Investor Presentaiton
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SEC1: Securitization exposures in the banking book
(1)
(2)
a
a
b
C
e
f
g
i
j
k
(in $ millions)
Bank acts as Originator
Bank acts as Sponsor (3)
Bank acts as Investor (4)
Traditional
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Traditional
Synthetic
Sub-total
Q4 2022 Basel III
Retail (total)
191
8
199
14,731
14,731
2,988
2,988
1
- of which
2
Residential Mortgage
(5)
3
Credit Card
4
Consumer Receivables
5
Auto Loans/Leases
Wholesale (total)
6
7
- of which
Trade Receivables
Diversified Asset-Backed
2,550
2,550
463
463
1,825
1,825
2,520
2,520
193
193
191
8
199
9,198
9,198
970
970
8,380
8,380
1,245
1,245
4,859
4,859
8
Securities
9
Auto Wholesale/Rentals
10
Other Wholesale
11
Re-Securitization
1,387
1,387
481
481
2,134
2,134
715
715
49
49
Q3 2022 Basel III
Retail (total)
1
- of which
2
Residential Mortgage
(5)
3
Credit Card
4
Consumer Receivables
5
Auto Loans/Leases
6
7
Wholesale (total)
- of which
Trade Receivables
Diversified Asset-Backed
8
Securities
9
Auto Wholesale/Rentals
10
Other Wholesale
11
Re-Securitization
221
9
230
13,562
13,562
2,985
2,985
2,550
2,550
435
435
1,825
1,825
2,342
2,342
244
244
221
9
230
8,235
8,235
916
916
6,699
6,699
943
943
3,425
3,425
(1) Retained positions where the Bank acts as an originator and has achieved significant and effective risk transfer.
1,409
1,409
251
1,865
1,865
646
251
646
46
46
(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) 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
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