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L12: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
Q2 2023
Revised Basel III
(in $ millions)
a
b
C
d
e
Items subject to:
(1)
Total
Credit risk framework
Securitization
framework
Counterparty credit
risk framework
Market risk
framework
1
Asset carrying value amount under scope of regulatory
consolidation (as per template LI1)
1,351,850
983,008
13,640
240,973
147,933
2
Liabilities carrying value amount under regulatory scope of
consolidation (as per template LI1)
255,712
183,193
72,519
3
Total net amount under regulatory scope of consolidation
1,096,138
4
Off-balance sheet amounts
(2)
255,903
983,008
248,422
13,640
57,780
75,414
6,065
1,416
5
(3)
Differences in valuations
3,398
3,398
6
Differences due to different netting rules, other than those
already included in row 2
137,913
7
(4)
Differences due to considerations of provisions
4,228
8
Collateral offsetting
(5)
(173,521)
4,515
(5,486)
137,913
(287)
(168,035)
9
Differences due to Potential Future Exposures and Collateral
Haircut
59,091
59,091
10
Differences due to deconsolidated subsidiaries
11
Other differences not classified above
12
Exposure amounts considered for regulatory purposes
(6)
1,383,150
1,233,857
19,705
87,878
75,414
(1) A single item can attract capital charges according to more than one risk category framework.
(2) Includes undrawn commitments and letters of credit/guarantee after application of the credit conversion factors, unfunded securitization exposures, and unfunded
default fund contributions.
(3) Includes fair value adjustments for credit risk items (loans, bonds).
(4) Amounts for IRB exposures are reported gross of partial write-offs and IFRS 9 specific allowances, and amounts for Standardized exposures are reported net of
partial write-offs and IFRS 9 specific allowances.
(5) Includes adjustments for credit risk mitigation based on the application of the Comprehensive Approach for collateral under the credit risk framework.
(6) The aggregate amount considered as a starting point of the RWA calculation. Items are only listed once.
Scotiabank
Supplementary Regulatory Capital Disclosure
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