Daiwa Securities Group Annual Report 2012 Corporate Summary Executive Messages Business Strategy Management Systems & CSR Financial Section Other Information iii. The total amount of securitization exposures subject to the comprehensive risk calculation Not applicable iii. The presence of resecuritized exposures subject to the CRM method, and the breakdown by guarantor or by the risk weight  segments of guarantors Not applicable Not applicable Internal Models Approach Value at Risk (VaR) Results (Calculation Method) Historical Simulation Method (Assumption) Holding period: 10 business days and a 99% Confidence level (Reference) Holding Period: 1 business day Confidence level: 99% Comparing VaR for a one day holding period with daily profit and loss is conducted in order to verify accuracy of VaR model. Excess number of back testing is a number of times that losses are exceeded VaR over a giver holding period. (Note 6) Back-Testing ii. Exposure balance and capital requirements by risk weight C). Securitization exposures for calculating Market Risk as an originator D). Securitization exposures for calculating Market Risk Asset as an investor i. Underlying  asset (Unit: 100 Million Yen) Exposure amounts Capital deduction Underlying assets Resecuritization Resecuritization Loans and receivables 63 – 0 – Real estates 4 – – – Equities 0 – – – Others 0 – – – Total 67 – – – (Unit: 100 Million Yen) Exposure amounts Capital requirements Risk weight Resecuritization Resecuritization ≦ 3.2% 63 – 1 – > 3.2% ≦ 8% 4 – 0 – > 8% ≦ 18% – – – – > 18% ≦ 52% – – – – > 52% ≦ 100% – – – – Capital deduction 0 – 0 – Total 67 – 1 – (Unit: 100 Million Yen) VaR (From Jan. 2012  to Mar. 2012) Stressed VaR (From Jan. 2012  to Mar. 2012) Mar 31, 2012 35 60 Maximum 55 85 Average 36 57 Minimum 23 32 (Unit: 100 Million Yen) VaR (From Apr. 2011  to Mar. 2012) Stressed VaR (From Oct. 2011  to Mar. 2012) Mar 31, 2012 14 22 Maximum 37 39 Average 16 25 Minimum 9 18 Excess number of back-testing 0 time 104 8. Market Risk