# Supplementary Regulatory Capital Disclosure

For the period ended
April 30, 2015

For further information, please contact:
Geoff Weiss, Senior Vice-President, Corporate CFO and Investor Relations (416) 980-5093
Jason Patchett, Senior Director, Investor Relations (416) 980-8691

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# REGULATORY CAPITAL - TABLE OF CONTENTS

This document is unaudited and should be read in conjunction with our quarterly report to shareholders and news release for Q2/15, and our 2014 annual report (including audited consolidated financial statements and accompanying management's discussion and analysis). Additional financial information is also available through our quarterly investor presentations as well as the quarterly conference call webcast. All relevant information in this document is prepared under International Financial Reporting Standards (IFRS) and all amounts are in millions of Canadian dollars, unless otherwise stated.

## BASEL RELATED SCHEDULES

| Item | Page | Item | Page |
| :--- | ---: | :--- | ---: |
| Regulatory Capital and Ratios - Basel III (All-in basis) | 1 | Credit Quality of AIRB Exposure - Retail Portfolios | 18 |
| Reconciliation of Capital (All-in basis) to Consolidated Regulatory Balance Sheet | 3 | Changes in Credit Quality of AIRB Exposure - Retail Portfolios | 22 |
| Regulatory Capital and Ratios - Basel III (Transitional basis) | 4 | AIRB Credit Risk Exposure - Loss Experience | 26 |
| Changes in Regulatory Capital - Basel III (All-in basis) | 5 | AIRB Credit Risk Exposure - Back-Testing | 27 |
| Basel III Leverage Ratio | 6 | Business and Government AIRB Exposures by Industry Groups | 28 |
| Risk-Weighted Assets (RWA) - Basel III (All-in basis) | 7 | Exposure at Default (EAD) under the Standardized Approach | 29 |
| Changes in Common Equity Tier 1 (CET1) RWA - Basel III (All-in basis) | 8 | Exposure Covered by Guarantees and Credit Derivatives | 30 |
| Credit Exposure (Exposure at default) | 9 | Exposures Securitized as Originator | 30 |
| Credit Exposure - Geographic Concentration | 10 | Bank Sponsored Multi-Seller Conduits Exposure | 31 |
| Credit Exposure - Maturity Profile | 11 | Total Securitization Exposures - Internal ratings based (IRB) Approach | 31 |
| Credit Risk Associated with Derivatives | 12 | Securitization Exposures - Risk Weighted Assets and Capital Charges (IRB Approach) | 32 |
| Credit Quality of Advanced internal ratings-based (AIRB) Exposure - Business and Government Portfolios (Risk Rating Method) | 13 | Basel - Glossary | 34 |
| Changes in Credit Quality of AIRB Exposure - Business and Government Portfolios (Risk Rating Method) | 17 | | |

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

| Row | | Q2/15 | Q1/15 | Q4/14 | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Cross-reference $^{4}$ |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | | | | | | | | |
| 1 | Directly issued qualifying common share capital plus related stock surplus | 7,880 | 7,870 | 7,857 | 7,836 | 7,827 | 7,832 | 7,835 | 7,839 | 7,823 | A+B |
| 2 | Retained earnings | 10,590 | 10,121 | 9,626 | 9,258 | 8,820 | 8,985 | 8,402 | 8,026 | 7,545 | C |
| 3 | Accumulated other comprehensive income (and other reserves) | 233 | 274 | 105 | (18) | 60 | 138 | 179 | 270 | 309 | D |
| 5 | Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) | 86 | 90 | 82 | 79 | 84 | 85 | 81 | 83 | 82 | E |
| **Common Equity Tier 1 capital before regulatory adjustments** | **18,789** | **18,355** | **17,670** | **17,155** | **16,791** | **17,040** | **16,627** | **16,127** | **15,720** | |
| **Common Equity Tier 1 capital: regulatory adjustments** | | | | | | | | | | | |
| 7 | Prudential valuation adjustments $^{2}$ | 51 | - | 60 | 52 | 52 | - | - | - | - | See footnote 5 |
| 8 | Goodwill (net of related tax liabilities) | 1,655 | 1,683 | 1,627 | 1,613 | 1,367 | 1,800 | 1,663 | 1,653 | 1,640 | F+G+H |
| 9 | Other intangibles other than mortgage-servicing rights (net of related tax liabilities) | 974 | 930 | 862 | 826 | 806 | 802 | 678 | 666 | 633 | I+J+AL |
| 10 | Deferred tax assets excluding those arising from temporary differences (net of related tax liabilities) | 60 | 71 | 73 | 64 | 66 | 72 | 87 | 78 | 99 | K |
| 11 | Cash flow hedge reserve | 14 | (1) | 26 | 26 | 27 | 11 | 13 | 4 | L |
| 12 | Shortfall of allowances to expected losses | - | - | - | 28 | 27 | 35 | 116 | 133 | 49 | See footnote 5 |
| 14 | Gain and losses due to changes in own credit risk on fair valued liabilities | 67 | 53 | 45 | 60 | 63 | 71 | 69 | 63 | 39 | M+AK |
| 15 | Defined benefit pension fund net assets (net of related tax liabilities) | 100 | 95 | 86 | 113 | 211 | 211 | 657 | 639 | 638 | N+O |
| 16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | 2 | 2 | 20 | 21 | 16 | 6 | 16 | 11 | See footnote 5 |
| 22 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) | - | - | - | - | - | - | - | - | - | |
| 23 | of which: significant investments in the common stock of financials | - | 241 | 264 | 201 | 472 | 503 | 446 | 417 | 350 | P+Q |
| 25 | of which: deferred tax assets arising from temporary differences | - | 188 | 82 | 91 | 82 | 63 | 36 | R+S |
| 28 | Total regulatory adjustments to Common Equity Tier 1 | **2,923** | **3,322** | **3,063** | **3,002** | **3,150** | **3,693** | **3,834** | **3,644** | **3,460** | |
| **Common Equity Tier 1 capital (CET1)** | **15,866** | **15,033** | **14,607** | **14,153** | **13,641** | **13,347** | **12,793** | **12,483** | **12,260** | |
| **Additional Tier 1 (AT1) capital: instruments** | | | | | | | | | | | |
| 31 | Directly issued qualifying Additional Tier 1 instruments plus related stock surplus $^{5}$ | 1,000 | 1,031 | 1,031 | 1,281 | 881 | 881 | 881 | 881 | 881 | U |
| 33 | Directly issued capital instruments subject to phase out from Additional Tier 1 | 1,674 | 1,695 | 1,651 | 1,649 | 2,005 | 2,004 | 2,255 | 2,255 | 2,255 | V+see footnote 7 |
| 36 | Additional Tier 1 capital before regulatory adjustments | **2,685** | **2,738** | **2,693** | **2,940** | **2,895** | **2,894** | **3,145** | **3,145** | **3,145** | W |
| **Additional Tier 1 capital: regulatory adjustments** | | | | | | | | | | | |
| 41 | Other deductions from Tier 1 capital as determined by OSFI $^{2}$ | 48 | - | 52 | 50 | 50 | - | - | - | - | |
| 41b | of which: valuation adjustment for less liquid positions $^{2}$ | 48 | - | 52 | 50 | 50 | - | - | - | - | |
| 43 | Total regulatory adjustments to Additional Tier 1 capital | **48** | **52** | **50** | **50** | **48** | | | | | |
| **Additional Tier 1 capital (AT1)** | **2,685** | **2,738** | **2,693** | **2,940** | **2,847** | **2,842** | **3,095** | **3,095** | **3,097** | |
| **Tier 1 capital (T1 = CET1 + AT1)** | **18,551** | **17,771** | **17,300** | **17,093** | **16,488** | **16,189** | **15,888** | **15,578** | **15,357** | |
| **Tier 2 capital: instruments and provisions** | | | | | | | | | | | |
| 46 | Directly issued qualifying Tier 2 instruments plus related stock surplus $^{8}$ | 1,000 | 1,000 | 1,000 | - | - | - | - | - | - | X |
| 47 | Directly issued capital instruments subject to phase out from Tier 2 | 2,831 | 3,154 | 3,605 | 3,605 | 3,605 | 3,605 | 3,972 | 3,972 | 4,000 | Y |
| 50 | Collective allowances | 15 | 14 | 13 | 12 | 12 | 87 | AA+AB |
| 51 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in Tier 2) | 84 | 70 | 73 | 101 | 84 | 11 | 90 | 11 | Z |
| 51 | Tier 2 capital before regulatory adjustments | **3,933** | **4,253** | **4,689** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** | |
| **Total regulatory adjustments to Tier 2 capital** | | | | | | | | | | | |
| 58 | **Tier 2 capital (T2)** | **3,933** | **4,253** | **4,689** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** | |
| **59** | **Total capital (TC = T1 + T2)** | **22,484** | **22,024** | **21,989** | **20,784** | **20,206** | **19,890** | **19,961** | **19,661** | **19,471** | |
| **60** | **Total RWA $^{2}$** | **n/a** | **n/a** | **n/a** | **n/a** | **135,883** | **140,505** | **136,747** | **133,994** | **125,938** | |
| 60a | Common Equity Tier 1 (CET1) Capital RWA $^{2,9}$ | 146,951 | 146,554 | 141,250 | 139,920 | 135,883 | 140,505 | n/a | n/a | n/a |
| 60b | Tier 1 Capital RWA $^{2,9}$ | 147,173 | 146,847 | 141,446 | 140,174 | 135,883 | 140,505 | n/a | n/a | n/a |
| 60c | Total Capital RWA $^{2,9}$ | 147,364 | 147,097 | 141,739 | 140,556 | 135,883 | 140,505 | n/a | n/a | n/a |

$^{1}$ For footnotes, see next page.

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

($ millions)

| Row | | Q2/15 | Q1/15 | Q4/14 | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 | Cross-reference $^{4}$ |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | :--- |
| **Capital ratios** | | | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 10.8% | 10.3% | 10.3% | 10.1% | 10.0% | 9.5% | 9.4% | 9.3% | 9.7% | |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 12.6% | 12.1% | 12.2% | 12.2% | 12.1% | 11.5% | 11.6% | 11.6% | 12.2% | |
| 63 | Total capital (as a percentage of risk-weighted assets) | 15.3% | 15.0% | 15.5% | 14.8% | 14.9% | 14.2% | 14.6% | 14.7% | 15.5% | |
| 64 | Buffer requirement (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer requirement plus D-SIB buffer requirement expressed as a percentage of risk-weighted assets) | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 68 | Common Equity Tier 1 available to meet buffers (as percentage of risk-weighted assets) | 10.8% | 10.3% | 10.3% | 10.1% | 10.0% | 9.5% | 9.4% | 9.3% | 9.7% | |
| 69 | OSFI all-in target (minimum + capital conservation buffer + D-SIB surcharge (if applicable)) | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | 7.0% | |
| 70 | Common Equity Tier 1 all-in target ratio | 8.5% | 8.5% | 8.5% | 8.5% | 8.5% | 8.5% | n/a | n/a | n/a | |
| 71 | Tier 1 capital all-in target ratio | 10.5% | 10.5% | 10.5% | 10.5% | 10.5% | 10.5% | n/a | n/a | n/a | |
| **Amounts below the thresholds for deduction (before risk-weighting)** | | | | | | | | | | | |
| 72 | Non-significant investments in the capital of other financials | 429 | 441 | 389 | 496 | 547 | 526 | 531 | 528 | 597 | AG+AI+AJ+ see footnote 10 |
| 73 | Significant investments in the common stock of financials | 1,548 | 1,427 | 1,487 | 1,436 | 1,365 | 1,333 | 1,277 | 1,254 | 1,240 | AD+AE+AF |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liabilities) | 791 | 829 | 643 | 652 | 681 | 669 | 643 | 618 | 599 | AC |
| **Applicable caps on the inclusion of allowances in Tier 2** | | | | | | | | | | | |
| 76 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) | 68 | 75 | 70 | 73 | 101 | 84 | 90 | 101 | 113 | |
| 77 | Cap on inclusion of allowances in Tier 2 under standardized approach | 68 | AA | 75 | 70 | 73 | 101 | 84 | 90 | 100 | 102 | |
| 78 | Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | 19 | - | - | - | - | - | - | - | - | |
| 79 | Cap on inclusion of allowances in Tier 2 under ratings-based approach | 19 | AB | 9 | - | - | - | - | - | - | |
| **Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | | | | | | | | | |
| 80 | Current cap on CET1 instruments subject to phase out arrangements | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 1,754 | 1,754 | 2,005 | 2,005 | 2,004 | 2,255 | 2,255 | 2,255 | V+see footnote 7 |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | - | - | - | 135 | 467 | 208 | 202 | 260 | | AH+see footnote 7 |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 3,154 | 3,154 | 3,605 | 3,605 | 3,605 | 3,605 | 4,055 | 4,055 | 4,055 | |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | - | 653 | 328 | 285 | 324 | 327 | - | - | - | |

$^{1}$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019, but retaining the phase-out rules for non-qualifying capital instruments. OSFI mandated all institutions to have established a target CET1 ratio of 7%, comprised of the 2019 all-in minimum ratio plus conservation buffer effective the first quarter of 2013. For the Tier 1 and Total capital ratios, the all-in targets are 8.5% and 10.5%, respectively, effective the first quarter of 2014.
$^{2}$ OSFI issued a revised "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory in April 2014, which provided modifications to the disclosures required by the earlier advisory issued in July 2013. We have implemented these modifications prospectively from Q3/14 in accordance with OSFI's revised advisory.
$^{3}$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory in accordance with Basel III all-in-basis calculations.
$^{4}$ Cross-referenced to the consolidated balance sheet, refer to pages 3 and 4.
$^{5}$ Not recorded on the consolidated balance sheet.
$^{6}$ Comprises non-cumulative Class A Preferred Shares series 26 (until Q3/14 inclusive), 27 (until Q4/14 inclusive), 29 (until Q1/15 inclusive), 39 (effective Q3/14), 41 (effective Q1/15), and 43 (effective Q2/15) which are treated as non-viability contingent capital in accordance with OSFI's capital adequacy guidelines.
$^{7}$ Comprises CIBC Tier 1 Notes - Series A due June 30, 2108 and Series B due June 30, 2108 (together, the Tier 1 Notes). The adoption of IFRS 10 "Consolidated Financial Statements" required CIBC to deconsolidate CIBC Capital Trust, which resulted in the removal of Capital Trust securities issued by CIBC Capital Trust from the consolidated balance sheet and instead recognizing the senior deposit notes issued by CIBC to CIBC Capital Trust within Business and government deposits.
$^{8}$ Comprises Debentures due on October 28, 2024 which are treated as non-viability contingent capital in accordance with OSFI's capital adequacy guidelines.
$^{9}$ As a result of the option that CIBC chose for calculating the credit valuation adjustment (CVA) capital charge, the calculation of CET1, Tier 1 and Total Capital ratios are based on different RWAs beginning in Q3/14. The charge will be phased-in during 2014-2019 and relates to bilateral over-the-counter (OTC) derivatives included in credit risk RWA.
$^{10}$ Synthetic positions not recorded on the consolidated balance sheet.
* Not applicable.

