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Structured entities and derecognition of financial assets (Tables)
 12 Months Ended
Oct. 31, 2020
Text block [abstract]  
Schedule of Unconsolidated Entity Balance Sheet Amounts and Maximum Exposure to Loss The impact of CVA is not considered in the table below.
 
$ millions, as at October 31, 2020
 
Single-seller
and multi-seller

conduits
 
 
Third-party
structured
vehicles –
continuing
 
  
Structured
vehicles
run-off 
(1)
 
 
Other 
(2)
 
On-balance
sheet assets at carrying value
(3)
 
   
 
   
  
   
 
   
Securities
 
$
12
 
 
$
1,770
 
  
$
3
 
 
$
328
 
Loans
 
 
95
 
 
 
1,790
 
  
 
–
 
 
 
–
 
Investments in equity-accounted associates and joint ventures
 
 
–
 
 
 
–
 
  
 
–
 
 
 
12
 
 
 
$
107
 
 
$
3,560
 
  
$
3
 
 
$
340
 
October 31, 2019
 
$
113
 
 
$
    3,345
 
  
$
3
 
 
$
    332
 
On-balance
sheet liabilities at carrying value
(3)
 
   
 
   
  
   
 
   
Deposits
 
$
–
 
 
$
–
 
  
$
–
 
 
$
303
 
Derivatives
(4)
 
 
–
 
 
 
–
 
  
 
107
 
 
 
–
 
 
 
$
–
 
 
$
–
 
  
$
107
 
 
$
303
 
October 31, 2019
 
$
–
 
 
$
–
 
  
$
    112
 
 
$
302
 
Maximum exposure to loss, net of hedges
 
   
 
   
  
   
 
   
Investments and loans
 
$
107
 
 
$
3,560
 
  
$
3
 
 
$
340
 
Notional of written derivatives, less fair value losses
 
 
–
 
 
 
–
 
  
 
23
 
 
 
–
 
Liquidity, credit facilities and commitments
 
 
8,390
 
(5)
 
 
 
 
2,880
 
  
 
13
 
 
 
140
 
Less: hedges of investments, loans and written derivatives exposure
 
 
–
 
 
 
–
 
  
 
(27
) 
 
 
–
 
 
 
$
8,497
 
 
$
6,440
 
  
$
12
 
 
$
480
 
October 31, 2019
 
$
    7,250
 
 
$
5,703
 
  
$
13
 
 
$
418
 
 
(1)
Includes CIBC structured CDO vehicles and third-party structured vehicles.
(2)
Includes pass-through investment structures, CIBC Capital Trust, and CIBC-managed investment funds and Community Reinvestment
Act-related
investment vehicles.
(3)
Excludes SEs established by CMHC, Fannie Mae, Freddie Mac, Ginnie Mae, FHLB, Federal Farm Credit Bank, and Student Loan Marketing Association.
(4)
Comprises written credit default swaps (CDS) and total return swaps (TRS) under which we assume exposures. Excludes foreign exchange derivatives, interest rate derivatives and other derivatives provided as part of normal client facilitation.
(5)
Excludes an additional $2.1 billion (2019: $1.6 billion) relating to our backstop liquidity facilities provided to the multi-seller conduits as part of their commitment to fund purchases of additional assets. Also excludes $12 million (2019: $26 million) of our direct investments in the multi-seller conduits which we consider investment exposure.
Schedule of Carrying Amount and Fair Value of Transferred Financial Assets that did not Qualify for Derecognition and Associated Financial Liabilities
The following table provides the carrying amount and fair value of transferred financial assets that did not qualify for derecognition and the associated financial liabilities:
 
$ millions, as at October 31
  
 
 
 
  
2020
 
  
 
 
 
  
2019
 
 
 
  
Carrying
amount
 
  
Fair
value
 
  
Carrying
amount
 
  
Fair
value
 
Residential mortgage securitizations
(1)
  
$
    17,550
 
  
$
    17,726
 
  
$
16,245
 
  
$
16,264
 
Securities held by counterparties as collateral under repurchase agreements
(2)
  
 
36,720
 
  
 
36,720
 
  
 
15,663
 
  
 
15,663
 
Securities lent for cash collateral
(2)
  
 
13
 
  
 
13
 
  
 
45
 
  
 
45
 
Securities lent for securities collateral
(2)
  
 
20,226
 
  
 
20,226
 
  
 
21,789
 
  
 
21,789
 
 
  
$
74,509
 
  
$
74,685
 
  
$
53,742
 
  
$
53,761
 
Associated liabilities
(3)
  
$
75,853
 
  
$
76,080
 
  
$
    54,591
 
  
$
    54,734
 
 
(1)
Consists mainly of Canadian residential mortgage loans transferred to Canada Housing Trust. Certain cash in transit balances related to the securitization process amounting to $1,148 million (2019: $738 million) have been applied to reduce these balances.
(2)
Does not include over-collateralization of assets pledged. Repurchase and securities lending arrangements are conducted with both CIBC-owned and third-party assets on a pooled basis. The carrying amounts represent an estimated allocation related to the transfer of our own financial assets.
(3)
Includes the obligation to return
off-balance
sheet securities collateral on securities lent and fair value hedge basis adjustments.