•

Risk frameworks, policies, procedures and limits to align activities with our risk appetite;

•

Regular risk reports to identify and communicate risk levels;

•

An independent control framework to identify and test the design and operating effectiveness of our key controls;

•

Stress testing to consider the potential impact of changes in the business environment on capital, liquidity and earnings;

•

Proactive consideration of risk mitigation options in order to optimize results; and

•

Oversight through our risk-focused committees and governance structure.

Managing risk is a shared responsibility at CIBC. Business units and risk management professionals work in collaboration to ensure that business strategies and activities are consistent with our risk appetite. CIBC’s approach to enterprise-wide risk management aligns with the three lines of defence model:

(i)

As the first line of defence, CIBC’s Management, in SBUs and functional groups own the risks and are accountable and responsible for identifying and assessing risks inherent in its activities in accordance with the CIBC risk appetite. In addition, Management establishes and maintains controls to mitigate such risks. Management may include governance groups within the business to facilitate the Control Framework and other risk-related processes. A Governance Group refers to a group within Business Unit Management (first line of defence) whose focus is to manage governance, risk and control activities on behalf of that Business Unit Management. A Governance Group is considered first line of defence, in conjunction with Business Unit Management. Control Groups are groups with enterprise-wide accountability for specific risk type and are also considered first line of defence. They provide subject matter expertise to Management and/or implement/maintain enterprise-wide control programs and activities for their domain area (for example Information Security). While Control Groups collaborate with Management in identifying and managing risk, they also challenge risk decisions and risk mitigation strategies.

(ii)

The second line of defence is independent from the first line of defence and provides an enterprise-wide view of specific risk types, guidance and effective challenge to risk and control activities. Risk Management is the primary second line of defence. Risk Management may leverage subject matter expertise of other groups (e.g., third parties or Control Groups) to inform their independent assessments, as appropriate.

(iii)

As the third line of defence, Internal Audit is responsible for providing reasonable assurance to senior management and the Audit Committee of the Board on the effectiveness of CIBC’s governance practices, risk management processes, and Internal Control as a part of its risk-based audit plan and in accordance with its mandate as described in the Internal Audit Charter.

A strong risk culture and communication between the three lines of defence are important characteristics of effective risk management.

Credit risk

Credit risk is the risk of financial loss due to a borrower or counterparty failing to meet its obligations in accordance with contractual terms.

Credit risk arises out of the lending businesses in each of our SBUs and in International

anking, which is included in Corporate and Other. Other

sources of credit risk consist of our trading activities, which include our OTC derivatives, debt securities, and our repo-style transaction activity. In addition to losses on the default of a borrower or counterparty, unrealized gains or losses may occur due to changes in the credit spread of the counterparty, which could impact the carrying or fair value of our assets.

Exposure to credit risk


$ millions, as at	2023 Jan. 31		2022 Oct. 31
Business and government portfolios – advanced internal ratings-based approach (AIRB)
Drawn (1)	$	308,791	$	314,712
Undrawn commitments		73,246		74,327
Repo-style transactions		244,503		256,063
Other off-balance sheet		86,038		91,350
OTC derivatives		17,502		21,856
Gross exposure at default (EAD) on business and government portfolios		730,080		758,308
Less: Collateral held for repo-style transactions		226,778		237,484
Net EAD on business and government portfolios		503,302		520,824
Retail portfolios – AIRB approach
Drawn		315,840		317,071
Undrawn commitments		101,808		99,817
Other off-balance sheet		373		420
Gross EAD on retail portfolios		418,021		417,308
Standardized portfolios (1)(2)		108,885		101,249
Securitization exposures – AIRB approach		17,259		15,333
Gross EAD	$	1,274,245	$	1,292,198
Net EAD	$	1,047,467	$	1,054,714

(1)	The first quarter of 2023, includes a change in methodology that resulted in certain exposures previously subject to AIRB, now being included under the standardized securitization approach.

(

)

Includes $84.5

billion relating to business and government portfolios (October 31, 2022: $

87.3 billion), $10.3 billion (October 31, 2022: $10.7 billion) relating to retail portfolios, and $14.1 billion (October 31, 2022: $3.3 billion) relating to securitization exposures. Our business and government

portfolios

under the standardized approach consist of $57.5

billion (October 31, 2022: $57.0 billion) to corporates, $26.0 billion (October 31, 2022: $28.7 billion) to sovereigns, and $1.0 billion (October 31, 2022: $1.6 billion) to banks.