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

| Assets | Balance sheet as in report to shareholders | Insurance entities adjustment | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{3}$ | Of which |
| :--- | ---: | ---: | ---: | :--- | :--- |
| Cash and non-interest-bearing deposits with banks | 3,313 | - | 3,313 | | |
| Interest-bearing deposits with banks | 14,406 | (55) | 14,351 | AF | |
| Securities | 58,687 | - | 58,632 | | |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | | 144 | AG |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | | 16 | |
| Significant investments in capital of non-financial institutions | - | - | - | | 58,472 | |
| Other securities | 3,574 | - | 3,574 | | |
| Cash collateral on securities borrowed | 38,200 | - | 38,200 | | |
| Securities purchased under resale agreements | 267,952 | - | 267,952 | | |
| Loans | (1,689) | - | (1,689) | | (68) | AA |
| Allowance for credit losses | - | - | - | | (19) | AB |
| Collective allowance reflected in Tier 2 capital | - | - | - | | (1,602) | |
| Excess in allowance over expected losses reflected in Tier 2 capital | - | - | - | | |
| Allowances not reflected in regulatory capital | | | | | |
| Derivative instruments | 26,746 | - | 26,746 | | |
| Customers' liability under acceptances | 10,280 | - | 10,280 | | |
| Land, buildings and equipment | 1,821 | - | 1,821 | | |
| Goodwill | 1,484 | - | 1,484 | F | |
| Software and other intangible assets | 1,069 | - | 1,069 | | |
| Investments in equity-accounted associates and joint ventures | 1,699 | 431 | 2,130 | | P, R, AD, G, AL, Q, S |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (10% of CET1) | - | - | - | | 1,117 | |
| Significant investments in capital of other financial institutions exceeding regulatory thresholds (15% basket of CET1) | - | - | - | | 249 | |
| Significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | | 9 | |
| Significant investments in capital of other financial institutions related to goodwill | - | - | - | | 111 | |
| Significant investments in capital of other financial institutions related to intangibles | - | - | - | | - | |
| Significant investments in capital of non-financial institutions | - | - | - | | - | |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (10% of CET1) | - | - | - | | 431 | AE |
| Investment in deconsolidated subsidiaries exceeding regulatory thresholds (15% basket of CET1) | - | - | - | | 202 | AJ |
| Investment in deconsolidated subsidiaries not exceeding regulatory thresholds | - | - | - | | 11 | |
| 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 | 641 | - | 641 | | 60 | K |
| Deferred tax assets excluding those arising from temporary differences | - | - | - | | - | T |
| Deferred tax assets arising from temporary differences exceeding regulatory thresholds (15% basket of CET1) | - | - | - | | (78) | H |
| Deferred tax assets arising from temporary differences not exceeding regulatory thresholds | 791 | - | 791 | | (104) | J |
| Deferred tax liabilities related to goodwill | - | - | - | | (28) | O |
| Deferred tax liabilities related to software and other intangible assets | - | - | - | | | |
| Deferred tax liabilities related to defined benefit pension fund net assets | - | - | - | | | |
| Other assets | 129 | - | 129 | | - | N |
| Defined benefit pension fund net assets | 10,891 | (91) | 10,800 | | - | |
| Other | - | - | - | | 5 | AI |
| Non-significant investments in capital of other financial institutions not exceeding regulatory thresholds | - | - | - | | - | |
| Other | - | - | - | | 10,795 | |
| **Total assets** | **439,203** | **(146)** | **431** | **439,488** | | |

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

| Liabilities | Balance sheet as in report to shareholders | Insurance entities adjustment | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{3}$ | Of which |
| :--- | ---: | ---: | ---: | :--- | :--- |
| Deposits | 341,188 | - | 341,188 | | |
| Obligations related to securities sold short | 10,558 | - | 10,558 | | |
| Cash collateral on securities lent | 1,776 | - | 1,776 | | |
| Obligations related to securities sold under repurchase agreements | 10,311 | - | 10,311 | | |
| Derivative instruments | 30,468 | - | 30,468 | | |
| Acceptances | 10,280 | - | 10,280 | | |
| Deferred tax liabilities | 29 | - | 29 | | |
| Other liabilities | 10,844 | 375 | (90) | 11,129 | | 1,000 | X |
| Subordinated indebtedness | 3,868 | - | 3,868 | | 2,831 | Y |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital | - | - | - | | 37 | |
| Subordinated indebtedness allowed for inclusion into Tier 2 capital subject to phase out | - | - | - | | | |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for Tier 2 capital | - | - | - | | | |
| Subordinated indebtedness excluded from Tier 2 capital due to cap | - | - | - | | | |
| Subordinated indebtedness not allowed for Tier 2 capital | - | - | - | | | |
| **Total liabilities** | **419,322** | **375** | **(90)** | **419,607** | | |
| **Equity** | | | | | | |
| Preferred shares | - | - | - | 1,000 | | 1,000 | U |
| Preferred shares allowed for inclusion into additional Tier 1 capital | - | - | - | - | | | V |
| Preferred shares allowed for inclusion into additional Tier 1 capital subject to phase out | - | - | - | - | | | AH |
| Preferred shares excluded from additional Tier 1 capital due to cap | 7,803 | - | 7,803 | | | A |
| Common shares | 10,590 | (522) | 522 | 10,590 | | | B |
| Contributed surplus | 233 | 1 | (1) | 233 | | | D |
| Retained earnings | 10,519 | | | | 71 | M |
| Gains and losses due to changes in own credit risk on fair valued liabilities | - | - | - | - | | | |
| Other retained earnings | 233 | 1 | (1) | 233 | | | |
| AOCI | - | - | - | - | 14 | L |
| Cash flow hedges | - | - | - | - | (4) | AK |
| Net fair value gains (losses) arising from changes in institution's own credit risk | - | - | - | - | 223 | |
| Other | 178 | - | 178 | | 86 | E |
| Non-controlling interests | - | - | - | - | - | | |
| Portion allowed for inclusion into CET1 | 11 | - | 11 | | 15 | W |
| Portion allowed for inclusion into additional Tier 1 capital | - | - | - | - | - | | |
| Portion allowed for inclusion into Tier 2 capital | - | - | - | - | - | | |
| Portion not allowed for regulatory capital | - | - | - | - | 66 | Z |
| **Total equity** | **19,881** | **(521)** | **521** | **19,881** | | | |
| **Total liabilities and equity** | **439,203** | **(146)** | **431** | **439,488** | | |

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

| Row | | Q2/15 | Q1/15 | Q4/14 | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **29** | **Common Equity Tier 1 capital (CET1)** | **18,014** | **17,610** | **17,496** | **16,983** | **16,532** | **16,705** | **16,698** | **16,218** | **15,871** |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | **19,668** | **19,199** | **18,720** | **18,491** | **18,076** | **17,851** | **17,830** | **17,412** | **17,070** |
| **59** | **Total capital (TC = T1 + T2)** | **23,591** | **23,347** | **23,209** | **22,081** | **21,581** | **21,295** | **21,801** | **21,251** | **20,992** |
| **60** | **Total risk-weighted assets $^{+}$** | **154,328** | **156,118** | **155,148** | **155,644** | **152,044** | **153,245** | **151,338** | **152,176** | **138,256** |
| **Capital ratios** | | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 11.7% | 11.3% | 11.3% | 10.9% | 10.9% | 10.9% | 11.0% | 10.7% | 11.5% |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 12.7% | 12.3% | 12.1% | 11.9% | 11.9% | 11.6% | 11.8% | 11.4% | 12.4% |
| 63 | Total capital (as a percentage of risk-weighted assets) | 15.3% | 14.9% | 15.0% | 14.2% | 14.2% | 13.9% | 14.3% | 14.0% | 15.2% |

$^{1}$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory.
$^{2}$ Comprises our insurance subsidiaries: CIBC Reinsurance Company Limited (CIBC Re), and CIBC Life Insurance Company Limited (CIBC Life), which are excluded from the regulatory scope of consolidation. CIBC Re provides Life and Health reinsurance to Canadian insurance and international reinsurance companies. CIBC Re is also an active participant in the North American retrocession market. CIBC Life is primarily involved in direct underwriting of life insurance products and has assumed a closed creditor product block of business from a Canadian underwriter; current policies in-force include accidental death, hospital accident, hospital cash benefit plans, critical accident plan, accident recovery plan, term life, and creditor life and disability insurance products. As at April 30, 2015, CIBC Re had $65 million in assets, $(283) million in liabilities, and $348 million in equity, and CIBC Life had $82 million in assets, $(92) million in liabilities, and $174 million in equity.
$^{3}$ Refer to pages 1 and 2.
$^{4}$ The minimum total capital requirement is $12,346 million (Q1/15: $12,486 million) and is calculated by multiplying RWA by 8%. It refers to the minimum standard established by the Basel Committee on Banking Supervision (BCBS) before the application of the capital conservation buffer, and any other capital buffers including but not limited to the capital surcharge for global/domestic systemically important banks that may be established by regulators from time to time.

---

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

($ millions)

| Liabilities | Balance sheet as in report to shareholders | Insurance entities adjustment | Balance sheet as in the regulatory scope of consolidation | Cross reference to capital schedule $^{3}$ | Of which |
| :--- | ---: | ---: | ---: | :--- | :--- |
| Deposits | 341,188 | - | 341,188 | | |
| Obligations related to securities sold short | 10,558 | - | 10,558 | | |
| Cash collateral on securities lent | 1,776 | - | 1,776 | | |
| Obligations related to securities sold under repurchase agreements | 10,311 | - | 10,311 | | |
| Derivative instruments | 30,468 | - | 30,468 | | |
| Acceptances | 10,280 | - | 10,280 | | |
| Deferred tax liabilities | 29 | - | 29 | | |
| Other liabilities | 10,844 | 375 | (90) | 11,129 | | 1,000 | X |
| Subordinated indebtedness | 3,868 | - | 3,868 | | 2,831 | Y |
| Subordinated indebtedness allowed for inclusion in Tier 2 capital | - | - | - | | 1,000 | |
| Subordinated indebtedness allowed for inclusion into Tier 2 capital subject to phase out | - | - | - | | - | |
| Regulatory capital amortization of maturing subordinated indebtedness not allowed for Tier 2 capital | - | - | - | | - | |
| Subordinated indebtedness excluded from Tier 2 capital due to cap | - | - | - | | - | |
| Subordinated indebtedness not allowed for Tier 2 capital | - | - | - | | - | |
| **Total liabilities** | **419,322** | **375** | **(90)** | **419,607** | | |
| **Equity** | | | | | | |
| Preferred shares | - | - | - | 1,000 | | 1,000 | U |
| Preferred shares allowed for inclusion into additional Tier 1 capital | - | - | - | - | | | V |
| Preferred shares allowed for inclusion into additional Tier 1 capital subject to phase out | - | - | - | - | | | AH |
| Preferred shares excluded from additional Tier 1 capital due to cap | 7,803 | - | 7,803 | | | A |
| Common shares | 10,590 | (522) | 522 | 10,590 | | | B |
| Contributed surplus | 233 | 1 | (1) | 233 | | | D |
| Retained earnings | 10,519 | | | | 71 | M |
| Gains and losses due to changes in own credit risk on fair valued liabilities | - | - | - | - | | | |
| Other retained earnings | 233 | 1 | (1) | 233 | | | |
| AOCI | - | - | - | - | 14 | L |
| Cash flow hedges | - | - | - | - | (4) | AK |
| Net fair value gains (losses) arising from changes in institution's own credit risk | - | - | - | - | 223 | |
| Other | 178 | - | 178 | | 86 | E |
| Non-controlling interests | - | - | - | - | - | | |
| Portion allowed for inclusion into CET1 | 11 | - | 11 | | 15 | W |
| Portion allowed for inclusion into additional Tier 1 capital | - | - | - | - | - | | |
| Portion allowed for inclusion into Tier 2 capital | - | - | - | - | - | | |
| Portion not allowed for regulatory capital | - | - | - | - | 66 | Z |
| **Total equity** | **19,881** | **(521)** | **521** | **19,881** | | | |
| **Total liabilities and equity** | **439,203** | **(146)** | **431** | **439,488** | | |

---

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

| Row | | Q2/15 | Q1/15 | Q4/14 | Q3/14 | Q2/14 | Q1/14 | Q4/13 | Q3/13 | Q2/13 |
| :--- | :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **29** | **Common Equity Tier 1 capital (CET1)** | **18,014** | **17,610** | **17,496** | **16,983** | **16,532** | **16,705** | **16,698** | **16,218** | **15,871** |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | **19,668** | **19,199** | **18,720** | **18,491** | **18,076** | **17,851** | **17,830** | **17,412** | **17,070** |
| **59** | **Total capital (TC = T1 + T2)** | **23,591** | **23,347** | **23,281** | **22,081** | **21,581** | **21,295** | **21,601** | **21,251** | **20,992** |
| **60** | **Total risk-weighted assets $^{+}$** | **154,328** | **156,118** | **155,148** | **155,644** | **152,044** | **153,245** | **151,338** | **152,176** | **138,256** |
| **Capital ratios** | | | | | | | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 11.7% | 11.3% | 11.3% | 10.9% | 10.9% | 10.9% | 11.0% | 10.7% | 11.5% |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 12.7% | 12.3% | 12.1% | 11.9% | 11.9% | 11.6% | 11.8% | 11.4% | 12.4% |
| 63 | Total capital (as a percentage of risk-weighted assets) | 15.3% | 14.9% | 15.0% | 14.2% | 14.2% | 13.9% | 14.3% | 14.0% | 15.2% |

$^{1}$ Per OSFI's "Public Capital Disclosure Requirements related to Basel III Pillar 3" advisory.
$^{2}$ Comprises our insurance subsidiaries: CIBC Reinsurance Company Limited (CIBC Re), and CIBC Life Insurance Company Limited (CIBC Life), which are excluded from the regulatory scope of consolidation. CIBC Re provides Life and Health reinsurance to Canadian insurance and international reinsurance companies. CIBC Re is also an active participant in the North American retrocession market. CIBC Life is primarily involved in direct underwriting of life insurance products and has assumed a closed creditor product block of business from a Canadian underwriter; current policies in-force include accidental death, hospital accident, hospital cash benefit plans, critical accident plan, accident recovery plan, term life, and creditor life and disability insurance products. As at April 30, 2015, CIBC Re had $65 million in assets, $(283) million in liabilities, and $348 million in equity, and CIBC Life had $82 million in assets, $(92) million in liabilities, and $174 million in equity.
$^{3}$ Refer to pages 1 and 2.
$^{4}$ The minimum total capital requirement is $12,346 million (Q1/15: $12,486 million) and is calculated by multiplying RWA by 8%. It refers to the minimum standard established by the Basel Committee on Banking Supervision (BCBS) before the application of the capital conservation buffer, and any other capital buffers including but not limited to the capital surcharge for global/domestic systemically important banks that may be established by regulators from time to time.

