Daiwa Securities : Report Regarding Consolidated Liquidity Coverage Ratio and Consolidated Net Stable Funding Ratio Situation of Soundness in Liquidity Management as of

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
Key Metrics (at consolidated group level)	3
Quantitative Disclosure (Consolidated)	4
1.	Quantitative disclosure of consolidated Liquidity Coverage Ratio	4
2.	Quantitative disclosure of consolidated Net Stable Funding Ratio	5

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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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