1,002 | 989 | 1,054 | 1,081 | AC |
| 76 | Deferred tax assets arising from temporary differences (net of related tax liabilities) | - | - | - | - | - | |
| **Applicable caps on the inclusion of allowances in T2** | | | | | | | |
| 77 | Allowances eligible for inclusion in T2 in respect of exposures subject to SA (prior to application of cap) | 449 | 479 | 533 | 502 | 493 | AA |
| 78 | Cap on inclusion of allowances in T2 under SA | 671 | 645 | 676 | 689 | 704 | |
| 79 | Allowances eligible for inclusion in T2 in respect of exposures subject to IRBA (prior to application of cap) | 1,040 | 1,006 | 985 | 981 | 986 | AB |
| 80 | Cap on inclusion of allowances in T2 under IRBA | | | | | | |
| **Capital instruments subject to phase out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | | | | | |
| 81 | Current cap on CET1 instruments subject to phase out arrangements | n/a | n/a | n/a | n/a | n/a | |
| 82 | Amounts excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | n/a | n/a | n/a | n/a | |
| 83 | Current cap on AT1 instruments subject to phase out arrangements | 251 | 251 | 251 | 303 | 304 | V+see footnote 6 |
| 84 | Amounts excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 50 | 51 | - | - | - | AH+see footnote 6 |
| 85 | Current cap on T2 instruments subject to phase out arrangements | 451 | 451 | 451 | 901 | 901 | |
| 86 | Amounts excluded from T2 due to cap (excess over cap after redemptions and maturities) | 133 | 119 | 150 | - | - | |

$^{(1)}$ Cross-referenced to the consolidated balance sheet, refer to table CC2.
$^{(2)}$ Not recorded on the consolidated balance sheet.
$^{(3)}$ Provisions in the shortfall calculation represent stage 1, 2, and 3 allowances for credit losses.
$^{(4)}$ Includes the impact of the ECL transitional arrangement announced by OSFI on March 27, 2020. The transitional arrangement results in a portion of ECL allowances that would otherwise be included in Tier 2 capital qualifying for inclusion in CET1 capital subject to certain adjustments and limitations until fiscal 2022.
$^{(5)}$ Comprises non-viability contingent capital (NVCC) preferred shares and limited recourse capital notes (LRCN).
$^{(6)}$ Comprises CIBC Tier 1 Notes - Series B due June 30, 2108.
$^{(7)}$ Comprises certain debentures which qualify as NVCC.
$^{(8)}$ Excludes the $1.0\%$ (Q2/21, Q1/21, Q4/20 and Q3/20: $1.0\%$) Domestic Stability Buffer that OSFI requires D-SIBs to hold as this buffer requirement is intended to address Pillar 2 risks that are not adequately captured in the Pillar 1 capital requirements. The table above includes only the Pillar 1 capital requirements.
$^{(9)}$ Synthetic positions not recorded on the consolidated balance sheet.
n/a Not applicable.

***

# CC2: RECONCILIATION OF REGULATORY CAPITAL TO BALANCE SHEET

(\$ millions)

| **Assets** | Carrying values as reported in published financial statements | Insurance entities adjustment $^{(1)}$ | Equity accounting | Balance sheet as in scope of consolidation | Cross reference to capital schedule $^{(2)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Cash and non-interest-bearing deposits with banks | 30,234 | - | - | 30,234 | AF |
| Interest-bearing deposits with banks | 20,062 | - | - | 20,062 | |
| Securities | 157,478 | (207) | - | 157,271 | 88 |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | | AG |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | 157,183 | |
| Significant investments in capital of non-financial institutions | | | | | |
| Other securities | | | | | |
| Cash collateral on securities borrowed | 13,296 | - | - | 13,296 | |
| Securities purchased under resale agreements | 62,910 | - | - | 62,910 | |
| Loans | 441,276 | - | - | 441,276 | AA |
| Allowance for credit losses | (2,926) | - | - | (2,926) | (449) | AB |
| General allowance reflected in T2 capital | | | | | |
| Excess in allowance over expected losses reflected in T2 capital | | | | | |
| Allowances reflected in CET1 capital per ECL transitional arrangement | | | | | (283) |
| Allowances not reflected in regulatory capital | | | | | (2,194) |
| Derivative instruments | 34,360 | - | - | 34,360 | |
| Customers' liability under acceptances | 10,817 | - | - | 10,817 | |
| Property and equipment | 3,133 | - | - | 3,133 | F |
| Goodwill | 4,986 | - | - | 4,986 | |
| Software and other intangible assets | 1,949 | - | - | 1,949 | |
| Investments in equity-accounted associates and joint ventures | 655 | 355 | - | 1,010 | P |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10\% of CET1) | | | | 571 | R |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15\% basket of CET1) | | | | 10 | G |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | 22 | AL |
| Significant investments in capital of other financial institutions related to goodwill | | | | 26 | Q |
| Significant investments in capital of other financial institutions related to intangibles | | | | 18 | S |
| Significant investments in capital of non-financial institutions | | | | 8 | AJ |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10\% of CET1) | | | | 355 | AE |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15\% basket of CET1) | | | | - | |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | | | | - | |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | | | | - | |
| Non-significant investments in capital of non-financial institutions | | | | - | |
| Deferred tax assets | 435 | - | - | 435 | K |
| Deferred tax assets excluding those arising from temporary differences | | | | 8 | |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15\% basket of CET1) | | | | 1,078 | AC |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | | | | (87) | H |
| Deferred tax liabilities related to goodwill | | | | (287) | J |
| Deferred tax liabilities related to software and other intangible assets | | | | (277) | O |
| Deferred tax liabilities related to defined benefit pension fund net assets | | | | | |
| Other assets | 1,169 | - | - | 1,169 | N |
| Defined benefit pension fund net assets | 26,233 | (90) | - | 26,143 | |
| Other | | | | 5 | AI |
| Total assets | 806,067 | (297) | 355 | 806,125 | |

**LIABILITIES**

| | Balance sheet as in report to shareholders | Insurance entities adjustment $^{(1)}$ | Equity accounting | Balance sheet as in scope of consolidation | Cross reference to capital schedule $^{(2)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Deposits | 602,969 | - | - | 602,969 | |
| Obligations related to securities sold short | 21,815 | - | - | 21,815 | |
| Cash collateral on securities lent | 3,611 | - | - | 3,611 | |
| Obligations related to securities sold under repurchase agreements | 64,633 | - | - | 64,633 | |
| Derivative instruments | 29,291 | - | - | 29,291 | |
| Acceptances | 10,879 | - | - | 10,879 | |
| Deferred tax liabilities | 35 | - | - | 35 | |
| Other liabilities | 22,896 | 125 | (67) | 22,954 | |
| Subordinated indebtedness | 5,653 | - | - | 5,653 | |
| Subordinated indebtedness allowed for inclusion in T2 capital | | | | 5,036 | X |
| Subordinated indebtedness allowed for inclusion in T2 capital subject to phase out | | | | 451 | Y |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for T2 capital | | | | 133 | |
| Subordinated indebtedness excluded from T2 capital due to cap | | | | 33 | |
| Subordinated indebtedness not allowed for T2 capital | | | | - | |
| **Total liabilities** | **761,782** | **125** | **(67)** | **761,840** | |
| **Equity** | | | | | |
| Preferred shares and other equity instruments | 3,575 | - | - | 3,575 | U |
| Preferred shares and other equity instruments allowed for inclusion into additional T1 capital | | | | 3,575 | V |
| Preferred shares and other equity instruments allowed for inclusion into additional T1 capital subject to phase out | | | | - | AH |
| Preferred shares and other equity instruments excluded from additional T1 capital due to cap | | | | - | |
| Common shares | 14,252 | - | - | 14,252 | A |
| Common shares - treasury positions | - | - | - | 1 | |
| Common shares | 14,251 | - | - | 14,251 | |
| Contributed surplus | 117 | - | - | 117 | B |
| Retained earnings | 25,055 | (422) | 422 | 25,055 | C |
| Gains and losses due to changes in own credit risk on fair valued liabilities | | | | 24,986 | M |
| Other retained earnings | | | | - | |
| AOCI | 1,109 | - | - | 1,109 | D |
| Cash flow hedges | | | | 292 | L |
| Net fair value gains (losses) arising from changes in institution's own credit risk | | | | (45) | AK |
| Other | 862 | - | - | 862 | |
| Non-controlling interests | 177 | - | - | 177 | E |
| Portion allowed for inclusion into CET1 | | | | 114 | |
| Portion allowed for inclusion into additional T1 capital | | | | 19 | W |
| Portion allowed for inclusion into T2 capital | | | | 26 | Z |
| Portion not allowed for regulatory capital | | | | 18 | |
| **Total equity** | **44,285** | **(422)** | **422** | **44,285** | |
| **Total liabilities and equity** | **806,067** | **(297)** | **355** | **806,125** | |

$^{(1)}$ Comprises our insurance subsidiaries: CIBC Cayman Re, and CIBC Life which are excluded from the regulatory scope of consolidation. CIBC Cayman Re provides life and health reinsurance to Canadian insurance and international reinsurance companies. CIBC Life is primarily involved in direct underwriting of life insurance products and has assumed a closed creditor product block of business from a Canadian underwriter; current policies in-force include accidental death, hospital accident, hospital cash benefit plans, critical accident plan, accident recovery plan, term life, and creditor life and disability insurance products. As at July 31, 2021, CIBC Cayman Re had $\$199$ million in assets, $\$(89)$ million in liabilities, and $\$288$ million in equity, CIBC Life had $\$98$ million in assets, $\$(36)$ million in liabilities, and $\$134$ million in equity.
$^{(2)}$ Refer to table CC1.

***

# CHANGES IN REGULATORY CAPITAL

(\$ millions)

## CET1 capital

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Opening amount | 31,915 | 31,438 | 30,876 | 30,202 | 29,535 |
| Shares issued in lieu of cash dividends (add back) | 32 | 32 | 32 | 33 | 39 |
| Other issue of common shares | 92 | 104 | 67 | 56 | 42 |
| Redeemed capital | - | - | - | - | - |
| Purchase of common shares for cancellation | - | - | - | - | - |
| Premium on purchase of common shares for cancellation | - | - | - | - | - |
| Gross dividends (deduction) | (687) | (706) | (683) | (682) | (681) |
| Profit for the quarter (attributable to shareholders of the parent company) | 1,725 | 1,647 | 1,621 | 1,015 | 1,170 |
| Removal of own credit spread (net of tax) | (38) | 49 | 16 | 102 | - |
| Change in AOCI balances included in regulatory capital | 228 | (595) | (619) | (84) | (618) |
| Currency translation differences | 1 | (68) | 51 | (37) | 178 |
| Securities measured at fair value through other comprehensive income (FVOCI) | 50 | (8) | (24) | (30) | (5) |
| Cash flow hedges | 137 | 327 | 199 | 147 | (210) |
| Post-employment defined benefit plans | (65) | 134 | 177 | 233 | 192 |
| Goodwill and other intangible assets (deduction, net of related tax liabilities) | 2 | 1 | 13 | (7) | 16 |
| Shortfall of allowance to expected losses | (206) | (283) | (197) | (54) | 150 |
| Other, including regulatory adjustments and transitional arrangements | - | - | - | - | - |
| Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) | - | - | - | - | - |
| Defined benefit pension fund net assets | (206) | (283) | (197) | (54) | 150 |
| Significant investments in financial institutions (amount above 10\% threshold) | - | - | - | - | - |
| Amount exceeding 15\% threshold | - | - | - | - | - |
| Prudential valuation adjustments | (130) | (68) | (127) | 62 | 292 |
| Other $^{(1)}$ | 33,095 | 31,915 | 31,438 | 30,876 | 30,202 |
| **Closing amount** | | | | | |

## AT1 capital

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Opening amount | 3,844 | 3,846 | 3,899 | 3,150 | 3,148 |
| AT1 eligible capital issues $^{(2)}$ | - | - | - | 750 | - |
| Redeemed capital | - | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | (51) | - | - | - |
| Other, including regulatory adjustments and transitional arrangements $^{(1)}$ | 1 | (2) | (2) | 1 | (2) |
| **Closing amount** | **3,845** | **3,844** | **3,846** | **3,899** | **3,148** |

## Total T1 capital

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | 36,940 | 35,759 | 35,284 | 34,775 | 33,350 |

## T2 capital

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Opening amount | 6,067 | 5,071 | 6,194 | 6,290 | 5,283 |
| New T2 eligible capital issues | - | 1,000 | - | - | 1,000 |
| Redeemed capital | - | - | (1,000) | - | - |
| Amortization adjustments | - | - | - | (32) | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | (150) | - | - |
| Other, including regulatory adjustments and transitional arrangements $^{(1)}$ | (105) | (4) | 27 | (64) | 7 |
| **Closing amount** | **5,962** | **6,067** | **5,071** | **6,194** | **6,290** |

## Total capital

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | 42,902 | 41,826 | 40,355 | 40,969 | 39,640 |

$^{(1)}$ Includes the impact of the ECL transitional arrangement announced by OSFI on March 27, 2020. The transitional arrangement results in in a portion of ECL allowances that would otherwise be included in Tier 2 capital qualifying for inclusion in CET1 capital subject to certain adjustments and limitations until fiscal 2022.
$^{(2)}$ Includes LRCN.

