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CR6: AIRB - 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
e
f
g
h
j
k
I
Average
CCF
EAD post-
CRM and
post-CCF
Average
(2)
PD
Number of Average
(3)
obligors
LGD (4)
Average
maturity
(6)
(5)
RWA
RWA
density
EL
(8)
(7)
Provisions
Q4 2022 Basel III
Sovereign
0.00 to <0.15
146,115
2,713
45%
147,548
0.01%
116
12.48%
0.15 to <0.25
179
0%
179
0.18%
1
23.99%
1.98
0.04
2,743
1.9%
4
20
10.9%
0.25 to <0.50
380
1
46%
380
0.35%
4
25.06%
1.20
100
26.4%
0.50 to <0.75
0%
0.00%
0.00%
0.0%
0.75 to <2.50
4,107
2
46%
4,108
1.19%
13
18.74%
1.26
1,527
37.2%
9
2.50 to <10.00
64
0%
64
2.56%
2
25.00%
2.28
46
70.8%
10.00 to <100.00
614
0%
614
17.02%
1
3.10%
0.25
92
15.0%
3
100.00 (Default)
226
0%
226
100.00%
1
25.00%
3.77
0.0%
57
Sub-total
151,685
2,716
45%
153,119
0.26%
138
12.67%
1.96
4,528
3.0%
73
3
Bank
0.00 to <0.15
13,700
10,694
62%
20,323
0.07%
358
32.45%
1.45
3,395
16.7%
5
0.15 to <0.25
412
547
63%
759
0.18%
33
34.58%
1.39
216
28.5%
0.25 to <0.50
2,319
349
44%
2,465
0.32%
47
39.29%
0.51
981
39.8%
3
0.50 to <0.75
0%
0.00%
0.00%
0.0%
0.75 to <2.50
221
12
58%
228
1.42%
19
35.79%
0.82
161
70.4%
1
2.50 to <10.00
10.00 to <100.00
0%
0.00%
0.00%
0.0%
-
44
44
100%
100.00 (Default)
110
3
51%
44
111
33.33%
3
39.98%
0.25
96
96
216.4%
Sub-total
16,806
11,605
61%
23,930
100.00%
0.64%
6
39.98%
2.10
466
33.31%
1.34
7
4,856
6.4%
45
20.3%
60
656
2
Scotiabank
Supplementary Regulatory Capital Disclosure
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