Investor Presentaiton
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CCR4:FIRB CCR exposures by portfolio and PD scale (1)(6)
(in $ millions)
Q2 2023 Revised Basel III
Sovereign
PD scale
a
b
C
d
e
f
g
EAD post-CRM
Average PD
(2)
Number of obligors
Average LGD
(3)
(4)
Average maturity
RWA
RWA density
(5)
0.00 to <0.15
0.15 to <0.25
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-total
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
0.00%
0.00%
0.0%
Bank
0.00 to <0.15
12,650
0.08%
281
44.90%
1.39
2,069
16.4%
0.15 to <0.25
489
0.18%
32
45.00%
2.96
155
31.8%
0.25 to <0.50
368
0.27%
34
45.00%
0.61
118
32.2%
0.50 to <0.75
0.00%
0.00%
-
0.0%
0.75 to <2.50
55
0.90%
12
2.50 to <10.00
0
2.56%
10.00 to <100.00
0.00%
211
45.00%
0.54
37
68.2%
45.00%
1.26
0
104.1%
0.00%
0.0%
100.00 (Default)
0.00%
0.00%
0.0%
Sub-total
13,562
0.09%
360
44.91%
1.42
2,379
17.6%
Corporate
0.00 to <0.15
9,564
0.09%
414
42.74%
1.04
1,374
14.4%
0.15 to <0.25
2,034
0.18%
183
40.49%
1.69
523
25.7%
0.25 to <0.50
1,081
0.29%
150
38.91%
1.51
373
34.4%
0.50 to <0.75
0.00%
0.00%
0.0%
0.75 to <2.50
485
0.99%
50
38.85%
1.26
305
63.0%
2.50 to <10.00
14.
4.06%
%
8
32.22%
1.76
12
84.6%
10.00 to <100.00
0.00%
0.00%
0.0%
100.00 (Default)
0
0.00%
0.00%
0
0.0%
Sub-total
Total
(1) Represents FIRB exposures for Derivatives and SFT.
13,178
26,740
0.16%
805
41.92%
1.19
2,587
19.6%
0.12%
1,165
43.44%
1.30
4,966
18.6%
(2) Post-CRM PD weighted by post-CRM EAD.
(3) Post-CRM LGD weighted by post-CRM EAD.
(4) Effective remaining maturity in years.
(5) RWA density is calculated as Risk-weighted Assets (column f) divided by EAD post-CRM (column a).
(6) The bank adopted FIRB in Q2, 2023 and no comparitive numbers are available.
Scotiabank
Supplementary Regulatory Capital Disclosure
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