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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
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