XML 83 R16.htm IDEA: XBRL DOCUMENT v3.20.2
Loans
 12 Months Ended
Oct. 31, 2020
Text block [abstract]  
Loans
 
 
Note  6
 
Loans
(1)(2)
 
 
$ millions, as at October 31
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2020
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2019
 
 
 
 
Gross
amount
 
 
Stage 3
allowance
 
 
Stages 1
and 2
allowance
 
 
Total
allowance 
(3)
 
 
Net
total
 
 
 
 
 
 
Gross
amount
 
 
Stage 3
allowance
 
 
Stages 1
and 2
allowance
 
 
Total
allowance 
(3)
 
 
Net
total
 
Residential mortgages
(4)
 
$
221,165
 
 
$
151
 
 
$
212
 
 
$
363
 
 
$
220,802
 
 
   
 
$
208,652
 
 
$
140
 
 
$
71
 
 
$
211
 
 
$
208,441
 
Personal
 
 
42,222
 
 
 
113
 
 
 
719
 
 
 
832
 
 
 
41,390
 
 
   
 
 
43,651
 
 
 
128
 
 
 
425
 
 
 
553
 
 
 
43,098
 
Credit card
 
 
11,389
 
 
 
–
 
 
 
667
 
 
 
667
 
 
 
10,722
 
 
   
 
 
12,755
 
 
 
–
 
 
 
420
 
 
 
420
 
 
 
12,335
 
Business and government
(4)
 
 
135,546
 
 
 
650
 
 
 
1,028
 
 
 
1,678
 
 
 
133,868
 
 
 
 
 
 
 
125,798
 
 
 
376
 
 
 
355
 
 
 
731
 
 
 
125,067
 
 
 
$
  410,322
 
 
$
  914
 
 
$
  2,626
 
 
$
  3,540
 
 
$
  406,782
 
 
 
 
 
 
$
  390,856
 
 
$
  644
 
 
$
  1,271
 
 
$
  1,915
 
 
$
  388,941
 
 
(1)
Loans are net of unearned income of $530 million (2019: $469 million).
(2)
Includes gross loans of $76.6 billion (2019: $69.5 billion) denominated in U.S. dollars and $8.4 billion (2019: $6.7 billion) denominated in other foreign currencies.
(3)
Includes ECL allowances for customers’ liability under acceptances.
(4)
Includes $63 million of residential mortgages (2019: $60 million) and $23,291 million of business and government loans (2019: $21,182 million) that are measured at FVTPL.
 
Allowance for credit losses
The following table provides a reconciliation of the opening balance to the closing balance of the ECL allowance:
 
$ millions, as at or for the year ended October 31
 
2020
 
 
 
Stage 1
 
 
Stage 2
 
 
Stage 3
 
 
 
 
 
 
 
Collective provision
12-month
ECL
performing
 
 
Collective provision
lifetime ECL
performing
 
 
Collective and
individual provision
lifetime ECL
credit-impaired 
(1)
 
 
Total
 
Residential mortgages
 
   
 
   
 
   
 
   
Balance at beginning of year
 
$
28
 
 
$
43
 
 
$
140
 
 
$
211
 
Originations net of repayments and other derecognitions
 
 
9
 
 
 
(12
) 
 
 
(17
) 
 
 
(20
) 
Changes in model
 
 
(3
) 
 
 
30
 
 
 
–
 
 
 
27
 
Net remeasurement
(2)
 
 
(21
) 
 
 
123
 
 
 
73
 
 
 
175
 
Transfers
(2)
 
   
 
   
 
   
 
   
– to
12-month
ECL
 
 
61
 
 
 
(51
) 
 
 
(10
) 
 
 
–
 
– to lifetime ECL performing
 
 
(23
) 
 
 
39
 
 
 
(16
) 
 
 
–
 
– to lifetime ECL credit-impaired
 
 
–
 
 
 
(10
) 
 
 
10
 
 
 
–
 
Provision for (reversal of) credit losses
(3)
 
 
23
 
 
 
119
 
 
 
40
 
 
 
182
 
Write-offs
(4)
 
 
–
 
 
 
–
 
 
 
(16
) 
 
 
(16
) 
Recoveries
 
 
–
 
 
 
–
 
 
 
6
 
 
 
6
 
Interest income on impaired loans
 
 
–
 
 
 
–
 
 
 
(19
) 
 
 
(19
) 
Foreign exchange and other
 
 
–
 
 
 
(1
) 
 
 
–
 
 
 
(1
) 
Balance at end of year
 
$
51
 
 
$
161
 
 
$
151
 
 
$
363
 
Personal
 
   
 
   
 
   
 
   
Balance at beginning of year
 
$
174
 
 
$
271
 
 
$
128
 
 
$
573
 
Originations net of repayments and other derecognitions
 
 
37
 
 
 
(51
) 
 
 
(12
) 
 
 
(26
) 
Changes in model
 
 
(13
) 
 
 
181
 
 
 
–
 
 
 
168
 
Net remeasurement
(2)
 
 
(186
) 
 
 
378
 
 
 
247
 
 
 
439
 
Transfers
(2)
 
   
 
   
 
   
 
   
– to
12-month
ECL
 
 
300
 
 
 
(292
) 
 
 
(8
) 
 
 
–
 
– to lifetime ECL performing
 
 
(108
) 
 
 
126
 
 
 
(18
) 
 
 
–
 
– to lifetime ECL credit-impaired
 
 
–
 
 
 
(67
) 
 
 
67
 
 
 
–
 
Provision for (reversal of) credit losses
(3)
 
 
30
 
 
 
275
 
 
 
276
 
 
 
581
 
Write-offs
(4)
 
 
–
 
 
 
–
 
 
 
(353
) 
 
 
(353
) 
Recoveries
 
 
–
 
 
 
–
 
 
 
66
 
 
 
66
 
Interest income on impaired loans
 
 
–
 
 
 
–
 
 
 
(5
) 
 
 
(5
) 
Foreign exchange and other
 
 
–
 
 
 
–
 
 
 
1
 
 
 
1
 
Balance at end of year
 
$
204
 
 
$
546
 
 
$
113
 
 
$
863
 
Credit card
 
   
 
   
 
   
 
   
Balance at beginning of year
 
$
145
 
 
$
340
 
 
$
–
 
 
$
485
 
Originations net of repayments and other derecognitions
 
 
(3
) 
 
 
(69
) 
 
 
–
 
 
 
(72
) 
Changes in model
 
 
(6
) 
 
 
59
 
 
 
–
 
 
 
53
 
Net remeasurement
(2)
 
 
(223
) 
 
 
674
 
 
 
89
 
 
 
540
 
Transfers
(2)
 
   
 
   
 
   
 
   
– to
12-month
ECL
 
 
281
 
 
 
(281
) 
 
 
–
 
 
 
