April 27, 2022
Daiwa Securities Group Inc.
Report Regarding Consolidated Capital Adequacy Ratio and Consolidated Leverage Ratio
Situation of Soundness in Management as of December 31, 2021
In accordance with the Financial Instruments and Exchange Act Article 57-17, "Notification, etc., of Documents Describing Status of Soundness in Management", Daiwa Securities Group Inc. reports the
situation of soundness in management as of December 31, 2021.
Table of Contents
Table of Contents........................................................................................................................................................................ 2
Key Metrics (at consolidated group level)............................................................................................................................ 3
Composition of Capital Disclosure....................................................................................................................................... 4
Qualitative Disclosure (Consolidated) .................................................................................................................................. 7
1. Reconciliation of regulatory capital to balance sheet ...................................................................................... 7
Overview of Main Features of Regulatory Capital Instruments ........................................................................................ 9
Quantitative Disclosure (Consolidated) .............................................................................................................................. 23
1. Other quantitative disclosures .......................................................................................................................... 23
Consolidated Leverage Ratio .............................................................................................................................................. 25
1. Composition of consolidated leverage ratio .................................................................................................... 25
2. Reasons for significant differences in the consolidated leverage ratio over previous quarter .............. 25
Key Metrics (at consolidated group level)
KM1: Key metrics
(Millions of yen , %)
Basel III template number | December 2021 | September 2021 | June 2021 | March 2021 | December 2020 | |
Available capital (amounts) | ||||||
1 | Common Equity Tier 1 (CET1) | 1,166,908 | 1,148,768 | 1,152,962 | 1,123,656 | 1,079,983 |
2 | Tier 1 | 1,337,697 | 1,314,659 | 1,327,893 | 1,305,210 | 1,214,038 |
3 | Total capital | 1,337,697 | 1,314,659 | 1,327,893 | 1,305,210 | 1,214,038 |
Risk-weighted assets (amounts) | ||||||
4 | Total risk-weighted assets (RWA) | 6,800,516 | 6,514,283 | 6,271,241 | 6,008,356 | 5,160,906 |
Capital ratio | ||||||
5 | CET1 ratio (%) | 17.15% | 17.63% | 18.38% | 18.70% | 20.92% |
6 | Tier 1 ratio (%) | 19.67% | 20.18% | 21.17% | 21.72% | 23.52% |
7 | Total capital ratio (%) | 19.67% | 20.18% | 21.17% | 21.72% | 23.52% |
Additional CET1 buffer requirements as a percentage of RWA | ||||||
8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.50% | 2.50% | 2.50% | 2.50% | 2.50% |
9 | Countercyclical buffer requirement (%) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
10 | Bank G-SIB and/or D-SIB additional requirements (%) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
11 | Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10) | 3.00% | 3.00% | 3.00% | 3.00% | 3.00% |
12 | CET1 available after meeting the bank's minimum capital requirements (%) | 11.67% | 12.18% | 13.17% | 13.72% | 15.52% |
Leverage ratio | ||||||
13 | Total leverage ratio exposure measure | 19,588,138 | 18,239,765 | 18,785,385 | 18,916,695 | 18,282,142 |
14 | Leverage ratio (%) including the impact of any applicable temporary exemption of central bank reserves | 6.82% | 7.20% | 7.06% | 6.89% | 6.64% |
Composition of Capital Disclosure
CC1: Composition of regulatory capital
(Millions of yen , %)
Basel III template number | Items | Group Consolidated Quarter-End | Cross-referenced to CC2 |
Common Equity Tier 1 capital: Instruments and reserves (1) | |||
1a+2-1c-26 | Shareholders' equity Common stock and capital surplus Retained earnings Treasury stock (Δ) Planned distributions (Δ) Others | 1,268,484 | |
1a | 477,934 | (i),(j) | |
2 | 925,045 | (k) | |
1c | 134,495 | (l),(m) | |
26 | - | ||
- | |||
1b | Stock subscription rights | 9,213 | (p) |
