April 25, 2024
Daiwa Securities Group Inc.
Report Regarding Consolidated Liquidity Coverage Ratio
and Consolidated Net Stable Funding Ratio
Situation of Soundness in Liquidity Management as of Third Quarter in Fiscal Year 2023
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 liquidity management as of the third quarter in fiscal year 2023.
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Table of Contents | ||
Quantitative disclosure of consolidated Liquidity Coverage Ratio | ||
Quantitative disclosure of consolidated Net Stable Funding Ratio |
2
Key Metrics (at consolidated group level)
KM1: Key Metrics
(Unit: 1 Million Yen,%)
Third Quarter in Fiscal Year 2023
Second Quarter in Fiscal Year 2023
First Quarter in Fiscal Year 2023
Fourth Quarter in Fiscal Year 2022
Third Quarter in Fiscal Year 2022
Consolidated liquidity coverage ratio
15 | Total high-quality liquid | 2,930,477 | 2,933,588 | 2,729,197 | 2,902,501 | 2,757,599 |
assets | ||||||
16 | Total net cash outflows | 2,229,082 | 2,242,910 | 2,077,052 | 2,135,355 | 1,974,833 |
17 | Consolidated liquidity | 131.4% | 130.7% | 131.3% | 135.9% | 139.6% |
coverage ratio | ||||||
Consolidated net stable funding ratio | ||||||
18 | Total available stable | 9,790,218 | 9,800,455 | 9,170,359 | 8,127,042 | 7,974,379 |
funding | ||||||
19 | Total required stable | 6,311,045 | 6,583,224 | 6,323,935 | 5,920,309 | 5,619,064 |
funding | ||||||
20 | Consolidated net stable | 155.1% | 148.8% | 145.0% | 137.2% | 141.9% |
funding ratio | ||||||
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Quantitative Disclosure (Consolidated)
1. Quantitative disclosure of consolidated Liquidity Coverage Ratio
(Unit: 1 Million Yen,%) | ||||||
Items | Third Quarter in Fiscal Year 2023 | Second Quarter in Fiscal Year 2023 | ||||
High-Quality Liquid Assets (1) | ||||||
1 | Total high-quality liquid assets | 2,930,477 | 2,933,588 | |||
Cash Outflows (2) | Unweighted Value | Weighted Value | Unweighted Value | Weighted Value | ||
2 | Retail deposits and deposits from small business customers | 2,099,700 | 209,970 | 2,107,202 | 210,720 | |
3 | Stable deposits | ‐ | ‐ | ‐ | ‐ | |
4 | Less stable deposits | 2,099,700 | 209,970 | 2,107,202 | 210,720 | |
5 | Unsecured wholesale funding | 3,096,315 | 1,763,735 | 3,139,616 | 1,821,428 | |
6 | Operational deposits | ‐ | ‐ | ‐ | ‐ | |
7 | Unsecured wholesale funding other than operational deposits and | 2,922,562 | 1,589,982 | 2,981,124 | 1,662,936 | |
unsecured debt | ||||||
8 | Unsecured debt | 173,752 | 173,752 | 158,491 | 158,491 | |
9 | Secured funding | 12,255,800 | 588,128 | 11,980,101 | 514,327 | |
10 | Outflows related to derivative exposures, loss of funding on debt | 418,081 | 405,486 | 470,556 | 458,582 | |
products, committed credit and liquidity facilities | ||||||
11 | Outflows related to derivative exposures | 392,515 | 392,515 | 446,204 | 446,204 | |
12 | Outflows related to loss of funding on debt products | ‐ | ‐ | ‐ | ‐ | |
13 | Outflows related to credit and liquidity facilities | 25,566 | 12,971 | 24,352 | 12,378 | |
14 | Other contractual funding obligations | 6,635,694 | 1,178,263 | 6,294,022 | 1,161,713 | |
15 | Other contingent funding obligations | 86,993 | 75,769 | 108,479 | 97,401 | |
16 | Total cash outflows | 4,221,353 | 4,264,173 | |||
Cash Inflows (3) | Unweighted Value | Weighted Value | Unweighted Value | Weighted Value | ||
17 | Secured lending | 9,485,853 | 240,235 | 8,871,314 | 224,693 | |
18 | Inflows from fully performing exposures | 683,256 | 618,533 | 602,540 | 570,546 | |
19 | Other cash inflows | 5,880,651 | 1,133,501 | 5,818,566 | 1,226,023 | |
20 | Total cash inflows | 1,992,271 | 2,021,263 | |||
Consolidated Liquidity Coverage Ratio (4) | ||||||
21 | Total high-quality liquid assets | 2,930,477 | 2,933,588 | |||
22 | Total net cash outflows | 2,229,082 | 2,242,910 | |||
23 | Consolidated liquidity coverage ratio | 131.4% | 130.7% | |||
24 | Number of data used for calculation of average value | 62 | 62 | |||
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2. Quantitative disclosure of consolidated Net Stable Funding Ratio
Items
(Unit: 1 Million Yen, %)
Third Quarter in Fiscal Year 2023 | Second Quarter in Fiscal Year 2023 | ||||||||
Unweighted Value | Unweighted Value | ||||||||
Weighted | Weighted | ||||||||
≥ 6 months | ≥ 6 months | ||||||||
Indeterminate | < 6 months | ≥ 1 year | Value | Indeterminate | < 6 months | ≥ 1 year | Value | ||
< 1 year | < 1 year | ||||||||
Available Stable Funding (ASF) (1)
1 | Capital | - | - | - | 1,666,572 | 1,666,572 | - | - | - | 1,684,377 | 1,684,377 | ||
Common Equity Tier 1 capital, Additional Tier 1 capital and Tier | |||||||||||||
