#1Scotiabank Supplementary Regulatory Capital Disclosures Q2 2023 For the period ended: April 30, 2023 For further information, contact Scotiabank Investor Relations: John McCartney - [email protected] Sophia Saeed - [email protected] Rebecca Hoang - [email protected]#2Supplementary Regulatory Capital Disclosures For the period ended: April 30, 2023 Section/Tab Overview Highlights EAD_RWA Description Overview Regulatory Capital - Highlights Exposure at Default and Risk-weighted Assets for Credit Risk Portfolios Frequency Page # Quarterly 3-4 Quarterly 5 Quarterly 6-7 Pillar III report KM2 Key metrics - TLAC requirements (at resolution group level) Quarterly 8 Qualitative Summary of Qualitative Requirements - Pillar III (Cross Referenced) Annual 9-15 OV1 Overview of RWA Quarterly 16-17 LI1 Differences between accounting and regulatory scopes of consolidation and mapping of financial statements Quarterly 18-19 12 L12 Main sources of differences between regulatory exposure amounts and carrying values in financial statements Quarterly 20 CC1 Composition of regulatory capital CC2 Reconciliation of regulatory capital to balance sheet Quarterly Quarterly 21-24 25-28 TLAC1 TLAC composition for G-SIBS (at resolution group level) Quarterly 29 TLAC3 Resolution entity - creditor ranking at legal entity level Quarterly 30-31 LR1 LR2 Summary comparison of accounting assets vs leverage ratio exposure measure Leverage ratio common disclosure template Quarterly 32 Quarterly 33 CR1 CR2 CR3 CR4 CR5 Credit quality of assets Changes in stock of defaulted loans and debt securities Credit risk mitigation techniques - overview Standardized approach - credit risk exposures and credit risk mitigation (CRM) effects Standardized approach - exposures by asset classes and risk weights Quarterly 34 Quarterly 35 Quarterly 36 Quarterly 37-38 Quarterly 39-40 CR6 (Retail) CR6 (Non-Retail-AIRB) AIRB - Retail credit risk exposures by portfolio and probability of default (PD) range AIRB - Non-Retail credit risk exposures by portfolio and probability of default (PD) range Quarterly 41-46 Quarterly 47-52 CR6 (Non-Retail-FIRB) CR7 FIRB - Non-Retail credit risk exposures by portfolio and probability of default (PD) range IRB - effect on RWA of credit derivatives used as CRM techniques Quarterly 53-54 Quarterly 55 CR8 RWA flow statements of credit risk exposures under IRB CR10 IRB (specialized lending and equities under the simple risk weight method) Quarterly Quarterly 56 57-58 Scotiabank Supplementary Regulatory Capital Disclosure Page 1 of 88#3Supplementary Regulatory Capital Disclosures For the period ended: April 30, 2023 Section/Tab CCR1 CCR2 Description Frequency Page # Analysis of counterparty credit risk (CCR) exposure by approach Credit valuation adjustment (CVA) capital charge Quarterly 59 Quarterly 60 CCR3 Standardized approach of CCR exposures by regulatory portfolio and risk weights Quarterly 61 CCR4 (AIRB) AIRB - CCR exposures by portfolio and PD scale Quarterly 62-64 CCR4 (FIRB) FIRB-CCR exposures by portfolio and PD scale Quarterly 65 CCR5 Composition of collateral for CCR exposure Quarterly 66 CCR6 Credit derivatives exposures Quarterly 67 CCR7 RWA flow statements of CCR exposures under the Internal Model Method (IMM) Quarterly 68 CCR8 Exposures to central counterparties Quarterly 69 SEC1 Securitization exposures in the banking book Quarterly 70-71 SEC2 Securitization exposures in the trading book Quarterly 72-73 SEC3 Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor Quarterly 74-75 SEC4 Quarterly 76-77 Securitization exposures in the banking book and associated capital requirements - bank acting as investor For disclosures in accordance with OSFI's Liquidity Adequacy Requirements Guideline, please refer to the Bank's quarterly Management Discussion & Analysis report. For regulatory capital disclosures specific to annual disclosure requirements, please refer to the fourth quarter Supplemental Regulatory Capital Disclosures report. Disclosures provided to address Enhanced Disclosure Task Force (EDTF) recommendations Capital_Flow RWA_Summary RWA_Flow RWA_by_Business Geography Flow Statement for Regulatory Capital Risk-weighted Assets and Capital Ratios Movement of Risk-weighted Assets by Risk Type Risk-weighted Assets Arising from the Activities of the Bank's Businesses Credit Risk Exposures by Geography AIRB Credit Risk Exposures by Maturity Maturity AIRB_Losses AIRB Credit Losses BackTest Derivatives Mkt_Risk Glossary Total Market Risk-weighted Assets Glossary Estimated and Actual Loss Parameters - Non-Retail and Retail AIRB Portfolios Derivatives - Counterparty Credit Risk For further information contact: John McCartney - (416) 863-7579, Sophia Saeed - (416) 933-8869, or Rebecca Hoang - (416) 933-0129 Scotiabank Quarterly 78 Quarterly 79 Quarterly 80 Quarterly 81 Quarterly 82 Quarterly 83 Quarterly 84 Quarterly 85 Quarterly 86 Quarterly 87 Quarterly 88 Supplementary Regulatory Capital Disclosure Page 2 of 88#4Back to Table of Contents Overview - Revised Basel III Implementation Revised Basel III Reforms Effective February 1, 2023, the Bank has adopted the Revised Basel III reforms in accordance with OSFI's revised Capital Adequacy Requirements Guideline, Leverage Ratio Requirements Guideline, and Pillar 3 Disclosures Guideline for D-SIBS. OSFI's requirements are substantially aligned with the BCBS' Revised Basel Ill reforms with some differences, primarily in residential real estate and qualifying revolving retail exposures, and with respect to an acceleration of the phase-in period of the aggregate capital output floor to 72.5% by 2026. The final Basel III reforms implemented in Q2 2023 primarily impact the calculation of risk-weighted assets and include: a revised standardized approach for credit risk, with increased granularity of prescribed risk weights for credit cards, mortgages and business loans; ⚫ revisions to the internal ratings-based approach for credit risk with new requirements for internally developed model parameters under the Advanced Internal Ratings-Based Approach (AIRB), including scope restrictions which limit certain asset classes to only the Foundation Internal Ratings-Based (FIRB) approach; a revised standardized approach for operational risk, which builds on the existing standardized approach including the recognition of an institution's operational risk loss experience; ⚫ revisions to the measurement of the Leverage ratio and a Leverage ratio buffer, which will take the form of a Tier 1 capital buffer set at 50% of a D-SIB's 1.0% risk-weighted surcharge capital buffer; and an aggregate output floor, which will ensure that banks' RWAs generated by internal models are not lower than 72.5% of RWAs as calculated by the Basel III framework's standardized approaches. There is an international phase-in period for the 72.5% aggregate capital output floor from 2023 until 2028, beginning at 65% for Canadian banks this quarter. Internationally, adoption of the revised Basel III reforms is varied across jurisdictions. Current expectations are that many jurisdictions will implement no earlier than 2025. In addition, the revised credit valuation adjustment framework (CVA) and Fundamental Review of the Trading Book (FRTB) market risk requirements will be effective for the Bank in Q1 2024. OSFI's Pillar 3 Disclosure Requirements This Appendix disclosure is based on OSFI's Pillar 3 disclosure requirements, including subsequently issued Total Loss Absorbing Capital (September 2018), and OSFI Capital Adequacy Requirements Guidelines (February 2023), and Leverage Ratio Guidelines (February 2023) and Pillar 3 Disclosure Guideline (February 2023), which are primarily sourced from the BCBS' Revised Pillar 3 disclosure requirements and its Technical Amendment to Regulatory Treatment of Accounting Provisions. This document is not audited and should be read in conjunction with our 2022 Annual Report. Scotiabank Supplementary Regulatory Capital Disclosure Page 3 of 88#5Back to Table of Contents Overview (continued) Effective February 1, 2023, Canadian banks are subject to the revised capital adequacy requirements as published by the Basel Committee on Banking Supervision (BCBS) and commonly referred to as revised Basel III, as per OSFI's Capital Adequacy Requirements Guideline (CAR). Basel III classifies risk into three broad categories: credit risk, market risk and operational risk. Under Pillar 1 of the Basel III Framework, minimum capital for these three risks is calculated using one of the following approaches: • Credit risk capital - Internal Ratings Based Approach (Advanced or Foundation) and the Standardized Approach. • Operational risk capital - Standardized Measurement Approach to Operational Risk. • Market risk capital - Internal models and/or Standardized Approaches. Credit Risk The credit risk component consists of on- and off-balance sheet claims. The Basel III rules are not applied to traditional balance sheet categories but to categories of on- and off- balance sheet exposures which represent general classes of assets or exposure types (e.g. Large Corporate, Mid-size Corporate, Small and Medium Enterprise, Sovereign, Bank, Retail Mortgages, Other Retail, Equity,etc.,) based on their different underlying risk characteristics. Generally, while calculating capital requirements, exposure types are analyzed by the following credit risk exposure sub-types: Drawn, Undrawn, Repo-style Transactions, Over- the-counter (OTC) Derivatives, Exchange Traded Derivatives and Other Off-balance Sheet claims. OSFI approved the Bank's use of the Advanced Internal Ratings Based (AIRB) approach for credit risk in its material Canadian, US and European portfolios and for a significant portion of international corporate and commercial portfolios and Canadian retail portfolios. The Bank uses internal estimates, based on historical experience, for probability of default (PD), loss given default (LGD) and exposure at default (EAD). As described in CR2 of this Supplementary Regulatory Capital Disclosure, the definition of regulatory capital default is consistent with the accounting definitions described in the Bank's annual report. • Under the IRB approach, credit risk risk-weighted assets (RWA) are calculated by multiplying the capital requirement (K) by EAD times 12.5, where K is a function of the PD, LGD, maturity and prescribed correlation factors. This results in the capital calculations being more sensitive to underlying risks. • Under revised Basel III there are new IRB requirements for internally developed model parameters under AIRB including scope restrictions which limit certain asset classes to only the Foundation Internal Ratings Based (FIRB) approach. ⚫ For those asset classes (e.g. Large Corporates, Banks, etc.) the FIRB utilizes the Bank's internally modeled PD parameters combined with internationally prescribed EAD and LGD parameters. ⚫ The standardized approach applies regulator prescribed risk weight factors to credit exposures based on the external credit assessments (public ratings), where available, and also considers other additional factors (e.g. loan-to-value for real estate secured, eligible collateral, allowances, etc.) • Under revised Basel III, the revised standardized approach for credit risk includes increased granularity of prescribed risk weights for credit cards, mortgages and business loans. • Risk weights for exposures falling under the Securitization Framework are mainly computed under the following approaches: the Internal Ratings Based Approach (IRBA), External Ratings-Based Approach (ERBA), or the OSFI approved Internal Assessments Approach (IAA). ⚫ IRBA risk weights are only applicable to retained exposures to securitizations of Bank originated receivables utilizing the Bank's existing OSFI approved AIRB model parameters. ⚫ ERBA risk weights for other banking book exposures depend on the external ratings provided by the external credit assessment institutions (ECAI): S&P, Moody's and DBRS and are risk-weighted based on prescribed percentages incorporating effective maturity and STC (Simple, Transparent, Comparable) criteria, a mapping process consistent with OSFI's CAR. • IAA risk weights for exposures to our asset-backed commercial paper conduits are based on a rating methodology similar to the criteria that are published by ECAIS and therefore are similar to the methodologies used by these institutions. Our ratings process includes a comparison of the available credit enhancement in a securitization structure to a stressed level of projected losses. The stress level used is determined by the desired risk profile of the transaction. As a result, we stress the cash flows of a given transaction at a higher level in order to achieve a higher rating. Conversely, transactions that only pass lower stress levels achieve lower ratings. We periodically compare our own ratings to ECAls ratings to ensure that the ratings provided by ECAls are reasonable. We have developed asset class specific criteria guidelines which provide the rating methodologies for different asset classes. The guidelines are reviewed periodically and are subject to a model validation process, for compliance with Basel rules. The Bank's Global Risk Management (GRM) is responsible for providing risk assessments for capital purposes. GRM is independent of the business originating the securitization exposures and performs its own analysis, sometimes in conjunction with but always independent of the applicable business. Operational Risk In January 2020, OSFI revised its capital requirements for operational risk in consideration of the final Basel III revisions published by the BCBS in December 2017. OSFI required the implementation of the revised standardized approach for operational risk in Q2 2023, which replaced the existing standardized approaches and the advanced measurement approaches. The revised standardized approach builds on the existing gross income approach including a scalar or internal loss multiplier (ILM) that recognizes an institution's operational risk loss experience. Market Risk The Bank uses both internal models and standardized approaches to calculate market risk capital. Commencing Q1 2012, the Bank implemented additional market risk measures in accordance with Basel's Revisions of the Basel II market risk framework (July 2009). Additional measures include stressed Value-at-Risk and incremental risk charge. OSFI's implementation of the revised Basel III market risk framework from a Fundamental Review of the Trading Book (FRTB) is expected in Q1 2024. Total Loss Absorbing Capacity (TLAC) Effective November 1, 2021, D-SIBS are required to maintain a minimum risk-based TLAC ratio and a minimum TLAC leverage ratio. TLAC is defined as the aggregate of Tier 1 capital, Tier 2 capital, and other TLAC instruments that are subject to conversion in whole or in part into common shares under the CDIC Act and meet all of the eligibility criteria under the guidelines. The Bank's minimum TLAC ratio requirements consist of 21.5% of risk-weighted assets (plus a Domestic Stability Buffer requirement) and 7.25% of leverage ratio exposures. OSFI may subsequently vary the minimum TLAC requirements for individual D-SIBS or groups of D-SIBS. This "Supplementary Regulatory Capital Disclosure" including the main features template that sets out a summary of information on the terms and conditions of the main features of all capital instruments is posted on the Bank's website as follows: http://www.scotiabank.com/ca/en/0,,3066,00.htm#6Back to Table of Contents Regulatory Capital Highlights (in $ millions) Common Equity Tier 1 capital (¹) Tier 1 capital (¹) Total capital (1) Total loss absorbing capacity (TLAC) (2) Risk-weighted Assets (¹) Capital Risk-weighted Assets Q2 2023 Revised Basel III Q1 2023 Q4 2022 Q3 2022 Q2 2022 Basel III Basel III Basel III Basel III 55,520 54,138 53,081 51,639 51,547 63,688 62,317 61,262 58,801 57,201 73,197 71,867 70,710 68,086 66,628 127,815 131,433 126,565 128,800 133,841 451,063 471,528 462,448 452,800 445,273 Tier 1 (as a percentage of risk-weighted assets) Capital Ratios (%) (1) Common Equity Tier 1 (as a percentage of risk-weighted assets) Total capital (as a percentage of risk-weighted assets) Total loss absorbing capacity (as a percentage of risk-weighted assets) (2) 12.3 11.5 11.5 11.4 11.6 14.1 13.2 13.2 13.0 12.8 16.2 15.2 15.3 15.0 15.0 28.3 27.9 27.4 28.4 30.1 Leverage (3) Leverage Exposures 1,530,107 1,468,559 1,445,619 1,388,823 1,360,184 Leverage Ratio (%) 4.2 4.2 4.2 4.2 4.2 TLAC Leverage Ratio (%) (2) 8.4 8.9 8.8 9.3 9.8 Common Equity Tier 1 minimum ratio OSFI Pillar 1 Target (%) Tier 1 capital minimum ratio Total capital minimum ratio Leverage minimum ratio Total loss absorbing capacity minimum ratio 8.0 8.0 8.0 8.0 8.0 9.5 9.5 9.5 9.5 9.5 11.5 11.5 11.5 11.5 11.5 3.5 3.0 3.0 3.0 3.0 21.5 21.5 21.5 21.5 21.5 7.25 6.75 6.75 6.75 6.75 TLAC Leverage minimum ratio Capital instruments subject to phase-out arrangements Current cap on Additional Tier 1 (AT1) instruments subject to phase-out arrangements (%) Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) Current cap on Tier 2 (T2) instruments subject to phase-out arrangements (%) Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) N/A N/A N/A N/A 750 750 750 N/A N/A N/A N/A 179 197 250 g་ (1) Q2 2023 regulatory capital ratios are based on Revised Basel III requirements as determined in accordance with OSFI Guideline - Capital Adequacy Requirements (February 2023). Prior period regulatory capital ratios were prepared in accordance with OSFI Guideline - Capital Adequacy Requirements (November 2018). (2) This measure has been disclosed in this document in accordance with OSFI Guideline - Total Loss Absorbing Capacity (September 2018). (3) Q2 2023 leverage ratios are based on Revised Basel III requirements as determined in accordance with OSFI Guideline - Capital Adequacy Requirements (February 2023). Prior period leverage ratios were prepared in accordance with OSFI Guideline - Leverage Requirements (November 2018). N/A not applicable Scotiabank Supplementary Regulatory Capital Disclosure Page 5 of 88#7Back to Table of Contents Exposure at Default and Risk-Weighted Assets for Credit Risk Portfolios (in $ millions) Q2 2023 Revised Basel III Exposure Type Drawn Undrawn Exposure At Default (Post CRM) CCR (4) Others (1) Total % IRB Drawn Undrawn Risk-Weighted Assets CCR (2) (4) Others Total % IRB IRB Exposures Sovereign, PSES and MDBS 216,190 2,801 4,025 768 Bank, and Financial Institutions 16,321 11,801 5,831 7,727 223,784 41,680 90% 4,832 288 257 40 5,417 56% 96% 4,182 5,420 1,047 2,229 12,878 93% Corporate Large, Mid-Size, SME and others 240,108 84,855 24,928 24,427 374,318 87% 80,401 27,442 3,152 5,996 116,991 68% Total Non Retail 472,619 99,457 34,784 32,922 639,782 89,415 33,150 4,456 8,265 135,286 Securitizations Residential Mortgages 220,146 Secured Lines Of Credit 22,150 50,052 Qualifying Revolving Retail Exposures (QRRE) 15,592 41,886 Other Retail 34,037 4,345 Total Retail 291,925 96,283 11,906 220,146 77% 25,427 72,202 99% 3,951 2,201 57,478 75% 9,265 3,934 38,382 50% 20,887 2,026 388,208 59,530 8,161 25,427 55% 6,152 97% 13,199 53% 22,913 44% 67,691 5,215 Trading Derivatives Total IRB 23,891 17,121 23,891 87% 2,568 96% 696 3,264 83% 4,583 4,583 83% 776,450 195,740 58,675 38,137 1,069,002 151,513 41,311 9,039 8,961 210,824 Standardized Exposures Sovereign, PSES and MDBs 25,300 191 49 25,540 4,137 154 49 4,340 Bank, and Financial Institutions 1,793 25 114 5 1,937 917 11 46 2 976 Corporate Large, Mid-Size, SME and others 46,512 7,004 414 2,006 55,936 46,578 7,030 413 2,010 56,031 Total Non Retail 73,605 7,220 577 2,011 83,413 51,632 7,195 508 2,012 61,347 Securitizations Trading Derivatives Residential Mortgages 64,713 Secured Lines Of Credit 500 110 Qualifying Revolving Retail Exposures (QRRE) 11,724 7,490 Other Retail 37,333 1,244 Total Retail 114,270 8,844 1,734 64,713 21,028 610 175 38 19,214 7,801 49 38,626 49 123,163 28,102 57,106 3,970 938 4,946 21,028 213 11,771 38 29,078 38 62,090 850 2,584 510 963 963 145 655 930 930 Total Standardized 189,609 16,064 1,540 2,910 210,123 109,248 12,141 1,438 2,195 125,022 Sub Debt and Equities (3) 22,060 98 22,158 17,796 210 18,006 CCP exposures Derivatives - CVA 27,663 24,221 27,663 24,221 889 5,658 889 5,658 Other Assets 85,233 85,233 20,925 20,925 Total Credit Risk (5)(6) 988,119 211,902 112,099 126,280 1,438,400 278,557 53,662 17,024 32,081 381,324 (1) IRB Exposure at default is post credit risk mitigation. Standardized Exposure at default is after related IFRS 9 (ECL Stage 3) allowances for credit losses, and the collateral impact under Comprehensive Approach. Residential Mortgages include insured (2) Risk-weighted Assets used for calculation of CET1, Tier 1, and Total Capital ratios. (3) This includes Equity investments, Equity Investment in Funds and Significant Investments (4) Others includes Letter of Credits and Guarantees, Off Balances Sheet Securitization and Other Assets. (5) This EAD and RWA summary was revised after Basel III revisions, and no comparative numbers will be reported this quarter. (6) EAD amounts reported for certain asset classes (e.g. derivatives, other assets, etc.,) may be reported under more than one exposure type on this page for presentation purposes. Scotiabank Supplementary Regulatory Capital Disclosure Page 6 of 88#8Back to Table of Contents Exposure at Default and Risk-Weighted Assets for Credit Risk Portfolios (in $ millions) Sub-type Q1 2023 Basel III AIRB Standardized Total Exposure Type Non-Retail Corporate EAD (1) RWA (2) EAD (1) RWA (2) EAD (1) RWA (2) % AIRB EAD (1) RWA (2) Drawn Undrawn 239,367 96,555 47,294 43,991 286,661 140,546 84% 69% 123,611 42,761 3,124 3,147 126,735 45,908 98% 93% Other (3) 63,944 13,651 2,956 2,941 66,900 16,592 96% 82% Total 426,922 152,967 53,374 50,079 480,296 203,046 89% 75% Bank Drawn 14,246 2,631 4,520 3,985 18,766 6,616 76% 40% Undrawn 4,434 1,044 24 24 4,458 1,068 99% 98% (3) Other 8,060 926 5 5 8,065 931 100% 99% Total 26,740 4,601 4,549 4,014 31,289 8,615 85% 53% Sovereign Drawn 166,622 4,317 10,343 509 176,965 4,826 94% 89% Undrawn 990 48 1 1 991 49 100% 98% (3) Other 2,846 132 149 149 2,995 281 95% 47% Total 170,458 4,497 10,493 659 180,951 5,156 94% 87% Total Non-Retail Drawn 420,235 103,503 62,157 48,485 482,392 151,988 Undrawn 129,035 43,853 3,149 3,172 132,184 47,025 Other (3) 74,850 14,709 3,110 3,095 77,960 17,804 Total 624,120 162,065 68,416 54,752 692,536 216,817 Retail Residential Mortgages (1) Drawn 283,406 23,231 67,124 27,212 350,530 50,443 81% 46% Undrawn Total 283,406 23,231 67,124 27,212 350,530 50,443 81% 46% Secured Lines Of Credit Drawn 21,777 3,502 21,777 3,502 100% 100% Undrawn 23,022 887 23,022 887 100% 100% Total 44,799 4,389 44,799 4,389 100% 100% Qualifying Revolving Retail Drawn 16,249 9,678 16,249 9,678 100% 100% Exposures (QRRE) Undrawn 31,018 3,283 31,018 3,283 100% 100% Total 47,267 12,961 47,267 12,961 100% 100% Other Retail Drawn 33,912 20,319 48,912 36,157 82,824 56,476 41% 36% Undrawn/Other 4,290 2,005 Total 38,202 22,324 863 49,775 649 5,153 2,654 83% 76% 36,806 87,977 59,130 43% 38% Total Retail Drawn 355,344 56,730 116,036 63,369 471,380 120,099 Undrawn/Other 58,330 6,175 863 649 Total 413,674 62,905 116,899 64,018 59,193 530,573 6,824 126,923 Securitizations Trading Derivatives 23,612 4,237 4,237 964 27,849 5,201 85% 81% 24,970 4,804 1,204 1,200 26,174 6,004 95% 80% Derivatives credit valuation adjustment (CVA) 5,743 5,743 Total Credit Risk (Excluding Equities & Other Assets) 1,086,376 239,754 190,756 120,934 1,277,132 360,688 Equities 4,570 4,549 Other Assets (4) 80,050 30,771 4,570 80,050 4,549 100% 100% 30,771 Total Credit Risk (Before Scaling Factor) 1,090,946 244,303 270,806 151,705 1,361,752 396,008 Add-on for 6% Scaling Factor (5) Total Credit Risk 14,059 14,059 1,090,946 258,362 270,806 151,705 1,361,752 410,067 (1) AIRB Exposure at default is post credit risk mitigation. Standardized Exposure at default is after related IFRS 9 (ECL Stage 3) allowances for credit losses, and the collateral impact under Comprehensive Approach. Residential Mortgages include insured mortgages. (2) Risk-weighted Assets used for calculation of CET1, Tier 1, and Total Capital ratios. (3) Includes lending instruments such as letters of credit and letters of guarantee, banking book derivatives and repo-style exposures, net of related collateral. (4) Other Assets include amounts related to central counterparties (CCPs). (5) The Basel Framework requires an additional 6% scaling factor to AIRB credit risk portfolios (excluding CVA and Securitizations). Scotiabank Supplementary Regulatory Capital Disclosure Page 7 of 88#9Back to Table of Contents KM2: Key metrics - TLAC requirements (at resolution group level) (in $ millions) a a2 Q2 2023 Revised Basel III Q1 2023 Basel III аз Q4 2022 Basel III a4 Q3 2022 Basel III Resolution group 1 Total loss absorbing capacity (TLAC) available 2 Total RWA at the level of the resolution group 3 TLAC as a percentage of RWA (row 1/ row 2) (%) 4 Leverage exposure measure at the level of the resolution group 5 TLAC as a percentage of leverage exposure measure (row 1/ row 4) (%) ба Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? 