(6)	Includes collateralized loan obligations (“CLOs”) and asset-backed securities (“ABS”) such as those secured on credit card loans, auto loans and student loans.

(7)	Derivatives which contain multiple types of risk are classified based on the primary risk type of the instrument.

(8)	Includes loans and receivables for which the fair value option has been elected.

(9)	Includes collateralized agreements or collateralized financing for which the fair value option has been elected.

(10)	Includes deposits received at banks for which the fair value option has been elected.

(11)	Includes structured notes for which the fair value option has been elected.

(12)	Includes embedded derivatives bifurcated from deposits received at banks. If unrealized gains are greater than unrealized losses, deposits are reduced by the excess amount.

(13)	Includes embedded derivatives bifurcated from issued structured notes. If unrealized gains are greater than unrealized losses, borrowings are reduced by the excess amount.

(14)	Includes liabilities recognized from secured financing transactions that are accounted for as financings rather than sales. Nomura elected the fair value option for these liabilities.

(15)	Includes loan commitments for which the fair value option has been elected.

Valuation techniques by major class of financial instrument

The valuation techniques used by Nomura to estimate fair value for major classes of financial instruments, together with the significant inputs which determine classification in the fair value hierarchy, are as follows.

Equities

and equity securities reported within

Other assets

—Equities

and equity securities reported within

Other assets

include direct holdings of both listed and unlisted equity securities, and fund investments. The fair value of listed equity securities is determined using quoted prices for identical securities from active markets where available. These valuations should be in line with market practice and therefore can be based on bid prices or

mid-market

prices. Nomura determines whether the market is active depending on the sufficiency and frequency of trading activity. Where these securities are classified in Level 1 of the fair value hierarchy, no valuation adjustments are made to fair value. Listed equity securities traded in inactive markets are also generally valued using the exchange price and are classified in Level 2. Whilst rare in practice, Nomura may apply a discount or liquidity adjustment to the exchange price of a listed equity security traded in an inactive market if the exchange price is not considered to be an appropriate representation of fair value. These adjustments are determined by individual security and are not determined or influenced by the size of holding. The amount of such adjustments made to listed equity securities traded in inactive markets was ¥nil as of March 31, 2022 and September 30, 2022, respectively. The fair value of unlisted equity securities is determined using the same valuation technique as private equity and debt investments described below and are usually classified in Level 3 because significant valuation inputs such as liquidity discounts and credit spreads are unobservable.

Private equity and debt investments

—The determination of fair value of unlisted private equity and debt investments requires significant management judgment because the investments, by their nature, have little or no price transparency. Private equity and debt investments are initially carried at cost as an approximation of fair value. Adjustments to carrying value are made if there is third-party evidence of a change in value. Adjustments are also made, in the absence of third-party transactions, if it is determined that the expected exit price of the investment is different from carrying value. In reaching that determination, Nomura primarily uses either a discounted cash flow (“DCF”) or market multiple valuation technique. A DCF valuation technique incorporates estimated future cash flows to be generated from the underlying investee, as adjusted for an appropriate growth rate discounted at a weighted average cost of capital (“WACC”). Market multiple valuation techniques include comparables such as Enterprise Value/earnings before interest, taxes, depreciation and amortization (“EV/EBITDA”) ratios, Price/Earnings (“PE”) ratios, Price/Book ratios, Price/Embedded Value ratios and other multiples based on relationships between numbers reported in the financial statements of the investee and the price of comparable companies. A liquidity discount may also be applied to either a DCF or market multiple valuation to reflect the specific characteristics of the investee. The liquidity discount includes considerations for various uncertainties in the model and inputs to valuation. Where possible these valuations are compared with the operating cash flows and financial performance of the investee or properties relative to budgets or projections, price/earnings data for similar quoted companies, trends within sectors and/or regions and any specific rights or terms associated with the investment, such as conversion features and liquidation preferences. Private equity and debt investments are generally classified in Level 3 since the valuation inputs such as those mentioned above are usually unobservable.

Government, agency and municipal securities

—The fair value of Japanese and other G7 government securities is primarily determined using quoted market prices, executable broker or dealer quotations, or alternative pricing sources. These securities are traded in active markets and therefore are classified within Level 1 of the fair value hierarchy.

Non-G7

government securities, agency securities and municipal securities are valued using similar pricing sources but are generally classified in Level 2 as they are traded in inactive markets. Certain

non-G7

securities may be classified in Level 1 because they are traded in active markets. Certain securities may be classified in Level 3 because they are traded infrequently and there is not sufficient information from comparable securities to classify them in Level 2. These are valued using DCF valuation techniques which include significant unobservable valuation inputs such as credit spreads of the issuer.

Bank and corporate debt securities

—The fair value of bank and corporate debt securities is primarily determined using DCF valuation techniques but also using broker or dealer quotations and recent market transactions of identical or similar debt securities, if available. Consideration is given to the nature of the broker and dealer quotations, namely whether these are indicative or executable, the number of available quotations and how these quotations compare to any available recent market activity or alternative pricing sources. The significant valuation inputs used for DCF valuations are yield curves, asset swap spreads, recovery rates and credit spreads of the issuer. Bank and corporate debt securities are generally classified in Level 2 of the fair value hierarchy because these valuation inputs are usually observable or market-corroborated. Certain bank and corporate debt securities will be classified in Level 3 because they are traded infrequently and there is insufficient information from comparable securities to classify them in Level 2, or credit spreads or recovery rates of the issuer used in DCF valuations are unobservable.

Commercial mortgage-backed securities (“CMBS”)

and

Residential mortgage-backed securities (“RMBS”)

—The fair value of CMBS and RMBS are primarily determined using DCF valuation techniques but also using broker or dealer quotations and recent market transactions of identical or similar securities, if available. Consideration is given to the nature of the broker and dealer quotations, namely whether these are indicative or executable, the number of available quotations and how these quotations compare to any available recent market activity or alternative pricing sources. The significant valuation inputs include yields, prepayment rates, default probabilities and loss severities. CMBS and RMBS securities are generally classified in Level 2 because these valuation inputs are observable or market-corroborated. Certain CMBS and RMBS positions will be classified in Level 3 because they are traded infrequently and there is insufficient information from comparable securities to classify them in Level 2, or one or more of the significant valuation inputs used in DCF valuations are unobservable.

