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Royal Bank of Canada (RBC) and Scotiabank both recorded more than C$1 billion of additional securitisation risk-weighted assets (RWAs) in the quarter ended July 31, 2026. RBC’s SEC-SA RWAs rose C$1.46 billion, or 26%, to a record C$7.2 billion, while SEC-SA RWAs increased 23% across the major Canadian banks. The figures show a larger amount of exposure receiving regulatory capital weights; they do not, by themselves, show that securitised assets are defaulting or losing value.
What changed in the July 2026 quarter?
Risk Quantum reported on October 15, 2026, that both RBC and Scotiabank posted record SEC-SA securitisation RWAs. The comparison found a broad increase rather than an isolated move: SEC-SA RWAs rose 23% across the major Canadian banks during the quarter.
| Bank or group | SEC-SA RWA change | Ending amount | What is established |
|---|---|---|---|
| RBC | Up C$1.46 billion, or 26%, quarter over quarter | C$7.2 billion | Record level reported by Risk Quantum |
| Scotiabank | Up by more than C$1 billion | Not stated in the accessible Risk Quantum article | Record level reported by Risk Quantum |
| Major Canadian banks | Up 23% in aggregate | Not stated | Risk Quantum comparison for the quarter ended July 2026 |
RBC therefore has the clearest publicly reported numerical increase. Scotiabank’s move is confirmed as a record and larger than C$1 billion, but its exact SEC-SA ending balance cannot be calculated from the published figures.
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SEC-SA is the standardised approach for calculating capital requirements on securitisation exposures. Under the Office of the Superintendent of Financial Institutions’ 2026 Capital Adequacy Requirements (CAR), a securitisation exposure can include much more than a bond. The rulebook lists asset-backed securities, mortgage-backed securities, credit enhancements, liquidity facilities, loans to securitisation vehicles that fund asset purchases, interest-rate or currency swaps, credit derivatives and tranched cover.
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OSFI sets an approach hierarchy for a securitisation pool:
- SEC-IRBA: used where the institution and pool meet the requirements for the internal-ratings-based approach.
- SEC-ERBA: used when an eligible external rating, or an inferred rating, is available.
- SEC-IAA: available for certain unrated asset-backed commercial paper exposures when the institution has the required approval.
- SEC-SA: available when the higher-priority approaches cannot be used, subject to the standard’s formulas and conditions.
The resulting risk weight is a regulatory measurement, not an observed loss rate. In the ratings-based approach, OSFI’s weights vary with the rating, the tranche’s seniority and maturity, and, for non-senior tranches, its thickness. SEC-SA likewise applies supervisory calculations to the pool and exposure characteristics. A higher SEC-SA RWA balance can therefore come from more exposure, a different mix of tranches or vehicles, a transaction being brought back onto the bank’s balance sheet, or a classification and measurement change.
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Why RBC’s securitisation RWAs reached C$7.2 billion
RBC’s SEC-SA securitisation RWAs increased C$1.46 billion, or 26%, to C$7.2 billion in the quarter. That was the largest quarterly increase in the major-bank comparison.
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The $34 billion figure is not the same metric as the C$7.2 billion SEC-SA RWA balance. Maximum exposure to loss describes the potential amount at risk under the filing’s definition, while RWA is that exposure after regulatory risk weighting. The two figures should not be added or treated as interchangeable. RBC’s disclosures support increased activity and a larger measured capital footprint, but they do not establish that underlying securitisation credit performance deteriorated.
What drove Scotiabank’s increase and capital-ratio change
Risk Quantum reported that Scotiabank’s SEC-SA securitisation RWAs also rose by more than C$1 billion to a record. The exact ending SEC-SA amount is not shown in the accessible report, so no precise level or percentage can be derived.
Scotiabank reported a 13.1% common-equity tier 1 (CET1) ratio at July 31, 2026, down 20 basis points from the previous quarter. Management said the decline was driven partly by higher RWAs from business expansion and the recall of a synthetic risk-transfer securitisation. Earnings less dividends partly offset that pressure.
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A synthetic risk transfer moves defined credit risk through a transaction without necessarily selling the underlying loans. Recalling such a transaction can change how the related risk is recognised for capital purposes, increasing the bank’s measured RWAs even when the event is not evidence of losses on the reference assets. Scotiabank’s comments therefore point to growth and transaction structure as important context for the quarter’s capital movement.
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Do record securitisation RWAs signal higher risk?
Not automatically. RWA is a capital-planning measure: it converts exposures into amounts used to determine how much regulatory capital a bank must hold. A record can reflect:
- more securitisation lending, guarantees, swaps or other covered exposures;
- greater client activity involving third-party securitisation vehicles;
- the recall or restructuring of a synthetic risk-transfer transaction;
- a shift into exposures that receive higher supervisory weights; or
- a methodology, eligibility or classification change that moves exposures into SEC-SA.
Those possibilities have different implications for investors. The figures supplied for this quarter demonstrate increased measured exposure and activity. They do not provide a finding of weaker collateral performance, rising defaults or realised losses. To assess asset quality, readers would need delinquency, charge-off, provision and transaction-level performance data, none of which is established by the RWA records alone.
What the numbers mean for bank capital
Higher RWAs increase the denominator used in risk-based capital ratios. If common equity does not rise proportionately, CET1 and related ratios can fall. Scotiabank’s 13.1% CET1 ratio and 20-basis-point quarterly decline illustrate that mechanical effect, although the bank identified several contributors rather than SEC-SA growth alone.
RBC’s disclosures in the cited material do not provide a corresponding quarter-end CET1 change attributable specifically to the C$1.46 billion SEC-SA increase. Its $34 billion maximum exposure figure is useful context on scale and client activity, not a direct measure of the capital-ratio impact.
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What to watch in the next filings
- Whether SEC-SA balances continue rising or reverse after the July quarter.
- Breakdowns between asset-backed securities, mortgage-backed securities, liquidity facilities, derivatives and other exposure types.
- Changes in the amount and terms of synthetic risk-transfer transactions, including any recalls.
- RBC’s and Scotiabank’s CET1 ratios and the size of their total RWA increases.
- Delinquencies, provisions and loss data for the underlying pools, which are needed to judge credit performance separately from regulatory measurement.
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