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IFRS 7 Disclosure (Tables)
 12 Months Ended
Oct. 31, 2019
Text block [abstract]  
Summary of Risk Measurement CIBC employs a
20-point
master internal obligor default rating scale that broadly maps to external agencies ratings as presented in the table below.
Grade
  
 
CIBC
rating
 
  
 
S&P
equivalent
 
  
 
Moody’s
equivalent
 
Investment grade
  
 
00–47
 
  
 
AAA to BBB-
 
  
 
Aaa to Baa3
 
Non-investment
grade
  
 
51–67
 
  
 
BB+ to B-
 
  
 
Ba1 to B3
 
Watch list
  
 
70–80
 
  
 
CCC+ to C
 
  
 
Caa1 to Ca
 
Default
  
 
90
 
  
 
D
 
  
 
C
 
Summary of PD Bands to Various Risk Levels
The following table maps the PD bands to various risk levels:
 
Risk level
  
PD bands
 
Exceptionally low
  
 
0.01%–0.20%
 
Very low
  
 
0.21%–0.50%
 
Low
  
 
0.51%–2.00%
 
Medium
  
 
2.01%–10.00%
 
High
  
 
10.01%–99.99%
 
Default
  
 
100%
 
Summary of Exposure to Credit Risk
$ millions, as at October 31
  
 
 
 
  
 
 
 
  
2019
 
  
 
 
 
  
 
 
 
  
2018
 
 
 
  
AIRB
approach
 (1)
 
  
Standardized
approach
 
  
Total
 
  
AIRB
approach
 (1)
 
  
Standardized
approach
 (2)
 
  
Total
 
Business and government portfolios
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Corporate
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
$
96,444
 
  
$
32,292
 
  
$
128,736
 
  
$
85,899
 
  
$
27,018
 
  
$
112,917
 
Undrawn commitments
  
 
44,732
 
  
 
6,244
 
  
 
50,976
 
  
 
43,180
 
  
 
4,885
 
  
 
48,065
 
Repo-style transactions
  
 
122,776
 
  
 
1
 
  
 
122,777
 
  
 
91,970
 
  
 
2
 
  
 
91,972
 
Other
off-balance
sheet
  
 
14,540
 
  
 
981
 
  
 
15,521
 
  
 
14,496
 
  
 
827
 
  
 
15,323
 
OTC derivatives
  
 
14,125
 
  
 
596
 
  
 
14,721
 
  
 
9,440
 
  
 
294
 
  
 
9,734
 
 
  
 
292,617
 
  
 
40,114
 
  
 
332,731
 
  
 
244,985
 
  
 
33,026
 
  
 
278,011
 
Sovereign
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
 
73,036
 
  
 
13,301
 
  
 
86,337
 
  
 
51,703
 
  
 
12,047
 
  
 
63,750
 
Undrawn commitments
  
 
6,421
 
  
 
–
 
  
 
6,421
 
  
 
6,576
 
  
 
–
 
  
 
6,576
 
Repo-style transactions
  
 
21,404
 
  
 
–
 
  
 
21,404
 
  
 
16,929
 
  
 
–
 
  
 
16,929
 
Other
off-balance
sheet
  
 
1,624
 
  
 
–
 
  
 
1,624
 
  
 
753
 
  
 
–
 
  
 
753
 
OTC derivatives
  
 
3,094
 
  
 
2
 
  
 
3,096
 
  
 
3,454
 
  
 
–
 
  
 
3,454
 
 
  
 
105,579
 
  
 
13,303
 
  
 
118,882
 
  
 
79,415
 
  
 
12,047
 
  
 
91,462
 
Banks
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
 
12,689
 
  
 
1,862
 
  
 
14,551
 
  
 
13,697
 
  
 
1,868
 
  
 
15,565
 
Undrawn commitments
  
 
1,771
 
  
 
6
 
  
 
1,777
 
  
 
1,041
 
  
 
5
 
  
 
1,046
 
Repo-style transactions
  
 
25,472
 
  
 
–
 
  
 
25,472
 
  
 
28,860
 
  
 
–
 
  
 
28,860
 
Other
off-balance
sheet
  
 
61,532
 
  
 
–
 
  
 
61,532
 
  
 
65,253
 
  
 
–
 
  
 
65,253
 
OTC derivatives
  
 
9,355
 
  
 
18
 
  
 
9,373
 
  
 
8,727
 
  
 
27
 
  
 
8,754
 
 
  
 
110,819
 
  
 
1,886
 
  
 
112,705
 
  
 
117,578
 
  
 
1,900
 
  
 
119,478
 
Gross business and government portfolios
  
 
509,015
 
  
 
55,303
 
  
 
564,318
 
  
 
441,978
 
  
 
46,973
 
  
 
488,951
 
Less: collateral held for repo-style transactions
  
 
157,415
 
  
 
–
 
  
 
157,415
 
  
 
125,368
 
  
 
–
 
  
 
125,368
 
Net business and government portfolios
  
 
351,600
 
  
 
55,303
 
  
 
406,903
 
  
 
316,610
 
  
 
46,973
 
  
 
363,583
 
Retail portfolios
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Real estate secured personal lending
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
 
222,933
 
  
 
4,177
 
  
 
227,110
 
  
 
224,501
 
  
 
3,743
 
  
 
228,244
 
Undrawn commitments
  
 
20,777
 
  
 