Real estate-backed securities

—The fair value of real estate-backed securities is determined using broker or dealer quotations, recent market transactions or by reference to a comparable market index. Consideration is given to the nature of the broker and dealer quotations, namely whether these are indicative or executable, the number of available quotations and how these quotations compare to any available recent market activity or alternative pricing sources. Where all significant inputs are observable, the securities will be classified in Level 2. For certain securities, no direct pricing sources or comparable securities or indices may be available. These securities are valued using DCF or valuation techniques and are classified in Level 3 as the valuation includes significant unobservable valuation inputs such as yields or loss severities.

Collateralized debt obligations (“CDOs”) and other

—The fair value of CDOs is primarily determined using DCF valuation techniques but also using broker or dealer quotations and recent market transactions of identical or similar securities, if available. Consideration is given to the nature of the broker and dealer quotations, namely whether these are indicative or executable, the number of available quotations and how these quotations compare to any available recent market activity or alternative pricing sources. The significant valuation inputs used include market spread data for each credit rating, yields, prepayment rates, default probabilities and loss severities. CDOs are generally classified in Level 2 of the fair value hierarchy because these valuation inputs are observable or market-corroborated. CDOs will be classified in Level 3 where one or more of the significant valuation inputs used in the DCF valuations are unobservable.

Investment trust funds and other

—The fair value of investment trust funds is primarily determined using NAV per share. Publicly traded funds which are valued using a daily NAV per share are classified in Level 1 of the fair value hierarchy. For funds that are not publicly traded but Nomura has the ability to redeem its investment with the investee at NAV per share on the balance sheet date or within the near term, the investments are classified in Level 2. Investments where Nomura does not have the ability to redeem in the near term or does not know when it can redeem are classified in Level 3. The fair value of certain other investments reported within

Investment trust funds and other

is determined using DCF valuation techniques. These investments are classified in Level 3 as the valuation includes significant unobservable valuation inputs such as credit spreads of issuer and correlation.

Derivatives

—

Equity contracts

—

Nomura enters into both exchange-traded and OTC equity derivative transactions such as index and equity options, equity basket options and index and equity swaps. Where these derivatives are traded in active markets and the exchange price is representative of fair value, the fair value of exchange-traded equity derivatives is determined using an unadjusted exchange price and classified in Level 1 of the fair value hierarchy. The fair value of exchange-traded equity derivatives which are traded in inactive markets or where the exchange price is not representative of fair value is determined using a model price and are classified in Level 2. The fair value of OTC equity derivatives is determined through option models such as Black-Scholes and Monte Carlo simulation. The significant valuation inputs used include equity prices, dividend yields, volatilities and correlations. Valuation adjustments are also made to model valuations in order to reflect counterparty credit risk on derivative assets and Nomura‘s own creditworthiness on derivative liabilities. OTC equity derivatives are generally classified in Level 2 because all significant valuation inputs and adjustments are observable or market-corroborated. Certain less liquid vanilla or more complex equity derivatives are classified in Level 3 where dividend yield, volatility or correlation valuation inputs are significant and unobservable.

Derivatives

—

Interest rate contracts

—Nomura enters into both exchange-traded and OTC interest rate derivative transactions such as interest rate swaps, currency swaps, interest rate options, forward rate agreements, swaptions, caps and floors. Where these derivatives are traded in active markets and the exchange price is representative of fair value, the fair value of exchange-traded interest rate derivatives is determined using an unadjusted exchange price and classified in Level 1 of the fair value hierarchy. The fair value of exchange-traded interest rate derivatives which are traded in inactive markets or where the exchange price is not representative of fair value is determined using a model price and are classified in Level 2. The fair value of OTC interest rate derivatives is determined through DCF valuation techniques as well as option models such as Black-Scholes and Monte Carlo simulation. The significant valuation inputs used include interest rates, forward foreign exchange (“FX”) rates, volatilities and correlations. Valuation adjustments are also made to model valuations in order to reflect counterparty credit risk on derivative assets and Nomura‘s own creditworthiness on derivative liabilities. OTC interest rate derivatives are generally classified in Level 2 because all significant valuation inputs and adjustments are observable or market-corroborated. Certain less liquid vanilla or more complex OTC interest rate derivatives are classified in Level 3 where interest rate, volatility or correlation valuation inputs are significant and unobservable.

Derivatives

—

Credit contracts

—Nomura enters into OTC credit derivative transactions such as credit default swaps and credit options on single names, indices or baskets of assets. The fair value of OTC credit derivatives is determined through DCF valuation techniques as well as option models such as Black-Scholes and Monte Carlo simulation. The significant valuation inputs used include interest rates, credit spreads, recovery rates, default probabilities, volatilities and correlations. Valuation adjustments are also made to model valuations in order to reflect counterparty credit risk on derivative assets and Nomura’s own creditworthiness on derivative liabilities. OTC credit derivatives are generally classified in Level 2 of the fair value hierarchy because all significant valuation inputs and adjustments are observable or market-corroborated. Certain less liquid vanilla or more complex OTC credit derivatives are classified in Level 3 where credit spread, recovery rate, volatility or correlation valuation inputs are significant and unobservable.

Derivatives

—

Foreign exchange contracts

—Nomura enters into both exchange-traded and OTC foreign exchange derivative transactions such as foreign exchange forwards and currency options. The fair value of exchange-traded foreign exchange derivatives which are traded in inactive markets or where the exchange price is not representative of fair value is determined using a model price and are classified in Level 2. The fair value of OTC foreign exchange derivatives is determined through DCF valuation techniques as well as option models such as Black-Scholes and Monte Carlo simulation. The significant valuation inputs used include interest rates, forward FX rates, spot FX rates and volatilities. Valuation adjustments are also made to model valuations in order to reflect counterparty credit risk on derivative assets and Nomura’s own creditworthiness on derivative liabilities. OTC foreign exchange derivatives are generally classified in Level 2 because all significant valuation inputs and adjustments are observable or market-corroborated. Certain foreign exchange derivatives are classified in Level 3 where interest rates, volatility or correlation valuation inputs are significant and unobservable.