***

# TLAC1: TLAC COMPOSITION (AT RESOLUTION GROUP LEVEL)

(\$ millions)

| | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Regulatory capital elements of TLAC and adjustments** | | | | | | |
| 1 | CET1 capital | 33,095 | 31,915 | 31,438 | 30,876 | 30,202 |
| 2 | AT1 capital before TLAC adjustments | 3,845 | 3,844 | 3,846 | 3,899 | 3,148 |
| 3 | AT1 ineligible as TLAC as issued out of subsidiaries to third parties | - | - | - | - | - |
| 4 | Other adjustments | 3,845 | 3,844 | 3,846 | 3,899 | 3,148 |
| 5 | AT1 instruments eligible under the TLAC framework | 5,962 | 6,067 | 5,071 | 6,194 | 6,290 |
| 6 | T2 capital before TLAC adjustments | 5,962 | 6,067 | 5,071 | 6,194 | 6,290 |
| 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** | **5,962** | **6,067** | **5,071** | **6,194** | **6,290** |
| **11** | **TLAC arising from regulatory capital** | **42,902** | **41,826** | **40,355** | **40,969** | **39,640** |
| **Non-regulatory capital elements of TLAC** | | | | | | |
| 12 | External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 30,477 | 23,803 | 22,467 | 19,696 | 18,519 |
| 13 | External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements | - | - | - | - | - |
| **14** | **Of which: amount eligible as TLAC after application of the caps** | **30,477** | **23,803** | **22,467** | **19,696** | **18,519** |
| 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** | **30,477** | **23,803** | **22,467** | **19,696** | **18,519** |
| **Non-regulatory capital elements of TLAC: adjustments** | | | | | | |
| **18** | **TLAC before deductions** | **73,379** | **65,629** | **62,822** | **60,665** | **58,159** |
| 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 | n/a | n/a |
| 20 | Deduction of investments in own other TLAC liabilities | (79) | (127) | (91) | (53) | (18) |
| 21 | Other adjustments to TLAC | - | - | - | - | - |
| **22** | **TLAC available after deductions** | **73,300** | **65,502** | **62,731** | **60,612** | **58,141** |
| **RWA and leverage exposure measure for TLAC purposes** | | | | | | |
| 23 | Total RWA adjusted as permitted under the TLAC regime | 268,999 | 257,997 | 256,119 | 254,871 | 256,683 |
| 24 | Leverage exposure measure | 795,642 | 767,391 | 756,688 | 741,760 | 724,111 |
| **TLAC ratios and buffers $^{(1)}$** | | | | | | |
| 25 | TLAC Ratio (as a percentage of RWA adjusted as permitted under the TLAC regime) $(\%)$ | 27.2\% | 25.4\% | 24.5\% | 23.8\% | 22.7\% |
| 26 | TLAC Leverage Ratio (as a percentage of leverage exposure) $(\%)$ | 9.2\% | 8.5\% | 8.3\% | 8.2\% | 8.0\% |
| 27 | CET1 (as a percentage of RWA) available after meeting the resolution group's minimum capital and TLAC requirements $^{(2)}$ | n/a | n/a | n/a | n/a | n/a |
| 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 | 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\% |

$^{(1)}$ Under the Canadian bail-in regime, including OSFI's TLAC Guideline, CIBC is required to meet target TLAC requirements by November 1, 2021. As a D-SIB, CIBC will be subject to a target risk-based TLAC Ratio (which comprises a minimum risk-based TLAC ratio of $21.5\%$ plus the then-applicable Domestic Stability Buffer) and a minimum TLAC Leverage Ratio of $6.75\%$.
$^{(2)}$ Not applicable until Q1/22.
n/a Not applicable.

***

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

(\$ millions)

## Q3/21

| | Creditor ranking | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | (most junior) | (most senior) | | | | |
| | Common shares | Preferred shares and other equity instruments | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | Total |
| 1 | Description of creditor ranking | 1 | 3,575 | 5,511 | 30,673 | 80 | 54,011 |
| 2 | Total capital and liabilities net of credit risk mitigation | 14,252 | 3,575 | 5,511 | 30,673 | 80 | 54,011 |
| 3 | Subset of row 2 that are excluded liabilities | 1 | - | - | 27 | - | 108 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 14,251 | 3,575 | 5,484 | 30,593 | - | 53,903 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 14,251 | 3,575 | 5,484 | 30,370 | - | 53,680 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity $<$ 2 years | - | - | - | 10,315 | - | 10,315 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity $<$ 5 years | - | - | - | 17,772 | - | 17,772 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity $<$ 10 years | - | 5,348 | 920 | 17,772 | - | 6,268 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | - | 136 | 1,363 | - | 1,499 |
| 10 | Subset of row 5 that is perpetual securities | 14,251 | 3,575 | - | - | 17,826 |

## Q2/21

| | Creditor ranking | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | (most junior) | (most senior) | | | | |
| | Common shares | Preferred shares and other equity instruments | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | Total |
| 1 | Description of creditor ranking | 2 | 3,575 | 5,510 | 23,925 | 14 | 47,140 |
| 2 | Total capital and liabilities net of credit risk mitigation | 14,130 | 3,575 | 5,510 | 23,925 | 14 | 47,140 |
| 3 | Subset of row 2 that are excluded liabilities | 2 | - | - | 65 | - | 81 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 14,128 | 3,575 | 5,496 | 23,860 | - | 47,059 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 14,128 | 3,575 | 5,496 | 23,654 | - | 46,853 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity $<$ 2 years | - | - | - | 1,721 | - | 1,721 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity $<$ 5 years | - | - | - | 19,700 | - | 19,700 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity $<$ 10 years | - | 5,211 | 887 | - | 6,098 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | - | 285 | 1,346 | - | 1,631 |
| 10 | Subset of row 5 that is perpetual securities | 14,128 | 3,575 | - | - | 17,703 |

## Q1/21

| | Creditor ranking | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | (most junior) | (most senior) | | | | |
| | Common shares | Preferred shares and other equity instruments | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | Total |
| 1 | Description of creditor ranking | 13,991 | 3,575 | 4,513 | 22,711 | 33 | 44,790 |
| 2 | Total capital and liabilities net of credit risk mitigation | 13,991 | 3,575 | 4,513 | 22,711 | 33 | 44,790 |
| 3 | Subset of row 2 that are excluded liabilities | - | - | - | 89 | - | 122 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 13,991 | 3,575 | 4,480 | 22,622 | - | 44,668 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 13,991 | 3,575 | 4,480 | 22,360 | - | 44,406 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity $<$ 2 years | - | - | - | 180 | - | 180 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity $<$ 5 years | - | - | - | 20,293 | - | 20,293 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity $<$ 10 years | - | 4,192 | 863 | - | 5,055 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | - | 288 | 1,024 | - | 1,312 |
| 10 | Subset of row 5 that is perpetual securities | 13,991 | 3,575 | - | - | 17,566 |

$^{(1)}$ 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.

***

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

(\$ millions)

## Q4/20

| | Creditor ranking | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | (most junior) | (most senior) | | | | |
| | Common shares | Preferred shares and other equity instruments | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | Total |
| 1 | Description of creditor ranking | 13,908 | 3,575 | 5,526 | 19,977 | 68 | 42,986 |
| 2 | Total capital and liabilities net of credit risk mitigation | 13,908 | 3,575 | 5,526 | 19,977 | 68 | 42,986 |
| 3 | Subset of row 2 that are excluded liabilities | 16 | - | - | 52 | - | 136 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 13,892 | 3,575 | 5,458 | 19,925 | - | 42,850 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 13,892 | 3,575 | 5,458 | 19,656 | - | 42,581 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity $<$ 2 years | - | - | - | 100 | - | 100 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity $<$ 5 years | - | - | - | 17,692 | - | 17,692 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity $<$ 10 years | - | 4,957 | 790 | - | 5,747 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | - | 501 | 1,074 | - | 1,575 |
| 10 | Subset of row 5 that is perpetual securities | 13,892 | 3,575 | - | - | 17,467 |

## Q3/20

| | Creditor ranking | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | (most junior) | (most senior) | | | | |
| | Common shares | Preferred shares and other equity instruments | Subordinated debt | Bail-in debt $^{(3)}$ | Other liabilities $^{(4)}$ | Total |
| 1 | Description of creditor ranking | 13,800 | 2,825 | 5,560 | 18,785 | 15 | 40,970 |
| 2 | Total capital and liabilities net of credit risk mitigation | 13,800 | 2,825 | 5,560 | 18,785 | 15 | 40,970 |
| 3 | Subset of row 2 that are excluded liabilities | - | - | - | 18 | - | 33 |
| 4 | Total capital and liabilities less excluded liabilities (row 2 minus row 3) | 13,800 | 2,825 | 5,545 | 18,767 | - | 40,937 |
| 5 | Subset of row 4 that are potentially eligible as TLAC | 13,800 | 2,825 | 5,545 | 18,532 | - | 40,702 |
| 6 | Subset of row 5 with 1 year $\le$ residual maturity $<$ 2 years | - | - | - | 118 | - | 118 |
| 7 | Subset of row 5 with 2 years $\le$ residual maturity $<$ 5 years | - | - | - | 16,600 | - | 16,600 |
| 8 | Subset of row 5 with 5 years $\le$ residual maturity $<$ 10 years | - | 5,010 | 1,175 | - | 6,185 |
| 9 | Subset of row 5 with residual maturity $\ge$ 10 years, but excluding perpetual securities | - | 535 | 639 | - | 1,174 |
| 10 | Subset of row 5 that is perpetual securities | 13,800 | 2,825 | - | - | 16,625 |

For footnotes, see page 14.

***

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

(\$ millions)

| Row | | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Total consolidated assets as per published financial statements | 806,067 | 782,878 | 782,908 | 769,551 | 768,545 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | 58 | 54 | 141 | 57 | 105 |
| 3 | Adjustment for securitized exposures that meet the operational requirements for the recognition of risk transference | (1,729) | (809) | (1,235) | (1,672) | (1,902) |
| 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 | 1,420 | (1,186) | 370 | 2,003 | (8,531) |
| 6 | Adjustment for SFTs (i.e. repos and similar secured lending) | (1,563) | (3,595) | (3,245) | (2,933) | (785) |
| 7 | Adjustment for off-balance sheet items (i.e. credit equivalent amounts of off-balance sheet exposures) | 89,911 | 86,791 | 84,764 | 84,761 | 81,153 |
| 8 | Other adjustments $^{(1)}$ | (98,522) | (96,742) | (107,015) | (110,007) | (114,474) |
| **9** | **Leverage ratio exposure measure** | **795,642** | **767,391** | **756,688** | **741,760** | **724,111** |

$^{(1)}$ Includes the impact of regulatory flexibility provided by OSFI in respect of exposures arising from central bank reserves and sovereign-issued securities that qualify as high quality liquid assets (HQLA). While the treatment specified by OSFI currently permits these items to be excluded from the leverage ratio exposure measure, the exclusion will no longer be available for sovereign-issued securities after December 31, 2021.

