Financial risk management (Tables) | 12 Months Ended |
Dec. 31, 2022 |
Disclosure of financial risk management [Abstract] | |
Reflection of forward-looking information | <December, 31, 2021> ① Upside scenario Major variables(*1) Correlation 2021.4Q (*2),(*3) 2022 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 4.1 3.0 3.1 3.8 3.7 Private consumption index(YoY %) (-) 6.3 5.1 2.5 3.7 3.8 Facility investment growth rate(YoY %) (-) 4.1 0.5 1.2 5.0 5.1 Consumer price index growth rate(%) (-) 3.6 2.6 2.4 2.0 2.0 Balance on current account( 100 (-) 202.0 230.0 200.0 220.0 230.0 Government bond 3y yields(%) — 1.87 1.90 1.90 2.00 2.00 ② Central scenario Major variables(*1) Correlation 2021.4Q (*2),(*3) 2022 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 4.1 2.3 2.4 3.0 3.4 Private consumption index(YoY %) (-) 6.3 4.4 1.8 2.9 3.5 Facility investment growth rate(YoY %) (-) 4.1 0.2 0.8 4.5 4.9 Consumer price index growth rate(%) (-) 3.6 2.7 2.5 2.2 2.0 Balance on current account( 100 (-) 202.0 220.0 180.0 200.0 220.0 Government bond 3y yields(%) — 1.87 1.80 1.80 1.90 1.90 ③ Downside scenario Major variables(*1) Correlation between 2021.4Q (*2),(*3) 2022 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 4.1 1.3 1.3 1.8 3.1 Private consumption index(YoY %) (-) 6.3 3.4 0.7 1.8 3.1 Facility investment growth rate(YoY %) (-) 4.1 (0.5 ) 0.3 4.3 4.5 Consumer price index growth rate(%) (-) 3.6 3.2 3.0 3.0 2.8 Balance on current account( 100 (-) 202.0 200.0 170.0 180.0 200.0 Government bond 3y yields(%) — 1.87 2.00 2.00 2.20 2.40 (*1) Shinhan Bank applied the GDP growth rate and private consumption index as the major variables. In addition, Shinhan Card applied the GDP growth rate, facility investment growth rate, consumer price index growth rate, and balance on current account as the major variables. In addition to the table above, the Group has selected additional forecasts for the KOSPI. (*2) Considering the default forecast period, the Group reflected the future economic outlook. (*3) The macroeconomic outlook figures are estimated by the Group for the purpose of calculating expected credit losses based on information from domestic and foreign research institutes. Therefore, it could be different from other institutions’ estimates. <December, 31, 2022> ① Upside scenario Major variables(*1) Correlation between 2022.4Q (*2),(*3) 2023 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 1.4 1.6 1.7 2.5 3.9 Private consumption index(YoY %) (-) 3.6 4.9 2.8 2.1 3.6 Facility investment growth rate(YoY %) (-) 6.6 1.5 2.0 (4.2 ) 5.3 Consumer price index growth rate(%) (+) 5.3 5.0 4.0 3.4 3.0 Balance on current account(100 million dollars) (-) 15.0 30.0 40.0 80.0 100.0 Government bond 3y yields(%) — 3.9 3.7 4.0 4.0 4.0 ② Central scenario Major variables(*1) Correlation 2022.4Q (*2),(*3) 2023 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 1.4 0.4 0.5 1.2 3.7 Private consumption index(YoY %) (-) 3.6 3.8 1.5 0.6 2.8 Facility investment growth rate(YoY %) (-) 6.6 0.8 1.0 (5.3 ) 4.6 Consumer price index growth rate(%) (+) 5.3 5.3 4.4 3.8 3.4 Balance on current account(100 million dollars) (-) 15.0 20.0 30.0 60.0 80.0 Government bond 3y yields(%) — 3.9 4.0 4.2 4.2 4.2 ③ Downside scenario Major variables(*1) Correlation 2022.4Q (*2),(*3) 2023 (*2),(*3) 1Q 2Q 3Q 4Q GDP growth rate(YoY %) (-) 1.4 (0.4 ) (0.5 ) (0.1 ) 2.9 Private consumption index(YoY %) (-) 3.6 2.9 0.3 (0.8 ) 1.9 Facility investment growth rate(YoY %) (-) 6.6 0.2 0.3 (6.4 ) 3.4 Consumer price index growth rate(%) (+) 5.3 5.7 4.8 4.4 3.8 Balance on current account(100 million dollars) (-) 15.0 10.0 20.0 40.0 60.0 Government bond 3y yields(%) — 3.9 4.3 4.6 4.6 4.6 ④ Worst scenario Major variables(*1) Correlation between Economic Crisis for 1 year(*4) GDP growth rate(YoY %) (-) (5.1 ) Private consumption index(YoY %) (-) (11.9 ) Facility investment growth rate(YoY %) (-) (38.6 ) Consumer price index growth rate(%) (+) 7.5 Balance on current account(100 million dollars) (-) 401.1 Government bond 3y yields(%) — 4.4 (*1) As a result of examining the correlation between each variable, Shinhan Bank applied the GDP growth rate and private consumption index increase rate, etc. as the major variables to reflect the final forward-looking information, while, Shinhan Card applied the GDP growth rate, facility investment change rate, and current account balance, etc. as the major variables. In addition to the table above, the Group has selected unemployment rate and KOSPI forecasts. (*2) Considering the default forecast period, the Group reflected the future economic outlook. (*3) The macroeconomic outlook figures are estimated by the Group for the purpose of calculating expected credit losses based on information from domestic and foreign research institutes. Therefore, it could be different from other institutions’ estimates. (*4) Shinhan Bank and Jeju Bank reviewed and reflected the Worst scenario (during the foreign exchange crisis) in addition to the three scenarios of Upside, Central and Downside. |
Maximum exposure to credit risk | The Group’s maximum exposure to credit risk without taking into account of any collateral held or other credit enhancements as of December 31, 2021 and 2022 is as follows: 2021 2022 Due from banks and loans at amortized cost (*1),(*3): Banks W 14,166,508 20,137,657 Retail 186,358,002 183,539,365 Government/Public sector/Central bank 15,251,465 15,481,390 Corporations 172,527,573 192,985,692 Card receivable 25,065,621 27,375,162 413,369,169 439,519,266 Due from banks and loans at fair value through profit or loss(*3): Banks 34,262 135,214 Corporations 1,683,344 2,280,081 1,717,606 2,415,295 Securities at fair value through profit or loss 58,310,838 51,604,186 Securities at fair value through other comprehensive income 63,806,919 62,093,908 Securities at amortized cost(*1) 49,930,076 57,971,493 Derivative assets 3,799,189 6,461,796 Other financial assets(*1),(*2) 23,238,932 21,896,490 Guarantee contracts 16,745,707 18,226,546 Loan commitments and other credit liabilities 193,853,866 205,255,277 W 824,772,302 865,444,257 (*1) The maximum exposure amounts for due from banks, loans, securities at amortized cost and other financial assets at amortized cost are recorded as net of allowances. (*2) Other financial assets mainly comprise of accounts receivable, accrued income, deposits, domestic exchange settlement debit and suspense payments. (*3) Classified as similar credit risk group based on calculation of the BIS ratio under new Basel Capital Accord (Basel III). |
Maximum amount of exposure to credit risk by type of collateral | iii) The maximum amount of exposure to credit risk by type of collateral as of December, 31, 2021 and 2022 is as follows: 2021 Classification 12 months Life time expected credit loss Total Not impaired Impaired Guarantee W 61,890,908 8,354,723 214,589 70,460,220 Deposits and Savings 2,166,075 285,965 2,446 2,454,486 Property and equipment 1,560,567 416,545 20,162 1,997,274 Real estate 127,505,563 14,318,098 256,972 142,080,633 Securities 1,906,005 128,293 7 2,034,305 Others 5,035,546 — 5,495 5,041,041 Total W 200,064,664 23,503,624 499,671 224,067,959 2022 Classification 12 months Life time expected credit loss Total Not impaired Impaired Guarantee W 61,643,599 8,583,456 275,460 70,502,515 Deposits and Savings 2,814,723 287,890 4,348 3,106,961 Property and equipment 1,546,908 404,440 11,523 1,962,871 Real estate 136,154,296 17,439,371 317,213 153,910,880 Securities 2,325,294 243,734 159,040 2,728,068 Others 5,104,440 — 4,564 5,109,004 Total W 209,589,260 26,958,891 772,148 237,320,299 |
Impairment information by credit risk of financial assets | iv) Impairment information by credit risk of financial assets Details of impaired financial assets due to credit risk as of December 31, 2021 and 2022 are as follows: 2021 12-month Life time expected credit loss Total Allowances Net Mitigation of due to Grade 1 Grade 2 Grade 1 Grade 2 Impaired Due from banks and loans at amortized cost: Banks W 10,793,973 3,278,144 112,254 434 — 14,184,805 (18,297 ) 14,166,508 133,618 Retail 169,313,467 7,015,361 7,900,192 2,127,173 581,534 186,937,727 (579,725 ) 186,358,002 126,988,030 Government/Public sector/ Central bank 14,531,532 710,527 17,433 257 — 15,259,749 (8,284 ) 15,251,465 9,000 Corporations 101,866,101 44,060,819 10,743,965 16,702,928 853,977 174,227,790 (1,700,217 ) 172,527,573 93,682,859 Card receivable 18,793,517 2,541,833 1,829,837 2,350,634 428,068 25,943,889 (878,268 ) 25,065,621 8,774 315,298,590 57,606,684 20,603,681 21,181,426 1,863,579 416,553,960 (3,184,791 ) 413,369,169 220,822,281 Securities at fair value through other comprehensive income (*) 56,176,008 7,478,125 — 152,786 — 63,806,919 — 63,806,919 — Securities at amortized cost 48,305,398 1,605,335 — 36,290 — 49,947,023 (16,947 ) 49,930,076 — W 419,779,996 66,690,144 20,603,681 21,370,502 1,863,579 530,307,902 (3,201,738 ) 527,106,164 220,822,281 (*) Credit loss allowance recognized as other comprehensive income of securities at fair value through other comprehensive income amounted to W 2022 12-month Life time expected credit loss Total Allowances Net Mitigation of due to Grade 1 Grade 2 Grade 1 Grade 2 Impaired Due from banks and loans at amortized cost: Banks W 15,883,274 4,166,423 111,593 177 — 20,161,467 (23,810 ) 20,137,657 42,418 Retail 165,886,703 6,846,625 8,544,051 2,340,393 709,935 184,327,707 (788,342 ) 183,539,365 129,278,429 Government/Public sector/ Central bank 14,401,434 1,071,236 15,755 557 — 15,488,982 (7,592 ) 15,481,390 9,000 Corporations 116,264,866 47,287,903 12,582,994 17,780,729 880,857 194,797,349 (1,811,657 ) 192,985,692 104,854,134 Card receivable 20,858,888 2,727,744 1,671,259 2,662,353 493,480 28,413,724 (1,038,562 ) 27,375,162 12,589 333,295,165 62,099,931 22,925,652 22,784,209 2,084,272 443,189,229 (3,669,963 ) 439,519,266 234,196,570 Securities at fair value through other comprehensive income(*) 52,920,399 9,106,311 — 67,198 — 62,093,908 — 62,093,908 — Securities at amortized cost 56,333,659 1,643,689 — 10,516 — 57,987,864 (16,371 ) 57,971,493 — W 442,549,223 72,849,931 22,925,652 22,861,923 2,084,272 563,271,001 (3,686,334 ) 559,584,667 234,196,570 (*) Credit loss allowance recognized as other comprehensive income of securities at fair value through other comprehensive income amounted to W |
