Investor Presentaiton
Scotiabank
10
Of which securitization
11
12
Of which retail underlying
Of which wholesale
13
Of which re-securitization
14
Of which senior
15
Of which non-senior
(in $ millions).
≤20% RW
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SEC4: Securitization exposures in the banking book and associated capital requirements - bank acting as investor
a
с
b
d
Exposure values (by RW bands)
e
f
g
h
i
Exposure values (by regulatory approach)
>20% to 50% RW
>50% to 100% RW
>100% to <1250%
RW
Q4 2022 Basel III
1 Total exposures (¹)
2,972
21
1,142
69
29
2 Traditional securitization
2,972
21
1,142
69
29
3
Of which securitization
2,972
21
1,093
69
4
Of which retail underlying
2,080
21
818
69
5
Of which wholesale
892
275
2222
3,469
3,469
29
3,469
2,988
29
481
6
Of which re-securitization
7
Of which senior
49
49
༄ ༄ ཤྩ ་ ཤྩ ༄
715
49
8
Of which non-senior
9 Synthetic securitization
(1) Includes banking book investments in asset backed securities (ABS), collateralized loan obligations (CLOS), collateralized debt obligations (CDOS).
1250% RW
IRBA
ERBA / IAA
SA
1250%
IRBA
ERBA / IAA
10
Of which securitization
11
12
13
Of which retail underlying
Of which wholesale
Of which re-securitization
14
Of which senior
15
Of which non-senior
Q3 2022 Basel III
1 Total exposures
(1)
2,496
32
1,314
69
2 Traditional securitization
2,496
32
1,314
69
3
Of which securitization
2,496
32
1,268
69
4
Of which retail underlying
2,119
32
765
69
5
Of which wholesale
377
503
AAA 2
17
3,498
430
1,017
262
17
3,498
430
1,017
262
17
3,498
384
1,017
216
2,985
748
17
513
384
269
216
2222
82
21
82
21
82
17
60
-
22
17
6
Of which re-securitization
46
46
46
7
Of which senior
46
46
46
4
4
8
Of which non-senior
9 Synthetic securitization
Supplementary Regulatory Capital Disclosure
Page 77 of 88
j
k
|
RWA (by regulatory approach)
SA
1250%
764
958
409
764
958
409
715
958
360
76
76
76
777
62
181
360
49
-
14
49
IRBA
E
n
°
p
Capital charge after cap
q
ERBA / IAA
332244
SA
1250%View entire presentation