–
 
– to lifetime ECL performing
 
 
(58
) 
 
 
58
 
 
 
–
 
 
 
–
 
– to lifetime ECL credit-impaired
 
 
–
 
 
 
(209
) 
 
 
209
 
 
 
–
 
Provision for (reversal of) credit losses
(3)
 
 
(9
) 
 
 
232
 
 
 
298
 
 
 
521
 
Write-offs
(4)
 
 
–
 
 
 
–
 
 
 
(409
) 
 
 
(409
) 
Recoveries
 
 
–
 
 
 
–
 
 
 
111
 
 
 
111
 
Interest income on impaired loans
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Foreign exchange and other
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Balance at end of year
 
$
136
 
 
$
572
 
 
$
–
 
 
$
708
 
Business and government
 
   
 
   
 
   
 
   
Balance at beginning of year
 
$
239
 
 
$
158
 
 
$
378
 
 
$
775
 
Originations net of repayments and other derecognitions
 
 
51
 
 
 
(45
) 
 
 
(20
) 
 
 
(14
) 
Changes in model
 
 
14
 
 
 
(1
) 
 
 
(1
) 
 
 
12
 
Net remeasurement
(2)
 
 
264
 
 
 
594
 
 
 
349
 
 
 
1,207
 
Transfers
(2)
 
   
 
   
 
   
 
   
– to
12-month
ECL
 
 
113
 
 
 
(103
) 
 
 
(10
) 
 
 
–
 
– to lifetime ECL performing
 
 
(201
) 
 
 
210
 
 
 
(9
) 
 
 
–
 
– to lifetime ECL credit-impaired
 
 
(21
) 
 
 
(121
) 
 
 
142
 
 
 
–
 
Provision for (reversal of) credit losses
(3)
 
 
220
 
 
 
534
 
 
 
451
 
 
 
1,205
 
Write-offs
(4)
 
 
–
 
 
 
–
 
 
 
(157
) 
 
 
(157
) 
Recoveries
 
 
–
 
 
 
–
 
 
 
9
 
 
 
9
 
Interest income on impaired loans
 
 
–
 
 
 
–
 
 
 
(21
) 
 
 
(21
) 
Foreign exchange and other
 
 
(6
) 
 
 
(9
) 
 
 
(8
) 
 
 
(23
) 
Balance at end of year
 
$
453
 
 
$
683
 
 
$
652
 
 
$
1,788
 
Total ECL allowance
(5)
 
$
844
 
 
$
1,962
 
 
$
916
 
 
$
3,722
 
Comprises:
 
   
 
   
 
   
 
   
Loans
 
$
     735
 
 
$
    1,891
 
 
$
     914
 
 
$
    3,540
 
Undrawn credit facilities and other
off-balance
sheet exposures
(6)
 
 
109
 
 
 
71
 
 
 
2
 
 
 
182
 
 
(1)
Includes the ECL allowance for purchased credit-impaired loans from the acquisition of The PrivateBank.
(2)
Transfers represent stage movements of prior period ECL allowances to the current period stage classification. Net remeasurement represents the current period change in ECL allowances for transfers, net write-offs, changes in forecasts of forward-looking information, parameter updates, and partial repayments in the period.
(3)
Provision for (reversal of) credit losses for loans and undrawn credit facilities and other
off-balance
sheet exposures is presented as Provision for (reversal of) credit losses on our consolidated statement of income.
(4)
We generally continue to pursue collection on the amounts that were written off. The degree of collection efforts varies from one jurisdiction to another, depending on the local regulations and original agreements with customers.
(5)
See Note 5 for the ECL allowance on debt securities measured at FVOCI. The table above excludes the ECL allowance on debt securities classified at amortized cost of $16 million as at October 31, 2020 (2019: $2 million), $14 million of which was stage 3 ECL allowance on originated credit-impaired amortized cost debt securities (2019: nil). The ECL allowances for other financial assets classified at amortized cost were immaterial as at October 31, 2020 and were excluded from the table above. Financial assets other than loans that are classified at amortized cost are presented on our consolidated balance sheet net of ECL allowances.
(6)
Included in Other liabilities on our consolidated balance sheet.
 
$ millions, as at or for the year ended October 31
  
2019
 
 
  
Stage 1
 
 
Stage 2
 
 
Stage 3
 
 
 
 
  
 
 
 
 
  
Collective provision
12-month
ECL
performing
 
 
Collective provision
lifetime ECL
performing
 
 
Collective and
individual provision
lifetime ECL
credit-impaired 
(1)
 
 
 
 
 
  
Total
 
Residential mortgages
  
   
 
   
 
   
 
   
  
   
Balance at beginning of year
  
$
27
 
 
$
44
 
 
$
143
 
 
   
  
$
214
 
Originations net of repayments and other derecognitions
  
 
4
 
 
 
(11
) 
 
 
(23
) 
 
   
  
 
(30
) 
Changes in model
  
 
(2
) 
 
 
(6
) 
 
 
(5
) 
 
   
  
 
(13
) 
Net remeasurement
(2)
  
 
(41
) 
 
 
32
 
 
 
94
 
 
   
  
 
85
 
Transfers
(2)
  
   
 
   
 
   
 
   
  
   
– to
12-month
ECL
  
 
42
 
 
 
(30
) 
 
 
(12
) 
 
   
  
 
–
 
– to lifetime ECL performing
  
 
(3
) 
 
 
22
 
 
 
(19
) 
 
   
  
 
–
 
– to lifetime ECL credit-impaired
  
 
–
 
 
 
(7
) 
 
 
7
 
 
 
 
 
  
 
–
 
Provision for (reversal of) credit losses
(3)
  
 
–
 
 
 
–
 
 
 
42
 
 
   
  
 
42
 
Write-offs
(4)
  
 
–
 
 
 
–
 
 
 
(29
) 
 
   
  
 
(29
) 
Recoveries
  
 
–
 
 
 
–
 
 
 
2
 
 
   
  
 
2
 
Interest income on impaired loans
  
 
–
 
 
 
–
 
 
 
(17
) 
 
   
  
 
(17
) 
Foreign exchange and other
  
 
1
 
 
 
(1
) 
 
 
(1
) 
 
 
 
 
  
 
(1
) 
Balance at end of year
  
$
28
 
 
$
43
 
 
$
140
 
 
 
 
 
  
$
211
 
Personal
  
   
 
   
 
   
 
   
  
   
Balance at beginning of year
  
$
190
 
 
$
199
 
 
$
109
 
 
   
  
$
498
 
Originations net of repayments and other derecognitions
  
 
45
 
 
 
(50
) 
 
 
–
 
 
   
  
 
(5
) 
Changes in model
  
 
(14
) 
 
 
30
 
 
 
–
 
 
   
  
 
16
 
Net remeasurement
(2)
  
 
(194
) 
 
