Investor Presentaiton
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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
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