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

October 31, 2023

Daiwa Securities Group Inc.

Report Regarding Consolidated Liquidity Coverage Ratio

and Consolidated Net Stable Funding Ratio

Situation of Soundness in Liquidity Management as of First 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 first 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,%）

First Quarter in Fiscal Year 2023

Fourth Quarter in Fiscal Year 2022

Third Quarter in Fiscal Year 2022

Second Quarter in Fiscal Year 2022

First Quarter in Fiscal Year 2022

Consolidated liquidity coverage ratio

15	Total high-quality liquid	2,729,197	2,902,501	2,757,599	2,593,166	2,447,045
assets
16	Total net cash outflows	2,077,052	2,135,355	1,974,833	1,802,474	1,733,889
17	Consolidated liquidity	131.3%	135.9%	139.6%	143.8%	141.1%
coverage ratio
Consolidated net stable funding ratio
18	Total available stable	9,170,359	8,127,042	7,974,379	9,154,147	8,629,425
funding
19	Total required stable	6,323,935	5,920,309	5,619,064	6,211,679	6,045,794
funding
20	Consolidated net stable	145.0%	137.2%	141.9%	147.3%	142.7%
funding ratio

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Quantitative Disclosure (Consolidated)

1. Quantitative disclosure of consolidated Liquidity Coverage Ratio

					（Unit: 1 Million Yen,%）
Items			First Quarter in Fiscal Year 2023	Fourth Quarter in Fiscal Year 2022
High-Quality Liquid Assets (1)
1	Total high-quality liquid assets		2,729,197		2,902,501
Cash Outflows (2)	Unweighted Value	Weighted Value	Unweighted Value	Weighted Value
2	Retail deposits and deposits from small business customers	2,001,969	200,196	1,986,334	198,633
3		Stable deposits	‐	‐	‐	‐
4		Less stable deposits	2,001,969	200,196	1,986,334	198,633
5	Unsecured wholesale funding	2,796,692	1,621,334	2,858,222	1,668,096
6		Operational deposits	‐	‐	‐	‐
7		Unsecured wholesale funding other than operational deposits and	2,623,023	1,447,665	2,708,959	1,518,833
	unsecured debt
8		Unsecured debt	173,669	173,669	149,262	149,262
9	Secured funding	10,362,013	416,021	10,126,929	372,093
10	Outflows related to derivative exposures, loss of funding on debt	478,299	465,461	459,052	447,984
products, committed credit and liquidity facilities
11		Outflows related to derivative exposures	454,158	454,158	438,832	438,832
12		Outflows related to loss of funding on debt products	‐	‐	‐	‐
13		Outflows related to credit and liquidity facilities	24,141	11,303	20,220	9,152
14	Other contractual funding obligations	5,535,035	1,175,994	5,258,603	1,083,395
15	Other contingent funding obligations	140,609	129,624	159,219	148,387
16	Total cash outflows		4,008,634		3,918,593
Cash Inflows (3)	Unweighted Value	Weighted Value	Unweighted Value	Weighted Value
17	Secured lending	7,990,846	209,825	8,249,489	207,780
18	Inflows from fully performing exposures	596,037	549,998	561,585	531,003
19	Other cash inflows	5,084,197	1,171,757	4,860,509	1,044,454
20	Total cash inflows		1,931,581		1,783,238
Consolidated Liquidity Coverage Ratio (4)
21	Total high-quality liquid assets		2,729,197		2,902,501
22	Total net cash outflows		2,077,052		2,135,355
23	Consolidated liquidity coverage ratio		131.3％		135.9％
24	Number of data used for calculation of average value		62		60

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2. Quantitative disclosure of consolidated Net Stable Funding Ratio

Items

(Unit: 1 Million Yen, %)

	First Quarter in Fiscal Year 2023			Fourth Quarter in Fiscal Year 2022
	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	-	-	-	1,675,086	1,675,086	-	-	-	1,597,999	1,597,999
		Common Equity Tier 1 capital, Additional Tier 1 capital and Tier
2		2 capital (excluding the proportion of Tier 2 instruments with	-	-	-	1,675,086	1,675,086	-	-	-	1,597,999	1,597,999
	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	2,108,378	-	-	-	1,897,540	1,916,602	-	-	-	1,724,942
5		Stable deposits	-	-	-	-	-	-	-	-	-	-
6		Less stable deposits	2,108,378	-	-	-	1,897,540	1,916,602	-	-	-	1,724,942
7	Wholesale funding	1,240,422	12,103,795	407,129	2,547,945	5,258,024	1,137,728	9,329,386	488,891	2,544,086	4,421,241
8		Operational deposits	-	-	-	-	-	-	-	-	-	-
9		Other wholesale funding	1,240,422	12,103,795	407,129	2,547,945	5,258,024	1,137,728	9,329,386	488,891	2,544,086	4,421,241
10	Liabilities with matching interdependent assets	-	-	-	-	-	-	-	-	-	-
11	Other liabilities	85,470	6,410,060	31,577	699,735	339,707	88,131	5,424,644	93,632	684,070	382,858
12		Derivative liabilities				-					-
13		All other liabilities and equity not included in the above	85,470	6,410,060	31,577	699,735	339,707	88,131	5,424,644	93,632	684,070	382,858
	categories
14	Total available stable funding					9,170,359					8,127,042
Required Stable Funding (RSF) (2)
15	High-quality liquid assets					405,980					392,137
16	Deposits held at financial institutions for operational purposes	53,445	5,074	-	-	31,797	34,390	4,673	-	-	21,868
17	Loans, repo transactions-related assets, securities and other similar	507,029	9,199,483	958,958	2,206,936	3,289,639	564,283	8,181,761	682,913	1,948,565	2,903,861
assets
18		Loans to and repo transations with financial institutions (secured	-	6,148,151	6,167	945	27,760	-	5,160,485	5,843	2,028	39,413
	by level 1 assets)
19		Loans to and repo transations with financial institutions (not	507,029	1,042,616	23,479	798,020	1,071,154	564,283	987,880	20,516	739,434	987,564
	included in item 18)
20		Loans to and repo transations-related assets (not included in	-	1,975,428	448,148	500,317	1,154,393	-	1,960,421	243,844	481,894	1,013,002
	items 18, 19 and 22)
21			With a risk weight of less than or equal to 35% under the	-	1,696,276	351,871	11,605	502,040	-	1,680,309	162,980	11,607	364,750
		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	33,288	481,164	907,654	1,036,332	0	72,975	412,710	725,209	863,882
	and other similar assets
25	Assets with matching interdependent liabilities	-	-	-	-	-	-	-	-	-	-
26	Other assets	13,690	451,042	-	2,567,426	2,511,834	44,817	427,060	-	2,573,683	2,521,300
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				225,033	191,278				258,869	220,038
		not recorded on consolidated balance sheet)
29		Derivative assets				577,314	577,314				534,600	534,600
30		Derivative liabilities (before deduction of variation margin				29,667	29,667				22,708	22,708
	posted)
31		All other assets not included in the above categories	13,690	451,042	-	1,735,412	1,713,575	44,817	427,060	-	1,757,506	1,743,954
32	Off-balance sheet items				119,074	84,680				113,113	81,137
33	Total required stable funding					6,323,935					5,920,309
34	Consolidated net stable funding ratio (NSFR)					145.0%					137.2%

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