 
283
 
 
 
309
 
 
   
  
 
398
 
Transfers
(2)
  
   
 
   
 
   
 
   
  
   
– to
12-month
ECL
  
 
183
 
 
 
(179
) 
 
 
(4
) 
 
   
  
 
–
 
– to lifetime ECL performing
  
 
(37
) 
 
 
51
 
 
 
(14
) 
 
   
  
 
–
 
– to lifetime ECL credit-impaired
  
 
–
 
 
 
(63
) 
 
 
63
 
 
 
 
 
  
 
–
 
Provision for (reversal of) credit losses
(3)
  
 
(17
) 
 
 
72
 
 
 
354
 
 
   
  
 
409
 
Write-offs
(4)
  
 
–
 
 
 
–
 
 
 
(395
) 
 
   
  
 
(395
) 
Recoveries
  
 
–
 
 
 
–
 
 
 
62
 
 
   
  
 
62
 
Interest income on impaired loans
  
 
–
 
 
 
–
 
 
 
(5
) 
 
   
  
 
(5
) 
Foreign exchange and other
  
 
1
 
 
 
–
 
 
 
3
 
 
 
 
 
  
 
4
 
Balance at end of year
  
$
174
 
 
$
271
 
 
$
128
 
 
 
 
 
  
$
573
 
Credit card
  
   
 
   
 
   
 
   
  
   
Balance at beginning of year
  
$
102
 
 
$
370
 
 
$
–
 
 
   
  
$
472
 
Originations net of repayments and other derecognitions
  
 
–
 
 
 
(50
) 
 
 
–
 
 
   
  
 
(50
) 
Changes in model
  
 
36
 
 
 
(48
) 
 
 
–
 
 
   
  
 
(12
) 
Net remeasurement
(2)
  
 
(190
) 
 
 
477
 
 
 
184
 
 
   
  
 
471
 
Transfers
(2)
  
   
 
   
 
   
 
   
  
   
– to
12-month
ECL
  
 
229
 
 
 
(229
) 
 
 
–
 
 
   
  
 
–
 
– to lifetime ECL performing
  
 
(33
) 
 
 
33
 
 
 
–
 
 
   
  
 
–
 
– to lifetime ECL credit-impaired
  
 
–
 
 
 
(215
) 
 
 
215
 
 
 
 
 
  
 
–
 
Provision for (reversal of) credit losses
(3)
  
 
42
 
 
 
(32
) 
 
 
399
 
 
   
  
 
409
 
Write-offs
(4)
  
 
–
 
 
 
–
 
 
 
(516
) 
 
   
  
 
(516
) 
Recoveries
  
 
–
 
 
 
–
 
 
 
117
 
 
   
  
 
117
 
Interest income on impaired loans
  
 
–
 
 
 
–
 
 
 
–
 
 
   
  
 
–
 
Foreign exchange and other
  
 
1
 
 
 
2
 
 
 
–
 
 
 
 
 
  
 
3
 
Balance at end of year
  
$
145
 
 
$
340
 
 
$
–
 
 
 
 
 
  
$
485
 
Business and government
  
   
 
   
 
   
 
   
  
   
Balance at beginning of year
  
$
180
 
 
$
147
 
 
$
230
 
 
   
  
$
557
 
Originations net of repayments and other derecognitions
  
 
32
 
 
 
(19
) 
 
 
(21
) 
 
   
  
 
(8
) 
Changes in model
  
 
–
 
 
 
1
 
 
 
3
 
 
   
  
 
4
 
Net remeasurement
(2)
  
 
(17
) 
 
 
97
 
 
 
350
 
 
   
  
 
430
 
Transfers
(2)
  
   
 
   
 
   
 
   
  
   
– to
12-month
ECL
  
 
71
 
 
 
(64
) 
 
 
(7
) 
 
   
  
 
–
 
– to lifetime ECL performing
  
 
(21
) 
 
 
25
 
 
 
(4
) 
 
   
  
 
–
 
– to lifetime ECL credit-impaired
  
 
(2
) 
 
 
(29
) 
 
 
31
 
 
 
 
 
  
 
–
 
Provision for (reversal of) credit losses
(3)
  
 
63
 
 
 
11
 
 
 
352
 
 
   
  
 
426
 
Write-offs
(4)
  
 
–
 
 
 
–
 
 
 
(190
) 
 
   
  
 
(190
) 
Recoveries
  
 
–
 
 
 
–
 
 
 
13
 
 
   
  
 
13
 
Interest income on impaired loans
  
 
–
 
 
 
–
 
 
 
(18
) 
 
   
  
 
(18
) 
Foreign exchange and other
  
 
(4
) 
 
 
–
 
 
 
(9
) 
 
 
 
 
  
 
(13
) 
Balance at end of year
  
$
239
 
 
$
158
 
 
$
378
 
 
 
 
 
  
$
775
 
Total ECL allowance
(5)
  
$
586
 
 
$
812
 
 
$
646
 
 
 
 
 
  
$
2,044
 
Comprises:
  
   
 
   
 
   
 
   
  
   
Loans
  
$
    526
 
 
$
    745
 
 
$
    644
 
 
   
  
$
    1,915
 
Undrawn credit facilities and other
off-balance
sheet exposures
 (6)
  
 
60
 
 
 
67
 
 
 
2
 
 
 
 
 
  
 
129
 
 
(1)
Includes the ECL allowance for purchased credit-impaired loans from the acquisition of The PrivateBank.
(2)
Transfers represent stage movements of prior period ECL allowances to the current period stage classification. Net remeasurement represents the current period change in ECL allowances for transfers, net write-offs, changes in forecasts of forward-looking information, parameter updates, and partial repayments in the period.
(3)
Provision for (reversal of) credit losses for loans and undrawn credit facilities and other
off-balance
sheet exposures is presented as Provision for (reversal of) credit losses on our consolidated statement of income.
(4)
We generally continue to pursue collection on the amounts that were written off. The degree of collection efforts varies from one jurisdiction to another, depending on the local regulations and original agreements with customers.
(5)
See Note 5 for the ECL allowance on debt securities measured at FVOCI. The table above excludes the ECL allowance on debt securities classified at amortized cost of $2 million as at October 31, 2019. The ECL allowances for other financial assets classified at amortized cost were immaterial as at October 31, 2019 and were excluded from the table above. Financial assets other than loans that are classified at amortized cost are presented on our consolidated balance sheet net of ECL allowances.
(6)
Included in Other liabilities on our consolidated balance sheet.
Inputs, assumptions and model techniques
Our ECL allowances are estimated using complex models that incorporate inputs, assumptions and model techniques that involve a high degree of management judgment. In particular, the following ECL elements are subject to a high level of judgment that can have a significant impact on the level of ECL allowances provided:
•
 
Determining when a significant increase in credit risk (SICR) of a loan has occurred;
•
 