---

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

($ millions)

| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Core Tier 1 (CET1) capital** | | | | | | | | | |
| Opening amount $^{2}$ | 15,033 | 14,607 | 14,153 | 13,641 | 13,347 | 12,360 | 12,483 | 12,260 | 12,077 |
| New capital issues | 7 | 27 | 33 | 12 | 24 | 14 | 15 | 26 | |
| Redeemed capital | - | - | - | - | - | - | - | - | - |
| Purchase of common shares for cancellation | - | (5) | (15) | (18) | (27) | (18) | - | (48) | |
| Premium on purchase of common shares for cancellation | (24) | (59) | (67) | (100) | (59) | (158) | | | |
| Gross dividends (deduction) | (433) | (422) | (416) | (416) | (415) | (407) | (408) | (409) | (401) |
| Shares issued in lieu of dividends (add back) | - | - | - | - | - | - | - | - | - |
| Profit for the quarter (attributable to shareholders of the parent company) | 907 | 920 | 809 | 918 | 317 | 1,174 | 843 | 890 | 874 |
| Removal of own credit spread (net of tax) | (14) | (8) | 15 | 3 | 8 | (2) | (6) | (24) | 13 |
| **Movements in other comprehensive income** | | | | | | | | | |
| Currency translation differences | (259) | 577 | 131 | (22) | (71) | 231 | 50 | 63 | 29 |
| Available-for-sale investments | (52) | (35) | (1) | 32 | (32) | 7 | 67 | (150) | 17 |
| Cash flow hedges | 15 | (27) | (1) | 16 | (2) | 13 | (4) | (6) | |
| Post-employment defined benefit plans | 257 | (344) | (7) | (87) | 9 | (58) | n/a | n/a | n/a |
| Goodwill and other intangible assets (deduction, net of related tax liabilities) | (16) | (124) | (50) | (266) | 429 | (261) | (22) | (46) | 4 |
| Shortfall of allowance to expected losses | 28 | - | (1) | 8 | 81 | (84) | (39) | 42 | |
| **Other, including regulatory adjustments and transitional arrangements** | | | | | | | | | |
| Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) | 11 | 2 | (9) | 2 | 6 | 15 | (9) | 21 | (34) |
| Defined benefit pension fund net assets | (5) | (9) | 27 | 98 | 446 | (18) | (1) | (207) | |
| Significant investments in financial institutions (amount above 10% threshold) | 241 | 23 | (63) | 271 | 31 | (57) | (29) | (67) | (48) |
| Amount exceeding 15% threshold | 188 | (188) | 82 | 9 | (9) | (19) | (27) | 67 | |
| Prudential valuation adjustments | 9 | (8) | (52) | - | - | - | - | - | - |
| Other | (23) | 28 | 21 | (17) | (21) | (4) | (5) | 1 | 13 |
| **Closing amount** | **15,866** | **15,033** | **14,607** | **14,153** | **13,641** | **13,347** | **12,793** | **12,483** | **12,260** |
| **Other non-core Tier 1 (additional Tier 1) capital** | | | | | | | | | |
| Opening amount | 2,738 | 2,693 | 2,940 | 2,847 | 2,842 | 3,095 | 3,095 | 3,097 | |
| New non-core tier 1 (additional tier 1) eligible capital issues | - | 300 | 300 | 400 | - | - | - | - | - |
| Redeemed capital $^{3}$ | (331) | (300) | (250) | (356) | - | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | - | - | - | - | (3) | - | - | - | - |
| Other, including regulatory adjustments and transitional arrangements | (22) | 45 | 3 | 49 | 5 | (250) | - | - | - |
| **Closing amount** | **2,685** | **2,738** | **2,693** | **2,940** | **2,847** | **2,842** | **3,095** | **3,095** | **3,097** |
| **Total Tier 1 capital** | **18,551** | **17,771** | **17,300** | **17,093** | **16,488** | **16,189** | **15,888** | **15,578** | **15,357** |
| **Tier 2 capital** | | | | | | | | | |
| Opening amount | 4,253 | 4,689 | 3,691 | 3,718 | 3,701 | 4,073 | 4,083 | 4,114 | |
| New tier 2 eligible capital issues | 1,000 | - | 1,000 | - | - | - | - | - | - |
| Redeemed capital $^{4}$ | (300) | (250) | (356) | - | - | - | - | - | - |
| Amortization adjustments | - | - | - | - | - | - | - | - | - |
| Impact of the cap on inclusion for instruments subject to phase out | (451) | - | - | (49) | (327) | - | - | - | - |
| Other, including regulatory adjustments and transitional arrangements | (2) | 15 | (2) | 17 | 4 | (10) | (31) | 13 | |
| **Closing amount** | **3,933** | **4,253** | **4,689** | **3,691** | **3,718** | **3,701** | **4,073** | **4,083** | **4,114** |
| **Total regulatory capital** | **22,484** | **22,024** | **21,989** | **20,784** | **20,206** | **19,890** | **19,961** | **19,661** | **19,471** |

---

# BASEL III LEVERAGE RATIO

($ millions)

| Row | | Q2/15 | Q1/15 |
| :--- | :--- | ---: | ---: |
| **On-balance sheet exposures** | | | |
| 1 | On-balance sheet items (excluding derivatives, securities financing transactions (SFTs) and grandfathered securitization exposures, but including collateral) | 368,210 | 365,531 |
| 2 | Asset amounts deducted in determining Basel III transitional Tier 1 capital | (2,175) | (2,424) |
| 3 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines 1 and 2) | 366,035 | 363,107 |
| **Derivative exposures** | | | |
| 4 | Replacement cost associated with all derivative transactions (i.e. net of eligible cash variation margin) | 6,086 | 11,195 |
| 5 | Add-on amounts for potential future exposure (PFE) associated with all derivative transactions | 12,523 | 12,553 |
| 6 | Gross up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework | - | - |
| 7 | (Deductions of receivables assets for cash variation margin provided in derivative transactions) | (5,095) | (4,648) |
| 8 | (Exempted central counterparty (CCP)-leg of client cleared trade exposures) | - | - |
| 9 | Adjusted effective notional amount of written credit derivatives | 24,955 | 17,927 |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (24,762) | (17,730) |
| 11 | **Total derivatives exposures (sum of lines 4 to 10)** | **13,707** | **19,297** |
| **Securities financing transaction exposures** | | | |
| 12 | Gross SFT assets recognized for accounting purposes (with no recognition of netting), after adjusting for sale accounting transactions | 41,775 | 38,019 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | - | - |
| 14 | Counterparty credit risk (CCR) exposure for SFTs | 1,488 | 973 |
| 15 | Agent transaction exposures | - | - |
| 16 | **Total securities financing transaction exposures (sum of lines 12 to 15)** | **43,263** | **38,992** |
| **Other off-balance sheet exposures** | | | |
| 17 | Off-balance sheet exposure at gross notional amount | 188,081 | 184,476 |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (136,129) | (133,090) |
| 19 | **Off-balance sheet items (sum of lines 17 and 18)** | **51,952** | **51,386** |
| **20** | **Capital and total exposures - Transitional basis** | **474,957** | **472,782** |
| 21 | Tier 1 capital | 19,668 | 19,199 |
| **Leverage ratios - Transitional basis** | | | |
| 22 | Basel III leverage ratio | 4.1% | 4.1% |
| **All-in basis (required by OSFI)** | | | |
| 23 | Tier 1 capital - All-in basis | 18,551 | 17,771 |
| 24 | (Regulatory adjustments) | (2,856) | (3,269) |
| 25 | Total exposures (sum of lines 21 and 24, less the amount reported in line 2) – All-in basis | 474,276 | 471,937 |
| 26 | Leverage ratio - All-in basis | 3.9% | 3.8% |

---

# SUMMARY COMPARISON OF ACCOUNTING ASSETS VS. LEVERAGE RATIO EXPOSURE MEASURE (TRANSITIONAL BASIS)

($ millions)

| Row | | Q2/15 | Q1/15 |
| :--- | :--- | ---: | ---: |
| 1 | Total consolidated assets as per published financial statements | 439,203 | 445,223 |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | 285 | 264 |
| 3 | Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | - | - |
| 4 | Adjustment for derivative financial instruments | (13,040) | (19,828) |
| 5 | Adjustment for securities financing transactions (i.e. repos and similar secured lending) | 1,488 | 973 |
| 6 | Adjustment for off-balance sheet items (i.e. credit equivalent amounts of off-balance sheet exposures) | 51,952 | 51,386 |
| 7 | Other adjustments | (4,931) | (5,236) |
| 8 | Leverage ratio exposure | 474,957 | 472,782 |

---

# RISK-WEIGHTED ASSETS

($ millions)

| | **Minimum RWA total capital required $^{2}$** | **RWA (All-in basis $^{1}$)** |
| :--- | ---: | :--- |
| **Credit risk** | | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| **Standardized approach** | | | | | | | | | | |
| Corporate | 266 | 3,324 | 3,868 | 3,521 | 3,395 | 3,309 | 3,499 | 3,621 | 3,375 | 3,312 |
| Sovereign | 54 | 679 | 600 | 510 | 799 | 796 | 791 | 399 | 433 | 645 |
| Banks | 23 | 283 | 277 | 275 | 265 | 457 | 270 | 227 | 228 | 201 |
| Real estate secured personal lending | 166 | 2,078 | 2,207 | 1,959 | 1,897 | 1,932 | 1,371 | 1,575 | 1,615 | 1,599 |
| Other retail | 50 | 622 | 669 | 598 | 608 | 614 | 609 | 572 | 1,528 | 1,552 |
| Trading book | - | 1 | 15 | 12 | 11 | 4 | 6 | - | - | - |
| **Subtotal** | **559** | **6,987** | **7,636** | **6,875** | **6,975** | **7,108** | **6,544** | **6,394** | **7,179** | **7,309** |
| **AIRB approach** | | | | | | | | | | |
| Corporate $^{3}$ | 4,309 | 53,858 | 52,962 | 50,425 | 49,019 | 46,754 | 47,768 | 45,669 | 44,691 | 40,603 |
| Sovereign $^{3}$ | 126 | 1,569 | 1,681 | 1,628 | 1,717 | 1,728 | 1,674 | 1,704 | 1,738 | 1,650 |
| Banks | 291 | 3,643 | 3,410 | 3,300 | 3,930 | 3,670 | 5,790 | 5,169 | 4,561 | 4,800 |
| Real estate secured personal lending | 776 | 9,697 | 9,048 | 9,253 | 7,243 | 7,060 | 6,999 | 7,508 | 7,656 | 5,762 |
| Qualifying revolving retail | 1,267 | 15,840 | 15,764 | 15,455 | 16,024 | 16,124 | 16,060 | 18,775 | 16,908 | 15,505 |
| Other retail | 539 | 6,739 | 6,590 | 6,486 | 6,586 | 6,458 | 6,327 | 5,643 | 5,337 | 5,074 |
| Equity | 58 | 719 | 801 | 713 | 728 | 880 | 876 | 845 | 842 | 911 |
| Trading book | 195 | 2,437 | 3,231 | 2,074 | 2,286 | 2,470 | 3,449 | 3,085 | 3,142 | 2,943 |
| Securitization | 164 | 2,046 | 2,096 | 1,887 | 2,008 | 2,276 | 2,482 | 2,830 | 2,996 | 3,047 |
| Adjustment for scaling factor | 463 | 5,782 | 5,723 | 5,456 | 5,355 | 5,219 | 5,460 | 5,449 | 5,244 | 4,818 |
| **Subtotal** | **8,188** | **101,306** | **96,677** | **94,896** | **92,639** | **96,885** | **96,677** | **93,115** | **85,113** |
| **Other credit RWA** | 954 | 11,923 | 11,883 | 14,940 | 14,735 | 12,903 | 12,503 | 12,030 | 11,921 | 11,282 |
| **Total credit risk (before adjustment for CVA phase-in) $^{4}$** | **9,701** | **121,240** | **120,825** | **118,492** | **116,606** | **112,650** | **115,932** | **115,101** | **112,215** | **103,704** |
| **Market risk (Internal Models and IRB Approach)** | | | | | | | | | | |
| Value-at-risk (VaR) | 72 | 896 | 813 | 678 | 656 | 726 | 728 | 696 | 685 | 793 |
| Stressed VaR | 206 | 2,581 | 2,051 | 1,759 | 1,766 | 1,902 | 1,669 | 876 | 1,365 | 1,624 |
| Incremental risk charge | 169 | 2,111 | 1,765 | 1,582 | 1,595 | 1,490 | 1,723 | 1,854 | 1,326 | 1,055 |
| Securitization | 2 | 20 | 124 | 27 | 94 | 30 | 50 | 34 | 20 | 22 |
| **Total market risk** | **449** | **5,608** | **4,753** | **4,046** | **4,111** | **4,148** | **4,170** | **3,460** | **3,396** | **3,494** |
| **Operational risk (Advanced Measurement Approach)** | 1,446 | 18,073 | 18,303 | 17,320 | 17,389 | 17,115 | 17,787 | 18,186 | 18,383 | 18,740 |
| **Total RWA before adjustment for CVA phase-in** | **11,596** | **144,921** | **143,881** | **139,858** | **138,106** | **133,913** | **137,889** | **136,747** | **133,994** | **125,938** |
| **CVA adjustment $^{4}$** | | | | | | | | | | |
| CET1 RWA | 162 | 2,030 | 2,673 | 1,392 | 1,814 | 1,970 | 2,616 | n/a | n/a | n/a |
| Tier 1 RWA | 180 | 2,252 | 2,966 | 1,588 | 2,068 | 1,970 | 2,616 | n/a | n/a | n/a |
| Total RWA | 195 | 2,443 | 3,216 | 1,881 | 2,450 | 1,970 | 2,616 | n/a | n/a | n/a |
| **Total RWA after adjustment for CVA phase-in $^{4}$** | | | | | | | | | | |
| CET1 capital RWA | 11,756 | 146,951 | 146,554 | 141,250 | 139,920 | 135,883 | 140,505 | n/a | n/a | n/a |
| Tier 1 capital RWA | 11,774 | 147,173 | 146,847 | 141,446 | 140,174 | 135,883 | 140,505 | n/a | n/a | n/a |
| Total capital RWA | 11,789 | 147,364 | 147,097 | 141,739 | 140,556 | 135,883 | 140,505 | n/a | n/a | n/a |

$^{1}$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019. Certain deductions from capital are phased in at 20% per year starting 2014. Transitional RWAs differ from RWAs on an all-in basis largely due to the risk weighting of amounts not yet deducted from capital under OSFI's transitional rules.
$^{2}$ Refers to the minimum standard established by the BCBS before the application of the capital conservation buffer and any other capital buffers including but not limited to the capital surcharge for global/domestic systemically important banks that may be established by regulators from time to time. It is calculated by multiplying RWA by 8%.
$^{3}$ Includes residential mortgages insured by Canadian Mortgage and Housing Corporation (CMHC), an agency of the government of Canada, and government guaranteed student loans.
$^{4}$ As a result of the option that CIBC chose for calculating the CVA capital charge, the calculation of CET1, Tier 1 and Total Capital ratios are based on different RWAs beginning in Q3/14. The charge will be phased-in during 2014-2019 and relates to bilateral OTC derivatives included in credit risk RWA.
* Not applicable.

---

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

| | **Credit risk** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Credit risk** | **Of which counterparty credit risk $^{2}$** | **Credit risk** | **Of which counterparty credit risk $^{2}$** | **Credit risk** | **Of which counterparty credit risk $^{2}$** | **Credit risk** | **Of which counterparty credit risk $^{2}$** |
| **Q2/15 vs. Q1/15** | **Q1/15 vs. Q4/14** | **Q4/14 vs. Q3/14** | **Q3/14 vs. Q2/14** |
| Balance at beginning of period | 123,498 | 7,871 | 119,884 | 5,068 | 118,420 | 5,613 | 114,620 | 5,779 |
| Book size $^{3}$ | 2,004 | (812) | (1,433) | 1,156 | 881 | (83) | 1,818 | (59) |
| Book quality $^{4}$ | 800 | 155 | (257) | 114 | (296) | (141) | (580) | 40 |
| Model updates $^{5}$ | 417 | - | 292 | 292 | - | - | 1,879 | 88 |
| Methodology and policy $^{6}$ | - | - | - | - | 1,078 | - | - | - |
| Acquisitions and disposals | (1,990) | (118) | 3,688 | 255 | 830 | 34 | (255) | (17) |
| Foreign exchange movements | (1,042) | (631) | 907 | 986 | (1,029) | (355) | 938 | (218) |
| Other | 123,270 | 6,465 | 123,498 | 7,871 | 119,884 | 5,068 | 118,420 | 5,613 |
| **Balance at end of period** | | | | | | | | | |
| **Market risk** | | | | | | | | | |
| Balance at beginning of period | 4,753 | - | 4,046 | - | 4,111 | - | 4,148 | - |
| Movement in risk levels $^{8}$ | 737 | - | 1,112 | - | 9 | - | (15) | - |
| Model updates | - | - | - | - | - | - | - | - |
| Methodology and policy | 6 | - | - | - | - | - | - | - |
| Acquisitions and disposals | 118 | (405) | (74) | - | - | - | - |
| Foreign exchange movements | - | - | - | - | - | - | - | - |
| Other | 5,608 | 4,753 | 4,046 | 4,111 | | | | |
| **Balance at end of period** | | | | | | | | | |
| **Operational risk** | **Q2/15 vs. Q1/15** | **Q1/15 vs. Q4/14** | **Q4/14 vs. Q3/14** | **Q3/14 vs. Q2/14** |
| Balance at beginning of period | 18,303 | 17,320 | 17,389 | 17,115 |
| Movement in risk levels $^{9}$ | (230) | 983 | (69) | 274 |
| Methodology and policy | - | - | - | - |
| Acquisitions and disposals | - | - | - | - |
| **Balance at end of period** | 18,073 | 18,303 | 17,320 | 17,389 |

$^{1}$ All-in is defined by OSFI as capital calculated to include all of the regulatory adjustments that will be required by 2019, but retaining the phase-out rules for non-qualifying capital instruments.
$^{2}$ Comprises derivatives and repo-style transactions.
$^{3}$ Relates to net increase/decrease in the underlying exposures.
$^{4}$ Relates to changes in credit risk mitigation and credit quality of the borrower/counterparty.
$^{5}$ Relates to internal model or parameter changes.
$^{6}$ Relates to regulatory changes implemented on an industry wide basis (i.e. Basel III) and any capital methodology changes implemented within CIBC for our portfolios.
$^{7}$ Includes $2,030 million (Q1/15: $2,673 million) of CET1 CVA RWAs relating to bilateral OTC derivatives.
$^{8}$ Relates to changes in open positions and market data.
$^{9}$ Relates to changes in loss experience, business environment and internal control factors.