Credit risk exposures per credit grade of off-balance items | v) Credit risk exposures per credit grade of off-balance Credit risk exposures per credit grade of off-balance 2021 Grade 1 Grade 2 Impaired Total Guarantee contracts: 12-month W 12,671,376 3,434,615 — 16,105,991 Life time expected credit loss 342,224 205,179 — 547,403 Impaired — — 92,313 92,313 13,013,600 3,639,794 92,313 16,745,707 Loan commitment and other credit line 12-month 160,307,100 23,370,613 — 183,677,713 Life time expected credit loss 7,406,324 2,759,057 — 10,165,381 Impaired — — 10,772 10,772 167,713,424 26,129,670 10,772 193,853,866 W 180,727,024 29,769,464 103,085 210,599,573 2022 Grade 1 Grade 2 Impaired Total Guarantee contracts: 12-month W 14,262,990 3,314,584 — 17,577,574 Life time expected credit loss 386,159 164,400 — 550,559 Impaired — — 98,413 98,413 14,649,149 3,478,984 98,413 18,226,546 Loan commitment and other credit line 12-month 178,532,138 17,418,916 — 195,951,054 Life time expected credit loss 6,287,658 3,011,715 — 9,299,373 Impaired — — 4,850 4,850 184,819,796 20,430,631 4,850 205,255,277 W 199,468,945 23,909,615 103,263 223,481,823 |
Credit quality of derivative assets | vi) Credit qualities are classified based on the internal credit rating as follows: Type of Borrower Grade 1 Grade 2 Individuals Probability of default below 2.25% for each pool Probability of default 2.25% or above for each pool Government/Public agency/Central bank OECD sovereign credit rating of 6 or above OECD sovereign credit rating of below 6 Banks and Corporations (Including credit card bond) Internal credit rating of BBB+ or above Internal credit rating of below BBB+ Card receivables (Individuals) Behavior scoring system of 7 grade or above Behavior scoring system of below 7 grade |
Concentration by geographic location | vii) Credit risk exposures per credit quality of derivative assets Credit quality of derivative assets as of December 31, 2021 and 2022 are as follows: 2021 2022 Grade 1 W 3,201,912 5,942,661 Grade 2 597,277 519,135 W 3,799,189 6,461,796 (*) Credit quality of derivative assets is classified based on the internal credit ratings. viii) Concentration by geographic location An analysis of concentration by geographic location for financial instrument, net of allowance, as of December 31, 2021 and 2022 are as follows: 2021 Classification (*) Korea USA UK Japan Germany Vietnam China Other Total Due from banks and loans at amortized cost Banks W 4,310,888 1,525,158 235,591 450,689 530,688 1,676,080 2,677,445 2,759,969 14,166,508 Retail 175,777,754 392,882 7,683 4,338,281 3,111 2,412,670 1,944,105 1,481,516 186,358,002 Government/Public sector/Central bank 11,807,591 796,405 — 1,279,012 217,773 248,301 462,308 440,075 15,251,465 Corporations 151,625,249 3,684,068 254,051 4,375,807 94,186 3,012,133 2,947,746 6,534,333 172,527,573 Card receivable 24,832,367 10,435 462 2,033 233 170,929 32,281 16,881 25,065,621 368,353,849 6,408,948 497,787 10,445,822 845,991 7,520,113 8,063,885 11,232,774 413,369,169 Deposits and loans at FVTPL Banks — 34,262 — — — — — — 34,262 Corporations 1,113,229 282,513 — 19,274 — — — 268,328 1,683,344 1,113,229 316,775 — 19,274 — — — 268,328 1,717,606 Securities measured at FVTPL 53,942,627 2,359,478 255,023 91,766 19,048 27,613 76,107 1,539,176 58,310,838 Securities at FVOCI 59,353,250 1,871,526 164,340 250,768 52,199 120,884 679,527 1,314,425 63,806,919 Securities at amortized cost 46,896,258 777,546 — 244,149 — 902,377 80,041 1,029,705 49,930,076 W 529,659,213 11,734,273 917,150 11,051,779 917,238 8,570,987 8,899,560 15,384,408 587,134,608 Off-balance Guarantees W 15,451,432 156,225 4,690 28,725 13,374 382,307 617,574 91,380 16,745,707 Loan commitments and other liabilities related to credit 182,701,367 686,381 260,036 771,183 87,080 2,772,750 2,157,388 4,417,681 193,853,866 W 198,152,799 842,606 264,726 799,908 100,454 3,155,057 2,774,962 4,509,061 210,599,573 (*) The following accounts are the net carrying value less provision for doubtful accounts. 2022 Classification(*) Korea USA UK Japan Germany Vietnam China Other Total Due from banks and loans at amortized cost Banks W 5,956,111 2,259,951 765,128 879,022 675,370 1,793,330 3,861,678 3,947,067 20,137,657 Retail 171,780,848 403,445 8,199 4,357,325 3,716 3,183,424 2,030,305 1,772,103 183,539,365 Government/Public sector/Central bank 11,251,561 915,306 — 1,404,163 426,747 345,843 441,551 696,219 15,481,390 Corporations 170,961,934 3,687,701 451,254 5,152,628 105,205 3,228,817 2,694,661 6,703,492 192,985,692 Card receivable 27,065,988 11,017 428 2,291 286 236,095 38,416 20,641 27,375,162 387,016,442 7,277,420 1,225,009 11,795,429 1,211,324 8,787,509 9,066,611 13,139,522 439,519,266 Deposits and loans at FVTPL Banks 109,098 26,116 — — — — — — 135,214 Corporations 1,510,976 285,107 82,172 17,829 — — — 383,997 2,280,081 1,620,074 311,223 82,172 17,829 — — — 383,997 2,415,295 Securities measured at FVTPL 48,322,318 1,602,598 252,390 58,255 23,610 31,952 16,469 1,296,594 51,604,186 Securities at FVOCI 55,849,223 3,104,384 193,598 348,240 34,065 92,940 688,085 1,783,373 62,093,908 Securities at amortized cost 54,843,005 1,020,227 — 214,653 — 726,476 110,884 1,056,248 57,971,493 547,651,062 13,315,852 1,753,169 12,434,406 1,268,999 9,638,877 9,882,049 17,659,734 613,604,148 Off-balance Guarantees 16,426,498 118,951 23,481 47,805 44,203 329,904 1,015,543 220,161 18,226,546 Loan commitments and other liabilities related to credit 194,236,727 1,312,830 317,335 550,116 42,230 1,816,773 2,548,483 4,430,783 205,255,277 W 210,663,225 1,431,781 340,816 597,921 86,433 2,146,677 3,564,026 4,650,944 223,481,823 (*) The following accounts are the net carrying value less provision for doubtful accounts. |
Concentration by industry sector | ix) Concentration by industry sector An analysis of concentration by industry sector of financial instrument, net of allowance, as of and December 31, 2021 and 2022 is as follows: 2021 Classification (*) Finance and Manufacturing Retail and Real estate Construction Lodging and Other Retail Total Due from banks and loans at amortized cost: Banks W 13,447,829 — — — — — 718,679 — 14,166,508 Retail — — — — — — — 186,358,002 186,358,002 Government/Public sector/Central bank 15,216,403 — — 1,797 — — 33,265 — 15,251,465 Corporations 13,384,083 53,134,572 21,167,564 41,106,836 3,727,338 6,544,166 33,463,014 — 172,527,573 Card receivable 51,123 252,973 228,900 46,896 45,568 29,713 1,899,301 22,511,147 25,065,621 42,099,438 53,387,545 21,396,464 41,155,529 3,772,906 6,573,879 36,114,259 208,869,149 413,369,169 Due from banks and loans at FVTPL Banks 34,262 — — — — — — — 34,262 Corporations 986,736 492,598 15,107 78,753 22,537 2,637 84,976 — 1,683,344 1,020,998 492,598 15,107 78,753 22,537 2,637 84,976 — 1,717,606 Securities measured at FVTPL 33,769,892 3,248,846 1,169,038 773,687 299,972 152,341 18,897,062 — 58,310,838 Securities at FVOCI 27,034,695 3,529,756 523,631 775,967 1,144,998 30,928 30,766,944 — 63,806,919 Securities at amortized cost 10,309,318 — — 1,074,393 1,249,070 — 37,297,295 — 49,930,076 114,234,341 60,658,745 23,104,240 43,858,329 6,489,483 6,759,785 123,160,536 208,869,149 587,134,608 Off-balance Guarantees 2,308,627 8,124,340 3,469,001 350,591 207,691 151,653 2,132,267 1,537 16,745,707 Loan commitments and other liabilities related to credit 15,445,541 25,389,003 8,908,201 3,676,457 2,213,871 499,633 20,404,848 117,316,312 193,853,866 W 17,754,168 33,513,343 12,377,202 4,027,048 2,421,562 651,286 22,537,115 117,317,849 210,599,573 (*) The composition details by industry are net book value less allowances. 2022 Classification (*) Finance and Manufacturing Retail and Real estate Construction Lodging and Other Retail Total Due from banks and loans at amortized cost: Banks W 19,486,003 — — — 29,979 — 621,675 — 20,137,657 Retail — — — — — — — 183,539,365 183,539,365 Government/Public sector/Central bank 15,422,776 — — 1,296 — — 57,318 — 15,481,390 Corporations 16,579,826 57,861,407 22,984,739 45,088,702 4,470,587 6,619,476 39,380,955 — 192,985,692 Card receivable 47,835 276,473 266,220 49,060 51,113 31,333 1,084,143 25,568,985 27,375,162 51,536,440 58,137,880 23,250,959 45,139,058 4,551,679 6,650,809 41,144,091 209,108,350 439,519,266 Due from banks and loans at FVTPL Banks 26,115 — — 69,533 — — 39,566 — 135,214 Corporations 1,287,647 615,693 94,393 154,329 68,460 — 59,559 — 2,280,081 1,313,762 615,693 94,393 223,862 68,460 — 99,125 — 2,415,295 Securities measured at FVTPL 29,194,048 1,962,916 1,018,407 1,039,955 247,657 89,394 18,051,809 — 51,604,186 Securities at FVOCI 25,383,957 2,917,059 602,196 780,751 883,115 38,704 31,488,126 — 62,093,908 Securities at amortized cost 14,169,681 9,931 — 1,090,606 1,357,949 — 41,343,326 — 57,971,493 121,597,888 63,643,479 24,965,955 48,274,232 7,108,860 6,778,907 132,126,477 209,108,350 613,604,148 Off-balance Guarantees 2,444,168 8,998,689 3,403,653 115,912 224,439 112,755 2,576,924 350,006 18,226,546 Loan commitments and other liabilities related to credit 17,871,585 28,414,045 10,535,492 3,918,854 2,242,493 462,976 15,669,405 126,140,427 205,255,277 W 20,315,753 37,412,734 13,939,145 4,034,766 2,466,932 575,731 18,246,329 126,490,433 223,481,823 (*) The composition details by industry are net book value less allowances. |
