Investor Presentaiton
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CR6: AIRB - Credit risk exposures by portfolio and PD range - Retail
a
b
d
(in $ millions)
PD scale
Original on-
balance
sheet gross
exposures
Off-
balance
sheet
exposures
pre-CCF
f
h
i
j
k
g
Average
CCF
post-CCF
EAD post-
CRM and
(1)
Average
(2)
PD
Number of
(3)
obligors
Average
Average
LGD (4)
maturity
(5)
RWA (1)
RWA
(6)
EL (1)
Provisions
(7)
density
Q4 2022 Basel III
Retail insured exposures
secured by residential real
estate
0.00 to <0.15
30,645
0%
74,591
0.00%
191,360
21.85%
293
0.4%
0.15 to <0.25
27,725
0%
1,788
0.18%
116,040
22.96%
164
9.2%
1
0.25 to <0.50
525
0%
0.00%
3,056
0.00%
0.0%
0.50 to <0.75
14,413
0%
307
0.67%
53,612
16.66%
52
16.9%
0.75 to <2.50
2,348
0%
1.95%
8,743
11.53%
2
25.0%
2.50 to <10.00
381
0%
0.00%
1,855
0.00%
0.0%
10.00 to <100.00
449
0%
0.00%
2,134
0.00%
0.0%
100.00 (Default)
208
0%
100.00%
1,132
105.00%
0.0%
Sub-total
76,694
0%
76,694
0.01%
377,932
21.86%
511
0.7%
1
16
Retail uninsured
exposures secured by
residential real estate
0.00 to <0.15
82,494
60,320
37%
104,556
0.15 to <0.25
82,142
0%
82,142
0.06%
0.18%
891,738
18.58%
3,393
3.2%
13
237,894
19.52%
6,425
7.8%
30
0.25 to <0.50
1,126
0%
1,126
0.44%
3,492
40.99%
350
31.1%
2
0.50 to <0.75
50,913
587
57%
51,247
0.68%
163,135
21.77%
11,381
22.2%
76
0.75 to <2.50
9,561
0%
9,561
1.95%
24,952
21.69%
4,215
44.1%
40
2.50 to <10.00
1,123
41
85%
1,158
4.87%
8,928
24.25%
936
80.8%
13
10.00 to <100.00
707
4
103%
711
23.14%
3,707
18.72%
728
102.4%
30
100.00 (Default)
198
0%
198
Sub-total
228,264
60,952
37%
250,699
100.00%
0.47%
27,342
54.76%
847
427.8%
55
1,361,188
19.82%
28,275
11.3%
259
147
Scotiabank
Supplementary Regulatory Capital Disclosure
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