***

# LR2: LEVERAGE RATIO COMMON DISCLOSURE TEMPLATE

(\$ millions)

| Row | On-balance sheet exposures | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **On-balance sheet exposures** | | | | | | |
| 1 | On-balance sheet items (excluding derivatives, SFTs and grandfathered securitization exposures, but including collateral) $^{(1)}$ | 608,496 | 590,066 | 578,586 | 563,075 | 562,459 |
| 2 | Gross up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework (IFRS) | (5,377) | (7,168) | (6,541) | (4,630) | (8,139) |
| 3 | (Deductions of receivables assets for cash variation margin provided in derivative transactions) | (7,810) | (7,509) | (7,365) | (7,388) | (7,582) |
| 4 | (Asset amounts deducted in determining T1 capital) | - | - | - | - | - |
| **5** | **Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 to 4)** | **595,309** | **575,389** | **564,680** | **551,057** | **546,738** |
| **Derivative exposures** | | | | | | |
| 6 | Replacement cost associated with all derivative transactions | 12,438 | 11,596 | 11,921 | 12,307 | 13,658 |
| 7 | Add-on amounts for potential future exposure associated with all derivative transactions | 23,341 | 22,530 | 22,613 | 22,425 | 21,287 |
| 8 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | - | - | - | - | - |
| 9 | Adjusted effective notional amount of written credit derivatives | 1,225 | 533 | 881 | 1,456 | 1,477 |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (1,225) | (532) | (879) | (1,456) | (1,477) |
| **11** | **Total derivatives exposures (sum of lines 6 to 10)** | **35,779** | **34,127** | **34,536** | **34,732** | **34,945** |
| **SFT exposures** | | | | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | 76,206 | 74,679 | 75,953 | 74,143 | 62,060 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | (5,535) | (7,834) | (8,084) | (7,077) | (4,992) |
| 14 | Counterparty credit risk exposure for SFTs | 3,972 | 4,239 | 4,839 | 4,144 | 4,207 |
| 15 | Agent transaction exposures | - | - | - | - | - |
| **16** | **Total SFT exposures (sum of lines 12 to 15)** | **74,643** | **71,084** | **72,708** | **71,210** | **61,275** |
| **Other off-balance sheet exposures** | | | | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 319,364 | 310,366 | 301,329 | 295,896 | 288,368 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (229,453) | (223,575) | (216,565) | (211,135) | (207,215) |
| **19** | **Off-balance sheet items (sum of lines 17 and 18)** | **89,911** | **86,791** | **84,764** | **84,761** | **81,153** |
| **Capital and Total Exposures** | | | | | | |
| 20 | T1 capital | 36,940 | 35,759 | 35,284 | 34,775 | 33,350 |
| 20a | T1 capital with transitional arrangements for ECL provisioning not applied | 36,657 | 35,358 | 34,796 | 34,183 | 32,740 |
| **21** | **Total Exposures (sum of lines 5, 11, 16 and 19)** | **795,642** | **767,391** | **756,688** | **741,760** | **724,111** |
| **Leverage Ratio** | | | | | | |
| 22 | Leverage ratio | 4.6\% | 4.7\% | 4.7\% | 4.7\% | 4.6\% |
| 22a | Leverage ratio with transitional arrangements for ECL provisioning not applied | 4.6\% | 4.6\% | 4.6\% | 4.6\% | 4.5\% |

$^{(1)}$ Includes the impact of regulatory flexibility provided by OSFI in respect of exposures arising from central bank reserves and sovereign-issued securities that qualify as HQLA. While the treatment specified by OSFI currently permits these items to be excluded from the leverage ratio exposure measure, the exclusion will no longer be available for sovereign-issued securities after December 31, 2021.

***

# CR1: CREDIT QUALITY OF ASSETS

(\$ millions)

## Q3/21

| | Gross carrying values of | | | Allocated in regulatory category of specific | Allocated in regulatory category of general | 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 | Non-defaulted exposures | Allowances/ impairments | | | | | |
| 1 | Loans | 1,901 | 450,192 | 2,926 | 240 | 2,201 | 449,167 |
| 2 | Debt securities | 448 | 119,282 | 36 | 13 | 23 | - | 119,694 |
| 2a | Other investment $^{(2)}$ | 122 | - | - | - | - | - | 11 |
| 3 | Off-balance sheet exposures $^{(3)}$ | - | 318,826 | 120 | 256 | 530 | 95 | 318,828 |
| 4 | Total | 2,471 | 888,311 | 3,082 | 256 | 2,296 | 2,296 | 887,700 |

## Q2/21

| | Gross carrying values of | | | Allocated in regulatory category of specific | Allocated in regulatory category of general | 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 | Non-defaulted exposures | Allowances/ impairments | | | | | |
| 1 | Loans | 2,334 | 432,986 | 3,200 | 209 | 554 | 2,437 | 432,120 |
| 2 | Debt securities | 425 | 117,482 | 33 | 13 | 19 | - | 117,874 |
| 2a | Other investment $^{(2)}$ | 11 | - | - | - | - | - | 11 |
| 3 | Off-balance sheet exposures $^{(3)}$ | 149 | 309,650 | 138 | 33 | 606 | 105 | 309,661 |
| 4 | Total | 2,908 | 860,129 | 3,371 | 222 | 2,543 | 2,543 | 859,666 |

## Q1/21

| | Gross carrying values of | | | Allocated in regulatory category of specific | Allocated in regulatory category of general | 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 | Non-defaulted exposures | Allowances/ impairments | | | | | |
| 1 | Loans | 2,455 | 422,004 | 3,484 | 212 | 607 | 2,665 | 420,975 |
| 2 | Debt securities | 449 | 114,235 | 36 | 13 | 22 | - | 114,648 |
| 2a | Other investment $^{(2)}$ | 11 | - | - | - | - | - | 11 |
| 3 | Off-balance sheet exposures $^{(3)}$ | 226 | 301,353 | 147 | 32 | 115 | 115 | 301,432 |
| 4 | Total | 3,130 | 837,603 | 3,667 | 225 | 661 | 2,781 | 837,066 |

$^{(1)}$ For SA exposures, stage 3 allowances are reflected in the category of specific, and stage 1 and 2 allowances are reflected in the category of general.
$^{(2)}$ Other investments include equity investments subject to the credit risk framework.
$^{(3)}$ Includes $\$140.2$ billion (Q2/21: $\$136.7$ billion) of personal, home equity and credit card lines, which are unconditionally cancellable at our discretion.

***

# CR1: CREDIT QUALITY OF ASSETS (continued)

(\$ millions)

## Q4/20

| | Gross carrying values of | | | Allocated in regulatory category of specific | Allocated in regulatory category of general | 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 | Non-defaulted exposures | Allowances/ impairments | | | | | |
| 1 | Loans | 2,349 | 417,579 | 3,540 | 255 | 566 | 2,599 | 416,388 |
| 2 | Debt securities | 463 | 120,054 | 38 | 14 | 24 | - | 120,479 |
| 2a | Other investment $^{(2)}$ | - | - | - | - | - | - | 9 |
| 3 | Off-balance sheet exposures $^{(3)}$ | 156 | 295,602 | 182 | 2 | 38 | 142 | 295,576 |
| 4 | Total | 2,968 | 833,244 | 3,760 | 271 | 748 | 2,741 | 832,452 |

## Q3/20

| | Gross carrying values of | | | Allocated in regulatory category of specific | Allocated in regulatory category of general | 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 | Non-defaulted exposures | Allowances/ impairments | | | | | |
| 1 | Loans | 2,583 | 415,221 | 3,347 | 242 | 566 | 2,539 | 414,457 |
| 2 | Debt securities | 443 | 115,366 | 40 | 14 | 26 | - | 115,769 |
| 2a | Other investment $^{(2)}$ | - | - | - | - | - | - | 9 |
| 3 | Off-balance sheet exposures $^{(3)}$ | 251 | 288,927 | 262 | 2 | 72 | 188 | 288,916 |
| 4 | Total | 3,277 | 819,523 | 3,649 | 258 | 664 | 2,727 | 819,151 |

For footnotes, see page 17.

***

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

(\$ millions)

| | Q3/21 | Q2/21 | Q1/21 | Q4/20 | Q3/20 |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Defaulted loans and debt securities at end of the previous reporting period | 2,908 | 3,130 | 2,968 | 3,277 | 2,832 |
| 2 | Loans and debt securities that have defaulted since the last reporting period | 414 | 726 | 840 | 705 | 1,061 |
| 3 | Amounts repaid $^{(2)}$ | (489) | (308) | (411) | (396) | (208) |
| 4 | Returned to non-defaulted status | (106) | (185) | (68) | (316) | (154) |
| 5 | Amounts written off | (265) | (316) | (220) | (203) | (219) |
| 6 | Other changes $^{(3)}$ | 9 | (139) | 21 | (99) | (35) |
| 7 | Defaulted loans and debt securities at end of the reporting period | 2,471 | 2,908 | 3,130 | 2,968 | 3,277 |

$^{(1)}$ Includes off-balance sheet exposures.
$^{(2)}$ Includes disposals of loans.
$^{(3)}$ Includes changes due to foreign exchange movements.

***

# CR3: CRM TECHNIQUES - OVERVIEW $^{(1)}$

(\$ millions)

## Q3/21

| | a | b1 | b | c | d | e | f |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Exposure unsecured: carrying amount $^{(2)}$ | Exposure secured $^{(3)}$ | Exposure secured by collateral $^{(4)}$ | Exposures secured by financial guarantees | Exposures secured by credit derivatives $^{(5)}$ |
| 1 | Loans | 47,591 | 401,576 | 400,870 | 706 | - |
| 2 | Debt securities | 103,120 | 16,574 | 2,612 | 13,962 | - |
| 3 | Total $^{(3)}$ | 150,711 | 418,150 | 403,482 | 14,668 | - |
| 4 | Of which defaulted $^{(6)}$ | 490 | 1,039 | 1,038 | 1 | - |

## Q2/21

| | a | b1 | b | c | d | e | f |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Exposure unsecured: carrying amount $^{(2)}$ | Exposure secured $^{(3)}$ | Exposure secured by collateral $^{(4)}$ | Exposures secured by financial guarantees | Exposures secured by credit derivatives $^{(5)}$ |
| 1 | Loans | 48,222 | 383,898 | 383,365 | 533 | - |
| 2 | Debt securities | 101,603 | 16,271 | 13,735 | 14,268 | - |
| 3 | Total $^{(3)}$ | 149,825 | 400,169 | 397,100 | 14,801 | - |
| 4 | Of which defaulted $^{(6)}$ | 516 | 1,337 | 1,336 | - | - |

## Q1/21

| | a | b1 | b | c | d | e | f |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Exposure unsecured: carrying amount $^{(2)}$ | Exposure secured $^{(3)}$ | Exposure secured by collateral $^{(4)}$ | Exposures secured by financial guarantees | Exposures secured by credit derivatives $^{(5)}$ |
| 1 | Loans | 45,407 | 375,568 | 374,910 | 658 | - |
| 2 | Debt securities | 97,960 | 16,688 | 2,890 | 13,798 | - |
| 3 | Total $^{(3)}$ | 143,367 | 392,256 | 377,800 | 14,456 | - |
| 4 | Of which defaulted $^{(6)}$ | 517 | 1,422 | 1,421 | 1 | - |

## Q4/20

| | a | b1 | b | c | d | e | f |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Exposure unsecured: carrying amount $^{(2)}$ | Exposure secured $^{(3)}$ | Exposure secured by collateral $^{(4)}$ | Exposures secured by financial guarantees | Exposures secured by credit derivatives $^{(5)}$ |
| 1 | Loans | 48,142 | 368,246 | 367,589 | 657 | - |
| 2 | Debt securities | 104,177 | 16,302 | 2,885 | 13,417 | - |
| 3 | Total $^{(3)}$ | 152,319 | 384,548 | 370,474 | 14,074 | - |
| 4 | Of which defaulted $^{(6)}$ | 120 | 1,315 | 1,312 | 3 | - |

## Q3/20

| | a | b1 | b | c | d | e | f |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Exposure unsecured: carrying amount $^{(2)}$ | Exposure secured $^{(3)}$ | Exposure secured by collateral $^{(4)}$ | Exposures secured by financial guarantees | Exposures secured by credit derivatives $^{(5)}$ |
| 1 | Loans | 48,345 | 366,112 | 365,294 | 818 | - |
| 2 | Debt securities | 98,586 | 17,183 | 2,922 | 14,261 | - |
| 3 | Total $^{(3)}$ | 146,931 | 383,295 | 368,216 | 15,079 | - |
| 4 | Of which defaulted $^{(6)}$ | 541 | 1,563 | 1,563 | - | - |

$^{(1)}$ Excludes off-balance sheet exposures.
$^{(2)}$ Includes fully unsecured exposures and the unsecured portion of partially-secured exposures.
$^{(3)}$ Amounts reflect the entire carrying value of exposures which are secured by either collateral or financial guarantees.
$^{(4)}$ All residential mortgages are included in exposure secured by collateral.
$^{(5)}$ Excludes derivatives which do not qualify in reducing exposures considered for regulatory capital purposes. For exposures 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.
$^{(6)}$ Amounts are net of allowance for credit losses.

