Scotiabank ESG and Financial Performance Update
Interest Rate Sensitivity
NET INTEREST INCOME SENSITIVITY
Impact of an immediate and sustained 100 bps parallel
shift on net interest income (NII) over a 12-month
period
+100 bps: $46 million decrease in NII
-100 bps: flat
POLICY RATE CHANGE AND OUTLOOK
Policy
Rate Change by BNS
Fiscal Quarters (bps)²
Forecast
rate on
QTD
Country
Canada
0.25%
Oct 31/21 Q1/22 Q2/22 Q3/22 Q4/22 Q1/23 Q2/23 Q3/23
+75 +150 +125 +75
Current Policy Rate
Policy
Rate
4.50%
for
Mar 31/243
4.00%
US
0.25%
+25+200 +75 +125 +50 +25
5.25% 4.25%
Above estimates assume a static balance sheet and no
management actions¹
•
During the quarter, the Bank reduced sensitivity to
protect from rates remaining higher for longer
Significant NII benefit if market implied forward rates
are realized
Mexico
Colombia
Peru
Chile
4.75% +75 +100 +125 +150 +125 +75
2.50% +150 +200 +300 +200 +175 +50
1.50% +150 +150 +150 +100 +75
2.75% +275 +150 +275 +150
11.25% 9.25%
13.25% 8.25%
7.75%
6.25%
11.25% 4.00%
HISTORICAL INTEREST RATE ENVIRONMENT AND OUTLOOK 2
Canada & US (%)
6.0
13.0
5.0
11.0
4.0
9.0
3.0
7.0
2.0
5.0
1.0
0.0
3.0
Apr-22
Oct-22
Apr-23
Oct-23
Apr-24
Apr-22
BoC Overnight Rate
Fed Funds Rate
CAD 5-Yr Swap Rate
USD 5-Yr Swap Rate
Mexico & Chile (%)
Oct-22
Apr-23
Bank of Mexico Overnight Rate
Bank of Chile Monetary Policy Rate
Oct-23
MXN 5-Yr Swap Rate
- CLP 5-Yr Swap Rate
Apr-24
1Additional detail regarding non-trading interest rate sensitivity can be found on page 38 of the Management's Discussion & Analysis in the Bank's Second Quarter 2023 Report to Shareholders, available on
http://www.sedar.com; 2 As of May 18, 2023; 3 Source: Scotia Economics forecast as of May 18, 2023
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