---

# CREDIT EXPOSURE (EXPOSURE AT DEFAULT)

($ millions)

| | **Business and government portfolios** | | **Retail portfolios** | |
| :--- | :---: | :---: | :---: | :---: |
| | **AIRB approach** | **Standardized approach** | **AIRB approach** | **Standardized approach** |
| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| **Corporate** | | | | | | | | | | | | | | | | | |
| Drawn | 58,330 | 3,058 | 57,802 | 3,322 | 54,242 | 3,166 | 52,424 | 3,094 | 52,153 | 3,013 | 52,884 | 3,115 | 50,634 | 3,336 | 50,182 | 3,385 |
| Undrawn commitments | 35,665 | 130 | 35,039 | 406 | 34,197 | 340 | 32,758 | 319 | 31,383 | 287 | 32,515 | 414 | 29,742 | 350 | 29,423 | 181 |
| Repo-style transactions | 34,404 | 14 | 29,591 | 36 | 29,487 | 18 | 25,075 | 12 | 22,995 | 10 | 23,143 | 10 | 23,778 | 7 | 26,559 | 115 |
| Other off-balance sheet | 14,315 | 331 | 11,931 | 337 | 8,335 | 213 | 9,580 | 197 | 11,248 | 216 | 10,832 | 194 | 9,600 | 131 | 9,526 | 98 |
| OTC derivatives | 7,002 | - | 9,235 | - | 5,061 | - | 5,448 | - | 5,727 | - | 6,535 | - | 4,037 | - | 4,315 | - |
| **Total** | **149,716** | **3,533** | **143,598** | **4,101** | **131,322** | **3,737** | **125,285** | **3,622** | **123,506** | **3,526** | **125,909** | **3,733** | **117,791** | **3,824** | **120,005** | **3,779** |
| **Sovereign** | | | | | | | | | | | | | | | | | |
| Drawn | 22,705 | 4,720 | 22,606 | 4,931 | 20,472 | 4,067 | 24,718 | 4,027 | 24,274 | 3,985 | 18,221 | 3,671 | 20,848 | 3,051 | 21,775 | 3,010 |
| Undrawn commitments | 5,018 | - | 4,868 | - | 5,019 | - | 5,300 | - | 5,411 | - | 4,868 | - | 5,096 | - | 4,969 | - |
| Repo-style transactions | 9,830 | - | 6,416 | - | 8,041 | - | 5,556 | - | 5,391 | - | 4,613 | - | 5,766 | - | 4,185 | - |
| Other off-balance sheet | 582 | - | 561 | - | 443 | - | 445 | - | 419 | - | 296 | - | 311 | - | 590 | - |
| OTC derivatives | 2,370 | - | 4,049 | - | 2,167 | - | 1,927 | - | 2,033 | - | 3,441 | - | 2,254 | - | 2,532 | - |
| **Total** | **40,505** | **4,720** | **38,500** | **4,931** | **36,142** | **4,067** | **37,946** | **4,027** | **37,528** | **3,985** | **31,439** | **3,671** | **34,275** | **3,051** | **34,051** | **3,011** |
| **Banks** | | | | | | | | | | | | | | | | | |
| Drawn | 11,325 | 1,172 | 10,150 | 1,171 | 9,779 | 1,156 | 10,424 | 1,214 | 9,399 | 1,280 | 12,605 | 1,076 | 12,534 | 999 | 10,493 | 957 |
| Undrawn commitments | 976 | - | 976 | - | 939 | - | 741 | - | 861 | - | 921 | - | 882 | - | 813 | - |
| Repo-style transactions | 34,698 | 2 | 34,055 | 2 | 32,174 | 5 | 32,171 | 6 | 30,065 | 6 | 31,105 | - | 28,431 | - | 20,041 | - |
| Other off-balance sheet | 68,572 | - | 66,980 | - | 59,826 | - | 57,413 | - | 57,910 | - | 52,752 | - | 41,974 | - | 48,327 | - |
| OTC derivatives | 5,137 | - | 7,219 | 32 | 5,398 | 22 | 4,945 | 21 | 5,395 | 9 | 6,777 | 13 | 6,964 | 6 | 6,879 | 7 |
| **Total** | **120,708** | **1,184** | **119,380** | **1,205** | **108,116** | **1,183** | **105,694** | **1,241** | **103,630** | **1,295** | **104,160** | **1,089** | **90,785** | **1,005** | **86,553** | **964** |
| **Gross business and government portfolios** | **310,929** | **9,437** | **301,478** | **10,237** | **275,580** | **8,987** | **268,925** | **8,890** | **264,664** | **8,806** | **261,508** | **8,493** | **242,851** | **7,880** | **240,609** | **7,754** |
| Less: Repo-style transaction collateral | - | - | - | - | - | - | - | - | - | - | - | - | (69,730) | - | (62,203) | - |
| **Net business and government portfolios** | **241,199** | **9,437** | **239,275** | **10,237** | **211,862** | **8,987** | **213,041** | **8,890** | **211,444** | **8,806** | **210,964** | **8,493** | **191,238** | **7,880** | **199,251** | **7,754** |
| **Retail portfolios** | | | | | | | | | | | | | | | | | |
| **Real estate secured personal lending** | | | | | | | | | | | | | | | | | |
| Drawn | 175,255 | 2,419 | 173,451 | 2,561 | 171,841 | 2,289 | 169,327 | 2,225 | 166,772 | 2,265 | 165,760 | 2,328 | 165,295 | 2,193 | 164,569 | 2,184 |
| Undrawn commitments | 22,907 | - | 21,429 | - | 21,699 | - | 21,938 | - | 21,138 | - | 19,648 | - | 19,884 | - | 20,386 | - |
| **Total** | **198,162** | **2,419** | **194,880** | **2,561** | **193,540** | **2,289** | **191,265** | **2,225** | **187,910** | **2,265** | **185,408** | **2,328** | **185,179** | **2,193** | **184,955** | **2,184** |
| **Qualifying revolving retail** | | | | | | | | | | | | | | | | | |
| Drawn | 19,726 | - | 19,519 | - | 19,557 | - | 19,332 | - | 19,138 | - | 22,749 | - | 21,355 | - |
| Undrawn commitments | 46,662 | - | 46,277 | - | 44,849 | - | 41,223 | - | 41,344 | - | 41,198 | - | 44,415 | - | 40,641 | - |
| Other off-balance sheet | 284 | - | 249 | - | 275 | - | 267 | - | 259 | - | 248 | - | 386 | - | 347 | - |
| **Total** | **66,672** | - | **66,045** | - | **64,681** | - | **60,822** | - | **60,741** | - | **60,455** | - | **67,550** | - | **62,343** | - |
| **Other retail** | | | | | | | | | | | | | | | | | |
| Drawn | 9,184 | 731 | 8,890 | 778 | 8,808 | 697 | 8,691 | 707 | 8,534 | 716 | 8,298 | 749 | 7,752 | 705 | 7,801 | 1,959 |
| Undrawn commitments | 1,588 | 24 | 1,588 | 25 | 1,537 | 44 | 1,497 | 21 | 1,483 | 21 | 1,473 | 22 | 1,125 | 20 | 1,121 | 20 |
| Other off-balance sheet | 37 | - | 44 | - | 31 | - | 32 | - | 31 | - | 31 | - | 30 | - | 18 | - |
| **Total** | **10,809** | **755** | **10,522** | **803** | **10,376** | **741** | **10,220** | **728** | **10,048** | **737** | **9,802** | **771** | **8,908** | **725** | **8,952** | **1,997** |
| **Total retail portfolios** | **275,643** | **3,174** | **271,447** | **3,364** | **268,597** | **3,030** | **262,307** | **2,953** | **258,699** | **3,002** | **255,665** | **3,099** | **261,637** | **2,918** | **256,250** | **4,181** |
| **Securitization exposures** | 14,968 | 15,531 | 14,990 | 15,084 | 15,195 | 16,303 | 16,799 | 17,719 | | | | | | | | |
| **Gross credit exposure** | **601,540** | **12,611** | **588,456** | **13,601** | **559,167** | **12,017** | **546,316** | **11,843** | **538,558** | **11,808** | **533,476** | **11,592** | **521,287** | **10,798** | **514,578** | **11,935** |
| Less: Repo-style transaction collateral | - | - | - | - | - | - | - | - | - | - | - | - | (69,730) | - | (62,203) | - |
| **Net credit exposure** | **531,810** | **12,611** | **526,253** | **13,601** | **495,449** | **12,017** | **490,432** | **11,843** | **485,338** | **11,808** | **482,932** | **11,592** | **469,674** | **10,798** | **473,220** | **11,935** |

---

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

($ millions)

| | **Business and government** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| **Canada** | | | | | | | | | |
| Drawn | 55,082 | 57,669 | 54,544 | 51,290 | 51,466 | 54,784 | 56,988 | 54,452 | 55,782 |
| Undrawn commitments | 30,930 | 30,171 | 30,552 | 29,759 | 29,043 | 29,050 | 28,389 | 27,832 | 27,167 |
| Repo-style transactions | 4,823 | 4,053 | 2,671 | 3,222 | 3,031 | 4,056 | 3,826 | 7,857 | 7,732 |
| Other off-balance sheet | 55,576 | 56,712 | 48,962 | 50,162 | 48,812 | 49,981 | 39,597 | 45,091 | 46,082 |
| OTC derivatives | 8,030 | 12,778 | 6,589 | 6,257 | 7,062 | 9,405 | 6,338 | 6,609 | 6,703 |
| **Total** | **154,441** | **161,383** | **143,318** | **140,690** | **139,414** | **147,276** | **135,138** | **141,841** | **143,466** |
| **United States** | | | | | | | | | |
| Drawn | 28,392 | 24,773 | 22,699 | 27,106 | 25,749 | 19,739 | 18,479 | 19,765 | 17,539 |
| Undrawn commitments | 7,633 | 7,969 | 6,875 | 6,402 | 6,020 | 6,484 | 5,732 | 5,603 | 5,269 |
| Repo-style transactions | 3,614 | 3,244 | 2,910 | 3,275 | 1,810 | 3,636 | 1,879 | 1,043 | 1,157 |
| Other off-balance sheet | 20,028 | 15,957 | 15,698 | 13,192 | 14,933 | 9,980 | 8,528 | 9,543 | 10,331 |
| OTC derivatives | 2,271 | 1,907 | 1,670 | 1,718 | 1,851 | 2,163 | 2,050 | 2,153 | 2,202 |
| **Total** | **61,938** | **53,850** | **49,852** | **51,693** | **50,363** | **42,002** | **36,668** | **38,107** | **36,498** |
| **Europe** | | | | | | | | | |
| Drawn | 3,799 | 2,985 | 2,707 | 3,513 | 3,419 | 3,839 | 3,706 | 3,398 | 3,260 |
| Undrawn commitments | 2,066 | 1,595 | 1,708 | 1,715 | 1,578 | 1,684 | 1,003 | 1,127 | 857 |
| Repo-style transactions | 575 | 473 | 270 | 246 | 248 | 416 | 271 | 383 | 424 |
| Other off-balance sheet | 7,291 | 6,510 | 3,420 | 3,575 | 5,305 | 3,673 | 3,642 | 3,700 | 4,831 |
| OTC derivatives | 3,030 | 4,416 | 3,111 | 3,100 | 3,251 | 4,028 | 4,027 | 4,051 | 4,720 |
| **Total** | **16,761** | **15,979** | **11,216** | **12,149** | **13,801** | **13,640** | **12,649** | **12,659** | **14,092** |
| **Other countries** | | | | | | | | | |
| Drawn | 5,087 | 5,131 | 4,543 | 5,657 | 5,192 | 5,348 | 4,843 | 4,835 | 4,248 |
| Undrawn commitments | 1,030 | 1,148 | 1,020 | 923 | 1,014 | 1,086 | 596 | 643 | 599 |
| Repo-style transactions | 190 | 89 | 133 | 175 | 142 | 209 | 386 | 144 | 202 |
| Other off-balance sheet | 574 | 293 | 524 | 509 | 527 | 246 | 118 | 109 | 274 |
| OTC derivatives | 1,178 | 1,402 | 1,256 | 1,245 | 991 | 1,157 | 840 | 913 | 867 |
| **Total** | **8,059** | **8,063** | **7,476** | **8,509** | **7,866** | **8,046** | **6,783** | **6,644** | **6,190** |
| **Total business and government** | **241,199** | **239,275** | **211,862** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** |

