Investor Presentaiton
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CR6: AIRB - Credit risk exposures by portfolio and PD range - Non-Retail
a
(in $ millions)
PD scale
Original on-
balance
sheet gross
b
Off-
balance
sheet
exposures
C
d
e
f
g
h
j
k
I
Average
CCF
EAD post-
CRM and
post-CCF
Average
PD (2)
Number of
(3)
obligors
Average
LGD (4)
Average
maturity
(6)
(5)
RWA
RWA
density
(8)
EL
(7)
Provisions
exposures
pre-CCF
Corporate -
Other
0.00 to <0.15
21,812
19,300
43%
30,049
0.10%
1,362
38.96%
0.15 to <0.25
24,802
17,466
44%
32,708
0.18%
1,766
36.40%
2.11
1.79
7,151
9,292
23.8%
28.4%
0.25 to <0.50
39,602
25,360
47%
51,648
0.29%
5,317
37.91%
1.75
18,636
36.1%
225
13
22
56
0.50 to <0.75
0%
0.00%
0.00%
0.0%
-
0.75 to <2.50
17,541
9,543
47%
22,005
1.01%
2,829
38.96%
1.75
14,051
63.9%
84
2.50 to <10.00
1,625
543
46%
1,874
3.50%
326
41.07%
1.75
1,783
95.1%
25
10.00 to <100.00
384
8
87%
390
31.65%
41
35.87%
1.68
609
156.2%
43
100.00 (Default)
799
134
47%
862
Sub-total
106,565
72,354
45%
139,536
100.00%
1.09%
70
37.81%
1.53
1,592
184.7%
242
11,711
37.99%
1.83
53,114
38.1%
485
448
Corporate -
Specialized
0.00 to <0.15
1,685
2,565
42%
2,305
0.10%
72
28.71%
2.42
572
24.8%
Lending
0.15 to <0.25
3,505
3,011
44%
4,603
0.18%
167
27.53%
1.87
1,314
28.5%
0.25 to <0.50
5,385
3,580
41%
6,620
0.27%
332
32.91%
1.91
2,499
37.7%
126
0.50 to <0.75
0%
0.00%
0.00%
0.0%
0.75 to <2.50
413
276
48%
546
0.92%
53
35.69%
2.89
417
76.4%
2
2.50 to <10.00
45
0%
45
3.75%
6
36.05%
1.99
42
93.3%
1
10.00 to <100.00
47%
17.02%
3
3.00%
1.00
0.0%
100.00 (Default)
89
23
100%
Sub-total
11,122
9,455
Total
273,619
87,788
42%
45%
112
14,231
372,129
100.00%
1.03%
0.56%
1
42.29%
1.29
209
186.6%
30
634
12,841
30.68%
2.01
5,053
35.5%
42
42
23.35%
2.08
63,049
16.9%
599
497
Scotiabank
Supplementary Regulatory Capital Disclosure
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