***

# CR4: SA - CREDIT RISK EXPOSURE AND CRM EFFECTS

(\$ millions)

## Q3/21

| Asset classes | Exposures before CCF $^{(1)}$ and CRM | Exposures post-CCF and CRM | RWA and RWA density |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | OR difference | RWA | RWA density $\%$ |
| 1 | Sovereigns and their central banks | 24,389 | - | 24,389 | - | - | 1,485 | 6 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - |
| 4 | Banks | 1,935 | 48 | 1,935 | 16 | - | 471 | 24 |
| 5 | Securities firms | - | - | - | - | - | - | - |
| 6 | Corporates | 34,989 | 21,619 | 34,989 | 8,242 | - | 41,774 | 97 |
| 7 | Regulatory retail portfolios | 1,351 | 555 | 1,351 | 26 | - | 964 | 70 |
| 8 | Secured by residential property | 4,656 | 137 | 4,656 | - | - | 2,769 | 59 |
| 9 | Secured by commercial real estate | 560 | 34 | 560 | 17 | - | 610 | 106 |
| 10 | Equity $^{(2)}$ | - | - | - | - | - | - | - |
| 11 | Past-due loans $^{(3)}$ | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 16,037 | - | 16,037 | - | - | 11,918 | 74 |
| 13 | Other assets $^{(4)}$ | 83,917 | 22,393 | 83,917 | 8,301 | - | 59,991 | 65 |
| 14 | Total | 83,917 | 22,393 | 83,917 | 8,301 | - | 59,991 | 65 |

## Q2/21

| Asset classes | Exposures before CCF $^{(1)}$ and CRM | Exposures post-CCF and CRM | RWA and RWA density |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | OR difference | RWA | RWA density $\%$ |
| 1 | Sovereigns and their central banks | 24,101 | - | 24,101 | - | - | 1,484 | 6 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - |
| 4 | Banks | 1,590 | 46 | 1,590 | 17 | - | 394 | 25 |
| 5 | Securities firms | - | - | - | - | - | - | - |
| 6 | Corporates | 34,729 | 20,567 | 34,729 | 7,892 | - | 39,982 | 94 |
| 7 | Regulatory retail portfolios | 1,288 | 531 | 1,288 | 25 | - | 919 | 70 |
| 8 | Secured by residential property | 4,476 | 143 | 4,476 | - | - | 2,681 | 60 |
| 9 | Secured by commercial real estate | 472 | - | 472 | - | - | 500 | 106 |
| 10 | Equity $^{(2)}$ | - | - | - | - | - | - | - |
| 11 | Past-due loans $^{(3)}$ | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 17,696 | - | 17,696 | - | - | 12,009 | 68 |
| 13 | Other assets $^{(4)}$ | 84,352 | 21,287 | 84,352 | 7,934 | - | 57,969 | 63 |
| 14 | Total | 84,352 | 21,287 | 84,352 | 7,934 | - | 57,969 | 63 |

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

***

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

(\$ millions)

## Q1/21

| Asset classes | Exposures before CCF $^{(1)}$ and CRM | Exposures post-CCF and CRM | RWA and RWA density |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | OR difference | RWA | RWA density $\%$ |
| 1 | Sovereigns and their central banks | 23,836 | - | 23,836 | - | - | 2,355 | 10 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - |
| 4 | Banks | 1,279 | 29 | 1,279 | 12 | - | 331 | 26 |
| 5 | Securities firms | - | - | - | - | - | - | - |
| 6 | Corporates | 35,485 | 20,929 | 35,485 | 8,040 | - | 41,016 | 94 |
| 7 | Regulatory retail portfolios | 1,327 | 450 | 1,327 | 28 | - | 961 | 71 |
| 8 | Secured by residential property | 4,593 | 155 | 4,593 | - | - | 2,770 | 60 |
| 9 | Secured by commercial real estate | 471 | - | 471 | - | - | 500 | 106 |
| 10 | Equity $^{(2)}$ | - | - | - | - | - | - | - |
| 11 | Past-due loans $^{(3)}$ | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 16,717 | - | 16,717 | - | - | 11,616 | 69 |
| 13 | Other assets $^{(4)}$ | 83,708 | 21,563 | 83,708 | 8,080 | - | 59,549 | 65 |
| 14 | Total | 83,708 | 21,563 | 83,708 | 8,080 | - | 59,549 | 65 |

## Q4/20

| Asset classes | Exposures before CCF $^{(1)}$ and CRM | Exposures post-CCF and CRM | RWA and RWA density |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | OR difference | RWA | RWA density $\%$ |
| 1 | Sovereigns and their central banks | 22,664 | - | 22,664 | - | - | 2,460 | 11 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - |
| 4 | Banks | 1,241 | 48 | 1,241 | 16 | - | 326 | 26 |
| 5 | Securities firms | - | - | - | - | - | - | - |
| 6 | Corporates | 36,459 | 21,464 | 36,459 | 8,353 | - | 41,828 | 93 |
| 7 | Regulatory retail portfolios | 1,296 | 448 | 1,296 | 28 | - | 939 | 71 |
| 8 | Secured by residential property | 4,717 | 163 | 4,717 | - | - | 2,859 | 61 |
| 9 | Secured by commercial real estate | 466 | - | 466 | - | - | 493 | 106 |
| 10 | Equity $^{(2)}$ | - | - | - | - | - | - | - |
| 11 | Past-due loans $^{(3)}$ | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 15,056 | - | 15,056 | - | - | 11,743 | 78 |
| 13 | Other assets $^{(4)}$ | 81,899 | 22,123 | 81,899 | 8,397 | - | 60,648 | 67 |
| 14 | Total | 81,899 | 22,123 | 81,899 | 8,397 | - | 60,648 | 67 |

***

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

(\$ millions)

## Q3/20

| Asset classes | Exposures before CCF $^{(1)}$ and CRM | Exposures post-CCF and CRM | RWA and RWA density |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | On-balance sheet amount | Off-balance sheet amount | On-balance sheet amount | Off-balance sheet amount | OR difference | RWA | RWA density $\%$ |
| 1 | Sovereigns and their central banks | 18,056 | - | 18,056 | - | - | 2,489 | 14 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - |
| 4 | Banks | 1,225 | 54 | 1,225 | 17 | - | 323 | 26 |
| 5 | Securities firms | - | - | - | - | - | - | - |
| 6 | Corporates | 36,723 | 21,500 | 36,723 | 8,560 | - | 42,367 | 94 |
| 7 | Regulatory retail portfolios | 1,267 | 407 | 1,267 | 27 | - | 904 | 70 |
| 8 | Secured by residential property | 4,642 | 172 | 4,642 | 1 | - | 2,805 | 60 |
| 9 | Secured by commercial real estate | 496 | - | 496 | - | - | 525 | 106 |
| 10 | Equity $^{(2)}$ | - | - | - | - | - | - | - |
| 11 | Past-due loans $^{(3)}$ | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 18,713 | - | 18,713 | - | - | 11,919 | 64 |
| 13 | Other assets $^{(4)}$ | 81,122 | 22,133 | 81,122 | 8,605 | - | 61,332 | 68 |
| 14 | Total | 81,122 | 22,133 | 81,122 | 8,605 | - | 61,332 | 68 |

For footnotes, see page 21.

***

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

(\$ millions)

## Q3/21

| Asset classes | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and post-CRM) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Sovereigns and their central banks | 20,489 | - | - | 2,953 | 104 | - | 843 | - | - | 24,389 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - |
| 4 | Banks | - | - | 1,849 | - | - | - | 101 | - | - | 1,951 |
| 5 | Securities firms | - | - | - | - | - | - | - | - | - | - |
| 6 | Corporates | 1,435 | 87 | - | - | - | 41,529 | 137 | - | - | 43,231 |
| 7 | Regulatory retail portfolios | 88 | 20 | 12 | - | 1,220 | - | 92 | - | 4 | 1,377 |
| 8 | Secured by residential property | - | 11 | 1,869 | - | - | 2,674 | - | - | 4 | 4,656 |
| 9 | Secured by commercial real estate | - | - | - | - | - | 577 | - | - | - | 577 |
| 10 | Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - | - |
| 11 | Past-due loans | - | - | - | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 7,506 | - | - | - | - | - | 5,494 | 2,037 | - | 16,037 |
| 13 | Other assets $^{(2)}$ | 29,518 | 4,920 | 1,869 | 160 | 3,894 | 49,669 | 151 | 2,037 | - | 92,218 |
| 14 | Total | 29,518 | 4,920 | 1,869 | 160 | 3,894 | 49,669 | 151 | 2,037 | 2,037 | 92,218 |

## Q2/21

| Asset classes | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and post-CRM) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Sovereigns and their central banks | 20,206 | - | - | 2,951 | - | 102 | - | 842 | - | 24,101 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - |
| 4 | Banks | - | - | 1,515 | - | - | 1 | 91 | - | - | 1,607 |
| 5 | Securities firms | - | - | - | - | - | - | - | - | - | - |
| 6 | Corporates | 2,654 | 80 | - | 33 | 11 | 39,661 | 193 | - | - | 42,621 |
| 7 | Regulatory retail portfolios | 82 | 22 | - | - | 1,161 | 34 | 3 | - | - | 1,313 |
| 8 | Secured by residential property | - | 11 | 1,741 | - | - | 2,626 | 95 | - | - | 4,476 |
| 9 | Secured by commercial real estate | - | - | - | - | - | 472 | - | - | - | 472 |
| 10 | Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - | - |
| 11 | Past-due loans | - | - | - | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 8,924 | - | - | - | - | 6,830 | 1,942 | - | - | 17,696 |
| 13 | Other assets $^{(2)}$ | 31,866 | 4,579 | 1,741 | 147 | 3,787 | 48,025 | 199 | 1,942 | - | 92,286 |
| 14 | Total | 31,866 | 4,579 | 1,741 | 147 | 3,787 | 48,025 | 199 | 1,942 | 1,942 | 92,286 |

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

***

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

(\$ millions)

## Q1/21

| Asset classes | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and post-CRM) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Sovereigns and their central banks | 19,133 | - | 3,184 | - | 132 | - | 855 | 532 | - | 23,836 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - |
| 4 | Banks | - | - | 1,201 | - | - | 1 | 84 | 5 | - | 1,291 |
| 5 | Securities firms | - | - | - | - | - | - | - | - | - | - |
| 6 | Corporates | 2,490 | 89 | - | 29 | - | 40,785 | 132 | - | - | 43,525 |
| 7 | Regulatory retail portfolios | 79 | 22 | 9 | - | 1,201 | 29 | - | 15 | - | 1,355 |
| 8 | Secured by residential property | - | 12 | 1,735 | - | - | 2,749 | 93 | - | - | 4,593 |
| 9 | Secured by commercial real estate | - | - | - | - | - | 471 | - | - | - | 471 |
| 10 | Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - | - |
| 11 | Past-due loans | - | - | - | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 8,395 | - | - | - | - | 6,284 | 2,038 | - | - | 16,717 |
| 13 | Other assets $^{(2)}$ | 30,097 | 4,508 | 1,735 | 171 | 3,950 | 48,601 | 688 | 2,038 | - | 91,788 |
| 14 | Total | 30,097 | 4,508 | 1,735 | 171 | 3,950 | 48,601 | 688 | 2,038 | 2,038 | 91,788 |

## Q4/20

| Asset classes | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and post-CRM) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Sovereigns and their central banks | 17,646 | - | 3,442 | - | 138 | - | 906 | 532 | - | 22,664 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - |
| 4 | Banks | - | - | 1,168 | - | - | 1 | 78 | 10 | - | 1,257 |
| 5 | Securities firms | - | - | - | - | - | - | - | - | - | - |
| 6 | Corporates | 2,959 | 95 | - | 26 | - | 41,603 | 129 | - | - | 44,812 |
| 7 | Regulatory retail portfolios | 72 | 18 | 5 | - | 1,195 | 29 | 5 | - | - | 1,324 |
| 8 | Secured by residential property | 13 | 1,742 | - | - | 2,872 | 86 | - | - | - | 4,717 |
| 9 | Secured by commercial real estate | 466 | - | 466 | - | - | - | - | - | - |
| 10 | Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - | - |
| 11 | Past-due loans | - | - | - | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 15,056 | - | - | - | - | - | 11,743 | - | - | 15,056 |
| 13 | Other assets $^{(2)}$ | 27,119 | 4,736 | 1,742 | 170 | 4,067 | 49,783 | 680 | 1,999 | - | 90,296 |
| 14 | Total | 27,119 | 4,736 | 1,742 | 170 | 4,067 | 49,783 | 680 | 1,999 | 1,999 | 90,296 |

***

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

(\$ millions)

## Q3/20

| Asset classes | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | Others | Total credit exposures amount (post CCF and post-CRM) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Sovereigns and their central banks | 12,894 | - | 3,606 | - | 107 | - | 919 | 530 | - | 18,056 |
| 2 | Non-central government public sector entities | - | - | - | - | - | - | - | - | - | - |
| 3 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - |
| 4 | Banks | - | - | 1,114 | - | - | 61 | 60 | 7 | - | 1,242 |
| 5 | Securities firms | - | - | - | - | - | - | - | - | - | - |
| 6 | Corporates | 2,929 | 95 | - | 31 | - | 42,016 | 212 | - | - | 45,283 |
| 7 | Regulatory retail portfolios | 92 | 13 | 4 | - | 1,154 | 26 | 5 | - | - | 1,294 |
| 8 | Secured by residential property | 14 | - | 1,733 | - | - | 2,811 | 80 | 5 | - | 4,643 |
| 9 | Secured by commercial real estate | - | - | - | - | - | 496 | - | - | - | 496 |
| 10 | Equity $^{(1)}$ | - | - | - | - | - | - | - | - | - | - |
| 11 | Past-due loans | - | - | - | - | - | - | - | - | - | - |
| 12 | Higher-risk categories | 10,060 | - | - | - | - | 6,553 | 2,100 | - | - | 18,713 |
| 13 | Other assets $^{(2)}$ | 25,975 | 4,842 | 1,733 | 203 | 3,965 | 50,150 | 759 | 2,100 | - | 89,727 |
| 14 | Total | 25,975 | 4,842 | 1,733 | 203 | 3,965 | 50,150 | 759 | 2,100 | 2,100 | 89,727 |

For footnotes, see page 24.

