Investor Presentaiton
Back to Table of Contents
CCR4: AIRB - CCR exposures by portfolio and PD scale
(in $ millions)
PD scale
(1)
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)
Q4 2022 Basel III
Sovereign
0.00 to <0.15
8,914
0.04%
88
17.10%
2.54
259
2.9%
0.15 to <0.25
105
0.18%
2
16.48%
0.16
11
10.3%
0.25 to <0.50
145
0.25%
1
25.00%
0.12
22
15.5%
0.50 to <0.75
0.00%
-
0.00%
-
0.0%
0.75 to <2.50
6
0.90%
1
25.00%
1.00
2
41.1%
2.50 to <10.00
0.00%
0.00%
0.0%
10.00 to <100.00
0.00%
0.00%
0.0%
100.00 (Default)
0.00%
0.00%
0.0%
Sub-total
9,170
0.04%
92
17.22%
2.47
294
3.2%
Bank
0.00 to <0.15
12,701
0.07%
216
31.43%
1.25
1,501
11.8%
0.15 to <0.25
490
0.18%
24
31.28%
0.89
107
21.9%
0.25 to <0.50
262
0.29%
22
34.96%
2.26
92
35.1%
0.50 to <0.75
0.00%
-
0.00%
-
0.0%
0.75 to <2.50
41
0.90%
2.50 to <10.00
2.56%
21
30.00%
1.13
25
61.8%
40.00%
1.54
98.1%
10.00 to <100.00
0.00%
0.00%
0.0%
100.00 (Default)
0.00%
0.00%
0.0%
Sub-total
13,494
0.08%
265
31.49%
1.26
1,725
12.8%
Corporate
0.00 to <0.15
38,089
0.08%
4,189
44.56%
0.53
5,429
14.3%
0.15 to <0.25
3,514
0.18%
468
46.71%
1.35
1,141
32.5%
0.25 to <0.50
2,275
0.28%
622
42.55%
1.08
827
36.4%
0.50 to <0.75
0.00%
0.00%
0.0%
0.75 to <2.50
2,043
0.95%
284
43.26%
0.70
1,460
71.5%
2.50 to <10.00
55
2.79%
22
30.06%
1.19
42
75.7%
10.00 to <100.00
22
33.33%
2
57.00%
3.61
69
316.5%
100.00 (Default)
100.00%
1
57.00%
5.00
0.0%
Sub-total
45,998
0.16%
5,588
44.56%
0.63
8,968
19.5%
Total
(1) Represents AIRB exposures for Derivatives and SFT.
68,662
0.13%
5,945
38.34%
1.00
10,987
16.0%
(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).
Scotiabank
Supplementary Regulatory Capital Disclosure
Page 64 of 88View entire presentation