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Estimated and Actual Loss Parameters - Non-Retail and Retail AIRB Portfolios
(1)
Non-Retail
Exposure Type
Q2 2023 Revised Basel III
Q1 2023 Basel III
Average
estimated PD
%
Actual default
rate
%
Average
estimated LGD
%
Actual LGD
%
Average
estimated CCF (2)
%
Actual CCF (2)
%
Average
estimated PD
%
Actual default
rate
%
Average
estimated LGD
%
Average
Actual LGD
%
estimated CCF (2)
Actual CCF (2)
%
%
0.52
0.19
39.46
22.08
49.52
19.94
0.56
0.18
39.43
33.77
49.26
18.97
(1) Reporting is on a one quarter lag basis. For reporting as of Q2/23, estimated parameters are based on portfolio count-weighted averages at Q1/22 whereas actual parameters are based on count-weighted averages of realized parameters during the subsequent four quarters (Q2/22
- Q1/23).
(2) EAD back-testing is performed through Credit Conversion Factor (CCF) back-testing, as EAD is computed using the sum of the drawn exposure and undrawn exposure multiplied by the estimated CCF.
Four-quarter period ending Q2 2023 Revised Basel III
(in $ millions) (1)
Average
estimated
PD (2)(7)
Actual default
rate (2)(5)
%
%
Average
estimated
LGD (3)(7)
%
Estimated
Residential real estate secured
Actual LGD (3)(6)
%
EAD(4)(7)
$
Actual EAD (4)(5)
$
Average
estimated
PD(2)(7)
%
Actual default
rate (2)(5)
%
Four-quarter period ending Q1 2023 Basel III
Average
estimated
LGD (3)(7)
%
Estimated
Actual LGD (3)(6)
%
EAD (4)(7)
$
Actual EAD (4)(5)
$
Residential mortgages
Insured mortgages (8)
0.46
0.33
0.44
0.31
Uninsured mortgages
0.36
0.17
17.30
12.02
0.35
0.17
17.28
21.88
Secured lines of credit
0.20
0.12
27.46
19.18
52
48
0.20
0.11
26.82
19.19
48
Qualifying revolving retail exposures
1.49
0.89
84.80
74.49
Other retail
1.58
0.88
64.19
54.13
444
6
386
1.52
0.88
83.81
74.62
410
44
360
6
1.49
0.85
62.41
56.41
°
8
8
(1) Estimates and Actual Values are recalculated to align with new models implemented during the period.
(2) Account weighted aggregation.
(3) Default weighted aggregation.
(4) EAD is estimated for revolving products only.
(5) Actual based on accounts not at default as at four quarters prior to reporting date.
(6) Actual LGD calculated based on 24-month recovery period after default and therefore excludes any recoveries received after the 24-month period.
(7) Estimates are based on the four quarters prior to the reporting date.
(8) Actual and Estimated LGD for insured mortgages are not shown. Actual LGD includes the insurance benefit, whereas estimated LGD may not.
Scotiabank
Supplementary Regulatory Capital Disclosure
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