Measuring both
12-month
and lifetime credit losses; and
•
 
Forecasting forward-looking information for multiple scenarios and determining the probability weighting of the scenarios driven by the changes in the macroeconomic environment.
In addition, the interrelationship between these elements is also subject to a high degree of judgment which can also have a significant impact on the level of ECL recognized.
The uncertainties inherent in the
COVID-19
pandemic have increased the level of judgment applied in respect of all these elements as discussed below. Actual credit losses could differ materially from those reflected in our estimates.
Determining when a significant increase in credit risk has occurred
The determination of whether a loan has experienced a SICR has a significant impact on the level of ECL allowance as loans that are in stage 1 are measured at
12-month
ECL, while loans in stage 2 are measured at lifetime ECL. Migration of loans between stage 1 and stage 2 can cause significant volatility in the amount of the recognized ECL allowances and the provision for credit losses in a particular period.
For the majority of our retail loan portfolios, we determine a SICR based on relative changes in the loan’s lifetime PD since its initial recognition. The PDs used for this purpose are the expected value of our upside, downside and base case lifetime PDs. Significant judgment is involved in determining the upside, downside and base case lifetime PDs through the incorporation of forward-looking information into
long-run
PDs, in determining the probability weightings of the scenarios, and in determining the relative changes in PDs that are indicative of a SICR for our various retail products. Increases in the expected PDs or decreases in the thresholds for changes in PDs that are indicative of a SICR can cause significant migration of loans from stage 1 to stage 2, which in turn can cause a significant increase in the amount of ECL allowances recognized. In contrast, decreases in the expected PDs or increases in the thresholds for changes in PDs that are indicative of a SICR can cause significant migration of loans from stage 2 to stage 1.
For the majority of our business and government loan portfolios, we determine a SICR based on relative changes in internal risk ratings since initial recognition. Significant judgment is involved in the determination of the internal risk ratings. Deterioration or improvement in the risk ratings or adjustments to the risk rating downgrade thresholds used to determine a SICR can cause significant migration of loans and securities between stage 1 and stage 2, which in turn can have a significant impact on the amount of ECL allowances recognized. While potentially significant to the level of ECL allowances recognized, the thresholds for changes in PDs that are indicative of a SICR for our retail portfolios and the risk rating downgrade thresholds used to determine a SICR for our business and government loan portfolios are not expected to change frequently.
All loans on which repayment of principal or payment of interest is contractually 30 days in arrears and all business and government loans that have migrated to the watch list are normally automatically migrated to stage 2 from stage 1.
As at October 31, 2020, if the ECL for the stage 2 performing loans were measured using stage 1 ECL as opposed to lifetime ECL, the expected credit losses would be $743 million lower than the total recognized IFRS 9 ECL on performing loans (2019: $305 million).
Impact of the
COVID-19
pandemic
The determination of whether a SICR has occurred in the
COVID-19
pandemic required a heightened application of judgment in a number of areas, including with respect to the evaluation of the evolving macroeconomic environment, the various client relief programs we have provided to our clients and the unprecedented level of government support being provided to individuals and businesses.
Consistent with guidance issued by the IASB, interest or principal deferments pursuant to various relief programs provided to both our retail and business and government clients have not automatically resulted in a SICR that would trigger migration to stage 2 by reason only that a deferral under the program was granted. However, the inclusion of a loan in a relief program did not preclude its migration to stage 2 if we determined that there was a SICR based on our assessment of the changes in the risk of a default occurring over the expected life of a loan.
For retail clients and consistent with our past practice, SICR was determined based on an evaluation of the relative increase in lifetime PDs using forward-looking indicators reflective of our expectations. However, we applied judgment in the degree that our forecasts of certain forward-looking indicators, including unemployment, should cause a SICR in light of the level of government support provided.
For the majority of our business and government clients, we continued to utilize risk ratings as the primary determinant of a SICR. We applied judgment in the determination of the industries most impacted by the
COVID-19
pandemic and assessed the associated impact on risk ratings after considering the benefit of government support.
Measuring both
12-month
and lifetime expected credit losses
Our ECL models leverage the PD, LGD, and EAD parameters, as well as the portfolio segmentation used to calculate Basel expected loss regulatory adjustments for the portion of our retail and business and government portfolios under the advanced internal ratings-based (AIRB) approach. Adjustments are made to the Basel parameters to meet IFRS 9 requirements, including the conversion of
through-the-cycle
and downturn parameters used in the Basel regulatory calculations to
point-in-time
parameters used under IFRS 9 that consider forward-looking information. For standardized business and government portfolios, available
long-run
PDs, LGDs and EADs are also converted to
point-in-time
parameters through the incorporation of forward-looking information for the purpose of measuring ECL under IFRS 9.
Significant judgment is involved in determining which forward-looking information variables are relevant for particular portfolios and in determining the extent by which
through-the-cycle
parameters should be adjusted for forward-looking information to determine
point-in-time
parameters. While changes in the set of forward-looking information variables used to convert
through-the-cycle
PDs, LGDs and EADs into
point-in-time
parameters can either increase or decrease ECL allowances in a particular period, changes to the mapping of forward-looking information variables to particular portfolios are expected to be infrequent. However, changes in the particular forward-looking information parameters used to quantify
point-in-time
parameters will be frequent as our forecasts are updated on a quarterly basis. Increases in the level of pessimism in the forward-looking information variables will cause increases in ECL, while increases in the level of optimism in the forward-looking information variables will cause decreases in ECL. These increases and decreases could be significant in any particular period and will start to occur in the period where our outlook of the future changes.
With respect to the lifetime of a financial instrument, the maximum period considered when measuring ECL is the maximum contractual period over which we are exposed to credit risk. For revolving facilities, such as credit cards, the lifetime of a credit card account is the expected behavioural life. Significant judgment is involved in the estimate of the expected behavioural life. Increases in the expected behavioural life will increase the amount of ECL allowances, in particular for revolving loans in stage 2.
Impact of the
COVID-19
pandemic
The measurement of ECL in the
COVID-19
pandemic required a heightened application of judgment in a number of areas, including with respect to our expectations concerning the degree to which forward-looking information would correlate with credit losses in the current environment characterized by unprecedented levels of government support relative to the historical experience in our models. We applied judgment with respect to the degree that certain industries and portfolios would be negatively impacted by the
COVID-19
pandemic and the degree that various government support programs are expected to limit credit losses.
Forecasting forward-looking information for multiple scenarios and determining the probability weighting of the scenarios
As indicated above, forward-looking information is incorporated into both our assessment of whether a financial asset has experienced a SICR since its initial recognition and in our estimate of ECL. From analysis of historical data, our risk management function has identified and reflected in our ECL allowance those relevant forward-looking information variables that contribute to credit risk and losses within our retail and business and government loan portfolios. Within our retail loan portfolio, key forward-looking information variables include Canadian unemployment rates, housing prices and gross domestic product (GDP) growth. In many cases these variables are forecasted at the provincial level. Housing prices are also forecasted at the municipal level in some cases. Within our business and government loan portfolio, key drivers that impact the credit performance of the entire portfolio include S&P 500 growth rates, business credit growth rates, unemployment rates and credit spreads, while forward-looking information variables such as commodity prices and mining activity are significant for certain portfolios, and U.S. unemployment rates and U.S. GDP growth are significant for our U.S. portfolios.
For the majority of our loan portfolios, our forecast of forward-looking information variables is established from a “base case” or most likely scenario that is used internally by management for planning and forecasting purposes. For most of the forward-looking information variables related to our Canadian businesses, we have forecast scenarios by province. In forming the base case scenario, we consider the forecasts of international organizations and monetary authorities such as the Organisation for Economic
Co-operation
and Development (OECD), the International Monetary Fund (IMF), and the Bank of Canada, as well as private sector economists. We then derive reasonably possible “upside case” and “downside case” scenarios using external forecasts that are above and below our base case and the application of management judgment. A probability weighting is assigned to our base case, upside case and downside case scenarios based on management judgment.
The forecasting process is overseen by a governance committee consisting of internal stakeholders from across our bank including Risk Management, Economics, Finance and the impacted SBUs and involves a significant amount of judgment both in determining the forward-looking information forecasts for our various scenarios and in determining the probability weighting assigned to the scenarios. In general, a worsening of our outlook on forecasted forward-looking information for each scenario, an increase in the probability of the downside case scenario occurring, or a decrease in the probability of the upside case scenario occurring will increase the number of loans migrating from stage 1 to stage 2 and increase the estimated ECL allowance. In contrast, an improvement in our outlook on forecasted forward-looking information, an increase in the probability of the upside case scenario occurring, or a decrease in the probability of the downside case scenario occurring will have the opposite impact. It is not possible to meaningfully isolate the impact of changes in the various forward-looking information variables for a particular scenario because of both the interrelationship between the variables and the interrelationship between the level of pessimism inherent in a particular scenario and its probability of occurring.
Impact of the
COVID-19
pandemic
The forecasting of forward-looking information and the determination of scenario weightings in the
COVID-19
pandemic required a heightened application of judgment in a number of areas as our forecast reflects numerous assumptions and uncertainties regarding the economic impact of the
COVID-19
pandemic, which will ultimately depend on the speed at which an effective vaccine can be developed and administered on a mass scale, and the ability of governments, businesses and health-care systems to effectively limit the epidemiological and economic impacts of the resurgences of the virus in the intervening period.
Significant changes to our forecasts were made in the current year. The following table provides the base case, upside case and downside case scenario forecasts for select forward-looking information variables used to estimate our ECL.
 
