Fourth Quarter 2022 Financial Highlights
1
2
3
Interest Sensitivity
Well-positioned for rising interest rates
Net Interest Income Sensitivity to
a +/- 100 bps change ($MM) 1,2
Year 1
SBU Composition of Structural
Interest Rate Sensitivity 1,2
2%
271
(297)
Interest Rate Environment in
Canada and the U.S.3
6.00
Historical Actuals
5.00
16%
4.00
3.00
50%
17%
Q4/22
2.00
1.00
15%
Feb-17
Aug-17-
Feb-18
Implied Forwards
Aug-18
Feb-19
Aug-19-
Feb-20
Aug-20
Feb-21
Aug-21
Feb-22
Aug-22
Feb-23
Aug-23-
Feb-24
Aug-24
+100 bps
- 100 bps
Personal & Business Banking
U.S. Commercial & Wealth
Cdn. Commercial & Wealth
Capital Markets
CAD 5-YR Swap Rate
BoC Overnight Rate
USD 5-YR Swap Rate
Fed Funds Rate
Corporate & Other
Year 1 benefit of approximately $271MM from an immediate and sustained 100 bps increase to our net interest income as at
October 31, 2022, with approximately 30% driven by short-term rates
Year 2 benefit from rising rates (+100 bps) of approximately $650MM, driven primarily by long rates
CIBCâ—‡
A number of assumptions are used to measure Structural Interest Rate Sensitivity. For additional information, see the "Market risk" Non-trading activities section on page 74 in the 2022 Annual Report, available on SEDAR at www.sedar.com.
SBU allocation includes the structural repricing exposure arising from our capital and zero/partially rate sensitive deposits and excludes exposure from other short-term factors such as rate resets and position management.
Source: Bloomberg, November 18, 2022.
Fourth Quarter, 2022
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