---

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

($ millions)

| | **Business and government portfolios** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| **Corporate** | | | | | | | | | |
| Less than 1 year $^{2}$ | 45,367 | 42,823 | 34,654 | 34,984 | 35,925 | 37,341 | 33,807 | 37,113 | 40,520 |
| 1 - 3 years | 36,976 | 37,537 | 35,826 | 35,931 | 35,700 | 36,914 | 33,689 | 33,171 | 29,785 |
| 3 - 5 years | 35,217 | 34,690 | 31,806 | 30,489 | 29,815 | 30,871 | 28,844 | 29,233 | 28,292 |
| Over 5 years | 989 | 1,226 | 936 | 816 | 963 | 517 | 487 | 394 | 531 |
| **Sovereign** | 118,549 | 116,276 | 103,222 | 102,220 | 102,403 | 105,643 | 96,827 | 99,911 | 99,128 |
| Less than 1 year $^{2}$ | 18,566 | 15,757 | 13,997 | 12,854 | 12,525 | 7,284 | 6,213 | 6,745 | 6,463 |
| 1 - 3 years | 6,692 | 7,430 | 5,959 | 11,415 | 11,060 | 8,716 | 8,807 | 11,794 | 10,541 |
| 3 - 5 years | 5,435 | 8,834 | 7,935 | 7,774 | 8,230 | 10,173 | 13,107 | 11,200 | 12,132 |
| Over 5 years | 673 | 803 | 719 | 662 | 692 | 1,145 | 902 | 945 | 1,278 |
| **Banks** | 31,366 | 32,824 | 28,610 | 32,705 | 32,507 | 27,318 | 29,029 | 30,684 | 30,414 |
| Less than 1 year $^{2}$ | 78,454 | 77,851 | 69,453 | 65,693 | 63,890 | 59,399 | 47,063 | 52,718 | 53,226 |
| 1 - 3 years | 9,430 | 8,611 | 6,992 | 8,882 | 9,517 | 11,422 | 10,581 | 10,786 | 11,550 |
| 3 - 5 years | 1,940 | 2,028 | 2,109 | 2,385 | 1,831 | 5,063 | 5,524 | 3,642 | 3,998 |
| Over 5 years | 1,460 | 1,685 | 1,476 | 1,156 | 1,296 | 2,119 | 2,214 | 1,510 | 1,930 |
| **Total business and government portfolios** | **91,284** | **90,175** | **80,030** | **78,116** | **76,534** | **78,003** | **65,382** | **68,656** | **70,704** |
| **Total business and government portfolios** | **241,199** | **239,275** | **211,862** | **213,041** | **211,444** | **210,964** | **191,238** | **199,251** | **200,246** |
| **Retail portfolios** | | | | | | | | | |
| **Real estate and secured personal lending** | | | | | | | | | |
| Less than 1 year $^{2}$ | 78,995 | 71,987 | 69,029 | 67,124 | 63,641 | 60,748 | 61,172 | 63,501 | 64,097 |
| 1 - 3 years | 57,629 | 63,986 | 68,559 | 70,539 | 73,005 | 75,075 | 75,414 | 73,260 | 69,973 |
| 3 - 5 years | 60,341 | 57,612 | 54,480 | 51,933 | 49,175 | 47,077 | 45,981 | 47,059 | 45,059 |
| Over 5 years | 1,197 | 1,295 | 1,472 | 1,669 | 2,089 | 2,508 | 2,612 | 2,508 | 2,463 |
| **Qualifying revolving retail** | 194,880 | 193,540 | 191,265 | 187,910 | 185,408 | 185,179 | 184,955 | 183,592 |
| Less than 1 year | 66,672 | 66,045 | 64,681 | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 |
| **Other retail** | 66,672 | 66,045 | 64,681 | 60,822 | 60,741 | 60,455 | 67,550 | 62,343 | 61,879 |
| Less than 1 year $^{2}$ | 10,344 | 10,096 | 9,933 | 9,778 | 9,575 | 9,305 | 8,492 | 8,506 | 8,530 |
| 1 - 3 years | 301 | 261 | 278 | 280 | 315 | 337 | 327 | 355 | 382 |
| 3 - 5 years | 109 | 109 | 108 | 104 | 100 | 101 | 46 | 46 | 47 |
| Over 5 years | 55 | 56 | 57 | 58 | 58 | 59 | 43 | 45 | 45 |
| **Total retail portfolios** | **10,809** | **10,522** | **10,376** | **10,220** | **10,048** | **9,802** | **8,908** | **8,952** | **9,004** |
| **Total credit exposure** | **275,643** | **271,447** | **268,597** | **262,307** | **258,699** | **255,665** | **261,637** | **256,250** | **254,475** |
| **Total credit exposure** | **516,842** | **510,722** | **480,459** | **475,348** | **470,143** | **466,629** | **452,875** | **455,501** | **454,721** |

---

# CREDIT EXPOSURE (EXPOSURE AT DEFAULT UNDER THE STANDARDIZED APPROACH)

Risk-weight category
($ millions)

| | **0%** | **20%** | **35%** | **50%** | **75%** | **100%** | **150%** | **Total** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| **Q2/15** | | | | | | | | |
| Corporate | - | 1 | - | 156 | - | 3,483 | 49 | 3,533 |
| Sovereign | 3,832 | 190 | - | 156 | - | 499 | 43 | 4,720 |
| Banks | - | 1,067 | - | 93 | - | 24 | - | 1,184 |
| Real estate secured personal lending | - | - | - | - | 2,068 | - | 351 | 2,419 |
| Other retail | - | - | - | - | 680 | - | 75 | 755 |
| **Total** | **3,832** | **1,258** | **249** | **2,748** | **4,006** | **518** | **12,611** |
| **Q1/15** | 4,194 | 1,206 | 211 | 2,893 | 4,524 | 573 | 13,601 |
| **Q4/14** | 3,463 | 1,123 | 218 | 2,629 | 4,140 | 444 | 12,017 |
| **Q3/14** | 3,058 | 1,299 | 190 | 2,566 | 4,337 | 393 | 11,843 |
| **Q2/14** | 3,060 | 790 | - | 687 | 2,611 | 4,259 | 401 | 11,808 |
| **Q1/14** | 2,739 | 992 | 857 | 487 | 2,117 | 4,379 | 21 | 11,592 |
| **Q4/13** | 2,532 | 962 | 115 | 394 | 2,686 | 4,090 | 19 | 10,798 |
| **Q3/13** | 2,246 | 1,001 | - | 392 | 4,061 | 4,225 | 10 | 11,935 |
| **Q2/13** | 2,124 | 881 | 309 | 4,066 | 4,234 | 10 | 11,624 |

---

# EXPOSURE COVERED BY GUARANTEES AND CREDIT DERIVATIVES $^{1}$

($ millions)

| | **Q2/15** | | | **Q1/15** | | | **Q4/14** | | | **Q3/14** | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | |
| | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** |
| **Corporate** | 7,766 | 4,221 | 3 | 6,639 | 946 | 2,986 | 6,242 | 851 | 70 | 5,245 | 889 | 66 |
| **Sovereign** | 4,118 | 857 | - | 6,613 | - | - | 5,097 | - | - | 5,587 | 5 |
| **Banks** | 1,100 | 45,290 | 10 | 969 | 31,224 | - | 1,123 | 1,812 | - | 884 | 1,489 |
| **Real estate secured personal lending** | 1,366 | 102,696 | 26 | 1,377 | 103,216 | - | 1,063 | 101,287 | - | 1,081 | - | - |
| **Other retail** | - | - | - | 29 | - | - | 32 | - | - | 35 | - |
| **Total** | **9,145** | **108,797** | **49,511** | **8,019** | **111,773** | **34,210** | **7,309** | **108,390** | **1,682** | **6,331** | **110,154** | **1,555** |
| ($ millions) | **Q2/14** | | | **Q1/14** | | | **Q4/13** | | | **Q3/13** | | |
| | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | | **Provider of guarantees/ credit derivatives** | | |
| | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** | **Corporate** | **Sovereign** | **Bank** |
| **Corporate** | 5,420 | 1,155 | 55 | 4,765 | 1,381 | 69 | 2,180 | 1,260 | 2,267 | 2,142 | 2,321 | 1,944 |
| **Sovereign** | 5,540 | 941 | - | 7,169 | - | 3,338 | - | 8,098 | - | 7,468 | 9 | - |
| **Banks** | 30 | 941 | 2,771 | 30 | 1,566 | 3,338 | - | 1,878 | 793 | 9 | 447 | 1,052 |
| **Real estate secured personal lending** | 757 | 102,135 | - | 628 | 100,735 | - | 641 | 102,049 | - | 670 | 102,822 | - |
| **Other retail** | - | 37 | - | - | 39 | - | 45 | - | - | 47 | - |
| **Total** | **6,211** | **109,808** | **2,826** | **5,432** | **110,890** | **3,407** | **2,821** | **113,330** | **3,060** | **2,821** | **113,105** | **2,996** |

---

# EXPOSURE SECURITIZED AS ORIGINATOR

($ millions)

| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | :---: | :---: | :---: |
| **Commercial mortgages** | | | | | | | | | |
| **Securitized** | | | | | | | | | |
| Sold | 230 | 233 | 245 | 252 | 254 | 257 | 259 | 269 | 282 |
| Impaired and other past due loans $^{2}$ | 230 | 233 | 245 | 252 | 254 | 257 | 259 | 269 | 282 |
| Net write-offs for the period | - | - | - | - | - | - | - | - | - |

---

# BANK SPONSORED MULTI-SELLER CONDUITS EXPOSURE

($ millions)

| | **Q2/15** | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| :--- | ---: | ---: | ---: | ---: | ---: | ---: | :---: | :---: | :---: |
| **Asset amount** | | | | | | | | | |
| Auto and fleet leases | 743 | 698 | 535 | 553 | 289 | 290 | 286 | 282 | 268 |
| Auto loans | 560 | 631 | 708 | 788 | 381 | 426 | 471 | 521 | 569 |
| Franchise loans | 373 | 356 | 361 | 350 | 354 | 346 | 384 | 393 | 384 |
| Credit cards | 710 | 710 | 535 | 675 | 675 | 675 | 675 | 975 | 975 |
| Equipment leases/loans | 628 | 576 | 437 | 332 | 264 | 202 | 211 | 235 | 226 |
| Trade receivables | - | 78 | 22 | - | - | - | - | - | - |
| Dealer floorplan | 125 | 60 | 60 | 60 | 95 | 95 | 100 | 200 | 200 |
| **Total** | **3,139** | **3,109** | **2,658** | **2,758** | **2,058** | **2,034** | **2,127** | **2,606** | **2,622** |
| Impaired and other past due loans $^{1}$ | 18 | 21 | 20 | 20 | 20 | 17 | 17 | 14 | 16 |

---

# TOTAL SECURITIZATION EXPOSURES (IRB APPROACH)

| | **Q2/15** | | | | **Q1/15** | **Q4/14** | **Q3/14** | **Q2/14** | **Q1/14** | **Q4/13** | **Q3/13** | **Q2/13** |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Investment and loans** | **Undrawn liquidity and credit facilities** | **Written credit derivatives** | **Total exposure** | **Of which Total resecuritization exposure $^{2}$** | | | | | | | |
| **Non-Trading** | | | | | | | | | | | | |
| Third party securitized assets $^{3}$ | 422 | 4,671 | 24 | 5,117 | 26 | 5,103 | 4,312 | 4,465 | 3,622 | 3,813 | 3,978 | 4,284 | 4,345 |
| CIBC sponsored conduits and structured vehicles | 3,539 | 794 | 5,518 | 9,851 | 1,488 | 10,428 | 10,678 | 10,619 | 11,573 | 12,490 | 12,821 | 13,434 | 14,029 |
| Third party structured vehicles | 252 | - | - | 252 | 377 | 378 | 432 | 402 | 413 | 302 | 271 | 286 |
| **Trading $^{4}$** | | | | | | | | | | | | |
| **Total EAD** | **4,213** | **5,465** | **5,542** | **15,220** | **1,514** | **15,908** | **15,368** | **15,516** | **15,597** | **16,716** | **17,101** | **17,989** | **18,660** |

---

# SECURITIZATION EXPOSURES - RISK WEIGHTED ASSETS AND CAPITAL CHARGES (IRB APPROACH)

($ millions)

| | **EAD** | **RWA** | **Capital charge** | | **EAD** | **RWA** | **Capital charge** |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** |
| **Q2/15** | | | | | | **Q1/15** | | | | | | |
| **Trading** | | | | | | | | | | | | |
| Ratings based approach | 252 | - | 19 | - | 2 | - | 369 | - | 29 | - | 2 | - |
| AAA to BBB- | - | - | - | - | - | - | - | - | - | - | - | - |
| Unrated exposure | 252 | - | 19 | - | 2 | - | 377 | - | 95 | - | 10 | - |
| **Total trading** | **252** | **-** | **19** | **-** | **2** | **-** | **369** | **-** | **124** | **-** | **12** | **-** |
| **Non-trading** | | | | | | | | | | | | |
| Ratings based approach | 3,531 | 989 | 260 | 467 | 21 | 37 | 3,838 | 1,130 | 282 | 522 | 22 | 42 |
| AAA to BBB- | 12 | - | 151 | - | - | 13 | 159 | - | 13 | - |
| BB+ to BB- | - | - | - | - | - | - | - | - | - | - | - | - |
| Rated below BB- | 3,543 | 989 | 411 | 467 | 33 | 37 | 3,851 | 1,130 | 441 | 522 | 35 | 42 |
| Internal assessment approach | 4,033 | - | 282 | - | 23 | - | 4,260 | - | 298 | - | 24 | - |
| AAA to BBB- | - | - | - | - | - | - | - | - | - | - | - | - |
| BB+ to BB- | 4,033 | - | 282 | - | 23 | - | 4,260 | - | 298 | - | 24 | - |
| Supervisory formula approach | 5,864 | 65 | 566 | 280 | 45 | 22 | 5,704 | 70 | 488 | 305 | 39 | 24 |
| Unrated exposure $^{2}$ | 14 | 1 | 32 | 8 | 3 | 1 | 15 | 1 | 34 | 8 | 3 | 1 |
| Deduction from capital | - | - | - | - | - | - | - | - | - | - | - | - |
| Tier 1 and 2 | - | - | - | - | - | - | - | - | - | - | - | - |
| Rated below BB- | - | - | - | - | - | - | - | - | - | - | - | - |
| Unrated exposure | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total non-trading** | **13,454** | **1,055** | **1,291** | **755** | **104** | **60** | **13,830** | **1,201** | **1,261** | **835** | **101** | **67** |
| **Total exposure** | **13,706** | **1,055** | **1,311** | **755** | **106** | **60** | **14,207** | **1,201** | **1,385** | **835** | **111** | **67** |

| | **EAD** | **RWA** | **Capital charge** | | **EAD** | **RWA** | **Capital charge** |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** | **Securitization** | **Resecuritization** |
| **Q4/14** | | | | | | **Q3/14** | | | | | | |
| **Trading** | | | | | | | | | | | | |
| Ratings based approach | 378 | - | 27 | - | 2 | - | 427 | - | 32 | - | 3 | - |
| AAA to BBB- | - | - | - | - | - | - | - | - | - | - | - | - |
| Unrated exposure | 378 | - | 27 | - | 2 | - | 432 | - | 62 | - | 5 | - |
| **Total trading** | **378** | **-** | **27** | **-** | **2** | **-** | **427** | **-** | **94** | **-** | **8** | **-** |
| **Non-trading** | | | | | | | | | | | | |
| Ratings based approach | 4,052 | 1,170 | 302 | 539 | 24 | 43 | 3,546 | 1,682 | 268 | 711 | 22 | 57 |
| AAA to BBB- | 20 | - | 256 | - | 20 | - | 255 | - | 20 | - |
| BB+ to BB- | 4,072 | 1,170 | 558 | 539 | 44 | 43 | 3,566 | 1,682 | 523 | 711 | 42 | 57 |
| Internal assessment approach | 3,798 | - | 266 | - | 21 | - | 3,909 | - | 274 | - | 22 | - |
| AAA to BBB- | - | - | - | - | - | - | - | - | - | - | - | - |
| BB+ to BB- | 3,798 | - | 266 | - | 21 | - | 3,909 | - | 274 | - | 22 | - |
| Supervisory formula approach | 5,411 | 71 | 460 | 19 | 37 | 2 | 5,381 | 68 | 443 | 18 | 35 | 2 |
| Unrated exposure $^{2}$ | 13 | 1 | 32 | 13 | 3 | 1 | 13 | 1 | 141 | 8 | 11 | 1 |
| Deduction from capital | - | - | - | - | - | - | - | - | - | - | - | - |
| Tier 1 and 2 | - | - | - | - | - | - | - | - | - | - | - | - |
| Rated below BB- | - | - | - | - | - | - | - | - | - | - | - | - |
| Unrated exposure | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total non-trading** | **13,294** | **1,242** | **1,316** | **571** | **105** | **46** | **12,869** | **1,751** | **1,265** | **743** | **101** | **60** |
| **Total exposure** | **13,672** | **1,242** | **1,343** | **571** | **107** | **46** | **13,301** | **1,751** | **1,359** | **743** | **109** | **60** |