***

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

(\$ millions)

## Q3/21

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 17,879 | 73 | 36,302 | 0.08 | 2,104 | 30 | 2.1 | 6,797 | 19 | 9 | - |
| 0.15 to <0.25 | 28,463 | 67 | 52,101 | 0.20 | 4,696 | 37 | 2.4 | 20,150 | 39 | 38 | - |
| 0.25 to <0.50 | 17,035 | 60 | 27,499 | 0.33 | 4,001 | 37 | 2.2 | 12,803 | 47 | 34 | - |
| 0.50 to <0.75 | 27,565 | 50 | 37,956 | 0.64 | 4,155 | 35 | 2.2 | 22,124 | 58 | 83 | - |
| 0.75 to <2.50 | 12,721 | 51 | 17,527 | 1.37 | 4,764 | 36 | 2.0 | 13,211 | 75 | 87 | - |
| 2.50 to <10.00 | 9,536 | 47 | 12,691 | 4.27 | 20,043 | 32 | 2.0 | 12,250 | 97 | 171 | - |
| 10.00 to 100.00 | 840 | 53 | 1,138 | 26.85 | 337 | 35 | 1.8 | 2,066 | 182 | 110 | - |
| 100.00 (Default) | 755 | 57 | 799 | 100.00 | 919 | 58 | 1.6 | 1,888 | 236 | 417 | - |
| | 114,794 | 62 | 186,013 | 1.26 | 41,019 | 35 | 2.2 | 91,289 | 49 | 949 | 791 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 116,620 | 67 | 126,657 | 0.02 | 1,102 | 7 | 2.5 | 2,191 | 2 | 2 | - |
| 0.15 to <0.25 | 222 | 67 | 281 | 0.23 | 50 | 26 | 2.4 | 78 | 28 | 1 | - |
| 0.25 to <0.50 | 267 | 61 | 361 | 0.33 | 61 | 49 | 2.3 | 99 | 63 | 1 | - |
| 0.50 to <0.75 | 42 | 61 | 68 | 0.58 | 42 | 61 | 1.1 | 47 | 77 | - |
| 0.75 to <2.50 | 132 | 49 | 63 | 1.41 | 20 | 25 | 1.7 | 25 | 51 | - |
| 2.50 to <10.00 | 32 | 5 | 8 | 3.45 | 274 | 11 | 2.0 | 12 | 33 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 117,225 | 67 | 127,445 | 0.02 | 1,554 | 7 | 2.5 | 2,497 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 9,751 | 99 | 67,540 | 0.05 | 440 | 10 | 0.3 | 1,958 | 3 | 4 | - |
| 0.15 to <0.25 | 747 | 85 | 3,346 | 0.18 | 57 | 14 | 0.8 | 358 | 11 | 1 | - |
| 0.25 to <0.50 | 23 | 64 | 108 | 0.33 | 21 | 15 | 0.8 | 18 | 17 | - |
| 0.50 to <0.75 | 467 | 85 | 837 | 0.68 | 29 | 21 | 0.8 | 252 | 30 | 1 | - |
| 0.75 to <2.50 | 169 | 79 | 197 | 1.41 | 18 | 29 | 1.6 | 129 | 65 | 1 | - |
| 2.50 to <10.00 | 923 | 96 | 1,095 | 5.62 | 134 | 19 | 1.7 | 721 | 66 | 12 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,080 | 98 | 73,123 | 0.15 | 699 | 10 | 0.3 | 3,436 | 5 | 19 | 1 |

## Retail portfolios

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 61,415 | - | 61,415 | 0.01 | 309,176 | 6 | n/a | 1,095 | 2 | 1 | - |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 108,472 | 47 | 133,300 | 0.10 | 720,602 | 21 | n/a | 6,243 | 5 | 24 | - |
| 0.15 to <0.25 | 29,847 | 68 | 40,677 | 0.18 | 194,985 | 23 | n/a | 3,835 | 9 | 18 | - |
| 0.25 to <0.50 | 23,793 | 38 | 23,867 | 0.33 | 66,821 | 20 | n/a | 2,961 | 12 | 16 | - |
| 0.50 to <0.75 | 14,444 | 47 | 14,451 | 0.58 | 38,882 | 18 | n/a | 2,415 | 17 | 15 | - |
| 0.75 to <2.50 | 12,331 | 30 | 12,589 | 1.15 | 59,650 | 23 | n/a | 4,270 | 34 | 34 | - |
| 2.50 to <10.00 | 3,212 | 26 | 3,274 | 5.95 | 14,087 | 20 | n/a | 2,410 | 74 | 36 | - |
| 10.00 to 100.00 | 441 | 35 | 447 | 37.71 | 2,267 | 21 | n/a | 542 | 121 | 33 | - |
| 100.00 (Default) | 302 | - | 302 | 100.00 | 1,905 | 22 | n/a | 381 | 126 | 40 | - |
| | 192,842 | 52 | 228,907 | 0.51 | 1,099,199 | 21 | n/a | 23,057 | 10 | 216 | 168 |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,662 | 75 | 38,935 | 0.05 | 4,129,103 | 91 | n/a | 1,150 | 3 | 16 | - |
| 0.15 to <0.25 | 3,625 | 55 | 12,255 | 0.18 | 1,693,338 | 86 | n/a | 1,081 | 9 | 19 | - |
| 0.25 to <0.50 | 1,149 | 48 | 4,551 | 0.42 | 1,745,892 | 84 | n/a | 790 | 17 | 16 | - |
| 0.50 to <0.75 | 1,202 | 58 | 2,469 | 0.62 | 464,041 | 83 | n/a | 577 | 23 | 13 | - |
| 0.75 to <2.50 | 4,374 | 58 | 7,460 | 1.30 | 1,409,499 | 86 | n/a | 3,138 | 42 | 83 | - |
| 2.50 to <10.00 | 5,233 | 72 | 5,914 | 4.25 | 871,737 | 88 | n/a | 5,859 | 99 | 218 | - |
| 10.00 to 100.00 | 530 | 48 | 627 | 32.46 | 166,939 | 86 | n/a | 1,519 | 242 | 175 | - |
| 100.00 (Default) | 33 | - | 33 | 100.00 | 10,280 | 83 | n/a | 21 | 64 | 26 | - |
| | 17,808 | 67 | 72,244 | 0.91 | 10,490,829 | 88 | n/a | 14,135 | 20 | 566 | 1,185 |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,261 | 79 | 2,517 | 0.09 | 44,364 | 48 | n/a | 221 | 9 | 1 | - |
| 0.15 to <0.25 | 353 | 56 | 691 | 0.19 | 11,533 | 74 | n/a | 210 | 30 | 1 | - |
| 0.25 to <0.50 | 3,860 | 53 | 4,266 | 0.29 | 176,463 | 68 | n/a | 1,610 | 38 | 9 | - |
| 0.50 to <0.75 | 823 | 58 | 1,409 | 0.66 | 48,581 | 70 | n/a | 868 | 62 | 6 | - |
| 0.75 to <2.50 | 5,912 | 57 | 6,073 | 1.23 | 156,043 | 69 | n/a | 4,840 | 80 | 53 | - |
| 2.50 to <10.00 | 2,076 | 67 | 2,139 | 3.92 | 120,220 | 54 | n/a | 1,773 | 83 | 50 | - |
| 10.00 to 100.00 | 684 | 45 | 815 | 61.61 | 218,163 | 24 | n/a | 420 | 52 | 59 | - |
| 100.00 (Default) | 55 | - | 55 | 100.00 | 11,314 | 75 | n/a | 90 | 164 | 37 | - |
| | 15,024 | 63 | 17,965 | 4.13 | 786,681 | 62 | n/a | 10,032 | 56 | 216 | 135 |
| **Total (all portfolios)** | 531,188 | 60 | 767,112 | 0.68 | 12,729,157 | 34 | n/a | 145,541 | 19 | 1,971 | 2,296 |

$^{(1)}$ Amounts are calculated after taking into consideration the effect of CRM strategies.
$^{(2)}$ The number of obligors for retail products reflects account level information rather than individual borrowers. In addition, certain products within real estate secured personal lending include both insured and uninsured components, such as mortgages and home-equity lines of credit secured by the same property. In such situations, the obligor will appear twice in both the insured and uninsured categories within the applicable PD band.
$^{(3)}$ Denoted in years.
$^{(4)}$ For Q3/21 the use of credit derivatives reduced RWA relating to corporate exposures under the AIRB approach by $\$20$ million (Q2/21: $\$20$ million).
$^{(5)}$ Expected loss amounts are calculated for regulatory capital purposes based on our historical experience through-the-cycle and do not incorporate forward-looking information. Provision amounts represent stage 1, 2, and 3 allowance for credit loss amounts calculated in accordance with IFRS 9, which incorporate forward-looking information. Expected losses and provisions are both inputs into the calculation to determine the shortfall of allowances versus expected losses (if any) to be deducted from regulatory capital.

***

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

## Q2/21

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,825 | 23,482 | 72 | 31,742 | 0.08 | 2,066 | 29 | 2.0 | 5,794 | 18 | 9 | - |
| 0.15 to <0.25 | 24,524 | 33,311 | 66 | 46,669 | 0.19 | 4,352 | 39 | 2.2 | 17,488 | 37 | 35 | - |
| 0.25 to <0.50 | 15,402 | 15,892 | 60 | 24,893 | 0.33 | 3,834 | 37 | 2.1 | 11,347 | 46 | 30 | - |
| 0.50 to <0.75 | 26,249 | 20,758 | 51 | 36,767 | 0.63 | 4,092 | 35 | 2.1 | 21,534 | 59 | 82 | - |
| 0.75 to <2.50 | 13,231 | 9,190 | 52 | 17,977 | 1.37 | 4,908 | 35 | 1.9 | 13,130 | 73 | 88 | - |
| 2.50 to <10.00 | 9,945 | 6,936 | 47 | 13,205 | 4.34 | 19,336 | 33 | 2.0 | 13,161 | 100 | 185 | - |
| 10.00 to 100.00 | 1,237 | 595 | 50 | 1,537 | 24.12 | 356 | 33 | 1.8 | 2,608 | 170 | 121 | - |
| 100.00 (Default) | 1,073 | 112 | 51 | 1,130 | 100.00 | 931 | 56 | 1.7 | 2,871 | 254 | 513 | - |
| | 106,486 | 110,276 | 61 | 173,920 | 1.58 | 39,875 | 35 | 2.1 | 87,933 | 51 | 1,063 | 994 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 111,669 | 14,516 | 67 | 121,461 | 0.02 | 1,116 | 7 | 2.5 | 2,068 | 2 | 2 | - |
| 0.15 to <0.25 | 223 | 174 | 71 | 346 | 0.23 | 53 | 26 | 2.0 | 90 | 26 | 1 | - |
| 0.25 to <0.50 | 90 | 109 | 62 | 158 | 0.33 | 60 | 49 | 2.3 | 99 | 63 | 1 | - |
| 0.50 to <0.75 | 72 | 40 | 66 | 99 | 0.64 | 46 | 53 | 2.2 | 84 | 85 | - |
| 0.75 to <2.50 | 38 | 13 | 61 | 46 | 1.41 | 20 | 26 | 1.3 | 25 | 54 | - |
| 2.50 to <10.00 | 25 | 5 | 76 | 29 | 3.23 | 274 | 11 | 2.3 | 12 | 41 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 112,117 | 14,857 | 67 | 122,139 | 0.02 | 1,569 | 7 | 2.5 | 2,378 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 10,223 | 63,367 | 99 | 72,823 | 0.05 | 453 | 10 | 0.2 | 1,958 | 3 | 4 | - |
| 0.15 to <0.25 | 749 | 2,799 | 83 | 3,075 | 0.18 | 57 | 14 | 0.8 | 358 | 11 | 1 | - |
| 0.25 to <0.50 | 42 | 190 | 67 | 170 | 0.33 | 21 | 22 | 0.7 | 18 | 17 | - |
| 0.50 to <0.75 | 194 | 249 | 86 | 408 | 0.69 | 25 | 17 | 0.6 | 95 | 23 | - |
| 0.75 to <2.50 | 30 | 100 | 90 | 124 | 1.41 | 18 | 29 | 0.4 | 51 | 53 | 1 | - |
| 2.50 to <10.00 | 751 | 189 | 96 | 933 | 5.62 | 114 | 10 | 2.1 | 298 | 48 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 11,989 | 66,868 | 98 | 73,123 | 0.13 | 686 | 10 | 0.3 | 3,436 | 5 | 19 | 1 |

