Investor Presentaiton
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Exposure at Default and Risk-Weighted Assets for Credit Risk Portfolios
(in $ millions)
Q2 2023 Revised Basel III
Exposure Type
Drawn
Undrawn
Exposure At Default (Post CRM)
CCR
(4)
Others
(1)
Total
% IRB
Drawn
Undrawn
Risk-Weighted Assets
CCR
(2)
(4)
Others
Total
% IRB
IRB Exposures
Sovereign, PSES and MDBS
216,190
2,801
4,025
768
Bank, and Financial Institutions
16,321
11,801
5,831
7,727
223,784
41,680
90%
4,832
288
257
40
5,417
56%
96%
4,182
5,420
1,047
2,229
12,878
93%
Corporate Large, Mid-Size, SME and others
240,108
84,855
24,928
24,427
374,318
87%
80,401
27,442
3,152
5,996
116,991
68%
Total Non Retail
472,619
99,457
34,784
32,922
639,782
89,415
33,150
4,456
8,265
135,286
Securitizations
Residential Mortgages
220,146
Secured Lines Of Credit
22,150
50,052
Qualifying Revolving Retail Exposures (QRRE)
15,592
41,886
Other Retail
34,037
4,345
Total Retail
291,925
96,283
11,906
220,146
77%
25,427
72,202
99%
3,951
2,201
57,478
75%
9,265
3,934
38,382
50%
20,887
2,026
388,208
59,530
8,161
25,427
55%
6,152
97%
13,199
53%
22,913
44%
67,691
5,215
Trading Derivatives
Total IRB
23,891
17,121
23,891
87%
2,568
96%
696
3,264
83%
4,583
4,583
83%
776,450
195,740
58,675
38,137
1,069,002
151,513
41,311
9,039
8,961
210,824
Standardized Exposures
Sovereign, PSES and MDBs
25,300
191
49
25,540
4,137
154
49
4,340
Bank, and Financial Institutions
1,793
25
114
5
1,937
917
11
46
2
976
Corporate Large, Mid-Size, SME and others
46,512
7,004
414
2,006
55,936
46,578
7,030
413
2,010
56,031
Total Non Retail
73,605
7,220
577
2,011
83,413
51,632
7,195
508
2,012
61,347
Securitizations
Trading Derivatives
Residential Mortgages
64,713
Secured Lines Of Credit
500
110
Qualifying Revolving Retail Exposures (QRRE)
11,724
7,490
Other Retail
37,333
1,244
Total Retail
114,270
8,844
1,734
64,713
21,028
610
175
38
19,214
7,801
49
38,626
49
123,163
28,102
57,106
3,970
938
4,946
21,028
213
11,771
38
29,078
38
62,090
850
2,584
510
963
963
145
655
930
930
Total Standardized
189,609
16,064
1,540
2,910
210,123
109,248
12,141
1,438
2,195
125,022
Sub Debt and Equities
(3)
22,060
98
22,158
17,796
210
18,006
CCP exposures
Derivatives - CVA
27,663
24,221
27,663
24,221
889
5,658
889
5,658
Other Assets
85,233
85,233
20,925
20,925
Total Credit Risk
(5)(6)
988,119
211,902
112,099
126,280
1,438,400
278,557
53,662
17,024
32,081
381,324
(1) IRB Exposure at default is post credit risk mitigation. Standardized Exposure at default is after related IFRS 9 (ECL Stage 3) allowances for credit losses, and the collateral impact under Comprehensive Approach. Residential Mortgages include insured
(2) Risk-weighted Assets used for calculation of CET1, Tier 1, and Total Capital ratios.
(3) This includes Equity investments, Equity Investment in Funds and Significant Investments
(4) Others includes Letter of Credits and Guarantees, Off Balances Sheet Securitization and Other Assets.
(5) This EAD and RWA summary was revised after Basel III revisions, and no comparative numbers will be reported this quarter.
(6) EAD amounts reported for certain asset classes (e.g. derivatives, other assets, etc.,) may be reported under more than one exposure type on this page for presentation purposes.
Scotiabank
Supplementary Regulatory Capital Disclosure
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