Nomura includes valuation adjustments in its estimation of fair value of certain OTC derivatives relating to funding costs associated with these transactions to be consistent with how market participants in the principal market for these derivatives would determine fair value.

Loans and receivables

—The fair value of loans and receivables carried at fair value either as trading assets or through election of the fair value option is primarily determined using DCF valuation techniques as quoted prices are typically not available. The significant valuation inputs used are similar to those used in the valuation of corporate debt securities described above. Loans and receivables are generally classified in Level 2 of the fair value hierarchy because all significant valuation inputs are observable. Certain loans and receivables, however, are classified in Level 3 because they are traded infrequently and there is not sufficient information from comparable securities to classify them in Level 2 or credit spreads of the issuer or recovery rates used in DCF valuations are significant and unobservable.

Collateralized agreements

and

Collateralized financing

—The primary types of collateralized agreement and financing transactions carried at fair value are reverse repurchase and repurchase agreements elected for the fair value option. The fair value of these financial instruments is primarily determined using DCF valuation techniques. The significant valuation inputs used include interest rates and collateral funding spreads such as general collateral or special rates. Reverse repurchase and repurchase agreements are generally classified in Level 2 of the fair value hierarchy because these valuation inputs are usually observable.

Non-trading

debt securities

—These are debt securities held by certain

non-trading

subsidiaries in the group and are valued and classified in the fair value hierarchy using the same valuation techniques used for other debt securities classified as

Government, agency and municipal securities

and

Bank and corporate debt securities

described above.

Short-term

and

long-term borrowings (“Structured notes”)

—Structured notes are debt securities issued by Nomura or by consolidated variable interest entities (“VIEs”) which contain embedded features that alter the return to the investor from simply receiving a fixed or floating rate of interest to a return that depends upon some other variables, such as an equity or equity index, commodity price, foreign exchange rate, credit rating of a third party or a more complex interest rate (i.e., an embedded derivative).

The fair value of structured notes is determined using a quoted price in an active market for the identical liability if available, and where not available, using a mixture of valuation techniques that use the quoted price of the identical liability when traded as an asset, quoted prices for similar liabilities, similar liabilities when traded as assets, or an internal model which combines DCF valuation techniques and option pricing models, depending on the nature of the embedded features within the structured note. Where an internal model is used, Nomura estimates the fair value of both the underlying debt instrument and the embedded derivative components. The significant valuation inputs used to estimate the fair value of the debt instrument component include yield curves, prepayment rates, default probabilities and loss severities. The significant valuation inputs used to estimate the fair value of the embedded derivative component are the same as those used for the relevant type of freestanding OTC derivative discussed above. A valuation adjustment is also made to the entire structured note in order to reflect Nomura’s own creditworthiness. This adjustment is determined based on recent observable secondary market transactions and executable broker quotes involving Nomura debt instruments and is therefore typically treated as a Level 2 valuation input. Structured notes are generally classified in Level 2 of the fair value hierarchy as all significant valuation inputs and adjustments are observable. Where any unobservable valuation inputs are significant, such as yields, prepayment rates, default probabilities, loss severities, volatilities and correlations used to estimate the fair value of the embedded derivative component, structured notes are classified in Level 3.

Long-term borrowings (“Secured financing transactions”)

—Secured financing transactions are liabilities recognized when a transfer of a financial asset does not meet the criteria for sales accounting under ASC 860 “

Transfer and Servicing

” (“ASC 860”) and therefore the transaction is accounted for as a secured borrowing. These liabilities are valued using the same valuation techniques that are applied to the transferred financial assets which remain on the consolidated balance sheets and are therefore classified in the same level in the fair value hierarchy as the transferred financial assets. These liabilities do not provide general recourse to Nomura and therefore, no adjustment is made to reflect Nomura’s own creditworthiness.

Level 3 financial instruments

The valuation of Level 3 financial assets and liabilities is dependent on certain significant valuation inputs which are unobservable. Common characteristics of an inactive market include a low number of transactions of the financial instrument, stale or

non-current

price quotes, price quotes that vary substantially either over time or among market makers,

non-executable

broker quotes or little publicly released information.

If corroborative evidence is not available to value Level 3 financial instruments, fair value may be measured using other equivalent products in the market. The level of correlation between the specific Level 3 financial instrument and the available benchmark instrument is considered as an unobservable valuation input. Other techniques for determining an appropriate value for unobservable valuation input may consider information such as consensus pricing data among certain market participants, historical trends, extrapolation from observable market data and other information Nomura would expect market participants to use in valuing similar instruments.

Use of reasonably possible alternative valuation input assumptions to value Level 3 financial instruments will significantly influence fair value determination. Ultimately, the uncertainties described above about input assumptions imply that the fair value of Level 3 financial instruments is a judgmental estimate. The specific valuation for each instrument is based on management’s judgment of prevailing market conditions, in accordance with Nomura’s established valuation policies and procedures.

Quantitative and qualitative information regarding significant unobservable valuation inputs

The following tables present quantitative and qualitative information about the significant unobservable valuation inputs used by Nomura to measure the fair value of financial instruments classified in Level 3 as of March 31, 2022 and September 30, 2022. These financial instruments will also typically include observable valuation inputs (i.e., Level 1 or Level 2 valuation inputs) which are not included in the table and are also often hedged using financial instruments which are classified in Level 1 or Level 2 of the fair value hierarchy. Changes in each of these significant unobservable valuation inputs used by Nomura will impact upon the fair value measurement of the financial instrument. The following tables also illustrate qualitatively how an increase in those significant unobservable valuation inputs might result in a higher or lower fair value measurement at the reporting date and the interrelationship between significant unobservable valuation inputs where more than one is used to determine fair value measurement of the financial instruments.

