January 30, 2023

Daiwa Securities Group Inc.

Report Regarding Consolidated Capital Adequacy Ratio

and Consolidated Leverage Ratio

Situation of Soundness in Management as of September 30, 2022

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, 2022.

1

Table of Contents

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

2

Key Metrics (at consolidated group level)

KM1: Key metrics

(Millions of yen , %)

Basel III template number

September 2022

June 2022

March 2022

December 2021 September 2021

Available capital (amounts)

1

Common Equity Tier 1

1,258,098

1,246,566

1,189,895

1,166,908

1,148,768

(CET1)

2

Tier 1

1,444,447

1,431,727

1,360,623

1,337,697

1,314,659

3

Total capital

1,444,798

1,437,718

1,360,623

1,337,697

1,314,659

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

6,991,976

7,034,021

6,879,435

6,800,516

6,514,283

Capital ratio

5

CET1 ratio (%)

17.99%

17.72%

17.29%

17.15%

17.63%

6

Tier 1 ratio (%)

20.65%

20.35%

19.77%

19.67%

20.18%

7

Total capital ratio (%)

20.66%

20.43%

19.77%

19.67%

20.18%

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

12

the bank's minimum capital

12.66%

12.43%

11.77%

11.67%

12.18%

requirements (%)

Leverage ratio

13

Total leverage ratio exposure

25,769,677

22,721,653

20,641,305

19,588,138

18,239,765

measure

Leverage ratio (%) including

the impact of any

14

applicable temporary

5.60%

6.30%

6.59%

6.82%

7.20%

exemption of central bank

reserves

3

Composition of Capital Disclosure

CC1: Composition of regulatory capital

(Millions of yen , %)

Basel III

Group

Cross-referenced to

template

Items

Consolidated

CC2

number

Quarter-End

Common Equity Tier 1 capital: Instruments and reserves

(1)

1a+2-1c-26

Shareholders' equity

1,270,397

1a

Common stock and capital surplus

477,755

(i),(j)

2

Retained earnings

870,263

(k)

1c

Treasury stock (Δ)

61,449

(l),(m)

26

Planned distributions (Δ)

16,172

Others

-

1b

Stock subscription rights

8,561

(p)

3

Accumulated other comprehensive income (and other reserves)

142,339

(o)

5

Minority interest after adjustments

-

6

Common Equity Tier 1 capital before regulatory adjustments

(a)

1,421,298

Common Equity Tier 1 capital: regulatory adjustments

(2)

8+9

Intangible assets other than mortgage-servicing rights (net of related tax liability)

154,024

8

Goodwill (net of related tax liability)

50,786

(e),(g)

9

Other intangibles other than mortgage-servicing rights(net of related tax liability)

103,237

(f)

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of

340

(d),(h)

related tax liability)

11

Cash-flow hedge reserve

(2,788)

(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

688

15

Defined-benefit pension fund net assets

-

16

Investments in own shares (if not already netted off paid-in capital on reported balance sheet)

222

(b)

17

Reciprocal cross-holdings in common equity

-

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory

18

consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued

10,713

(a),(b),(c),(g)

share capital (amount above 10% threshold)

19+20+21

Amount exceeding the 10% threshold

-

Significant investments in the common stock of banking, financial and insurance entities that are

19

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)

163,200

Common Equity Tier 1 capital

29

Common Equity Tier 1 capital (CET1) ((a) - (b))

(c)

1,258,098

4

(Millions of yen , %)

Basel III

Group

Cross-referenced to

template

Items

Consolidated

CC2

number

Quarter-End

Additional Tier 1 capital: instruments

(3)

30

31a

Shareholders' equity

-

31b

Stock subscription rights

-

32

Liabilities

149,400

Instruments issued by Special Purpose Companies

-

34-35

Minority interest after adjustments

38,710

(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)

188,110

Additional Tier 1 capital: regulatory adjustments

37

Investments in own Additional Tier 1 instruments

-

38

Reciprocal cross-holdings in Additional Tier 1 instruments

-

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory

39

consolidation, net of eligible short positions, where the bank does not own more than 10% of the issued

1,761

(a),(b),(c),(g)

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

-

43

Total regulatory adjustments to Additional Tier 1 capital

(e)

1,761

Additional Tier 1 capital

44

Additional Tier 1 capital ((d) - (e))

(f)

186,348

Tier 1 capital

45

Tier 1 capital ((c) + (f))

(g)

1,444,447

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

9,108

(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)

9,108

5

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Daiwa Securities Group Inc. published this content on 30 January 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 January 2023 06:13:27 UTC.