## Retail portfolios

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 61,415 | - | 61,415 | 0.01 | 309,176 | 6 | n/a | 1,095 | 2 | 1 | - |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 108,472 | 47 | 133,300 | 0.10 | 720,602 | 21 | n/a | 6,243 | 5 | 24 | - |
| 0.15 to <0.25 | 29,847 | 68 | 40,677 | 0.18 | 194,985 | 23 | n/a | 3,835 | 9 | 18 | - |
| 0.25 to <0.50 | 23,793 | 38 | 23,867 | 0.33 | 66,821 | 20 | n/a | 2,961 | 12 | 16 | - |
| 0.50 to <0.75 | 14,444 | 47 | 14,451 | 0.58 | 38,882 | 18 | n/a | 2,415 | 17 | 15 | - |
| 0.75 to <2.50 | 12,331 | 30 | 12,589 | 1.15 | 59,650 | 23 | n/a | 4,270 | 34 | 34 | - |
| 2.50 to <10.00 | 3,212 | 26 | 3,274 | 5.95 | 14,087 | 20 | n/a | 2,410 | 74 | 36 | - |
| 10.00 to 100.00 | 441 | 35 | 447 | 37.71 | 2,267 | 21 | n/a | 542 | 121 | 33 | - |
| 100.00 (Default) | 302 | - | 302 | 100.00 | 1,905 | 22 | n/a | 381 | 126 | 40 | - |
| | 192,842 | 52 | 228,907 | 0.51 | 1,099,199 | 21 | n/a | 23,057 | 10 | 216 | 168 |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,662 | 75 | 38,935 | 0.05 | 4,129,103 | 91 | n/a | 1,150 | 3 | 16 | - |
| 0.15 to <0.25 | 3,625 | 55 | 12,255 | 0.18 | 1,693,338 | 86 | n/a | 1,081 | 9 | 19 | - |
| 0.25 to <0.50 | 1,149 | 48 | 4,551 | 0.42 | 1,745,892 | 84 | n/a | 790 | 17 | 16 | - |
| 0.50 to <0.75 | 1,202 | 58 | 2,469 | 0.62 | 464,041 | 83 | n/a | 577 | 23 | 13 | - |
| 0.75 to <2.50 | 4,374 | 58 | 7,460 | 1.30 | 1,409,499 | 86 | n/a | 3,138 | 42 | 83 | - |
| 2.50 to <10.00 | 5,233 | 72 | 5,914 | 4.25 | 871,737 | 88 | n/a | 5,859 | 99 | 218 | - |
| 10.00 to 100.00 | 530 | 48 | 627 | 32.46 | 166,939 | 86 | n/a | 1,519 | 242 | 175 | - |
| 100.00 (Default) | 33 | - | 33 | 100.00 | 10,280 | 83 | n/a | 21 | 64 | 26 | - |
| | 17,808 | 67 | 72,244 | 0.91 | 10,490,829 | 88 | n/a | 14,135 | 20 | 566 | 1,185 |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,261 | 79 | 2,517 | 0.09 | 44,364 | 48 | n/a | 221 | 9 | 1 | - |
| 0.15 to <0.25 | 353 | 56 | 691 | 0.19 | 11,533 | 74 | n/a | 210 | 30 | 1 | - |
| 0.25 to <0.50 | 3,860 | 53 | 4,266 | 0.29 | 176,463 | 68 | n/a | 1,610 | 38 | 9 | - |
| 0.50 to <0.75 | 823 | 58 | 1,409 | 0.66 | 48,581 | 70 | n/a | 868 | 62 | 6 | - |
| 0.75 to <2.50 | 5,912 | 57 | 6,073 | 1.23 | 156,043 | 69 | n/a | 4,840 | 80 | 53 | - |
| 2.50 to <10.00 | 2,076 | 67 | 2,139 | 3.92 | 120,220 | 54 | n/a | 1,773 | 83 | 50 | - |
| 10.00 to 100.00 | 684 | 45 | 815 | 61.61 | 218,163 | 24 | n/a | 420 | 52 | 59 | - |
| 100.00 (Default) | 55 | - | 55 | 100.00 | 11,314 | 75 | n/a | 90 | 164 | 37 | - |
| | 15,024 | 63 | 17,965 | 4.13 | 786,681 | 62 | n/a | 10,032 | 56 | 216 | 135 |
| **Total (all portfolios)** | 531,188 | 60 | 767,112 | 0.68 | 12,729,157 | 34 | n/a | 145,541 | 19 | 1,971 | 2,296 |

$^{(1)}$ Amounts are calculated after taking into consideration the effect of CRM strategies.
$^{(2)}$ The number of obligors for retail products reflects account level information rather than individual borrowers. In addition, certain products within real estate secured personal lending include both insured and uninsured components, such as mortgages and home-equity lines of credit secured by the same property. In such situations, the obligor will appear twice in both the insured and uninsured categories within the applicable PD band.
$^{(3)}$ Denoted in years.
$^{(4)}$ For Q3/21 the use of credit derivatives reduced RWA relating to corporate exposures under the AIRB approach by $\$20$ million (Q2/21: $\$20$ million).
$^{(5)}$ Expected loss amounts are calculated for regulatory capital purposes based on our historical experience through-the-cycle and do not incorporate forward-looking information. Provision amounts represent stage 1, 2, and 3 allowance for credit loss amounts calculated in accordance with IFRS 9, which incorporate forward-looking information. Expected losses and provisions are both inputs into the calculation to determine the shortfall of allowances versus expected losses (if any) to be deducted from regulatory capital.

