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

  • of which: significant investments in the common stock of financials

  • of which: mortgage servicing rights

  • of which: deferred taxassets arising fromtemporary differences

-

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.