Market risk management from trading positions | i) Market risk management from trading positions i-1) Market risk is defined as the risk of loss of trading account position of financial institutions due to changes on market price, such as interest rates, exchange rates and stock prices, etc. and is divided into general market risks and individual risks. A general market risk refers to a loss from price variability caused by events affecting the market as a whole, such as interest rates, exchange rates and stock prices; and an individual risk refers to a loss from price variability related to individual events of securities issuer, such as bonds and stocks. i-2) The basic principle of market risk management in the trading sector is to maintain the maximum possible loss due to market risk within a certain level. To this end, the Group sets and operates VaR limits, investment limits, position limits, sensitivity limits, and loss limits from the portfolio to individual desks. These limits are managed daily by the department in charge of risk management, independent from the operating department. Trading positions refer to securities, foreign exchange positions, and derivative financial instruments held for the purpose of obtaining short-term trading gains. As a method of measuring market risk, VaR (Value at Risk) is typical, and it is a statistical measurement of the potential maximum loss that can occur due to changes in market conditions. VaR calculates the standard method market risk using the Group Market Risk Measurement System (TRMS), and Shinhan Bank and Shinhan Financial Investment use their own internal model market risk calculation system. Stress tests are conducted to supplement risk measurement by statistical methods and to manage losses that may arise from rapid changes in the economic environment. Shinhan Bank measures the market risk of linear products, such as stocks and bonds, as well as non-linear Shinhan Securities measures daily market risk by applying historical simulation VaR method of 99.9% confidence level-based VaR. Historical simulation VaR method does not require assumption on a particular distribution since the method derives scenarios directly from historical market data, and measures non-linear An analysis of the Group’s requisite capital in light of the market risk for trading positions as of and for the years ended December 31, 2021 and 2022 based on the standard guidelines for risk management promulgated by the Financial Supervisory Service, is as follows: 2021 Average Maximum Minimum December 31 Interest rate risk W 587,482 625,298 557,622 576,515 Stock price risk 209,101 231,137 179,415 219,900 Foreign exchange risk 274,140 301,271 245,232 299,909 Commodity risk 8,544 9,571 8,043 8,043 Option volatility risk 16,404 30,244 1,269 19,032 W 1,095,671 1,197,521 991,581 1,123,399 2022 Average Maximum Minimum December 31 Interest rate risk W 485,531 526,936 447,425 447,425 Stock price risk 217,845 242,341 196,879 242,341 Foreign exchange risk 334,543 374,984 293,437 344,415 Commodity risk 11,624 14,309 9,213 9,213 Option volatility risk 64,208 71,811 43,374 70,770 W 1,113,751 1,230,381 990,328 1,114,164 i-3) The analyses of the ten-day 2021 Average Maximum Minimum December 31 Interest rate risk W 28,749 55,773 17,537 28,030 Stock price risk 11,583 21,340 3,850 19,618 Foreign exchange risk (*) 159,165 185,514 136,936 161,978 Option volatility risk 162 368 29 60 Commodity risk 11 151 — 8 Portfolio diversification effect (25,023 ) (52,611 ) (13,207 ) (17,470 ) W 174,647 210,535 145,145 192,224 2022 Average Maximum Minimum December 31 Interest rate risk W 44,719 64,628 24,322 53,777 Stock price risk 20,303 24,879 13,443 21,659 Foreign exchange risk (*) 191,013 262,319 161,760 252,453 Option volatility risk 84 211 25 110 Commodity risk 13 193 — 27 Portfolio diversification effect (33,760 ) (77,335 ) (10,872 ) (62,957 ) W 222,372 274,895 188,678 265,069 (*) Both trading and non-trading i-4) The analyses of Shinhan Card’s requisite capital in light of the market risk for trading positions as of and for the years ended December 31 2021 and 2022, based on the standard guidelines for risk management promulgated by the Financial Supervisory Service, are as follows: 2021 Average Maximum Minimum December 31 Interest rate risk(*) W 1,996 2,350 1,700 1,700 2022 Average Maximum Minimum December 31 Interest rate risk(*) W 1,784 2,401 1,650 1,801 (*) Foreign subsidiaries are excluded from the calculation. i-5) The analyses of the ten-day 99.9 2021 Average Maximum Minimum December 31 Interest rate risk W 21,079 35,503 7,724 27,207 Stock price risk 31,668 62,315 15,856 33,295 Foreign exchange risk 24,354 43,826 2,548 28,594 Option volatility risk 49,345 96,355 31,155 79,589 Portfolio diversification effect (47,759 ) (104,149 ) (7,380 ) (58,241 ) W 78,687 133,850 49,903 110,444 2022 Average Maximum Minimum December 31 Interest rate risk W 30,003 44,131 17,123 39,578 Stock price risk 36,100 63,956 14,507 25,762 Foreign exchange risk 31,709 63,480 13,452 63,480 Option volatility risk 70,021 103,928 40,806 43,102 Portfolio diversification effect (64,641 ) (147,826 ) (9,066 ) (74,885 ) W 103,192 127,669 76,822 97,037 i-6) The analyses of the ten-day 2021 Average Maximum Minimum December 31 Interest rate risk W 4,161 9,262 457 1,259 Stock price risk 8,938 15,009 1,909 6,303 Foreign exchange risk 7,680 13,746 481 11,404 Option volatility risk 1,252 2,828 26 47 W 22,031 40,845 2,873 19,013 2022 Average Maximum Minimum December 31 Interest rate risk W 3,412 6,756 1,253 3,415 Stock price risk 9,441 11,034 6,206 9,505 Foreign exchange risk 13,403 30,111 818 23,286 Option volatility risk 179 493 11 494 W 26,435 48,394 8,288 36,700 |
Interest rate risk management from non-trading positions | ii) Interest rate risk management from non-trading ii-1) Interest rate risk refers to the possibility of a decrease in net interest income or in net asset value that occurs when interest rates fluctuate unfavorably from the Group’s financial position. The Group manages changes in net interest income or net asset value that occur due to changes in interest rates by early predicting the factors of interest rate risk fluctuation related to the Group’s net interest income and net asset value through the interest rate risk management. ii-2) Shinhan Financial Group’s major financial subsidiaries manage interest rate risks independently by the risk management organization and the treasury department, and have internal regulations on interest rate risk management strategies, procedures, organization, measurement, and major assumptions. One of the key indicators of managing interest rate risk is the Earnings at Risk (EaR) from an earning perspective and the Value at Risk (VaR) from an economic value perspective. Interest rate VaR represents the maximum anticipated loss in a net present value calculation, whereas interest rate EaR represents the maximum anticipated loss in a net interest income calculation for the immediately following one-year The precision of risk management system differs by each subsidiary. Interest rate VaR and interest rate EaR are measured by internal method or IRRBB (Interest Rate Risk In The Banking Book), and interest rate risk limits are set and monitored based on the interest rate VaR. In accordance with the amendments in Regulations for Supervision of Financial Holding Companies, the Group measures the interest rate risk using the Basel III based IRRBB, which measures the interest rate risk more precisely than the existing BIS standard framework by segmenting maturities of interest rates, reflecting customer behavior models and diversifying interest rate shocks. The interest rate VaR scenario based IRRBB measures ① parallel up shock ② parallel down shock ③ steepener shock ④ flattener shock ⑤ short rate up shock ⑥ short rate down shock. By the parallel up shock and parallel down shock, the interest rate EaR scenario measures the scenario value with the largest loss as interest rate risk. Under the