1
 
  
 
20,778
 
  
 
19,572
 
  
 
2
 
  
 
19,574
 
 
  
 
243,710
 
  
 
4,178
 
  
 
247,888
 
  
 
244,073
 
  
 
3,745
 
  
 
247,818
 
Qualifying revolving retail
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
 
19,784
 
  
 
–
 
  
 
19,784
 
  
 
22,469
 
  
 
–
 
  
 
22,469
 
Undrawn commitments
  
 
49,709
 
  
 
–
 
  
 
49,709
 
  
 
51,836
 
  
 
–
 
  
 
51,836
 
Other
off-balance
sheet
  
 
275
 
  
 
–
 
  
 
275
 
  
 
277
 
  
 
–
 
  
 
277
 
 
  
 
69,768
 
  
 
–
 
  
 
69,768
 
  
 
74,582
 
  
 
–
 
  
 
74,582
 
Other retail
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Drawn
  
 
13,478
 
  
 
1,268
 
  
 
14,746
 
  
 
12,158
 
  
 
1,239
 
  
 
13,397
 
Undrawn commitments
  
 
2,584
 
  
 
26
 
  
 
2,610
 
  
 
2,546
 
  
 
26
 
  
 
2,572
 
Other
off-balance
sheet
  
 
36
 
  
 
–
 
  
 
36
 
  
 
9
 
  
 
–
 
  
 
9
 
 
  
 
16,098
 
  
 
1,294
 
  
 
17,392
 
  
 
14,713
 
  
 
1,265
 
  
 
15,978
 
Total retail portfolios
  
 
329,576
 
  
 
5,472
 
  
 
335,048
 
  
 
333,368
 
  
 
5,010
 
  
 
338,378
 
Securitization exposures
  
 
10,688
 
  
 
3,511
 
  
 
14,199
 
  
 
13,661
 
  
 
–
 
  
 
13,661
 
Gross credit exposure
  
 
849,279
 
  
 
64,286
 
  
 
913,565
 
  
 
789,007
 
  
 
51,983
 
  
 
840,990
 
Less: collateral held for repo-style transactions
  
 
157,415
 
  
 
–
 
  
 
157,415
 
  
 
125,368
 
  
 
–
 
  
 
125,368
 
Net credit exposure
(3)
  
$
    691,864
 
  
$
    64,286
 
  
$
    756,150
 
  
$
    663,639
 
  
$
    51,983
 
  
$
    715,622
 
 
(1)
Includes exposures subject to the supervisory slotting approach.
 
 
(2)
Certain information has been reclassified.
 
 
(3)
Excludes exposures arising from derivative and repo-style transactions that are cleared through QCCPs as well as credit risk exposures arising from other assets that are subject to the credit risk framework but are not included in the standardized or IRB frameworks, including other balance sheet assets that are risk-weighted at 100%, significant investments in the capital of
non-financial
institutions that are risk-weighted at 1250%, settlement risk, and amounts below the thresholds for deduction that are risk-weighted at 250%.
Summary of Breakdown of Our Standardized Credit Risk Exposures by Risk-weight Category A detailed breakdown of our standardized credit risk exposures by risk-weight category, before considering the effect of credit risk mitigation strategies and before allowance for credit losses, is provided below.
$ millions, as at October 31
  
Risk-weight category
 
  
2019
 
 
2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
0%
 
  
20%
 
  
35%
 
  
50%
 
  
75%
 
  
100%
 
  
150%
 
  
Total
 
 
Total
 
Corporate
  
$
–
 
  
$
–
 
  
$
–
 
  
$
1
 
  
$
–
 
  
$
39,966
 
  
$
147
 
  
$
40,114
 
 
$
32,767
 
Sovereign
  
 
7,953
 
  
 
3,911
 
  
 
–
 
  
 
111
 
  
 
–
 
  
 
838
 
  
 
490
 
  
 
13,303
 
 
 
12,047
 
Banks
  
 
–
 
  
 
1,747
 
  
 
–
 
  
 
66
 
  
 
–
 
  
 
68
 
  
 
5
 
  
 
1,886
 
 
 
2,159
 
Real estate secured personal lending
  
 
–
 
  
 
–
 
  
 
1,238
 
  
 
–
 
  
 
2,770
 
  
 
162
 
  
 
8
 
  
 
4,178
 
 
 
3,745
 
Other retail
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
1,226
 
  
 
61
 
  
 
7
 
  
 
1,294
 
 
 
1,265
 
 
  
$
    7,953
 
  
$
    5,658
 
  
$
    1,238
 
  
$
    178
 
  
$
    3,996
 
  
$
    41,095
 
  
$
    657
 
  
$
    60,775
 
 
$
    51,983
 
 
(1)
See “Securitization exposures” section for securitization exposures that are subject to the standardized approach.
Summary of Rating Profile of OTC Derivative Mark to Market (MTM) Receivables
Rating profile of OTC derivative
mark-to-market
(MTM) receiv
a
bles
 
$ billions, as at October 31
  
 
 
 
  
2019
 
  
 
 
 
  
2018
 
 
  
Exposure
(1)
 
Investment grade
  
$
5.40
 
  
 
82.4
 % 
  
$
6.78
 
  
 
87.3
 % 
Non-investment grade
  
 
1.12
 
  
 
17.1
 
  
 
0.97
 
  
 
12.5
 
Watch list
  
 
0.02
 
  
 
0.3
 
  
 
0.01
 
  
 
0.1
 
Default
  
 
0.01
 
  
 
0.2
 
  
 
0.01
 
  
 
0.1
 
 
  
$
    6.55
 
  
 
100.0
 % 
  
$
    7.77
 
  
 
100.0
 % 
 
(1)
MTM of the OTC derivative contracts is after the impact of master netting agreements, but before any collateral.
 