---

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

| | **Q2/15** | | | | | | **Q1/15** | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Notional of undrawn commitments** | **Exposure average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** |
| **Corporate** | | | | | | | | | | | | |
| Investment grade | 45,367 | 52 | 100.00 | 41 | 243 | 1,096 | 442 | 11 | 63 | 100.00 | 40 | 247 | 1,092 |
| 0.01%-0.15% | - | 12 | - | - | - | - | - | - | - | - | - | - |
| 0.16%-0.40% | 19,281 | 188 | 80 | 0.01 | 5 | 75 | 19,981 | 188 | 80 | 0.01 | 5 | 99 |
| **Non-investment grade** | 118,430 | 52,427 | 68 | 1.17 | 33 | 45,165 | 109,344 | 51,528 | 68 | 1.15 | 34 | 45,089 |
| 0.43%-0.61% | - | - | - | - | - | - | - | - | - | - | - | - |
| 0.62%-1.10% | - | - | - | - | - | - | - | - | - | - | - | - |
| 1.11%-1.93% | - | - | - | - | - | - | - | - | - | - | - | - |
| 1.94%-3.99% | - | - | - | - | - | - | - | - | - | - | - | - |
| 4.00%-7.28% | - | - | - | - | - | - | - | - | - | - | - | - |
| 7.29%-12.12% | - | - | - | - | - | - | - | - | - | - | - | - |
| **Watch list** | - | - | - | - | - | - | - | - | - | - | - | - |
| **Default** | - | - | - | - | - | - | - | - | - | - | - | - |
| **Sovereign** | | | | | | | | | | | | |
| Investment grade | 14,488 | 18 | 80 | 0.01 | 5 | 188 | 1,846 | 200 | 80 | 0.01 | 5 | 102 |
| 0.01%-0.15% | - | - | - | - | - | - | - | - | - | - | - | - |
| 0.16%-0.40% | 4,951 | 835 | 80 | 0.02 | 2 | 5 | 6,151 | 940 | 80 | 0.02 | 5 | 103 |
| 0.41%-0.60% | 2,543 | 1,435 | 79 | 0.03 | 4 | 15 | 2,542 | 302 | 79 | 0.03 | 4 | 101 |
| 0.61%-1.00% | 4,050 | 1,942 | 79 | 0.04 | 4 | 16 | 3,829 | 310 | 78 | 0.04 | 4 | 116 |
| 1.01%-2.00% | 4,277 | 1,613 | 79 | 0.05 | 4 | 21 | 4,599 | 1,018 | 79 | 0.03 | 5 | 131 |
| 2.01%-5.00% | 6,546 | 2,398 | 79 | 0.10 | 6 | 41 | 7,370 | 1,456 | 79 | 0.06 | 6 | 235 |
| 5.01%-10.00% | 4,412 | 744 | 79 | 0.15 | 16 | 113 | 5,153 | 789 | 79 | 0.10 | 8 | 375 |
| 10.01%-99.99% | 4,158 | 1,543 | 79 | 0.23 | 19 | 97 | 4,193 | 349 | 78 | 0.15 | 9 | 594 |
| **Non-investment grade** | 54,544 | 6,162 | 79 | 0.50 | 50 | 33,209 | 6,058 | 79 | 0.50 | 47 | 32,209 |
| 0.43%-0.61% | - | - | - | - | - | - | - | - | - | - | - | - |
| 0.62%-1.10% | - | - | - | - | - | - | - | - | - | - | - | - |
| 1.11%-1.93% | - | - | - | - | - | - | - | - | - | - | - | - |
| 1.94%-3.99% | - | - | - | - | - | - | - | - | - | - | - | - |
| 4.00%-7.28% | - | - | - | - | - | - | - | - | - | - | - | - |
| 7.29%-12.12% | - | - | - | - | - | - | - | - | - | - | - | - |
| **Watch list** | - | - | - | - | - | - | - | - | - | - | - | - |
| **Default** | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total business and government** | **241,199** | **60,440** | **69** | **25** | **60,345** | **239,275** | **59,323** | **69** | **25** | **60,114** |

---

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

| | **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Q2/15** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | 102,834 | - | 0.01 | 5 | 1 | 872 | 1 | 1 |
| Very low | 675 | - | 0.12 | 24 | 17 | 117 | 18 |
| Low | 460 | - | 0.26 | 27 | 31 | 142 | 32 |
| Medium | 94 | - | 0.45 | 22 | 32 | 30 | 34 |
| **Total** | **104,063** | **-** | **0.01** | **5** | **1** | **1,161** | **1** | **1** |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 16,506 | 33,230 | 50 | 0.03 | 15 | 1 | 243 | 1 | 2 |
| Very low | 5,058 | 5,936 | 85 | 0.16 | 23 | 8 | 383 | 2 | 8 |
| Low | 650 | 1,208 | 54 | 0.42 | 16 | 11 | 73 | 12 |
| Medium | 533 | 922 | 58 | 0.53 | 17 | 14 | 72 | 36 |
| High | 55 | 55 | 100 | 1.00 | 26 | 33 | 18 | 36 |
| Default | 99 | 179 | 55 | 2.94 | 17 | 41 | 40 | 47 |
| **Total** | **104,063** | - | 0.01 | 5 | 1 | 1,161 | 1 | 1 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 22,907 | 41,540 | 55 | 0.10 | 17 | 4 | 835 | 3 | 4 |
| Very low | 22,308 | n/a | n/a | 0.05 | 18 | 2 | 545 | 2 | 3 |
| Low | 23,263 | n/a | n/a | 0.14 | 21 | 6 | 1,430 | 6 | 7 |
| Medium | 662 | n/a | n/a | 0.28 | 16 | 8 | 55 | 9 |
| High | 5,553 | n/a | n/a | 0.40 | 24 | 16 | 871 | 5 | 17 |
| Default | 71,192 | n/a | n/a | 0.75 | 20 | 12 | 8,862 | 104 | 14 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 29,006 | 32,843 | 82 | 0.04 | 90 | 3 | 776 | 11 | 3 |
| Very low | 7,018 | 7,009 | 76 | 0.16 | 93 | 8 | 582 | 10 | 10 |
| Low | 1,230 | 1,353 | 96 | 0.26 | 86 | 11 | 147 | 3 | 14 |
| Medium | 4,422 | 4,290 | 61 | 0.36 | 77 | 13 | 574 | 12 | 17 |
| High | 9,033 | 7,071 | 68 | 0.70 | 88 | 25 | 2,276 | 55 | 33 |
| Default | 66,672 | 60,282 | 78 | 1.16 | 89 | 24 | 15,840 | 675 | 36 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 1,107 | 1,719 | 51 | 0.07 | 73 | 13 | 145 | 1 | 14 |
| Very low | 418 | 48 | 53 | 0.15 | 72 | 24 | 96 | 25 |
| Low | 240 | 15 | 93 | 0.27 | 75 | 37 | 89 | 40 |
| Medium | 943 | 333 | 48 | 0.45 | 75 | 51 | 450 | 3 | 55 |
| High | 1,594 | 629 | 41 | 0.65 | 82 | 67 | 1,070 | 9 | 74 |
| Default | 10,809 | 3,236 | 49 | 2.89 | 63 | 62 | 6,740 | 196 | 85 |
| **Total retail portfolios** | **275,643** | **105,058** | **68** | **0.60** | **32** | **12** | **33,438** | **979** | **17** |

---

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

| | **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Q1/15** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | 103,355 | - | 0.01 | 5 | 1 | 876 | 1 | 1 |
| Very low | 676 | - | 0.12 | 24 | 17 | 117 | 18 |
| Low | 465 | - | 0.26 | 27 | 31 | 143 | 32 |
| Medium | 96 | - | 0.45 | 22 | 32 | 30 | 33 |
| **Total** | **104,592** | **-** | **0.01** | **5** | **1** | **1,166** | **1** | **1** |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 16,302 | 32,789 | 50 | 0.03 | 15 | 1 | 240 | 1 | 2 |
| Very low | 3,832 | 4,718 | 81 | 0.16 | 22 | 7 | 284 | 1 | 8 |
| Low | 665 | 1,233 | 54 | 0.42 | 16 | 11 | 74 | 12 |
| Medium | 483 | 823 | 59 | 0.53 | 17 | 14 | 66 | 36 |
| High | 57 | 57 | 100 | 1.00 | 26 | 33 | 19 | 36 |
| Default | 85 | 157 | 54 | 2.95 | 17 | 42 | 35 | 48 |
| **Total** | **104,592** | - | 0.01 | 5 | 1 | 1,166 | 1 | 1 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 21,429 | 39,785 | 54 | 0.10 | 16 | 3 | 723 | 2 | 4 |
| Very low | 22,226 | n/a | n/a | 0.05 | 18 | 2 | 542 | 2 | 3 |
| Low | 22,900 | n/a | n/a | 0.14 | 21 | 6 | 1,410 | 6 | 7 |
| Medium | 714 | n/a | n/a | 0.28 | 16 | 8 | 55 | 9 |
| High | 5,339 | n/a | n/a | 0.40 | 24 | 16 | 841 | 5 | 17 |
| Default | 68,859 | n/a | n/a | 0.72 | 20 | 12 | 8,325 | 98 | 14 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 28,594 | 32,231 | 82 | 0.04 | 90 | 3 | 754 | 11 | 3 |
| Very low | 7,292 | 7,357 | 76 | 0.16 | 93 | 8 | 594 | 11 | 10 |
| Low | 1,230 | 1,282 | 96 | 0.26 | 86 | 11 | 139 | 3 | 14 |
| Medium | 4,352 | 4,226 | 61 | 0.36 | 77 | 13 | 574 | 12 | 17 |
| High | 8,897 | 6,900 | 68 | 0.70 | 88 | 25 | 2,240 | 54 | 33 |
| Default | 66,045 | 59,416 | 78 | 1.25 | 89 | 24 | 15,764 | 717 | 37 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 1,103 | 1,726 | 50 | 0.06 | 73 | 13 | 144 | 1 | 14 |
| Very low | 399 | 48 | 53 | 0.15 | 72 | 24 | 96 | 25 |
| Low | 226 | 141 | 93 | 0.27 | 75 | 37 | 89 | 40 |
| Medium | 888 | 329 | 49 | 0.45 | 75 | 51 | 450 | 3 | 55 |
| High | 1,594 | 629 | 41 | 0.65 | 82 | 67 | 1,078 | 9 | 74 |
| Default | 10,522 | 3,237 | 49 | 2.91 | 63 | 63 | 6,594 | 195 | 86 |
| **Total retail portfolios** | **268,597** | **100,988** | **68** | **0.66** | **32** | **12** | **32,572** | **1,013** | **17** |

---

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

| | **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Q4/14** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | 101,405 | - | 0.01 | 5 | 1 | 859 | 1 | 1 |
| Very low | 458 | - | 0.13 | 24 | 17 | 80 | 18 |
| Low | 409 | - | 0.26 | 28 | 31 | 128 | 32 |
| Medium | 77 | - | 0.46 | 21 | 31 | 24 | 32 |
| **Total** | **102,349** | **-** | **0.01** | **5** | **1** | **1,091** | **1** | **1** |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 15,847 | 31,830 | 50 | 0.03 | 15 | 1 | 234 | 1 | 2 |
| Very low | 4,528 | 5,407 | 84 | 0.16 | 22 | 8 | 340 | 2 | 8 |
| Low | 673 | 1,245 | 54 | 0.42 | 16 | 11 | 75 | 12 |
| Medium | 508 | 846 | 60 | 0.53 | 17 | 14 | 66 | 36 |
| High | 53 | 53 | 100 | 1.00 | 26 | 33 | 18 | 36 |
| Default | 85 | 157 | 54 | 2.97 | 17 | 41 | 34 | 47 |
| **Total** | **102,349** | - | 0.01 | 5 | 1 | 1,091 | 1 | 1 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 21,700 | 39,548 | 55 | 0.10 | 17 | 4 | 775 | 3 | 4 |
| Very low | 22,078 | n/a | n/a | 0.05 | 18 | 2 | 541 | 2 | 3 |
| Low | 23,164 | n/a | n/a | 0.14 | 21 | 6 | 1,431 | 6 | 7 |
| Medium | 743 | n/a | n/a | 0.28 | 17 | 9 | 62 | 10 |
| High | 5,394 | n/a | n/a | 0.40 | 24 | 16 | 854 | 5 | 17 |
| Default | 69,491 | n/a | n/a | 0.70 | 20 | 12 | 8,478 | 96 | 14 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 28,281 | 32,148 | 82 | 0.04 | 90 | 3 | 750 | 11 | 3 |
| Very low | 6,641 | 6,694 | 76 | 0.16 | 93 | 8 | 552 | 11 | 10 |
| Low | 4,659 | 3,993 | 64 | 0.33 | 86 | 14 | 647 | 13 | 17 |
| Medium | 3,200 | 3,312 | 50 | 0.47 | 78 | 17 | 550 | 12 | 22 |
| High | 6,431 | 4,895 | 63 | 0.77 | 87 | 27 | 1,713 | 42 | 35 |
| Default | 64,681 | 58,336 | 78 | 1.25 | 89 | 24 | 15,455 | 703 | 38 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 1,103 | 1,726 | 50 | 0.06 | 73 | 13 | 145 | 1 | 14 |
| Very low | 399 | 48 | 53 | 0.15 | 72 | 24 | 96 | 25 |
| Low | 226 | 141 | 93 | 0.27 | 75 | 37 | 89 | 40 |
| Medium | 888 | 329 | 49 | 0.45 | 75 | 51 | 450 | 3 | 55 |
| High | 1,594 | 629 | 41 | 0.65 | 82 | 67 | 1,078 | 9 | 74 |
| Default | 10,522 | 3,237 | 49 | 2.91 | 63 | 63 | 6,594 | 195 | 86 |
| **Total retail portfolios** | **268,597** | **100,988** | **68** | **0.66** | **32** | **12** | **32,285** | **1,013** | **17** |

---

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

| | **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Q3/14** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | 102,972 | - | 0.01 | 5 | 1 | 883 | 1 | 1 |
| Very low | 835 | - | 0.12 | 27 | 19 | 159 | 19 |
| Low | 34 | - | 0.26 | 18 | 20 | 7 | 20 |
| Medium | 103,841 | - | 0.01 | 5 | 1 | 1,049 | 1 | 1 |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 15,558 | 31,229 | 50 | 0.03 | 15 | 1 | 230 | 1 | 2 |
| Very low | 4,730 | 5,612 | 84 | 0.14 | 18 | 6 | 272 | 1 | 6 |
| Low | 332 | 332 | 100 | 0.22 | 19 | 8 | 27 | 9 |
| Medium | 683 | 1,256 | 54 | 0.42 | 16 | 11 | 77 | 12 |
| High | 486 | 806 | 60 | 0.53 | 17 | 14 | 66 | 15 |
| Default | 5,012 | 90 | 166 | 54 | 2.94 | 17 | 41 | 37 | 47 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 21,938 | 39,463 | 56 | 0.10 | 16 | 3 | 731 | 2 | 4 |
| Very low | 28,722 | n/a | n/a | 0.07 | 18 | 3 | 882 | 3 | 3 |
| Low | 19,064 | n/a | n/a | 0.16 | 19 | 7 | 1,245 | 6 | 7 |
| Medium | 2,004 | n/a | n/a | 0.42 | 24 | 17 | 336 | 2 | 18 |
| High | 10,187 | n/a | n/a | 0.61 | 19 | 17 | 1,717 | 12 | 18 |
| Default | 65,486 | n/a | n/a | 0.61 | 19 | 10 | 6,512 | 73 | 11 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 24,143 | 29,568 | 75 | 0.05 | 91 | 3 | 689 | 10 | 3 |
| Very low | 8,732 | 9,460 | 76 | 0.16 | 90 | 8 | 685 | 12 | 10 |
| Low | 335 | 398 | 60 | 0.26 | 95 | 13 | 42 | 1 | 16 |
| Medium | 7,306 | 7,756 | 61 | 0.43 | 86 | 17 | 1,229 | 27 | 21 |
| High | 5,054 | 3,919 | 64 | 0.73 | 90 | 27 | 1,361 | 33 | 35 |
| Default | 60,822 | 58,058 | 71 | 1.39 | 90 | 26 | 16,024 | 752 | 42 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 1,021 | 1,721 | 46 | 0.06 | 73 | 13 | 145 | 1 | 14 |
| Very low | 433 | 92 | 81 | 0.14 | 79 | 24 | 106 | 26 |
| Low | 230 | 141 | 93 | 0.27 | 75 | 37 | 89 | 40 |
| Medium | 977 | 284 | 58 | 0.47 | 72 | 50 | 486 | 3 | 54 |
| High | 1,642 | 638 | 42 | 0.65 | 82 | 67 | 1,098 | 9 | 74 |
| Default | 10,220 | 3,093 | 48 | 4.05 | 64 | 64 | 6,589 | 212 | 90 |
| **Total retail portfolios** | **262,307** | **100,614** | **65** | **0.65** | **32** | **12** | **30,905** | **1,040** | **17** |