existing BIS standard framework, ± 200bp parallel shock scenario is applied to all currency. However, as the shock width is set differently by currency and period, interest rate risk is measured significantly by the IRRBB (e.g. (KRW) Parallel ± 300bp, Short Term ± 400bp, Long Term ± 200bp, (USD) Parallel ± 200bp, Short Term ± 300bp, Long Term ± 150bp). In the IRRBB method, the existing interest rate VaR and the interest rate EaR are expressed as Δ EVE (Economic Value of Equity) and Δ NII (Net Interest Income), respectively. Since impacts of each subsidiary on changes of interest rates are differentiated by portfolios, the Group is preparing to respond proactively while monitoring the financial market and regulatory environment, and making efforts to hedge or reduce interest rate risk. In addition, the subsidiaries conduct the crisis analysis on changes in market interest rates and report it to management and the Group. In particular, through its ALM (Asset and Liability Management) system, Shinhan Bank measures and manages its interest rate risk based on various analytical measures such as interest rate gap, duration gap and NPV (Net Present Value) and NII (Net Interest Income) simulations, and monitors on a monthly basis its interest rate VaR limits, interest rate EaR (Earnings at Risk) limits and interest rate gap ratio limits. The details of interest rate VaR and EaR for major subsidiaries for as of December 31, 2021 and 2022 are as follows: ii-3) 2021 2022 ΔEVE (*1) W 774,352 1,046,136 ΔNII (*2) 96,145 599,941 ii-4) 2021 2022 ΔEVE (*1) W 831,361 1,249,597 ΔNII (*2) 672,303 693,911 ii-5) 2021 2022 ΔEVE (*1) W 186,587 212,135 ΔNII (*2) 187,548 95,076 ii-6) 2021 2022 ΔEVE (*1) W 2,751,977 2,353,230 ΔNII (*2) 84,812 62,923 (*1) ΔEVE is the change in economic value of equity capital that can arise from changes in interest rates that affect the present value of assets, liabilities and off-balance (*2) ΔNII is the change in net interest income that can occur over the next year due to changes in interest rates by using the Basel III standard based IRRBB method. |
Foreign currency denominated assets and liabilities | Foreign currency denominated assets and liabilities as of December 31, 2021 and 2022 are as follows: 2021 USD JPY EUR CNY Other Total Assets: Cash and due from banks at amortized cost W 4,958,621 1,878,286 479,644 700,378 3,630,253 11,647,182 Due from banks at FVTPL 34,262 — — — — 34,262 Loans at FVTPL 534,098 — — — — 534,098 Loan at amortized cost 24,443,325 9,901,710 975,680 5,090,928 10,093,297 50,504,940 Securities at FVTPL 5,417,837 15,557 577,157 233 553,519 6,564,303 Derivative assets 863,223 526 10,440 1,429 33,576 909,194 Securities at FVOCI 4,264,191 162,023 240,705 397,010 998,246 6,062,175 Securities at amortized cost 1,306,357 241,232 69,282 80,133 1,812,470 3,509,474 Other financial assets 4,347,761 242,919 324,886 173,906 927,110 6,016,582 W 46,169,675 12,442,253 2,677,794 6,444,017 18,048,471 85,782,210 Liabilities: Deposits W 20,060,092 10,642,720 1,376,168 4,820,793 9,766,248 46,666,021 Financial liabilities at FVTPL 7,114 — — — 581,458 588,572 Derivative liabilities 496,616 418 12,042 1,712 13,642 524,430 Borrowings 7,518,545 940,877 181,027 463,098 931,802 10,035,349 Debt securities issued 8,887,807 137,022 892,220 — 982,736 10,899,785 Financial liabilities designated at FVTPL 1,553,683 — — — — 1,553,683 Other financial liabilities 3,806,778 116,544 195,387 551,976 1,112,455 5,783,140 W 42,330,635 11,837,581 2,656,844 5,837,579 13,388,341 76,050,980 Net domestic and foreign currency exposure W 3,839,040 604,672 20,950 606,438 4,660,130 9,731,230 Off-balance (419,387 ) (62,614 ) 325,000 (95,526 ) (2,113,543 ) (2,366,070 ) Net foreign currency exposure W 3,419,653 542,058 345,950 510,912 2,546,587 7,365,160 2022 USD JPY EUR CNY Other Total Assets: Cash and due from banks at amortized cost W 6,905,793 2,071,000 263,746 715,471 4,848,097 14,804,107 Due from banks at FVTPL 26,116 — — — — 26,116 Loans at FVTPL 291,678 — 239,520 — — 531,198 Loan at amortized cost 29,077,790 10,608,558 1,735,218 5,021,722 10,639,672 57,082,960 Securities at FVTPL 4,569,547 4,894 718,381 425 362,497 5,655,744 Derivative assets 1,476,251 2,585 33,613 4,598 33,866 1,550,913 Securities at FVOCI 5,911,909 180,352 287,774 498,367 1,191,984 8,070,386 Securities at amortized cost 1,442,437 203,102 96,701 110,997 1,705,337 3,558,574 Other financial assets 3,471,591 597,067 563,242 344,126 1,555,264 6,531,290 W 53,173,112 13,667,558 3,938,195 6,695,706 20,336,717 97,811,288 Liabilities: Deposits W 25,719,297 11,812,723 1,633,007 5,035,481 11,769,661 55,970,169 Financial liabilities at FVTPL 10,038 — — — 422,006 432,044 Derivative liabilities 1,345,476 1,899 59,206 3,074 77,662 1,487,317 Borrowings 9,976,462 1,349,529 182,926 85,862 1,226,389 12,821,168 Debt securities issued 10,774,062 352,677 675,600 108,864 1,495,991 13,407,194 Financial liabilities designated at FVTPL 1,077,789 — — — — 1,077,789 Other financial liabilities 4,282,674 259,683 621,770 889,138 1,520,382 7,573,647 W 53,185,798 13,776,511 3,172,509 6,122,419 16,512,091 92,769,328 Net domestic and foreign currency exposure W (12,686 ) (108,953 ) 765,686 573,287 3,824,626 5,041,960 Off-balance 3,692,999 711,180 (466,451 ) (55,705 ) (1,836,929 ) 2,045,094 Net foreign currency exposure W 3,680,313 602,227 299,235 517,582 1,987,697 7,087,054 |
Composition of non-derivative financial instruments and derivative financial instruments by remaining period | The details of the composition of non-derivative 2021(*1) Less than 1 1~3 3~6 6 months 1~5 More than 5 Total Non-derivative Assets: Cash and due from banks at amortized cost W 24,864,116 796,046 329,809 1,151,073 108,491 1,299,438 28,548,973 Due from banks at fair value through profit or loss 34,263 — — — — — 34,263 Loans at fair value through profit or loss 170,540 628,905 117,975 49,932 563,246 167,284 1,697,882 Loans at amortized cost 32,258,357 45,442,330 57,821,874 89,630,955 129,534,255 75,571,202 430,258,973 Securities at fair value through profit or loss 51,899,638 106,637 385,952 608,957 2,024,069 5,776,840 60,802,093 Securities at fair value through other comprehensive income 60,818,846 1,204,770 91,704 634,600 1,249,183 897,270 64,896,373 Securities at amortized cost 515,883 2,542,470 1,992,334 4,273,021 18,358,433 36,658,577 64,340,718 Other financial assets 21,052,012 50,602 25,096 372,536 253,373 1,800,309 23,553,928 W 191,613,655 50,771,760 60,764,744 96,721,074 152,091,050 122,170,920 674,133,203 Liabilities: Deposits(*2) W 212,378,477 36,147,003 40,879,482 59,303,450 17,046,796 2,589,696 368,344,904 Financial liabilities at fair value through profit or loss 1,371,503 — — — — — 1,371,503 Borrowings 13,159,909 3,928,317 3,643,545 5,171,542 14,168,441 3,649,507 43,721,261 Debt securities issued 4,833,061 7,033,973 7,257,291 17,537,101 41,799,782 5,334,848 83,796,056 Financial liabilities designated at fair value through profit or loss 332,597 294,931 586,682 1,298,402 4,165,201 1,346,057 8,023,870 Other financial liabilities 26,754,163 175,952 136,110 568,997 579,871 159,352 28,374,445 W 258,829,710 47,580,176 52,503,110 83,879,492 77,760,091 13,079,460 533,632,039 Off balance(*3): Guarantee contracts W 16,745,707 — — — — — 16,745,707 Other liabilities related to loan commitments 193,853,866 — — — — — 193,853,866 W 210,599,573 — — — — — 210,599,573 Derivatives W 380,609 23,508 11,867 23,099 (363,034 ) 47,464 123,513 2022(*1) Less than 1~3 3~6 6 months 1~5 More than Total Non-derivative Assets: Cash and due from banks at amortized cost W 25,149,737 974,982 529,653 1,795,509 126,607 1,087,249 29,663,737 Due from banks at fair value through profit or loss 26,116 — — — — — 26,116 Loans at fair value through profit or loss 424,585 858,019 58,705 141,706 735,426 329,636 2,548,077 Loans at amortized cost 40,117,301 50,209,078 62,027,337 95,214,850 138,145,726 85,266,419 470,980,711 Securities at fair value through profit or loss 42,441,397 124,005 452,662 436,486 2,823,913 7,941,405 54,219,868 Securities at fair value through other comprehensive income 54,294,050 1,664,172 506,614 955,692 5,508,063 748,761 63,677,352 Securities at amortized cost 518,445 2,048,707 1,331,479 5,383,089 26,724,733 36,906,942 72,913,395 Other financial assets 17,681,452 88,720 53,740 539,107 341,421 1,793,979 20,498,419 W 180,653,083 55,967,683 64,960,190 104,466,439 174,405,889 134,074,391 714,527,675 Liabilities: Deposits (*2) W 210,900,107 42,661,824 41,864,404 71,259,303 21,141,919 2,627,394 390,454,951 Financial liabilities at fair value through profit or loss 1,148,899 — — — — — 1,148,899 Borrowings 11,960,133 4,760,298 4,798,388 7,249,539 12,298,388 9,024,107 50,090,853 Debt securities issued 4,563,916 8,368,614 9,646,088 16,486,221 37,534,713 5,157,377 81,756,929 Financial liabilities designated at fair value through profit or loss 276,430 725,909 706,117 1,511,517 4,063,511 1,092,827 8,376,311 Other financial liabilities 27,579,552 233,395 133,729 287,774 1,037,741 113,667 29,385,858 W 256,429,037 56,750,040 57,148,726 96,794,354 76,076,272 18,015,372 561,213,801 Off balance (*3): Guarantee contracts W 18,226,546 — — — — — 18,226,546 Other liabilities related to loan commitments 205,255,277 — — — — — 205,255,277 W 223,481,823 — — — — — 223,481,823 Derivatives W (384,134) 8,916 (7,058 ) (220,528 ) (1,211,454 ) (24,069 ) (1,838,327 ) (*1) These amounts include cash flows of principal and interest on financial assets and financial liabilities. (*2) Demand deposits amounting to W W (*3) Though guarantees, loan agreements, and other credit offerings provided by the Group exist, if the counterparty requests a payment, the Group should fulfill the obligation immediately. |