Summary of Geographic Distribution of Business and Government Exposures Under the AIRB Approach
The following table provides a geographic distribution of our business and government exposures under the AIRB approach, net of collateral held for repo-style transactions.
 
$ millions, as at October 31, 2019
  
Canada
 
  
U.S.
 
  
Europe
 
  
Other
 
  
Total
 
Drawn
  
$
123,265
 
  
$
41,676
 
  
$
6,470
 
  
$
10,758
 
  
$
182,169
 
Undrawn commitments
  
 
39,452
 
  
 
9,327
 
  
 
2,489
 
  
 
1,656
 
  
 
52,924
 
Repo-style transactions
  
 
6,152
 
  
 
3,477
 
  
 
743
 
  
 
1,865
 
  
 
12,237
 
Other off-balance sheet
  
 
56,158
 
  
 
12,608
 
  
 
8,232
 
  
 
698
 
  
 
77,696
 
OTC derivatives
  
 
12,207
 
  
 
6,812
 
  
 
5,216
 
  
 
2,339
 
  
 
26,574
 
 
  
$
237,234
 
  
$
73,900
 
  
$
23,150
 
  
$
17,316
 
  
$
351,600
 
October 31, 2018
  
$
    213,842
 
  
$
    67,911
 
  
$
    21,255
 
  
$
    13,602
 
  
$
    316,610
 
 
(1)
Classification by country is primarily based on domicile of debtor or customer.
Summary of Industry-wide Breakdown of Business and Government Exposure
The following table provides an industry-wide breakdown of our business and government exposures under the AIRB approach, net of collateral held for repo-style transactions
.
 
$ millions, as at October 31
  
Drawn
 
  
Undrawn
commitments
 
  
Repo-style
transactions
 
  
Other off-
balance sheet
 
  
OTC
derivatives
 
  
2019
Total
 
  
2018
Total
 
Commercial mortgages
  
$
352
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
–
 
  
$
352
 
  
$
625
 
Financial institutions
  
 
38,209
 
  
 
6,834
 
  
 
11,471
 
  
 
69,145
 
  
 
14,739
 
  
 
140,398
 
  
 
142,431
 
Retail and wholesale
  
 
5,812
 
  
 
2,853
 
  
 
–
 
  
 
239
 
  
 
238
 
  
 
9,142
 
  
 
8,360
 
Business services
  
 
7,870
 
  
 
2,700
 
  
 
13
 
  
 
623
 
  
 
176
 
  
 
11,382
 
  
 
10,658
 
Manufacturing – capital goods
  
 
3,004
 
  
 
2,152
 
  
 
–
 
  
 
456
 
  
 
286
 
  
 
5,898
 
  
 
5,407
 
Manufacturing – consumer goods
  
 
4,038
 
  
 
1,685
 
  
 
–
 
  
 
197
 
  
 
104
 
  
 
6,024
 
  
 
5,238
 
Real estate and construction
  
 
35,187
 
  
 
7,856
 
  
 
117
 
  
 
1,111
 
  
 
650
 
  
 
44,921
 
  
 
41,028
 
Agriculture
  
 
6,828
 
  
 
1,550
 
  
 
–
 
  
 
22
 
  
 
175
 
  
 
8,575
 
  
 
7,319
 
Oil and gas
  
 
9,048
 
  
 
8,606
 
  
 
–
 
  
 
913
 
  
 
3,246
 
  
 
21,813
 
  
 
20,258
 
Mining
  
 
1,790
 
  
 
2,692
 
  
 
–
 
  
 
619
 
  
 
225
 
  
 
5,326
 
  
 
5,668
 
Forest products
  
 
627
 
  
 
479
 
  
 
–
 
  
 
175
 
  
 
43
 
  
 
1,324
 
  
 
1,145
 
Hardware and software
  
 
1,061
 
  
 
559
 
  
 
–
 
  
 
41
 
  
 
90
 
  
 
1,751
 
  
 
1,353
 
Telecommunications and cable
  
 
425
 
  
 
1,080
 
  
 
–
 
  
 
407
 
  
 
322
 
  
 
2,234
 
  
 
2,667
 
Broadcasting, publishing and printing
  
 
630
 
  
 
138
 
  
 
–
 
  
 
1
 
  
 
32
 
  
 
801
 
  
 
721
 
Transportation
  
 
4,710
 
  
 
2,425
 
  
 
–
 
  
 
401
 
  
 
1,341
 
  
 
8,877
 
  
 
7,083
 
Utilities
  
 
5,957
 
  
 
5,924
 
  
 
20
 
  
 
2,144
 
  
 
1,702
 
  
 
15,747
 
  
 
12,095
 
Education, health, and social services
  
 
2,907
 
  
 
1,122
 
  
 
6
 
  
 
151
 
  
 
387
 
  
 
4,573
 
  
 
3,883
 
Governments
  
 
53,714
 
  
 