127,815 131,433 126,565 128,800 451,063 471,528 462,448 452,800 28.3% 27.9% 27.4% 28.4% 1,530,107 1,468,559 1,445,619 1,388,823 8.4% 8.9% 8.8% 9.3% Yes Yes Yes Yes 66 6b Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? No No No No 6c If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognized as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognized as external TLAC if no cap was applied (%) N/A N/A N/A N/A Scotiabank Supplementary Regulatory Capital Disclosure Page 8 of 88#10Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Part 2 - OVA - Bank risk management approach Banks must describe their risk management objectives and policies, in particular: (a) How the business model determines and interacts with the overall risk profile (eg the key risks related to the business model and how each of these risks is reflected and described in the risk disclosures) and how the risk profile of the bank interacts with the risk tolerance approved by the board. Frequency 2022 Annual Report: MD&A Annual Annual Annual 72-109 (b) The risk governance structure: responsibilities attributed throughout the bank (eg oversight and delegation of authority; breakdown of responsibilities by type of risk, business unit etc); relationships between the structures involved in risk management processes (eg board of directors, executive management, separate risk committee, risk management structure, compliance function, internal audit function). Annual 72-75 (c) Channels to communicate, decline and enforce the risk culture within the bank (eg code of conduct; manuals containing operating limits or procedures to treat violations or breaches of risk thresholds; procedures to raise and share risk issues between business lines and risk functions). Annual 72-75 (d) The scope and main features of risk measurement systems. Annual (e) Description of the process of risk information reporting provided to the board and senior management, in particular the scope and main content of reporting on risk exposure. Annual 72-77, 80- 83, 92-94, 108-109 72-76, 87 (f) Qualitative information on stress testing (eg portfolios subject to stress testing, scenarios adopted and methodologies used, and use of stress testing in risk management). Annual (g) The strategies and processes to manage, hedge and mitigate risks that arise from the bank's business model and the processes for monitoring the continuing effectiveness of hedges and mitigants. Annual 74-76, 92- 94,97 72-76, 77- 82, 80-84, 223-224, 228 151-152, 172-176 92-94 Part 3 - LIA - Explanations of differences between accounting and regulatory exposures amounts Banks must explain the origins of the differences between accounting amounts, as reported in financial statements amounts and regulatory exposure amounts, as displayed in templates LI1 and L12. Annual Annual Scotiabank (a) (b) Banks must explain the origins of any significant differences between the amounts in columns (a) and (b) in LI1. Banks must explain the origins of differences between carrying values and amounts considered for regulatory purposes shown in LI2. Annual LI1 Annual L12 Supplementary Regulatory Capital Disclosure 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Financial Reporting Supplementary Package Page Reference Page 9 of 88#11(c) Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Frequency 2022 Annual Report: MD&A 2022 Annual Report: Financial Statements In accordance with the implementation of the guidance on prudent valuation (see [CAR 2023, Chapter 9, Section 9.4]), D-SIBS must describe systems and controls to ensure that the valuation estimates are prudent and reliable. Disclosure must include: • Valuation methodologies, including an explanation of how far mark-to-market and mark-to-model methodologies are used. • Description of the independent price verification process. Annual Annual 77-83, 111. Annual • Procedures for valuation adjustments or reserves (including a description of the process and the methodology for valuing trading positions by type of instrument). Annual 112 111-112 111-112 166-171, 223-224 172-173 152-153, 172-173 (d) D-SIBS with insurance subsidiaries must disclose: ⚫ the national regulatory approach used with respect to insurance entities in determining a D-SIB's reported capital positions (ie deduction of investments in insurance subsidiaries or alternative approaches, as discussed in [Basel Framework SCO30.5]; and ⚫ any surplus capital in insurance subsidiaries recognised when calculating the D-SIB's capital adequacy (see [Basel Framework SCO30.6]. Part 4 - CRA - General qualitative information about credit risk Banks must describe their risk management objectives and policies for credit risk, focusing in particular on: Annual Annual (a) How the business model translates into the components of the bank's credit risk profile Annual 72, 76-75, (b) Criteria and approach used for defining credit risk management policy and for setting credit risk limits Annual (c) Structure and organization of the credit risk management and control function Annual (d) (e) Relationships between the credit risk management, risk control, compliance and internal audit functions Scope and main content of the reporting on credit risk exposure and on the credit risk management function to the executive management and to the board of directors Annual Annual 80-85 74-77, 80, 89-91 72-73, 82- 85 72-74 72-75, 82- 85 Part 4 - CRB - Additional disclosure related to the credit quality of assets Annual Banks must provide the following disclosures: Qualitative disclosures Scotiabank Supplementary Regulatory Capital Disclosure Annual Page 10 of 88 Regulatory Capital Supplementary Package Page Reference Financial Reporting Supplementary Package#12(a) Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative The scope and definitions of "past due" and "impaired" exposures used for accounting purposes and the differences, if any, between the definition of past due and default for accounting and regulatory purposes. When the accounting framework is IFRS 9, "impaired exposures" are those that are considered "credit-impaired" in the meaning of IFRS 9 Appendix A. When the accounting framework is US GAAP, "impaired exposures" are those exposures for which credit losses are measured under ASC Topic 326 and for which the D-SIB has recorded a partial write-off/write-down. The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this. Frequency Annual 2022 Annual Report: MD&A 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Financial Reporting Supplementary Package Page Reference 155-157 Overview (b) Annual 155-157, 194 (c) Description of methods used for determining accounting provisions for credit losses. In addition, banks that have adopted an ECL accounting model must provide information on the rationale for categorization of ECL accounting provisions in general and specific categories for standardized approach exposures. Annual 155-157 CR1 (d) The bank's own definition of a restructured exposure.-D-SIBS should disclose the definition of restructured exposures they use (which may be a definition from the local accounting or regulatory framework). Quantitative disclosures Annual 155-157 Annual (e) Breakdown of exposures by geographical areas, industry and residual maturity; Annual (i) Geography Annual 117, 122 218 (ii) Industry Annual 119 217 (iii) Residual Maturity Annual 104, 122 187 (f) Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related allowances and write-offs, broken down by geographical areas and industry; Annual (i) Geography Annual (ii) Industry Annual (g) Ageing analysis of accounting past-due exposures; (h) Breakdown of restructured exposures between impaired and not impaired Impaired by Region Impaired by Industry Annual 194 Annual 192 Part 4 - Table CRC: Qualitative disclosure requirements related to credit risk mitigation techniques Annual Banks must disclose: Annual (a) Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off- balance sheet netting. Annual 82-84 170, 176 (b) Core features of policies and processes for collateral evaluation and management. Annual 82-84 170 Scotiabank Supplementary Regulatory Capital Disclosure Page 11 of 88#13Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Frequency (c) Information about market or credit risk concentrations under the credit risk mitigation instruments used (ie by guarantor type, collateral and credit derivative providers). Annual 76, 82-84, 88-89 Part 4 - CRD: Qualitative disclosures on banks' use of external credit ratings under the standardized approach for credit risk Annual 2022 Annual Report: MD&A 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Financial Reporting Supplementary Package Page Reference 176, 216 (a) A. For portfolios that are risk-weighted under the standardized approach for credit risk, banks must disclose the following information: Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) used by the bank, and the reasons for any changes over the reporting period; Annual Annual 63-64 226 (b) The asset classes for which each ECAI or ECA is used; Annual 63-64 226 EAD RWA (c) A description of the process used to transfer the issuer to issue credit ratings onto comparable assets in the banking book (see [CAR 2023, Chapter 4, Section 4.2.3.3, paragraph 180-182]); and Annual 63-64 226 (d) The alignment of the alphanumerical scale of each agency used with risk buckets (except where the relevant supervisor publishes a standard mapping with which the bank has to comply). Annual 63-64 226 Part 4 - CRE: Qualitative disclosures related to IRB models Banks must provide the following information on their use of IRB models: (a) (b) Internal model development, controls and changes: role of the functions involved in the development, approval and subsequent changes of the credit risk models. Relationships between risk management function and internal audit function and procedure to ensure the independence of the function in charge of the review of the models from the functions responsible for the development of the models. Annual Annual Annual 63-66, 77, 80-82 Annual 63-66 000 (c) Scope and main content of the reporting related to credit risk models. Annual 63-66 223-226 Overview (d) Scope of the supervisor's acceptance of approach. Annual 63-66 (e) For each of the portfolios, the bank must indicate the part of EAD within the group (in percentage of total EAD) covered by standardized, FIRB and AIRB approach and the part of portfolios that are involved in a roll-out plan. Annual 63-66 Overview EAD RWA (f) The number of key models used with respect to each portfolio, with a brief discussion of the main differences among the models within the same portfolios. Annual 71-74 223-226 Scotiabank Supplementary Regulatory Capital Disclosure Page 12 of 88#14Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Frequency (g) Description of the main characteristics of the approved models: Annual 71-74 (i) definitions, methods and data for estimation and validation of PD (eg how PDs are estimated for low default portfolios; if there are regulatory floors; the drivers for differences observed between PD and actual default rates at least for the last three periods); and where applicable: (ii) LGD (eg methods to calculate downturn LGD; how LGDs are estimated for low default portfolio; the time lapse between the default event and the closure of the exposure); (iii) credit conversion factors, including assumptions employed in the derivation of these variables; 2022 Annual Report: MD&A Part 5 - CCRA: Qualitative disclosure related to counterparty credit risk Banks must provide: Annual Annual (a) The method used to assign the operating limits defined in terms of internal capital for counterparty credit exposures and for CCP exposures; Annual 73-74, 81- 175-176 (b) Policies relating to guarantees and other risk mitigants and assessments concerning counterparty risk, including exposures towards CCPS; Annual (c) Policies with respect to wrong-way risk exposures; (d) The impact in terms of the amount of collateral that the bank would be required to provide given a credit rating downgrade. Annual Annual 84 74-76, 81- 84 83-84 175-176 94 Part 6-SECA: Qualitative disclosure requirements related to securitization exposures Qualitative disclosures Banks must describe their risk management objectives and policies for securitization activities and main features of these activities according to the framework below. If a bank holds securitization positions reflected both in the regulatory banking book and in the regulatory trading book, the bank must describe each of the following points by distinguishing activities in each of the regulatory books. (a) The bank's objectives in relation to securitization and re-securitization activity, including the extent to which these activities transfer credit risk of the underlying securitized exposures away from the bank to other entities, the type of risks assumed and the types of risks retained. (b) The bank must provide a list of: special purpose entities (SPEs) where the bank acts as sponsor (but not as an originator such as an Asset Backed Commercial Paper (ABCP) conduit), indicating whether the bank consolidates the SPES into its scope of regulatory consolidation. A bank would generally be considered a "sponsor" if it, in fact or in substance, manages or advises the programme, places securities into the market, or provides liquidity and/or credit enhancements. The programme may include, for example, ABCP conduit programmes and structured investment vehicles. Scotiabank Supplementary Regulatory Capital Disclosure Annual Annual Annual Annual 67-69, 112 196-197 Annual Annual 67-69 196-197 Page 13 of 88 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Page Reference 223-226 Financial Reporting Supplementary Package#15Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Frequency 2022 Annual Report: MD&A 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Financial Reporting Supplementary Package affiliated entities (i) that the bank manages or advises and (ii) that invest either in the securitization exposures that the bank has securitized or in SPES that the bank sponsors; and Annual 67-69 Page Reference 196-197 a list of entities to which the bank provides implicit support and the associated capital impact for each of them (as required in [CAR 2023, Chapter 6, Section 6.2.1.8, paragraph 17] and [CAR 2023, Chapter 6, Section 6.8, paragraph 148]). (c) Summary of the bank's accounting policies for securitization activities. (d) If applicable, the names of external credit assessment institution (ECAIs) used for securitizations and the types of securitization exposure for which each agency is used. (e) If applicable, describe the process for implementing the Basel internal assessment approach (IAA). The description should include: Annual n/a Annual Annual 112 196-197 Overview Annual • structure of the internal assessment process and relation between internal assessment and external ratings, including information on ECAIs as referenced in item (d) of this table; Annual • control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review; and Annual the exposure type to which the internal assessment process is applied; and stress factors used for determining credit enhancement levels, by exposure type. For example, credit cards, home equity, auto, and securitisation exposures detailed by underlying exposure type and security type (eg residential mortgage-backed securities, commercial mortgage-backed securities, asset-backed securities, collateralised debt obligations) etc. Annual (f) Banks must describe the use of internal assessment other than for IAA capital purposes. Part 7 Market risk OSFI revised Pillar 3 Market Risk disclosure requirements allow for a continuation of the existing Basel 2.5 Market Risk disclosures until the implementation of the next phase of Pillar 3 disclosures in Canada. As a result, the Bank's Market Risk disclosures continue to be based on Basel 2.5 disclosure requirements. OSFI's requirements for Pillar 3 Requirements may be found in (http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl- Id/Pages/plr3.aspx). Scotiabank Annual n/a n/a Overview Overview Overview Overview Supplementary Regulatory Capital Disclosure Page 14 of 88#16Back to Table of Contents Summary of Qualitative Requirements - Pillar III (Cross Referenced) Item # Pillar III - Requirements - Qualitative Part 8 - Operational risk (a) In addition to the general qualitative disclosure requirement (paragraph 824), the approach(es) for operational risk capital assessment for which the bank qualifies. (b) Description of the advanced measurement approaches for operational risk (AMA), if used by the bank, including a discussion of relevant internal and external factors considered in the bank's measurement approach. In the case of partial use, the scope and coverage of the different approaches used/applied in regulatory capital. (c) For banks using the AMA, a description of the use of insurance for the purpose of mitigating operational risk. Part 9 - Interest rate risk in the banking book (IRRBB) (a) The general qualitative disclosure requirement (paragraph 824), including the nature of IRRBB and key assumptions, including assumptions regarding loan prepayments and behaviour of non-maturity deposits, and frequency of IRRBB measurement. Frequency 2022 Annual Report: MD&A Annual Annual 67,106 Annual 2022 Annual Report: Financial Statements Regulatory Capital Supplementary Package Financial Reporting Supplementary Package Page Reference n/a n/a n/a n/a Annual 91-94 228 Scotiabank Supplementary Regulatory Capital Disclosure Page 15 of 88#17Back to Table of Contents OV1: Overview of RWA (in $ millions) 1 2 Credit risk (excluding counterparty credit risk) Of which: standardized approach (SA) 3 Of which: foundation internal ratings-based (F-IRB) approach 343,535 145,014 67,781 a b b₂ b3 (1) RWA Q2 2023 Revised Basel III Q1 2023 Basel III 369,531 137,303 Q4 2022 Basel III 362,285 134,108 Q3 2022 Minimum capital requirements (2) Q2 2023 Basel III Revised Basel III 353,663 130,916 27,483 11,601 5,423 C 4 Of which: supervisory slotting approach 5 Of which: advanced internal ratings-based (A-IRB) approach 130,740 232,228 228,177 222,747 10,459 6 Counterparty credit risk (CCR) 11,367 14,414 13,796 14,732 909 Of which: standardized approach for counterparty 7 918 1,084 823 1,014 73 credit risk (SA-CCR) 8 Of which: Internal Model Method (IMM) 5,136 5,670 5,799 6,495 411 9 Of which: other CCR (3) 5,313 7,660 7,174 7,223 425 10 Credit valuation adjustment (CVA) 5,658 5,743 6,422 5,844 453 11 Equity investments in funds - look-through approach 3,002 1,466 1,339 1,359 240 12 Equity investments in funds - mandate-based approach 302 155 161 157 24 24 13 Settlement risk Scotiabank Supplementary Regulatory Capital Disclosure Page 