The fair value hierarchy of financial instruments presented at their fair values in the statements of financial position | i-1) The fair value hierarchy of financial instruments presented at their fair values in the statements of financial position as of December 31, 2021 and 2022 are as follows: 2021 Level 1 Level 2 Level 3(*3) Total Financial assets: Due from banks measured at FVTPL W — — 34,262 34,262 Loans at FVTPL (*1) — 790,510 892,834 1,683,344 Securities at FVTPL: Debt securities and other securities (*2) 7,250,389 40,396,692 10,580,066 58,227,147 Equity securities 942,433 107,416 1,325,466 2,375,315 Gold/silver deposits 83,691 — — 83,691 8,276,513 40,504,108 11,905,532 60,686,153 Derivative assets: Trading 11,542 3,033,965 528,619 3,574,126 Hedging — 225,063 — 225,063 11,542 3,259,028 528,619 3,799,189 Securities measured at FVOCI: Debt securities 24,951,761 38,855,158 — 63,806,919 Equity securities 257,947 48,225 725,232 1,031,404 25,209,708 38,903,383 725,232 64,838,323 W 33,497,763 83,457,029 14,086,479 131,041,271 Financial liabilities: Financial liabilities measured at FVTPL: Securities sold W 787,767 — — 787,767 Gold/silver deposits 581,458 — — 581,458 1,369,225 — — 1,369,225 Financial liabilities designated at fair value through profit or loss: Derivatives-combined securities (*2) — 401,345 7,622,525 8,023,870 Derivative liabilities: Trading 191,061 2,862,761 153,933 3,207,755 Hedging — 196,060 182,749 378,809 191,061 3,058,821 336,682 3,586,564 W 1,560,286 3,460,166 7,959,207 12,979,659 (*1) Of the Financial assets at FVTPL invested by the Group, P-note’s W Accounting estimates and assumptions used in preparing consolidated financial statements may lead to adjustment in response to changes in uncertainty, such as information and market conditions available in the future. In addition, the ultimate impact on the business, financial condition, performance, and liquidity of the Group is unpredictable. (*2) Financial instruments (Beneficiary certificates: W W (*3) The valuation amount for the over-the-counter W W W W over-the-counter 2022 Level 1 Level 2 Level 3(*3) Total Financial assets: Due from banks measured at FVTPL W — 26,116 — 26,116 Loans at FVTPL (*1) — 957,543 1,431,637 2,389,180 Securities at FVTPL: Debt securities and other securities (*2) 5,757,167 34,154,575 11,616,475 51,528,217 Equity securities 623,094 5,044 1,996,050 2,624,188 Gold/silver deposits 75,969 — — 75,969 6,456,230 34,159,619 13,612,525 54,228,374 Derivative assets: Trading 47,550 5,586,798 529,144 6,163,492 Hedging — 298,304 — 298,304 47,550 5,885,102 529,144 6,461,796 Securities measured at FVOCI: Debt securities 24,784,510 37,309,398 — 62,093,908 Equity securities 691,257 — 876,554 1,567,811 25,475,767 37,309,398 876,554 63,661,719 W 78,337,778 16,449,860 126,767,185 Financial liabilities: Financial liabilities measured at FVTPL: Securities sold W 724,104 — — 724,104 Gold/silver deposits 422,006 — — 422,006 1,146,110 — — 1,146,110 Financial liabilities designated at fair value through profit or loss: Derivatives-combined securities (*2) — 389,132 7,930,909 8,320,041 Debt securities issued — 47,327 — 47,327 — 436,459 7,930,909 8,367,368 Derivative liabilities: Trading 248,462 5,809,597 467,522 6,525,581 Hedging — 835,365 343,759 1,179,124 248,462 6,644,962 811,281 7,704,705 W 7,081,421 8,742,190 17,218,183 (*1) Of the Financial assets at FVTPL invested by the Group, P-note’s W (*2) Financial instruments (Beneficiary certificates: W W (*3) The valuation amount for the over-the-counter W W W W over-the-counter |
Changes in carrying values of financial instruments classified as Level 3 | Changes in carrying values of financial instruments classified as Level 3 for the years ended December 31, 2021 and 2022 are as follows: 2021 Financial Securities Financial Derivative assets and Held for Held for Beginning balance W 10,925,715 717,408 (8,141,504 ) 321,499 (102,024 ) Recognized in total comprehensive income for the year: Recognized in profit (loss) for the year (*1) 271,065 448 (273,536 ) 348,046 (80,725 ) Recognized in other comprehensive income (loss) for the year 38,566 24,672 (1,526 ) — — 309,631 25,120 (275,062 ) 348,046 (80,725 ) Purchase 4,792,810 21,440 — 4,394 — Issue — — (8,488,977 ) — — Settlement (3,498,968 ) (38,736 ) 9,283,018 (299,633 ) — Reclassification (*3) (9,641 ) — — — — Transfer to level 3 (*2) 507,984 — — 446 — Transfer from level 3 (*2) (194,903 ) — — (66 ) — Ending balance W 12,832,628 725,232 (7,622,525 ) 374,686 (182,749 ) 2022 Financial Securities Financial Derivative assets and Held for Held for Beginning balance W 12,832,628 725,232 (7,622,525 ) 374,686 (182,749 ) Recognized in total comprehensive income for the year: Recognized in profit (loss) for the 21,694 — 633,415 (484,756 ) (161,010 ) Recognized in other comprehensive income (loss) for the year (152,921 ) (705 ) (5,919 ) — — (131,227 ) (705 ) 627,496 (484,756 ) (161,010 ) Purchase 5,878,937 162,937 — 190,380 — Issue — — (6,030,787 ) — — Settlement (3,479,624 ) (10,910 ) 5,094,907 (18,763 ) — Transfer to level 173,636 — — — — Transfer from level (230,188 ) — — 75 — Ending balance W 15,044,162 876,554 (7,930,909 ) 61,622 (343,759 ) (*1) Recognized profit or loss of the changes in carrying value of financial instruments classified as Level 3 for the years ended December 31, 2021 and 2022 are included in the accounts of the statements of comprehensive income, of which the amounts and the related accounts are as follows: 2021 Amounts recognized in Recognized profit or loss from Net gain on financial assets at fair value through profit or loss W 619,111 322,974 Net gain (loss) on financial liabilities designated at fair value through profit or loss (273,536 ) 186,003 Net gain on securities at fair value through other comprehensive income 448 — Net other operating expense (80,725 ) (83,669 ) W 265,298 425,308 2022 Amounts recognized in Recognized profit or loss from Net loss on financial assets at fair value through profit or loss W (463,062) (607,708 ) Net gain on financial liabilities designated at fair value through profit or loss 633,415 762,342 Net gain on securities at fair value through other comprehensive income — — Net other operating expense (161,010 ) (161,010 ) W 9,343 (6,376 ) (*2) The investment securities transferred to Level 3 as the availability of observable market data changed due to reasons such as suspension of trading, and the derivative instruments transferred to Level 3 as the availability of observable market data changed due to reasons such as changes in the valuation. (*3) It has been replaced by investment assets in associates. |
Valuation techniques and inputs used in measuring the fair value of financial instruments | i-3) Valuation techniques and significant inputs not observable in markets i-3-1) Valuation techniques and inputs used in measuring the fair value of financial instruments classified as level 2 as of December 31, 2021 and 2022 are as follows: 2021 Type of financial instrument Valuation Carrying Significant inputs Assets Financial asset at fair value through profit or loss Debt securities DCF, NAV W 41,187,202 Discount rate, interest rate, stock price and etc. Equity securities NAV 107,416 Price of underlying assets such as stocks, bonds, etc. 41,294,618 Derivative assets Trading Option model, 3,033,965 Discount rate, foreign exchange rate, volatility, stock price and commodity index, etc. Hedging interest rate, DCF 225,063 3,259,028 Securities at fair value through other comprehensive income Debt securities DCF 38,855,158 Interest rate, discount rate and price of underlying assets such as stock, bonds, etc. Equity securities NAV 48,225 38,903,383 W 83,457,029 2021 Type of financial instrument Valuation Carrying Significant inputs Liabilities Financial liabilities designated at fair value through profit or loss Compound financial instruments Option model W 401,345 Discount rate Derivative liabilities Trading Option model, 2,862,761 Discount rate, foreign exchange rate, volatility, stock price and commodity Hedging DCF 196,060 index, etc. 3,058,821 W 2022 Type of financial instrument Valuation Carrying Significant inputs Assets Financial asset at fair value through profit or loss Debt securities DCF, NAV W 35,138,234 Discount rate, interest rate, stock price and etc. Equity securities NAV 5,044 Price of underlying assets such as stocks, bonds, etc. 35,143,278 Derivative assets Trading Option model, DCF 5,586,798 Discount rate, foreign exchange rate, volatility, stock price and commodity index, etc. Hedging 298,304 5,885,102 Securities at fair value through other comprehensive income Debt securities DCF 37,309,398 Interest rate, discount rate and price of underlying