4,269
 
  
 
610
 
  
 
1,051
 
  
 
2,818
 
  
 
62,462
 
  
 
40,671
 
 
  
$
    182,169
 
  
$
    52,924
 
  
$
    12,237
 
  
$
    77,696
 
  
$
26,574
 
  
$
    351,600
 
  
$
    316,610
 
Summary of Credit Quality of Risk-rated Portfolios Exposure
$ millions, as at October 31
  
 
 
 
  
 
 
 
  
 
 
 
  
2019
 
  
2018
 
 
  
EAD
 
  
 
 
  
 
 
Obligor grade
  
Corporate
 
  
Sovereign
 
  
Banks
 
  
Total
 
  
Total
 
Investment grade
  
$
    104,405
 
  
$
    84,721
 
  
$
    87,691
 
  
$
    276,817
 
  
$
    249,031
 
Non-investment grade
  
 
70,730
 
  
 
837
 
  
 
1,046
 
  
 
72,613
 
  
 
65,973
 
Watch list
  
 
1,239
 
  
 
–
 
  
 
–
 
  
 
1,239
 
  
 
724
 
Default
  
 
579
 
  
 
–
 
  
 
–
 
  
 
579
 
  
 
257
 
Total risk-rated exposure
  
$
176,953
 
  
$
85,558
 
  
$
88,737
 
  
$
351,248
 
  
$
315,985
 
      
LGD estimate
  
Corporate
 
  
Sovereign
 
  
Banks
 
  
Total
 
  
Total
 
Less than 10%
  
$
9,977
 
  
$
75,078
 
  
$
57,611
 
  
$
142,666
 
  
$
128,989
 
10% – 25%
  
 
53,740
 
  
 
6,825
 
  
 
8,225
 
  
 
68,790
 
  
 
63,363
 
26% – 45%
  
 
84,497
 
  
 
3,582
 
  
 
22,517
 
  
 
110,596
 
  
 
97,494
 
46% – 65%
  
 
27,381
 
  
 
9
 
  
 
343
 
  
 
27,733
 
  
 
24,769
 
66% – 100%
  
 
1,358
 
  
 
64
 
  
 
41
 
  
 
1,463
 
  
 
1,370
 
 
  
$
176,953
 
  
$
85,558
 
  
$
88,737
 
  
$
351,248
 
  
$
315,985
 
Strong
  
 
 
 
  
 
 
 
  
 
 
 
  
$
246
 
  
$
499
 
Good
  
 
 
 
  
 
 
 
  
 
 
 
  
 
85
 
  
 
99
 
Satisfactory
  
 
 
 
  
 
 
 
  
 
 
 
  
 
21
 
  
 
25
 
Weak
  
 
 
 
  
 
 
 
  
 
 
 
  
 
–
 
  
 
1
 
Default
  
 
 
 
  
 
 
 
  
 
 
 
  
 
–
 
  
 
1
 
Total slotted exposure
  
 
 
 
  
 
 
 
  
 
 
 
  
$
352
 
  
$
625
 
Total business and government portfolios
  
 
 
 
  
 
 
 
  
 
 
 
  
$
    351,600
 
  
$
316,610
 
Summary of Credit Quality of Risk-rated Portfolios Exposure
The following table presents the credit quality of our retail portfolios under the AIRB approach.
 
 
$ millions, as at October 31
  
 
 
 
  
 
 
 
  
 
 
 
  
2019
 
  
2018
 
 
  
EAD
 
  
 
 
  
 
 
Risk level
  
Real estate secured
personal lending
 
  
Qualifying
revolving retail
 
  
Other
retail
 
  
Total
 
  
Total
 
Exceptionally low
  
$
193,850
 
  
$
42,369
 
  
$
3,656
 
  
$
239,875
 
  
$
    241,305
 
Very low
  
 
25,020
 
  
 
6,036
 
  
 
2,962
 
  
 
34,018
 
  
 
36,106
 
Low
  
 
19,870
 
  
 
14,168
 
  
 
5,610
 
  
 
39,648
 
  
 
38,687
 
Medium
  
 
3,981
 
  
 
6,270
 
  
 
3,008
 
  
 
13,259
 
  
 
14,363
 
High
  
 
603
 
  
 
877
 
  
 
791
 
  
 
2,271
 
  
 
2,509
 
Default
  
 
386
 
  
 
48
 
  
 
71
 
  
 
505
 
  
 
398
 
 
  
$
    243,710
 
  
$
    69,768
 
  
$
    16,098
 
  
$
    329,576
 
  
$
333,368
 
Summary of Securitization Exposures
The following table provides details on securitization exposures in our banking book, by credit rating
:
 
$ millions, as at October 31
  
2019
 
  
2018
 
 
  
EAD
 
Exposures under the AIRB approach
  
 
 
 
  
 
 
 
S&P rating equivalent
  
 
 
 
  
 
 
 
AAA to BBB-
  
$
    10,688
 
  
$
11,394
 
BB+ to BB-
  
 
–
 
  
 
–
 
Below BB-
  
 
–
 
  
 
–
 
Unrated
  
 
–
 
  
 
2,261
 
 
  
 
10,688
 
  
 
13,655
 
Exposures under the standardized approach
  
 
3,511
 
  
 