16 of 88#18Back to Table of Contents OV1: Overview of RWA a b b₂ b3 (1) C Minimum capital RWA (in $ millions) Q2 2023 Revised Basel III Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III 14 Securitization exposures in banking book 3,919 5,201 5,409 Of which: securitization internal ratings-based 15 66 71 requirements (2) Q2 2023 Revised Basel III 4,938 314 76 approach (SEC-IRBA) Of which: securitization external ratings-based 16 approach (SEC-ERBA), 3,871 5,067 4,929 4,600 310 including internal assessment approach (IAA) Of which: securitization standardized approach (SEC- 17 48 68 409 262 st 4 SA) 18 Market risk 13,443 11,018 10,820 9,108 1,075 19 Of which: standardized approach (SA) 1,157 912 826 754 92 20 Of which: internal model approaches (IMA) 12,286 10,106 9,994 8,354 983 21 21 Capital charge for switch between trading book and banking book 22 Operational risk 48,062 50,443 50,194 50,263 3,845 Amounts below the thresholds for deduction (subject to 23 13,541 13,401 11,861 12,590 1,083 250% risk weight) 24 Output floor applied 65.0% 65.0% 25 25 Floor adjustment (before application of transitional cap) 8,234 659 26 Floor adjustment (after application of transitional cap) 8,234 659 27 Total (1+6+ 10 + 11+ 12+13 +14 + 18 + 21 +22+23+ 26) 451,063 471,528 462,448 452,800 36,085 (1) RWA: risk-weighted assets according to the Basel framework. (2) Minimum capital requirement: Pillar 1 capital requirements are RWA * 8%. (3) Includes SFT and CCP Default Fund. Scotiabank Supplementary Regulatory Capital Disclosure Page 17 of 88#19Back to Table of Contents LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories Q2 2023 Revised Basel III (in $ millions) a (1) b C d e f Carrying values of items: (2) Carrying values as reported in published financial statements Carrying values under scope of regulatory consolidation Subject to credit risk framework Subject to counterparty credit risk framework Subject to the securitization framework Subject to the market risk framework Assets Cash and deposits with financial institutions Precious metals 63,893 63,758 63,758 1,191 1,191 1,191 1,191 g Not subject to capital requirements or subject to (3) deduction from capital Trading assets Securities 105,560 105,544 Loans 6,910 6,910 450 105,544 6,910 Other 2,225 2,225 2,225 Financial instruments designated at fair value through profit or loss Securities purchased under resale agreements and securities borrowed 184,684 184,684 184,684 Derivative financial instruments 44,725 44,725 44,725 32,063 Investment securities 116,595 115,661 115,661 Loans Residential mortgages (4) 353,560 353,463 353,463 Personal loans 102,178 102,178 98,617 3,561 Credit cards 16,053 16,053 13,571 66 Business and government 298,013 298,005 287,872 10,013 Allowance for credit loss (5,736) (5,735) (5,699) 2,416 120 (36) Customers' liability under 21,901 acceptances, net of allowance 21,901 21,901 Property and equipment 5,646 5,645 5,645 Investments in associates 2,708 3,019 3,019 Goodwill and other intangible assets 17,396 17,722 1,759 15,963 Deferred tax assets 2,193 2,190 2,059 131 Other assets 33,503 31,774 19,741 Total assets 1,373,198 1,370,913 983,008 11,564 240,973 469 13,640 147,933 19,063 Scotiabank Supplementary Regulatory Capital Disclosure Page 18 of 88#20Back to Table of Contents LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories (1) Q2 2023 Revised Basel III (in $ millions) Liabilities Deposits a b C d e f Carrying values of items: (2) Carrying values as Carrying values under reported in published financial statements scope of regulatory consolidation Subject to credit risk framework Subject to counterparty credit risk framework Subject to the securitization framework Subject to the market risk framework g Not subject to capital requirements or subject to (3) deduction from capital Personal 283,651 283,651 283,651 Business and government 611,376 611,376 611,376 Financial institutions 50,511 50,511 50,511 Financial instruments designated at 26,935 26,935 26,935 fair value through profit or loss Acceptances 21,951 21,951 21,951 Obligations related to securities sold 41,310 41,310 41,310 short Derivative financial instruments 50,562 50,562 50,562 30,753 Obligations related to securities sold under repurchase agreements and 132,631 132,631 132,631 securities lent Subordinated debentures Other liabilities Total liabilities 8,784 8,784 66,737 1,294,448 64,452 1,292,163 183,193 (1) Based on the Consolidated Statement of Financial Position as reported in the Bank's Q2 2023 Quarterly Report. Effective Q1 2018, the Bank fully adopted IFRS 9 (Financial Instruments). (2) A single item may attract capital charges according to more than one risk category framework. (3) Includes capital deductions net of associated deferred tax liabilities, and securitized credit card exposures not subject to capital requirements for assets. (4) Includes $63.6 billion in mortgages guaranteed by Canada Mortgage Housing Corporation (CMHC) and federally backed privately insured mortgages. 456 72,519 8,784 63,996 1,067,204 Scotiabank Supplementary Regulatory Capital Disclosure Page 19 of 88#21Back to Table of Contents L12: Main sources of differences between regulatory exposure amounts and carrying values in financial statements Q2 2023 Revised Basel III (in $ millions) a b C d e Items subject to: (1) Total Credit risk framework Securitization framework Counterparty credit risk framework Market risk framework 1 Asset carrying value amount under scope of regulatory consolidation (as per template LI1) 1,351,850 983,008 13,640 240,973 147,933 2 Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1) 255,712 183,193 72,519 3 Total net amount under regulatory scope of consolidation 1,096,138 4 Off-balance sheet amounts (2) 255,903 983,008 248,422 13,640 57,780 75,414 6,065 1,416 5 (3) Differences in valuations 3,398 3,398 6 Differences due to different netting rules, other than those already included in row 2 137,913 7 (4) Differences due to considerations of provisions 4,228 8 Collateral offsetting (5) (173,521) 4,515 (5,486) 137,913 (287) (168,035) 9 Differences due to Potential Future Exposures and Collateral Haircut 59,091 59,091 10 Differences due to deconsolidated subsidiaries 11 Other differences not classified above 12 Exposure amounts considered for regulatory purposes (6) 1,383,150 1,233,857 19,705 87,878 75,414 (1) A single item can attract capital charges according to more than one risk category framework. (2) Includes undrawn commitments and letters of credit/guarantee after application of the credit conversion factors, unfunded securitization exposures, and unfunded default fund contributions. (3) Includes fair value adjustments for credit risk items (loans, bonds). (4) Amounts for IRB exposures are reported gross of partial write-offs and IFRS 9 specific allowances, and amounts for Standardized exposures are reported net of partial write-offs and IFRS 9 specific allowances. (5) Includes adjustments for credit risk mitigation based on the application of the Comprehensive Approach for collateral under the credit risk framework. (6) The aggregate amount considered as a starting point of the RWA calculation. Items are only listed once. Scotiabank Supplementary Regulatory Capital Disclosure Page 20 of 88#22Back to Table of Contents CC1: Composition of regulatory capital (in $ millions) Common Equity Tier 1 capital: instruments and reserves Directly issued qualifying common share capital (and equivalent for non-joint stock companies) plus related a2 аз ад Q2 2023 Q1 2023 Q4 2022 Q3 2022 Revised Basel III Basel III Basel III Basel III b Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation (¹) 1 stock surplus 2 Retained earnings 3 Accumulated other comprehensive income (and other reserves) 19,016 18,587 18,555 18,576 54,967 54,165 53,761 53,151 V (4,906) (6,640) (7,166) (6,684) W u+y 4 Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies) 5 Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) 728 709 694 693 αα 6 Common Equity Tier 1 capital before regulatory adjustments 69,805 66,821 65,844 65,736 Common Equity Tier 1 capital: regulatory adjustments 7 Prudential valuation adjustments 8 Goodwill (net of related tax liability) (9,558) (9,469) (9,200) 9 Other intangibles other than mortgage servicing rights (net of related tax liability) (6,405) (6,331) (6,346) (9,081) (6,081) g h-q+i-r 10 Deferred tax assets excluding those arising from temporary differences (net of related tax liability) (131) (132) (88) (70) k 11 Cash flow hedge reserve 4,347 4,248 4,786 2,853 12 Shortfall of provisions to expected losses (407) X dd 13 Securitization gain on sale 14 Gains and losses due to changes in own credit risk on fair valued liabilities (1,523) (320) (1,213) (906) p 15 Defined benefit pension fund net assets (net of related tax liability) (469) (644) (757) (840) l-s 16 Investments in own shares (if not already netted off paid-in capital on reported balance sheet) (25) (12) (17) a 17 Reciprocal cross holdings in common equity 18 Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold) 19 Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) e 2222222222 20 Mortgage servicing rights (amount above 10% threshold) 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability) Amount exceeding the 15% threshold 23 of which: significant investments in the common stock of financials f 24 of which: mortgage servicing rights 25 of which: deferred tax assets arising from temporary differences j 26 Other deductions or regulatory adjustments to CET1 as determined by OSFI (139) (10) 67 45 o+ff+gg+hh 27 Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions 28 Total regulatory adjustments to Common Equity Tier 1 (14,285) (12,683) 29 Common Equity Tier 1 capital (CET1) 55,520 54,138 (12,763) 53,081 (14,097) 51,639 Scotiabank Supplementary Regulatory Capital Disclosure Page 21 of 88#23Back to Table of Contents CC1: Composition of regulatory capital (in $ millions) a2 аз ад Q2 2023 Revised Basel III Q1 2023 Q4 2022 Q3 2022 Basel III Basel III Basel III b Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation (1) 30 31 Additional Tier 1 capital: instruments Directly issued qualifying Additional Tier 1 instruments plus related stock surplus of which: classified as equity under applicable accounting standards 8,075 8,075 8,075 8,075 8,075 8,075 7,052 7,052 32 33 of which: classified as liabilities under applicable accounting standards Directly issued capital instruments subject to phase out from additional Tier 1 34 Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) 93 104 106 110 bb 35 36 of which: instruments issued by subsidiaries subject to phase out Additional Tier 1 capital before regulatory adjustments 8,168 8,179 8,181 7,162 Additional Tier 1 capital: regulatory adjustments 37 Investments in own Additional Tier 1 instruments 38 Reciprocal cross holdings in Additional Tier 1 instruments. 39 Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold) Significant investments in the capital of banking, financial and insurance entities that are outside the scope of 40 regulatory consolidation, net of eligible short positions 41 Other deductions from Tier 1 capital as determined by OSFI 42 Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions 43 Total regulatory adjustments to Additional Tier 1 capital 44 Additional Tier 1 capital (AT1) 45 Tier 1 capital (T1 = CET1 + AT1) Scotiabank 8,168 63,688 8,179 62,317 8,181 61,262 7,162 58,801 b Supplementary Regulatory Capital Disclosure Page 22 of 88#24Back to Table of Contents CC1: Composition of regulatory capital Tier 2 capital: instruments and provisions (in $ millions) 46 Directly issued qualifying Tier 2 instruments plus related stock surplus 47 Directly issued capital instruments subject to phase out from Tier 2 48 Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) 49 50 51 of which: instruments issued by subsidiaries subject to phase out Collective allowances Tier 2 capital before regulatory adjustments Tier 2 capital: regulatory adjustments 52 Investments in own Tier 2 instruments 53 Reciprocal cross holdings in Tier 2 instruments and Other TLAC-eligible instruments 54 54a 55 Non-significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBS and Canadian D-SIBS that are outside the scope of regulatory consolidation, where the institution does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) Non-significant investments in the other TLAC-eligible instruments issued by G-SIBS and Canadian D-SIBS, where the institution does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions. Significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBS and Canadian D-SIBS that are outside the scope of regulatory consolidation. 56 Other deductions from Tier 2 capital 57 Total regulatory adjustments to Tier 2 capital 58 Tier 2 capital (T2) 59 Total capital (TC = T1 + T2) 60 Total risk-weighted assets Scotiabank a2 аз ад b Q2 2023 Revised Basel III Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation (¹) 7,457 7,414 7,461 80 79 118 7,424 m 94 91 CC 1,972 9,509 2,057 1,869 9,550 9,448 1,770 9,285 c+d 9,509 73,197 451,063 9,550 71,867 471,528 9,448 70,710 9,285 462,448 68,086 452,800 ee Supplementary Regulatory Capital Disclosure Page 23 of 88#25Back to Table of Contents CC1: Composition of regulatory capital (in $ millions) a2 аз ад Q2 2023 Q1 2023 Q4 2022 Q3 2022 Revised Basel III Basel III Basel III Basel III Capital ratios 61 Common Equity Tier 1 (as a percentage of risk-weighted assets) 12.3% 11.5% 11.5% 11.4% 62 Tier 1 (as a percentage of risk-weighted assets) 14.1% 13.2% 13.2% 13.0% 63 Total capital (as a percentage of risk-weighted assets) 16.2% 15.2% 15.3% 15.0% 64 Buffer (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer plus D-SIB buffer expressed as a percentage of risk-weighted assets) 8.0% 8.0% 8.0% 8.0% 65 of which: capital conservation buffer 2.5% 2.5% 2.5% 2.5% 66 of which: bank-specific countercyclical buffer 0.0% 0.0% 0.0% 0.0% 67 of which: G-SIB buffer 0.0% 0.0% 0.0% 0.0% 67a of which: D-SIB buffer 1.0% 1.0% 1.0% 1.0% 68 Common Equity Tier 1 available to meet buffers (as percentage of risk-weighted assets) 12.3% 11.5% 11.5% 11.4% OSFI target (minimum + capital conservation buffer + D-SIB buffer (if applicable))(2) 69 Common Equity Tier 1 target ratio 70 Tier 1 capital target ratio 71 Total capital target ratio 8.0% 8.0% 8.0% 8.0% 9.5% 9.5% 9.5% 9.5% 11.5% 11.5% 11.5% 11.5% Amounts below the thresholds for deduction (before risk weighting) 72 Non-significant investments in the capital and other TLAC-eligible instruments of other financial entities 3,479 3,940 3,672 3,856 73 Significant investments in the common stock of financial entities 2,848 2,819 2,810 2,854 74 Mortgage servicing rights (net of related tax liability) 75 Deferred tax assets arising from temporary differences (net of related tax liability) Applicable caps on the inclusion of allowances in Tier 2 2,442 2,542 1,934 2,182 76 Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardized approach (prior to application of cap) 1,972 1,279 1,229 1,170 77 Cap on inclusion of allowances in Tier 2 under standardized approach 1,972 1,659 1,624 1,569 78 Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) 778 716 649 79 Cap on inclusion of allowances in Tier 2 under internal ratings-based approach 1,664 1,629 1,607 (1) (2) Cross-referenced to the Consolidated Balance Sheet: Source of Definition of Capital Components on CC2 (refer to column: Under Regulatory Scope of Consolidation). Reflects Pillar 1 targets and does not include Pillar 2 domestic stability buffer of 3.0% effective February 1, 2023 (previously 2.5% effective since October 31, 2021). b Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation (¹) Scotiabank Supplementary Regulatory Capital Disclosure Page 24 of 88#26Back to Table of Contents CC2: Reconciliation of regulatory capital to balance sheet Condensed balance sheet (in $ millions) Assets Cash and deposits with financial institutions Precious metals Trading assets Securities - Investment in own shares - Other trading securities Loans Other Financial instruments designated at fair value through profit and loss Securities purchased under resale agreements and securities borrowed Derivative financial instruments Investment securities Significant investments in Additional Tier 1 capital and other financial institutions reflected in regulatory capital - Equity investments in funds subject to the fall-back approach - Other securities Loans a Balance sheet as in published financial statements (1) b Under regulatory C scope of consolidation (2) Q2 2023 Revised Basel III Q2 2023 Cross-reference to Definition of Capital Components Revised Basel III 63,893 1,191 63,758 1,191 105,560 105,544 α 105,544 6,910 6,910 2,225 2,225 114,695 114,679 184,684 184,684 44,725 44,725 116,595 115,661 b 13 115,648 Residential mortgages 353,560 353,463 Personal loans 102,178 102,178 Credit cards 16,053 16,053 Business and government 298,013 298,005 Business and Government 298,003 - Portion of exposure below materiality threshold for credit protection 2 gg 769,804 769,699 Allowance for credit losses (5,736) (5,735) - General Allowance reflected in Tier 2 capital (1,972) C - Shortfall of allowances to expected loss (407) dd - Excess of allowances to expected loss d - Allowances not reflected in regulatory capital (3,356) Scotiabank Supplementary Regulatory Capital Disclosure Page 25 of 88#27Back to Table of Contents CC2: Reconciliation of regulatory capital to balance sheet Condensed balance sheet (in $ millions) Other a Balance sheet as in published financial statements (1) b Under regulatory C scope of consolidation (2) Q2 2023 Revised Basel III Q2 2023 Cross-reference to Definition of Capital Components Revised Basel III Customers' liability under acceptances, net of allowance Property and equipment 21,901 21,901 5,646 5,645 Investments in associates 2,708 3,019 - Significant Investments in other financial institutions including deconsolidated subsidiaries exceeding 10% regulatory thresholds e - Significant Investments in other financial institutions including deconsolidated subsidiaries exceeding 15% regulatory thresholds f Significant Investments in other financial institutions including deconsolidated subsidiaries within regulatory thresholds 3,019 Goodwill and other intangible assets 17,396 17,722 - Goodwill 9,232 g - Imputed goodwill for Significant Investments 326 g - Intangibles (excl computer software) 5,072 h - Computer software intangibles 3,092 i Deferred tax assets 2,193 2,190 Deferred tax assets arising from temporary differences exceeding the regulatory threshold j - Deferred tax assets that rely on future profitability 131 k - Deferred tax assets not deducted from regulatory capital 2,059 Other Assets - Defined pension fund assets -Prepaid portfolio mortgage insurance - Other assets Total other Total assets 33,503 31,774 655 114 hh 31,005 83,347 1,373,198 82,251 1,370,913 Scotiabank Supplementary Regulatory Capital Disclosure Page 26 of 88#28Back to Table of Contents CC2: Reconciliation of regulatory capital to balance sheet Condensed balance sheet (in $ millions) Liabilities Deposits Personal Business and government - Investment in own Tier 2 instruments - Other deposits from Business and government Financial institutions Financial instruments designated at fair value through profit and loss Other a Balance sheet as in published financial (1) statements b Under regulatory C scope of consolidation (2) Q2 2023 Revised Basel III Q2 2023 Cross-reference to Definition of Capital Components Revised Basel III 283,651 611,376 283,651 611,376 ee 611,376 50,511 50,511 945,538 945,538 26,935 26,935 Acceptances 21,951 21,951 Obligations related to securities sold short 41,310 41,310 Derivative financial instruments 50,562 50,562 Obligations related to securities sold under repurchase agreements and securities lent Subordinated debentures 132,631 132,631 8,784 8,784 Regulatory capital amortization of maturing debentures 1,151 - of which: are included in Tier 2 capital Other liabilities - Subordinated debentures used for regulatory capital of which: are subject to phase out not included in Tier 2 capital - Liquidity reserves - Gains/losses due to changes in own credit risk including DVA on 7,633 7,457 m 176 66,737 64,452 10 O 1,523 p derivatives - Deferred tax liabilities 2,125 -Defined benefit pension fund assets - Intangible assets (excl. computer software and mortgage servicing rights) - Intangible assets - computer software - Other deferred tax liabilities - Other liabilities 1,459 9 300 r 186 S 180 60,794 Total other Total liabilities 321,975 1,294,448 319,690 1,292,163 Scotiabank Supplementary Regulatory Capital Disclosure Page 27 of 88#29Back to Table of Contents CC2: Reconciliation of regulatory capital to balance sheet Condensed balance sheet (in $ millions) Equity Common equity Common shares - of which: amount eligible for CET1 of which: amount eligible for AT1 Retained earnings Accumulated other comprehensive income -Cash flow hedging reserve - Other Other reserves - portion allowed for inclusion into CET1 portion not allowed for regulatory capital Total common equity Preferred shares and other equity instruments - of which: are qualifying Tier 1 capital Total equity attributable to equity holders of the Bank Non-controlling interests in subsidiaries - portion allowed for inclusion into CET1 - portion allowed for inclusion into Tier 1 capital - portion allowed for inclusion into Tier 2 capital - portion not allowed for regulatory capital Total equity Total liabilities and equity a Balance sheet as in published financial (1) statements b Under regulatory C scope of consolidation (2) Q2 2023 Revised Basel III Q2 2023 Cross-reference to Definition of Capital Components Revised Basel III (1) Consolidated Statement of Financial Position as reported in the Second Quarter 2023 Quarterly Report. 