 
 
Base case
 
 
Upside case
 
 
Downside case
 
As at October 31, 2020
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
Real GDP year-over-year growth
 
   
 
   
 
   
 
   
 
   
 
   
Canada
(2)
 
 
1.6
 % 
 
 
3.8
 % 
 
 
3.6
 % 
 
 
4.6
 % 
 
 
0.03
 % 
 
 
2.0
 % 
United States
 
 
1.7
 % 
 
 
3.5
 % 
 
 
3.0
 % 
 
 
4.2
 % 
 
 
(0.6
)% 
 
 
1.7
 % 
Unemployment rate
 
   
 
   
 
   
 
   
 
   
 
   
Canada
(2)
 
 
8.7
 % 
 
 
6.7
 % 
 
 
7.4
 % 
 
 
5.9
 % 
 
 
9.5
 % 
 
 
8.4
 % 
United States
 
 
7.4
 % 
 
 
4.7
 % 
 
 
5.1
 % 
 
 
3.5
 % 
 
 
9.2
 % 
 
 
7.3
 % 
Canadian Housing Price Index growth
(2)
 
 
2.4
 % 
 
 
3.0
 % 
 
 
11.2
 % 
 
 
10.4
 % 
 
 
(6.9
)% 
 
 
(0.8
)% 
S&P 500 Index growth rate
 
 
5.6
 % 
 
 
4.8
 % 
 
 
11.2
 % 
 
 
7.7
 % 
 
 
(3.5
)% 
 
 
(5.3
)% 
West Texas Intermediate Oil Price (US$)
 
$
      42
  
 
$
      53
  
 
$
      51
  
 
$
      60
  
 
$
      34
  
 
$
      39
  
 
(1)
The remaining forecast period is generally two years.
(2)
National-level forward-looking forecasts are presented in the table above, which represent the aggregation of the provincial-level forecasts used to estimate our ECL. Housing Price Index growth rates are also forecasted at the municipal level in some cases. As a result, the forecasts for individual provinces or municipalities reflected in our ECL will differ from the national forecasts presented above.
 
 
 
Base case
 
 
Upside case
 
 
Downside case
 
As at October 31, 2019
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
 
Average
value over
the next
12 months
 
 
Average
value over
the remaining
forecast period 
(1)
 
Canadian GDP year-over-year growth
(2)
 
 
1.5
 % 
 
 
1.8
 % 
 
 
2.3
 % 
 
 
2.5
 % 
 
 
0.6
 % 
 
 
0.8
 % 
Canadian unemployment rate
(2)
 
 
6.1
 % 
 
 
5.9
 % 
 
 
5.5
 % 
 
 
5.5
 % 
 
 
6.4
 % 
 
 
6.5
 % 
Canadian Housing Price Index growth
(2)
 
 
1.6
 % 
 
 
2.2
 % 
 
 
4.8
 % 
 
 
4.0
 % 
 
 
(2.2
)% 
 
 
(0.8
)% 
S&P 500 Index growth rate
 
 
5.0
 % 
 
 
4.7
 % 
 
 
8.2
 % 
 
 
6.6
 % 
 
 
(3.7
)% 
 
 
(10.3
)% 
West Texas Intermediate Oil Price (US$)
 