assets such as stock, bonds, etc. W 78,337,778 2022 Type of financial instrument Valuation Carrying Significant inputs Liabilities Financial liabilities designated at fair value through profit or loss Debt securities issued Option model W 47,327 Discount rate, volatility Compound financial instruments 389,132 Discount rate 436,459 Derivative liabilities Trading Option model, DCF 5,809,597 Discount rate, foreign exchange rate, volatility, stock price and commodity index, etc. Hedging 835,365 6,644,962 W 7,081,421 i-3-2) Valuation techniques and significant inputs, but not observable, used in measuring the fair value of financial instruments classified as level 3 as of December 31, 2021 and 2022 are as follows: 2021 Type of financial instrument Valuation Carrying Significant unobservable inputs Range Financial assets Financial asset at fair value through profit or loss Debt securities DCF, NAV, W 11,507,162 The volatility of the underlying asset, Discount rate, Correlations and Growth rate 19.48%~72.69% 0.00%~1.00% Equity securities DCF, NAV, 1,325,466 The volatility of the underlying asset, Discount rate, Correlations and Growth rate 16.00%~32.00% 12,832,628 Derivative assets Equity and foreign exchange related Option model(*1) 28,783 The volatility of the underlying asset and Correlations 2.29%~50.00% Interest rates related Option model(*1) 6,029 The volatility of the underlying asset, Correlations and Discount rate 0.70% Credit and commodity related Option model(*1) 493,807 The volatility of the underlying asset and Hazard Rate 0.70%~4.70% 528,619 Securities at fair value through other comprehensive income Equity securities DCF, NAV, Comparable 725,232 The volatility of the underlying asset, Discount rate and Growth rate 25.49% 9.80%~22.79% 0.00%~2.00% W 14,086,479 2021 Type of financial instrument Valuation Carrying Significant unobservable inputs Range Financial liabilities Financial liabilities at fair Equity related Option model(*1) W 7,622,525 The volatility of the underlying asset, and Correlations 0.50%~94.90% -12.00%~88.00% Derivative liabilities Equity and foreign Option model(*1) 13,214 The volatility of the underlying asset, and Correlations 2.29%~42.00% -5.00%~91.00% Interest rates related Option model(*1) 258,364 The volatility of the underlying asset, Regression coefficient, and Correlations 0.46%~0.78% Credit and commodity Option model(*1) 65,104 The volatility of the underlying asset, and Hazard Rate 1.90%~94.90% 336,682 W 7,959,207 (*1) Option model that the Group uses in derivative valuation includes Black-Scholes model, Hull-White model, Monte Carlo simulation, etc. (*2) There is no disclosure for valuation techniques and input variables related to items where the carrying value is recognized as a reasonable approximation of fair value and the carrying value 2022 Type of financial instrument Valuation Carrying Significant unobservable inputs Range Financial assets Financial asset at fair value through profit or loss Debt securities DCF, NAV, W The volatility of the underlying asset, Discount rate, Correlations, Growth rate, and Liquidation Value 0.60%~68.10% Equity securities DCF, NAV, 1,996,050 The volatility of the underlying asset, Discount rate and Correlations 20.50%~25.30% 15,044,162 Derivative assets Equity and foreign exchange related Option model(*1) 54,541 The volatility of the underlying asset and Correlations 4.89%~84.40% Interest rates related Option model(*1) 51,025 The volatility of the underlying asset and Correlations 0.60%~1.10% Credit and commodity related Option model(*1) 423,578 The volatility of the underlying asset, Correlations and Hazard Rate 42.20%~55.90% 529,144 Securities at fair value through other comprehensive income Equity securities DCF, NAV, 876,554 The volatility of the underlying asset, Discount rate, Growth rate and Volatility 28.62% 9.08%~19.14% 0.00%~2.00% 0.56%~1.21% W 2022 Type of financial instrument Valuation Carrying Significant unobservable inputs Range Financial liabilities Financial liabilities designated at fair value through profit or loss Equity related Option model(*1) W 7,930,909 The volatility of the underlying asset and Correlations 0.20%~84.40% -44.20%~86.30% Derivative liabilities Equity and foreign exchange related Option model(*1) 13,841 The volatility of the underlying asset and Correlations 4.89%~84.40% -42.30%~87.60% Interest rates related Option model(*1) 642,123 The volatility of the underlying asset, Regression coefficient an Correlations 0.20%~1.10% Credit and commodity related Option model(*1) 155,317 The volatility of the underlying asset, 0.20%~45.70% 811,281 W 8,742,190 (*1) Option model that the Group uses in derivative valuation includes Black-Scholes model, Hull-White model, Monte Carlo simulation, etc. (*2) There is no disclosure for valuation techniques and input variables related to items where the carrying value is recognized as a reasonable approximation of fair value and the carrying value is disclosed at fair value. |
Sensitivity for changing in unobservable inputs | i-4) Sensitivity for changing in unobservable inputs For level 3 fair value measurement, changing one or more of the unobservable inputs used to reasonably possible alternative assumptions would have the following effects on profit or loss, or other comprehensive income as of December 31, 2021 and 2022. 2021 Favorable Unfavorable Financial assets: Effects on profit or loss for the period(*1),(*2): Financial asset at fair value through profit or loss W 39,084 (43,072 ) Derivative assets 16,893 (11,809 ) Securities at fair value through other comprehensive income(*2) 38,865 (38,210 ) W 94,842 (93,091 ) Financial liabilities: Effects on profit or loss for the period(*1): Financial liabilities designated at fair value through profit or loss W 45,493 (50,845 ) Derivative liabilities 25,326 (23,486 ) W 70,819 (74,331 ) 2022 Favorable Unfavorable Financial assets: Effects on profit or loss for the period(*1),(*2): Financial asset at fair value through profit or loss W 62,840 (59,865 ) Derivative assets 12,499 (11,465 ) Securities at fair value through other comprehensive income(*2) 44,097 (32,469 ) W 119,436 (103,799 ) Financial liabilities: Effects on profit or loss for the period(*1): Financial liabilities designated at fair value through profit or loss W 57,121 (60,525 ) Derivative liabilities 16,388 (16,908 ) W 73,509 (77,433 ) (*1) Fair value changes are calculated by increasing or decreasing the volatility of the underlying asset(-10~10%p) (-10~10%p), (*2) Fair value changes are calculated by increasing or decreasing the growth rate and discount rate, which are a significant unobservable input, from -1%p |
The method of measuring the fair value of financial instruments measured at amortized cost | ii-1) The method of measuring the fair value of financial instruments measured at amortized cost is as follows: Type Measurement methods of fair value Cash and due from banks The carrying value and the fair value for cash are identical and most of deposits are floating interest rate deposits or next day deposits of a short-term instrument. For this reason, the carrying value approximates fair value. Loans The fair value of the loans is measured by discounting the expected cash flow at the market interest rate and credit risk of the borrower. Securities An external professional evaluation agency is used to calculate the valuation amount using the market information. The agency calculates the fair value based on active market prices, and DCF model is used to calculate the fair value if there is no quoted price. Deposits and borrowings The carrying value and the fair value for demand deposits, cash management account deposits, call money as short-term instrument are identical. The fair value of others is measured by discounting the contractual cash flow at the market interest rate that takes into account the residual risk. Debt securities issued Where available, the fair value of deposits and borrowings is based on the published price quotations in an active market. In case there is no data for an active market price, it is measured by discounting the contractual cash flow at the market interest rate that takes into account the residual risk. Type Measurement methods of fair value Other financial assets and other financial liabilities The carrying value is measured at fair value for short-term and suspense accounts, such as spot exchange, inter-bank fund transfer, and domestic exchange of payments, and for the remaining financial instruments, the present value is calculated by discounting the contractual cash flows at a discount rate which considered residual risk at the market interest rate. |