Trading credit exposure

We have trading credit exposure (also called counterparty credit exposure) that arises from our OTC derivatives and our repo-style transactions. The nature of our derivatives exposure and how it is mitigated is described in Note 12 to the consolidated financial statements included in our 2022 Annual Report. Our repo-style transactions consist of our securities bought or sold under repurchase agreements, and our securities borrowing and lending activity.

The following table shows the rating profile of OTC derivative

mark-to-market

(MTM) receivables:


$ billions, as at	2023 Jan. 31				2022 Oct. 31
		Exposure (1)
Investment grade	$	5.90	83.4	%	$	11.18	79.1	%
Non-investment grade		1.15	16.3			2.87	20.3
Watch list		0.02	0.3			0.09	0.6
Default		–	–			–	–
Unrated		–	–			–	–
	$	7.07	100.0	%	$	14.14	100.0	%

(1)	MTM of OTC derivative contracts is after the impact of master netting agreements, but before any collateral.

Loans contractually past due but not impaired

The following table provides an aging analysis of loans that are not impaired, where repayment of principal or payment of interest is contractually in arrears. Loans less than 30 days past due are excluded as such loans are not generally indicative of the borrowers’ ability to meet their payment obligations.


$ millions, as at					2023 Jan. 31		2022 Oct. 31
	31 to 90 days		Over 90 days		Total		Total
Residential mortgages	$	849	$	–	$	849	$	874
Personal		232		–		232		247
Credit card (1)		201		119		320		331
Business and government		174		–		174		256
	$	1,456	$	119	$	1,575	$	1,708

(1)	For the acquired Canadian Costco credit card portfolio, the credit cards were transferred in the aging category that applied at the time of acquisition and have continued to age to the extent a payment has not been made.

Market risk

Market risk is the risk of economic and/or financial loss in our trading and

non-trading

portfolios from adverse changes in underlying market factors, including interest rates, foreign exchange rates, equity market prices, commodity prices, credit spreads, and customer behaviour for retail products. Market risk arises in CIBC’s trading and treasury activities, and encompasses all market-related positioning and market-making activity.

The trading book consists of positions in financial instruments and commodities held to meet the near-term needs of our clients.

The

non-trading

book consists of positions in various currencies that are related to asset/liability management and investment activities.

Trading activities

We hold positions in traded financial contracts to meet client investment and risk management needs. Trading revenue (net interest income and

non-interest

income) is generated from these transactions. Trading instruments are recorded at fair value and include debt and equity securities, as well as interest rate, foreign exchange, equity, commodity, and credit derivative products.

Value-at-Risk

Our

Value-at-Risk

(VaR) methodology is a statistical technique that measures the potential overnight loss at a 99% confidence level. We use a full revaluation historical simulation methodology to compute VaR, stressed VaR and other risk measures.

The following table shows VaR, stressed VaR and incremental risk charge (IRC) for our trading activities based on risk type under an internal models approach.


$ millions, as at or for the three months ended								2023 Jan. 31						2022 Oct. 31						2022 Jan. 31
	High		Low		As at			Average			As at			Average			As at			Average
Interest rate risk	$	9.6	$	4.9	$	7.1		$	7.1		$	6.0		$	5.9		$	13.1		$	9.6
Credit spread risk		1.8		1.0		1.6			1.4			1.1			1.2			5.4			8.1
Equity risk		8.5		3.7		5.4			5.7			4.1			4.9			3.9			4.8
Foreign exchange risk		3.4		0.6		0.8			1.1			1.2			1.4			2.2			2.1
Commodity risk		4.0		1.2		3.4			2.5			1.4			1.3			4.5			3.1
Debt specific risk		2.4		1.3		2.1			1.7			1.9			1.8			2.7			2.5
Diversification effect (1)		n/m		n/m		(12.2	)		(10.7	)		(8.1	)		(9.1	)		(23.1	)		(21.2	)
Total VaR (one-day measure)	$	12.0	$	6.6	$	8.2		$	8.8		$	7.6		$	7.4		$	8.7		$	9.0
Stressed total VaR (one-day measure)	$	57.7	$	22.2	$	47.6		$	43.4		$	31.2		$	32.7		$	30.6		$	33.2
IRC (one-year measure)	$	150.0	$	109.8	$	130.3		$	133.0		$	114.0		$	107.4		$	142.8		$	142.7

(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.