$
      60
  
 
$
      60
  
 
$
      67
  
 
$
      74
  
 
$
      47
  
 
$
        43
  
 
(1)
The remaining forecast period is generally two years.
(2)
National-level forward-looking forecasts are presented in the table above, which represent the aggregation of the provincial-level forecasts used to estimate our ECL. Housing Price Index growth rates are also forecasted at the municipal level in some cases. As a result, the forecasts for individual provinces or municipalities reflected in our ECL will differ from the national forecasts presented above.
As required, the forward-looking information used to estimate expected credit losses reflects our expectations as at October 31, 2020 and October 31, 2019, respectively, and does not reflect changes in expectation as a result of economic forecasts that may have subsequently emerged. The base case, upside case and downside case amounts shown represent the average value of the forecasts over the respective projection horizons. Our economic forecasts are made in the context of the recovery currently underway from the severe downturn experienced in the second quarter of 2020. The underlying base case projection is characterized by a slow recovery in the first half of 2021, accelerating again thereafter and with the economy returning to the same level of economic activity experienced in the
pre-COVID-19
period
in
 2022. Assumptions concerning the extent of the restrictions imposed by governments to limit the impact of subsequent waves of infection, including travel restrictions, the closure of certain businesses and other physical distancing requirements, and the timing of effective mass vaccinations, are material to these forecasts. The downside case forecast still reflects a recovery from the severe low experienced in the second calendar quarter of 2020, but to a much lower level of sustained economic activity. Meanwhile, the upside scenario continues to reflect a quicker recovery with the pre-pandemic level of activity reached in late 2021.
As at October 31, 2020, the average next 12 months real GDP growth rate in the table above is calculated based on the weighted average of the annualized calendar year 2020 and 2021 real GDP growth rates. This results in the next 12 months real GDP growth rate forecast to be lower than our calendar year 2021 real GDP growth rate forecast because the next 12 months real GDP growth rate is compared in part to a pre-pandemic level of real GDP, and the calendar year 2021 forecast also includes the strong growth rate expected in the fourth calendar quarter of 2021, after a vaccine is anticipated to be available. The relatively high forecasted real GDP growth in the remaining forecast period in the table above, relative to a year ago, is the result of the fact that we are forecasting to recover from relatively low levels of real GDP as shown in the charts below. The graphs below depict the actual and forecasted real GDP levels in Canada and the
U.S. on a calendar quarter basis:

 
 
As indicated above, forecasting forward-looking information for multiple scenarios and determining the probability weighting of the scenarios involves a high degree of management judgment, particularly in light of the
COVID-19
pandemic. If we were to only use our base case scenario for the measurement of ECL for our performing loans, our ECL allowance would be $204 million lower than the recognized ECL as at October 31, 2020 (2019: $63 million). If we were to only use our downside case scenario for the measurement of ECL for our performing loans, our ECL allowance would be $938 million higher than the recognized ECL as at October 31, 2020 (2019: $254 million). This sensitivity is isolated to the measurement of ECL and therefore did not consider changes in the migration of exposures between stage 1 and stage 2 from the determination of the SICR that would have resulted in a 100% base case scenario or a 100% downside case scenario. As a result, our ECL allowance on performing loans could exceed the amount implied by the 100% downside case scenario from the migration of additional exposures from stage 1 to stage 2.
Use of management overlays
Management overlays to ECL allowance estimates are adjustments which we use in circumstances where we judge that our existing inputs, assumptions and model techniques do not capture all relevant risk factors. The emergence of new macroeconomic, microeconomic or political events, along with expected changes to parameters, models or data that are not incorporated in our current parameters, internal risk rating migrations, or forward-looking information are examples of such circumstances.
Impact of the
COVID-19
pandemic
To address the uncertainties inherent in the current environment, we utilized management overlays with respect to the impact that the
COVID-19
pandemic will have on the migration of certain business and government exposures that we believe are the most susceptible to these risks and the resulting measurement of the ECL for those exposures. The mitigating impact of government support measures was considered in the determination of these overlays to the extent not already reflected in our models. In addition, management overlays were applied with respect to the impact of government support and client relief measures on the migration of retail exposures and the resulting measurement of the ECL for those exposures. In light of the unprecedented level of government support, the management overlays took into account our expectations concerning the degree to which forward-looking information would correlate with credit losses in the current environment relative to the historical experience in our models.
The use of management overlays requires the application of significant judgment that impacts the amount of ECL allowances recognized. Actual credit losses could differ materially from those reflected in our estimates.
The following tables provide the gross carrying amount of loans, and the contractual amounts of undrawn credit facilities and other
off-balance
sheet exposures based on the application of our
12-month
point in time PDs under IFRS 9 to our risk management PD bands for retail exposures, and based on our internal risk ratings for business and government exposures. Refer to the “Credit risk” section of the MD&A for details on the CIBC risk categories.
Loans
(1)
 
$ millions, as at October 31
  
 
 
 
  
 
 
 
  
 
 
 
  
2020
 
  
 
 
 
  
 
 
 
  
 
 
 
  
2019
 
 
 
  
Stage 1
 
  
Stage 2
 
  
Stage 3 
(2)(3)(4)
 
  
Total
 
  
Stage 1
 
  
Stage 2
 
  
Stage 3 
(2)(3)(4)
 
  
Total
 
Residential mortgages
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Exceptionally low
  
$
146,139
 
  
$
2
 
  
$
–
 
  
$
146,141
 
  
$
142,260
 
  
$
–
 
  
$
–
 
  
$
142,260
 
– Very low
  
 
45,678
 
  
 
1,166
 
  
 
–
 
  
 
46,844
 
  
 
37,140
 
  
 
–
 
  
 
–
 
  
 
37,140
 
– Low
  
 
12,491
 
  
 
6,042
 
  
 
–
 
  
 
18,533
 
  
 
17,315
 
  
 
1,010
 
  
 
–
 
  
 
18,325
 
– Medium
  
 
232
 
  
 
4,924
 
  
 
–
 
  
 
5,156
 
  
 
1,207
 
  
 
5,312
 
  
 
–
 
  
 
6,519
 
– High
  
 
–
 
  
 
1,054
 
  
 
–
 
  
 
1,054
 
  
 
11
 
  
 
1,162
 
  
 
–
 
  
 
1,173
 
– Default
  
 
–
 
  
 
–
 
  
 
654
 
  
 
654
 
  
 
–
 
  
 
–
 
  
 
597
 
  
 
597
 
– Not rated
  
 
1,810
 
  
 
818
 
  
 
155
 
  
 
2,783
 
  
 
2,251
 
  
 
233
 
  
 
154
 
  
 
2,638
 
Gross residential mortgages
(5)(6)
  
 
206,350
 
  
 
14,006
 
  
 
809
 
  
 
221,165
 
  
 
200,184
 
  
 
7,717
 
  
 
751
 
  
 
208,652
 
ECL allowance
  
 
51
 
  
 
161
 
  
 
151
 
  
 
363
 
  
 
28
 
  
 
43
 
  
 
140
 
  
 
211
 
Net residential mortgages
  
 
206,299
 
  
 
13,845
 
  
 
658
 
  
 
220,802
 
  
 
200,156
 
  
 
7,674
 
  
 
611
 
  
 
208,441
 
Personal
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Exceptionally low
  
 
23,302
 
  
 
–
 
  
 
–
 
  
 
23,302
 
  
 
24,258
 
  
 
–
 
  
 
–
 
  
 
24,258
 
– Very low
  
 
1,618
 
  
 
157
 
  
 
–
 
  
 
1,775
 
  
 