March 31, 2022

Financial Instrument

Fair
value in
billions
of yen

Valuation

technique

Significant

unobservable
valuation input

Range of

valuation inputs

(1)

Weighted

Average

(2)(3)

Impact of

increases in
significant
unobservable
valuation

inputs

(4)(5)

Interrelationships

between valuation

inputs

(6)

Assets:

Trading assets and private equity and debt investments

Equities

DCF

Liquidity discounts

75.0%

Lower fair value

Not applicable

Private equity and debt investments

DCF

WACC

Growth rates

Liquidity discounts

7.1 – 13.0%

0.0 – 2.0%

5.0 – 30.0%

10.2%

0.7%

18.5%

Lower fair value

Higher fair value

Lower fair value

No predictable

interrelationship

Market multiples

EV/EBITDA ratios

PE Ratios

Liquidity discounts

2.0 – 11.2 x

10.7 – 12.6 x

5.0 – 20.0%

6.9 x

11.6 x

11.9%

Higher fair value

Lower fair value

No predictable

interrelationship

Foreign government, agency and municipal securities

DCF

Credit spreads

Recovery rates

0.0 – 1.3%

6.0%

0.7%

6.0%

Lower fair value

Higher fair value

No predictable

interrelationship

Bank and corporate debt securities and loans for trading purposes

220

DCF

Credit spreads

Recovery rates

0.1 – 114.7%

0.0 – 100.0%

7.2%

84.4%

Lower fair value

Higher fair value

No predictable

interrelationship

Commercial mortgage backed securities (“CMBS”)

DCF

Yields

Loss severities

4.3 – 11.1%

28.3 – 73.0%

4.6%

40.8%

Lower fair value

No predictable

interrelationship

Residential mortgage backed securities (“RMBS”)

DCF

Yields

Prepayment rates

Loss severities

0.0 – 22.2%

6.9 – 15.0%

0.0 – 99.9%

8.4%

9.5%

6.9%

Lower fair value

No predictable

interrelationship

Real estate-backed securities

DCF

Loss severities

0.0 – 21.2%

2.9%

Lower fair value

Not applicable

Collateralized debt obligations (“CDOs”) and other

DCF

Yields

Prepayment rates

Default probabilities

Loss severities

5.5 – 27.5%

18.0 – 20.0%

2.0%

0.0 – 100.0%

13.1%

19.5%

2.0%

44.0%

Lower fair value

Change in default probabilities typically accompanied by directionally similar change in loss severities and opposite change in prepayment rates

March 31, 2022

Financial Instrument

Fair
value in
billions
of yen

Valuation

technique

Significant

unobservable

valuation input

Range of

valuation inputs

(1)

Weighted

Average

(2)(3)

Impact of

increases in
significant
unobservable
valuation

inputs

(4)(5)

Interrelationships

between valuation

inputs

(6)

Derivatives, net:

Equity contracts

Option

models

Dividend yield

Volatilities

Correlations

.0 –

12.6%

.0 –

109.7%

(0.8

– 0.97

—

—

Higher fair value

Higher fair value
Higher fair value

No predictable interrelationship

Interest rate contracts

(11

)

DCF/

Option

models

Interest rates

Volatilities

Correlations

0.3 – 3.3%

9.2 – 13.9%

34.8 – 128.3 bp

(1.00) – 0.98

—

—

—

—

Higher fair value
Higher fair value
Higher fair value
Higher fair value

No predictable interrelationship

Credit contracts

(33

)

DCF/

Option

models

Credit spreads

Recovery rates

Volatilities

Correlations

.0 –

428.7%

.0 –

.0%

.0 –

67.6%

.00

– 0.90

—

—

—

—

Higher fair value Higher fair value Higher fair value Higher fair value

No predictable interrelationship

Foreign exchange contracts

Option

models

Interest rates

Volatilities

Correlations

0.3 – 2.9%

2.4 – 39.3%

13.9 – 24.0 bp

(0.25) – 0.84

—

—

—

—

Higher fair value

No predictable interrelationship

Loans and receivables

205

DCF

Credit spreads

Recovery rates

.0 –

21.5%

.0 –

100

.0%

98.2%

Lower fair value

Higher fair value

No predictable interrelationship

Collateralized agreements

DCF

Repo rate

2.8 – 6

.0%

3.6%

Lower fair value

Not applicable

Other assets

Other

(7)

197

DCF

WACC

Growth rates

Liquidity discounts

10.1%

.0%

10.1%

.0%

Lower fair value

Higher fair value

Lower fair value

No predictable interrelationship

Market multiples

EV/EBITDA ratios

PE Ratios

Price/Book ratios

Liquidity discounts

3.6 – 5.9 x

6.7 – 30.8 x

0.3 – 1.7 x

.0 –

.0%

4.4 x

13.1 x

0.9 x

30.6%

Higher fair value

Lower fair value

Generally changes in

multiples result in a

corresponding similar

directional change in a fair
value measurement, assuming
earnings levels
remain

constant.

Liabilities:

Trading Liabilities

Bank and corporate debt securities

DCF

Recovery rates

3.9 – 97

.0%

84.1%

Higher fair value

Not applicable

Short-term borrowings

DCF/

Option

models

Volatilities

Correlations

.0 –

.0%

(0.8

– 0.93

—

Higher fair value

No predictable interrelationship

Payable and deposits

DCF/

Option

models

Volatilities

Correlations

9.2 – 11.3%

41.2 – 69.6 bp

0.34 – 0.98

—

Higher fair value

No predictable interrelationship

Long-term borrowings

479

DCF

Loss severities

.0%

Lower fair value

Not applicable

DCF/

Option

models

Volatilities

Correlations

.0 –

.0%

41.2 – 69.6 bp

.00

)

– 0.98

—

Higher fair value

No predictable interrelationship

Other liabilities

DCF

Recovery rates

.0%

Higher fair value

Not applicable

September 30, 2022

Financial Instrument

Fair
value in
billions
of yen

Valuation

technique

Significant

unobservable input

Range of

valuation inputs

(1)

Weighted

Average

(2)(3)

Impact of

increases in
significant
unobservable
valuation

inputs

(4)(5)

Interrelationships

between valuation

inputs

(6)

Assets:

Trading assets and private equity and debt investments

Equities

DCF

Liquidity discou

.0%

Lower fair value

Not applicable

Private equity and debt investments

DCF

WACC
Growth rates
Credit spreads Liquidity discounts

5.3 – 17.5%
0

.0 –

%
10.9%
5

.0 –

.0%

9.8%
0.5%
10.9%
18.1%

Lower fair value Higher fair value Lower fair value Lower fair value

No predictable interrelationship

Market multiples

EV/EBITDA ratios PE Ratios
Liquidity discounts

(0.4) – 11.6

x
10.9

–

.0 –

7.1 x

14.2 x
12.9%

Higher fair value Higher fair value Lower fair value

No predictable interrelationship

Foreign government, agency and municipal securities

DCF

Credit spreads Recovery rates

.0 –

1.3%
7.3 – 18.5

0.7%
8.2%

Lower fair value Higher fair value

No predictable interrelationship

Bank and corporate debt securities and loans for trading purposes

272

DCF

Credit spreads Recovery rates

– 154.7

–

100

8.7%
82.1%

Lower fair value Higher fair value

No predictable interrelationship

Commercial mortgage-backed securities (“CMBS”)

DCF

Yields
Loss severities

4.6 – 12.7%
28.3 – 73

.0%

4.9%
40.3%

Lower fair value Lower fair value

No predictable interrelationship

Residential mortgage- backed securities (“RMBS”)

DCF

Yields
Prepayment rates Loss severities

–

%
7.2 – 15

.0%

0.3

–

99.9%

8.8

9.7

17.3%

Lower fair value Lower fair value Lower fair value

No predictable interrelationship

Real estate-backed securities

103

DCF

Loss severities

1.4

–

20.2%

7.7

Lower fair value

Not applicable

Collateralized debt obligations (“CDOs”) and other

DCF

Yields
Prepayment rates Default probabilities Loss severities

6.8 – 30

%
20

.0%

95.5

–

100

.0%

19.2%
20

.0%

96.8%

Lower fair value Lower fair value Lower fair value Lower fair value

Change in default probabilities
typically accompanied by
directionally similar change in
loss severities and opposite
change in prepayment rates

September 30, 2022

Financial Instrument

Fair
value in
billions
of yen

Valuation

technique

Significant

unobservable input

Range of

valuation inputs

(1)

Weighted

Average

(2)(3)

Impact of
increases in
significant
unobservable
valuation

inputs

(4)(5)

Interrelationships

between valuation

inputs

(6)

Derivatives, net:

Equity contracts

)

Option models

Dividend yield

Volatilities

Correlations

.0 –

31.5%

5.5 – 111.2%

(0.8

) – 0.97

—

Higher fair value

No predictable interrelationship

Interest rate contracts

DCF/

Option

models

Interest rates

Volatilities

Correlations

1.2 – 4.5%

10.3 – 17.1%

38.8 – 147.2 bp

.00

) – 0.99

—

Higher fair value

No predictable interrelationship

Credit contracts

(33

)

DCF/

Option

models

Credit spreads

Recovery rates

Volatilities

Correlations

0.1

–

447.4

–

59.5 – 68.5

0.24 – 0.90

—

Higher fair value

No predictable interrelationship

Foreign exchange contracts

Option models

Interest rates

Volatilities

Correlations

3.6 – 3.6%

2.4 – 43.1

– 0

.00)

– 0.84

—

Higher fair value

No predictable interrelationship

Loans and receivables

221

DCF

Credit spreads

Recovery rates

.0 –

67.4%

.0 –

100

.0%

7.8%

95.1%

Lower fair value

Higher fair value

No predictable interrelationship

Collateralized agreements

DCF

Repo rate

2.8 – 6

3.4%

Lower fair value

Not applicable

Other assets

Non-trading

debt securities

DCF

Credit spreads

Lower fair value

No predictable interrelationship

Other

(7)

189

DCF

WACC

Growth rates

Liquidity discounts

11.8%

.0%

11.8%

.0%

Lower fair value

Higher fair value

Lower fair value

No predictable interrelationship

Market multiples

EV/EBITDA ratios

PE Ratios

Price/Book ratios

Liquidity discounts

3.8 – 5.3 x

8.2 – 30.8 x

0.3 – 1.6 x

.0 –

.0%

4.3 x

10.8 x

0.8 x

29.9%

Higher fair value

Lower fair value

Generally changes in multiples result in a corresponding similar directional change in a fair value measurement, assuming earnings levels remain constant.

Liabilities:

Trading liabilities

Bank and corporate debt securities

DCF

Recovery rates

5.6 – 98.5

85.8%

Higher fair value

Not applicable

Short-term borrowings

DCF/

Option models

Volatilities

Correlations

11.5 – 111.2%

(0.65) – 0.97

—

Higher fair value

No predictable interrelationship

Payables and deposits

DCF/

Option models

Volatilities
Correlations

10.3 – 11.3

0.34

–

0.98

—

Higher fair value

No predictable interrelationship

Long-term borrowings

415

DCF

Loss severities

Lower fair value

Not applicable

DCF/

Option models

Volatilities

Correlations

10.3 – 111.2%

66.9 bp

.00

) – 0.98

—

Higher fair value

No predictable interrelationship

Other liabilities

DCF

Recovery rates

90.8

– 98.5

92.7%

Higher fair value

Not applicable

(1)

Range information is provided in percentages, coefficients and multiples and represents the highest and lowest level significant unobservable valuation input used to value that type of financial instrument. A wide dispersion in the range does not necessarily reflect increased uncertainty or subjectivity in the valuation input and is typically just a consequence of the different characteristics of the financial instruments themselves.

(2)	Weighted average information for non-derivatives is calculated by weighting each valuation input by the fair value of the financial instrument.

(3)	Nomura has not provided weighted average information for derivatives as unlike cash products the risk on such products is distinct from the balance sheet value and is subject to netting.

(4)

The above table only considers the impact of an increase in each significant unobservable valuation input on the fair value measurement of the financial instrument. However, a decrease in the significant unobservable valuation input would have the opposite effect on the fair value measurement of the financial instrument. For example, if an increase in a significant unobservable valuation input would result in a lower fair value measurement, a decrease in the significant unobservable valuation input would result in a higher fair value measurement.