19,160 19,160 19,160 น 54,967 54,967 V (4,906) (4,906) W (4,347) X (559) (144) (144) (144) y 69,077 69,077 8,075 8,075 8,075 Z 77,152 77,152 1,598 1,598 728 αα 93 bb 80 CC 697 78,750 1,373,198 78,750 1,370,913 (2) Legal Entities that are within the accounting scope of consolidation but excluded from the regulatory scope of consolidation represent the Bank's insurance subsidiaries whose principle activities include insurance, reinsurance, property and casualty insurance. Key subsidiaries are Scotia Insurance Barbados Ltd (assets: $253MM, equity: $296MM), Scotia Life Insurance Company (assets: $3MM, equity: $19MM), Scotia Reinsurance Limited (assets: $15MM, equity: $69MM), Scotia Jamaica Life Insurance Co. Ltd (assets: $485MM, equity: $124MM), Scotia Life Trinidad and Tobago Ltd (assets: $513MM, equity: $83MM), Scotia Corredora de Seguros SA (assets: $1MM, equity: $18MM), and MD Life Insurance Company (assets: $1,622MM, equity: $19MM). Scotiabank Supplementary Regulatory Capital Disclosure Page 28 of 88#30Back to Table of Contents TLAC1: TLAC composition for G-SIBS (at resolution group level) (in $ millions) Regulatory capital elements of TLAC and adjustments a2 Q2 2023 Revised Basel III Amounts Q1 2023 Basel III Amounts аз Q4 2022 Basel III Amounts ад Q3 2022 Basel III Amounts 1 Common Equity Tier 1 capital (CET1) 2 Additional Tier 1 capital (AT1) before TLAC adjustments 55,520 8,168 54,138 8,179 53,081 8,181 51,639 7,162 3 AT1 ineligible as TLAC as issued out of subsidiaries to third parties 4 Other adjustments 5 AT1 instruments eligible under the TLAC framework 6 Tier 2 capital (T2) before TLAC adjustments 7 Amortized portion of T2 instruments where remaining maturity > 1 year 8,168 8,179 8,181 7,162 9,509 9,550 9,448 9,285 999 970 676 640 8 T2 capital ineligible as TLAC as issued out of subsidiaries to third parties 9 Other adjustments 10 T2 instruments eligible under the TLAC framework 11 TLAC arising from regulatory capital 10,508 10,520 10,124 9,925 74,196 72,837 71,386 68,726 Non-regulatory capital elements of TLAC 12 12 External TLAC instruments issued directly by the bank and subordinated to excluded liabilities 13 External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements. 53,977 58,756 55,337 60,344 14 Of which: amount eligible as TLAC after application of the caps N/A N/A N/A N/A 15 External TLAC instruments issued by funding vehicles prior to 1 January 2022 16 Eligible ex ante commitments to recapitalise a G-SIB in resolution 17 TLAC arising from non-regulatory capital instruments before adjustments N/A N/A N/A N/A 53,977 58,756 55,337 60,344 Non-regulatory capital elements of TLAC: adjustments 22222 18 TLAC before deductions 128,173 131,593 126,723 19 Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBS) 20 Deduction of investments in own other TLAC liabilities 21 Other adjustments to TLAC TLAC available after deductions N/A (358) 127,815 131,433 126,565 129,070 N/A N/A N/A (160) (158) (270) 128,800 Risk-weighted assets and leverage exposure measure for TLAC purposes 23 24 Total risk-weighted assets adjusted as permitted under the TLAC regime Leverage exposure measure 451,063 471,528 1,530,107 1,468,559 462,448 1,445,619 452,800 1,388,823 TLAC ratios and buffers 25 TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime) 28.3% 27.9% 27.4% 28.4% 26 TLAC (as a percentage of leverage exposure) 8.4% 8.9% 8.8% 9.3% 27 CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group's minimum capital and TLAC requirements 8.0% 7.0% 7.00% 6.90% 28 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) 3.5% 3.5% 3.5% 3.5% 29 Of which: capital conservation buffer requirement 2.5% 2.5% 2.5% 2.5% 30 Of which: bank specific countercyclical buffer requirement 0.0% 0.0% 0.0% 0.0% 31 Of which: D-SIB / G-SIB buffer 1.0% 1.0% 1.0% 1.0% Rows 14, 16, and 19 are not applicable to Canadian D-SIBS. Scotiabank Supplementary Regulatory Capital Disclosure Page 29 of 88#31Back to Table of Contents TLAC3: Resolution entity - creditor ranking at legal entity level (in $ millions) Q2 2023 Revised Basel III 1 Description of creditor ranking 1 2 (most junior) 3 Creditor ranking 6 Sum of 1 to 6 4 5 (most senior) Common shares Book value Preferred shares Stated value Additional Tier 1 and Limited Recourse Capital Notes Subordinated Debt Par value Bail-in Debt (¹) Par value Other Liabilities Total (2) Stated value 19,160 300 7,775 8,586 2 Total capital and liabilities net of credit risk mitigation 3 Subset of row 2 that are excluded liabilities 76,513 372 112,334 372 4 Total capital and liabilities less excluded liabilities (row 2 minus row 3) 19,160 300 7,775 8,586 76,141 111,962 5 Subset of row 4 that are potentially eligible as TLAC 19,160 300 7,775 8,586 56,613 92,434 6 Subset of row 5 with 1 year ≤ residual maturity < 2 years 17,568 17,568 7 Subset of row 5 with 2 years ≤ residual maturity < 5 years 1,666 24,409 26,075 8 Subset of row 5 with 5 years < residual maturity < 10 years 5,234 6,515 11,749 9 Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities 1,686 8,121 9,807 10 10 Subset of row 5 that is perpetual securities 19,160 300 7,775 27,235 Q1 2023 Basel III 1 Description of creditor ranking Common shares Book value Preferred shares Stated value Additional Tier 1 and Limited Recourse Capital Notes Subordinated Debt Par value (1) Bail-in Debt Par value Other Total Liabilities (2) Stated value 2 Total capital and liabilities net of credit risk mitigation 18,732 300 7,775 8,513 73,293 3 Subset of row 2 that are excluded liabilities 25 174 108,613 199 4 Total capital and liabilities less excluded liabilities (row 2 minus row 3) 18,707 300 7,775 8,513 73,119 108,414 5 Subset of row 4 that are potentially eligible as TLAC 18,707 300 7,775 8,513 60,218 95,513 6 10 Subset of row 5 with 1 year ≤ residual maturity < 2 years 18,902 18,902 7 Subset of row 5 with 2 years < residual maturity < 5 years 1,617 28,574 30,191 8 10 9 10 Subset of row 5 with 5 years < residual maturity < 10 years Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities Subset of row 5 that is perpetual securities 5,233 4,763 9,996 1,663 7,979 9,642 18,707 300 7,775 26,782 Scotiabank Supplementary Regulatory Capital Disclosure Page 30 of 88#32Back to Table of Contents TLAC3: Resolution entity - creditor ranking at legal entity level (in $ millions) Q4 2022 Basel III 1 2 (most junior) 3 Creditor ranking 6 Sum of 1 to 6 4 5 (most senior) 1 Description of creditor ranking Common shares Book value Preferred shares Stated value Additional Tier 1 and Limited Recourse Capital Notes Subordinated Debt Par value Bail-in Debt (¹) Par value Other Liabilities Total (2) Stated value 2 Total capital and liabilities net of credit risk mitigation 18,707 300 7,775 8,312 72,512 3 Subset of row 2 that are excluded liabilities 12 373 107,606 385 4 Total capital and liabilities less excluded liabilities (row 2 minus row 3) 18,695 300 7,775 8,312 72,139 107,221 5 Subset of row 4 that are potentially eligible as TLAC 18,695 300 7,775 8,312 57,820 92,902 6 Subset of row 5 with 1 year ≤ residual maturity < 2 years 13,674 13,674 7 Subset of row 5 with 2 years ≤ residual maturity < 5 years 1,692 29,890 31,582 8 Subset of row 5 with 5 years < residual maturity < 10 years 4,931 6,151 11,082 9 Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities 1,689 8,105 9,794 10 10 Subset of row 5 that is perpetual securities 18,695 300 7,775 26,770 Q3 2022 Basel III 1 Description of creditor ranking 2 Total capital and liabilities net of credit risk mitigation 3 Subset of row 2 that are excluded liabilities Common shares Book value Preferred shares Stated value Additional Tier 1 and Limited Recourse Capital Notes Subordinated Debt Par value (1) Bail-in Debt Par value Other Liabilities Total (2) Stated value 18,728 300 6,752 8,467 17 70,143 514 104,390 531 4 Total capital and liabilities less excluded liabilities (row 2 minus row 3) 18,711 300 6,752 8,467 69,629 103,859 5 Subset of row 4 that are potentially eligible as TLAC 18,711 300 6,752 8,467 61,085 95,315 6 Subset of row 5 with 1 year ≤ residual maturity < 2 years 14,167 14,167 7 Subset of row 5 with 2 years ≤ residual maturity < 5 years 1,851 33,042 34,893 8 Subset of row 5 with 5 years residual maturity < 10 years 4,933 6,222 11,155 9 Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities 1,683 7,654 9,337 10 Subset of row 5 that is perpetual securities 18,711 300 6,752 25,763 (1) Under the Bank Recapitalization (Bail-In) Regime. Please refer to Page 56 of the 2022 Annual Report, for a description of the requirements. (2) Disclosure not currently required by OSFI. Scotiabank Supplementary Regulatory Capital Disclosure Page 31 of 88#33Back to Table of Contents LR1: Summary comparison of accounting assets vs leverage ratio (in $ millions) a Q2 2023 Revised Basel III 1 Total consolidated assets as per published financial statements 2 Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation a₂ Q1 2023 Basel III 1,373,198 1,374,438 (2,284) (2,348) a3 Q4 2022 Basel III 1,349,418 (2,418) a4 Q3 2022 Basel III 1,292,102 (2,460) 3 Adjustment for securitized exposures that meet the operational requirements for the recognition of risk transference (2,536) (1,071) (1,071) (1,086) 4 Adjustment for fiduciary assets recognized on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure 5 Adjustments for derivative financial instruments (7,235) (10,312) (23,189) (13,469) 6 Adjustment for securities financing transactions (i.e. repos and similar secured lending) 10,515 14,258 15,164 16,046 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent 7 amounts of off-balance sheet exposures) 8 Other adjustments (1) 9 Leverage ratio exposure measure 171,184 (12,735) 1,530,107 177,438 (83,844) 1,468,559 172,861 (65,146) 1,445,619 166,579 (68,889) 1,388,823 (1) Commencing Q2 2020, amount included temporary leverage ratio exposure exemptions Q2 2023: Nil (Q1 2023: central bank reserves: $71.5 billion; Q4 2022: central bank reserves: $53.5 billion; Q3 2022: central bank reserves: $55.6 billion; Q2 2022: central bank reserves: $72.6 billion) in accordance with OSFI'S COVID-19 capital relief measures and asset amounts deducted in determining Basel III Tier 1 capital. As of Q2 2023 OSFI requires central bank deposits to be included in the leverage ratio exposure measure. Scotiabank Supplementary Regulatory Capital Disclosure Page 32 of 88#34Back to Table of Contents LR2: Leverage ratio common disclosure (in $ millions) Q2 2023 Revised Basel III a2 Q1 2023 Basel III аз Q4 2022 Basel III 24 Q3 2022 Basel III On-balance sheet exposures (1) 1 On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including collateral) 1,138,995 1,076,029 1,061,398 1,030,551 2 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting framework (IFRS) 3 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) 4 (Asset amounts deducted in determining Basel III Tier 1 capital) 5 Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 4) (10,835) (11,695) (12,761) (12,364) (15,716) (11,626) (15,054) (13,239) 1,115,399 1,051,970 1,034,056 1,002,258 Derivative exposures 6 Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting) 23,786 21,828 26,087 25,976 7 Add-on amounts for PFE associated with all derivatives transactions 22,964 22,567 21,129 21,406 8 (Exempted CCP leg of client-cleared trade exposures) 9 Adjusted effective notional amount of written credit derivatives 10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) 11 Total derivative exposures (sum of rows 6 to 10) 2,669 3,348 1,487 1,708 (1,094) (1,540) (478) (367) 48,325 46,203 48,225 48,723 Securities financing transaction exposures 12 13 Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions (Netted amounts of cash payables and cash receivables of gross SFT assets) 14 Counterparty credit risk (CCR) exposure for SFT assets 237,987 218,200 230,893 198,468 (53,303) (39,510) (55,580) (43,251) 10,515 14,258 15,164 16,046 15 Agent transaction exposures 16 Total securities financing transaction exposures (sum of rows 12 to 15) 195,199 192,948 190,477 171,263 Other off-balance sheet exposures 17 Off-balance sheet exposure at gross notional amount 18 (Adjustments for conversion to credit equivalent amounts) 19 Off-balance sheet items (sum of rows 17 and 18) Capital and total exposures 20 Tier 1 capital 21 Total exposures (sum of rows 5, 11, 16 and 19) 522,852 547,048 (351,668) (369,610) 171,184 177,438 541,118 (368,257) 172,861 515,775 (349,196) 166,579 63,688 1,530,107 62,317 61,262 58,801 1,468,559 1,445,619 1,388,823 Leverage ratio 22 Basel III leverage ratio 4.2% 4.2% (1) On-balance sheet items exclude securities purchased under resale agreements and securities borrowed ($184,684MM), derivative financial instruments ($44,725MM), assets outside the regulatory scope of consolidation ($2,284MM). 4.2% 4.2% Scotiabank Supplementary Regulatory Capital Disclosure Page 33 of 88#35Back to Table of Contents CR1: Credit quality of assets (1) a b (in $ millions) Gross carrying values of (2) Allowances/ (4) Defaulted exposures (3) Non-defaulted exposures impairments d e Of which ECL accounting provisions for credit losses on SA exposures Allocated in regulatory Allocated in regulatory category of Specific category of General f Of which ECL accounting provisions for credit losses on IRB exposures g Net values (a+b-c) Q2 2023 Revised Basel III 1 Loans (5) 5,295 838,269 5,705 1,390 2,667 1,648 837,859 2 Debt Securities 217 113,818 1 1 114,034 Off-balance sheet 3 269 (6) 297,051 129 40 89 297,191 exposures 4 Total 5,781 1,249,138 5,835 1,390 2,707 1,738 1,249,084 Q1 2023 Basel III 1 Loans (5) 5,044 844,817 5,467 1,321 2,556 1,590 844,394 2 Debt Securities 221 108,832 1 1 109,052 Off-balance sheet 3 261 (6) 293,220 100 38 62 293,381 exposures 4 Total 5,526 1,246,869 5,568 1,321 2,594 1,653 1,246,827 Q4 2022 Basel III 1 Loans (5) 4,615 817,826 5,285 1,344 2,456 1,485 817,156 2 Debt Securities 226 108,278 1 1 108,503 Off-balance sheet 3 238 (6) 289,993 108 41 67 290,123 exposures 4 Total 5,079 1,216,097 5,394 1,344 2,497 1,553 1,215,782 Q3 2022 Basel III 1 Loans (5) 2 Debt Securities Off-balance sheet 3 (6) exposures 4 Total 4,039 791,327 5,084 1,269 2,341 1,474 790,282 212 103,888 1 1 104,099 260 276,885 109 39 70 277,036 4,511 1,172,100 5,194 1,269 2,380 1,545 1,171,417 (1) This table incorporates the BCBS Technical Amendments to Pillar 3 disclosure requirements - regulatory treatment of accounting provisions (August 2018). Consistent with the requirements for regulatory capital reporting and in accordance with OSFI Capital Adequacy Requirements (Chapter 2), General Allowances are defined as Stage 1 and Stage 2 allowances under IFRS 9 and Specific Allowances are defined as Stage 3 allowances under IFRS 9. (2) The accounting value of on- and off-balance sheet exposures before any credit conversion factor (CCF) or credit risk mitigation (CRM), but after considering write-offs. (3) Defaulted exposures include: (i) the Bank's reported Gross Impaired Loans, (ii) credit cards which meet the regulatory definition of default, and (iii) off-balance sheet commitments, LCS and/or LGs which meet the regulatory definition of default. (4) Includes all three ECL Stages, net of allowances related to securitizations of bank originated credit card receivables and ECL related to entities outside the scope of regulatory consolidation. (5) Includes bankers acceptances and deposits with banks. (6) Excludes all revocable loan commitments. Scotiabank Supplementary Regulatory Capital Disclosure Page 34 of 88#36Back to Table of Contents CR2: Changes in stock of defaulted loans and debt securities (¹) (in $ millions) a a₂ аз ад Q2 2023 Revised Basel III Q1 2023 Q4 2022 Q3 2022 Basel III Basel III Basel III 1 (2) Defaulted loans and debt securities - at the end of the previous reporting period 5,526 5,079 4,511 4,601 2 Loans and debt securities that have defaulted since the last reporting period 1,619 1,581 1,623 1,338 (3) 3 Returned to non-defaulted status (854) (683) (679) (695) 4 Amounts written off (696) (676) (578) (577) 5 Other changes (4) 6 Defaulted loans and debt securities - at the end of the reporting period (1 + 2-3-4 +5) (2) 186 225 202 (156) 5,781 5,526 5,079 4,511 (1) Defaulted exposures include: (i) the Bank's reported Gross Impaired Loans, (ii) credit cards which meet the regulatory definition of default, and (iii) off-balance sheet commitments, LCS and/or LGs which meet the regulatory definition of default. (2) Regulatory Definition of Default: when there is objective evidence that the Bank no longer has reasonable assurance as to the timely collection of interest and principal, or where a contractual payment is 90 days in arrears (including credit cards), or the customer is declared to be bankrupt. (3) Includes returned to non-defaulted status and payments on defaulted accounts. (4) Includes the impact from foreign currency translation and changes in credit cards and off-balance sheet exposures which meet the regulatory definition of default. Scotiabank Supplementary Regulatory Capital Disclosure Page 35 of 88#37Back to Table of Contents CR3: Credit risk mitigation techniques - overview a (in $ millions) Q2 2023 Revised Basel III b1 b d f Unsecured exposures: Exposures to be carrying amount (1) secured (1) Exposures secured (2) (3) by collateral Exposures secured by financial guarantees Exposures secured by credit (4) derivatives (5) 1 Loans 326,672 511,187 404,050 2 Debt Securities 82,745 31,289 107,137 31,289 3 Total 409,417 542,476 404,050 138,426 4 Of which defaulted 2,356 1,380 1,094 286 Q1 2023 Basel III 1 Loans (5) 312,733 531,661 445,694 85,967 2 Debt Securities 81,304 3 Total 394,037 27,748 559,409 27,748 445,694 113,715 4 Of which defaulted 1,939 1,665 1,365 300 Q4 2022 Basel III 1 Loans (5) 293,446 2 Debt Securities 80,361 523,710 28,142 436,346 87,364 28,142 3 Total 373,807 551,852 436,346 115,506 4 Of which defaulted 1,738 1,456 1,174 282 Q3 2022 Basel III (5) 1 Loans 282,875 2 Debt Securities 76,696 507,407 27,403 420,808 86,599 27,403 3 Total 359,571 534,810 420,808 114,002 4 Of which defaulted 1,413 1,272 1,021 251 (1) Carrying amounts of on-balance sheet exposures are net of all three ECL Stages and write-offs. (2) Includes non-retail and retail AIRB exposures, where collateral is used within the estimation of LGD. (3) Includes retail mortgages and real estate secured lines of credit under both AIRB and standardized approaches. (4) Includes government insured mortgages. (5) Includes bankers acceptances and deposits with banks. Scotiabank Supplementary Regulatory Capital Disclosure Page 36 of 88#38Back to Table of Contents CR4: Standardized approach - credit risk exposures and Credit Risk Mitigation (CRM) effects (in $ millions) Asset classes Q2 2023 Revised Basel III Sovereigns and their central banks f RWA and RWA density a b C Exposures before CCF and CRM d Exposures post-CCF and CRM e (1) On-balance sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density 1 2 Public sector entities (PSES) 14,252 649 15,534 3,181 450 9,766 101 1,038 7% 90 3,253 33% 3 Multilateral development banks 0% 4 Banks 1,826 184 1,793 30 930 51% Of which: securities firms and other 1,047 41 943 2 489 52% financial institutions treated as banks 5 Covered bonds 0% 6 Corporates 45,117 31,154 39,082 8,551 47,183 99% Of which: securities firms and other 125 12 115 2 46 97 83% financial institutions treated as corporates Of which: specialised lending 130 50 130 20 20 179 119% 7 Subordinated debt, equity and other capital 2,799 2,799 7,265 260% 8 Retail 49,672 36,625 48,508 8,765 40,101 70% 9 Real estate 75,388 2,666 70,831 502 27,557 39% Of which: general RRE 67,091 1,097 62,833 109 19,678 31% Of which: IPRRE 1,648 1,572 755 48% Of which: other RRE 0% Of which: general CRE 3,160 289 3,044 106 2,622 83% Of which: IPCRE 1,620 230 1,602 90 1,694 100% Of which: land acquisition, development 1,869 1,050 1,780 197 2,808 142% and construction 10 Reverse mortgages 0% 11 Mortgage-backed securities 0% 12 Defaulted exposures 13 Other Assets (2) 14 Total 2,388 82,791 277,414 422 72,150 2,361 82,791 273,465 85 2,866 117% 14,821 18% 18,124 145,014 50% Scotiabank Supplementary Regulatory Capital Disclosure Page 37 of 88#39CR4: Standardized approach - credit risk exposures and Credit Risk Mitigation (CRM) effects a b C (in $ millions) Exposures before CCF and CRM d (1) Exposures post-CCF and CRM e f RWA and RWA density On-balance Asset classes sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density Q1 2023 Basel III 1 Bank 4,541 377 4,520 25 4,010 88% 2 Corporate 51,035 23,882 47,294 5,196 49,195 94% 3 Sovereign 10,343 624 10,343 1 510 5% 4 Real Estate Secured 67,124 1,093 67,124 27,212 41% 5 Other Retail 49,126 35,336 48,912 863 36,806 74% 6 Equity 2,873 2,873 3,045 106% 7 Other Assets (2) 65,749 65,749 16,525 25% 8 Total 250,791 61,312 246,815 6,085 137,303 54% Q4 2022 Basel III 1 Bank 3,774 301 3,752 26 3,037 80% 2 Corporate 51,215 22,428 48,804 4,967 50,875 95% 3 Sovereign 8,718 791 8,718 34 643 7% 4 Real Estate Secured 63,054 1,073 63,054 25,499 40% 5 Other Retail 47,456 34,148 47,242 847 35,456 74% 6 Equity 3,643 3,643 3,861 106% 7 Other Assets (2) 77,086 77,086 14,736 19% 8 Total 254,946 58,741 252,299 5,874 134,108 53% Q3 2022 Basel III 1 Bank 3,161 475 2 Corporate 49,970 21,624 3,140 47,910 128 2,597 80% 4,488 49,342 94% 3 Sovereign 8,703 575 8,703 566 7% 4 Real Estate Secured 59,760 1,048 59,760 24,119 40% 5 Other Retail 46,268 34,593 46,070 821 34,509 74% 6 Equity 4,115 4,114 4,362 106% 7 Other Assets (2) 66,773 66,773 15,421 23% 8 Total 238,750 58,315 236,470 5,437 130,916 55% (1) Includes adjustments for credit risk mitigation based on the application of the Comprehensive Approach for collateral. (2) Exposures to CCP and risk-weighted threshold deductions are excluded. Scotiabank Supplementary Regulatory Capital Disclosure Page 38 of 88#40Back to Table of Contents CR5: Standardized approach - exposures by asset classes and risk weights Risk weight a b d e f д о p д Γ S t W V X y Z ab ac (in millions) ad Total credit exposures amount Asset classes Q2 2023 Revised Basel III 1 Sovereigns and their central banks. 