Investor Presentaiton
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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
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