–
 
Total securitization exposures
  
$
14,199
 
  
$
    13,655
 
 
(1)
In the first quarter of 2019, we implemented OSFI’s revisions to the CAR Guideline, including the revised securitization framework. As a result, certain exposures that were previously subject to the IRB approach are now subject to the standardized approach. In 2018, EAD was shown net of financial collateral of $6 million.
Summary of Market Risks by Type of Risks
$ millions, as at or for the year ended October 31
 
 
 
 
 
 
 
 
 
 
2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2018
 
 
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
Interest rate risk
 
$
    10.1
 
 
$
    2.8
 
 
$
    8.5
 
 
$
    5.2
 
 
$
7.6
 
 
$
2.9
 
 
$
3.5
 
 
$
4.5
 
Credit spread risk
 
 
2.0
 
 
 
0.9
 
 
 
1.5
 
 
 
1.3
 
 
 
2.0
 
 
 
0.5
 
 
 
1.6
 
 
 
1.0
 
Equity risk
 
 
10.4
 
 
 
1.7
 
 
 
3.4
 
 
 
3.1
 
 
 
8.4
 
 
 
1.7
 
 
 
3.7
 
 
 
2.8
 
Foreign exchange risk
 
 
4.3
 
 
 
0.6
 
 
 
2.9
 
 
 
2.1
 
 
 
4.6
 
 
 
0.5
 
 
 
1.3
 
 
 
1.6
 
Commodity risk
 
 
5.0
 
 
 
1.1
 
 
 
3.9
 
 
 
2.4
 
 
 
4.7
 
 
 
1.0
 
 
 
1.5
 
 
 
1.8
 
Debt specific risk
 
 
2.4
 
 
 
1.3
 
 
 
1.9
 
 
 
1.7
 
 
 
2.7
 
 
 
0.9
 
 
 
1.3
 
 
 
1.5
 
Diversification effect
(1)
 
 
n/m
 
 
 
n/m
 
 
 
(15.3
) 
 
 
(10.1
) 
 
 
n/m
 
 
 
n/m
 
 
 
(7.9
) 
 
 
(7.9
) 
Total VaR (one-day measure)
 
$
10.8
 
 
$
3.6
 
 
$
6.8
 
 
$
5.7
 
 
$
    10.4
 
 
$
    4.0
 
 
$
     5.0
 
 
$
    5.3
 
 
(1)
Total VaR is less than the sum of the VaR of the different market risk types due to risk offsets resulting from a portfolio diversification effect.
 
n/m
Not meaningful. It is not meaningful to compute a diversification effect because the high and low may occur on different days for different risk types.
Summary of Stressed Value at Risk by Trading Activities
Stressed VaR by risk type – trading portfolio
 
$ millions, as at or for the year ended October 31
 
 
 
 
 
 
2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2018
 
 
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
Interest rate risk
 
$
    37.0
 
 
$
    8.9
 
 
$
    26.4
 
 
$
    19.4
 
 
$
33.8
 
 
$
6.8
 
 
$
14.2
 
 
$
17.4
 
Credit spread risk
 
 
18.1
 
 
 
7.9
 
 
 
11.1
 
 
 
12.1
 
 
 
17.9
 
 
 
4.0
 
 
 
17.9
 
 
 
9.6
 
Equity risk
 
 
20.2
 
 
 
1.4
 
 
 
2.2
 
 
 
3.9
 
 
 
7.8
 
 
 
0.8
 
 
 
6.3
 
 
 
3.4
 
Foreign exchange risk
 
 
29.5
 
 
 
0.6
 
 
 
6.5
 
 
 
10.4
 
 
 
15.5
 
 
 
0.5
 
 
 
2.7
 
 
 
5.3
 
Commodity risk
 
 
11.9
 
 
 
1.3
 
 
 
11.9
 
 
 
4.8
 
 
 
7.9
 
 
 
1.3
 
 
 
2.5
 
 
 
2.5
 
Debt specific risk
 
 
7.3
 
 
 
4.1
 
 
 
4.9
 
 
 
5.5
 
 
 
6.7
 
 
 
2.6
 
 
 
6.3
 
 
 
4.6
 
Diversification effect
(1)
 
 
n/m
 
 
 
n/m
 
 
 
(42.0
) 
 
 
(40.9
) 
 
 
n/m
 
 
 
n/m
 
 
 
(33.4
) 
 
 
(30.4
) 
Stressed total VaR (one-day measure)
 
$
47.1
 
 
$
3.5
 
 
$
21.0
 
 
$
15.2
 
 
$
    22.6
 
 
$
    3.7
 
 
$
     16.5
 
 
$
     12.4
 
 
(1)
Stressed total VaR is less than the sum of the VaR of the different market risk types due to risk offsets resulting from a portfolio diversification effect.
 
n/m
Not meaningful. It is not meaningful to compute a diversification effect because the high and low may occur on different days for different risk types.
Summary of Incremental Risk Charge by Trading Activities
IRC – trading portfolio
 
$ millions, as at or for the year ended October 31
 
 
 
 
 
 
 
 
 
 
 
 
 
2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2018
 
 
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
 
High
 
 
Low
 
 
As at
 
 
Average
 
Default risk
 
$
268.8
 
 
$
124.0
 
 
$
132.1
 
 
$
180.2
 
 
$
214.2
 
 
$
71.5
 
 
$
176.1
 
 
$
143.2
 
Migration risk
 
 
111.2
 
 
 