13,337 508 1.707 Public sector entities (PSES) 6,603 0% 15% 20% 25% 30% 35% 40% 44% 45% 50% 55% 60% 65% 66% 70% 75% 80% 85% 90% 100% 105% 110% 130% 150% 220% 250% 330% 400% 1250% Others (post-CCF and post- CRM) (1) 83 3,253 15,635 9,856 3 Multilateral development banks - - - 4 Banks 368 - 66 487 304 167 - 346 23 1,823 Covered bonds - 6 Corporates Of which: securities firms and other financial institutions Of which: specialised lending Subordinated debt, equity and other capital 24 24 - - 28 - 3,016 44,468 93 53 97 - 47,633 117 2.621 178 8 Retail Real estate Of which: general RRE Of which: IPRRE Of which: other RRE Of which: general CRE Of which: IPCRE Of which: land acquisition, development. and construction 52,496 14 1,611 747 1,135 S 212 2.008 4.763 12,730 8,403 12,645 18,602 12,730 8,403 12,500 18,451 8,929 8,929 331 2,107 1,464 297 - 145 151 331 643 282 15 - 717 389 10 Reverse mortgages 11 Mortgage-backed securities 12 Defaulted Exposures 13 Other Assets 14 Total - - 67,971 87,911 4,763 13.630 8,403 12,711 18,602 9,416 331 4,118 999 167 52,885 Q1 2023 Basel III 0% 20% 35% 50% Bank 668 2 2 Corporate 3,520 89 31 3 Sovereign 9,331 - 1,006 4 Real Estate Secured 3,873 5 Other Retail 484 6 Equity - ཐ ཀྴ ་ 50,903 76 - -- - Other Assets (2) Total 1,115 - - 1,611 - 822 747 212 344 313 1,664 - - - - 150 2,799 57,273 168 71,333 168 62,942 1,572 - -- - 3,150 1,692 1,977 - 1,606 840 - 2,446 14,820 82,791 4,627 747 65.379 5 97 2,910 2,621 178 168 291,589 75% 0% 0% 0% 11,418 48,358 100% 150% 3,875 4,545 48,228 622 52,490 7 - 10,344 769 6 67.124 བ 391 29 49,775 2,873 -- - 2,873 14,474 123 65,749 59,776 70,617 657 123 252,900 48,580 2,572 65,788 3,921 50,903 04 2022 Basel III 1 Bank: 928 2 2,844 4 2 Corporate 3,123 56 13 50,023 556 3 Sovereign 7,521 - 1,177 54 - - 3,778 53,771 8,752 4 Real Estate Secured 3,964 80 47,327 80 10,903 696 4 5 Other Retail 578 492 46,696 296 27 - 6 Equity - - 3,643 - 63,054 48,089 3,643 Other Assets 63,463 13,529 94 77,086 8 Total 78,649 1,556 47,327 1,272 57,599 71,085 591 94 258,173 Q3 2022 Basel III 1 Bank 2 Corporate 3 Sovereign 3,126 7,577 4 Real Estate Secured 3,755 5 Other Retail 646 6 Equity - Other Assets Total 52,855 67,959 1,550 ཀླི ཤཱ ་ ཐ ལྕི ་ ། སྒྲ་ 837 151 75 487 2 2,429 6 48,725 390 1,120 6 - 44,969 62 10,268 628 3 45,434 299 25 4,114 13,788 130 44,969 1,190 55,702 69.989 418 130 66,773 241,907 - 3,268 52,398 8,703 59,760 46,891 - 4,114 (1) Exposure amount used for the calculation of capital requirements, including both on- and off-balance sheet amounts, net of allowances (ECL Stage 3) and write-offs. The amounts are after application of credit risk mitigation (CRM) techniques and credit conversion factors (CCF). Includes CRM adjustments to exposures based on the application of the Comprehensive Approach for collateral. (2) Exposures to CCPS and risk-weighted threshold deduction amounts are excluded. Scotiabank Supplementary Regulatory Capital Disclosure Page 39 of 88#41Back to Table of Contents CR5: Standardized approach - exposure amounts and CCFs applied to off-balance sheet exposures Risk weight (in $ millions) Q2 2023 Revised Basel III a b Off-balance sheet C d Exposure On-balance sheet exposure Weighted average exposure CCF (1) (pre-CCF) (post-CCF and post- CRM) (2) 1 Less than 40% 143,102 12,635 23.1% 146,020 2 40-70% 15,850 234 19.3% 15,885 3 75-80% 46,852 25,548 23.6% 52,885 4 85% 3,922 2,327 39.6% 4,627 5 90-100% 58,029 30,032 31.3% 66,126 6 105-130% 309 71 40.0% 337 7 150% 2,602 1,300 23.7% 2,910 8 250% 2,621 0.0% 2,621 9 400% 178 0.0% 178 10 1250% 0.0% 11 Total exposures 273,465 72,147 27.3% 291,589 (1) Weighting is based on off-balance sheet exposure (pre-CCF). (2) Exposure post CRM also includes deductions for collateral under Comprehensive Approach. Scotiabank Supplementary Regulatory Capital Disclosure Page 40 of 88#42Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a b d (in $ millions) PD scale Original on- balance sheet gross exposures Off- balance sheet exposures pre-CCF f h i j k g EAD post- Average CCF post-CCF CRM and (1) Average (2) PD Number of (3) obligors Average Average LGD (4) maturity (5) RWA (1) RWA (6) EL (1) Provisions (7) density Q2 2023 Revised Basel III Retail insured exposures secured by residential real estate 0.00 to <0.15 29,646 0% 7,627 0.05% 185,770 28.40% 303 0.15 to <0.25 0.25 to <0.50 26,165 0% 4,365 0.19% 109,471 45.22% 750 4.0% 17.2% 1 4 489 0% 0.00% 2,742 0.00% 0.0% 0.50 to <0.75 13,246 0% 43 0.68% 49,874 12.19% 5 11.6% 0.75 to <2.50 2,210 0% 1.97% 8,306 11.06% 0.0% 2.50 to <10.00 430 0% 0.00% 1,901 0.00% 0.0% 10.00 to <100.00 517 0% 0.00% 2,293 0.00% 0.0% 100.00 (Default) 209 0% 100.00% 1,106 98.55% 0.0% Sub-total 72,912 0.00% 12,035 0.10% 361,463 34.44% 1,058 8.8% 5 17 17 Retail uninsured exposures secured by residential real estate 0.00 to <0.15 72,274 52,136 80% 0.15 to <0.25 94,713 10,103 76% 0.25 to <0.50 947 0.50 to <0.75 49,911 513 0% 107% 114,073 102,358 947 0.05% 0.18% 711,103 18.62% 3,113 2.7% 11 425,824 21.68% 8,211 8.0% 39 0.44% 2,835 53.82% 399 42.1% 2 50,459 0.68% 163,159 22.82% 11,317 22.4% 79 0.75 to <2.50 9,709 0% 9,709 1.96% 25,184 22.17% 4,232 43.6% 42 2.50 to <10.00 1,419 40 130% 1,470 4.95% 9,969 26.46% 1,242 84.5% 18 10.00 to <100.00 1,010 3 352% 1,019 23.77% 4,484 20.82% 1,105 108.4% 50 100.00 (Default) 278 Sub-total 230,261 62,795 0% 80% 278 280,313 100.00% 0.49% 28,861 45.64% 902 324.5% 59 1,371,419 20.81% 30,521 10.9% 300 158 Scotiabank Supplementary Regulatory Capital Disclosure Page 41 of 88#43Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a b C d (in $ millions) PD scale Original on- balance sheet gross exposures Off- balance sheet exposures pre-CCF f g h i j k I Average CCF EAD post- CRM and (1) post-CCF Average Number of Average Average PD (2) obligors (3) LGD (4) maturity RWA (1) (5) RWA density (6) EL (1) Provisions (7) Retail-qualifying revolving (QRRE) 0.00 to <0.15 2,090 42,733 78% 35,429 0.15 to <0.25 0% 0.25 to <0.50 3,426 5,041 76% 7,280 0.08% 3,487,573 0.00% 0.34% 88.01% 1,537 4.3% 25 0.00% 0.0% 357,396 87.71% 1,049 14.4% 22 0.50 to <0.75 1,047 3,045 91% 3,823 0.67% 556,299 90.55% 982 25.7% 23 0.75 to <2.50 5,736 1,948 87% 7,426 1.75% 657,757 92.82% 3,988 53.7% 2.50 to <10.00 1,812 166 104% 1,984 4.94% 255,456 94.28% 2,257 113.8% 121 93 10.00 to <100.00 1,395 45 123% 1,450 19.02% 159,457 92.73% 2,794 192.7% 255 100.00 (Default) Sub-total 86 0% 15,592 52,978 79% 86 57,478 100.00% 1.16% 794,241 89.76% 592 688.4% 30 6,268,179 89.10% 13,199 23.0% 569 643 Other Retail Exposures 0.00 to <0.15 5,405 1,134 73% 6,230 0.09% 279,245 65.13% 921 14.8% 4 0.15 to <0.25 0% 0.00% 0.00% 0.0% 0.25 to <0.50 7,313 283 75% 7,524 0.32% 280,152 65.08% 2,701 35.9% 16 0.50 to <0.75 1,347 3,082 106% 4,614 0.62% 13,973 66.44% 2,475 53.6% 19 0.75 to <2.50 15,109 48 84% 15,149 1.20% 450,241 66.11% 10,725 70.8% 121 2.50 to <10.00 3,651 1 99% 3,652 4.93% 106,429 67.43% 3,636 99.6% 121 10.00 to <100.00 1,007 1 234% 1,008 28.79% 30,624 65.07% 1,548 153.6% 187 100.00 (Default) 205 Sub-total Total 34,037 352,802 4,549 0% 96% 205 100.00% 15,970 84.94% 907 442.4% 135 120,322 80% 38,382 388,208 2.38% 1,176,634 0.76% 9,177,695 65.99% 22,913 59.7% 603 425 35.81% 67,691 17.4% 1,477 1,243 Scotiabank Supplementary Regulatory Capital Disclosure Page 42 of 88#44Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF d f h i j k g Average CCF EAD post- CRM and (1) post-CCF Average (2) PD Number of obligors Average Average (3) LGD (4) maturity (5) RWA (1) RWA (6) EL (1) Provisions (7) density Q1 2023 Basel III Retail insured exposures secured by residential real estate 0.00 to <0.15 29,818 0% 72,839 0.00% 187,151 21.62% 285 0.4% 0.15 to <0.25 0.25 to <0.50 27,028 0% 1,756 0.18% 113,275 22.73% 160 9.1% 1 524 0% 0.00% 3,049 0.00% 0.0% 0.50 to <0.75 14,168 0% 314 0.67% 52,868 17.43% 56 17.8% 0.75 to <2.50 2,289 0% 1.95% 8,579 11.41% 2 25.0% 2.50 to <10.00 397 0% 0.00% 1,792 0.00% 0.0% 10.00 to <100.00 480 0% 0.00% 2,206 0.00% 0.0% 100.00 (Default) 213 0% 100.00% 1,172 105.00% 0.0% Sub-total 74,917 0% 74,917 0.01% 370,092 21.63% 503 0.7% 1 18 Retail uninsured exposures secured by residential real estate 0.00 to <0.15 82,001 61,550 0.15 to <0.25 82,947 37% 104,708 0% 82,947 0.06% 0.18% 891,418 18.70% 3,435 3.3% 13 239,114 19.42% 6,454 7.8% 333 30 0.25 to <0.50 1,110 0.50 to <0.75 52,606 477 0% 59% 1,110 0.44% 3,387 40.94% 345 31.1% 2 52,886 0.68% 167,872 21.92% 11,827 22.4% 79 0.75 to <2.50 9,268 0% 9,268 1.95% 24,418 21.24% 4,001 43.2% 38 2.50 to <10.00 1,236 37 84% 1,267 4.94% 9,387 24.44% 1,041 82.2% 15 10.00 to <100.00 854 2 202% 858 23.75% 4,118 19.74% 926 107.9% 39 100.00 (Default) 244 0% 244 Sub-total 230,266 62,066 37% 253,288 100.00% 0.50% 28,214 48.71% 986 1,367,928 19.86% 29,015 404.1% 11.5% 48 264 153 Scotiabank Supplementary Regulatory Capital Disclosure Page 43 of 88#45Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a b C d (in $ millions) PD scale Original on- balance sheet gross exposures Off- balance sheet exposures pre-CCF f g h i j k I Average CCF EAD post- CRM and (1) post-CCF Average Number of Average Average PD (2) obligors (3) LGD (4) maturity (5) RWA (1) RWA density (6) EL (1) Provisions (7) Retail-qualifying revolving (QRRE) 0.00 to <0.15 854 21,523 0.15 to <0.25 1,339 17,216 57% 58% 13,161 11,407 0.25 to <0.50 3,287 5,614 67% 7,062 0.05% 0.17% 2,059,374 0.33% 928,888 80.65% 348 2.6% 5 69.36% 797 7.0% 14 378,897 88.16% 1,051 14.9% 20 0.50 to <0.75 195 208 104% 411 0.61% 12,753 66.41% 76 18.5% 2 0.75 to <2.50 5,951 5,948 68% 9,979 1.28% 1,158,085 83.90% 4,104 41.1% 110 2.50 to <10.00 3,847 626 92% 4,421 5.43% 610,211 87.08% 5,101 115.4% 212 10.00 to <100.00 658 19 265% 708 29.14% 123,712 82.64% 1,565 221.0% 171 100.00 (Default) 118 0% 118 Sub-total 16,249 51,154 61% 47,267 100.00% 1.57% 797,900 87.33% 697 590.7% 51 6,069,820 80.26% 13,739 29.1% 585 670 Other Retail Exposures 0.00 to <0.15 5,367 1,182 60% 6,079 0.09% 279,648 59.93% 840 13.8% 3 0.15 to <0.25 1 6 54% 4 0.17% 36 76.50% 1 25.0% 0.25 to <0.50 7,003 316 76% 7,243 0.32% 277,211 61.98% 2,601 35.9% 14 0.50 to <0.75 1,466 3,192 103% 4,753 0.61% 15,915 66.41% 2,689 56.6% 20 0.75 to <2.50 15,104 53 86% 15,149 1.19% 457,067 64.86% 11,138 73.5% 118 2.50 to <10.00 3,777 2 102% 3,778 4.85% 110,652 66.74% 3,939 104.3% 122 10.00 to <100.00 1,011 1 154% 1,013 29.21% 31,900 62.47% 1,581 156.1% 186 100.00 (Default) 183 Sub-total Total 33,912 355,344 4,752 117,972 0% 90% 49% 183 38,202 413,674 100.00% 14,413 84.46% 874 477.6% 125 2.36% 1,186,842 0.71% 8,994,682 63.94% 23,663 61.9% 588 400 31.15% 66,920 16.2% 1,438 1,241 Scotiabank Supplementary Regulatory Capital Disclosure Page 44 of 88#46Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a b d (in $ millions) PD scale Original on- balance sheet gross exposures Off- balance sheet exposures pre-CCF f h i j k g Average CCF post-CCF EAD post- CRM and (1) Average (2) PD Number of (3) obligors Average Average LGD (4) maturity (5) RWA (1) RWA (6) EL (1) Provisions (7) density Q4 2022 Basel III Retail insured exposures secured by residential real estate 0.00 to <0.15 30,645 0% 74,591 0.00% 191,360 21.85% 293 0.4% 0.15 to <0.25 27,725 0% 1,788 0.18% 116,040 22.96% 164 9.2% 1 0.25 to <0.50 525 0% 0.00% 3,056 0.00% 0.0% 0.50 to <0.75 14,413 0% 307 0.67% 53,612 16.66% 52 16.9% 0.75 to <2.50 2,348 0% 1.95% 8,743 11.53% 2 25.0% 2.50 to <10.00 381 0% 0.00% 1,855 0.00% 0.0% 10.00 to <100.00 449 0% 0.00% 2,134 0.00% 0.0% 100.00 (Default) 208 0% 100.00% 1,132 105.00% 0.0% Sub-total 76,694 0% 76,694 0.01% 377,932 21.86% 511 0.7% 1 16 Retail uninsured exposures secured by residential real estate 0.00 to <0.15 82,494 60,320 37% 104,556 0.15 to <0.25 82,142 0% 82,142 0.06% 0.18% 891,738 18.58% 3,393 3.2% 13 237,894 19.52% 6,425 7.8% 30 0.25 to <0.50 1,126 0% 1,126 0.44% 3,492 40.99% 350 31.1% 2 0.50 to <0.75 50,913 587 57% 51,247 0.68% 163,135 21.77% 11,381 22.2% 76 0.75 to <2.50 9,561 0% 9,561 1.95% 24,952 21.69% 4,215 44.1% 40 2.50 to <10.00 1,123 41 85% 1,158 4.87% 8,928 24.25% 936 80.8% 13 10.00 to <100.00 707 4 103% 711 23.14% 3,707 18.72% 728 102.4% 30 100.00 (Default) 198 0% 198 Sub-total 228,264 60,952 37% 250,699 100.00% 0.47% 27,342 54.76% 847 427.8% 55 1,361,188 19.82% 28,275 11.3% 259 147 Scotiabank Supplementary Regulatory Capital Disclosure Page 45 of 88#47Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail a b C d (in $ millions) PD scale Original on- balance sheet gross exposures Off- balance sheet exposures pre-CCF f g h i j k I Average CCF EAD post- CRM and (1) post-CCF Average Number of Average Average PD (2) obligors (3) LGD (4) maturity (5) RWA (1) RWA density (6) EL (1) Provisions (7) Retail-qualifying revolving (QRRE) 0.00 to <0.15 889 20,960 0.15 to <0.25 1,383 16,657 0.25 to <0.50 3,352 5,652 57% 58% 67% 12,865 11,085 7,146 0.50 to <0.75 180 219 104% 408 0.75 to <2.50 5,873 6,053 68% 9,986 2.50 to <10.00 3,606 618 90% 4,160 0.05% 904,902 0.17% 1,997,322 0.33% 0.61% 1.27% 5.39% 80.64% 340 2.6% 5 69.29% 774 7.0% 13 378,988 88.06% 1,063 14.9% 21 12,637 66.41% 75 18.4% 2 1,160,260 83.56% 4,071 40.8% 110 585,979 86.78% 4,767 114.6% 197 10.00 to <100.00 625 21 244% 675 28.84% 119,365 81.79% 1,487 220.3% 159 100.00 (Default) 110 0% Sub-total 16,018 50,180 61% 110 46,435 100.00% 1.52% 786,127 86.70% 581 528.2% 51 5,945,580 80.16% 13,158 28.3% 558 683 Other Retail Exposures 0.00 to <0.15 0.15 to <0.25 5,475 1,215 60% 6,207 1 6 57% 4 0.25 to <0.50 7,285 316 77% 7,527 0.50 to <0.75 1,404 3,088 103% 4,584 0.09% 0.17% 0.32% 0.61% 286,015 60.00% 858 13.8% 3 36 75.19% 1 25.0% 285,279 61.90% 2,700 35.9% 15 15,412 66.41% 2,593 56.6% 19 0.75 to <2.50 15,138 60 89% 15,192 1.18% 458,622 64.88% 11,140 73.3% 118 2.50 to <10.00 3,334 1 98% 3,335 4.83% 100,353 66.72% 3,474 104.2% 107 10.00 to <100.00 898 1 146% 100.00 (Default) Sub-total 161 Total 33,696 354,672 4,687 115,819 0% 90% 49% 900 161 37,910 411,738 28.13% 29,471 62.17% 1,395 155.0% 158 100.00% 2.14% 0.65% 8,874,236 14,348 83.98% 824 511.8% 115 1,189,536 63.85% 22,985 60.6% 535 373 31.06% 64,929 15.8% 1,353 1,219 (1) Excludes the retail residential mortgage exposures insured by CMHC, Sagen and Canada Guaranty Insurance, which are included in Non-Retail. (2) Post-CRM PD weighted by post-CRM EAD. (3) Number of obligors represents the number of retail accounts. (4) Post-CRM LGD weighted by post-CRM EAD. (5) Average maturity is not used in RWA calculation for retail exposures. (6) RWA density is calculated as Risk-weighted Assets (column i) divided by EAD post-CRM and post-CCF (column d). (7) Includes all three ECL stages under IFRS 9. Scotiabank Supplementary Regulatory Capital Disclosure Page 46 of 88#48Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average (2) PD Number of Average (3) LGD (4) obligors Average maturity (6) (5) RWA RWA density (8) EL (7) Provisions Q2 2023 Revised Basel III Sovereign (1) 0.00 to <0.15 149,564 5,859 44% 211,930 0.01% 446 13.33% 2.26 2,976 1.4% 4 0.15 to <0.25 891 60 32% 910 0.18% 15 35.99% 1.04 226 24.8% 1 0.25 to <0.50 474 25 50% 486 0.34% 8 26.30% 1.22 118 24.3% 0.50 to <0.75 0% 0.00% - 0.00% 0.0% - 0.75 to <2.50 4,102 35 39% 4,135 1.34% 21 17.62% 1.33 1,448 35.0% 10 2.50 to <10.00 20 0% 20 2.56% 1 25.00% 5.00 17 85.0% - 10.00 to <100.00 664 25% 664 17.02% 3 3.09% 0.92 97 14.6% 3 100.00 (Default) Sub-total 217 100% 217 155,932 5,979 44% 218,362 100.00% 0.19% 2 25.00% 3.74 0.0% 54 496 13.51% 2.24 4,882 2.2% 72 7 Bank 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (Default) Sub-total ៩ ៩ ៩ ៩ ៩ ៩ ៩ ៩ ៩ 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% Scotiabank Supplementary Regulatory Capital Disclosure Page 47 of 88#49Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross b Off- balance sheet exposures C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average PD (2) Number of (3) obligors Average LGD (4) Average maturity (6) (5) RWA RWA density (8) EL (7) Provisions exposures pre-CCF Corporate - Other 0.00 to <0.15 21,812 19,300 43% 30,049 0.10% 1,362 38.96% 0.15 to <0.25 24,802 17,466 44% 32,708 0.18% 1,766 36.40% 2.11 1.79 7,151 9,292 23.8% 28.4% 0.25 to <0.50 39,602 25,360 47% 51,648 0.29% 5,317 37.91% 1.75 18,636 36.1% 225 13 22 56 0.50 to <0.75 0% 0.00% 0.00% 0.0% - 0.75 to <2.50 17,541 9,543 47% 22,005 1.01% 2,829 38.96% 1.75 14,051 63.9% 84 2.50 to <10.00 1,625 543 46% 1,874 3.50% 326 41.07% 1.75 1,783 95.1% 25 10.00 to <100.00 384 8 87% 390 31.65% 41 35.87% 1.68 609 156.2% 43 100.00 (Default) 799 134 47% 862 Sub-total 106,565 72,354 45% 139,536 100.00% 1.09% 70 37.81% 1.53 1,592 184.7% 242 11,711 37.99% 1.83 53,114 38.1% 485 448 Corporate - Specialized 0.00 to <0.15 1,685 2,565 42% 2,305 0.10% 72 28.71% 2.42 572 24.8% Lending 0.15 to <0.25 3,505 3,011 44% 4,603 0.18% 167 27.53% 1.87 1,314 28.5% 0.25 to <0.50 5,385 3,580 41% 6,620 0.27% 332 32.91% 1.91 2,499 37.7% 126 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 413 276 48% 546 0.92% 53 35.69% 2.89 417 76.4% 2 2.50 to <10.00 45 0% 45 3.75% 6 36.05% 1.99 42 93.3% 1 10.00 to <100.00 47% 17.02% 3 3.00% 1.00 0.0% 100.00 (Default) 89 23 100% Sub-total 11,122 9,455 Total 273,619 87,788 42% 45% 112 14,231 372,129 100.00% 1.03% 0.56% 1 42.29% 1.29 209 186.6% 30 634 12,841 30.68% 2.01 5,053 35.5% 42 42 23.35% 2.08 63,049 16.9% 599 497 Scotiabank Supplementary Regulatory Capital Disclosure Page 48 of 88#50Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average (2) PD Number of (3) obligors Average LGD (4) Average maturity (6) (5) RWA RWA density (8) EL (7) Provisions Q1 2023 Basel III Sovereign 0.00 to <0.15 160,959 2,413 43% 162,222 0.01% 118 11.48% 2.03 2,905 1.8% 4 0.15 to <0.25 266 0% 266 0.18% 2 24.46% 0.04 30 11.3% 0.25 to <0.50 367 1 46% 367 0.34% 5 25.06% 1.22 96 26.1% 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 4,026 2 46% 4,027 1.32% 13 17.82% 1.08 1,464 36.4% 10 2.50 to <10.00 63 0% 63 2.56% 2 25.00% 2.28 44 70.8% - 10.00 to <100.00 592 0% 592 17.02% 1 3.10% 0.16 88 14.9% 3 100.00 (Default) 221 0% 221 100.00% 1 25.00% 3.70 0.0% 56 Sub-total 166,494 2,416 43% 167,758 0.24% 142 11.68% 2.00 4,627 2.8% 73 4 Bank 0.00 to <0.15 11,749 10,663 62% 18,382 0.07% 351 32.03% 1.48 3,062 16.7% 4 0.15 to <0.25 266 579 59% 615 0.18% 33 35.53% 1.88 198 32.2% 0.25 to <0.50 1,877 228 39% 1,956 0.33% 47 39.23% 0.73 826 42.2% 2 0.50 to <0.75 - 0% 0.00% 0.00% 0.0% - 0.75 to <2.50 199 23 48% 210 1.41% 17 38.25% 0.76 154 73.3% 1 2.50 to <10.00 0% 0.00% 0.00% 0.0% 10.00 to <100.00 38 - 100% 38 17.03% 3 39.98% 1.00 77 71 201.0% 100.00 (Default) Sub-total 103 3 51% 14,232 11,496 61% 104 21,305 100.00% 0.63% 6 39.97% 1.95 7 7.1% 42 457 32.90% 1.42 4,324 20.3% 52 322 2 Scotiabank Supplementary Regulatory Capital Disclosure Page 49 of 88#51Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average PD (2) Number of (3) obligors Average LGD (4) Average maturity (6) (5) RWA RWA density (8) EL (7) Provisions Corporate - Other 0.00 to <0.15 88,097 157,469 58% 180,958 0.09% 2,270 41.83% 2.09 46,993 26.0% 69 0.15 to <0.25 34,296 42,822 46% 54,566 0.18% 1,751 47.00% 2.28 24,068 44.1% 47 0.25 to <0.50 51,666 43,464 43% 69,061 0.29% 5,366 43.93% 2.09 34,697 50.2% 89 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 20,961 16,046 35% 25,912 1.00% 3,059 41.64% 2.01 20,592 79.5% 108 2.50 to <10.00 2,789 2,806 23% 3,136 3.27% 408 42.36% 1.90 3,635 115.9% 44 10.00 to <100.00 756 602 27% 886 28.65% 53 52.61% 1.84 2,500 282.2% 135 100.00 (Default) Sub-total 669 125 64% 669 100.00% 78 46.32% 1.69 2,174 324.8% 208 199,234 263,334 52% 335,188 0.52% 12,985 43.13% 2.11 134,659 40.2% 700 545 Corporate - Specialized Lending 0.00 to <0.15 9,758 10,662 63% 17,312 0.10% 229 41.32% 2.27 4,713 27.2% 7 0.15 to <0.25 14,033 9,877 55% 19,638 0.18% 465 38.20% 1.83 6,373 32.5% 14 0.25 to <0.50 14,652 10,369 52% 19,138 0.28% 853 39.90% 1.73 8,051 42.1% 21 0.50 to <0.75 0% 0.00% - 0.00% 0.0% - 0.75 to <2.50 1,416 362 29% 1,416 1.07% 118 44.25% 1.59 1,208 85.3% 7 2.50 to <10.00 149 41 41% 166 3.84% 8 44.53% 1.44 208 125.6% 3 10.00 to <100.00 57 6 15% 58 53.21% 7 44.68% 1.05 123 211.9% 14 100.00 (Default) 210 34 99% 244 100.00% 6 47.11% 1.22 Sub-total 40,275 31,351 56% Total 420,235 308,597 52% 57,972 582,223 0.69% 0.46% 1,686 15,270 39.90% 33.37% 1.92 2.03 1,022 21,698 165,308 419.5% 38 37.4% 104 73 28.4% 929 624 Scotiabank Supplementary Regulatory Capital Disclosure Page 50 of 88#52Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average (2) PD Number of Average (3) obligors LGD (4) Average maturity (6) (5) RWA RWA density EL (8) (7) Provisions Q4 2022 Basel III Sovereign 0.00 to <0.15 146,115 2,713 45% 147,548 0.01% 116 12.48% 0.15 to <0.25 179 0% 179 0.18% 1 23.99% 1.98 0.04 2,743 1.9% 4 20 10.9% 0.25 to <0.50 380 1 46% 380 0.35% 4 25.06% 1.20 100 26.4% 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 4,107 2 46% 4,108 1.19% 13 18.74% 1.26 1,527 37.2% 9 2.50 to <10.00 64 0% 64 2.56% 2 25.00% 2.28 46 70.8% 10.00 to <100.00 614 0% 614 17.02% 1 3.10% 0.25 92 15.0% 3 100.00 (Default) 226 0% 226 100.00% 1 25.00% 3.77 0.0% 57 Sub-total 151,685 2,716 45% 153,119 0.26% 138 12.67% 1.96 4,528 3.0% 73 3 Bank 0.00 to <0.15 13,700 10,694 62% 20,323 0.07% 358 32.45% 1.45 3,395 16.7% 5 0.15 to <0.25 412 547 63% 759 0.18% 33 34.58% 1.39 216 28.5% 0.25 to <0.50 2,319 349 44% 2,465 0.32% 47 39.29% 0.51 981 39.8% 3 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 221 12 58% 228 1.42% 19 35.79% 0.82 161 70.4% 1 2.50 to <10.00 10.00 to <100.00 0% 0.00% 0.00% 0.0% - 44 44 100% 100.00 (Default) 110 3 51% 44 111 33.33% 3 39.98% 0.25 96 96 216.4% Sub-total 16,806 11,605 61% 23,930 100.00% 0.64% 6 39.98% 2.10 466 33.31% 1.34 7 4,856 6.4% 45 20.3% 60 656 2 Scotiabank Supplementary Regulatory Capital Disclosure Page 51 of 88#53Back to Table of Contents CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross b Off- balance sheet exposures C d e f g h j k I Average CCF EAD post- CRM and post-CCF Average PD (2) Number of (3) obligors Average LGD (4) Average maturity (6) (5) RWA RWA density (8) EL (7) Provisions exposures pre-CCF Corporate - Other 0.00 to <0.15 87,071 154,008 58% 177,713 0.09% 2,266 41.53% 2.14 46,698 26.3% 67 0.15 to <0.25 36,068 40,968 45% 55,172 0.18% 1,783 47.24% 2.28 24,441 44.3% 48 0.25 to <0.50 46,910 45,365 43% 65,313 0.30% 5,232 43.67% 2.19 33,452 51.2% 84 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 