***

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

## Q1/21

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,357 | 24,135 | 72 | 31,762 | 0.08 | 2,009 | 30 | 1.9 | 5,863 | 18 | 9 | - |
| 0.15 to <0.25 | 22,685 | 29,961 | 67 | 42,624 | 0.19 | 4,197 | 40 | 2.2 | 16,262 | 38 | 33 | - |
| 0.25 to <0.50 | 15,006 | 13,678 | 61 | 23,325 | 0.33 | 3,759 | 36 | 2.1 | 10,413 | 45 | 27 | - |
| 0.50 to <0.75 | 26,087 | 21,121 | 51 | 36,768 | 0.63 | 3,976 | 36 | 2.1 | 21,742 | 59 | 83 | - |
| 0.75 to <2.50 | 18,580 | 13,717 | 50 | 25,416 | 1.68 | 5,682 | 34 | 1.9 | 19,114 | 75 | 144 | - |
| 2.50 to <10.00 | 4,100 | 2,682 | 48 | 5,382 | 7.08 | 18,270 | 32 | 2.1 | 6,443 | 120 | 123 | - |
| 10.00 to 100.00 | 1,559 | 851 | 52 | 1,999 | 24.03 | 362 | 32 | 1.9 | 3,330 | 167 | 150 | - |
| 100.00 (Default) | 1,156 | 195 | 47 | 1,247 | 100.00 | 924 | 54 | 1.9 | 2,780 | 223 | 562 | - |
| | 103,530 | 106,340 | 61 | 168,523 | 1.75 | 39,179 | 36 | 2.1 | 85,947 | 51 | 1,131 | 1,083 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 128,109 | 14,363 | 67 | 137,733 | 0.02 | 1,136 | 7 | 2.3 | 2,053 | 1 | 2 | - |
| 0.15 to <0.25 | 196 | 163 | 71 | 312 | 0.23 | 47 | 26 | 2.2 | 83 | 27 | 1 | - |
| 0.25 to <0.50 | 68 | 119 | 61 | 141 | 0.33 | 56 | 49 | 2.6 | 96 | 68 | 1 | - |
| 0.50 to <0.75 | 59 | 30 | 71 | 81 | 0.63 | 43 | 49 | 2.9 | 72 | 89 | - |
| 0.75 to <2.50 | 65 | 21 | 63 | 78 | 1.75 | 37 | 16 | 1.6 | 37 | 47 | - |
| 2.50 to <10.00 | 5 | 1 | 65 | 6 | 6.30 | 260 | 35 | 1.1 | 7 | 117 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 128,502 | 14,697 | 67 | 138,351 | 0.02 | 1,579 | 7 | 2.3 | 2,348 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 11,280 | 60,797 | 99 | 71,392 | 0.05 | 437 | 10 | 0.2 | 2,080 | 3 | 4 | - |
| 0.15 to <0.25 | 749 | 2,122 | 83 | 2,279 | 0.18 | 53 | 7 | 1.1 | 157 | 5 | 1 | - |
| 0.25 to <0.50 | 42 | 185 | 72 | 145 | 0.33 | 21 | 22 | 0.7 | 18 | 17 | - |
| 0.50 to <0.75 | 194 | 249 | 86 | 408 | 0.69 | 25 | 12 | 0.7 | 15 | 5 | - |
| 0.75 to <2.50 | 30 | 100 | 90 | 124 | 1.41 | 18 | 29 | 0.4 | 51 | 53 | 1 | - |
| 2.50 to <10.00 | 751 | 189 | 96 | 933 | 5.62 | 114 | 10 | 2.1 | 298 | 48 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,594 | 63,557 | 98 | 74,842 | 0.11 | 671 | 10 | 0.3 | 2,622 | 4 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q4/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,199 | 23,371 | 74 | 31,429 | 0.08 | 2,044 | 31 | 1.8 | 5,766 | 18 | 9 | - |
| 0.15 to <0.25 | 21,129 | 29,331 | 67 | 40,719 | 0.19 | 4,096 | 41 | 2.3 | 16,012 | 39 | 32 | - |
| 0.25 to <0.50 | 16,085 | 13,489 | 61 | 24,297 | 0.33 | 3,773 | 36 | 2.2 | 11,311 | 47 | 29 | - |
| 0.50 to <0.75 | 24,761 | 20,415 | 51 | 35,107 | 0.64 | 3,892 | 36 | 2.2 | 21,425 | 61 | 81 | - |
| 0.75 to <2.50 | 18,619 | 12,982 | 50 | 25,048 | 1.69 | 5,624 | 34 | 2.0 | 18,698 | 75 | 141 | - |
| 2.50 to <10.00 | 4,203 | 2,484 | 48 | 5,398 | 6.98 | 18,453 | 33 | 2.1 | 6,407 | 120 | 125 | - |
| 10.00 to 100.00 | 2,042 | 944 | 51 | 2,521 | 23.79 | 361 | 30 | 2.1 | 3,982 | 158 | 183 | - |
| 100.00 (Default) | 948 | 139 | 56 | 1,025 | 100.00 | 828 | 49 | 1.8 | 1,417 | 138 | 485 | - |
| | 101,986 | 103,155 | 62 | 165,544 | 1.71 | 39,071 | 36 | 2.1 | 85,071 | 51 | 1,085 | 989 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 132,194 | 14,378 | 67 | 141,819 | 0.02 | 1,161 | 6 | 2.4 | 2,038 | 1 | 2 | - |
| 0.15 to <0.25 | 158 | 126 | 73 | 250 | 0.23 | 47 | 26 | 1.8 | 62 | 25 | - |
| 0.25 to <0.50 | 82 | 114 | 60 | 151 | 0.33 | 54 | 49 | 2.8 | 102 | 68 | 1 | - |
| 0.50 to <0.75 | 598 | 282 | 39 | 709 | 0.73 | 40 | 11 | 105 | 15 | - |
| 0.75 to <2.50 | 43 | 13 | 66 | 52 | 1.94 | 37 | 16 | 1.8 | 20 | 38 | - |
| 2.50 to <10.00 | 2 | 1 | 65 | 3 | 6.82 | 266 | 18 | 1.6 | 2 | 67 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 133,077 | 14,915 | 66 | 142,984 | 0.02 | 1,605 | 6 | 2.4 | 2,329 | 2 | 3 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,325 | 63,021 | 99 | 70,754 | 0.05 | 468 | 10 | 0.3 | 2,081 | 3 | 4 | - |
| 0.15 to <0.25 | 746 | 1,968 | 73 | 2,178 | 0.18 | 53 | 7 | 1.3 | 95 | 4 | 1 | - |
| 0.25 to <0.50 | 48 | 172 | 76 | 180 | 0.33 | 20 | 22 | 0.7 | 14 | 24 | - |
| 0.50 to <0.75 | 8 | 161 | 78 | 133 | 0.68 | 25 | 12 | 0.7 | 12 | 16 | - |
| 0.75 to <2.50 | 29 | 99 | 86 | 114 | 1.41 | 12 | 24 | 0.4 | 51 | 52 | 1 | - |
| 2.50 to <10.00 | 653 | 29 | 80 | 676 | 6.08 | 117 | 11 | 2.4 | 284 | 42 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,846 | 62,650 | 98 | 74,159 | 0.11 | 697 | 11 | 0.3 | 2,589 | 3 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q3/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 15,017 | 24,925 | 74 | 33,461 | 0.08 | 2,054 | 30 | 1.8 | 6,192 | 19 | 9 | - |
| 0.15 to <0.25 | 21,803 | 28,406 | 65 | 40,211 | 0.19 | 4,087 | 41 | 2.4 | 16,234 | 40 | 32 | - |
| 0.25 to <0.50 | 16,987 | 13,447 | 66 | 25,848 | 0.33 | 3,809 | 36 | 2.2 | 11,813 | 47 | 29 | - |
| 0.50 to <0.75 | 25,334 | 19,991 | 50 | 35,330 | 0.64 | 3,875 | 36 | 2.3 | 21,907 | 62 | 81 | - |
| 0.75 to <2.50 | 18,467 | 11,836 | 52 | 24,619 | 1.70 | 5,497 | 34 | 2.0 | 18,663 | 76 | 143 | - |
| 2.50 to <10.00 | 3,996 | 2,321 | 51 | 5,184 | 6.97 | 16,769 | 33 | 2.1 | 6,407 | 124 | 123 | - |
| 10.00 to 100.00 | 1,666 | 762 | 55 | 2,083 | 24.49 | 376 | 26 | 2.3 | 2,803 | 135 | 125 | - |
| 100.00 (Default) | 1,000 | 228 | 53 | 1,121 | 100.00 | 896 | 47 | 1.8 | 2,000 | 178 | 474 | - |
| | 104,270 | 101,916 | 62 | 167,857 | 1.68 | 37,363 | 36 | 2.2 | 86,019 | 51 | 1,017 | 988 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 137,247 | 13,729 | 65 | 141,819 | 0.02 | 1,180 | 8 | 2.3 | 1,971 | 1 | 3 | - |
| 0.15 to <0.25 | 158 | 124 | 73 | 248 | 0.23 | 43 | 25 | 1.9 | 61 | 25 | - |
| 0.25 to <0.50 | 86 | 114 | 60 | 151 | 0.33 | 54 | 49 | 2.6 | 102 | 68 | 1 | - |
| 0.50 to <0.75 | 740 | 104 | 29 | 770 | 0.73 | 40 | 9 | 0.6 | 96 | 12 | - |
| 0.75 to <2.50 | 39 | 14 | 64 | 48 | 1.94 | 32 | 16 | 1.9 | 18 | 38 | - |
| 2.50 to <10.00 | 2 | 1 | 65 | 3 | 6.73 | 260 | 19 | 1.8 | 2 | 67 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 138,273 | 14,088 | 64 | 147,335 | 0.02 | 1,613 | 8 | 2.2 | 2,251 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,325 | 63,021 | 99 | 70,754 | 0.05 | 468 | 10 | 0.3 | 2,081 | 3 | 4 | - |
| 0.15 to <0.25 | 746 | 1,968 | 73 | 2,178 | 0.18 | 53 | 7 | 1.3 | 95 | 4 | 1 | - |
| 0.25 to <0.50 | 48 | 172 | 76 | 180 | 0.33 | 20 | 22 | 0.7 | 14 | 24 | - |
| 0.50 to <0.75 | 8 | 161 | 78 | 133 | 0.68 | 25 | 12 | 0.7 | 12 | 16 | - |
| 0.75 to <2.50 | 29 | 99 | 86 | 114 | 1.41 | 12 | 24 | 0.4 | 51 | 52 | 1 | - |
| 2.50 to <10.00 | 653 | 29 | 80 | 676 | 6.08 | 117 | 11 | 2.4 | 284 | 42 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 15,627 | 65,513 | 98 | 79,797 | 0.10 | 697 | 11 | 0.3 | 2,589 | 3 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q4/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,199 | 23,371 | 74 | 31,429 | 0.08 | 2,044 | 31 | 1.8 | 5,766 | 18 | 9 | - |
| 0.15 to <0.25 | 21,129 | 29,331 | 67 | 40,719 | 0.19 | 4,096 | 41 | 2.3 | 16,012 | 39 | 32 | - |
| 0.25 to <0.50 | 16,085 | 13,489 | 61 | 24,297 | 0.33 | 3,773 | 36 | 2.2 | 11,311 | 47 | 29 | - |
| 0.50 to <0.75 | 24,761 | 20,415 | 51 | 35,107 | 0.64 | 3,892 | 36 | 2.2 | 21,425 | 61 | 81 | - |
| 0.75 to <2.50 | 18,619 | 12,982 | 50 | 25,048 | 1.69 | 5,624 | 34 | 2.0 | 18,698 | 75 | 141 | - |
| 2.50 to <10.00 | 4,203 | 2,484 | 48 | 5,398 | 6.98 | 18,453 | 33 | 2.1 | 6,407 | 120 | 125 | - |
| 10.00 to 100.00 | 2,042 | 944 | 51 | 2,521 | 23.79 | 361 | 30 | 2.1 | 3,982 | 158 | 183 | - |
| 100.00 (Default) | 948 | 139 | 56 | 1,025 | 100.00 | 828 | 49 | 1.8 | 1,417 | 138 | 485 | - |
| | 101,986 | 103,155 | 62 | 165,544 | 1.71 | 39,071 | 36 | 2.1 | 85,071 | 51 | 1,085 | 989 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 132,194 | 14,378 | 67 | 141,819 | 0.02 | 1,161 | 6 | 2.4 | 2,038 | 1 | 2 | - |
| 0.15 to <0.25 | 158 | 126 | 73 | 250 | 0.23 | 47 | 26 | 1.8 | 62 | 25 | - |
| 0.25 to <0.50 | 82 | 114 | 60 | 151 | 0.33 | 54 | 49 | 2.8 | 102 | 68 | 1 | - |
| 0.50 to <0.75 | 598 | 282 | 39 | 709 | 0.73 | 40 | 11 | 105 | 15 | - |
| 0.75 to <2.50 | 43 | 13 | 66 | 52 | 1.94 | 37 | 16 | 1.8 | 20 | 38 | - |
| 2.50 to <10.00 | 2 | 1 | 65 | 3 | 6.82 | 266 | 18 | 1.6 | 2 | 67 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 133,077 | 14,915 | 66 | 142,984 | 0.02 | 1,605 | 6 | 2.4 | 2,329 | 2 | 3 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,325 | 63,021 | 99 | 70,754 | 0.05 | 468 | 10 | 0.3 | 2,081 | 3 | 4 | - |
| 0.15 to <0.25 | 746 | 1,968 | 73 | 2,178 | 0.18 | 53 | 7 | 1.3 | 95 | 4 | 1 | - |
| 0.25 to <0.50 | 48 | 172 | 76 | 180 | 0.33 | 20 | 22 | 0.7 | 14 | 24 | - |
| 0.50 to <0.75 | 8 | 161 | 78 | 133 | 0.68 | 25 | 12 | 0.7 | 12 | 16 | - |
| 0.75 to <2.50 | 29 | 99 | 86 | 114 | 1.41 | 12 | 24 | 0.4 | 51 | 52 | 1 | - |
| 2.50 to <10.00 | 653 | 29 | 80 | 676 | 6.08 | 117 | 11 | 2.4 | 284 | 42 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,846 | 62,650 | 98 | 74,159 | 0.11 | 697 | 11 | 0.3 | 2,589 | 3 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q3/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 15,017 | 24,925 | 74 | 33,461 | 0.08 | 2,054 | 30 | 1.8 | 6,192 | 19 | 9 | - |
| 0.15 to <0.25 | 21,803 | 28,406 | 65 | 40,211 | 0.19 | 4,087 | 41 | 2.4 | 16,234 | 40 | 32 | - |
| 0.25 to <0.50 | 16,987 | 13,447 | 66 | 25,848 | 0.33 | 3,809 | 36 | 2.2 | 11,813 | 47 | 29 | - |
| 0.50 to <0.75 | 25,334 | 19,991 | 50 | 35,330 | 0.64 | 3,875 | 36 | 2.3 | 21,907 | 62 | 81 | - |
| 0.75 to <2.50 | 18,467 | 11,836 | 52 | 24,619 | 1.70 | 5,497 | 34 | 2.0 | 18,663 | 76 | 143 | - |
| 2.50 to <10.00 | 3,996 | 2,321 | 51 | 5,184 | 6.97 | 16,769 | 33 | 2.1 | 6,407 | 124 | 123 | - |
| 10.00 to 100.00 | 1,666 | 762 | 55 | 2,083 | 24.49 | 376 | 26 | 2.3 | 2,803 | 135 | 125 | - |
| 100.00 (Default) | 1,000 | 228 | 53 | 1,121 | 100.00 | 896 | 47 | 1.8 | 2,000 | 178 | 474 | - |
| | 104,270 | 101,916 | 62 | 167,857 | 1.68 | 37,363 | 36 | 2.2 | 86,019 | 51 | 1,017 | 988 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 137,247 | 13,729 | 65 | 141,819 | 0.02 | 1,180 | 8 | 2.3 | 1,971 | 1 | 3 | - |
| 0.15 to <0.25 | 158 | 124 | 73 | 248 | 0.23 | 43 | 25 | 1.9 | 61 | 25 | - |
| 0.25 to <0.50 | 86 | 114 | 60 | 151 | 0.33 | 54 | 49 | 2.6 | 102 | 68 | 1 | - |
| 0.50 to <0.75 | 740 | 104 | 29 | 770 | 0.73 | 40 | 9 | 0.6 | 96 | 12 | - |
| 0.75 to <2.50 | 39 | 14 | 64 | 48 | 1.94 | 32 | 16 | 1.8 | 18 | 38 | - |
| 2.50 to <10.00 | 2 | 1 | 65 | 3 | 6.73 | 260 | 19 | 1.8 | 2 | 67 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 138,273 | 14,088 | 64 | 147,335 | 0.02 | 1,613 | 8 | 2.2 | 2,251 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,325 | 63,021 | 99 | 70,754 | 0.05 | 468 | 10 | 0.3 | 2,081 | 3 | 4 | - |
| 0.15 to <0.25 | 746 | 1,968 | 73 | 2,178 | 0.18 | 53 | 7 | 1.3 | 95 | 4 | 1 | - |
| 0.25 to <0.50 | 48 | 172 | 76 | 180 | 0.33 | 20 | 22 | 0.7 | 14 | 24 | - |
| 0.50 to <0.75 | 8 | 161 | 78 | 133 | 0.68 | 25 | 12 | 0.7 | 12 | 16 | - |
| 0.75 to <2.50 | 29 | 99 | 86 | 114 | 1.41 | 12 | 24 | 0.4 | 51 | 52 | 1 | - |
| 2.50 to <10.00 | 653 | 29 | 80 | 676 | 6.08 | 117 | 11 | 2.4 | 284 | 42 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 15,627 | 65,513 | 98 | 79,797 | 0.10 | 697 | 11 | 0.3 | 2,589 | 3 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q3/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 65,391 | - | 65,391 | 0.01 | 340,246 | 5 | n/a | 814 | 1 | 1 | - |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 84,924 | 47,640 | 47 | 107,200 | 0.07 | 639,271 | 23 | n/a | 4,253 | 4 | 15 | - |
| 0.15 to <0.25 | 25,837 | 11,564 | 63 | 33,181 | 0.18 | 176,980 | 25 | n/a | 3,278 | 10 | 15 | - |
| 0.25 to <0.50 | 20,703 | 219 | 38 | 20,785 | 0.33 | 66,471 | 21 | n/a | 2,738 | 13 | 15 | - |
| 0.50 to <0.75 | 12,315 | 18 | 44 | 12,322 | 0.58 | 35,251 | 18 | n/a | 2,091 | 17 | 13 | - |
| 0.75 to <2.50 | 13,548 | 830 | 31 | 13,806 | 1.17 | 70,035 | 24 | n/a | 5,007 | 36 | 40 | - |
| 2.50 to <10.00 | 2,865 | 222 | 27 | 2,926 | 5.25 | 14,062 | 23 | n/a | 2,286 | 78 | 33 | - |
| 10.00 to 100.00 | 810 | 20 | 35 | 817 | 39.06 | 3,635 | 21 | n/a | 1,009 | 124 | 66 | - |
| 100.00 (Default) | 548 | 21 | 548 | 100.00 | 3,006 | 23 | n/a | 770 | 141 | 70 | - |
| | 161,550 | 60,534 | 50 | 191,585 | 0.76 | 1,008,711 | 23 | n/a | 21,432 | 11 | 267 | 179 |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 3,375 | 52,966 | 74 | 42,594 | 0.07 | 4,562,282 | 90 | n/a | 1,636 | 4 | 24 | - |
| 0.15 to <0.25 | 696 | 4,881 | 87 | 4,949 | 0.19 | 1,013,488 | 83 | n/a | 443 | 9 | 8 | - |
| 0.25 to <0.50 | 2,617 | 5,547 | 58 | 5,810 | 0.42 | 976,055 | 82 | n/a | 988 | 17 | 20 | - |
| 0.50 to <0.75 | 1,296 | 3,934 | 62 | 3,744 | 0.55 | 971,207 | 84 | n/a | 794 | 21 | 17 | - |
| 0.75 to <2.50 | 6,091 | 7,569 | 62 | 10,780 | 1.39 | 1,743,888 | 86 | n/a | 4,866 | 45 | 133 | - |
| 2.50 to <10.00 | 3,839 | 1,513 | 62 | 4,780 | 4.59 | 723,546 | 85 | n/a | 4,849 | 101 | 189 | - |
| 10.00 to 100.00 | 505 | 257 | 54 | 645 | 30.02 | 186,421 | 84 | n/a | 1,462 | 227 | 165 | - |
| 100.00 (Default) | 39 | - | 39 | 100.00 | 12,827 | 81 | n/a | 75 | 192 | 26 | - |
| | 18,458 | 76,667 | 72 | 73,341 | 0.93 | 10,189,714 | 88 | n/a | 15,113 | 21 | 582 | 1,328 |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,111 | 1,841 | 80 | 3,576 | 0.10 | 43,810 | 41 | n/a | 281 | 8 | 1 | - |
| 0.15 to <0.25 | 2,149 | 130 | 68 | 2,238 | 0.21 | 109,111 | 68 | n/a | 888 | 30 | 4 | - |
| 0.25 to <0.50 | 1,646 | 768 | 55 | 2,068 | 0.43 | 72,627 | 72 | n/a | 1,025 | 50 | 6 | - |
| 0.50 to <0.75 | 350 | 962 | 57 | 869 | 0.69 | 14,877 | 66 | n/a | 511 | 59 | 4 | - |
| 0.75 to <2.50 | 4,953 | 264 | 64 | 5,123 | 1.21 | 150,939 | 69 | n/a | 4,638 | 80 | 48 | - |
| 2.50 to <10.00 | 2,206 | 117 | 64 | 2,280 | 3.92 | 120,220 | 54 | n/a | 1,958 | 78 | 51 | - |
| 10.00 to 100.00 | 661 | 425 | 59 | 911 | 49.49 | 200,226 | 26 | n/a | 576 | 63 | 78 | - |
| 100.00 (Default) | 75 | - | 75 | 100.00 | 9,894 | 72 | n/a | 78 | 104 | 56 | - |
| | 14,112 | 4,327 | 67 | 17,023 | 4.10 | 719,090 | 60 | n/a | 9,192 | 54 | 255 | 214 |
| **Total (all portfolios)** | 517,681 | 323,045 | 62 | 740,522 | 0.82 | 12,297,434 | 35 | n/a | 137,718 | 19 | 2,131 | 2,727 |

For footnotes, see page 28.

