Investor Presentaiton
Back to Table of Contents
SEC2: Securitization exposures in the trading book
(in $ millions)
a (1)
a(2)
b
C
e
f
g
i
k
Bank acts as Originator
Bank acts as Sponsor (3)
Traditional
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Bank acts as Investor(4)
Synthetic
Sub-total
Q4 2022 Basel III
Retail (total)
(5)
65
1
- of which
2
Residential Mortgage
(6)
3
Credit Card
4
Consumer Receivables
39
2
5
Auto Loans/Leases
Wholesale (total)
(5)
24
37
6
7
8
- of which
Trade Receivables
Diversified Asset-Backed
Securities
9
Auto Wholesale/Rentals
10
Other Wholesale
11
Re-Securitization
Q3 2022 Basel III
Retail (total)
(5)
1
- of which
2
Residential Mortgage
(6)
3
Credit Card
4
Consumer Receivables
5
Auto Loans/Leases
Wholesale (total)
(5)
6
7
8
- of which
Trade Receivables
Diversified Asset-Backed
Securities
9
Auto Wholesale/Rentals
10
Other Wholesale
11
65
24
37
2 2 2 3
39
37
37
153
153
80
80
47
47
2
2
24
24
46
46
46
164
Re-Securitization
(1) Retained positions where the Bank acts as an originator and has achieved significant and effective risk transfer.
(2) Retained positions where the Bank acts as an originator and has not achieved significant and effective risk transfer.
(3) Retained positions where the Bank acts as sponsor include exposures to commercial paper conduits to which the bank provides liquidity facilities.
(4) Retained positions where the Bank acts as an investor are the investment positions purchased in third-party deals.
(5) Capital charges related to trading book securitization exposures are based upon the Bank's internal market risk models including its comprehensive risk measure.
(6) Excludes mortgage-backed securities that do not involve the tranching of credit risk (e.g. NHA MBS) which are not considered securitizations as per OSFI Capital Adequacy Requirements Guideline, Chapter 6, paragraph 3.
Scotiabank
Supplementary Regulatory Capital Disclosure
46
Page 73 of 88View entire presentation