4,321
 
  
 
1,353
 
  
 
–
 
  
 
5,674
 
– Low
  
 
8,662
 
  
 
2,497
 
  
 
–
 
  
 
11,159
 
  
 
4,955
 
  
 
1,582
 
  
 
–
 
  
 
6,537
 
– Medium
  
 
1,265
 
  
 
2,768
 
  
 
–
 
  
 
4,033
 
  
 
3,703
 
  
 
1,611
 
  
 
–
 
  
 
5,314
 
– High
  
 
331
 
  
 
769
 
  
 
–
 
  
 
1,100
 
  
 
302
 
  
 
613
 
  
 
–
 
  
 
915
 
– Default
  
 
–
 
  
 
–
 
  
 
140
 
  
 
140
 
  
 
–
 
  
 
–
 
  
 
164
 
  
 
164
 
– Not rated
  
 
513
 
  
 
159
 
  
 
41
 
  
 
713
 
  
 
720
 
  
 
29
 
  
 
40
 
  
 
789
 
Gross personal
(6)
  
 
35,691
 
  
 
6,350
 
  
 
181
 
  
 
42,222
 
  
 
38,259
 
  
 
5,188
 
  
 
204
 
  
 
43,651
 
ECL allowance
  
 
179
 
  
 
540
 
  
 
113
 
  
 
832
 
  
 
160
 
  
 
265
 
  
 
128
 
  
 
553
 
Net personal
  
 
35,512
 
  
 
5,810
 
  
 
68
 
  
 
41,390
 
  
 
38,099
 
  
 
4,923
 
  
 
76
 
  
 
43,098
 
Credit card
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Exceptionally low
  
 
3,285
 
  
 
–
 
  
 
–
 
  
 
3,285
 
  
 
3,015
 
  
 
–
 
  
 
–
 
  
 
3,015
 
– Very low
  
 
1,388
 
  
 
–
 
  
 
–
 
  
 
1,388
 
  
 
1,142
 
  
 
83
 
  
 
–
 
  
 
1,225
 
– Low
  
 
2,340
 
  
 
–
 
  
 
–
 
  
 
2,340
 
  
 
5,619
 
  
 
274
 
  
 
–
 
  
 
5,893
 
– Medium
  
 
1,778
 
  
 
1,973
 
  
 
–
 
  
 
3,751
 
  
 
1,344
 
  
 
565
 
  
 
–
 
  
 
1,909
 
– High
  
 
–
 
  
 
472
 
  
 
–
 
  
 
472
 
  
 
10
 
  
 
538
 
  
 
–
 
  
 
548
 
– Default
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
– Not rated
  
 
135
 
  
 
18
 
  
 
–
 
  
 
153
 
  
 
158
 
  
 
7
 
  
 
–
 
  
 
165
 
Gross credit card
  
 
8,926
 
  
 
2,463
 
  
 
–
 
  
 
11,389
 
  
 
11,288
 
  
 
1,467
 
  
 
–
 
  
 
12,755
 
ECL allowance
  
 
125
 
  
 
542
 
  
 
–
 
  
 
667
 
  
 
129
 
  
 
291
 
  
 
–
 
  
 
420
 
Net credit card
  
 
8,801
 
  
 
1,921
 
  
 
–
 
  
 
10,722
 
  
 
11,159
 
  
 
1,176
 
  
 
–
 
  
 
12,335
 
Business and government
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Investment grade
  
 
49,418
 
  
 
1,071
 
  
 
–
 
  
 
50,489
 
  
 
46,800
 
  
 
251
 
  
 
–
 
  
 
47,051
 
–
Non-investment
grade
  
 
78,302
 
  
 
9,876
 
  
 
–
 
  
 
88,178
 
  
 
80,780
 
  
 
3,443
 
  
 
–
 
  
 
84,223
 
– Watchlist
  
 
416
 
  
 
4,443
 
  
 
–
 
  
 
4,859
 
  
 
374
 
  
 
1,575
 
  
 
–
 
  
 
1,949
 
– Default
  
 
–
 
  
 
–
 
  
 
1,359
 
  
 
1,359
 
  
 
–
 
  
 
–
 
  
 
866
 
  
 
866
 
– Not rated
  
 
218
 
  
 
49
 
  
 
–
 
  
 
267
 
  
 
752
 
  
 
79
 
  
 
45
 
  
 
876
 
Gross business and government
(5)(7)
  
 
128,354
 
  
 
15,439
 
  
 
1,359
 
  
 
145,152
 
  
 
128,706
 
  
 
5,348
 
  
 
911
 
  
 
134,965
 
ECL allowance
  
 
380
 
  
 
648
 
  
 
650
 
  
 
1,678
 
  
 
209
 
  
 
146
 
  
 
376
 
  
 
731
 
Net business and government
  
 
127,974
 
  
 
14,791
 
  
 
709
 
  
 
143,474
 
  
 
128,497
 
  
 
5,202
 
  
 
535
 
  
 
134,234
 
Total net amount of loans
  
$
    378,586
 
  
$
    36,367
 
  
$
    1,435
 
  
$
    416,388
 
  
$
    377,911
 
  
$
    18,975
 
  
$
    1,222
 
  
$
    398,108
 
 
(1)
The table excludes debt securities measured at FVOCI, for which ECL allowances of $22 million (2019: $23 million) were recognized in AOCI. In addition, the table excludes debt securities classified at amortized cost, for which ECL allowances of $16 million were recognized as at October 31, 2020 (2019: $2 million), $14 million of which was stage 3 ECL allowance on originated credit-impaired amortized cost debt securities (2019: nil). Other financial assets classified at amortized cost were also excluded from the table above as their ECL allowances were immaterial as at October 31, 2020 and October 31, 2019. Financial assets other than loans that are classified as amortized cost are presented on our consolidated balance sheet net of ECL allowances.
(2)
Includes purchased credit-impaired loans from the acquisition of The PrivateBank.
(3)
Excludes foreclosed assets of $23 million (2019: $25 million), which were included in Other assets on our consolidated balance sheet.
(4)
As at October 31, 2020, 93% (2019: 90%) of stage 3 impaired loans were either fully or partially collateralized.
(5)
Includes $63 million (2019: $60 million) of residential mortgages and $23,291 million (2019: $21,182 million) of business and government loans that are measured at FVTPL.
(6)
The internal risk rating grades presented for residential mortgages and certain personal loans do not take into account loan guarantees or insurance issued by the Canadian government (federal or provincial), Canadian government agencies, or private insurers, as the determination of whether a significant increase in credit risk has occurred for these loans is based on relative changes in the loans’ lifetime PD without considering collateral or other credit enhancements.
(7)
Includes customers’ liability under acceptances of $9,606 million (2019: $9,167 million).
 
