January 30, 2023
Daiwa Securities Group Inc.
Report Regarding Consolidated Capital Adequacy Ratio
and Consolidated Leverage Ratio
Situation of Soundness in Management as of September 30, 2022
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 September 30, 2022.
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Table of Contents | ||
Qualitative Disclosure (Consolidated) | 7 | |
1. | Scope of consolidation | 7 |
2. | Reconciliation of regulatory capital to balance sheet | 9 |
Quantitative Disclosure (Consolidated) | 11 |
1. List of the Group's subsidiaries applicable to "significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation", the capital of
which is less than the capital requirement, as well as the total amount of deficit | 11 | |
2. | Amount of exposure by approaches for banks' equity investments in funds | 11 |
3. | Other quantitative disclosures | 12 |
Consolidated Leverage Ratio | 33 | |
1. | Composition of consolidated leverage ratio | 33 |
2. | Reasons for significant differences in the consolidated leverage ratio over previous year | 33 |
Overview of Main Features of Regulatory Capital Instruments | 34 |
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Key Metrics (at consolidated group level)
KM1: Key metrics
(Millions of yen , %)
Basel III template number
September 2022
June 2022
March 2022
December 2021 September 2021
Available capital (amounts)
1 | Common Equity Tier 1 | 1,258,098 | 1,246,566 | 1,189,895 | 1,166,908 | 1,148,768 |
(CET1) | ||||||
2 | Tier 1 | 1,444,447 | 1,431,727 | 1,360,623 | 1,337,697 | 1,314,659 |
3 | Total capital | 1,444,798 | 1,437,718 | 1,360,623 | 1,337,697 | 1,314,659 |
Risk-weighted assets (amounts)
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Total risk-weighted assets (RWA)
6,991,976
7,034,021
6,879,435
6,800,516
6,514,283
Capital ratio
5 | CET1 ratio (%) | 17.99% | 17.72% | 17.29% | 17.15% | 17.63% | |
6 | Tier 1 ratio (%) | 20.65% | 20.35% | 19.77% | 19.67% | 20.18% | |
7 | Total capital ratio (%) | 20.66% | 20.43% | 19.77% | 19.67% | 20.18% | |
Additional CET1 buffer requirements as a percentage of RWA | |||||||
Capital conservation buffer | |||||||
8 | requirement (2.5% from 2019) | 2.50% | 2.50% | 2.50% | 2.50% | 2.50% | |
(%) | |||||||
9 | Countercyclical buffer | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |
requirement (%) | |||||||
10 | Bank G-SIB and/or D-SIB | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | |
additional requirements (%) | |||||||
Total of bank CET1 specific | |||||||
11 | buffer requirements (%) | 3.00% | 3.00% | 3.00% | 3.00% | 3.00% | |
(row 8 + row 9 + row 10) | |||||||
CET1 available after meeting | |||||||
12 | the bank's minimum capital | 12.66% | 12.43% | 11.77% | 11.67% | 12.18% | |
requirements (%) | |||||||
Leverage ratio | |||||||
13 | Total leverage ratio exposure | 25,769,677 | 22,721,653 | 20,641,305 | 19,588,138 | 18,239,765 | |
measure | |||||||
Leverage ratio (%) including | |||||||
the impact of any | |||||||
14 | applicable temporary | 5.60% | 6.30% | 6.59% | 6.82% | 7.20% | |
exemption of central bank | |||||||
reserves | |||||||
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Composition of Capital Disclosure
CC1: Composition of regulatory capital
(Millions of yen , %)
Basel III | Group | Cross-referenced to | |||
template | Items | Consolidated | |||
CC2 | |||||
number | Quarter-End | ||||
Common Equity Tier 1 capital: Instruments and reserves | (1) | ||||
1a+2-1c-26 | Shareholders' equity | 1,270,397 | |||
1a | Common stock and capital surplus | 477,755 | (i),(j) | ||
2 | Retained earnings | 870,263 | (k) | ||
1c | Treasury stock (Δ) | 61,449 | (l),(m) | ||
26 | Planned distributions (Δ) | 16,172 | |||
Others | - | ||||
1b | Stock subscription rights | 8,561 | (p) | ||
3 | Accumulated other comprehensive income (and other reserves) | 142,339 | (o) | ||
5 | Minority interest after adjustments | - | |||
6 | Common Equity Tier 1 capital before regulatory adjustments | (a) | 1,421,298 | ||
Common Equity Tier 1 capital: regulatory adjustments | (2) | ||||
8+9 | Intangible assets other than mortgage-servicing rights (net of related tax liability) | 154,024 | |||
8 | Goodwill (net of related tax liability) | 50,786 | (e),(g) | ||
9 | Other intangibles other than mortgage-servicing rights(net of related tax liability) | 103,237 | (f) | ||
