Capital Markets & Funding Strategies
Positioned to continue benefiting from rising rates
Year 1 benefit of approximately $428 million to our net interest income from an immediate and sustained 100
bps increase as at April 30, 2022, with approximately 50% driven by short-term rates
⚫ Year 2 benefit from rising rates (+100 bps) of approximately $842MM, driven primarily by long rates
Net Interest Income Sensitivity to
a +100 bps Shock ($MM) 1
3
Year 1
Total
428
2.5
2
Year 2
Total
842
1.5
0.5
0
1
Interest Rate Environment in
Canada and the U.S.
3.5
May-17
Sep-17
Feb-18
Jun-18
Nov-18
Apr-19
Aug-19
Jan-20
May-20
Oct-20
Mar-21
Jul-21
Source: Bloomberg
CAD 5-YR Swap Rate
BoC Overnight Rate
USD 5-YR Swap Rate
Fed Funds Rate
Dec-21
Apr-22
CIBC
1 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 36 in the Q2/22 Management's discussion
and analysis, available on SEDAR at www.sedar.com.
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