2 | 2 capital (excluding the proportion of Tier 2 instruments with | - | - | - | 1,666,572 | 1,666,572 | - | - | - | 1,684,377 | 1,684,377 | ||
residual maturity of less than one year) before the application of | |||||||||||||
capital deductions | |||||||||||||
3 | Other capital instruments that are not included in the above | - | - | - | - | - | - | - | - | - | - | ||
category | |||||||||||||
4 | Funding from retail and small business customers | 2,115,901 | - | - | - | 1,904,311 | 2,098,234 | - | - | - | 1,888,410 | ||
5 | Stable deposits | - | - | - | - | - | - | - | - | - | - | ||
6 | Less stable deposits | 2,115,901 | - | - | - | 1,904,311 | 2,098,234 | - | - | - | 1,888,410 | ||
7 | Wholesale funding | 1,277,511 | 12,248,138 | 373,705 | 3,045,502 | 5,891,943 | 1,339,099 | 13,030,311 | 385,227 | 2,800,524 | 5,895,781 | ||
8 | Operational deposits | - | - | - | - | - | - | - | - | - | - | ||
9 | Other wholesale funding | 1,277,511 | 12,248,138 | 373,705 | 3,045,502 | 5,891,943 | 1,339,099 | 13,030,311 | 385,227 | 2,800,524 | 5,895,781 | ||
10 | Liabilities with matching interdependent assets | - | - | - | - | - | - | - | - | - | - | ||
11 | Other liabilities | 81,808 | 5,166,671 | 10,665 | 568,329 | 327,391 | 80,506 | 6,492,577 | 18,828 | 579,408 | 331,885 | ||
12 | Derivative liabilities | - | - | ||||||||||
13 | All other liabilities and equity not included in the above | 81,808 | 5,166,671 | 10,665 | 568,329 | 327,391 | 80,506 | 6,492,577 | 18,828 | 579,408 | 331,885 | ||
categories | |||||||||||||
14 | Total available stable funding | 9,790,218 | 9,800,455 | ||||||||||
Required Stable Funding (RSF) (2) | |||||||||||||
15 | High-quality liquid assets | 410,249 | 530,524 | ||||||||||
16 | Deposits held at financial institutions for operational purposes | 59,373 | 4,964 | - | - | 34,650 | 37,661 | 5,235 | - | - | 24,066 | ||
17 | Loans, repo transactions-related assets, securities and other similar | 549,997 | 11,091,604 | 824,056 | 2,190,760 | 3,418,253 | 603,876 | 9,965,939 | 995,750 | 2,199,854 | 3,462,913 | ||
assets | |||||||||||||
18 | Loans to and repo transations with financial institutions (secured | - | 7,842,677 | 3,422 | 1,024 | 34,020 | - | 6,815,392 | 6,640 | 1,250 | 31,785 | ||
by level 1 assets) | |||||||||||||
19 | Loans to and repo transations with financial institutions (not | 549,997 | 1,331,606 | 30,068 | 789,312 | 1,093,580 | 603,876 | 1,447,263 | 23,981 | 835,584 | 1,184,540 | ||
included in item 18) | |||||||||||||
20 | Loans to and repo transations-related assets (not included in | - | 1,861,883 | 332,842 | 525,944 | 1,283,204 | - | 1,670,290 | 458,229 | 498,941 | 1,235,086 | ||
items 18, 19 and 22) | |||||||||||||
21 | With a risk weight of less than or equal to 35% under the | - | 1,607,029 | 240,974 | 11,608 | 626,410 | - | 1,369,721 | 375,503 | 6,608 | 579,769 | ||
Standardized Approach for credit risk | |||||||||||||
22 | Residential mortgages | - | - | - | - | - | - | - | - | - | - | ||
23 | With a risk weight of less than or equal to 35% under the | - | - | - | - | - | - | - | - | - | - | ||
Standardized Approach for credit risk | |||||||||||||
24 | Securities that are not in default and do not qualify as HQLA | 0 | 55,438 | 457,724 | 874,480 | 1,007,449 | 0 | 32,994 | 506,900 | 864,079 | 1,011,502 | ||
and other similar assets | |||||||||||||
25 | Assets with matching interdependent liabilities | - | - | - | - | - | - | - | - | - | - | ||
26 | Other assets | 41,961 | 436,937 | - | 2,378,623 | 2,354,010 | 14,208 | 476,877 | 120 | 2,533,602 | 2,480,246 | ||
27 | Physical traded commodities including gold | - | - | - | - | ||||||||
Assets posted as initial margin for derivative contracts and | |||||||||||||
28 | contributions to default funds of CCPs (including those that are | 221,469 | 188,248 | 246,170 | 209,245 | ||||||||
not recorded on consolidated balance sheet) | |||||||||||||
29 | Derivative assets | 408,070 | 408,070 | 520,446 | 520,446 | ||||||||
30 | Derivative liabilities (before deduction of variation margin | 23,224 | 23,224 | 30,099 | 30,099 | ||||||||
posted) | |||||||||||||
31 | All other assets not included in the above categories | 41,961 | 436,937 | - | 1,725,860 | 1,734,468 | 14,208 | 476,877 | 120 | 1,736,887 | 1,720,456 | ||
32 | Off-balance sheet items | 130,735 | 93,878 | 121,096 | 85,469 | ||||||||
33 | Total required stable funding | 6,311,045 | 6,583,224 | ||||||||||
34 | Consolidated net stable funding ratio (NSFR) | 155.1% | 148.8% |
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Daiwa Securities Group Inc. published this content on 25 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 25 April 2024 06:58:07 UTC.