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    8604   JP3762600009

NOMURA HOLDINGS, INC.

(8604)
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Nomura : Pillar 3 Regulatory Capital and Liquidity Coverage Ratio Disclosures for the quarterly period ended March 31, 2021

07/30/2021 | 08:29am EDT

Pillar 3 Regulatory Capital and

Liquidity Coverage Ratio Disclosures

for the quarterly period ended March 31, 2021

Nomura Holdings, Inc.

1

CONTENTS

PART 1: NHI Consolidated Capital Ratios................................................................................................................................................

3

CHAPTER 1 DISCLOSURE ON CAPITAL ITEMS............................................................................................................................

3

CHAPTER 2 QUALITATIVE DISCLOSURE....................................................................................................................................

13

1.

Scope of Consolidation................................................................................................................................................................

13

2.

Overview of Risk Management ...................................................................................................................................................

14

3.

Overview of Assessment on Capital Adequacy ...........................................................................................................................

19

4.

Market Risk Management ...........................................................................................................................................................

19

5.

Securitization...............................................................................................................................................................................

20

6.

Credit Risk Management .............................................................................................................................................................

22

7.

Operational Risk Management ....................................................................................................................................................

24

8.

Model Risk Management.............................................................................................................................................................

25

9.

Equity Exposures in Non-trading Book.......................................................................................................................................

26

10. Qualitative Disclosure with Regard to Standardized Approach ("SA") .....................................................................................

26

11. Overview of Accounting Policy for Allowance and Charge-offs ...............................................................................................

26

12. Disclosures related to IRB Approach.........................................................................................................................................

28

13. Management of Interest Rate Risk under Non-trading Activities ..............................................................................................

29

14. Consolidated Balance Sheet when the Regulatory Scope of Consolidation Is Applied .............................................................

30

CHAPTER 3 QUANTITATIVE DISCLOSURE.................................................................................................................................

33

1. Capital Ratios of Financial Institutions that Nomura Group Owns More Than 10% of their Issued Capital and Are Subsidiaries

of Nomura Group ............................................................................................................................................................................

33

2.

Credit Risk...................................................................................................................................................................................

33

3.

Quantitative Disclosure based on Annex No. 2 and No. 7 of Pillar 3 Notice...............................................................................

34

CHAPTER 4 TERMS AND CONDITIONS OF THE CAPITAL INSTRUMENTS...........................................................................

77

1.

Nomura Holdings, Inc. Common Stock.......................................................................................................................................

77

2. Nomura Holdings, Inc. First Series of Unsecured Perpetual Subordinated Bonds with Optional Redemption Clause and Write-

down Clause ....................................................................................................................................................................................

78

3.

Nomura Holdings, Inc. Second Series of Unsecured Perpetual Subordinated Bonds with Optional Redemption Clause and

Write-down Clause ..........................................................................................................................................................................

80

4.

Nomura Holdings, Inc. Second Series of Unsecured Subordinated Bonds ..................................................................................

82

5.

Minority Interest ..........................................................................................................................................................................

84

CHAPTER 5 MAIN FEATURES OF REGULATORY CAPITAL INSTRUMENTS (OTHER EXTERNAL TLAC-ELIGIBLE

INSTRUMENTS)................................................................................................................................................................................

86

CHAPTER 6 DISCLOSURE ON LEVERAGE RATIO ...................................................................................................................

104

CHAPTER 7 TLAC ..........................................................................................................................................................................

106

PART 2: NHI Consolidated Liquidity Coverage Ratios ........................................................................................................................

113

CHAPTER 1 QUANTITATIVE DISCLOSURE...............................................................................................................................

113

CHAPTER 2 QUALITATIVE DISCLOSURE..................................................................................................................................

114

1.

Consolidated Liquidity Coverage Ratio Fluctuations Explained in a Chronological Order ......................................................

114

2. Assessment of the Levels of the Consolidated Liquidity Coverage Ratio .................................................................................

114

3.

Composition of the Stock of High Quality Liquid Assets ..........................................................................................................

114

4.

Other Matters Relating to Consolidated Liquidity Coverage Ratio ...........................................................................................

114

CHAPTER 3 DISCLOSURE ON LIQUIDITY RISK MANAGEMENT POLICY ..........................................................................

115

1.

Liquidity Risk Management Policy and Operation....................................................................................................................

115

2.

Liquidity Risk Management Framework ...................................................................................................................................

115

3.

Other Liquidity Risk Management ............................................................................................................................................

116

PART 3: Disclosure Policy ....................................................................................................................................................................

117

2

PART 1: NHI Consolidated Capital Ratios

CHAPTER 1 DISCLOSURE ON CAPITAL ITEMS

(Unit: JPY million, %)

CC1: Composition of regulatory capital

Basel III

a

b

Item

template No.