20,836 16,810 34% 25,877 1.01% 3,038 41.70% 1.98 20,656 79.8% 109 2.50 to <10.00 2,458 2,631 23% 2,783 3.35% 384 41.51% 1.77 3,070 110.3% 38 10.00 to <100.00 835 530 26% 936 31.14% 59 53.85% 1.75 2,738 292.5% 159 100.00 (Default) Sub-total 700 129 62% 698 100.00% 75 46.24% 1.75 2,544 364.3% 200 194,878 260,441 51% 328,492 0.55% 12,837 42.97% 2.16 133,599 40.7% 705 491 Corporate - Specialized Lending 0.00 to <0.15 8,479 10,625 65% 16,280 0.10% 213 41.34% 2.43 4,538 27.9% 0.15 to <0.25 13,448 9,607 53% 18,651 0.18% 429 38.17% 1.87 6,103 32.7% 0.25 to <0.50 13,959 9,900 51% 18,115 0.28% 872 38.89% 1.69 7,401 40.9% 20 732 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 1,316 247 24% 1,256 1.07% 125 44.63% 1.48 1,060 84.4% 6 2.50 to <10.00 79 15 39% 85 5.11% 5 36.54% 1.89 99 116.4% 1 10.00 to <100.00 77 80 37% 107 36.01% 8 40.15% 1.18 215 201.4% 16 100.00 (Default) 152 33 100% 184 100.00% 4 48.76% 1.21 849 460.4% 27 Sub-total Total 37,510 400,879 30,507 305,269 56% 54,678 0.63% 1,656 39.54% 1.97 20,265 37.1% 90 50 52% 560,219 0.48% 15,097 33.94% 2.05 163,248 29.1% 928 546 (1) Includes retail residential mortgages insured by CMHC, and the backstop portion of mortgages insured by Sagen and Canada Guaranty Insurance. (2) Post-CRM PD weighted by post-CRM EAD. (3) Represents the number of individual borrowers. (4) Post-CRM LGD weighted by post-CRM EAD. (5) Effective remaining maturity in years. (7) RWA density is calculated as Risk-weighted Assets (column i) divided by EAD post-CRM and post-CCF (column d). (8) Includes all three ECL stages under IFRS 9, and partial write-offs. Scotiabank Supplementary Regulatory Capital Disclosure Page 52 of 88#54Back to Table of Contents CR6: FIRB-Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross b Off- balance sheet exposures C d (9) e f g h j k I Average CCF EAD post- CRM and Average (2) PD Number of Average (3) obligors LGD (4) Average maturity RWA (5) RWA density EL (7) Provisions post-CCF exposures pre-CCF Q2 2023 Revised Basel III Sovereign 0.00 to <0.15 628 1,333 27% 1,121 0.06% 32 41.17% 1.61 161 14.4% 0.15 to <0.25 35 - 40% 35 0.18% 1 44.89% 3.83 19 54.3% 0.25 to <0.50 38 36 40% 53 0.32% 2 42.11% 1.90 24 45.3% 0.50 to <0.75 0% 0.00% 0.00% 0.0% 0.75 to <2.50 81 6 37% 83 1.49% 3 44.84% 1.19 74 89.2% 1 2.50 to <10.00 0% 0.00% 0.00% 0.0% 10.00 to <100.00 0% 0.00% 0.00% 0.0% - 100.00 (Default) 105 0% 105 Sub-total 887 1,375 27% 1,397 100.00% 7.65% 1 45.00% 1.84 39 41.81% 1.67 278 0.0% 19.9% 47 48 Bank (1) 0.00 to <0.15 12,385 39,206 47% 32,646 0.07% 302 46.47% 2.39 10,253 31.4% 11 0.15 to <0.25 421 1,604 49% 1,218 0.18% 48 43.17% 2.30 524 43.0% 1 0.25 to <0.50 1,345 815 46% 1,745 0.31% 64 44.08% 1.11 805 46.1% 2 0.50 to <0.75 - 0% 0.00% 0.00% 0.0% - 0.75 to <2.50 153 36 32% 164 1.38% 18 44.79% 0.44 125 76.2% 1 2.50 to <10.00 19 57 35% 39 2.56% 4 37.71% 2.57 41 105.1% 10.00 to <100.00 36 - 0% 36 17.02% 1 45.00% 0.76 76 211.1% 3 100.00 (Default) 3 50% 1 Sub-total 14,359 41,721 47% 35,849 100.00% 0.12% 2 44.71% 439 46.23% 0.09 2.32 7 700.0% 1 11,831 33.0% 19 2 Scotiabank Supplementary Regulatory Capital Disclosure Page 53 of 88#55Back to Table of Contents CR6: FIRB-Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d (9) e f g h j k I Average CCF EAD post- CRM and post-CCF Average PD (2) Number of (3) obligors Average LGD (4) Average maturity RWA (5) RWA density (7) EL Provisions Corporate - Other (8) 0.00 to <0.15 69,332 126,592 41% 120,112 0.09% 1,116 34.40% 1.90 24,373 20.3% 39 0.15 to <0.25 25,365 31,447 37% 37,048 0.18% 381 38.28% 2.39 12,992 35.1% 26 0.25 to <0.50 22,816 18,428 39% 30,030 0.29% 435 36.01% 2.28 11,907 39.7% 31 0.50 to <0.75 0% 0.00% 0.00% 0.0% - 0.75 to <2.50 4,249 5,739 42% 6,645 1.04% 193 33.37% 2.40 4,092 61.6% 21 2.50 to <10.00 903 1,082 48% 1,424 4.26% 50 33.71% 2.11 1,347 94.6% 20 10.00 to <100.00 200 322 41% 331 33.33% 3 54.18% 1.54. 957 289.1% 60 100.00 (Default) Sub-total 0% 0.00% 0.00% 0.0% 122,865 183,610 40% 195,590 0.26% 2,178 35.37% 2.07 55,668 28.5% 197 198 Corporate - Specialized Lending 0.00 to <0.15 14 48 40% 33 0.07% 2 20.69% 1.84 4 12.1% 0.15 to <0.25 0% 0.00% 0.00% 0.0% 0.25 to <0.50 0% 0.00% 0.00% 0.0% 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 10.00 to <100.00 0% 0.00% 0.00% 0.0% 100.00 (Default) 0% 0.00% 0.00% 0.0% Sub-total 14 48 40% 33 0.07% 2 Total 138,125 226,754 41% 232,869 0.28% 2,658 20.69% 37.08% 1.84 4 12.1% 2.10 67,781 29.1% 264 200 (1) Includes the retail residential mortgages insured by Sagen and Canada Guaranty Insurance, excluding the backstop portion. (2) Post-CRM PD weighted by post-CRM EAD. (3) Represents the number of individual borrowers. (4) Post-CRM LGD weighted by post-CRM EAD. (5) Effective remaining maturity in years. (6) RWA density is calculated as Risk-weighted Assets (column i) divided by EAD post-CRM and post-CCF (column d). (7) Includes all three ECL stages under IFRS 9, and partial write-offs. (8) Includes purchased receivables portfolio totaling $2.7 billion EAD, $0.5 billion RWA ($2.7 billion EAD, $0.5 billion RWA in Q1 2023; and $3.0 billion EAD, $0.6 billion RWA in Q4 2022). (9) The bank adopted FIRB in Q2, 2023 and no comparative numbers are available. Scotiabank Supplementary Regulatory Capital Disclosure Page 54 of 88#56Back to Table of Contents CR7: IRB-Effect on RWA of credit derivatives used as CRM techniques a Q2 2023 Revised Basel III b Q1 2023 Q4 2022 Q3 2022 Basel III Basel III Basel III (in $ millions) a₂ b₂ a3 b3 a4 b₁ Pre-credit derivatives Actual RWA (¹) Pre-credit derivatives Actual RWA (1) Pre-credit derivatives Pre-credit derivatives (1) Actual RWA Actual RWA (1) RWA RWA RWA RWA 1 Sovereign FIRB 278 278 2 Sovereign AIRB 4,882 4,882 4,627 4,627 4,528 4,528 4,371 4,371 3 Bank - FIRB 8,087 8,087 4 Bank - AIRB 4,324 4,324 4,856 4,856 4,801 4,801 5 Other securities firms treated as Bank - F-IRB 3,744 3,744 6 7 FIRB Other securities firms treated as Bank - A-IRB Corporate 50,167 50,167 8 Corporate AIRB 52,835 52,835 134,151 134,151 133,027 133,027 129,840 129,840 6 Other securities firms treated as Corporate - F- IRB 5,041 5,041 10 Other securities firms treated as Corporate - A- IRB 279 279 11 Specialized lending - FIRB 4 4 12 Specialized lending - AIRB 5,053 5,053 21,698 21,698 20,265 20,265 18,517 18,517 13 Retail - qualifying revolving (QRRE) 13,199 13,199 13,739 13,739 13,158 13,158 12,823 12,823 14 Retail residential mortgage exposures 31,579 31,579 29,518 29,518 28,786 28,786 29,785 29,785 15 Retail - SME 16 Other retail exposures 22,913 22,913 23,663 23,663 22,985 22,985 22,091 22,091 17 Equity - FIRB 18 Equity - AIRB 19 Purchased receivables - FIRB 20 Purchased receivables - AIRB 23 21 Total 459 459 1 1 198,521 198,521 508 508 572 572 519 519 232,228 232,228 228,177 228,177 222,747 222,747 (1) As at the reporting date, there was no impact on RWA from credit derivatives, used as a CRM technique, within the banking book. Scotiabank Supplementary Regulatory Capital Disclosure Page 55 of 88#57Back to Table of Contents CR8: RWA flow statements of credit risk exposures under IRB (in $ millions) a Q2 2023 Revised Basel III a2 Q1 2023 Basel III аз Q4 2022 Basel III a4 Q3 2022 Basel III 1 2 RWA as at end of previous reporting period Asset size (1) 3 Asset quality (2) 232,228 (4,510) 440 228,177 222,747 216,428 3,827 6,495 14,505 764 (5,920) (1,516) 4 Model updates (3) (813) (5,408) 5 Methodology and policy (4) (31,478) 6 Acquisitions and disposals (5) (225) (6) 7 Foreign exchange movements 1,841 (540) 6,158 (1,040) 8 Other (7) (265) (222) 9 RWA as at end of reporting period 198,521 232,228 228,177 222,747 (1) Organic changes in book size and composition (including origination of new businesses and maturing loans) excluding acquisitions and disposal of entities. (2) Changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration, parameter recalibration, or similar effects. (3) Changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses. (4) Changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations. (5) Changes in book size due to acquisitions and/or divestitures. (6) Changes driven by market movements such as foreign exchange movements. (7) This category captures changes that cannot be attributed to any other category. Scotiabank Supplementary Regulatory Capital Disclosure Page 56 of 88#58Back to Table of Contents CR10: IRB (Specialized lending and equities under the simple risk-weight method) Specialized Lending (¹) - Q2 2023 Revised Basel III Regulatory Categories Remaining Maturity Strong Less than 2.5 years Good Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Satisfactory Weak Default Total Other than HVCRE On-balance sheet amount Exposure Amount Off-balance sheet amount RW RWA Expected Losses PF OF CF IPRE Total 50% 70% 70% 90% 115% 250% HVCRE Regulatory Categories Remaining Maturity On-balance sheet amount Off-balance sheet amount RW Exposure Amount RWA Expected Losses Strong Less than 2.5 years 70% Good Equal to or more than 2.5 years Less than 2.5 years 95% 95% Equal to or more than 2.5 years 120% Satisfactory 140% Weak 250% Default Total Equities under the simple risk-weight approach Categories Exchange-traded equity exposures Private equity exposures Other equity exposures Total (1) As at the reporting date, specialized lending and equities under the simple risk-weight method are not applicable. On-balance sheet amount Off-balance sheet amount RW Exposure Amount RWA Expected Losses 190% 290% 370% Scotiabank Supplementary Regulatory Capital Disclosure Page 57 of 88#59Back to Table of Contents CR10: IRB (Specialized lending and equities under the simple risk-weight method) Specialized Lending (1) - Q1 2023 Basel III Regulatory Categories Remaining Maturity Strong Less than 2.5 years Good Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Satisfactory Weak Default Total Other than HVCRE On-balance sheet amount Exposure Amount Off-balance sheet amount RW RWA Expected Losses PF OF CF IPRE Total 50% 70% 70% 90% 115% 250% HVCRE Regulatory Categories Remaining Maturity On-balance sheet amount Off-balance sheet amount RW Strong Less than 2.5 Years Good Equal to or more than 2.5 years Less than 2.5 Years Equal to or more than 2.5 years Satisfactory Weak Default Total Categories Exposure Amount RWA Expected Losses 70% 95% 95% 120% 140% 250% Equities under the simple risk-weight approach On-balance sheet amount Off-balance sheet amount RW Exposure Amount RWA Expected Losses Exchange-traded equity exposures Private equity exposures Other equity exposures Total (1) As at the reporting date, specialized lending and equities under the simple risk-weight method are not applicable. 190% 290% 370% י י י י Scotiabank Supplementary Regulatory Capital Disclosure Page 58 of 88#60Back to Table of Contents CCR1: Analysis of counterparty credit risk (CCR) exposure by approach (in $ millions) (1) a b C d e f Alpha used for Potential future Replacement cost EEPE exposure computing regulatory EAD EAD post- CRM RWA Q2 2023 Revised Basel III 1 CEM / SA-CCR (for derivatives) 314 708 2 Internal Model Method (for derivatives and SFTs) (2) 3 Simple Approach for credit risk mitigation (for SFTs) Comprehensive Approach for credit risk 4 mitigation (for SFTs) 5 VaR for SFTs 6 Total 1 2 Q1 2023 Basel III CEM/SA-CCR (for derivatives) Internal Model Method (for derivatives and SFTs) (2) Simple Approach for credit risk mitigation Comprehensive Approach for credit risk 3 (for SFTs) 4 mitigation (for SFTs) 5 VaR for SFTS 6 Total Q4 2022 Basel III 445 931 1 CEM/SA-CCR (for derivatives) 435 790 Internal Model Method (for derivatives 2 and SFTs) (2) Simple Approach for credit risk mitigation 3 (for SFTs) Comprehensive Approach for credit risk 4 mitigation (for SFTs) 5 VaR for SFTs 6 Total 1 2 and SFTs) (2) Q3 2022 Basel III CEM/SA-CCR (for derivatives) Internal Model Method (for derivatives Simple Approach for credit risk mitigation 3 (for SFTs) Comprehensive Approach for credit risk 4 mitigation (for SFTs) 5 VaR for SFTS 6 Total (1) Excludes exposures cleared through a CCP and CVA charges. (2) Includes OTC derivatives related transactions only. Scotiabank 613 937 1.4. 1,424 714 17,680 1.4 24,473 5,063 15,074 2,838 19,245 1,863 10,478 1.4 1,924 929 18,386 1.4 25,479 5,599 20,545 4,626 21,160 2,414 13,568 1.4 1,713 648 19,547 1.4 27,032 5,715 21,065 4,307 20,954 2,411 13,081 1.4 2,169 835 20,560 1.4 28,452 6,443 22,990 4,504 15,604 2,059 13,841 Supplementary Regulatory Capital Disclosure Page 59 of 88#61Back to Table of Contents CCR2: Credit valuation adjustment (CVA) capital charge Q2 2023 Basel III Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III a b a₂ b₂ аз b3 a4 b4 (in $ millions) EAD post-CRM RWA EAD post-CRM RWA EAD post-CRM RWA EAD post-CRM RWA Total portfolios subject to the Advanced CVA capital charge 24,222 5,658 27,361 5,743 28,595 6,422 30,508 5,844 1 (i) VaR component (including the 3 × multiplier) 1,277 1,285 1,621 1,533 2 (ii) Stressed VaR component (including the 3 x multiplier) 4,381 4,458 4,801 4,311 3 4 All portfolios subject to the Standardized CVA capital charge Total subject to the CVA capital charge 24,222 5,658 27,361 5,743 28,595 6,422 30,508 5,844 Scotiabank Supplementary Regulatory Capital Disclosure Page 60 of 88#62Back to Table of Contents CCR3: Standardized approach - CCR exposures by regulatory portfolio and risk weights (in $ millions) a b C d e f g h i j k m Risk weight 0% 10% 20% 30% 40% 50% 75% 80% 85% 100% 130% 150% Others Regulatory portfolio Sovereigns Q2 2023 Revised Basel III Public sector entities (PSES) Multilateral development banks (MDBs) Banks Securities firms and other financial institutions treated as Banks Corporates Of which: specialised lending Securities firms and other financial institutions treated as Corporate Regulatory retail portfolios Other assets (2) Total Q1 2023 Basel III Sovereigns Non-central government public sector entities (PSES) Multilateral development banks (MDBS) Banks Securities firms Corporates Regulatory retail portfolios Other assets (2) Total Q4 2022 Basel III Sovereigns Non-central government public sector entities (PSES) Multilateral development banks (MDBs) Banks Securities firms Corporates Regulatory retail portfolios Other assets (2) Total Q3 2022 Basel III Sovereigns Non-central government public sector entities (PSES) 2 29 133 - 3 4 47 51 2 2 1,253 16 162 7 2 2 1,367 4 148 70 2,017 C Total credit exposure (¹) 50 51 - 33 135 1,255 16 1,540 152 72 2,017 2 4 2,235 2,241 1 18 213 8 1,863 1 18 2,084 Multilateral development banks (MDBs) Banks 1 Securities firms Corporates Regulatory retail portfolios Other assets (2) Total 1 (1) Total credit exposure: the amount relevant for the capital requirements calculation, having applied CRM techniques. (2) Other assets: the amount excludes exposures to CCPS, which are reported in CCR8. Scotiabank 471 11 471 Supplementary Regulatory Capital Disclosure 4 1,784 231 - 9 1,863 2,103 482 5 2 1,786 1,799 2 2,273 Page 61 of 88#63Back to Table of Contents CCR4: AIRB - CCR exposures by portfolio and PD scale (in $ millions) Q2 2023 Revised Basel III Sovereign PD scale (1) a b C d e f g EAD post-CRM Average PD (2) Number of obligors Average LGD (3) (4) Average maturity RWA RWA density (5) 0.00 to <0.15 7,047 0.04% 93 16.77% 2.33 193 2.7% 0.15 to <0.25 125 0.18% 1 14.00% 0.01 10 8.1% 0.25 to <0.50 208 0.35% 1 25.00% 0.12 38 18.4% 0.50 to <0.75 - 0.00% - 0.00% - 0.0% 0.75 to <2.50 21 0.90% 2 25.00% 1.00 8 38.9% 2.50 to <10.00 0.00% 0.00% 0.0% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 7,401 0.05% 97 16.98% 2.23 249 3.4% Bank 0.00 to <0.15 0.00% 0.00% 0.0% 0.15 to <0.25 0.00% 0.00% 0.0% 0.25 to <0.50 0.00% 0.00% 0.0% 0.50 to <0.75 0.00% 0.00% 0.0% Corporate 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (Default) 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% Sub-total 0.00% 0.00% 0.0% 0.00 to <0.15 20,777 0.07% 3,369 41.43% 0.11 2,166 10.4% 0.15 to <0.25 1,970 0.18% 295 44.62% 1.41 591 30.0% 0.25 to <0.50 887 0.29% 564 50.66% 2.45 376 42.4% 0.50 to <0.75 0.00% 0.00% 0.0% 0.75 to <2.50 895 0.93% 254 45.89% 0.85 684 76.4% 2.50 to <10.00 3 3.27% 13 48.50% 2.99 4 120.3% 10.00 to <100.00 2 33.33% 2 35.00% 1.91 3 183.3% 100.00 (Default) 0 100.00% 1 57.00% 5.00 0 0.0% Sub-total 24,534 0.12% 4,498 42.18% 0.33 3,824 15.6% Total 31,935 0.10% 4,595 36.34% 0.77 4,073 12.8% Scotiabank Supplementary Regulatory Capital Disclosure Page 62 of 88#64Back to Table of Contents CCR4: AIRB - CCR exposures by portfolio and PD scale (in $ millions) PD scale (1) a b C d e f g EAD post-CRM Average PD (2) Number of obligors Average LGD (3) (4) Average maturity RWA RWA density (5) Q1 2023 Basel III Sovereign 0.00 to <0.15 7,349 0.03% 93 17.40% 2.39 212 2.9% 0.15 to <0.25 92 0.18% 1 15.00% 0.01 8 9.2% 0.25 to <0.50 208 0.25% 1 25.00% 0.13 32 15.5% 0.50 to <0.75 0.00% - 0.00% - 0.0% 0.75 to <2.50 48 0.90% 1 25.00% 1.00 20 41.1% 2.50 to <10.00 0.00% 0.00% 0.0% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 7,697 0.05% Bank 0.00 to <0.15 11,873 0.07% 223 0.15 to <0.25 579 0.18% 0.25 to <0.50 214 0.26% 2222 17.63% 2.30 272 3.5% 31.09% 1.40 1,452 12.2% 30.80% 0.87 127 21.9% 24 33.09% 3.28 71 33.1% 0.50 to <0.75 - 0.00% - 0.00% - 0.0% 0.75 to <2.50 8 0.90% 1 30.00% 2.34 5 63.3% 2.50 to <10.00 0 2.56% 1 40.00% 1.32 0 98.1% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 12,674 0.08% 271 31.11% 1.41 1,655 13.1% Corporate 0.00 to <0.15 36,998 0.08% 3,949 44.88% 0.54 5,115 13.8% 0.15 to <0.25 4,174 0.18% 463 47.42% 1.40 1,328 31.8% 0.25 to <0.50 3,082 0.28% 698 45.78% 1.19 1,171 38.0% 0.50 to <0.75 0.00% 0.00% 0.0% 0.75 to <2.50 2,194 0.93% 290 45.13% 0.73 1,689 77.0% 2.50 to <10.00 19 4.82% 21 39.18% 1.57 23 118.6% 10.00 to <100.00 28 18.15% 3 56.38% 3.16 79 283.7% 100.00 (Default) 0 100.00% 1 57.00% 5.00 0 0.0% Sub-total 46,495 Total 66,866 0.15% 0.13% 5,425 45.19% 0.67 9,405 20.2% 5,792 39.35% 1.00 11,332 16.9% Scotiabank Supplementary Regulatory Capital Disclosure Page 63 of 88#65Back to Table of Contents CCR4: AIRB - CCR exposures by portfolio and PD scale (in $ millions) PD scale (1) a b C d e f g EAD post-CRM Average PD (2) Number of obligors Average LGD (3) (4) Average maturity RWA RWA density (5) Q4 2022 Basel III Sovereign 0.00 to <0.15 8,914 0.04% 88 17.10% 2.54 259 2.9% 0.15 to <0.25 105 0.18% 2 16.48% 0.16 11 10.3% 0.25 to <0.50 145 0.25% 1 25.00% 0.12 22 15.5% 0.50 to <0.75 0.00% - 0.00% - 0.0% 0.75 to <2.50 6 0.90% 1 25.00% 1.00 2 41.1% 2.50 to <10.00 0.00% 0.00% 0.0% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 9,170 0.04% 92 17.22% 2.47 294 3.2% Bank 0.00 to <0.15 12,701 0.07% 216 31.43% 1.25 1,501 11.8% 0.15 to <0.25 490 0.18% 24 31.28% 0.89 107 21.9% 0.25 to <0.50 262 0.29% 22 34.96% 2.26 92 35.1% 0.50 to <0.75 0.00% - 0.00% - 0.0% 0.75 to <2.50 41 0.90% 2.50 to <10.00 2.56% 21 30.00% 1.13 25 61.8% 40.00% 1.54 98.1% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 13,494 0.08% 265 31.49% 1.26 1,725 12.8% Corporate 0.00 to <0.15 38,089 0.08% 4,189 44.56% 0.53 5,429 14.3% 0.15 to <0.25 3,514 0.18% 468 46.71% 1.35 1,141 32.5% 0.25 to <0.50 2,275 0.28% 622 42.55% 1.08 827 36.4% 0.50 to <0.75 0.00% 0.00% 0.0% 0.75 to <2.50 2,043 0.95% 284 43.26% 0.70 1,460 71.5% 2.50 to <10.00 55 2.79% 22 30.06% 1.19 42 75.7% 10.00 to <100.00 22 33.33% 2 57.00% 3.61 69 316.5% 100.00 (Default) 100.00% 1 57.00% 5.00 0.0% Sub-total 45,998 0.16% 5,588 44.56% 0.63 8,968 19.5% Total (1) Represents AIRB exposures for Derivatives and SFT. 68,662 0.13% 5,945 38.34% 1.00 10,987 16.0% (2) Post-CRM PD weighted by post-CRM EAD. (3) Post-CRM LGD weighted by post-CRM EAD. (4) Effective remaining maturity in years. (5) RWA density is calculated as Risk-weighted Assets (column f) divided by EAD post-CRM (column a). Scotiabank Supplementary Regulatory Capital Disclosure Page 64 of 88#66Back to Table of Contents CCR4:FIRB CCR exposures by portfolio and PD scale (1)(6) (in $ millions) Q2 2023 Revised Basel III Sovereign PD scale a b C d e f g EAD post-CRM Average PD (2) Number of obligors Average LGD (3) (4) Average maturity RWA RWA density (5) 0.00 to <0.15 0.15 to <0.25 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (Default) Sub-total 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% 0.00% 0.00% 0.0% Bank 0.00 to <0.15 12,650 0.08% 281 44.90% 1.39 2,069 16.4% 0.15 to <0.25 489 0.18% 32 45.00% 2.96 155 31.8% 0.25 to <0.50 368 0.27% 34 45.00% 0.61 118 32.2% 0.50 to <0.75 0.00% 0.00% - 0.0% 0.75 to <2.50 55 0.90% 12 2.50 to <10.00 0 2.56% 10.00 to <100.00 0.00% 211 45.00% 0.54 37 68.2% 45.00% 1.26 0 104.1% 0.00% 0.0% 100.00 (Default) 0.00% 0.00% 0.0% Sub-total 13,562 0.09% 360 44.91% 1.42 2,379 17.6% Corporate 0.00 to <0.15 9,564 0.09% 414 42.74% 1.04 1,374 14.4% 0.15 to <0.25 2,034 0.18% 183 40.49% 1.69 523 25.7% 0.25 to <0.50 1,081 0.29% 150 38.91% 1.51 373 34.4% 0.50 to <0.75 0.00% 0.00% 0.0% 0.75 to <2.50 485 0.99% 50 38.85% 1.26 305 63.0% 2.50 to <10.00 14. 