Daiwa Securities Group Annual Report 2012 6. Counterparty Risk for Derivative Transactions and Long Settlement Transactions The credit-equivalent amounts are calculated by applying the Current-Exposure method. (Unit: 100 Million Yen) Gross replacement cost Gross add–on Credit equivalent amounts Foreign exchanges 4,933 5,977 10,911 Interest rates 17,120 7,925 25,045 Equities 2,401 3,269 5,670 Other commodities 3 5 8 Credit derivatives 391 2,607 2,997 Total (A) 24,848 19,782 44,631 Benefit through close-out netting agreements (B) 31,073 Credit equivalent amounts after netting (C=A–B) 13,557 Credit risk mitigation benefits (D) 2,727 Cash 1,230 Debts 1,402 Equities 95 Mutual funds – Credit equivalent amounts after netting and CRM benefits (C–D) 10,830 (Unit: 100 Million Yen) Notional amounts Credit derivatives type Protection bought Protection sold Credit default swaps 15,862 17,056 (Unit: 100 Million Yen) Exposure amounts Capital deduction Underlying assets Resecuritization Resecuritization Loans and receivables 322 33 – – Real estates 1 – – – Equities – – – – Others 22 – 22 – Total 345 33 22 – (Unit: 100 Million Yen) Exposure amounts Capital requirements Risk weight Resecuritization Resecuritization ≦ 20% 289 – 5 – > 20% ≦ 50% 33 33 1 1 > 50% ≦ 100% 1 – 0 – > 100% ≦ 350% – – – – > 350% ≦ 1250% – – – – Capital deduction 22 – 22 – Total 345 33 28 1 Notional amount of credit derivatives subject to the calculation of the credit equivalent amounts Notional amount of credit derivatives used for CRM purpose Not applicable Not applicable i. Underlying  assets 7. Securitization Exposures A). Securitization exposures for calculating Credit Risk Asset as an originator B). Securitization exposures for calculating Credit Risk Asset as an investor ii. Exposures balance and capital requirements by risk weight 103