Non-trading

activities

Structural interest rate risk (SIRR)

SIRR primarily consists of the risk arising due to mismatches in assets and liabilities, which do not arise from trading and trading-related businesses. The objective of SIRR management is to lock in product spreads and deliver stable and predictable net interest income over time, while managing the risk to the economic value of our assets arising from changes in interest rates.

SIRR results from differences in the maturities or repricing dates of assets and liabilities, both

on-

and

off-balance

sheet, as well as from embedded optionality in retail products, and other product features that could affect the expected timing of cash flows, such as options to

pre-pay

loans or redeem term deposits prior to contractual maturity. A number of assumptions affecting cash flows, product re-pricing and the administration of rates underlie the models used to measure SIRR. The key assumptions pertain to the expected funding profile of mortgage rate commitments, fixed rate loan prepayment behaviour, term deposit redemption behaviour, the treatment of

non-maturity

deposits and equity. All assumptions are derived empirically based on historical client behaviour, balance sheet composition and product pricing with the consideration of possible forward-looking changes. All models and assumptions used to measure SIRR are subject to independent oversight by Risk Management. A variety of cash instruments and derivatives, primarily interest rate swaps, are used to manage these risks.

The following table shows the potential

before-tax

impact of an immediate and sustained 100 basis point increase and 100 basis point decrease in interest rates on projected

12-month

net interest income and the economic value of equity (EVE) for our structural balance sheet, assuming no subsequent hedging. Due to the increase in interest rates in Canada and the U.S., and the market expectation that a higher interest rate environment will persist, an immediate downward shock of 100 basis points was applied commencing in the second quarter of 2022, while maintaining a floor on market and client interest rates at zero at the end of each of the periods presented. We have continued to provide the impact of a 25 basis point decrease and have not revised the first quarter of 2022 amounts as we believe the impact of a 25 basis points decrease was appropriate due to the low interest rate environment in both Canada and the U.S. for that period.

Structural interest rate sensitivity – measures


$ millions (pre-tax), as at				2023 Jan. 31									2022 Oct. 31									2022 Jan. 31
		CAD	(1)		USD			Total			CAD	(1)		USD			Total			CAD	(1)		USD			Total
100 basis point increase in interest rates
Increase (decrease) in net interest income	$	255		$	37		$	292		$	278		$	(7	)	$	271		$	380		$	74		$	454
Increase (decrease) in EVE		(523	)		(335	)		(858	)		(679	)		(336	)		(1,015	)		(651	)		(216	)		(867	)
25 basis point decrease in interest rates
Increase (decrease) in net interest income		(66	)		(7	)		(73	)		(71	)		2			(69	)		(124	)		(33	)		(157	)
Increase (decrease) in EVE		117			86			203			151			86			237			142			57			199
100 basis point decrease in interest rates
Increase (decrease) in net interest income		(297	)		(25	)		(322	)		(301	)		4			(297	)		n/a			n/a			n/a
Increase (decrease) in EVE		465			351			816			604			350			954			n/a			n/a			n/a

(1)	Includes CAD and other currency exposures.

n/a	Not applicable.

Liquidity risk

Liquidity risk is the risk of having insufficient cash or its equivalent in a timely and cost-effective manner to meet financial obligations as they come due. Common sources of liquidity risk inherent in banking services include unanticipated withdrawals of deposits, the inability to replace maturing debt, credit and liquidity commitments, and additional pledging or other collateral requirements.

Liquid assets

Available liquid assets include unencumbered cash and marketable securities from

on-

and

off-balance

sheet sources that can be used to access funding in a timely fashion. Encumbered liquid assets, composed of assets pledged as collateral and those assets that are deemed restricted due to legal, operational, or other purposes, are not considered as sources of available liquidity when measuring liquidity risk.