4.06% % 8 32.22% 1.76 12 84.6% 10.00 to <100.00 0.00% 0.00% 0.0% 100.00 (Default) 0 0.00% 0.00% 0 0.0% Sub-total Total (1) Represents FIRB exposures for Derivatives and SFT. 13,178 26,740 0.16% 805 41.92% 1.19 2,587 19.6% 0.12% 1,165 43.44% 1.30 4,966 18.6% (2) Post-CRM PD weighted by post-CRM EAD. (3) Post-CRM LGD weighted by post-CRM EAD. (4) Effective remaining maturity in years. (5) RWA density is calculated as Risk-weighted Assets (column f) divided by EAD post-CRM (column a). (6) The bank adopted FIRB in Q2, 2023 and no comparitive numbers are available. Scotiabank Supplementary Regulatory Capital Disclosure Page 65 of 88#67Back to Table of Contents CCR5: Composition of collateral for CCR exposure (1) a b C d e f Collateral used in derivative transactions (in $ millions) Fair value of collateral received Segregated (2) (2) Unsegregated Segregated Fair value of posted collateral (2) (2) received Collateral used in SFTS Fair value of collateral Fair value of posted collateral Unsegregated Cash Cash Q2 2023 Revised Basel III domestic currency other currencies 13 2,926 11 2,230 6,503 638 - 7,406 26 14,582 43,330 34,340 Domestic sovereign debt 103 274 85 821 968 1,133 Other sovereign debt 2,169 256 366 2,955 2,229 7,427 Government agency debt 1,833 431 1,182 1,227 2,025 8,974 Corporate bonds 943 1,395 1,666 627 24,597 44,594 Equity securities 684 3,265 158 39,325 34,156 Other collateral 8 Total 5,745 12,688 6,601 22,600 118,985 131,262 Q1 2023 Basel III Cash domestic currency 13 2,252 266 1,846 Cash other currencies 9,209 8 16,895 7,532 41,436 522 34,093 Domestic sovereign debt 705 487 263 1,016 941 3,227 Other sovereign debt 1,595 249 1,556 852 1,750 5,837 Government agency debt 1,373 320 725 2,558 829 9,874 Corporate bonds 894 86 634 481 25,383 32,983 Equity securities 720 4,082 102 39,971 29,229 Other collateral 14 Total 5,300 12,603 7,534 23,750 117,856 115,765 Q4 2022 Basel III Cash domestic currency 13 1,949 1,770 6,797 477 Cash other currencies 9,664 5 20,699 41,069 31,470 Domestic sovereign debt 503 688 139 1,488 1,182 2,478 Other sovereign debt 1,973 522 1,645 539 2,939 3,398 Government agency debt 1,583 722 581 2,348 1,026 14,798 Corporate bonds 1,310 178 510 254 25,485 24,776 Equity securities 609 4,483 109 40,616 25,202 Other collateral 17 Total 5,991 13,723 7,363 27,207 119,131 102,599 Q3 2022 Basel III Cash domestic currency 13 1,253 1,209 6,945 1,079 Cash other currencies 100 9,292 146 18,587 38,035 24,531 Domestic sovereign debt 108 547 240 1,301 1,023 4,930 Other sovereign debt 1,528 452 1,445 733 3,260 6,127 Government agency debt 2,776 485 379 3,325 1,844 14,402 Corporate bonds 1,630 178 1,030 134 26,403 31,009 Equity securities 1,105 4,724 169 39,803 24,997 Other collateral 90 Total 7,260 12,207 7,964 25,458 117,403 107,075 (1) Provides breakdown of collateral posted or received for SFTs or derivative transactions, including transactions cleared through CCPS. (2) Segregated refers to collateral which is held in a bankruptcy-remote manner. Unsegregated refers to collateral that is not held in a bankruptcy-remote manner. Scotiabank Supplementary Regulatory Capital Disclosure Page 66 of 88#68Back to Table of Contents CCR6: Credit derivatives exposures (in $ millions) Notionals Q2 2023 Revised Basel III Single-name credit default swaps Index credit default swaps Credit default swaps Total return swaps Credit options Other credit derivatives Total notionals Fair values a b Protection bought Protection sold 8,181 2,461 8,181 2,461 16,835 208 25,016 2,669 Positive fair value (asset) 473 Negative fair value (liability). 11 (25) Q1 2023 Basel III Notionals Single-name credit default swaps Index credit default swaps Credit default swaps Total return swaps Credit options Other credit derivatives Total notionals Fair values 7,580 2,914 7,580 2,914 17,940 434 25,520 3,348 Positive fair value (asset) Negative fair value (liability) Q4 2022 Basel III Notionals Single-name credit default swaps Index credit default swaps Credit default swaps Total return swaps Credit options Other credit derivatives Total notionals Fair values Positive fair value (asset) Negative fair value (liability) Q3 2022 Basel III Notionals Single-name credit default swaps Index credit default swaps Credit default swaps Total return swaps Credit options 509 12 (22) 6,760 1,289 6,760 1,289 18,788 198 25,548 1,487 763 17 (25) 5,754 1,507 5,754 1,507 17,098 201 Other credit derivatives Total notionals 22,852 1,708 Fair values Positive fair value (asset) 559 Negative fair value (liability) 15 (23) Scotiabank Supplementary Regulatory Capital Disclosure Page 67 of 88#69Back to Table of Contents CCR7: RWA flow statements of CCR exposures under Internal Model Method (IMM) (in $ millions) (1) 1 RWA as at end of previous reporting period (2) 2 Asset size 3 Asset quality (3) 4 Model updates (4) 5 Methodology and policy (5) 6 Acquisitions and disposals (6) 7 8 Foreign exchange movements Other (8) (7) 9 RWA as at end of current reporting period (1) Includes exposures under IMM cleared through a CCP. a a₂ Q2 2023 Q1 2023 Revised Basel III Basel III 5,670 5,799 (511) 8 (17) (12) (103) a3 Q4 2022 a4 Q3 2022 Basel III Basel III 6,495 5,631 (1,589) 65 (223) (105) 729 947 97 (125) 387 (43) 5,136 5,670 5,799 6,495 (2) Organic changes in book size and composition (including origination of new businesses) excluding acquisitions and disposal of entities. (3) Changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration, parameter recalibrations, or similar effects. (4) Changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses. (5) Changes due to methodological changes in calculations driven by changes in regulatory policy and/or regulatory oversight including interpretation. (6) Changes in book size from acquisitions and/or divestitures. (7) Changes driven by market movements such as foreign exchange movements. (8) This category captures changes that cannot be attributed to any other category. Scotiabank Supplementary Regulatory Capital Disclosure Page 68 of 88#70Back to Table of Contents CCR8: Exposures to central counterparties (in $ millions) 1 Exposures to QCCPs (total) 2 Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which 3 (i) OTC derivatives 4 (ii) Exchange-traded derivatives 5 (iii) Securities financing transactions 6 7 Segregated initial margin 8 (iv) Netting sets where cross-product netting has been approved Non-segregated initial margin 9 Pre-funded default fund contributions 10 Unfunded default fund contributions (1) 11 Default Fund Contributions to non-QCCPS (total) Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); 12 of which 13 (i) OTC derivatives 14 (ii) Exchange-traded derivatives 15 (iii) Securities financing transactions 16 (iv) Netting sets where cross-product netting has been approved 17 Segregated initial margin 18 Non-segregated initial margin 19 Pre-funded default fund contributions 20 Unfunded default fund contributions (1) Unfunded default fund contributions are risk weighted at 0%. b a2 b₂ аз b3 a4 b4 EAD (post-CRM) RWA EAD (post-CRM) RWA EAD (post-CRM) RWA EAD (post-CRM) RWA Q2 2023 Revised Basel III Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III 889 846 715 891 14,797 313 13,591 285 15,372 320 13,268 280 3,645 73 3,544 71 4,175 83 2,608 52 9,359 204 7,097 155 8,110 175 8,214 179 1,793 36 2,950 59 3,087 62 2,446 49 10,195 11,675 15,651 15,206 1,255 576 937 561 772 395 1,416 2,074 2,085 1,319 2,003 611 Scotiabank Supplementary Regulatory Capital Disclosure Page 69 of 88#71Back to Table of Contents SEC1: Securitization exposures in the banking book (1) (2) a a b C e f g i j k (in $ millions) Traditional Bank acts as Originator Traditional Synthetic Bank acts as Sponsor (3) Bank acts as Investor (4) Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total Q2 2023 Revised Basel III Retail (total) 1 - of which 2 Residential Mortgage (5) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) 6 - of which 7 Trade Receivables Diversified Asset-Backed 8 Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization Q1 2023 Basel III Retail (total) 1 of which 2 Residential Mortgage (5) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) 6 of which 7 Trade Receivables Diversified Asset-Backed 8 Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization 9,494 9,494 1,666 1,666 1,020 1,020 224 224 730 730 2,844 2,844 122 122 5,406 5,406 814 814 590 590 7,627 7,627 328 328 4,007 4,007 590 1,543 1,543 280 280 590 2,077 2,077 48 48 10 154 2 156 14,394 14,394 3,176 3,176 2,550 2,550 452 452 1,825 1,825 2,684 2,684 142 142 154 2 156 8,708 8,708 1,209 1,209 732 732 9,063 9,063 330 330 4,940 4,940 732 1,596 1,596 283 283 732 2,527 2,527 47 47 Scotiabank Supplementary Regulatory Capital Disclosure Page 70 of 88#72Back to Table of Contents SEC1: Securitization exposures in the banking book (1) (2) a a b C e f g i j k (in $ millions) Bank acts as Originator Bank acts as Sponsor (3) Bank acts as Investor (4) Traditional Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Synthetic Sub-total Q4 2022 Basel III Retail (total) 191 8 199 14,731 14,731 2,988 2,988 1 - of which 2 Residential Mortgage (5) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) 6 7 - of which Trade Receivables Diversified Asset-Backed 2,550 2,550 463 463 1,825 1,825 2,520 2,520 193 193 191 8 199 9,198 9,198 970 970 8,380 8,380 1,245 1,245 4,859 4,859 8 Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization 1,387 1,387 481 481 2,134 2,134 715 715 49 49 Q3 2022 Basel III Retail (total) 1 - of which 2 Residential Mortgage (5) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases 6 7 Wholesale (total) - of which Trade Receivables Diversified Asset-Backed 8 Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization 221 9 230 13,562 13,562 2,985 2,985 2,550 2,550 435 435 1,825 1,825 2,342 2,342 244 244 221 9 230 8,235 8,235 916 916 6,699 6,699 943 943 3,425 3,425 (1) Retained positions where the Bank acts as an originator and has achieved significant and effective risk transfer. 1,409 1,409 251 1,865 1,865 646 251 646 46 46 (2) Retained positions where the Bank acts as an originator and has not achieved significant and effective risk transfer. (3) Retained positions where the Bank acts as sponsor include exposures to commercial paper conduits to which the bank provides liquidity facilities. (4) Retained positions where the Bank acts as an investor are the investment positions purchased in third-party deals. (5) Excludes mortgage-backed securities that do not involve the tranching of credit risk (e.g. NHA MBS) which are not considered securitizations as per OSFI Capital Adequacy Requirements Guideline, Chapter 6, paragraph 3. Scotiabank Supplementary Regulatory Capital Disclosure Page 71 of 88#73a(1) a(2) b C e f g i k Traditional Bank acts as Originator Traditional Synthetic Bank acts as Sponsor (3) Sub-total Traditional Synthetic Sub-total Traditional Bank acts as Investor (4) Synthetic Sub-total Back to Table of Contents SEC2: Securitization exposures in the trading book (in $ millions) Q2 2023 Revised Basel III Retail (total) (5) 1 - of which 2 Residential Mortgage (6) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) (5) 6 7 8 - of which Trade Receivables Diversified Asset-Backed Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization Q1 2023 Basel III Retail (total) (5) 1 - of which 2 Residential Mortgage (6) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) (5) 6 - of which 7 8 9 Trade Receivables Diversified Asset-Backed Securities Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization 11 - 11 1 1 9 9 1 1 - 25 25 16. 19 37 19 166 37 (15) 32 (15) 32 2 2 18 18 54 54 48 48 6 006 Scotiabank Supplementary Regulatory Capital Disclosure Page 72 of 88#74Back to Table of Contents SEC2: Securitization exposures in the trading book (in $ millions) a (1) a(2) b C e f g i k Bank acts as Originator Bank acts as Sponsor (3) Traditional Traditional Synthetic Sub-total Traditional Synthetic Sub-total Traditional Bank acts as Investor(4) Synthetic Sub-total Q4 2022 Basel III Retail (total) (5) 65 1 - of which 2 Residential Mortgage (6) 3 Credit Card 4 Consumer Receivables 39 2 5 Auto Loans/Leases Wholesale (total) (5) 24 37 6 7 8 - of which Trade Receivables Diversified Asset-Backed Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 Re-Securitization Q3 2022 Basel III Retail (total) (5) 1 - of which 2 Residential Mortgage (6) 3 Credit Card 4 Consumer Receivables 5 Auto Loans/Leases Wholesale (total) (5) 6 7 8 - of which Trade Receivables Diversified Asset-Backed Securities 9 Auto Wholesale/Rentals 10 Other Wholesale 11 65 24 37 2 2 2 3 39 37 37 153 153 80 80 47 47 2 2 24 24 46 46 46 164 Re-Securitization (1) Retained positions where the Bank acts as an originator and has achieved significant and effective risk transfer. (2) Retained positions where the Bank acts as an originator and has not achieved significant and effective risk transfer. (3) Retained positions where the Bank acts as sponsor include exposures to commercial paper conduits to which the bank provides liquidity facilities. (4) Retained positions where the Bank acts as an investor are the investment positions purchased in third-party deals. (5) Capital charges related to trading book securitization exposures are based upon the Bank's internal market risk models including its comprehensive risk measure. (6) Excludes mortgage-backed securities that do not involve the tranching of credit risk (e.g. NHA MBS) which are not considered securitizations as per OSFI Capital Adequacy Requirements Guideline, Chapter 6, paragraph 3. Scotiabank Supplementary Regulatory Capital Disclosure 46 Page 73 of 88#75Scotiabank 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 Of which senior 15 Of which non-senior Q1 2023 Basel III 1 Total exposures (1)(2) 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 15 Of which senior Of which non-senior Q2 2023 Revised Basel III (in $ millions) ≤20% RW >20% to 50% RW Back to Table of Contents SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor a b C d Exposure values (by RW bands) e f g h i Exposure values (by regulatory approach) k j RWA (by regulatory approach) >50% to 100% RW >100% to <1250% RW 1250% RW IRBA ERBA / IAA SA 1 Total exposures (1)(2) 13,476 2,676 1,559 17,121 590 3,264 262 2 Traditional securitization 13,476 2,676 1,559 17,121 590 3,264 3 Of which securitization 13,476 2,676 1,559 17,121 590 3,264 262 262 4 Of which retail underlying 8,223 1,230 41 9,494 - 1,409 113 5 Of which wholesale 5,253 1,446 1,518 7,627 590 1,855 149 6 Of which re-securitization 7 Of which senior 8 Of which non-senior 9 Synthetic securitization 1250% 19,739 2,967 1,581 51 5 154 23,457 732 66 4,171 22 5 333 2 Traditional securitization 19,739 2,967 1,581 51 5 154 23,457 732 66 4,171 22 5 333 3 Of which securitization 19,739 2,967 1,581 51 5 154 23,457 732 66 4,171 22 5 333 222 4 Of which retail underlying 13,255 1,236 54 3 154 14,394 66 1,994 5 159 5 Of which wholesale 6,484 1,731 1,527 51 2 9,063 732 - 2,177 22 174 2 6 Of which re-securitization 7 Of which senior 8 Of which non-senior 9 Synthetic securitization Supplementary Regulatory Capital Disclosure Page 74 of 88 IRBA ERBA / IAA SA 1250% IRBA m n ERBA / IAA о Capital charge after cap ཛྙ 1250% P q#76Scotiabank (in $ millions) Q4 2022 Basel III 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 Of which senior 15 Of which non-senior Q3 2022 Basel III 1 Total exposures (1)(2) 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 Of which senior 15 ≤20% RW >20% to 50% RW Back to Table of Contents SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor a b C d Exposure values (by RW bands) e f g h i Exposure values (by regulatory approach) k j RWA (by regulatory approach) >50% to 100% RW >100% to <1250% RW 1250% RW IRBA ERBA / IAA SA 1250% 1 Total exposures (1)(2) 19,109 3,005 1,133 52 3 191 23,111 71 3,971 6 317 2 Traditional securitization 19,109 3,005 1,133 52 3 191 23,111 71 3,971 6 317 3 Of which securitization 19,109 3,005 1,133 52 3 191 23,111 71 3,971 6 317 4 Of which retail underlying 13,617 1,302 - 3 191 14,731 71 2,053 6 164 5 Of which wholesale 5,492 1,703 1,133 62 52 8,380 1,918 153 6 Of which re-securitization - 7 Of which senior 8 Of which non-senior 9 Synthetic securitization 16,693 2,598 1,106 82 3 221 20,261 76 3,583 2 Traditional securitization 16,693 2,598 1,106 82 3 221 20,261 76 3,583 3 Of which securitization 16,693 2,598 1,106 82 3 221 20,261 76 3,583 4 Of which retail underlying 12,652 1,087 41 - 3 221 13,562 76 1,854 5 Of which wholesale 4,041 1,511 1,065 82 6,699 1,729 6 Of which re-securitization 7 Of which senior 8 Of which non-senior 9 Synthetic securitization Of which non-senior (1) Includes banking book on-balance sheet investments in asset backed securities (ABS), collateralized loan obligations (CLOS), collateralized debt obligations (CDOS), and off-balance sheet liquidity lines and credit enhancements to bank sponsored conduits. (2) Includes retained positions in securitizations where the Bank acts as an originator and has achieved significant and effective risk transfer. Supplementary Regulatory Capital Disclosure Page 75 of 88 6666 IRBA 286 286 286 148 138 ERBA / IAA SA 1250% IRBA m n о P Capital charge after cap ERBA / IAA ཛྙ 1250% q#77Scotiabank 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 15 Of which senior Of which non-senior 10 Of which securitization 11 12 13 Of which retail underlying Of which wholesale Of which re-securitization 14 Of which senior 15 Of which non-senior (in $ millions) ≤20% RW Back to Table of Contents SEC4: Securitization exposures in the banking book and associated capital requirements - bank acting as investor a с b d Exposure values (by RW bands) e f g h i Exposure values (by regulatory approach) >20% to 50% RW >50% to 100% RW >100% to <1250% RW 1250% RW IRBA ERBA / IAA SA Q2 2023 Revised Basel III 1 Total exposures (1) 938 376 680 1,946 48 607 48 48 4 2 Traditional securitization 938 376 680 1,946 48 607 48 48 4 3 Of which securitization 938 376 632 1,946 607 48 - 4 Of which retail underlying 938 376 352 1,666 454 36 5 Of which wholesale 280 280 - 153 12 - 6 Of which re-securitization 48 48 48 7 Of which senior 48 48 48 4 4 8 Of which non-senior 9 Synthetic securitization 1 Total exposures Q1 2023 Basel III (1) 2,301 339 797 69 3,460 46 2 Traditional securitization 2,301 339 797 69 3,460 449 896 46 71 4 46 896 46 71 4 3 Of which securitization 2,301 339 751 69 3,460 896 71 - 4 Of which retail underlying 2,301 339 467 69 3,176 754 60 5 Of which wholesale 284 284 - 142 11 - 6 Of which re-securitization 46 46 46 - 7 Of which senior 46 46 46 4 4 8 Of which non-senior 9 Synthetic securitization Supplementary Regulatory Capital Disclosure Page 76 of 88 1250% IRBA ERBA / IAA j k | RWA (by regulatory approach) SA 1250% IRBA E ERBA / IAA n ° p Capital charge after cap q SA 1250%#78Scotiabank 10 Of which securitization 11 12 Of which retail underlying Of which wholesale 13 Of which re-securitization 14 Of which senior 15 Of which non-senior (in $ millions). ≤20% RW Back to Table of Contents SEC4: Securitization exposures in the banking book and associated capital requirements - bank acting as investor a с b d Exposure values (by RW bands) e f g h i Exposure values (by regulatory approach) >20% to 50% RW >50% to 100% RW >100% to <1250% RW Q4 2022 Basel III 1 Total exposures (¹) 2,972 21 1,142 69 29 2 Traditional securitization 2,972 21 1,142 69 29 3 Of which securitization 2,972 21 1,093 69 4 Of which retail underlying 2,080 21 818 69 5 Of which wholesale 892 275 2222 3,469 3,469 29 3,469 2,988 29 481 6 Of which re-securitization 7 Of which senior 49 49 ༄ ༄ ཤྩ ་ ཤྩ ༄ 715 49 8 Of which non-senior 9 Synthetic securitization (1) Includes banking book investments in asset backed securities (ABS), collateralized loan obligations (CLOS), collateralized debt obligations (CDOS). 1250% RW IRBA ERBA / IAA SA 1250% IRBA ERBA / IAA 10 Of which securitization 11 12 13 Of which retail underlying Of which wholesale Of which re-securitization 14 Of which senior 15 Of which non-senior Q3 2022 Basel III 1 Total exposures (1) 2,496 32 1,314 69 2 Traditional securitization 2,496 32 1,314 69 3 Of which securitization 2,496 32 1,268 69 4 Of which retail underlying 2,119 32 765 69 5 Of which wholesale 377 503 AAA 2 17 3,498 430 1,017 262 17 3,498 430 1,017 262 17 3,498 384 1,017 216 2,985 748 17 513 384 269 216 2222 82 21 82 21 82 17 60 - 22 17 6 Of which re-securitization 46 46 46 7 Of which senior 46 46 46 4 4 8 Of which non-senior 9 Synthetic securitization Supplementary Regulatory Capital Disclosure Page 77 of 88 j k | RWA (by regulatory approach) SA 1250% 764 958 409 764 958 409 715 958 360 76 76 76 777 62 181 360 49 - 14 49 IRBA E n ° p Capital charge after cap q ERBA / IAA 332244 SA 1250%#79Back to Table of Contents. Flow Statement for Regulatory Capital (in $ millions) Q2 2023 Revised Basel III Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III Q2 2022 Basel III Common Equity Tier 1 (CET1) capital Opening amount Net income attributable to equity holders of the Bank Dividends paid to equity holders of the Bank Shares issued Shares repurchased/redeemed 54,138 2,133 53,081 51,639 51,547 52,150 1,732 2,055 2,540 2,669 (1,331) (1,329) (1,333) (1,265) (1,269) 428 25 5 7 590 (128) (409) (1,250) Removal of own credit spread (net of tax) (1,203) 893 (307) (448) (646) ECL transitional adjustment (75) 27 (6) (34) Movements in other comprehensive income (OCI), excluding cash flow hedges Currency translation differences 1,833 (12) 1,451 (601) 640 633 523 2,218 (753) (264) Debt and equity investments fair valued through OCI Employee Benefits 162 415 (636) (148) (473) (163) (133) (24) (135) 778 Other 1,201 (817) (107) 435 599 Goodwill and other intangible assets (deduction, net of related tax liability) Other, including regulatory adjustments and transitional arrangements (163) (254) (384) 178 (18) (315) 77 56 96 (1,285) Deferred tax assets that rely on future probability 1 (44) (18) 7 107 Threshold deductions Other Closing Amount Other Additional Tier 1 capital Opening amount Capital issuances (316) 121 Z 74 55,520 54,138 53,081 89 (1,392) 51,639 51,547 8,179 8,181 7,162 5,654 5,761 1,023 1,500 Redeemed capital (Qualifying and Non-Qualifying) Phase out of non-qualifying capital Other, capital including regulatory adjustments and transitional arrangements (NVCC) (11) (2) (4) 8 (107) Closing Amount 8,168 8,179 8,181 7,162 5,654 Total Tier 1 capital 63,688 62,317 61,262 58,801 57,201 Tier 2 capital Opening amount 9,550 9,448 9,285 9,427 7,616 Capital issuances 337 3,356 Redeemed capital (Qualifying and Non-Qualifying) (1) (24) (2) (1,251) Phase out of non-qualifying capital Amortization adjustments (30) (293) (37) 1 (5) Other, including regulatory adjustments and transitional adjustments (NVCC) (10) 58 224 (141) (289) Closing Amount 9,509 9,550 9,448 9,285 9,427 Total regulatory capital 73,197 71,867 70,710 68,086 66,628 Scotiabank Supplementary Regulatory Capital Disclosure Page 78 of 88#80Back to Table of Contents Risk-Weighted Assets and Capital Ratios (in $ billions) RISK-WEIGHTED ASSETS: On-Balance Sheet Assets Cash Resources Securities Residential Mortgages Loans - Retail Loans - Non-Personal Loans All Other (1) Off-Balance Sheet Assets Indirect Credit Instruments