Investor Presentaiton
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CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail
a
b
C
d
(in $ millions)
PD scale
Original on-
balance
sheet gross
exposures
Off-
balance
sheet
exposures
pre-CCF
f
g
h
i
j
k
I
Average
CCF
EAD post-
CRM and
(1)
post-CCF
Average
Number of Average
Average
PD (2)
obligors
(3)
LGD (4)
maturity
(5)
RWA (1)
RWA
density
(6)
EL (1)
Provisions
(7)
Retail-qualifying
revolving (QRRE)
0.00 to <0.15
889
20,960
0.15 to <0.25
1,383
16,657
0.25 to <0.50
3,352
5,652
57%
58%
67%
12,865
11,085
7,146
0.50 to <0.75
180
219
104%
408
0.75 to <2.50
5,873
6,053
68%
9,986
2.50 to <10.00
3,606
618
90%
4,160
0.05% 904,902
0.17% 1,997,322
0.33%
0.61%
1.27%
5.39%
80.64%
340
2.6%
5
69.29%
774
7.0%
13
378,988
88.06%
1,063
14.9%
21
12,637
66.41%
75
18.4%
2
1,160,260
83.56%
4,071
40.8%
110
585,979
86.78%
4,767
114.6%
197
10.00 to <100.00
625
21
244%
675
28.84%
119,365
81.79%
1,487
220.3%
159
100.00 (Default)
110
0%
Sub-total
16,018
50,180
61%
110
46,435
100.00%
1.52%
786,127
86.70%
581
528.2%
51
5,945,580
80.16%
13,158
28.3%
558
683
Other Retail Exposures
0.00 to <0.15
0.15 to <0.25
5,475
1,215
60%
6,207
1
6
57%
4
0.25 to <0.50
7,285
316
77%
7,527
0.50 to <0.75
1,404
3,088
103%
4,584
0.09%
0.17%
0.32%
0.61%
286,015
60.00%
858
13.8%
3
36
75.19%
1
25.0%
285,279
61.90%
2,700
35.9%
15
15,412
66.41%
2,593
56.6%
19
0.75 to <2.50
15,138
60
89%
15,192
1.18%
458,622
64.88%
11,140
73.3%
118
2.50 to <10.00
3,334
1
98%
3,335
4.83%
100,353
66.72%
3,474
104.2%
107
10.00 to <100.00
898
1
146%
100.00 (Default)
Sub-total
161
Total
33,696
354,672
4,687
115,819
0%
90%
49%
900
161
37,910
411,738
28.13%
29,471
62.17%
1,395
155.0%
158
100.00%
2.14%
0.65% 8,874,236
14,348
83.98%
824
511.8%
115
1,189,536
63.85%
22,985
60.6%
535
373
31.06%
64,929
15.8%
1,353
1,219
(1) Excludes the retail residential mortgage exposures insured by CMHC, Sagen and Canada Guaranty Insurance, which are included in Non-Retail.
(2) Post-CRM PD weighted by post-CRM EAD.
(3) Number of obligors represents the number of retail accounts.
(4) Post-CRM LGD weighted by post-CRM EAD.
(5) Average maturity is not used in RWA calculation for retail exposures.
(6) RWA density is calculated as Risk-weighted Assets (column i) divided by EAD post-CRM and post-CCF (column d).
(7) Includes all three ECL stages under IFRS 9.
Scotiabank
Supplementary Regulatory Capital Disclosure
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