***

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

## Q1/21

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Business and government portfolios** | | | | | | | | | | | | |
| Corporate | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,357 | 24,135 | 72 | 31,762 | 0.08 | 2,009 | 30 | 1.9 | 5,863 | 18 | 9 | - |
| 0.15 to <0.25 | 22,685 | 29,961 | 67 | 42,624 | 0.19 | 4,197 | 40 | 2.2 | 16,262 | 38 | 33 | - |
| 0.25 to <0.50 | 15,006 | 13,678 | 61 | 23,325 | 0.33 | 3,759 | 36 | 2.1 | 10,413 | 45 | 27 | - |
| 0.50 to <0.75 | 26,087 | 21,121 | 51 | 36,768 | 0.63 | 3,976 | 36 | 2.1 | 21,742 | 59 | 83 | - |
| 0.75 to <2.50 | 18,580 | 13,717 | 50 | 25,416 | 1.68 | 5,682 | 34 | 1.9 | 19,114 | 75 | 144 | - |
| 2.50 to <10.00 | 4,100 | 2,682 | 48 | 5,382 | 7.08 | 18,270 | 32 | 2.1 | 6,443 | 120 | 123 | - |
| 10.00 to 100.00 | 1,559 | 851 | 52 | 1,999 | 24.03 | 362 | 32 | 1.9 | 3,330 | 167 | 150 | - |
| 100.00 (Default) | 1,156 | 195 | 47 | 1,247 | 100.00 | 924 | 54 | 1.9 | 2,780 | 223 | 562 | - |
| | 103,530 | 106,340 | 61 | 168,523 | 1.75 | 39,179 | 36 | 2.1 | 85,947 | 51 | 1,131 | 1,083 |
| Sovereign | | | | | | | | | | | | |
| 0.00 to <0.15 | 128,109 | 14,363 | 67 | 137,733 | 0.02 | 1,136 | 7 | 2.3 | 2,053 | 1 | 2 | - |
| 0.15 to <0.25 | 196 | 163 | 71 | 312 | 0.23 | 47 | 26 | 2.2 | 83 | 27 | 1 | - |
| 0.25 to <0.50 | 68 | 119 | 61 | 141 | 0.33 | 56 | 49 | 2.6 | 96 | 68 | 1 | - |
| 0.50 to <0.75 | 59 | 30 | 71 | 81 | 0.63 | 43 | 49 | 2.9 | 72 | 89 | - |
| 0.75 to <2.50 | 65 | 21 | 63 | 78 | 1.75 | 37 | 16 | 1.6 | 37 | 47 | - |
| 2.50 to <10.00 | 5 | 1 | 65 | 6 | 6.30 | 260 | 35 | 1.1 | 7 | 117 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 128,502 | 14,697 | 67 | 138,351 | 0.02 | 1,579 | 7 | 2.3 | 2,348 | 2 | 4 | 1 |
| Banks | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,325 | 63,021 | 99 | 70,754 | 0.05 | 468 | 10 | 0.3 | 2,080 | 3 | 4 | - |
| 0.15 to <0.25 | 746 | 1,968 | 73 | 2,178 | 0.18 | 53 | 7 | 1.3 | 95 | 4 | 1 | - |
| 0.25 to <0.50 | 48 | 172 | 76 | 180 | 0.33 | 20 | 22 | 0.7 | 14 | 24 | - |
| 0.50 to <0.75 | 8 | 161 | 78 | 133 | 0.68 | 25 | 12 | 0.7 | 12 | 16 | - |
| 0.75 to <2.50 | 29 | 99 | 86 | 114 | 1.41 | 12 | 24 | 0.4 | 51 | 52 | 1 | - |
| 2.50 to <10.00 | 653 | 29 | 80 | 676 | 6.08 | 117 | 11 | 2.4 | 284 | 42 | 6 | - |
| 10.00 to 100.00 | - | - | - | - | - | - | - | - | - | - | - |
| 100.00 (Default) | 12,594 | 63,557 | 98 | 74,842 | 0.11 | 671 | 10 | 0.3 | 2,622 | 4 | 10 | 1 |

For footnotes, see page 27.

***

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

## Q4/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 67,048 | - | 67,048 | 0.01 | 343,615 | 6 | n/a | 1,104 | 2 | 1 | 19 |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 86,820 | 48,104 | 47 | 109,289 | 0.07 | 644,473 | 22 | n/a | 4,355 | 4 | 16 | - |
| 0.15 to <0.25 | 26,513 | 12,893 | 66 | 35,028 | 0.18 | 180,521 | 25 | n/a | 3,470 | 10 | 16 | - |
| 0.25 to <0.50 | 21,531 | 212 | 38 | 21,612 | 0.33 | 67,046 | 21 | n/a | 2,847 | 13 | 15 | - |
| 0.50 to <0.75 | 12,073 | 17 | 41 | 12,080 | 0.58 | 34,152 | 18 | n/a | 2,033 | 17 | 13 | - |
| 0.75 to <2.50 | 13,503 | 819 | 31 | 13,760 | 1.17 | 69,098 | 24 | n/a | 4,993 | 36 | 39 | - |
| 2.50 to <10.00 | 3,017 | 199 | 27 | 3,071 | 5.55 | 13,762 | 22 | n/a | 2,379 | 77 | 36 | - |
| 10.00 to 100.00 | 579 | 18 | 39 | 586 | 37.00 | 2,836 | 22 | n/a | 745 | 127 | 44 | - |
| 100.00 (Default) | 443 | 24 | 443 | 100.00 | 2,592 | 24 | n/a | 620 | 140 | 60 | - |
| | 164,479 | 62,286 | 50 | 195,869 | 0.65 | 1,014,480 | 23 | n/a | 21,442 | 11 | 239 | 206 |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,546 | 47,529 | 75 | 37,275 | 0.05 | 4,366,343 | 90 | n/a | 1,103 | 3 | 15 | - |
| 0.15 to <0.25 | 3,700 | 15,420 | 57 | 12,517 | 0.18 | 1,655,530 | 85 | n/a | 1,088 | 9 | 19 | - |
| 0.25 to <0.50 | 1,173 | 5,863 | 56 | 4,432 | 0.41 | 1,109,796 | 84 | n/a | 758 | 17 | 16 | - |
| 0.50 to <0.75 | 1,256 | 2,387 | 64 | 2,786 | 0.61 | 603,998 | 79 | n/a | 615 | 22 | 14 | - |
| 0.75 to <2.50 | 4,601 | 5,184 | 61 | 7,774 | 1.32 | 1,438,069 | 85 | n/a | 3,248 | 42 | 85 | - |
| 2.50 to <10.00 | 5,756 | 973 | 74 | 6,475 | 4.19 | 880,473 | 88 | n/a | 6,481 | 100 | 242 | - |
| 10.00 to 100.00 | 634 | 270 | 47 | 763 | 33.38 | 212,203 | 85 | n/a | 2,006 | 263 | 243 | - |
| 100.00 (Default) | 35 | - | 35 | 100.00 | 10,001 | 81 | n/a | 54 | 154 | 24 | - |
| | 18,701 | 77,626 | 69 | 72,057 | 1.02 | 10,276,413 | 87 | n/a | 15,353 | 21 | 658 | 1,334 |
| **Other retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,992 | 1,510 | 79 | 3,179 | 0.10 | 42,688 | 36 | n/a | 212 | 7 | 1 | - |
| 0.15 to <0.25 | 2,658 | 522 | 57 | 2,958 | 0.21 | 122,982 | 69 | n/a | 896 | 30 | 4 | - |
| 0.25 to <0.50 | 1,646 | 768 | 55 | 2,068 | 0.43 | 72,641 | 72 | n/a | 1,025 | 50 | 6 | - |
| 0.50 to <0.75 | 350 | 962 | 57 | 869 | 0.69 | 14,877 | 66 | n/a | 511 | 59 | 4 | - |
| 0.75 to <2.50 | 4,953 | 264 | 64 | 5,123 | 1.21 | 150,939 | 69 | n/a | 4,638 | 80 | 48 | - |
| 2.50 to <10.00 | 2,206 | 117 | 64 | 2,280 | 3.92 | 120,220 | 54 | n/a | 1,958 | 78 | 51 | - |
| 10.00 to 100.00 | 661 | 425 | 59 | 911 | 49.49 | 200,226 | 26 | n/a | 576 | 63 | 78 | - |
| 100.00 (Default) | 75 | - | 75 | 100.00 | 9,894 | 72 | n/a | 78 | 104 | 56 | - |
| | 14,112 | 4,327 | 67 | 17,023 | 4.10 | 719,090 | 60 | n/a | 9,192 | 54 | 255 | 214 |
| **Total (all portfolios)** | 514,649 | 332,122 | 60 | 740,522 | 0.78 | 12,511,417 | 34 | n/a | 137,451 | 19 | 2,112 | 2,727 |

***

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

## Q4/20

| PD scale | Original on-balance sheet gross exposure | Off-balance sheet exposure pre CCF | Average CCF\% | EAD post CRM and post-CCF | Average PD \% | Number of obligors $^{(2)}$ | Average LGD \% | Average maturity $^{(3)}$ | RWA | RWA density $\%$ | Expected losses $^{(5)}$ | Provisions $^{(5)}$ |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Retail portfolios** | | | | | | | | | | | | |
| **Real estate secured personal lending (insured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 67,048 | - | 67,048 | 0.01 | 343,615 | 6 | n/a | 1,104 | 2 | 1 | 19 |
| **Real estate secured personal lending (uninsured)** | | | | | | | | | | | | |
| 0.00 to <0.15 | 86,820 | 48,104 | 47 | 109,289 | 0.07 | 644,473 | 22 | n/a | 4,355 | 4 | 16 | - |
| 0.15 to <0.25 | 26,513 | 12,893 | 66 | 35,028 | 0.18 | 180,521 | 25 | n/a | 3,470 | 10 | 16 | - |
| 0.25 to <0.50 | 21,531 | 212 | 38 | 21,612 | 0.33 | 67,046 | 21 | n/a | 2,847 | 13 | 15 | - |
| 0.50 to <0.75 | 12,073 | 17 | 41 | 12,080 | 0.58 | 34,152 | 18 | n/a | 2,033 | 17 | 13 | - |
| 0.75 to <2.50 | 13,503 | 819 | 31 | 13,760 | 1.17 | 69,098 | 24 | n/a | 4,993 | 36 | 39 | - |
| 2.50 to <10.00 | 3,017 | 199 | 27 | 3,071 | 5.55 | 13,762 | 22 | n/a | 2,379 | 77 | 36 | - |
| 10.00 to 100.00 | 579 | 18 | 39 | 586 | 37.00 | 2,836 | 22 | n/a | 745 | 127 | 44 | - |
| 100.00 (Default) | 443 | 24 | 443 | 100.00 | 2,592 | 24 | n/a | 620 | 140 | 60 | - |
| | 164,479 | 62,286 | 50 | 195,869 | 0.65 | 1,014,480 | 23 | n/a | 21,442 | 11 | 239 | 206 |
| **Qualifying revolving retail** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,546 | 47,529 | 75 | 37,275 | 0.05 | 4,366,343 | 90 | n/a | 1,103 | 3 | 15 | - |
| 0.15 to <0.25 | 3,700 | 15,420 | 57 | 12,517 | 0.18 | 1,655,530 | 85 | n/a | 1,088 | 9 | 19 | - |
| 0.25 to <0.50 | 1,173 | 5,863 | 56 | 4,432 | 0.41 | 1,109,796 | 84 | n/a | 758 | 17 | 16 | - |
| 0.50 to <0.75 | 1,256 | 2,387 | 64 | 2,786 | 0.61 | 603,99