---

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

| | **Q2/15 vs. Q1/15** | | | | | | **Q1/15 vs. Q4/14** | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | (522) | - | - | - | - | - | (4) | - | - |
| Very low | (7) | - | 0.01 | 9 | 11 | 1 | (1) | - | - |
| Low | (529) | - | - | - | - | - | (5) | - | - |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 1,430 | 1,659 | 1 | (0.01) | 1 | (1) | 102 | 1 |
| Very low | (342) | (343) | (10) | 0.01 | (1) | 1 | (29) | 1 |
| Low | (21) | (19) | (1) | 0.01 | (2) | - | (1) | - |
| Medium | 48 | 97 | 1 | (0.01) | 1 | (1) | 5 | (1) |
| High | 14 | 22 | 1 | (0.02) | 1 | 1 | 5 | 1 |
| Default | (1) | (2) | 1 | (1.18) | 1 | 5 | (1) | 4 |
| **Total** | **1,478** | **1,755** | **1** | **112** | **1** |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 445 | n/a | n/a | - | 23 | - | - |
| Very low | 162 | n/a | n/a | (0.01) | (1) | (20) | - |
| Low | 1,658 | n/a | n/a | 0.02 | 1 | 454 | 3 |
| Medium | 58 | n/a | n/a | (0.01) | (1) | 28 | (2) |
| High | (1) | n/a | n/a | 0.11 | (2) | 23 | 2 |
| Default | (632) | n/a | n/a | 0.02 | (153) | 2 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 964 | 746 | 5 | 46 | 1 |
| Very low | (2,277) | (1,797) | 11 | (0.05) | (4) | (2) | (484) | (10) |
| Low | 2,590 | 2,104 | (7) | (0.10) | 1 | (2) | 590 | 14 |
| Medium | (1,850) | (589) | 40 | 0.10 | (4) | (3) | (1,818) | (70) |
| High | (74) | 5 | (1) | (3.01) | 4 | (118) | (44) |
| Default | (3) | 10 | 1 | (2) | (11) | 1 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 23 | (7) | 6 | (0.02) | 3 | 1 | (5) | - |
| Very low | 69 | 5 | 8 | 0.01 | (1) | (1) | 10 | 1 |
| Low | 21 | 38 | 1 | 0.01 | (1) | (1) | (10) | 3 |
| Medium | 94 | 16 | 2 | (0.01) | (1) | (1) | 21 | (1) |
| High | 219 | 88 | (9) | (1.14) | (17) | (32) | 148 | 13 | (82) |
| Default | (176) | 37 | 60 | (0.02) | (26) | (3) | (146) | (42) | 541 |
| **Total retail portfolios** | **2,850** | **133** | **1,450** | **(1.28)** | **108** | **(26)** | **287** | **(11)** | **1** |

---

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

| | **Q4/14 vs. Q3/14** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Canadian residential mortgages and HELOCS** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | (1,944) | - | - | 0.03 | 9 | 11 | 145 | 11 |
| Very low | 452 | - | - | - | - | - | 1 | - |
| Low | (1,492) | - | - | - | - | - | 42 | - |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 87 | 396 | 1 | (0.01) | 1 | (1) | 72 | 1 |
| Very low | (342) | (343) | (10) | 0.07 | (1) | 1 | (29) | 1 |
| Low | 21 | 39 | 3 | 0.03 | (3) | (1) | (1) | - |
| Medium | (5) | (9) | 0.03 | (3) | (1) | (1) | (3) | - |
| High | 1 | 2 | (2) | (0.71) | 1 | 1 | (5) | - |
| Default | (238) | 85 | (1) | 1 | 44 | 1 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | (2,544) | n/a | n/a | (0.01) | 1 | (155) | (1) |
| Very low | 4,133 | n/a | n/a | (0.04) | (1) | (2) | 585 | 3 |
| Low | 2,230 | n/a | n/a | 0.25 | 1 | 6 | 1,375 | 12 |
| Medium | 211 | n/a | n/a | 0.14 | 1 | 6 | 202 | 3 |
| High | (20) | n/a | n/a | 11.48 | 2 | 12 | 4 | (2) |
| Default | (5) | n/a | n/a | - | (26) | (41) | 2 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 2,047 | (186) | 1 | (0.01) | (1) | (72) | (1) |
| Very low | 218 | (849) | (4) | (0.03) | (1) | (3) | (1) |
| Low | 3,596 | 1,901 | 7 | 0.14 | (2) | (2) | 1,688 | 51 | 3 |
| Medium | (1,850) | (589) | 40 | 0.10 | (4) | (3) | (1,818) | (70) |
| High | (149) | 1 | (13) | 2.35 | (1) | (312) | (27) |
| Default | (3) | 6 | (18) | (11) | 1 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 84 | (22) | 3 | 1 | (5) | - | 1 |
| Very low | (117) | 51 | (8) | (0.02) | 3 | 1 | (43) | 1 |
| Low | 21 | 38 | 1 | 0.01 | (1) | (1) | (10) | 3 |
| Medium | 94 | 16 | 2 | 0.78 | 38 | 54 | (68) | (3) |
| High | 219 | 88 | (9) | (1.14) | (17) | (32) | 53 | 6 | (67) |
| Default | (176) | 37 | 60 | (0.02) | (26) | (3) | (146) | (42) | 541 |
| **Total retail portfolios** | **3,859** | **278** | **6** | **(0.14)** | **(2)** | **(2)** | **(569)** | **(49)** | **(4)** |

---

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

| | **Q3/14 vs. Q2/14** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** |
| **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | |
| Exceptionally low | 2,251 | 1,134 | - | - | - | - | 73 |
| Very low | (39) | (5) | 1 | (0.02) | (1) | 1 | (7) |
| Low | 1,157 | 85 | (2) | (0.03) | (1) | 1 | (25) |
| Medium | 169 | 11 | (33) | (0.02) | (1) | 1 | (25) |
| High | 9 | 1 | (0.32) | 8 |
| Default | 3,355 | 1,225 | 1 | 0.01 | 1 | 230 |
| **Uninsured Undrawn $^{4}$** | | | | | | | |
| Exceptionally low | 216 | 162 | 5 | (0.01) | (1) | (1) | (50) |
| Very low | 121 | 124 | (2) | 0.01 | (1) | (1) | (21) |
| Low | (155) | (174) | (2) | 0.01 | (2) | (1) | (21) |
| Medium | (71) | (45) | (1) | 0.02 | (1) | (1) | (51) |
| High | (28) | (1) | (1.03) | (1) | (55) |
| Default | 81 | 67 | (1) | (0.04) | (1) | (100) |
| **Qualifying revolving credit** | | | | | | | |
| Exceptionally low | 7 | 11 | - | - | 1 |
| Very low | 61 | 5 | - | - | 31 |
| Low | 41 | 13 | 0.01 | 40 | 55 | (1) |
| Medium | (2) | 1 | 0.12 | 1 | (1) |
| High | (8) | 3 | (1) |
| Default | 3,608 | 1,320 | 1 | (0.01) | 258 |

---

# AIRB CREDIT RISK EXPOSURE - LOSS EXPERIENCE

| | **Business and government portfolios $^{2}$** | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** |
| **Q2/15** | | | **Q1/15** | | **Q4/14** | | **Q3/14** | |
| Corporate | 0.55 | 0.10 | 0.55 | 0.13 | 0.55 | 0.10 | 0.55 | 0.12 |
| Sovereign | - | - | - | - | - | - | - | - |
| Banks | 0.18 | - | - | 0.16 | - | 0.12 | - | 0.16 |
| **Retail portfolios $^{3}$** | | | | | | | | |
| Real estate secured personal lending | 0.05 | 0.01 | 0.05 | 0.02 | 0.05 | 0.02 | 0.05 | 0.01 |
| Qualifying revolving retail | 4.05 | 2.91 | 4.04 | 2.90 | 4.08 | 3.03 | 3.89 | 2.91 |
| Other retail | 2.45 | 1.12 | 2.80 | 1.12 | 2.44 | 1.27 | 2.22 | 1.04 |
| | **Q2/14** | | **Q1/14** | | **Q4/13** | | **Q3/13** | |
| | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** | **Expected loss rate % $^{1}$** | **Actual loss rate % $^{1}$** |
| **Business and government portfolios $^{2}$** | | | | | | | | |
| Corporate | 0.54 | 0.16 | 0.57 | 0.20 | 0.56 | 0.23 | 0.60 | 0.38 |
| Sovereign | - | - | - | - | - | - | - | - |
| Banks | 0.15 | - | 0.15 | - | 0.11 | - | 0.10 | - |
| **Retail portfolios $^{3}$** | | | | | | | | |
| Real estate secured personal lending | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 | 0.04 | 0.01 |
| Qualifying revolving retail | 3.78 | 3.24 | 3.96 | 3.28 | 3.91 | 3.29 | 3.51 | 3.47 |
| Other retail | 2.50 | 1.60 | 2.64 | 1.67 | 2.65 | 1.66 | 2.67 | 1.89 |

---

# AIRB CREDIT RISK EXPOSURE - BACK-TESTING

| | **Q2/15** | | | | | | **Q1/15 $^{1}$** | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Average estimated PD%** | **Actual default rate %** | **Average estimated LGD %** | **Actual LGD %** | **Estimated EAD %** | **Actual EAD %** | **Average estimated PD%** | **Actual default rate %** | **Average estimated LGD %** | **Actual LGD %** | **Estimated EAD %** | **Actual EAD %** |
| **Business and government portfolios $^{2}$** | | | | | | | | | | | | |
| Corporate | 3.02 | 0.38 | 43.67 | 47.24 | 78.44 | 61.02 | 2.99 | 0.41 | 41.15 | 43.33 | 78.66 | 54.73 |
| Sovereign | 2.53 | - | n/a | 79.22 | n/a | 2.53 | - | n/a | 79.36 | n/a |
| Banks | 1.26 | - | n/a | 85.60 | n/a | 1.23 | - | n/a | 84.94 | n/a |
| **Retail portfolios $^{3}$** | | | | | | | | | | | | |
| Real estate secured personal lending | 0.63 | 0.38 | 19.30 | 8.07 | n/a | n/a | 0.65 | 0.42 | 21.44 | 6.67 | n/a | n/a |
| Uninsured residential mortgages and personal loans | 0.73 | 0.54 | n/a | n/a | n/a | n/a | 0.73 | 0.53 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.25 | 0.18 | 23.71 | 9.53 | 98.84 | 93.79 | 0.25 | 0.17 | 24.03 | 9.27 | 98.32 | 91.55 |
| Qualifying revolving retail | 1.24 | 1.07 | 86.14 | 83.29 | 97.88 | 93.13 | 1.28 | 1.14 | 86.80 | 83.91 | 98.78 | 94.39 |
| Other retail | 2.10 | 1.75 | 87.08 | 85.61 | 100.81 | 92.57 | 2.05 | 1.71 | 87.13 | 82.94 | 98.86 | 92.74 |
| | **Q4/14** | | | | | | **Q3/14** | | | | | |
| | **Average estimated PD%** | **Actual default rate %** | **Average estimated LGD %** | **Actual LGD %** | **Estimated EAD %** | **Actual EAD %** | **Average estimated PD%** | **Actual default rate %** | **Average estimated LGD %** | **Actual LGD %** | **Estimated EAD %** | **Actual EAD %** |
| **Business and government portfolios $^{2}$** | | | | | | | | | | | | |
| Corporate | 2.96 | 0.49 | 38.06 | 42.77 | 78.49 | 45.87 | 2.95 | 0.51 | 40.96 | 40.53 | 78.85 | 42.52 |
| Sovereign | 2.55 | - | n/a | 79.07 | n/a | 2.56 | - | n/a | 79.32 | n/a |
| Banks | 1.24 | - | n/a | 82.37 | n/a | 1.31 | - | n/a | 82.01 | n/a |
| **Retail portfolios $^{3}$** | | | | | | | | | | | | |
| Real estate secured personal lending | 0.69 | 0.44 | 22.43 | 8.57 | n/a | n/a | 0.47 | 0.43 | 18.49 | 13.05 | n/a | n/a |
| Uninsured residential mortgages and personal loans | 0.74 | 0.52 | n/a | n/a | n/a | n/a | 0.52 | 0.52 | n/a | n/a | n/a | n/a |
| Home equity line of credit | 0.25 | 0.15 | 23.75 | 12.79 | 98.40 | 93.43 | 0.25 | 0.15 | 23.44 | 19.84 | 96.88 | 87.39 |
| Qualifying revolving retail | 1.32 | 1.13 | 86.42 | 84.82 | 98.49 | 92.98 | 1.24 | 1.14 | 89.96 | 86.89 | 97.83 | 94.57 |
| Other retail | 2.11 | 1.74 | 86.38 | 82.33 | 101.32 | 94.91 | 2.00 | 1.77 | 86.06 | 74.23 | 101.96 | 93.89 |