(5)

The impact of an increase in the significant unobservable valuation input on the fair value measurement for a derivative assumes Nomura is long risk to the input e.g., long volatility. Where Nomura is short such risk, the impact of an increase would have a converse effect on the fair value measurement of the derivative.

(6)	Consideration of the interrelationships between significant unobservable valuation inputs is only relevant where more than one unobservable valuation input is used to determine the fair value measurement of the financial instrument.

(7)	Valuation techniques and unobservable valuation inputs in respect of equity securities reported within Other assets in the consolidated balance sheets.

Qualitative discussion of the ranges of significant unobservable valuation inputs

The following comments present qualitative discussion about the significant unobservable valuation inputs used by Nomura for financial instruments classified in Level 3.

Derivatives

—

Equity contracts

—The significant unobservable valuation inputs are dividend yield, volatilities and correlations. The range of dividend yields varies as some companies do not pay any dividends, for example due to a lack of profits or as a policy during a growth period, and hence have a zero dividend yield while others may pay high dividends, for example to return money to investors. The range of volatilities is wide as the volatilities of shorter-dated equity derivatives or those based on single equity securities can be higher than those of longer-dated instruments or those based on indices. Correlations represent the relationships between one input and another (“pairs”) and can either be positive or negative amounts. The range of correlations moves from positive to negative because the movement of some pairs is very closely related and in the same direction causing highly positive correlations while others generally move in opposite directions causing highly negative correlations with pairs that have differing relationships throughout the range.

Derivatives

—

Interest rate contracts

—The significant unobservable valuation inputs are interest rates, volatilities and correlations. The range of interest rates is due to interest rates in different countries/currencies being at different levels. The range of volatilities is wide as volatilities of shorter-dated interest rate derivatives are typically higher than those of longer-dated instruments. The range of correlations moves from positive to negative because the movement of some pairs is very closely related and in the same direction causing highly positive correlations while others generally move in opposite directions causing highly negative correlations with pairs that have differing relationships through the range. All significant unobservable valuation inputs are spread across the ranges.

Derivatives

—

Credit contracts

—The significant unobservable valuation inputs are credit spreads, recovery rates, volatilities and correlations. The range of credit spreads reflects the different risk of default present within the portfolio. At the low end of the range, underlying reference names have a very limited risk of default whereas at the high end of the range, underlying reference names have a much greater risk of default. The range of recovery rates varies primarily due to the seniority of the underlying exposure with senior exposures having a higher recovery than subordinated exposures. The range of volatilities is wide as the volatilities of shorter-dated credit contracts are typically higher than those of longer-dated instruments. The correlation range is positive since credit spread moves are generally in the same direction. Highly positive correlations are those for which the movement is very closely related and in the same direction, with correlation falling as the relationship becomes less strong.

Derivatives

—

Foreign exchange contracts

—The significant unobservable valuation inputs are interest rates, volatilities and correlations. The range of interest rates is due to interest rates in different countries/currencies being at different levels with some countries having extremely low levels and others being at levels that while still relatively low are less so. The range of volatilities is mainly due to the lower end of the range arising from currencies that trade in narrow ranges (e.g. versus the U.S. Dollar) while the higher end comes from currencies with a greater range of movement such as emerging market currencies. The range of correlations moves from positive to negative because the movement of some pairs is very closely related and in the same direction causing highly positive correlations while others generally move in opposite directions causing highly negative correlations with pairs that have differing relationships through the range.

Short-term borrowings and Long-term borrowings

—The significant unobservable valuation inputs are yields, prepayment rates, default probabilities, loss severities, volatilities and correlations. The range of volatilities is wide as the volatilities of

shorter-dated

instruments are typically higher than those in longer-dated instruments. The range of correlations moves from positive to negative because the movement of some pairs is very closely related and in the same direction causing highly positive correlations while others generally move in opposite directions causing highly negative correlations with pairs that have differing relationships through the range.

Movements in Level 3 financial instruments

The following tables present gains and losses as well as increases and decreases of financial instruments measured at fair value on a recurring basis which Nomura classified in Level 3 for the six and three months ended September 30, 2021 and 2022. Financial instruments classified in Level 3 are often hedged with instruments within Level 1 or Level 2 of the fair value hierarchy. The gains or losses presented below do not reflect the offsetting gains or losses for these hedging instruments. Level 3 financial instruments are also measured using both observable and unobservable valuation inputs. Fair value changes presented below, therefore, reflect realized and unrealized gains and losses resulting from movements in both observable and unobservable valuation inputs.

For the six months ended September 30, 2021 and 2022, gains and losses related to Level 3 assets and liabilities did not have a material impact on Nomura’s liquidity and capital resources management.


	Billions of yen
	Six months ended September 30, 2021
	Beginning balance as of six months ended September 30, 2021			Total gains (losses) recognized in revenue (1)			Total gains (losses) recognized in other comprehensive income		Purchases / issues (2)		Sales / redemptions (2)			Settlements			Foreign exchange movements			Transfers into Level 3 (4)(5)			Transfers out of Level 3 (5)			Balance as of six months ended September 30, 2021
Assets:
Trading assets and private equity and debt investments

Equities	¥	16		¥	0		¥	—	¥	1	¥	(6	)	¥	—		¥	0		¥	2		¥	(1	)	¥	12
Private equity and debt investments		58			2			—		3		(3	)		—			0			—			(13	)		47
Japanese agency and municipal securities		2			0			—		0		0			—			—			—			—			2
Foreign government, agency and municipal securities		12			0			—		6		(9	)		—			0			2			(1	)		10
Bank and corporate debt securities and loans for trading purposes		135			2			—		32		(45	)		—			1			22			(15	)		132
Commercial mortgage-backed securities (“CMBS”)		8			0			—		0		0			—			0			—			0			8
Residential mortgage-backed securities (“RMBS”)		6			0			—		3		(2	)		—			0			—			—			7
Real estate-backed securities		106			3			—		195		(182	)		—			1			—			—			123
Collateralized debt obligations (“CDOs”) and other		23			(1	)		—		36		(35	)		—			0			—			—			23
Investment trust funds and other		0			0			—		16		(16	)		—			0			0			—			0