Undrawn credit facilities and other
off-balance
sheet exposures
 
$ millions, as at October 31
  
 
 
 
  
 
 
 
  
 
 
 
  
2020
 
  
 
 
 
  
 
 
 
  
 
 
 
  
2019
 
 
 
  
Stage 1
 
  
Stage 2
 
  
Stage 3
 
  
Total
 
  
Stage 1
 
  
Stage 2
 
  
Stage 3
 
  
Total
 
Retail
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Exceptionally low
  
$
124,690
 
  
$
8
 
  
$
–
 
  
$
124,698
 
  
$
106,696
 
  
$
120
 
  
$
–
 
  
$
106,816
 
– Very low
  
 
6,632
 
  
 
137
 
  
 
–
 
  
 
6,769
 
  
 
7,341
 
  
 
1,126
 
  
 
–
 
  
 
8,467
 
– Low
  
 
8,703
 
  
 
416
 
  
 
–
 
  
 
9,119
 
  
 
10,974
 
  
 
1,357
 
  
 
–
 
  
 
12,331
 
– Medium
  
 
909
 
  
 
692
 
  
 
–
 
  
 
1,601
 
  
 
1,737
 
  
 
752
 
  
 
–
 
  
 
2,489
 
– High
  
 
263
 
  
 
503
 
  
 
–
 
  
 
766
 
  
 
255
 
  
 
495
 
  
 
–
 
  
 
750
 
– Default
  
 
–
 
  
 
–
 
  
 
28
 
  
 
28
 
  
 
–
 
  
 
–
 
  
 
19
 
  
 
19
 
– Not rated
  
 
411
 
  
 
23
 
  
 
–
 
  
 
434
 
  
 
397
 
  
 
32
 
  
 
–
 
  
 
429
 
Gross retail
  
 
141,608
 
  
 
1,779
 
  
 
28
 
  
 
143,415
 
  
 
127,400
 
  
 
3,882
 
  
 
19
 
  
 
131,301
 
ECL allowance
  
 
36
 
  
 
36
 
  
 
–
 
  
 
72
 
  
 
30
 
  
 
55
 
  
 
–
 
  
 
85
 
Net retail
  
 
141,572
 
  
 
1,743
 
  
 
28
 
  
 
143,343
 
  
 
127,370
 
  
 
3,827
 
  
 
19
 
  
 
131,216
 
Business and government
  
   
  
   
  
   
  
   
  
   
  
   
  
   
  
   
– Investment grade
  
 
89,067
 
  
 
159
 
  
 
–
 
  
 
89,226
 
  
 
78,906
 
  
 
296
 
  
 
–
 
  
 
79,202
 
–
Non-investment
grade
  
 
55,288
 
  
 
5,103
 
  
 
–
 
  
 
60,391
 
  
 
52,379
 
  
 
1,282
 
  
 
–
 
  
 
53,661
 
– Watchlist
  
 
82
 
  
 
1,678
 
  
 
–
 
  
 
1,760
 
  
 
65
 
  
 
575
 
  
 
–
 
  
 
640
 
– Default
  
 
–
 
  
 
–
 
  
 
129
 
  
 
129
 
  
 
–
 
  
 
–
 
  
 
69
 
  
 
69
 
– Not rated
  
 
795
 
  
 
41
 
  
 
–
 
  
 
836
 
  
 
688
 
  
 
60
 
  
 
–
 
  
 
748
 
Gross business and government
  
 
145,232
 
  
 
6,981
 
  
 
129
 
  
 
152,342
 
  
 
132,038
 
  
 
2,213
 
  
 
69
 
  
 
134,320
 
ECL allowance
  
 
73
 
  
 
35
 
  
 
2
 
  
 
110
 
  
 
30
 
  
 
12
 
  
 
2
 
  
 
44
 
Net business and government
  
 
145,159
 
  
 
6,946
 
  
 
127
 
  
 
152,232
 
  
 
132,008
 
  
 
2,201
 
  
 
67
 
  
 
134,276
 
Total net undrawn credit facilities and other
off-balance
sheet exposures
  
$
    286,731
 
  
$
    8,689
 
  
$
    155
 
  
$
    295,575
 
  
$
    259,378
 
  
$
    6,028
 
  
$
    86
 
  
$
    265,492
 
Net interest income after provision for credit losses
 
$ millions, for the year ended October 31
  
2020
 
  
2019
 
  
2018
 
Interest income
  
$
    17,522
 
  
$
    20,697
 
  
$
    17,505
 
Interest expense
  
 
6,478
 
  
 
10,146
 
  
 
7,440
 
Net interest income
  
 
11,044
 
  
 
10,551
 
  
 
10,065
 
Provision for credit losses
  
 
2,489
 
  
 
1,286
 
  
 
870
 
Net interest income after provision for credit losses
  
$
8,555
 
  
$
9,265
 
  
$
9,195
 
Modified financial assets and client relief programs
CIBC has been actively engaged in lending activities to support our clients who are experiencing financial hardship caused by the COVID-19 pandemic, including payment deferral options offered on cards, residential mortgages, personal lending products, and business and government loans. As of October 31, 2020, the gross outstanding balance of loans for which CIBC provided payment deferrals was nil for credit cards in Canada (July 31, 2020: less than $10 million; April 30, 2020: $1.8 billion); $2.7 billion for residential mortgages in Canada (July 31, 2020: $33.3 billion; April 30, 2020: $35.5 billion); $0.3 billion for personal loans in Canada (July 31, 2020: $0.8 billion; April 30, 2020: $2.3 billion); $0.3 billion for various consumer loans in the Caribbean (July 31, 2020: $1.4 billion; April 30, 2020: $1.3 billion); and $2.5 billion for business and government loans (July 31, 2020: $6.2 billion; April 30, 2020: $10.0 billion), including $0.5 billion in Canada (July 31, 2020: $2.4 billion; April 30, 2020: $8.6 billion); $0.5 billion in the U.S. (July 31, 2020: $1.6 billion; April 30, 2020: $0.9 billion) and $1.5 billion in the Caribbean (July 31, 2020: $2.2 billion; April 30, 2020: $0.5 billion). Modification gains or losses resulting from client relief programs were not significant.
As part of CIBC’s usual lending business, from time to time we may modify the contractual terms of loans classified as stage 2 and stage 3 for which the borrower has experienced financial difficulties, through the granting of a concession in the form of below-market rates or terms that we would not otherwise have considered.
During the year ended October 31, 2020, loans classified as stage 2 or stage 3 with an amortized cost of $10,498 million (2019: $346 million) were either modified through the granting of a financial concession in response to the borrower having experienced financial difficulties or were subject to the client relief programs in response to COVID-19, in each case before the time of modification or deferral. In addition, the gross carrying amount of previously modified or deferred stage 2 or stage 3 loans that have returned to stage 1 during the year ended October 31, 2020 was $5,287 million (2019: $15 million).