Investor Presentaiton
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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
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