Daiwa Securities : Report Regarding Consolidated Capital Adequacy Ratio and Consolidated Leverage Ratio

January 28, 2022

Daiwa Securities Group Inc.

Report Regarding Consolidated Capital Adequacy Ratio

and Consolidated Leverage Ratio

Situation of Soundness in Management as of September 30, 2021

In accordance with the Financial Instruments and Exchange Act Article 57-17, "Notification, etc., of Documents Describing Status of Soundness in Management", Daiwa Securities Group Inc. reports the situation of soundness in management as of September 30, 2021.

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Table of Contents
Table of Contents........................................................................................................................................................................	2
Key Metrics (at consolidated group level)............................................................................................................................	3
Composition of Capital Disclosure .......................................................................................................................................	4
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		September 2021	June 2021	March 2021	December 2020	September 2020
template
number
Available capital (amounts)
1	Common Equity Tier 1 (CET1)	1,148,768	1,152,962	1,123,656	1,079,983	1,034,222
2	Tier 1	1,314,659	1,327,893	1,305,210	1,214,038	1,162,574
3	Total capital	1,314,659	1,327,893	1,305,210	1,214,038	1,162,574
Risk-weighted assets (amounts)
4	Total risk-weighted assets	6,514,283	6,271,241	6,008,356	5,160,906	5,174,911
(RWA)
Capital ratio
5	CET1 ratio (%)	17.63%	18.38%	18.70%	20.92%	19.98%
6	Tier 1 ratio (%)	20.18%	21.17%	21.72%	23.52%	22.46%
7	Total capital ratio (%)	20.18%	21.17%	21.72%	23.52%	22.46%
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 the
12	bank's minimum capital	12.18%	13.17%	13.72%	15.52%	14.46%
	requirements (%)
Leverage ratio
13	Total leverage ratio exposure	18,239,765	18,785,385	18,916,695	18,282,142	18,436,197
measure
	Leverage ratio (%) including the
14	impact of any	7.20%	7.06%	6.89%	6.64%	6.30%
applicable temporary exemption
	of central bank reserves

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Composition of Capital Disclosure

CC1: Composition of regulatory capital

					(Millions of yen , %)
Basel III				Group Consolidated	Cross-referenced to
template		Items
		Quarter-End	CC2
number
Common Equity Tier 1 capital: Instruments and reserves	(1)
1a+2-1c-26	Shareholders' equity		1,260,655
1a		Common stock and capital surplus		477,934	(i),(j)
2		Retained earnings		924,139	(k)
1c		Treasury stock (Δ)		115,723	(l),(m)
26		Planned distributions (Δ)		25,693
		Others		-
1b	Stock subscription rights		9,094	(p)
3	Accumulated other comprehensive income (and other reserves)		58,878	(o)
5	Minority interest after adjustments		-
6	Common Equity Tier 1 capital before regulatory adjustments	(a)	1,328,629
Common Equity Tier 1 capital: regulatory adjustments	(2)
8+9	Intangible assets other than mortgage-servicing rights (net of related tax liability)		157,850
8		Goodwill (net of related tax liability)		54,153	(e),(g)
9		Other intangibles other than mortgage-servicing rights(net of related tax liability)		103,696	(f)
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related	265	(d),(h)
tax liability)
11	Cash-flow hedge reserve		(3,322)	(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		321
15	Defined-benefit pension fund net assets		-
16	Investments in own shares (if not already netted off paid-in capital on reported balance sheet)		168	(b)
17	Reciprocal cross-holdings in common equity		-
18	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory		24,577	(a),(b),(c),(g)
consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued share capital
	(amount above 10% threshold)
19+20+21	Amount exceeding the 10% threshold		-
19		Significant investments in the common stock of banking, financial and insurance entities that are outside the	-
	scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)
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)	179,860
Common Equity Tier 1 capital
29	Common Equity Tier 1 capital (CET1) ((a) - (b))	(c)	1,148,768

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						(Millions of yen , %)
Basel III				Group Consolidated	Cross-referenced to
template		Items
		Quarter-End	CC2
number
Additional Tier 1 capital: instruments	(3)
30	31a	Shareholders' equity		-
	31b	Stock subscription rights		-
	32	Liabilities		149,700
		Instruments issued by Special Purpose Companies		-
	34-35	Minority interest after adjustments		48,520	(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)	198,220
Additional Tier 1 capital: regulatory adjustments
	37	Investments in own Additional Tier 1 instruments		-
	38	Reciprocal cross-holdings in Additional Tier 1 instruments		-
	39	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory		6,552	(a),(b),(c),(g)
	consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued common
		share capital of the entity (amount above 10% threshold)
	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		25,776
	43	Total regulatory adjustments to Additional Tier 1 capital	(e)	32,329
Additional Tier 1 capital
	44	Additional Tier 1 capital ((d) - (e))	(f)	165,890
Tier 1 capital
	45	Tier 1 capital ((c) + (f))	(g)	1,314,659
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		11,416	(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)	11,416

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