Derivative Instruments Q2 2023 Q1 2023 Revised Basel III Basel III Q4 2022 Basel III Q3 2022 Basel III Q2 2022 Basel III 2.7 2.2 2.7 2.6 3.1 18.3 12.4 13.0 12.6 12.2 46.5 50.4 48.3 47.5 46.8 70.2 69.7 67.0 65.2 58.8 133.4 144.9 144.0 137.6 143.6 33.7 37.2 33.4 34.9 33.6 304.8 316.8 308.4 300.4 298.1 64.8 67.0 66.4 66.4 62.6 11.7 12.2 12.8 13.0 13.2 76.5 79.2 79.2 79.4 75.8 Total Credit Risk before AIRB scaling factor 381.3 396.0 387.6 379.8 373.9 AIRB Scaling factor (2) 14.1 13.8 13.6 13.2 Total Credit Risk after AIRB scaling factor 381.3 410.1 401.4 393.4 387.1 Market Risk Risk Assets Equivalent 13.5 11.0 10.8 9.1 8.2 Operational Risk - Risk Assets Equivalent 48.1 50.4 50.2 50.3 50.0 (3) Regulatory Capital Floor Adjustment to RWA 8.2 (3) Risk-Weighted Assets 451.1 471.5 462.4 452.8 445.3 REGULATORY CAPITAL RATIOS (%): Common Equity Tier 1 12.3 11.5 11.5 11.4 11.6 Tier 1 Total 14.1 16.2 13.2 13.2 13.0 12.8 15.2 15.3 15.0 15.0 (1) For purposes of this presentation only, Risk-weighted Assets (RWA) are shown by balance sheet categories. Details by Basel III exposure type are shown on tab EAD_RWA (page 5), "Exposure at Default and Risk-Weighted Assets for Credit Risk Portfolios". (2) Effective Q2, 2023, under Revised Basel III the additional 6% scaling factor to AIRB credit risk portfolios is no longer required. (3) The Bank is subject to capital floor requirements as prescribed in OSFI's CAR Guidelines. Total RWA is increased by a floor adjustment amount, which is calculated based on the Standardized methodologies. Scotiabank Supplementary Regulatory Capital Disclosure Page 79 of 88#81Back to Table of Contents Movement of Risk-Weighted Assets by Risk Type Credit Risk RWA (in $ millions) Credit risk-weighted assets as at beginning of Quarter Book size (1) Book quality (2) (3) Model updates (4) Methodology and policy' Acquisitions and disposals. Foreign exchange movements Other Credit risk-weighted assets as at end of Quarter Of which Counterparty Credit Risk Q2 2023 Q1 2023 Basel III Revised Basel III Of which Credit Risk Credit Risk Counterparty Credit Risk 410,067 20,157 401,434 (4,576) (2,745) 6,686 393 (47) (673) (29,372) (677) 20,217 241 (14) 4,812 337 2,620 (287) 381,324 17,025 410,067 20,157 (1) Book size is defined as organic changes in book size and composition (including new business and maturing loans). (2) Changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration, parameter recalibration, or similar effects. (3) Model updates are defined as model implementation, change in model scope or any change to address model enhancement. (4) Methodology and policy is defined as methodology changes to the calculations driven by regulatory policy changes, such as new regulation (Revised Basel III), including regulatory interpretation. Market Risk RWA (in $ millions) Market risk-weighted assets as at beginning of Quarter (1) Movement in risk levels Model updates (2) Methodology and policy (3) Acquisitions and disposals Other Q2 2023 Basel III 11,018 2,425 Q1 2023 Basel III 10,820 198 Market risk-weighted assets as at end of Quarter 13,443 11,018 (1) Movement in risk levels is defined as changes in risk due to position changes and market movements. Foreign exchange movements are embedded within Movement in risk levels. (2) Model updates are defined as updates to the model to reflect recent experience and change in model scope. (3) Methodology and policy is defined as methodology changes to the calculations driven by regulatory policy changes (e.g. Basel III). Operational Risk RWA (in $ millions) Operational risk-weighted assets as at beginning of Quarter Acquisitions and disposals Higher Revenue (1) Methodology and policy Operational risk-weighted assets as at end of Quarter Q2 2023 Revised Basel III Q1 2023 Basel III (1) Methodology and policy is defined as methodology changes to the calculations driven by regulatory policy changes, such as new regulation (Revised Basel III), including regulatory interpretation. Scotiabank Supplementary Regulatory Capital Disclosure 50,443 50,194 (18) 249 (2,363) 48,062 50,443 Page 80 of 88#82Back to Table of Contents Risk-weighted Assets Arising from the Activities of the Bank's Businesses (in $ billions) Risk-weighted Assets (RWA) RWA Proportion of Bank Comprised of: Credit risk Market risk Operational risk Other (1) Q2 2023 Revised Basel III Canadian Banking International Banking Global Banking & Markets Global Wealth Management Other $143.5 $154.9 $108.1 $21.2 32% 34% 24% 5% $23.4 5% All Bank $451.1 100% 89% 88% 73% 71% 84% 84% -% 2% 9% -% 5% 3% 11% 9% 10% 29% 12% 11% 0% 1% 8% 0% -1% 2% (in $ billions) Q1 2023 Basel III International Global Banking & Risk-weighted Assets (RWA) Canadian Banking Banking Markets Global Wealth Management Other RWA $152.6 $163.2 $119.8 $21.1 Proportion of Bank 32% 35% 25% 4% Comprised of: Credit risk Market risk Operational risk (1) Includes Basel III capital floor adjustments $14.8 4% All Bank $471.5 100% 89% 90% 84% 64% 98% 87% -% 1% 7% -% 6% 2% 11% 9% 9% 36% -4% 11% Scotiabank Supplementary Regulatory Capital Disclosure Page 81 of 88#83Back to Table of Contents Credit Risk Exposures by Geography (1)(2) Exposure at Default (in $ millions) Q2 2023 Revised Basel III Q1 2023 Basel III Non-Retail Non-Retail Retail Total Retail Total Drawn Undrawn Other (3) Drawn Undrawn Other (3) Canada 236,676 50,175 34,619 427,385 748,855 162,871 60,533 39,434 452,538 715,376 USA 139,370 37,369 41,413 218,152 156,295 50,133 53,830 260,258 Chile Mexico Peru 31,667 2,196 5,100 33,652 72,615 29,190 1,654 5,587 32,402 68,833 33,977 2,595 2,931 18,302 57,805 33,733 1,945 3,263 16,395 55,336 17,228 1,283 3,364 11,114 32,989 17,796 1,250 3,333 10,163 32,542 Colombia Other International 7,479 449 957 6,407 15,292 7,157 407 944 5,600 14,108 Europe 22,083 6,120 18,215 46,418 19,980 7,474 16,860 44,314 Caribbean 16,610 1,595 1,154 13,396 32,755 16,368 1,467 1,208 12,560 31,603 Latin America (other) 17,202 1,463 2,148 1,066 21,879 16,791 1,504 1,976 896 21,167 All Other 23,932 3,432 5,001 32,365 22,211 5,817 5,548 19 33,595 Total 546,224 106,677 114,902 511,322 1,279,125 482,392 132,184 131,983 530,573 1,277,132 Q4 2022 Q3 2022 Q2 2022 Q1 2022 Q4 2021 (in $ millions) Basel III Basel III Basel III Basel III Basel III Canada 710,049 698,524 675,522 659,312 639,748 USA 247,672 225,869 226,266 219,938 194,424 Chile 60,528 57,674 57,094 58,183 54,777 Mexico 50,793 46,176 42,808 40,294 38,422 Peru 32,176 31,559 30,575 29,278 28,152 Colombia Other International Europe 13,291 13,840 14,722 13,908 14,446 Caribbean Latin America (other) All Other Total 46,156 44,735 48,482 47,448 47,179 32,057 30,016 28,868 28,194 27,673 20,890 18,317 17,761 15,710 14,080 34,088 35,595 35,201 35,367 35,104 1,247,700 1,202,305 1,177,299 1,147,632 1,094,005 (1) IRB Exposure at default is after credit risk mitigation. Standardized Exposure at default is after related IFRS 9 (Stage 3) allowances for credit losses, and also includes the collateral impact under the Comprehensive Approach. This excludes equity investment securities and other assets. (2) Geographic segmentation is based upon the location of the ultimate risk of the credit exposure. (3) Includes off-balance sheet lending instruments such as letters of credit and letters of guarantee, OTC derivatives, securitization and repo-style transactions net of related collateral. Scotiabank Supplementary Regulatory Capital Disclosure Page 82 of 88#84Back to Table of Contents IRB Credit Risk Exposures by Maturity Exposure at Default (1)(2) (in $ millions) Non-Retail Less than 1 year 1 to 5 years Drawn Q2 2023 Revised Basel III Undrawn (3) Other Total Drawn Q1 2023 Basel III Undrawn (3) Other Total 193,195 33,188 75,124 301,507 208,990 39,822 85,858 334,670 181,000 63,472 27,957 272,429 178,244 86,709 30,838 295,791 Over 5 Years 37,547 2,797 5,637 45,981 33,001 2,504 6,736 42,241 Total Non-Retail 411,742 99,457 108,718 619,917 420,235 129,035 123,432 672,702 Retail Less than 1 year 32,518 54,397 1 to 5 years 263,277 Over 5 Years 16,700 Revolving Credits (4) 40,307 41,886 Total Retail 352,802 96,283 Total 764,544 195,740 108,718 86,915 30,580 27,312 263,277 267,355 16,700 16,629 82,193 40,780 31,018 449,085 355,344 58,330 1,069,002 775,579 187,365 123,432 Q4 2022 (in $ millions) Basel III Q3 2022 Basel III Q2 2022 Basel III Q1 2022 Basel III Non-Retail Less than 1 year 315,321 295,682 296,301 315,086 1 to 5 years 291,225 282,025 269,793 241,767 Over 5 Years 45,636 40,836 36,474 26,690 Total Non-Retail 652,182 618,543 602,568 583,543 Retail Less than 1 year 56,047 53,310 48,374 49,899 1 to 5 years 267,711 267,101 264,220 256,766 Over 5 Years 16,917 16,720 16,529 16,631 Revolving Credits (4) 71,063 69,449 67,863 66,224 Total Retail 411,738 406,580 396,986 389,520 Total 1,063,920 (1) Before credit risk mitigation, excluding equity investment securities and other assets. (2) Remaining term to maturity of the credit exposure. 1,025,123 999,554 973,063 (3) Off-balance sheet lending instruments such as letters of credit and letters of guarantee, securitization, derivatives and repo-style transactions net of related collateral. (4) Credit cards and lines of credit with unspecified maturity. Scotiabank 57,892 267,355 16,629 71,798 413,674 1,086,376 Supplementary Regulatory Capital Disclosure Page 83 of 88#85Back to Table of Contents AIRB Credit Losses Exposure Type Rate Q2 2023 Revised Basel III Actual Loss Expected Loss Rate Q1 2023 Basel III Q4 2022 Basel III Q3 2022 Basel III Actual Loss Rate Expected Loss Rate Actual Loss Rate Expected Loss Rate Actual Loss Rate Expected Loss Rate % % % % % % % % Non-Retail (1)(3) Corporate (4) Sovereign Bank (2)(3) Retail Real Estate Secured QRRE Other Retail 0.02 0.33 0.04 0.36 0.03 0.37 0.04 0.34 0.02 0.41 0.05 0.37 0.01 0.44 0.05 0.46 Q2 2022 Basel III Expected Loss Rate Actual Loss Rate % % 0.03 0.50 0.06 0.42 0.09 0.08 0.01 0.08 0.08 0.08 1.57 0.33 2.82 1.41 2.14 2.98 2.03 2.86 1.92 2.89 1.79 3.03 0.33 1.44 0.33 1.36 0.34 1.38 0.39 1.38 (1) Non-retail actual loss rates represent the credit losses net of recoveries for the current and prior three quarters divided by the 5-point average of outstanding loan balances for the same four-quarter period beginning 12 months ago. Expected loss rates represent the expected losses that were predicted at the beginning of the four-quarter period divided by outstanding loan balances at the beginning of the four-quarter period. (2) Retail actual loss rates represent write-offs net of recoveries for the current and prior three quarters divided by the 5-point average of outstanding loan balances for the same four-quarter period beginning 12 months ago. Expected loss rates represent the expected losses that were predicted at the beginning of the four-quarter period divided by outstanding loan balances at the beginning of the four-quarter period. (3) Expected losses are calculated using "through the business cycle" Basel risk parameters (PD, LGD, and EAD) on AIRB portfolio, which are estimated to include a long term time horizon. Actual losses are a "point in time" representation and reflect the current economic conditions. During an economic downturn PCL on impaired loans may exceed expected losses, and may fall below expected losses during times of economic growth. (4) Actual Loss Rate for Corporate class in Q3, 2022, represents high recoveries made during the quarter. Scotiabank Supplementary Regulatory Capital Disclosure Page 84 of 88#86Back to Table of Contents Estimated and Actual Loss Parameters - Non-Retail and Retail AIRB Portfolios (1) Non-Retail Exposure Type Q2 2023 Revised Basel III Q1 2023 Basel III Average estimated PD % Actual default rate % Average estimated LGD % Actual LGD % Average estimated CCF (2) % Actual CCF (2) % Average estimated PD % Actual default rate % Average estimated LGD % Average Actual LGD % estimated CCF (2) Actual CCF (2) % % 0.52 0.19 39.46 22.08 49.52 19.94 0.56 0.18 39.43 33.77 49.26 18.97 (1) Reporting is on a one quarter lag basis. For reporting as of Q2/23, estimated parameters are based on portfolio count-weighted averages at Q1/22 whereas actual parameters are based on count-weighted averages of realized parameters during the subsequent four quarters (Q2/22 - Q1/23). (2) EAD back-testing is performed through Credit Conversion Factor (CCF) back-testing, as EAD is computed using the sum of the drawn exposure and undrawn exposure multiplied by the estimated CCF. Four-quarter period ending Q2 2023 Revised Basel III (in $ millions) (1) Average estimated PD (2)(7) Actual default rate (2)(5) % % Average estimated LGD (3)(7) % Estimated Residential real estate secured Actual LGD (3)(6) % EAD(4)(7) $ Actual EAD (4)(5) $ Average estimated PD(2)(7) % Actual default rate (2)(5) % Four-quarter period ending Q1 2023 Basel III Average estimated LGD (3)(7) % Estimated Actual LGD (3)(6) % EAD (4)(7) $ Actual EAD (4)(5) $ Residential mortgages Insured mortgages (8) 0.46 0.33 0.44 0.31 Uninsured mortgages 0.36 0.17 17.30 12.02 0.35 0.17 17.28 21.88 Secured lines of credit 0.20 0.12 27.46 19.18 52 48 0.20 0.11 26.82 19.19 48 Qualifying revolving retail exposures 1.49 0.89 84.80 74.49 Other retail 1.58 0.88 64.19 54.13 444 6 386 1.52 0.88 83.81 74.62 410 44 360 6 1.49 0.85 62.41 56.41 ° 8 8 (1) Estimates and Actual Values are recalculated to align with new models implemented during the period. (2) Account weighted aggregation. (3) Default weighted aggregation. (4) EAD is estimated for revolving products only. (5) Actual based on accounts not at default as at four quarters prior to reporting date. (6) Actual LGD calculated based on 24-month recovery period after default and therefore excludes any recoveries received after the 24-month period. (7) Estimates are based on the four quarters prior to the reporting date. (8) Actual and Estimated LGD for insured mortgages are not shown. Actual LGD includes the insurance benefit, whereas estimated LGD may not. Scotiabank Supplementary Regulatory Capital Disclosure Page 85 of 88#87Back to Table of Contents Derivatives - Counterparty Credit Risk (1) (in $ millions) Q2 2023 Revised Basel III Q1 2023 Basel III Q4 2022 Basel III Contract Types Notional Amount Credit Risk Amount Credit Risk Equivalent Amount Risk-weighted Assets (2) Notional Amount Credit Risk Amount Credit Risk Equivalent Amount Risk-weighted Notional Assets (2) Amount Credit Risk Amount Credit Risk Equivalent Amount Risk-weighted Assets (2) Notional Amount Credit Risk Amount Interest Rate Contracts: Futures and Forward Rate Agreements Swaps Options Purchased Options Written Total Q3 2022 Basel III Credit Risk Equivalent Amount Risk-weighted Assets (2) 628,797 164 114 47 489,491 215 5,883,321 4,846 9,071 967 5,864,829 4,868 140 7,345 72 338,279 311 103 773 5,714,698 4,331 7,655 55 589 327,045 113 78 5,486,990 4,670 5,844 38 760 41,260 214 103 35 37,165 159 95 31 39,321 183 179 50 37,276 118 106 30 49,866 8 2 44,533 12 2 44,567 7 1 42,200 14 3 6,603,244 5,224 9,296 1,051 6,436,018 5,242 7,592 878 6,136,865 4,825 7,944 695 5,893,511 4,901 6,042 831 Foreign Exchange Contracts: Futures and Forwards 547,110 1,098 5,161 1,051 530,097 1,266 5,253 1,369 502,593 1,784 6,087 1,430 493,215 980 5,199 1,374 Swaps 762,723 1,351 8,611 2,059 731,669 1,636 10,557 2.413 696,549 2,147 10,338 2,281 674,852 1,017 9,519 2,180 Options Purchased 28,755 419 399 95 29,289 409 430 158 25,783 472 638 172 19,270 272 277 85 Options Written 32,840 - 14 5 33,215 29 8 26,716 16 3 20,448 15 3 Total 1,371,428 2.868 14,185 3,210 1,324,270 3,311 16,269 3,948 1,251,641 4.403 17,079 3,886 1,207,785 2,269 15,010 3,642 Other Derivatives Contracts: Equity 122,493 1,050 7,662 1,260 112,962 842 7,535 1,123 119,962 636 6,534 968 123.592 1,167 7,659 1,179 Credit 27,685 203 207 61 28,868 196 236 83 27,034 271 415 136 24,560 439 687 253 Other 57,207 1,428 7,551 472 58,957 2,788 6,412 424 62,788. 2,636. 9,057 649 65,163 5,144 12,045 1,268 Total 207,385 2,681 15,420 1,793 200,787 3,826 14,183 1,630 209,784 3,543 16,006 1,753 213,315 6,750 20,391 2,700 Credit Valuation Adjustment Total Derivatives after Netting and Collateral 8,182,057 10,773 38,901 5,658 11,712 7,961,075 12,379 38,044 (1) The impact of Master Netting Agreements and Collateral has been incorporated within the various contracts. As a result, risk-weighted assets are reported net of impact of collateral and master netting arrangements. (2) Includes derivative exposures cleared through CCPs. Excludes risk-weighted assets for default fund contributions to a CCP. Scotiabank 5,844 6,422 5,743 12,199 7,598,290 12,771 41,029 12,756 7,314,611 13,920 41,443 13,017 Supplementary Regulatory Capital Disclosure Page 86 of 88#88Back to Table of Contents Total Market Risk-Weighted Assets (in $ millions) Q2 2023 Basel III Q1 2023 Q4 2022 Q3 2022 Q2 2022 Basel III Basel III Basel III Basel III All Bank VaR 2,082 1,796 1,634 1,854 1,400 All Bank stressed VaR 6,527 5,562 4,055 3,309 3,156 Incremental risk charge 3,677 2,748 4,305 3,191 2,746 Standardized approach 1,157 912 826 754 879 Market risk-weighted assets as at end of Quarter 13,443 11,018 10,820 9,108 8,181 Scotiabank Supplementary Regulatory Capital Disclosure Page 87 of 88#89Back to Table of Contents Glossary Credit Risk Parameters Exposure at Default (EAD) Probability of Default (PD) Loss Given Default (LGD) Generally represents the expected gross exposures at default and includes outstanding amounts for on-balance sheet exposures and loan equivalent amounts for off-balance sheet exposures. Measures the likelihood that a borrower will default within a 1-year time horizon, expressed as a percentage. Measures the severity of loss on a facility in the event of a borrower's default, expressed as a percentage of exposure at default. Exposure Types Non-retail Corporate Bank Sovereign Securitization Debt obligation of a corporation, partnership, or proprietorship. Debt obligation of a bank or bank equivalent (including certain public sector entities (PSES) treated as Bank equivalent exposures). Debt obligation of a sovereign, central bank, certain Multilateral Development Banks (MDBs) and certain PSEs treated as Sovereign. On-balance sheet investments in asset backed securities (ABS), mortgage backed securities (MBS), collateralized loan obligations (CLOs) and collateralized debt obligations (CDOS). Off-balance sheet liquidity lines include credit enhancements to Bank's sponsored ABCP conduits and liquidity lines to non-bank sponsored ABCP conduits. Retail Real Estate Secured Residential Mortgages Secured Lines Of Credit Qualifying Revolving Retail Exposures (QRRE) Other Retail Exposure Sub-types Drawn Undrawn Repo-Style Transactions Over-the-counter (OTC) Derivatives Exchange-traded derivatives (ETD) Other Off-Balance Sheet Qualifying central counterparty (QCCP) Non-qualifying central counterparties (NQCCP) Loans to individuals against residential property (four units or less). Revolving personal lines of credit secured by first charge on residential real estate. Credit cards and unsecured line of credit for individuals. All other personal loans, including Small Business Enterprise treated as Other Retail under regulatory disclosure requirements. Outstanding amounts for loans, leases, acceptances, deposits with banks and available-for-sale debt securities. Unutilized portion of an authorized credit line. Reverse repurchase agreements (reverse repos) and repurchase agreements (repos), securities lending and borrowing. Over-the-counter derivatives contracts. Derivative contracts (e.g. futures contracts and options) that are transacted on an organized futures exchange. These include Futures contracts (both Long and Short positions), Purchased Options and Written Options. Direct credit substitutes such as standby letters of credits and guarantees, trade letters of credits, and performance letters of credits and guarantees. A qualifying central counterparty (QCCP) is licensed as a central counterparty and is also considered as "qualifying" when it is compliant with CPSS-IOSCO standards and is able to assist clearing member banks in properly capitalizing for CCP exposures by either undertaking the calculations and/or making available sufficient information to its clearing members, or others, to enable the completion of capital calculations. Defined as those central counterparties which are not compliant with CPSS-IOSCO standards as outlined under qualifying CCP's. The exposures to NQCCP will follow standardized treatment under the Basel accord. Other Asset Value Correlation Multiplier (AVC) Regulatory Capital Floor Specific Wrong-Way Risk (WWR) Credit Valuation Adjustment (CVA) Basel III has increased the risk-weights on exposures to certain Financial Institutions (FIs) relative to the non-financial corporate sector by introducing an Asset Value Correlation multiplier (AVC). The correlation factor in the risk-weight formula is multiplied by this AVC factor of 1.25 for all exposures to regulated Fls whose total assets are greater than or equal to US $100 billion and all exposures to unregulated Fls. Since the introduction of Basel II in 2008, OSFI has prescribed a minimum regulatory capital floor for institutions that use the advanced internal ratings-based approach for credit risk. Effective Q2 2023, the capital floor add-on is determined under the Revised Basel III Framework by comparing RWA generated for IRB and standardized portfolios to RWA calculated under a standardized approach at the required capital floor calibration. A shortfall to the capital floor RWA requirement is added to the Bank's RWA. Specific Wrong-Way Risk arises when the exposure to a particular counterparty is positively correlated with the probability of default of the counterparty due to the nature of the transactions with the counterparty. Credit Valuation Adjustment (CVA) is the difference between the risk free value of a portfolio and the true value of that portfolio, accounting for the possible default of a counterparty. CVA adjustment aims to identify the impact of Counterparty Risk. Scotiabank Supplementary Regulatory Capital Disclosure Page 88 of 88