Report Regarding Consolidated Liquidity Coverage Ratio and Consolidated Net Stable Funding Ratio [PDF:280KB]

April 27, 2022

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 2021

In accordance with the Financial Instruments and the 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 third quarter in fiscal year 2021.

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

Key Metrics (at consolidated group level)

KM1: Key Metrics

（Unit :1 Million Yen,%）

Quantitative Disclosure (Consolidated)

1.

Quantitative disclosure of consolidated Liquidity Coverage Ratio

（Unit :1 Million Yen,%）
Items	Third Quarter in Fiscal Year 2021	Second Quarter in Fiscal Year 2021
High Quality Liquid Assets (1)
1	Total high quality liquid assets	2,615,330	2,666,490
Cash Outflows (2)	Unweighted Value	Weighted Value	Unweighted Value	Weighted Value
2	Retail deposits and deposits from small business customers Stable deposits Less stable deposits	1,974,079	203,908	2,070,002	207,000
3	‐	‐	‐	‐
4	1,974,079	203,908	2,070,002	207,000
5	Unsecured wholesale funding Operational deposits Unsecured wholesale funding other than operational deposits and unsecured debt Unsecured debt	2,783,694	1,490,120	2,864,118	1,489,859
6	‐	‐	‐	‐
7	2,678,388	1,382,535	2,737,248	1,362,989
8	105,306	107,584	126,869	126,869
9	Secured funding	8,159,139	249,511	8,509,734	251,378
10	Outflows related to derivative exposures, loss of funding on debt products, committed credit and liquidity facilities Outflows related to derivative exposures Outflows related to loss of funding on debt products Outflows related to credit and liquidity facilities	253,067	260,754	230,215	230,215
11	238,202	245,416	214,487	214,487
12	‐	‐	‐	‐
13	14,865	15,338	15,728	15,728
14	Other contractual funding obligations	4,995,738	1,143,922	4,690,418	1,002,118
15	Other contingent funding obligations	198,633	187,587	192,728	180,953
16	Total cash outflows	3,535,805	3,361,524
Cash Inflows (3)	Unweighted Value	Weighted Value	Unweighted Value	Weighted Value
17	Secured lending	6,955,265	120,067	6,773,080	122,603
18	Inflows from fully performing exposures	559,606	516,332	575,069	501,669
19	Other cash inflows	4,356,250	1,101,575	4,304,214	1,027,341
20	Total cash inflows	1,737,976	1,651,614
Consolidated Liquidity Coverage Ratio (4)
21	Total high quality liquid assets	2,615,330	2,666,490
22	Total net cash outflows	1,797,829	1,709,909
23	Consolidated liquidity coverage ratio	145.4％	155.9％
24	Number of data used for calculation of average value	63	61

2.

Quantitative disclosure of consolidated Net Stable Funding Ratio

(Unit:1 Million Yen, %)

Items	Third Quarter in Fiscal Year 2021	Second Quarter in Fiscal Year 2021
Unweighted Value	Weighted Value	Unweighted Value	Weighted Value
Indeterminate	< 6months	≥ 6months < 1year	≥ 1year	Indeterminate	< 6months	≥ 6months< 1year	≥ 1year
Available Stable Funding (ASF) (1)
1	Capital Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital (excluding the proportion of Tier 2 instruments with residual maturity of less than one year) before the application of capital deductions Other capital instruments that are not included in the above category	-	-	-	1,550,859	1,550,859	-	-	-	1,538,266	1,538,266
2	-	-	-	1,550,859	1,550,859	-	-	-	1,538,266	1,538,266
3	-	-	-	-	-	-	-	-	-	-
4	Funding from retail and small business customers Stable deposits Less stable deposits	2,072,336	-	-	-	1,865,103	2,052,538	-	-	-	1,847,284
5	-	-	-	-	-	-	-	-	-	-
6	2,072,336	-	-	-	1,865,103	2,052,538	-	-	-	1,847,284
7	Wholesale funding Operational deposits Other wholesale funding	1,367,944	8,329,649	682,768	2,249,075	4,404,024	1,628,208	7,978,555	877,754	2,246,622	5,023,975
8	-	-	-	-	-	-	-	-	-	-
9	1,367,944	8,329,649	682,768	2,249,075	4,404,024	1,628,208	7,978,555	877,754	2,246,622	5,023,975
10	Liabilities with matching interdependent assets	-	-	-	-	-	-	-	-	-	-
11	Other liabilities Derivative liabilities All other liabilities and equity not included in the above categories	105,001	4,855,313	116,010	609,184	447,417	102,959	3,608,085	101,158	604,352	406,232
12	-	-
13	105,001	4,855,313	116,010	609,184	447,417	102,959	3,608,085	101,158	604,352	406,232
14	Total available stable funding	8,267,404	8,815,759
Required Stable Funding (RSF) (2)
15	High quality liquid assets	397,783	366,573
16	Deposis held at financial institutions for operational purposes	28,408	4,025	-	-	18,229	19,415	3,917	-	-	13,624
17	Loans, repo transactions-related assets, securities and other similar assets Loans to and repo transations with financial institutions (secured by level 1 assets) Loans to and repo transations with financial institutions (not included in item 18) Loans to and repo transations-related assets (not included in item 18, 19 and 22) With a risk weight of less than or equal to 35% under the Standardised Approach for credit risk Residential mortgages With a risk weight of less than or equal to 35% under the Standardised Approach for credit risk Securities that are not in default and do not qualify as HQLA and other similar assets	443,322	6,327,739	531,093	1,812,899	2,710,493	449,101	6,300,539	617,130	1,860,179	2,806,974
18	-	3,698,190	11,861	1,381	69,293	-	3,807,022	10,313	3,403	57,181
19	443,319	772,088	30,163	12,314	221,469	443,998	879,227	40,257	25,273	255,569
20	-	1,764,558	188,249	926,216	1,476,022	-	1,578,747	207,023	903,964	1,501,149
21	-	1,479,281	127,377	42	466,295	-	1,252,781	155,016	5	487,633
22	-	-	-	-	-	-	-	-	-	-
23	-	-	-	-	-	-	-	-	-	-
24	3	92,903	300,820	872,988	943,709	5,103	35,543	359,537	927,539	993,075
25	Assets with matching interdependent liabilities	-	-	-	-	-	-	-	-	-	-
26	Other assets Physical traded commodities including gold Assets posted as initial margin for deribative contracts and contributions to default funds of CCPs (including those that are not recorded on consolidated balance sheet) Derivative assets Derivative liabilities (before deduction od variation margin posted) All other assets not included in the above categories	36,317	416,771	-	2,258,117	2,223,319	35,763	474,370	-	2,229,489	2,196,173
27	-	-	-	-
28	248,416	211,153	233,832	198,757
29	250,217	250,217	282,669	282,669
30	16,646	16,646	16,233	16,233
31	36,317	416,771	-	1,742,838	1,745,303	35,763	474,370	-	1,696,755	1,698,514
32	Off-balance sheet items	134,286	107,311	132,239	106,722
33	Total required stable funding	5,457,139	5,490,069
34	Consolidated net stable funding ratio (NSFR)	151.4%	160.5%