45.5
 
 
 
67.7
 
 
 
72.2
 
 
 
155.5
 
 
 
33.3
 
 
 
53.1
 
 
 
57.6
 
IRC
(one-year
measure)
(1)
 
$
    371.4
 
 
$
    186.5
 
 
$
    199.8
 
 
$
    252.4
 
 
$
    291.5
 
 
$
    147.8
 
 
$
    229.2
 
 
$
    200.8
 
 
 
(1)
High and low IRC are not equal to the sum of the constituent parts, because the highs and lows of the constituent parts may occur on different days.
Summary of Structural Interest Rate Sensitivity - Measures
$ millions
(pre-tax),
as at October 31
 
 
 
 
 
2019
 
 
 
 
 
 
2018
 
 
 
 
CAD 
(1)
 
 
USD
 
 
CAD 
(1)
 
 
USD
 
100 basis point increase in interest rates
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Increase (decrease) in net interest income
 
$
     192
 
 
$
       24
 
 
$
     170
 
 
$
       32
 
Increase (decrease) in present value of shareholders’ equity
 
 
(511
) 
 
 
(307
) 
 
 
(396
)
 
 
(230
) 
100 basis point decrease in interest rates
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Increase (decrease) in net interest income
 
 
(190
) 
 
 
(35
) 
 
 
(246
) 
 
 
(58
) 
Increase (decrease) in present value of shareholders’ equity
 
 
388
 
 
 
206
 
 
 
316
 
 
 
269
 
 
 
(1)
Includes CAD and other currency exposures.
Summary of Amortized Cost and Fair Values of Non-trading Equities
The following table provides the amortized cost and fair values of our non-trading equities:
 
 
$ millions, as at October 31
  
Amortized cost
 
  
Fair value
 
2019
  
Equity securities designated at FVOCI
  
$
533
 
  
$
602
 
 
  
Equity-accounted investments in associates
(1)
  
 
57
 
  
 
85
 
 
  
 
  
$
590
 
  
$
687
 
2018
  
Equity securities designated at FVOCI
  
$
468
 
  
$
562
 
 
  
Equity-accounted investments in associate
s
(1)
  
 
63
 
  
 
101
 
 
  
 
  
$
    531
 
  
$
    663
 
 
(1)
Excludes our equity-accounted joint ventures. See Note 25 to the consolidated financial statements for further details.
Summary of Encumbered and Unencumbered Assets from On- and Off-Balance Sheet Sources
Encumbered and unencumbered liquid assets from
on-
and
off-balance
sheet sources are summarized as follows:
 
$ millions, as at October 31
 
Bank owned
liquid assets
 
 
Securities received
as collateral
 
  
Total liquid
assets
 
  
Encumbered
liquid assets
 
  
Unencumbered
liquid assets 
(1)
 
2019
 
Cash and deposits with banks
 
$
17,359
 
 
$
–
 
  
$
17,359
 
  
$
784
 
  
$
16,575
 
 
 
Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks
 
 
85,881
 
 
 
86,205
 
  
 
172,086
 
  
 
100,203
 
  
 
71,883
 
 
 
Other debt securities
 
 
4,928
 
 
 
3,139
 
  
 
8,067
 
  
 
1,838
 
  
 
6,229
 
 
 
Equities
 
 
26,441
 
 
 
15,766
 
  
 
42,207
 
  
 
23,623
 
  
 
18,584
 
 
 
Canadian government guaranteed National Housing Act mortgage-backed securities
 
 
41,378
 
 
 
876
 
  
 
42,254
 
  
 
11,627
 
  
 
30,627
 
 
 
Other liquid assets
(2)
 
 
11,196
 
 
 
463
 
  
 
11,659
 
  
 
6,864
 
  
 
4,795
 
 
 
 
 
$
187,183
 
 
$
106,449
 
  
$
293,632
 
  
$
144,939
 
  
$
148,693
 
2018
 
Cash and deposits with banks
 
$
17,691
 
 
$
–
 
  
$
17,691
 
  
$
686
 
  
$
17,005
 
 
 
Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks
 
 
67,478
 
 
 
74,933
 
  
 
142,411
 
  
 
75,431
 
  
 
66,980
 
 
 
Other debt securities
 
 
6,684
 
 
 
2,092
 
  
 
8,776
 
  
 
1,240
 
  
 
7,536
 
 
 
Equities
 
 
25,018
 
 
 
20,641
 
  
 
45,659
 
  
 
27,859
 
  
 
17,800
 
 
 
Canadian government guaranteed National Housing Act
mortgage-backed
securities
 
 
39,465
 
 
 
834
 
  
 
40,299
 
  
 
10,182
 
  
 
30,117
 
 
 
Other liquid assets
(2)
 
 
6,500
 
 
 
1,598
 
  
 
8,098
 
  
 
6,621
 
  
 
1,477
 
 
 
 
 
$
    162,836
 
 
$
    100,098
 
  
$
    262,934
 
  
$
    122,019
 
  
$
    140,915
 
 
 
(1)
Unencumbered liquid assets are defined as
on-balance
sheet assets, assets borrowed or purchased under resale agreements, and other
off-balance
sheet collateral received less encumbered liquid assets.
 