March 31, 2021

Reference numbers of CC2

Common Equity Tier 1 Capital: Instruments and Reserves(1)

1a+2-1c-26

Directly issued qualifying common share capital plus

2,729,844

related capital surplus and retained earnings

1a

out of which, capital and capital surplus

1,290,614

1a

2

out of which, retained earnings

1,530,474

2

1c

out of which, investments in own shares (-)

91,245

1c

26

out of which, expected outflow of funds from

businesses (-)

out of which, amounts except for the above items

1b

Share warrant related to common share

3

Accumulated other comprehensive income and other

(38,144)

3

disclosed reserves

5

Adjusted amount of minority interests related to

Common Equity Tier 1 capital

6

Common Equity Tier 1 capital before

(A)

2,691,700

regulatory adjustments

Common Equity Tier 1 Capital: Regulatory Adjustments(2)

8+9

Intangibles other than mortgage-servicing rights (net

104,792

of related tax liability)

8

out of which, goodwill (net of related tax liability,

13,408

including those equivalent)

9

out of which, intangibles other than goodwill and

91,384

mortgage-servicing rights

Deferred tax assets that rely on future profitability

10

excluding those arising from temporary differences

3,365

(net of tax liability)

11

Cash flow hedge reserve

12

Shortfall of provisions to expected losses

50,567

13

Securitization gain on sale

14

Own credit valuation

(2,633)

15

Defined-benefit pension fund net assets

9,191

16

Investments in own shares (if not already netted off

4,281

paid-in capital on reported balance sheet)

17

Reciprocal cross-holdings in common equity

Investments in the capital of financial institutions

that are outside the scope of regulatory

18

consolidation, where the Group does not own more

than 10% of the issued share capital (net of eligible

short positions) (amount above 10% threshold)

3

(Unit: JPY million, %)

Basel III

a

b

Item

template No.

March 31, 2021

Reference numbers of CC2

19+20+21

Amount exceeding the 10% threshold on specific

items

out of which, significant investments in the capital

19

of financial institutions that are outside the scope

of regulatory consolidation (net of eligible short

positions)

20

out of which, mortgage-servicing rights

21

out of which, deferred tax assets arising from

temporary differences (net of related tax liability)

22

Amount exceeding the 15% threshold on specific

items

23

out of which, significant investments in the

common stock of financial institutions

24

out of which, mortgage-servicing rights

25

out of which, deferred tax assets arising from

temporary differences (net of related tax liability)

Regulatory adjustments applied to Common Equity

27

Tier 1 due to insufficient Additional Tier 1 and Tier 2

to cover deductions

28

Total regulatory adjustments to Common

(B)

169,565

Equity Tier 1 capital

Common Equity Tier 1 Capital

29

Common Equity Tier 1 capital ((A) - (B))

(C)

2,522,134

Additional Tier 1 Capital: Instruments(3)

31a

Additional Tier 1 instruments classified as

shareholder's equity

31b

Additional Tier 1 instruments classified as share

30

warrant

32

Additional Tier 1 instruments classified as debt

315,000

Additional Tier 1 instruments issued by special

purpose vehicle, etc.

34-35

Adjusted amount of minority interests related to

3,370

Additional Tier 1 capital

33+35

Capital instruments subject to transitional

arrangements included in Additional Tier 1 capital

33

out of which, instruments issued by Group or

special purpose vehicle controlled by Group

out of which, instruments issued by consolidated

35

subsidiaries of Group (except for the special

purpose vehicle mentioned above)

36

Additional Tier 1 capital before regulatory

(D)

318,370

adjustments

4

(Unit: JPY million, %)

Basel III

a

b

Item

template No.

March 31, 2021

Reference numbers of CC2

Additional Tier 1 Capital: Regulatory Adjustments

37

Investments in own Additional Tier 1 instruments

38

Reciprocal cross-holdings in Additional Tier 1

instruments

Investments in the Additional Tier 1 instruments of

financial institutions that are outside the scope of

39

regulatory consolidation, where the Group does not

own more than 10% of the issued share capital (net

of eligible short positions) (amount above 10%

threshold)

Significant investments in the Additional Tier 1

40

instruments of financial institutions that are outside

the scope of regulatory consolidation (net of eligible

short positions)

42

Regulatory adjustments applied to Additional Tier 1

due to insufficient Tier2 to cover deductions

43

Regulatory adjustments to Additional Tier 1

(E)

capital

Additional Tier 1 Capital

44

Additional Tier 1 capital ((D) - (E))

(F)

318,370

Tier1 Capital

45

Tier 1 capital ((C) + (F))

(G)

2,840,505

Tier 2 Capital: Instruments and Provisions(4)

Tier 2 instruments classified as shareholder's equity

Tier 2 instruments classified as share warrant

46

Tier 2 instruments classified as debt

Tier 2 instruments issued by special purpose vehicle,

etc.

48-49

Adjusted amount of minority interests related to

793

Tier 2

47+49

Capital instruments subject to transitional

3,950

arrangements

47

out of which, instruments issued by Group or

3,950

special purpose vehicle controlled by Group

out of which, instruments issued by consolidated

49

subsidiaries of Group (except for the special

purpose vehicle mentioned above)

50

Provisions

50a

out of which, general provisions included in Tier 2

50b

out of which, eligible provisions included in Tier 2

51

Tier 2 capital before regulatory adjustments

(H)

4,743

5

Disclaimer

Nomura Holdings Inc. published this content on 30 July 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 July 2021 12:28:02 UTC.


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Kentaro Okuda President, Group CEO & Director
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