Investor Presentaiton
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LR2: Leverage ratio common disclosure
(in $ millions)
Q2 2023
Revised Basel III
a2
Q1 2023
Basel III
аз
Q4 2022
Basel III
24
Q3 2022
Basel III
On-balance sheet exposures
(1)
1
On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including collateral)
1,138,995
1,076,029
1,061,398
1,030,551
2
Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the operative accounting
framework (IFRS)
3
(Deductions of receivables assets for cash variation margin provided in derivatives transactions)
4
(Asset amounts deducted in determining Basel III Tier 1 capital)
5
Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 4)
(10,835)
(11,695)
(12,761)
(12,364)
(15,716)
(11,626)
(15,054)
(13,239)
1,115,399
1,051,970
1,034,056
1,002,258
Derivative exposures
6
Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral
netting)
23,786
21,828
26,087
25,976
7
Add-on amounts for PFE associated with all derivatives transactions
22,964
22,567
21,129
21,406
8
(Exempted CCP leg of client-cleared trade exposures)
9
Adjusted effective notional amount of written credit derivatives
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
11
Total derivative exposures (sum of rows 6 to 10)
2,669
3,348
1,487
1,708
(1,094)
(1,540)
(478)
(367)
48,325
46,203
48,225
48,723
Securities financing transaction exposures
12
13
Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions
(Netted amounts of cash payables and cash receivables of gross SFT assets)
14
Counterparty credit risk (CCR) exposure for SFT assets
237,987
218,200
230,893
198,468
(53,303)
(39,510)
(55,580)
(43,251)
10,515
14,258
15,164
16,046
15
Agent transaction exposures
16
Total securities financing transaction exposures (sum of rows 12 to 15)
195,199
192,948
190,477
171,263
Other off-balance sheet exposures
17
Off-balance sheet exposure at gross notional amount
18
(Adjustments for conversion to credit equivalent amounts)
19
Off-balance sheet items (sum of rows 17 and 18)
Capital and total exposures
20
Tier 1 capital
21 Total exposures (sum of rows 5, 11, 16 and 19)
522,852
547,048
(351,668)
(369,610)
171,184
177,438
541,118
(368,257)
172,861
515,775
(349,196)
166,579
63,688
1,530,107
62,317
61,262
58,801
1,468,559
1,445,619
1,388,823
Leverage ratio
22
Basel III leverage ratio
4.2%
4.2%
(1) On-balance sheet items exclude securities purchased under resale agreements and securities borrowed ($184,684MM), derivative financial instruments ($44,725MM), assets outside the regulatory scope of consolidation ($2,284MM).
4.2%
4.2%
Scotiabank
Supplementary Regulatory Capital Disclosure
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