Encumbered and unencumbered liquid assets from

on-

and

off-balance

sheet sources are summarized as follows:


$ millions, as at			Bank owned liquid assets		Securities received as collateral		Total liquid assets		Encumbered liquid assets		Unencumbered liquid assets	(1)
2023	Cash and deposits with banks	$	51,469	$	–	$	51,469	$	282	$	51,187
Jan. 31	Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks		140,803		81,626		222,429		114,922		107,507
	Other debt securities		6,628		7,865		14,493		2,818		11,675
	Equities		34,294		24,612		58,906		31,246		27,660
	Canadian government guaranteed National Housing Act mortgage-backed securities		32,081		2,787		34,868		16,668		18,200
	Other liquid assets (2)		16,381		3,611		19,992		12,980		7,012
		$	281,656	$	120,501	$	402,157	$	178,916	$	223,241
2022	Cash and deposits with banks	$	63,861	$	–	$	63,861	$	286	$	63,575
Oct. 31	Securities issued or guaranteed by sovereigns, central banks, and multilateral development banks		133,923		85,602		219,525		122,283		97,242
	Other debt securities		6,764		8,957		15,721		2,262		13,459
	Equities		30,825		29,521		60,346		30,408		29,938
	Canadian government guaranteed National Housing Act mortgage-backed securities		33,148		3,321		36,469		16,711		19,758
	Other liquid assets (2)		19,159		2,326		21,485		16,040		5,445
		$	287,680	$	129,727	$	417,407	$	187,990	$	229,417

(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 asset-backed securities and precious metals.

Asset encumbrance

In the course of our

day-to-day

operations, securities and other assets are pledged to secure obligations, participate in clearing and settlement systems and for other collateral management purposes.

Restrictions on the flow of funds

Our subsidiaries are not subject to significant restrictions that would prevent transfers of funds, dividends or capital distributions. However, certain subsidiaries have different capital and liquidity requirements, established by applicable banking and securities regulators.

We monitor and manage our capital and liquidity requirements across these entities to ensure that resources are used efficiently and entities are in compliance with local regulatory and policy requirements.

Funding

We fund our operations with client-sourced deposits, supplemented with a wide range of wholesale funding.

Our principal approach aims to fund our consolidated balance sheet with deposits primarily raised from personal and commercial banking channels. We maintain a foundation of relationship-based core deposits, whose stability is regularly evaluated through internally developed statistical assessments.

We routinely access a range of short-term and long-term secured and unsecured funding sources diversified by geography, depositor type, instrument, currency and maturity. We raise long-term funding from existing programs including covered bonds, asset securitizations and unsecured debt.

We continuously evaluate opportunities to diversify into new funding products and investor segments in an effort to maximize funding flexibility and minimize concentration and financing costs. We regularly monitor wholesale funding levels and concentrations to internal limits consistent with our desired liquidity risk profile.

GALCO and RMC review and approve CIBC’s funding plan, which incorporates projected asset and liability growth, funding maturities, and output from our liquidity position forecasting.

Assets and liabilities

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 our liquidity risk exposure, however this information serves to inform our management of liquidity risk, and provide input when modelling a behavioural balance sheet.


$ millions, as at January 31, 2023	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 (1)	$	22,876	$	–	$	–	$	–	$	–	$	–	$	–	$	–	$	–		$	22,876
Interest-bearing deposits with banks		28,593		–		–		–		–		–		–		–		–			28,593
Securities		5,199		7,038		5,495		4,999		2,998		16,327		65,413		43,363		36,518			187,350
Cash collateral on securities borrowed		12,446		–		–		–		–		–		–		–		–			12,446
Securities purchased under resale agreements		36,939		10,458		12,802		1,816		1,569		1,258		340		–		–			65,182
Loans
Residential mortgages		2,063		4,091		9,616		7,526		13,971		51,891		173,939		7,812		–			270,909
Personal		1,197		641		730		721		858		721		3,823		5,527		30,659			44,877
Credit card		340		679		1,019		1,019		1,019		4,075		8,020		–		–			16,171
Business and government		10,506		7,976		12,226		11,357		10,689		34,339		73,064		19,125		11,230			190,512
Allowance for credit losses		–		–		–		–		–		–		–		–		(3,159	)		(3,159	)
Derivative instruments		2,581		3,708		2,510		2,132		3,317		4,077		6,217		5,883		–			30,425
Customers’ liability under acceptances		10,700		1,229		64		3		–		–		–		–		–			11,996
Other assets		–		–		–		–		–		–		–		–		43,813			43,813
	$	133,440	$	35,820	$	44,462	$	29,573	$	34,421	$	112,688	$	330,816	$	81,710	$	119,061		$	921,991
October 31, 2022	$	162,138	$	38,036	$	33,508	$	30,461	$	37,755	$	106,155	$	339,631	$	77,111	$	118,802		$	943,597
Liabilities
Deposits (2)	$	28,212	$	31,204	$	62,747	$	47,822	$	45,675	$	31,717	$	71,424	$	16,634	$	359,289		$	694,724
Obligations related to securities sold short		17,639		–		–		–		–		–		–		–		–			17,639
Cash collateral on securities lent		4,096		–		–		–		–		–		–		–		–			4,096
Obligations related to securities sold under repurchase agreements		68,377		2,169		272		110		–		–		500		–		–			71,428
Derivative instruments		1,835		4,508		2,939		2,692		2,858		5,118		8,566		10,858		–			39,374
Acceptances		10,704		1,229		64		3		–		–		–		–		–			12,000
Other liabilities		26		44		60		76		73		301		582		947		23,396			25,505
Subordinated indebtedness		–		–		–		–		–		35		–		7,282		–			7,317
Equity		–		–		–		–		–		–		–		–		49,908			49,908
	$	130,889	$	39,154	$	66,082	$	50,703	$	48,606	$	37,171	$	81,072	$	35,721	$	432,593		$	921,991
October 31, 2022	$	123,388	$	44,632	$	48,750	$	62,962	$	57,224	$	39,220	$	84,857	$	36,779	$	445,785		$	943,597