The carrying value and the fair value of financial instruments measured at amortized cost | ii-2) 2021 2022 Carrying value Fair value Carrying value Fair value Assets: Deposits measured at amortized cost W 24,232,013 24,216,932 27,227,755 27,123,736 Loans measured at amortized cost 389,137,156 390,406,822 412,291,511 409,344,807 Securities measured at amortized cost Government bonds 34,679,301 34,377,110 38,371,463 33,820,827 Financial institution bonds 3,423,536 3,477,834 6,530,386 6,294,481 Corporation bonds 11,827,239 11,750,467 13,069,644 11,428,463 49,930,076 49,605,411 57,971,493 51,543,771 Other financial assets 23,238,932 23,389,209 21,896,490 22,129,807 W 486,538,177 487,618,374 519,387,249 510,142,121 Liabilities: Deposit liabilities Demand deposits W 172,107,724 172,107,724 157,446,276 157,446,276 Time deposits 161,498,901 161,301,409 196,265,911 195,886,583 Certificate of deposit 16,576,536 16,606,894 14,921,375 14,748,736 Issued bill deposit 5,818,001 5,817,844 6,631,858 6,631,276 CMA deposits 5,246,478 5,246,478 4,634,010 4,634,010 Others 3,649,035 3,648,983 3,111,315 3,110,993 364,896,675 364,729,332 383,010,745 382,457,874 Borrowing debts: Call-money 1,534,611 1,534,611 1,276,301 1,276,301 Bills sold 9,032 9,019 15,057 15,006 Bonds sold under repurchase agreements 10,709,115 10,709,115 9,544,536 9,544,536 Borrowings 30,914,307 30,803,417 38,443,281 37,602,027 43,167,065 43,056,162 49,279,175 48,437,870 Debts: Borrowings in Korean won 69,288,982 69,081,140 63,927,063 62,059,253 Borrowings in foreign currency 10,860,381 11,076,757 13,361,720 13,051,576 80,149,363 80,157,897 77,288,783 75,110,829 Other financial liabilities 29,880,879 29,872,186 32,099,649 31,790,397 W 518,093,982 517,815,577 541,678,352 537,796,970 |
The fair value hierarchy of financial instruments which are not measured at their fair values in the statements of financial position | ii-3) The fair value hierarchy of financial assets and liabilities which are not measured at their fair values in the statements of financial position but with their fair value disclosed as of December 31, 2021 and 2022 are as follows: 2021 Level 1 Level 2 Level 3 Total Assets: Deposits measured at amortized cost W 252,474 23,964,458 — 24,216,932 Loans measured at amortized cost — 2,387,533 388,019,289 390,406,822 Securities measured at amortized cost: Government bonds 23,045,322 11,331,788 — 34,377,110 Financial institution bonds 698,105 2,779,729 — 3,477,834 Corporation bonds — 11,662,046 88,421 11,750,467 23,743,427 25,773,563 88,421 49,605,411 Other financial assets — 14,200,356 9,188,853 23,389,209 W 23,995,901 66,325,910 397,296,563 487,618,374 Liabilities: Deposit liabilities: Demand deposits W — 172,107,724 — 172,107,724 Time deposits — — 161,301,409 161,301,409 Certificate of deposit — — 16,606,894 16,606,894 Issued bill deposit — — 5,817,844 5,817,844 CMA deposits — 5,246,478 — 5,246,478 Other — 3,553,942 95,041 3,648,983 — 180,908,144 183,821,188 364,729,332 Borrowing debts: Call-money — 1,534,611 — 1,534,611 Bills sold — — 9,019 9,019 Bonds sold under repurchase agreements — — 10,709,115 10,709,115 Borrowings — — 30,803,417 30,803,417 — 1,534,611 41,521,551 43,056,162 Debts: Borrowings in won — 38,474,804 30,606,336 69,081,140 Borrowings in foreign currency — 7,956,414 3,120,343 11,076,757 — 46,431,218 33,726,679 80,157,897 Other financial liabilities — 9,413,875 20,458,311 29,872,186 W — 238,287,848 279,527,729 517,815,577 2022 Level 1 Level 2 Level 3 Total Assets: Deposits measured at amortized cost W 429,794 26,693,942 — 27,123,736 Loans measured at amortized cost — 5,832,484 403,512,323 409,344,807 Securities measured at amortized cost: Government bonds 22,668,684 11,152,143 — 33,820,827 Financial institution bonds 1,898,457 4,396,024 — 6,294,481 Corporation bonds — 11,428,463 — 11,428,463 24,567,141 26,976,630 — 51,543,771 Other financial assets — 12,598,487 9,531,320 22,129,807 W 24,996,935 72,101,543 413,043,643 510,142,121 Liabilities: Deposit liabilities: Demand deposits W — 157,446,276 — 157,446,276 Time deposits — — 195,886,583 195,886,583 Certificate of deposit — — 14,748,736 14,748,736 Issued bill deposit — — 6,631,276 6,631,276 CMA deposits — 4,634,010 — 4,634,010 Other — 3,057,789 53,204 3,110,993 — 165,138,075 217,319,799 382,457,874 Borrowing debts: Call-money — 1,276,301 — 1,276,301 Bills sold — — 15,006 15,006 Bonds sold under repurchase agreements — — 9,544,536 9,544,536 Borrowings — 19,922 37,582,105 37,602,027 — 1,296,223 47,141,647 48,437,870 Debts: Borrowings in won — 31,665,994 30,393,259 62,059,253 Borrowings in foreign currency — 9,625,410 3,426,166 13,051,576 — 41,291,404 33,819,425 75,110,829 Other financial liabilities — 8,921,782 22,868,615 31,790,397 W — 216,647,484 321,149,486 537,796,970 |
Valuation techniques and inputs used in the fair value measurements categorized within Level 2 and Level 3 for fair value disclosures, which are not recognized at fair value | ii-4) Valuation techniques and inputs used in the fair value measurements categorized within Level 2 and Level 3 for fair value disclosures, which are not recognized at fair value, as at December 31, 2021 and 2022, are as follows: 2021 Fair value(*) Valuation Inputs Financial instruments classified as level 2 : Assets Due from banks measured at amortized cost W 23,964,458 DCF Discount rate Loans measured at amortized cost 2,387,533 DCF Discount rate, Credit spread and Prepayment rate Securities measured at amortized cost 25,773,563 DCF Discount rate Other financial assets 14,200,356 DCF Discount rate Financial instruments classified as level 3 : Assets Loans measured at amortized cost 388,019,289 DCF Discount rate, Credit spread and Prepayment rate Securities measured at amortized cost 88,421 DCF Discount rate Other financial assets 9,188,853 DCF Discount rate W 463,622,473 Financial instruments classified as level 2 : Liabilities Deposits W 180,908,144 DCF Discount rate Borrowings 1,534,611 DCF Discount rate Debt securities issued 46,431,218 DCF Discount rate Other financial liabilities 9,413,875 DCF Discount rate Financial instruments classified as level 3 : Liabilities Deposits 183,821,188 DCF Discount rate Borrowings 41,521,551 DCF Discount rate Debt securities issued 33,726,679 DCF Discount rate, Regression coefficient and Correlations Other financial liabilities 20,458,311 DCF Discount rate W 517,815,577 (*) Valuation techniques and inputs are not disclosed when the carrying value is a reasonable approximation of fair value. 2022 Fair value(*) Valuation Inputs Financial instruments classified as level 2 : Assets Due from banks measured at amortized cost W 26,693,942 DCF Discount rate Loans measured at amortized cost 5,832,484 DCF Discount rate, Credit spread and Prepayment rate Securities measured at amortized cost 26,976,630 DCF Discount rate Other financial assets 12,598,487 DCF Discount rate Financial instruments classified as level 3 : Assets Loans measured at amortized cost 403,512,323 DCF Discount rate, Credit spread and Prepayment rate Securities measured at amortized cost — DCF Discount rate Other financial assets 9,531,320 DCF Discount rate W 485,145,186 Financial instruments classified as level 2 : Liabilities Deposits W 165,138,075 DCF Discount rate Borrowings 1,296,223 DCF Discount rate Debt securities issued 41,291,404 DCF Discount rate Other financial liabilities 8,921,782 DCF Discount rate Financial instruments classified as level 3 : Liabilities Deposits 217,319,799 DCF Discount rate Borrowings 47,141,647 DCF Discount rate Debt securities issued 33,819,425 DCF Discount rate, Regression coefficient and Correlations Other financial liabilities 22,868,615 DCF Discount rate W 537,796,970 (*) Valuation techniques and inputs are not disclosed when the carrying value is a reasonable approximation of fair value. |
Changes in gains or losses on valuation at the transaction | iii) Changes in gains or losses on valuation at the transaction date for the years ended December 31, 2021 and 2022, are as follows: 2021 2022 Beginning balance W (292,599 ) (160,525) New transactions (206,897 ) (88,769 ) Recognized in profit for the year 338,971 105,335 Ending balance W (160,525 ) (143,959 ) |
Classification by categories of financial instruments | (f) Classification by categories of financial instruments Financial assets and liabilities are measured at fair value or amortized cost. The financial instruments measured at fair value or amortized costs are measured in accordance with the Group’s valuation methodologies, which are described in Note 4.(e) Measurement of fair value. The carrying values of each category of financial assets and financial liabilities as of December 31, 2021 and 2022 is as follows: 2021 FVTPL FVOCI Amortized cost Derivatives Total Assets: Cash and due from banks at amortized cost W — — 28,453,404 — 28,453,404 Due from banks at fair value through profit or loss 34,262 — — — 34,262 Securities at fair value through profit or loss 60,686,153 — — — 60,686,153 Derivatives assets 3,574,126 — — 225,063 3,799,189 Loans at fair value through profit or loss 1,683,344 — — — 1,683,344 Loans at amortized cost — — 389,137,156 — 389,137,156 Securities at fair value through other comprehensive income — 64,838,323 — — 64,838,323 Securities at amortized cost — — 49,930,076 — 49,930,076 Others — — 23,238,932 — 23,238,932 W 65,977,885 64,838,323 490,759,568 225,063 621,800,839 2021 FVTPL FVTPL Financial Derivatives Total Liabilities: Deposits W — — 364,896,675 — 364,896,675 Financial liabilities at fair value through profit or loss 1,369,225 — — — 1,369,225 Financial liabilities designated at FVTPL — 8,023,870 — — 8,023,870 Derivatives liabilities 3,207,755 — — 378,809 3,586,564 Borrowings — — 43,167,065 — 43,167,065 Debt securities issued — — 80,149,363 — 80,149,363 Others — — 29,880,879 — 29,880,879 W 4,576,980 8,023,870 518,093,982 378,809 531,073,641 2022 FVTPL FVOCI Amortized cost Derivatives Total Assets: Cash and due from banks at amortized cost W — — 29,532,235 — 29,532,235 Due from banks at fair value through profit or loss 26,116 — — — 26,116 Securities at fair value through profit or loss 54,228,374 — — — 54,228,374 Derivatives assets 6,163,492 — — 298,304 6,461,796 Loans at fair value through profit or loss 2,389,180 — — — 2,389,180 Loans at amortized cost — — 412,291,511 — 412,291,511 Securities at fair value through other comprehensive income — 63,661,719 — — 63,661,719 Securities at amortized cost — — 57,971,493 — 57,971,493 Others — — 21,896,490 — 21,896,490 W 62,807,162 63,661,719 521,691,729 298,304 648,458,914 2022 FVTPL FVTPL Financial Derivatives Total Liabilities: Deposits W — — 383,010,745 — 383,010,745 Financial liabilities at fair value through profit or loss 1,146,110 — — — 1,146,110 Financial liabilities designated at FVTPL — 8,367,368 — — 8,367,368 Derivatives liabilities 6,525,581 — — 1,179,124 7,704,705 Borrowings — — 49,279,175 — 49,279,175 Debt securities issued — — 77,288,783 — 77,288,783 Others — — 32,099,649 — 32,099,649 W 7,671,691 8,367,368 541,678,352 1,179,124 558,896,535 |