 
(2)
Includes cash pledged as collateral for derivatives transactions, select ABS and precious metals.
Summary of Contractual Maturity Profile of On-Balance Sheet Assets, Liabilities and Equity at their Carrying Values
The following table provides the contractual maturity profile of our
on-balance
sheet assets, liabilities and equity at their carrying values. Contractual analysis is not representative of CIBC’s liquidity risk exposure, however this information serves to inform CIBC’s management of liquidity risk, and provide input when modelling a behavioural balance sheet.
 
$ millions, as at October 31, 2019
 
Less than
1 month
 
 
1–3
months
 
 
3–6
months
 
 
6–9
months
 
 
9–12
months
 
 
1–2
years
 
 
2–5
 
years
 
 
Over
5 years
 
 
No specified
maturity
 
 
Total
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash and non-interest-bearing deposits with banks
 
$
3,840
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
3,840
 
Interest-bearing deposits with banks
 
 
13,519
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
13,519
 
Securities
 
 
5,316
 
 
 
3,800
 
 
 
3,228
 
 
 
2,554
 
 
 
2,578
 
 
 
9,669
 
 
 
41,252
 
 
 
25,768
 
 
 
27,145
 
 
 
121,310
 
Cash collateral on securities borrowed
 
 
3,664
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
3,664
 
Securities purchased under resale agreements
 
 
31,179
 
 
 
18,164
 
 
 
5,874
 
 
 
464
 
 
 
430
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
56,111
 
Loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgages
 
 
2,457
 
 
 
4,652
 
 
 
10,505
 
 
 
15,312
 
 
 
13,379
 
 
 
46,194
 
 
 
106,660
 
 
 
9,106
 
 
 
387
 
 
 
208,652
 
Personal
 
 
774
 
 
 
562
 
 
 
983
 
 
 
992
 
 
 
879
 
 
 
208
 
 
 
2,610
 
 
 
2,999
 
 
 
33,644
 
 
 
43,651
 
Credit card
 
 
268
 
 
 
536
 
 
 
804
 
 
 
804
 
 
 
804
 
 
 
3,214
 
 
 
6,325
 
 
 
–
 
 
 
–
 
 
 
12,755
 
Business and government
 
 
14,731
 
 
 
4,844
 
 
 
4,829
 
 
 
5,407
 
 
 
4,300
 
 
 
16,600
 
 
 
40,627
 
 
 
14,103
 
 
 
20,357
 
 
 
125,798
 
Allowance for credit losses
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
(1,915
) 
 
 
(1,915
) 
Derivative instruments
 
 
2,883
 
 
 
3,588
 
 
 
1,475
 
 
 
943
 
 
 
744
 
 
 
2,598
 
 
 
3,757
 
 
 
7,907
 
 
 
–
 
 
 
23,895
 
Customers’ liability under acceptances
 
 
8,242
 
 
 
880
 
 
 
42
 
 
 
2
 
 
 
1
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
9,167
 
Other assets
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
31,157
 
 
 
31,157
 
 
 
$
86,873
 
 
$
37,026
 
 
$
27,740
 
 
$
26,478
 
 
$
23,115
 
 
$
78,483
 
 
$
201,231
 
 
$
59,883
 
 
$
110,775
 
 
$
651,604
 
October 31, 2018
 
$
 71,919
 
 
$
 28,094
 
 
$
 22,273
 
 
$
 28,495
 
 
$
 19,833
 
 
$
 83,405
 
 
$
 187,178
 
 
$
 53,821
 
 
$
 102,081
 
 
$
 597,099
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
(1)
 
$
19,732
 
 
$
27,662
 
 
$
43,422
 
 
$
30,962
 
 
$
25,002
 
 
$
28,356
 
 
$
49,713
 
 
$
11,800
 
 
$
249,063
 
 
$
485,712
 
Obligations related to securities sold short
 
 
15,635
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
15,635
 
Cash collateral on securities lent
 
 
1,822
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
1,822
 
Obligations related to securities sold under repurchase agreements
 
 
39,746
 
 
 
11,207
 
 
 
460
 
 
 
242
 
 
 
146
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
51,801
 
Derivative instruments
 
 
3,605
 
 
 
3,790
 
 
 
683
 
 
 
1,828
 
 
 
929
 
 
 
3,287
 
 
 
4,694
 
 
 
6,297
 
 
 
–
 
 
 
25,113
 
Acceptances
 
 
8,263
 
 
 
880
 
 
 
42
 
 
 
2
 
 
 
1
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
9,188
 
Other liabilities
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
19,069
 
 
 
19,069
 
Subordinated indebtedness
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
4,684
 
 
 
–
 
 
 
4,684
 
Equity
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
38,580
 
 
 
38,580
 
 
 
$
88,803
 
 
$
43,539
 
 
$
44,607
 
 
$
33,034
 
 
$
26,078
 
 
$
31,643
 
 
$
54,407
 
 
$
22,781
 
 
$
306,712
 
 
$
651,604
 
October 31, 2018
 
$
78,258
 
 
$
33,933
 
 
$
36,399
 
 
$
32,776
 
 
$
27,726
 
 
$
29,779
 
 
$
56,793
 
 
$
19,607
 
 
$
281,828
 
 
$
597,099
 
 
(1)
Comprises $178.1 billion (2018: $163.9 billion) of personal deposits; $296.4 billion (2018: $282.7 billion) of business and government deposits and secured borrowings; and $11.2 billion (2018: $14.4 billion) of bank deposits.
 