3 | Accumulated other comprehensive income (and other reserves) | 63,116 | (o) |
5 | Minority interest after adjustments | - | |
6 | Common Equity Tier 1 capital before regulatory adjustments (a) | 1,340,814 | |
Common Equity Tier 1 capital: regulatory adjustments (2) | |||
8+9 | Intangible assets other than mortgage-servicing rights (net of related taxliability) Goodwill (net of related tax liability) Other intangibles other than mortgage-servicing rights(net of related taxliability) | 154,796 | |
8 | 53,062 | (e),(g) | |
9 | 101,734 | (f) | |
10 | Deferred taxassets that rely on future profitability excluding those arising fromtemporary differences (net of related tax liability) | 222 | (d),(h) |
11 | Cash-flow hedge reserve | (4,108) | (n) |
12 | Shortfall of allowance to expected losses | - | |
13 | Securitization gain on sale (as set out in paragraph 562 of Basel II framework) | - | |
14 | Gains and losses due to changes in own credit risk on fair valued liabilities | 331 | |
15 | Defined-benefit pension fund net assets | - | |
16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | 108 | (b) |
17 | Reciprocal cross-holdings in common equity | - | |
18 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold) | 22,554 | (a),(b),(c),(g) |
19+20+21 | Amount exceeding the 10% threshold Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold) Mortgage servicing rights (amount above 10% threshold) Deferred taxassets arising from temporary differences (amount above 10% threshold, net of related tax liability) | - | |
19 | - | ||
20 | - | ||
21 | - | ||
22 | Amount exceeding the 15% threshold
| - | |
23 | - | ||
24 | - | ||
25 | - | ||
27 | Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions | - | |
28 | Total regulatory adjustments to Common equity Tier 1 (b) | 173,906 | |
Common Equity Tier 1 capital | |||
29 | Common Equity Tier 1 capital (CET1) ((a) - (b)) (c) | 1,166,908 |
(Millions of yen , %)
Basel III template number | Items | Group Consolidated Quarter-End | Cross-referenced to CC2 |
Additional Tier 1 capital: instruments (3) | |||
30 | 31a 31b 32 | Shareholders' equity | - |
Stock subscription rights | - | ||
Liabilities | 149,400 | ||
Instruments issued by Special Purpose Companies | - | ||
34-35 | Minority interest after adjustments | 49,093 | (q) |
33+35 | Tier 1 capital under Basel II included in Additional Tier 1 capital under transitional Basel III rules Capital instruments issued by Daiwa Securities Group Inc. and its Special Purpose Companies Capital instruments issued by consolidated subsidiaries and affiliates (excluding Special Purpose Companies of Daiwa Securities Group Inc.) | - | |
33 | - | ||
35 | - | ||
36 | Additional Tier 1 capital before regulatory adjustments (d) | 198,493 | |
Additional Tier 1 capital: regulatory adjustments | |||
37 | Investments in own Additional Tier 1 instruments | - | |
38 | Reciprocal cross-holdings in Additional Tier 1 instruments | - | |
39 | Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) | 5,407 | (a),(b),(c),(g) |
40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) | - | |
42 | Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions | 22,296 | |
43 | Total regulatory adjustments to Additional Tier 1 capital (e) | 27,704 | |
Additional Tier 1 capital | |||
44 | Additional Tier 1 capital ((d) - (e)) (f) | 170,788 | |
Tier 1 capital | |||
45 | Tier 1 capital ((c) + (f)) (g) | 1,337,697 | |
Tier 2 capital: instruments and allowance (4) | |||
46 | Shareholders' equity | - | |
Stock subscription rights | - | ||
Liabilities | - | ||
Capital instruments issued by Special Purpose Companies | - | ||
48-49 | Minority interest after adjustments | 11,551 | (q) |
47+49 | Tier 2 capital under Basel II included in Tier 2 capital under transitional Basel III rules Capital instruments issued by Daiwa Securities Group Inc. and its Special Purpose Companies Capital instruments issued by consolidated subsidiaries and affiliates (excluding Special Purpose Companies of Daiwa Securities Group Inc.) | - | |
47 | - | ||
49 | - | ||
50 | General allowance included and eligible allowance in Tier 2 capital General allowance Eligible allowance | - | |
50a | - | ||
50b | - | ||
51 | Tier 2 capital before regulatory adjustments (h) | 11,551 |
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Daiwa Securities Group Inc. published this content on 27 April 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 27 April 2022 06:14:05 UTC.