---

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

| | **Q2/15** | | | | | | **Q1/15** | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** |
| **Corporate** | | | | | | | | | | | | | | |
| Investment grade | 642 | 177 | - | (0.01) | (2) | (2) | (1,021) | 11,040 | 624 | (0.02) | (2) | (3) | 1,795 |
| 0.01%-0.38% | - | - | - | - | - | - | - | 1,488 | (53) | 9 | 783 | 0.06 | 1 | 1,604 |
| Non-investment grade | 1,488 | (53) | 9 | 783 | 0.06 | 1 | 1,298 | 1,832 | 503 | 1 | (0.13) | 1 | 1,604 |
| 0.39%-12.11% | (62) | 6 | 0.63 | (4) | (19) | (184) | 140 | 17 | 0.32 | (4) | (21) | 120 |
| Watch list | 2,086 | 899 | 0.02 | (1) | 97 | 3,532 | 13,006 | 1,140 | (0.15) | (1) | (3) | 3,532 |
| Default | 100.00% | C | | | | | | | | | | | |
| **Sovereign** | | | | | | | | | | | | |
| Investment grade | (1,465) | 84 | (1) | (77) | 4,211 | (190) | 1 | 48 | 9 | 28 | 26 |
| Non-investment grade | 4,211 | (172) | (1) | (97) | 4,211 | (172) | (1) | 52 |
| Watch list | 1,753 | 2 | 93 | - | - | - | 9,517 | 37 | (0.02) | (1) | (1) | (16) |
| Default | (646) | (6) | (1.33) | (8) | 8 | 632 | 10 | 1.33 | 13 | 2 | 194 |
| **Bank** | | | | | | | | | | | | |
| Investment grade | 1,107 | (4) | (0.05) | 1 | 1,737 | 1,007 | (1) | 111 | 88 | 9 | 61 | 24 |
| Non-investment grade | 111 | 88 | 9 | 61 | 24 | 28 | (2) | (2) | - |
| Watch list | 15 | - | - | - | - | - | - | - | - |
| Default | 1,924 | 110 | 9 | 169 | 47 | (39) | (5) | 3,762 |
| **Total business and government** | **1,117** | **9** | **168** | **47** | **(39)** | **(5)** | **3,778** |

| | **Q4/14 vs. Q3/14** | | | | | | **Q3/14 vs. Q2/14** | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **Exposure weighted- average RWA** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Exposure weighted- average RWA** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** |
| **Corporate** | | | | | | | | | | | | | | |
| Investment grade | (447) | 1,418 | - | 0.01 | 10 | (1,103) | 1,316 | 3 | 3 | 1,544 |
| 0.01%-0.15% | - | - | - | - | - | - | - | - | - | - | - | - |
| 0.16%-0.40% | (88) | 30 | 3 | (0.51) | 5 | 20 | (42) | (63) | (69) | (2) | 0.21 | (7) | (29) | (276) |
| **Non-investment grade** | (169) | 1 | 1,020 | - | (1) | 1 | (12) | (169) | 922 | (1) | (0.15) | (1) | (3) | (3,532) |
| **Sovereign** | | | | | | | | | | | | | | |
| Investment grade | (3,865) | (93) | (38) | 252 | (63) | (1) | (13) | (231) | (292) | (27) | 0.04 | 1 | (43) | (53) | (28) | (10) | 0.05 | (11) |
| Non-investment grade | (4,096) | (385) | 1 | (0.01) | 1 | (81) | 199 | (91) | (1) | (1) | (24) |
| Watch list | 1,700 | 166 | 3 | (1) | (1) | (621) | 1,624 | (146) | (1) | 81 |
| Default | 2,894 | 1,140 | (1) | (0.01) | 1 | 3,532 | 1,350 | 1,350 | (0.01) | 1 | 1 |
| **Bank** | | | | | | | | | | | | | |
| Investment grade | 93 | - | - | - | - | - | - | 9,517 | 37 | (0.02) | (1) | (1) | (16) |
| Non-investment grade | 208 | 72 | (0.05) | (1) | 47 | (6) | 0.25 | 2 | 5 | 60 |
| Watch list | (3) | (3) | (70) | (15.53) | (7) | (32) | (1) | (7) | (24) | (68) | (9) |
| Default | 1,905 | 235 | 3 | 0.01 | (1) | (1) | (575) | 1,576 | (152) | (1) | 132 | (1,269) |
| **Total business and government** | **(1,179)** | **(54)** | **2,690** | **(2)** | **72** | **39** | **436** | **1,597** | **1,423** | **1** | **2,283** |

---

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

| | **Q4/14 vs. Q3/14** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | (1,944) | - | - | 0.03 | 9 | 11 | 145 | 11 |
| Very low | 452 | - | - | - | - | - | 1 | - |
| Low | (1,492) | - | - | - | - | - | 42 | - |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 87 | 396 | 1 | (0.01) | 1 | (1) | 72 | 1 |
| Very low | (342) | (343) | (10) | 0.07 | (1) | 1 | (29) | 1 |
| Low | 21 | 39 | 3 | 0.03 | (3) | (1) | (1) | - |
| Medium | (5) | (9) | 0.03 | (3) | (1) | (1) | (3) | - |
| High | 1 | 2 | (2) | (0.71) | 1 | 1 | (5) | - |
| Default | (238) | 85 | (1) | 1 | 44 | 1 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | (2,544) | n/a | n/a | (0.01) | 1 | (155) | (1) |
| Very low | 4,133 | n/a | n/a | (0.04) | (1) | (2) | 585 | 3 |
| Low | 2,230 | n/a | n/a | 0.25 | 1 | 6 | 1,375 | 12 |
| Medium | 211 | n/a | n/a | 0.14 | 1 | 6 | 202 | 3 |
| High | (20) | n/a | n/a | 11.48 | 2 | 12 | 4 | (2) |
| Default | (5) | n/a | n/a | - | (26) | (41) | 2 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 2,047 | (186) | 1 | (0.01) | (1) | (72) | (1) |
| Very low | 218 | (849) | (4) | (0.03) | (1) | (3) | (1) |
| Low | 3,596 | 1,901 | 7 | 0.14 | (2) | (2) | 1,688 | 51 | 3 |
| Medium | (1,850) | (589) | 40 | 0.10 | (4) | (3) | (1,818) | (70) |
| High | (149) | 1 | (13) | 2.35 | (1) | (312) | (27) |
| Default | (3) | 6 | (18) | (11) | 1 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | 84 | (22) | 3 | 1 | (5) | - | 1 |
| Very low | (117) | 51 | (8) | (0.02) | 3 | 1 | (43) | 1 |
| Low | 21 | 38 | 1 | 0.01 | (1) | (1) | (10) | 3 |
| Medium | 94 | 16 | 2 | 0.78 | 38 | 54 | (68) | (3) |
| High | 219 | 88 | (9) | (1.14) | (17) | (32) | 53 | 6 | (67) |
| Default | (176) | 37 | 60 | (0.02) | (26) | (3) | (146) | (42) | 541 |
| **Total retail portfolios** | **2,850** | **133** | **1,450** | **(1.28)** | **108** | **(26)** | **287** | **(11)** | **1** |

---

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

| | **Q1/15 vs. Q4/14** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** | **Expected losses** | **Expected losses adjusted average risk weight % $^{2}$** |
| **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | | | |
| Exceptionally low | 2,168 | - | - | 0.01 | 5 | 1 | 859 | 1 | 1 |
| Very low | 75 | - | - | 0.12 | 24 | 17 | 80 | 18 |
| Low | (241) | 270 | (1) | (0.01) | 1 | (1) | (50) |
| Medium | (8) | (12) | (1) | 0.01 | (2) | 1 | (1) |
| High | (21) | (19) | (1) | 0.01 | (2) | 1 | (1) |
| Default | (1) | (2) | 1 | (1.88) | 1 | 5 | (1) | 4 |
| **Uninsured Undrawn $^{4}$** | | | | | | | | | |
| Exceptionally low | (116) | n/a | n/a | - | 23 | - | - |
| Very low | (84) | n/a | n/a | (0.01) | (1) | (20) | - |
| Low | (531) | n/a | n/a | 0.02 | 1 | 454 | 3 |
| Medium | 28 | n/a | n/a | (0.01) | (1) | 28 | (2) |
| High | (20) | n/a | n/a | 0.11 | (2) | 23 | 2 |
| Default | (5) | n/a | n/a | - | (26) | (41) | 2 |
| **Uninsured Drawn $^{4}$** | | | | | | | | | |
| Exceptionally low | 4,005 | n/a | n/a | 0.02 | (153) | 2 |
| **Qualifying revolving credit** | | | | | | | | | |
| Exceptionally low | 964 | 746 | 5 | 46 | 1 |
| Very low | (2,277) | (1,797) | 11 | (0.05) | (4) | (2) | (484) | (10) |
| Low | 2,590 | 2,104 | (7) | (0.10) | 1 | (2) | 590 | 14 |
| Medium | (1,850) | (589) | 40 | 0.10 | (4) | (3) | (1,818) | (70) |
| High | (74) | 5 | (1) | (0.99) | 4 | (118) | (44) |
| Default | (3) | 10 | 1 | (2) | (11) | 1 |
| **Other retail** | | | | | | | | | |
| Exceptionally low | (36) | (17) | 6 | (0.02) | 3 | 1 | (5) | - |
| Very low | 24 | 8 | 1 | 0.01 | (1) | (1) | 10 | 1 |
| Low | 21 | 38 | 1 | 0.01 | (1) | (1) | (10) | 3 |
| Medium | 94 | 16 | 2 | 0.78 | 38 | 54 | (68) | (3) |
| High | 219 | 88 | (9) | (1.14) | (17) | (32) | 53 | 6 | (67) |
| Default | (176) | 37 | 60 | (0.02) | (26) | (3) | (146) | (42) | 541 |
| **Total retail portfolios** | **2,850** | **133** | **1,450** | **(1.28)** | **108** | **(26)** | **287** | **(11)** | **1** |

---

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

| | **Q3/14 vs. Q2/14** | | | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | **EAD** | **Notional of undrawn commitments** | **Exposure weighted average EAD %** | **Exposure weighted average PD %** | **Exposure weighted average LGD %** | **Exposure weighted average risk weight %** | **RWA** |
| **Canadian residential mortgages and HELOCS $^{2}$** | | | | | | | |
| **Insured Drawn and Undrawn $^{3}$** | | | | | | | |
| Exceptionally low | 2,251 | 1,134 | - | - | - | - | 73 |
| Very low | (39) | (5) | 1 | (0.02) | (1) | 1 | (7) |
| Low | 1,157 | 85 | (2) | (0.03) | (1) | 1 | (25) |
| Medium | 169 | 11 | (33) | (0.02) | (1) | 1 | (25) |
| High | 9 | 1 | (0.32) | 8 |
| Default | 3,355 | 1,225 | 1 | 0.01 | 1 | 230 |
| **Qualifying revolving credit** | | | | | | | |
| Exceptionally low | 216 | 162 | 5 | (0.01) | (1) | (1) | (50) |
| Very low | 121 | 124 | (2) | 0.01 | (1) | (1) | (21) |
| Low | (155) | (174) | (2) | 0.01 | (2) | (1) | (21) |
| Medium | (71) | (45) | (1) | 0.02 | (1) | (1) | (51) |
| High | (28) | (1) | (1.03) | (1) | (55) |
| Default | 81 | 67 | (1) | (0.04) | (1) | (100) |
| **Other retail** | | | | | | | |
| Exceptionally low | 7 | 11 | - | - | 1 |
| Very low | 61 | 5 | - | - | 31 |
| Low | 41 | 13 | 0.01 | 40 | 55 | (1) |
| Medium | (2) | 1 | 0.12 | 1 | (1) |
| High | (8) | 3 | (1) |
| Default | 3,608 | 1,320 | 258 |

---

# BASEL - GLOSSARY

**Advanced internal rating based (AIRB) approach for credit risk**
Internal models based on historical experience of key risk assumptions such as PD, LGD and EAD are used to compute the credit risk capital requirements subject to supervisory approval.

**Advanced measurement approach (AMA) for operational risk**
A risk-sensitive approach to calculating the capital charge for operational risk based on internal risk measurement models, using a combination of quantitative and qualitative risk measurement techniques.

**Basel III leverage ratio**
Defined as Tier 1 capital divided by Basel III Leverage Exposure. This replaced the Assets to Capital Multiple beginning Q1/15.

**Basel III leverage exposure**
For the purposes of the Basel III leverage ratio, exposure is defined as on-balance sheet assets (un-weighted) less Tier 1 capital regulatory adjustments plus derivative exposures, securities financing transaction exposures, and other off-balance sheet exposures (commitments, direct credit substitutes, forward asset purchases, standby/trade letters of credit, securitization exposure).

**Business and government portfolio**
A category of exposures that includes lending to businesses and governments, where the primary basis of adjudication relies on the determination and assignment of an appropriate risk rating, that reflects the credit risk of the exposure.

**Common Equity Tier 1, Tier 1 and total capital ratios**
Common Equity Tier 1, Tier 1 and total regulatory capital, divided by RWA, in accordance with guidelines issued by OSFI which are based on BCBS standards. During the period beginning in the third quarter of 2014 to the fourth quarter of 2018, the calculation of CIBC's Common Equity Tier 1, Tier 1 and total capital ratios will be based on different levels of RWAs. This occurs because of the option CIBC chose for the phase-in of the CVA capital charge.

**Corporate exposures**
All direct credit risk exposures to corporations, partnerships and proprietorships, and exposures guaranteed by those entities.

**Credit risk**
Risk of financial loss due to a borrower or counterparty failing to meet its obligations in accordance with agreed terms.

**Drawn exposure**
The amount of credit risk exposure resulting from loans already advanced to the customer.

**Exposure at default (EAD)**
An estimate of the amount of exposure to a customer at the event of, and at the time of, default.

**Internal models approach (IMA) for market risk**
Models, which have been developed by CIBC and approved by OSFI, for the measurement of risk and regulatory capital in the trading portfolio for general market risk, debt specific risk, and equity specific risk.

**Internal ratings based (IRB) approach for securitization exposures**
The computation of capital charge is based on risk weights that are mapped from external/internal ratings.

**Loss given default (LGD)**
An estimate of the amount of exposure to a customer that will not be recovered following a default by that customer, expressed as a percentage of the exposure at default.

**Operational risk**
The risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events.

**Probability of default (PD)**
An estimate of the likelihood of default for any particular customer which occurs when that customer is not able to repay its obligations as they become contractually due.

**Qualifying revolving retail**
This exposure class includes credit cards, unsecured lines of credit and overdraft protection products extended to individuals. Under the standardized approach, these exposures would be included under "other retail".

**Real estate secured personal lending**
This exposure class includes residential mortgages and home equity lines of credit extended to individuals.

**Regulatory capital**
Basel III regulatory capital, as defined by OSFI's Capital Adequacy Requirements Guideline, is comprised of Common Equity Tier 1, Additional Tier 1 and Tier 2 capital. Common Equity Tier 1 includes common shares, retained earnings, AOCI (excluding AOCI relating to cash flow hedges and changes to FVO liabilities attributable to changes in credit risk) and qualifying instruments issued by a consolidated subsidiary to third parties, less regulatory adjustments for items such as goodwill and other intangible assets, deferred tax assets, assets related to defined benefit pension plans, and certain investments. Additional Tier 1 capital primarily includes non-viability contingent capital (NVCC) preferred shares, qualifying instruments issued by a consolidated subsidiary to third parties, and non-qualifying preferred shares and innovative Tier 1 notes which are subject to phase-out rules for capital instruments. Tier 2 capital includes NVCC subordinated indebtedness, non-qualifying subordinated indebtedness subject to phase-out rules for capital instruments, eligible collective allowance under the standardized approach, and qualifying instruments issued by a consolidated subsidiary to third parties. Under Basel III, qualifying regulatory capital instruments must be capable of absorbing loss at the point of non-viability of a financial institution; non-qualifying capital instruments are excluded from regulatory capital at a rate of 10% per annum commencing January 1, 2013 through to January 1, 2022.

**Retail portfolios**
A category of exposures that primarily includes consumer, but also small business lending, where the primary basis of adjudication relies on credit scoring models.

**Resecuritization**
A securitization exposure in which the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitization exposure.

**Risk-weighted assets (RWA)**
RWAs consist of three components: (i) RWAs for credit risk are calculated using the AIRB approach and Standardized Approach. The AIRB RWAs are calculated using PDs, LGDs, EADs, and in some cases maturity adjustment, while the Standardized Approach applies risk weighting factors specified in the OSFI guidelines to on- and off- balance sheet exposures; (ii) RWAs for market risk in the trading portfolio are based on the internal models approved by OSFI with the exception of the RWAs for traded securitization assets where we are using the methodology defined by OSFI; and (iii) RWAs for operational risk relating to the risk of losses from inadequate or failed processes, people and systems are calculated under the AMA approach. During the period beginning in the third quarter 2014 to the fourth quarter of 2018, CET1 capital RWA, Tier 1 capital RWA, and total capital RWA, will differ due to the phase in of the CVA capital charge.

**Securitization**
The process of selling assets (normally financial assets such as loans, leases, trade receivables, credit card receivables or mortgages) to trusts or other structured entities (SEs). A SE normally issues securities or other forms of interests to investors and/or the asset transferor, and the SE uses the proceeds of the issue of securities to purchase the transferred assets. The SE will generally use the cash flows generated by the assets to meet the obligations under the securities or other interests issued by the SE, which may carry a number of different risk profiles.

**Sovereign exposures**
All direct credit risk exposures to governments, central banks and certain public sector entities, and exposures guaranteed by those entities.

**Standardized approach for credit risk**
Applied to exposures when there is not sufficient information to allow for the AIRB approach for credit risk. Credit risk capital requirements are calculated based on a standardized set of risk weights as prescribed in the Basel Accord. The standardized risk weights are based on external credit assessments, where available, and other risk related factors, including export credit agencies, exposure asset class, collateral, etc.