Summary of Off-Balance Sheet Credit Related Commitments
The following table provides the contractual maturity of notional amounts of
off-balance
sheet credit-related commitments. Since a significant portion of commitments are expected to expire without being drawn upon, the total of the contractual amounts is not representative of future liquidity requirements.
 
$ millions, as at October 31, 2019
 
Less than
1 month
 
 
1–3
months
 
 
3–6
months
 
 
6–9
months
 
 
9–12
months
 
 
1–2
years
 
 
2–5
years
 
 
Over
5 years
 
 
No specified
maturity 
(1)
 
 
Total
 
Securities lending
(2)
 
$
36,233
 
 
$
4,564
 
 
$
3,423
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
44,220
 
Unutilized credit commitments
 
 
1,055
 
 
 
5,844
 
 
 
2,645
 
 
 
4,047
 
 
 
3,191
 
 
 
13,963
 
 
 
49,350
 
 
 
2,867
 
 
 
158,076
 
 
 
241,038
 
Backstop liquidity facilities
 
 
–
 
 
 
8,685
 
 
 
1,089
 
 
 
587
 
 
 
464
 
 
 
32
 
 
 
–
 
 
 
13
 
 
 
–
 
 
 
10,870
 
Standby and performance letters of credit
 
 
1,812
 
 
 
2,491
 
 
 
1,876
 
 
 
3,421
 
 
 
2,148
 
 
 
789
 
 
 
853
 
 
 
99
 
 
 
–
 
 
 
13,489
 
Documentary and commercial letters of credit
 
 
76
 
 
 
85
 
 
 
26
 
 
 
8
 
 
 
22
 
 
 
–
 
 
 
7
 
 
 
–
 
 
 
–
 
 
 
224
 
Other commitments to extend credit
 
 
2,937
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
2,937
 
 
 
$
42,113
 
 
$
21,669
 
 
$
9,059
 
 
$
8,063
 
 
$
5,825
 
 
$
14,784
 
 
$
50,210
 
 
$
2,979
 
 
$
158,076
 
 
$
312,778
 
October 31, 2018
(3)
 
$
  43,191
 
 
$
  22,587
 
 
$
  11,367
 
 
$
  6,716
 
 
$
  4,879
 
 
$
  11,622
 
 
$
  47,445
 
 
$
  2,449
 
 
$
  150,139
 
 
$
  300,395
 
 
(1)
Includes $122.0 billion (2018: $116.5 billion) of personal, home equity and credit card lines, which are unconditionally cancellable at our discretion.
 
(2)
Excludes securities lending of $1.8 billion (2018: $2.7 billion) for cash because it is reported on the consolidated balance sheet.
 
(3)
Certain prior period amounts have been revised from those previously presented. 
Summary of Contractual Maturities of Other Contractual Obligations Affecting Our Funding Needs
The following table provides the contractual maturities of other contractual obligations affecting our funding needs:
 
$ millions, as at October 31, 2019
 
Less than
1 month
 
 
1–3
months
 
 
3–6
months
 
 
6–9
months
 
 
9–12
months
 
 
1–2
years
 
 
2–5
years
 
 
Over
5 years
 
 
Total
 
Operating leases
(1)
 
$
42
 
 
$
84
 
 
$
127
 
 
$
127
 
 
$
130
 
 
$
529
 
 
$
1,255
 
 
$
3,253
 
 
$
5,547
 
Purchase obligations
(2)
 
 
102
 
 
 
214
 
 
 
223
 
 
 
189
 
 
 
161
 
 
 
451
 
 
 
619
 
 
 
89
 
 
 
2,048
 
Pension contributions
(3)
 
 
17
 
 
 
33
 
 
 
49
 
 
 
49
 
 
 
49
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
197
 
Underwriting commitments
 
 
60
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
60
 
Investment commitments
 
 
1
 
 
 
4
 
 
 
–
 
 
 
–
 
 
 
4
 
 
 
1
 
 
 
8
 
 
 
240
 
 
 
258
 
 
 
$
222
 
 
$
335
 
 
$
399
 
 
$
365
 
 
$
344
 
 
$
981
 
 
$
1,882
 
 
$
3,582
 
 
$
8,110
 
October 31, 2018
 
$
  331
 
 
$
  304
 
 
$
  370
 
 
$
  347
 
 
$
  342
 
 
$
  970
 
 
$
  1,964
 
 
$
  3,751
 
 
$
  8,379
 
 
(1)
Includes rental payments, related taxes and estimated operating expenses.
 
 
(2)
Obligations that are legally binding agreements whereby we agree to purchase products or services with specific minimum or baseline quantities defined at fixed, minimum or variable prices over a specified period of time are defined as purchase obligations. Purchase obligations are included through to the termination date specified in the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods and services include clauses that would allow us to cancel the agreement prior to expiration of the contract within a specific notice period. However, the amount above includes our obligations without regard to such termination clauses (unless actual notice of our intention to terminate the agreement has been communicated to the counterparty). The table excludes purchases of debt and equity instruments that settle within standard market time frames.
 
 
(3)
Includes estimated minimum funding contributions for our funded defined benefit pension plans in Canada, the U.S., the U.K., and the Caribbean. Estimated minimum funding contributions are included only for the next annual period as the minimum contributions are affected by various factors, such as market performance and regulatory requirements, and therefore are subject to significant variability.