Investor Presentaiton
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CCR4: AIRB - CCR exposures by portfolio and PD scale
(in $ millions)
PD scale
(1)
a
b
C
d
e
f
g
EAD post-CRM
Average PD
(2)
Number of obligors
Average LGD
(3)
(4)
Average maturity
RWA
RWA density
(5)
Q1 2023 Basel III
Sovereign
0.00 to <0.15
7,349
0.03%
93
17.40%
2.39
212
2.9%
0.15 to <0.25
92
0.18%
1
15.00%
0.01
8
9.2%
0.25 to <0.50
208
0.25%
1
25.00%
0.13
32
15.5%
0.50 to <0.75
0.00%
-
0.00%
-
0.0%
0.75 to <2.50
48
0.90%
1
25.00%
1.00
20
41.1%
2.50 to <10.00
0.00%
0.00%
0.0%
10.00 to <100.00
0.00%
0.00%
0.0%
100.00 (Default)
0.00%
0.00%
0.0%
Sub-total
7,697
0.05%
Bank
0.00 to <0.15
11,873
0.07%
223
0.15 to <0.25
579
0.18%
0.25 to <0.50
214
0.26%
2222
17.63%
2.30
272
3.5%
31.09%
1.40
1,452
12.2%
30.80%
0.87
127
21.9%
24
33.09%
3.28
71
33.1%
0.50 to <0.75
-
0.00%
-
0.00%
-
0.0%
0.75 to <2.50
8
0.90%
1
30.00%
2.34
5
63.3%
2.50 to <10.00
0
2.56%
1
40.00%
1.32
0
98.1%
10.00 to <100.00
0.00%
0.00%
0.0%
100.00 (Default)
0.00%
0.00%
0.0%
Sub-total
12,674
0.08%
271
31.11%
1.41
1,655
13.1%
Corporate
0.00 to <0.15
36,998
0.08%
3,949
44.88%
0.54
5,115
13.8%
0.15 to <0.25
4,174
0.18%
463
47.42%
1.40
1,328
31.8%
0.25 to <0.50
3,082
0.28%
698
45.78%
1.19
1,171
38.0%
0.50 to <0.75
0.00%
0.00%
0.0%
0.75 to <2.50
2,194
0.93%
290
45.13%
0.73
1,689
77.0%
2.50 to <10.00
19
4.82%
21
39.18%
1.57
23
118.6%
10.00 to <100.00
28
18.15%
3
56.38%
3.16
79
283.7%
100.00 (Default)
0
100.00%
1
57.00%
5.00
0
0.0%
Sub-total
46,495
Total
66,866
0.15%
0.13%
5,425
45.19%
0.67
9,405
20.2%
5,792
39.35%
1.00
11,332
16.9%
Scotiabank
Supplementary Regulatory Capital Disclosure
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