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CCR7: RWA flow statements of CCR exposures under Internal Model Method (IMM)
(in $ millions) (1)
1
RWA as at end of previous reporting period
(2)
2
Asset size
3
Asset quality
(3)
4
Model updates
(4)
5
Methodology and policy (5)
6
Acquisitions and disposals
(6)
7
8
Foreign exchange movements
Other (8)
(7)
9
RWA as at end of current reporting period
(1) Includes exposures under IMM cleared through a CCP.
a
a₂
Q2 2023
Q1 2023
Revised Basel III
Basel III
5,670
5,799
(511)
8
(17)
(12)
(103)
a3
Q4 2022
a4
Q3 2022
Basel III
Basel III
6,495
5,631
(1,589)
65
(223)
(105)
729
947
97
(125)
387
(43)
5,136
5,670
5,799
6,495
(2) Organic changes in book size and composition (including origination of new businesses) excluding acquisitions and disposal of entities.
(3) Changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration, parameter recalibrations, or similar effects.
(4) Changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses.
(5) Changes due to methodological changes in calculations driven by changes in regulatory policy and/or regulatory oversight including interpretation.
(6) Changes in book size from acquisitions and/or divestitures.
(7) Changes driven by market movements such as foreign exchange movements.
(8) This category captures changes that cannot be attributed to any other category.
Scotiabank
Supplementary Regulatory Capital Disclosure
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