10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of | 340 | (d),(h) | ||
related tax liability) | |||||
11 | Cash-flow hedge reserve | (2,788) | (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 | 688 | |||
15 | Defined-benefit pension fund net assets | - | |||
16 | Investments in own shares (if not already netted off paid-in capital on reported balance sheet) | 222 | (b) | ||
17 | Reciprocal cross-holdings in common equity | - | |||
Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory | |||||
18 | consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued | 10,713 | (a),(b),(c),(g) | ||
share capital (amount above 10% threshold) | |||||
19+20+21 | Amount exceeding the 10% threshold | - | |||
Significant investments in the common stock of banking, financial and insurance entities that are | |||||
19 | outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% | - | |||
threshold) | |||||
20 | Mortgage servicing rights (amount above 10% threshold) | - | |||
21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related | - | |||
tax liability) | |||||
22 | Amount exceeding the 15% threshold | - | |||
23 | of which: significant investments in the common stock of financials | - | |||
24 | of which: mortgage servicing rights | - | |||
25 | of which: deferred tax assets arising from temporary differences | - | |||
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) | 163,200 | ||
Common Equity Tier 1 capital | |||||
29 | Common Equity Tier 1 capital (CET1) ((a) - (b)) | (c) | 1,258,098 | ||
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(Millions of yen , %)
Basel III | Group | Cross-referenced to | |||||
template | Items | Consolidated | |||||
CC2 | |||||||
number | Quarter-End | ||||||
Additional Tier 1 capital: instruments | (3) | ||||||
30 | 31a | Shareholders' equity | - | ||||
31b | Stock subscription rights | - | |||||
32 | Liabilities | 149,400 | |||||
Instruments issued by Special Purpose Companies | - | ||||||
34-35 | Minority interest after adjustments | 38,710 | (q) | ||||
33+35 | Tier 1 capital under Basel II included in Additional Tier 1 capital under transitional Basel III rules | - | |||||
33 | Capital instruments issued by Daiwa Securities Group Inc. and its Special Purpose Companies | - | |||||
35 | Capital instruments issued by consolidated subsidiaries and affiliates (excluding Special Purpose | - | |||||
Companies of Daiwa Securities Group Inc.) | |||||||
36 | Additional Tier 1 capital before regulatory adjustments | (d) | 188,110 | ||||
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 capital of banking, financial and insurance entities that are outside the scope of regulatory | |||||||
39 | consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued | 1,761 | (a),(b),(c),(g) | ||||
common share capital of the entity (amount above 10% threshold) | |||||||
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 | - | |||||
43 | Total regulatory adjustments to Additional Tier 1 capital | (e) | 1,761 | ||||
Additional Tier 1 capital | |||||||
44 | Additional Tier 1 capital ((d) - (e)) | (f) | 186,348 | ||||
Tier 1 capital | |||||||
45 | Tier 1 capital ((c) + (f)) | (g) | 1,444,447 | ||||
Tier 2 capital: instruments and allowance | (4) | ||||||
Shareholders' equity | - | ||||||
46 | Stock subscription rights | - | |||||
Liabilities | - | ||||||
Capital instruments issued by Special Purpose Companies | - | ||||||
48-49 | Minority interest after adjustments | 9,108 | (q) | ||||
47+49 | Tier 2 capital under Basel II included in Tier 2 capital under transitional Basel III rules | - | |||||
47 | Capital instruments issued by Daiwa Securities Group Inc. and its Special Purpose Companies | - | |||||
49 | Capital instruments issued by consolidated subsidiaries and affiliates (excluding Special Purpose | - | |||||
Companies of Daiwa Securities Group Inc.) | |||||||
50 | General allowance included and eligible allowance in Tier 2 capital | - | |||||
50a | General allowance | - | |||||
50b | Eligible allowance | - | |||||
51 | Tier 2 capital before regulatory adjustments | (h) | 9,108 | ||||
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Daiwa Securities Group Inc. published this content on 30 January 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 January 2023 06:13:27 UTC.