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Investor Presentaiton

Back to Table of Contents CR6: FIRB-Credit risk exposures by portfolio and PD range - Non-Retail a (in $ millions) PD scale Original on- balance sheet gross exposures b Off- balance sheet exposures pre-CCF C d (9) 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 RWA (5) RWA density (7) EL Provisions Corporate - Other (8) 0.00 to <0.15 69,332 126,592 41% 120,112 0.09% 1,116 34.40% 1.90 24,373 20.3% 39 0.15 to <0.25 25,365 31,447 37% 37,048 0.18% 381 38.28% 2.39 12,992 35.1% 26 0.25 to <0.50 22,816 18,428 39% 30,030 0.29% 435 36.01% 2.28 11,907 39.7% 31 0.50 to <0.75 0% 0.00% 0.00% 0.0% - 0.75 to <2.50 4,249 5,739 42% 6,645 1.04% 193 33.37% 2.40 4,092 61.6% 21 2.50 to <10.00 903 1,082 48% 1,424 4.26% 50 33.71% 2.11 1,347 94.6% 20 10.00 to <100.00 200 322 41% 331 33.33% 3 54.18% 1.54. 957 289.1% 60 100.00 (Default) Sub-total 0% 0.00% 0.00% 0.0% 122,865 183,610 40% 195,590 0.26% 2,178 35.37% 2.07 55,668 28.5% 197 198 Corporate - Specialized Lending 0.00 to <0.15 14 48 40% 33 0.07% 2 20.69% 1.84 4 12.1% 0.15 to <0.25 0% 0.00% 0.00% 0.0% 0.25 to <0.50 0% 0.00% 0.00% 0.0% 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 0% 0.00% 0.00% 0.0% 10.00 to <100.00 0% 0.00% 0.00% 0.0% 100.00 (Default) 0% 0.00% 0.00% 0.0% Sub-total 14 48 40% 33 0.07% 2 Total 138,125 226,754 41% 232,869 0.28% 2,658 20.69% 37.08% 1.84 4 12.1% 2.10 67,781 29.1% 264 200 (1) Includes the retail residential mortgages insured by Sagen and Canada Guaranty Insurance, excluding the backstop portion. (2) Post-CRM PD weighted by post-CRM EAD. (3) Represents the number of individual borrowers. (4) Post-CRM LGD weighted by post-CRM EAD. (5) Effective remaining maturity in years. (6) RWA density is calculated as Risk-weighted Assets (column i) divided by EAD post-CRM and post-CCF (column d). (7) Includes all three ECL stages under IFRS 9, and partial write-offs. (8) Includes purchased receivables portfolio totaling $2.7 billion EAD, $0.5 billion RWA ($2.7 billion EAD, $0.5 billion RWA in Q1 2023; and $3.0 billion EAD, $0.6 billion RWA in Q4 2022). (9) The bank adopted FIRB in Q2, 2023 and no comparative numbers are available. Scotiabank Supplementary Regulatory Capital Disclosure Page 54 of 88
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