Transfers that do not qualify for derecognition | i) Transfers that do not qualify for derecognition ① Sale of repurchase bonds Among the Group’s sale of repurchase bonds, followings are the details of financial instruments that do not qualify for derecognition because the Group sold under repurchase agreement at a fixed price as of December 31, 2021 and 2022: 2021 2022 Transferred asset: Securities at FVTPL W 9,883,335 7,461,978 Securities at FVOCI 647,541 1,325,157 Securities at amortized cost 210,490 269,724 W 10,741,366 9,056,859 Associated liabilities: Bonds sold under repurchase agreements W 10,709,115 9,544,536 ② Securities loaned If the securities owned by the Group are loaned, the ownership of the securities is transferred, but is required to be returned at the end of the loan period. Therefore, the Group continues to recognize the entire securities loaned as it holds most of the risks and compensation of the securities. Securities loaned as of December 31, 2021 and 2022 are as follows: 2021 2022 Borrowers Government bonds W 9,044,914 13,282,971 Korea Securities Finance Corp., Korea Securities Depository, Financial institutions bonds 209,594 425,179 Korea Securities Finance Corp., Korea Securities Depository, . Corporation bonds — 222,857 BNP Paribas Securities Corp. Equity securities 8,109 44,622 CITIGROUP GLOBAL . W 13,975,629 |
Offsetting financial assets and financial liabilities | Financial assets and liabilities subject to offsetting, enforceable master netting arrangements and similar agreements as of December 31, 2021 and 2022 are as follows: 2021 Gross amounts of Gross amounts of Net amounts of Related amounts not set off in the Net amount Financial Cash collateral Assets: Derivatives (*1) W 3,821,253 — 3,821,253 9,509,183 409,487 1,775,888 Other financial instruments (*1) 7,873,305 — 7,873,305 Securities repurchased under repurchase agreements and bonds purchased under repurchase agreements (*2) 12,749,800 — 12,749,800 12,618,359 — 131,441 Securities loaned (*2) 2,648,248 — 2,648,248 2,648,248 — — Domestic exchange settlement debit (*3) 44,872,022 38,171,649 6,700,373 — — 6,700,373 Receivables from disposal of securities (*4) 7,082,779 3,477,874 3,604,905 2,668,065 — 936,840 Insurance receivables 70,087 — 70,087 45,849 — 24,238 W 79,117,494 41,649,523 37,467,971 27,489,704 409,487 9,568,780 Liabilities: Derivatives (*1)(*5) W 11,434,081 — 11,434,081 10,093,812 1,000 8,120,313 Other financial instruments (*1) 6,781,044 — 6,781,044 Bonds sold 10,709,115 — 10,709,115 10,492,779 — 216,336 Securities borrowed (*2) 787,767 — 787,767 787,767 — — Domestic exchange settlement pending (*3) 40,062,057 38,171,649 1,890,408 1,809,727 — 80,681 Payable from purchase of securities (*4) 7,036,630 3,477,874 3,558,756 2,668,767 — 889,989 Insurance payables 45,940 — 45,940 45,849 — 91 W 76,856,634 41,649,523 35,207,111 25,898,701 1,000 9,307,410 (*1) The Group has certain derivative transactions subject to the ISDA (International Derivatives Swaps and Dealers Association) agreement. According to the ISDA agreement, when credit events (e.g. default) of counterparties occur, all derivative agreements are terminated and set off. At the time of termination, the parties to the transaction will offset the amount of payment or payment to each other, and one party will pay the other party a single amount will be paid to the other party. (*2) Resale and repurchase agreement, securities borrowing and lending agreement are also similar to ISDA agreement with respect to enforceable netting agreements. (*3) The Group has legally enforceable right to set off and settles financial assets and liabilities on a net basis under normal business terms. Therefore, domestic exchanges settlement receivables (payables) are recorded on a net basis in the consolidated statements of financial position. (*4) It is an account that deals with bonds and liabilities based on the settlement of listed stocks traded in the market. The Group currently has a legally enforceable right to set off the recognized amounts and intends to settle on a net basis. Therefore, the net amount is presented in the consolidated statement of financial position. The offset amount of related bonds and liabilities based on the settlement of over-the-counter in-house (*5) As of December 31, 2021, the total amount of financial liabilities includes W W W 2022 Gross amounts of Gross amounts of Net amounts of Related amounts not set off in the Net amount Financial Cash collateral Assets: Derivatives (*1) W 6,523,848 — 6,523,848 10,950,859 473,252 2,535,392 Other financial instruments (*1) 7,435,655 — 7,435,655 Securities repurchased under repurchase agreements and bonds purchased under repurchase agreements (*2) 12,991,705 — 12,991,705 12,839,843 — 151,862 Securities loaned (*2) 4,673,143 — 4,673,143 4,660,603 — 12,540 Domestic exchange settlement debit (*3) 45,282,683 39,247,867 6,034,816 — — 6,034,816 Receivables from disposal of securities (*4) 4,933,264 2,405,878 2,527,386 1,767,831 — 759,555 Insurance receivables 145,747 — 145,747 121,315 — 24,432 W 81,986,045 41,653,745 40,332,300 30,340,451 473,252 9,518,597 Liabilities: Derivatives (*1),(*5) W 15,797,823 — 15,797,823 11,222,110 1,000 10,773,043 Other financial instruments (*1) 6,198,330 — 6,198,330 Bonds sold under repurchase agreements (*2) 9,544,536 — 9,544,536 8,931,247 — 613,289 Securities borrowed (*2) 724,104 — 724,104 724,104 — — Domestic exchange settlement pending (*3) 41,556,442 39,247,867 2,308,575 2,231,508 — 77,067 Payable from purchase of securities (*4) 4,854,358 2,405,878 2,448,480 1,768,821 — 679,659 Insurance payables 122,083 — 122,083 121,315 — 768 W 78,797,676 41,653,745 37,143,931 24,999,105 1,000 12,143,826 (*1) The Group has certain derivative transactions subject to the ISDA (International Derivatives Swaps and Dealers Association) agreement. According to the ISDA agreement, when credit events (e.g. default) of counterparties occur, all derivative agreements are terminated and set off. At the time of termination, the parties to the transaction will offset the amount of payment or payment to each other, and one party will pay the other party a single amount will be paid to the other party. (*2) Resale and repurchase agreement, securities borrowing and lending agreement are also similar to ISDA agreement with respect to enforceable netting agreements. (*3) The Group has legally enforceable right to set off and settles financial assets and liabilities on a net basis under normal business terms. Therefore, domestic exchanges settlement receivables (payables) are recorded on a net basis in the consolidated statements of financial position. (*4) It is an account that deals with bonds and liabilities based on the settlement of listed stocks traded in the market. The Group currently has a legally enforceable right to set off the recognized amounts and intends to settle on a net basis. Therefore, the net amount is presented in the consolidated statement of financial position. The offset amount of related bonds and liabilities based on the settlement of over-the-counter in-house (*5) As of December 31, 2022, the total amount of financial liabilities includes W W W |
The capital ratio of the Group based on Basel III | The capital ratio of the Group based on Basel III is as of December 31, 2021 and 2022 are as follows: 2021 2022 Capital : Tier I common equity capital W 35,469,554 37,287,768 Additional tier 1 capital 4,965,931 6,018,792 Tier I capital 40,435,485 43,306,560 Tier II capital 3,427,951 3,714,400 Total capital (A) W 43,863,436 47,020,960 Total risk-weighted assets (B) W 270,692,183 291,542,598 Capital adequacy ratio (A/B) 16.20 % 16.13 % Tier I capital adequacy ratio 14.94 % 14.85 % Common stock ratio 13.10 % 12.79 % (*) As of December 31, 2022, the Group has maintained an appropriate consolidated equity capital ratio according to the BIS equity capital regulation. |