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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 88View entire presentation