Total trading assets and private equity and debt investments		366			6			—		292		(298	)		—			2			26			(30	)		364

Derivatives, net (3)
Equity contracts		(41	)		20			—		—		—			1			(1	)		(2	)		32			9
Interest rate contracts		(43	)		(3	)		—		—		—			11			(1	)		6			2			(28	)
Credit contracts		(38	)		(1	)		—		—		—			3			0			(2	)		1			(37	)
Foreign exchange contracts		15			(3	)		—		—		—			(1	)		0			0			(1	)		10

Total derivatives, net		(107	)		13			—		—		—			14			(2	)		2			34			(46	)

Subtotal	¥	259		¥	19		¥	—	¥	292	¥	(298	)	¥	14		¥	0		¥	28		¥	4		¥	318

Loans and receivables		104			2			—		14		(18	)		—			2			27			(8	)		123
Collateralized agreements		18			0			—		—		(5	)		—			0			—			—			13
Other assets
Other		185			23			—		0		0			—			2			0			(1	)		209

Total	¥	566		¥	44		¥	—	¥	306	¥	(321	)	¥	14		¥	4		¥	55		¥	(5	)	¥	663

Liabilities:
Trading liabilities
Equities	¥	0		¥	0		¥	—	¥	0	¥	0		¥	—		¥	0		¥	—		¥	0		¥	0
Foreign government, agency and municipal securities		1			0			—		—		(1	)		—			0			—			—			0
Bank and corporate debt securities		5			0			—		3		(1	)		—			0			3			(4	)		6
Collateralized debt obligations (“CDOs”) and other		1			0			—		0		(1	)		—			0			0			—			0
Investment trust funds and other		0			0			—		0		0			—			0			—			—			0

Total trading liabilities	¥	7		¥	0		¥	—	¥	3	¥	(3	)	¥	—		¥	0		¥	3		¥	(4	)	¥	6

Short-term borrowings		103			(7	)		0		92		(89	)		—			0			8			(35	)		86
Payables and deposits		1			0			0		0		—			—			—			1			0			2
Collateralized financing		1			—			0		—		—			—			—			—			(1	)		—
Long-term borrowings		547			(9	)		2		289		(256	)		—			0			23			(99	)		511
Other liabilities		35			(4	)		—		0		(15	)		—			0			0			0			24

Total	¥	694		¥	(20	)	¥	2	¥	384	¥	(363	)	¥	—		¥	0		¥	35		¥	(139	)	¥	629


	Billions of yen
	Six months ended September 30, 2022
	Beginning balance as of six months ended September 30, 2022			Total gains (losses) recognized in revenue (1)			Total gains (losses) recognized in other comprehensive income		Purchases / issues (2)		Sales / redemptions (2)			Settlements			Foreign exchange movements			Transfers into Level 3 (4)(5)			Transfers out of Level 3 (5)			Balance as of six months ended September 30, 2022
Assets:
Trading assets and private equity and debt investments
Equities	¥	14		¥	0		¥	—	¥	7	¥	(2	)	¥	—		¥	2		¥	1		¥	(6	)	¥	16
Private equity and debt investments		32			2			—		7		(2	)		—			0			—			—			39
Japanese agency and municipal securities		2			0			—		—		0			—			—			—			—			2
Foreign government, agency and municipal securities		10			2			—		7		(8	)		—			0			0			(1	)		10
Bank and corporate debt securities and loans for trading purposes		220			(1	)		—		157		(168	)		—			27			55			(18	)		272
Commercial mortgage-backed securities (“CMBS”)		7			0			—		0		0			—			—			0			—			7
Residential mortgage-backed securities (“RMBS”)		8			(1	)		—		0		(1	)		—			2			1			—			9
Real estate-backed securities		79			(13	)		—		98		(75	)		—			14			—			—			103
Collateralized debt obligations (“CDOs”) and other		26			(2	)		—		29		(37	)		—			4			0			—			20
Investment trust funds and other		0			0			—		0		0			—			0			0			—			0

Total trading assets and private equity and debt investments		398			(13	)		—		305		(293	)		—			49			57			(25	)		478

Derivatives, net (3)
Equity contracts		10			12			—		—		—			(25	)		(3	)		(1	)		2			(5	)
Interest rate contracts		(11	)		22			—		—		0			17			0			11			(4	)		35
Credit contracts		(33	)		12			—		—		—			(6	)		(4	)		(2	)		0			(33	)
Foreign exchange contracts		10			0			—		—		—			9			2			0			0			21

Total derivatives, net		(24	)		46			—		—		0			(5	)		(5	)		8			(2	)		18

Subtotal	¥	374		¥	33		¥	—	¥	305	¥	(293	)	¥	(5	)	¥	44		¥	65		¥	(27	)	¥	496

Loans and receivables		205			5			—		25		(52	)		—			29			36			(27	)		221
Collateralized agreements		16			0			—		—		—			—			3			—			—			19
Other assets
Non-trading debt securities		—			0			—		0		—			—			1			2			—			3
Other		197			(34	)		0		1		(1	)		—			25			1			—			189

Total	¥	792		¥	4		¥	0	¥	331	¥	(346	)	¥	(5	)	¥	102		¥	104		¥	(54	)	¥	928

Liabilities:
Trading liabilities
Equities	¥	0		¥	0		¥	—	¥	0	¥	(1	)	¥	—		¥	0		¥	2		¥	—		¥	1
Foreign government, agency and municipal securities		0			0			—		—		—			—			0			—			—			0
Bank and corporate debt securities		3			0			—		1		(3	)		—			0			3			0			4
Collateralized debt obligations (“CDOs”) and other		0			—			—		1		(1	)		—			0			—			—			—
Investment trust funds and other		0			0			—		—		0			—			0			—			—			0

