Investor Presentaiton
Scotiabank
(in $ millions)
Q4 2022 Basel III
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
Q3 2022 Basel III
1 Total exposures
(1)(2)
10
Of which securitization
11
12
Of which retail underlying
Of which wholesale
13
Of which re-securitization
14
Of which senior
15
≤20% RW
>20% to 50% RW
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SEC3: Securitization exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor
a
b
C
d
Exposure values (by RW bands)
e
f
g
h i
Exposure values (by regulatory approach)
k
j
RWA (by regulatory approach)
>50% to 100% RW
>100% to <1250%
RW
1250% RW
IRBA
ERBA / IAA
SA
1250%
1 Total exposures (1)(2)
19,109
3,005
1,133
52
3
191
23,111
71
3,971
6
317
2 Traditional securitization
19,109
3,005
1,133
52
3
191
23,111
71
3,971
6
317
3
Of which securitization
19,109
3,005
1,133
52
3
191
23,111
71
3,971
6
317
4
Of which retail underlying
13,617
1,302
-
3
191
14,731
71
2,053
6
164
5
Of which wholesale
5,492
1,703
1,133
62
52
8,380
1,918
153
6
Of which re-securitization
-
7
Of which senior
8
Of which non-senior
9 Synthetic securitization
16,693
2,598
1,106
82
3
221
20,261
76
3,583
2 Traditional securitization
16,693
2,598
1,106
82
3
221
20,261
76
3,583
3
Of which securitization
16,693
2,598
1,106
82
3
221
20,261
76
3,583
4
Of which retail underlying
12,652
1,087
41
-
3
221
13,562
76
1,854
5
Of which wholesale
4,041
1,511
1,065
82
6,699
1,729
6
Of which re-securitization
7
Of which senior
8
Of which non-senior
9 Synthetic securitization
Of which non-senior
(1) Includes banking book on-balance sheet investments in asset backed securities (ABS), collateralized loan obligations (CLOS), collateralized debt obligations (CDOS), and off-balance sheet
liquidity lines and credit enhancements to bank sponsored conduits.
(2) Includes retained positions in securitizations where the Bank acts as an originator and has achieved significant and effective risk transfer.
Supplementary Regulatory Capital Disclosure
Page 75 of 88
6666
IRBA
286
286
286
148
138
ERBA / IAA
SA
1250%
IRBA
m
n
о
P
Capital charge after cap
ERBA / IAA
ཛྙ
1250%
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