(1)	Cash includes interest-bearing demand deposits with Bank of Canada.

(2)	Comprises $236.1 billion (October 31, 2022: $232.1 billion) of personal deposits; $434.1 billion (October 31, 2022: $443.0 billion) of business and government deposits and secured borrowings; and $24.5 billion (October 31, 2022: $22.5 billion) of bank deposits.

Credit-related commitments

The following table provides the contractual maturity of notional amounts of 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 January 31, 2023		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
Unutilized credit commitments	$	1,549	$	10,392	$	5,277	$	4,650	$	6,139	$	22,844	$	70,631	$	2,987	$	216,297		$	340,766
Securities lending (2)		43,216		4,195		4,597		–		–		–		–		–		–			52,008
Standby and performance letters of credit		3,635		1,946		3,553		2,982		5,344		975		842		128		–			19,405
Backstop liquidity facilities		–		25		1,831		99		10,948		232		–		–		–			13,135
Documentary and commercial letters of credit		24		36		25		1		2		4		24		–		–			116
Other		1,140		–		–		–		–		–		–		–		–			1,140
	$	49,564	$	16,594	$	15,283	$	7,732	$	22,433	$	24,055	$	71,497	$	3,115	$	216,297		$	426,570
October 31, 2022	$	50,694	$	28,841	$	13,542	$	10,256	$	8,415	$	22,105	$	68,049	$	2,735	$	216,873		$	421,510

(1)	Includes $172.2 billion (October 31, 2022: $167.3 billion) of personal, home equity and credit card lines, which are unconditionally cancellable at our discretion.

(2)	Excludes securities lending of $4.1 billion (October 31, 2022: $4.9 billion) for cash because it is reported on the interim consolidated balance sheet.

Other

off-balance

sheet contractual obligations

The following table provides the contractual maturities of other

off-balance

sheet contractual obligations affecting our funding needs:


$ millions, as at January 31, 2023	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
Purchase obligations (1)	$	86	$	136	$	216	$	176	$	169	$	485	$	698	$	185	$	2,151
Future lease commitments (2)		–		–		–		–		–		–		80		489		569
Investment commitments		–		9		1		1		1		–		17		500		529
Underwriting commitments		82		180		–		–		–		–		–		–		262
Pension contributions (3)		–		–		57		57		–		–		–		–		114
	$	168	$	325	$	274	$	234	$	170	$	485	$	795	$	1,174	$	3,625
October 31, 2022 (2)	$	1,066	$	193	$	341	$	250	$	220	$	597	$	847	$	1,074	$	4,588

(1)

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.

(2)

Excludes operating lease obligations that are accounted for under IFRS 16, which are typically recognized on the consolidated balance sheet, and operating and tax expenses relating to lease commitments. The table includes lease obligations that are not accounted for under IFRS 16, including those related to future starting lease commitments for which we have not yet recognized a lease liability and

right-of-use

asset.

(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 remaining annual period ending October 31, 2023 as the minimum contributions are affected by various factors, such as market performance and regulatory requirements, and therefore are subject to significant variability.