Economic Backdrop and Financial Performance Objectives
Net Interest Income: Net interest margins and Interest rate sensitivity
All-Bank: Impact of 100 bps change
across the curve (1)
Impact of 25 bps decrease (2)
Net interest
income ($MM)
Increase
Short-term rates (2)
Decrease
Revenue
($MM)
Across the curve (2)
Q4/23
Q1/24
Q4/23
Q1/24
Canada
$296
$(331)
Canadian
Banking
$(40)
$(40)
$(120)
$(110)
U.S.
$239
$(291)
Total
$535
$(622)
U.S. Wealth
Management
(incl. CNB)
~US$(55)
~US$(50)
~US$(60)
-US$(65)
ā
Sensitivity for Canada includes segments other than Canadian Banking
Interest rate risk measures are based on current on and off-balance sheet positions which can change over time in response to business activity
and management actions
Canadian Banking NIM on Average Earning Assets (3)
CNB NIM on Average Earning Assets
0.04%
(0.02)%
Lower FHLB
Balances
(0.01)%
2.72%
2.71%
0.13%
(0.14)%
0.24%
(0.03)%
2.98%
2.78%
Primarily
deposit pricing
Q4/23 NIM
Rate Impacts
Competitive
Pricing
Product
Mix/Other
Q1/24 NIM
Q4/23 NIM
Intercompany
Transaction
Asset Yields
Funding Costs
Q1/24 NIM
(1) Represents the 12-month revenue exposure (before-tax) to a 100 bps immediate and sustained shift in interest rates. (2) Represents the 12-month revenue exposure (before-tax) to a 25 bps immediate and sustained shift in interest
rates. (3) Refer to Glossary on slides 58-59 for explanation of composition of this measure.
54 APPENDIX
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