Scotiabank Risk Overview
Interest Rate Sensitivity
.
NET INTEREST INCOME SENSITIVITY
Impact of an immediate and sustained 100
bps parallel shift on net interest income over a
12-month period
о 100 bps increase: $304 million decrease in
net interest income
100 bps decrease: $233 million increase in
net interest income
POLICY RATE CHANGE AND OUTLOOK
Rate Change by BNS
Fiscal Quarters (bps)²
QTD
Country
Canada
Q1/22 Q2/22 Q3/22 Q4/22 Q1/23 Q2/23
+75 +150 +125 +75
-
Current
Policy
Rate
4.50%
Forecast
Policy Rate
for
Dec 31/233
4.25%
Above estimates assume a static balance
sheet and no management actions¹
.
Balance sheet positioned to benefit from
declining rates
Chile
US
+25 +200 +75 +125 +25
Mexico +75 +100 +125 +150 +125 +50
Colombia +150 +200 +300 +200 +175
Peru
+150 +150 +150 +100 +75
+275 +150 +275 +150
4.75%
11.00% 12.00%
12.75% 12.00%
5.25%
7.75%
11.25% 4.50%
7.25%
HISTORICAL INTEREST RATE ENVIRONMENT AND OUTLOOK²
%
6.0
5.0
4.0
3.0
2.0
1.0
0.0
Oct-21
Canada & US
%
Mexico & Chile
12.0
10.0
"
"1
8.0
6.0
4.0
2.0
0.0
Apr-22
Oct-22
Apr-23
Oct-23
Oct-21
Apr-22
Oct-22
Apr-23
Oct-23
BOC Overnight Rate
CAD 5-Yr Swap Rate
USD 5-Yr Swap Rate
Fed Funds Rate
Bank of Mexico Overnight Rate
Bank of Chile Monetary Policy Rate
MXN 5-Yr Swap Rate
CLP 5-Yr Swap Rate
1 Additional detail regarding non-trading interest rate sensitivity can be found on page 33 of the Management's Discussion & Analysis in the Bank's First Quarter 2023 Report to Shareholders, available on
http://www.sedar.com
3 Source: Scotia Economics. US and Canada as at February 6, 2023 forecast, Pacific Alliance countries as at February 10, 2023 forecast
2 As of February 27, 2023
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