Investor Presentaiton
Back to Table of Contents
Summary of Qualitative Requirements - Pillar III (Cross Referenced)
Item # Pillar III - Requirements - Qualitative
Frequency
(g)
Description of the main characteristics of the approved models:
Annual
71-74
(i) definitions, methods and data for estimation and validation of PD (eg how PDs are estimated for low default portfolios; if
there are regulatory floors; the drivers for differences observed between PD and actual default rates at least for the last three
periods);
and where applicable:
(ii) LGD (eg methods to calculate downturn LGD; how LGDs are estimated for low default portfolio; the time lapse between
the default event and the closure of the exposure);
(iii) credit conversion factors, including assumptions employed in the derivation of these variables;
2022 Annual
Report: MD&A
Part 5 - CCRA: Qualitative disclosure related to counterparty credit risk
Banks must provide:
Annual
Annual
(a)
The method used to assign the operating limits defined in terms of internal capital for counterparty credit exposures and for
CCP exposures;
Annual
73-74, 81-
175-176
(b)
Policies relating to guarantees and other risk mitigants and assessments concerning counterparty risk, including exposures
towards CCPS;
Annual
(c)
Policies with respect to wrong-way risk exposures;
(d)
The impact in terms of the amount of collateral that the bank would be required to provide given a credit rating downgrade.
Annual
Annual
84
74-76, 81-
84
83-84
175-176
94
Part 6-SECA: Qualitative disclosure requirements related to securitization exposures
Qualitative disclosures
Banks must describe their risk management objectives and policies for securitization activities and main features of these activities
according to the framework below. If a bank holds securitization positions reflected both in the regulatory banking book and in the
regulatory trading book, the bank must describe each of the following points by distinguishing activities in each of the regulatory books.
(a) The bank's objectives in relation to securitization and re-securitization activity, including the extent to which these activities transfer
credit risk of the underlying securitized exposures away from the bank to other entities, the type of risks assumed and the types of risks
retained.
(b) The bank must provide a list of:
special purpose entities (SPEs) where the bank acts as sponsor (but not as an originator such as an Asset Backed Commercial
Paper (ABCP) conduit), indicating whether the bank consolidates the SPES into its scope of regulatory consolidation. A bank
would generally be considered a "sponsor" if it, in fact or in substance, manages or advises the programme, places securities
into the market, or provides liquidity and/or credit enhancements. The programme may include, for example, ABCP conduit
programmes and structured investment vehicles.
Scotiabank
Supplementary Regulatory Capital Disclosure
Annual
Annual
Annual
Annual
67-69, 112
196-197
Annual
Annual
67-69
196-197
Page 13 of 88
2022 Annual
Report: Financial
Statements
Regulatory Capital
Supplementary
Package
Page Reference
223-226
Financial Reporting
Supplementary
PackageView entire presentation