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Investor Presentaiton

Back to Table of Contents 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 Page 46 of 88
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