Total trading liabilities	¥	3		¥	0		¥	—	¥	2	¥	(5	)	¥	—		¥	0		¥	5		¥	0		¥	5

Short-term borrowings		58			0			0		26		(16	)		—			0			4			(43	)		29
Payables and deposits		8			1			0		15		—			—			—			7			(8	)		21
Long-term borrowings		479			13			3		122		(77	)		—			3			38			(134	)		415
Other liabilities		32			9			—		3		(7	)		—			5			0			(1	)		23

Total	¥	580		¥	23		¥	3	¥	168	¥	(105	)	¥	—		¥	8		¥	54		¥	(186	)	¥	493


	Billions of yen
	Three months ended September 30, 2021
	Beginning balance as of three months ended September 30, 2021			Total gains (losses) recognized in net revenue (1)			Total gains (losses) recognized in other comprehensive income		Purchases / issues (2)		Sales / redemptions (2)			Settlements			Foreign exchange movements			Transfers into Level 3 (4)(5)			Transfers out of Level 3 (5)			Balance as of three months ended September 30, 2021
Assets:
Trading assets and private equity and debt investments
Equities	¥	11		¥	0		¥	—	¥	1	¥	(1	)	¥	—		¥	0		¥	1		¥	0		¥	12
Private equity and debt investments		45			(1	)		—		4		(1	)		—			0			—			—			47
Japanese agency and municipal securities		2			0			—		0		0			—			—			—			—			2
Foreign government, agency and municipal securities		13			0			—		1		(5	)		—			0			1			0			10
Bank and corporate debt securities and loans for trading purposes		131			1			—		18		(27	)		—			1			12			(4	)		132
Commercial mortgage-backed securities (“CMBS”)		8			0			—		—		0			—			0			—			0			8
Residential mortgage-backed securities (“RMBS”)		7			1			—		1		(2	)		—			0			—			—			7
Real estate-backed securities		158			0			—		84		(121	)		—			2			—			—			123
Collateralized debt obligations (“CDOs”) and other		21			0			—		15		(13	)		—			0			—			—			23
Investment trust funds and other		1			0			—		15		(16	)		—			0			—			—			0

Total trading assets and private equity and debt investments		397			1			—		139		(186	)		—			3			14			(4	)		364

Derivatives, net (3)
Equity contracts		(39	)		21			—		—		—			3			(1	)		6			19			9
Interest rate contracts		(41	)		(1	)		—		—		—			9			0			5			0			(28	)
Credit contracts		(31	)		(5	)		—		—		—			1			0			(2	)		0			(37	)
Foreign exchange contracts		9			4			—		—		—			(2	)		0			0			(1	)		10

Total derivatives, net		(102	)		19			—		—		—			11			(1	)		9			18			(46	)

Subtotal	¥	295		¥	20		¥	—	¥	139	¥	(186	)	¥	11		¥	2		¥	23		¥	14		¥	318

Loans and receivables		111			3			—		8		(11	)		—			1			18			(7	)		123
Collateralized agreements		16			0			—		—		(3	)		—			0			—			—			13
Other assets
Other		202			5			—		—		—			—			2			0			—			209

Total	¥	624		¥	28		¥	—	¥	147	¥	(200	)	¥	11		¥	5		¥	41		¥	7		¥	663

Liabilities:
Trading liabilities
Equities	¥	0		¥	0		¥	—	¥	—	¥	0		¥	—		¥	0		¥	—		¥	—		¥	0
Foreign government, agency and municipal securities		0			0			—		—		0			—			0			—			—			0
Bank and corporate debt securities		2			0			—		2		(1	)		—			0			4			(1	)		6
Collateralized debt obligations (“CDOs”) and other		0			0			—		0		0			—			0			—			—			0
Investment trust funds and other		0			0			—		—		0			—			0			—			—			0

Total trading liabilities	¥	2		¥	0		¥	—	¥	2	¥	(1	)	¥	—		¥	0		¥	4		¥	(1	)	¥	6

Short-term borrowings		94			2			0		49		(48	)		—			0			3			(10	)		86
Payables and deposits		2			0			0		0		—			—			—			0			0			2
Long-term borrowings		508			5			0		129		(110	)		—			0			7			(18	)		511
Other liabilities		33			(2	)		—		0		(11	)		—			0			—			0			24

Total	¥	639		¥	5		¥	0	¥	180	¥	(170	)	¥	—		¥	0		¥	14		¥	(29	)	¥	629


	Billions of yen
	Three months ended September 30, 2022
	Beginning balance as of three months ended September 30, 2022			Total gains (losses) recognized in net revenue (1)			Total gains (losses) recognized in other comprehensive income		Purchases / issues (2)		Sales / redemptions (2)			Settlements			Foreign exchange movements			Transfers into Level 3 (4)(5)			Transfers out of Level 3 (5)			Balance as of three months ended September 30, 2022
Assets:
Trading assets and private equity and debt investments
Equities	¥	19		¥	2		¥	—	¥	1	¥	(2	)	¥	—		¥	1		¥	1		¥	(6	)	¥	16
Private equity and debt investments		32			3			—		5		(1	)		—			0			—			—			39
Japanese agency and municipal securities		2			0			—		—		0			—			—			—			—			2
Foreign government, agency and municipal securities		12			0			—		2		(3	)		—			0			0			(1	)		10
Bank and corporate debt securities and loans for trading purposes		260			(3	)		—		72		(98	)		—			11			33			(3	)		272
Commercial mortgage-backed securities (“CMBS”)		7			0			—		—		0			—			—			0			—			7
Residential mortgage-backed securities (“RMBS”)		9			0			—		0		(1	)		—			1			—			—			9
Real estate-backed securities		105			(3	)		—		36		(41	)		—			6			—			—			103
Collateralized debt obligations (“CDOs”) and other		23			2			—		12		(18	)		—			1			0			—			20
Investment trust funds and other		0			0			—		0		0			—			0			0			—			0

Total trading assets and private equity and debt investments		469			1			—		128		(164	)		—			20			34			(10	)		478

Derivatives, net (3)
Equity contracts		26			(2	)		—		—		—			(27	)		(2	)		(5	)		5			(5	)
Interest rate contracts		20			20			—		—		0			0			(1	)		(2	)		(2	)		35
Credit contracts		(30	)		(5	)		—		—		—			4			0			(2	)		0			(33	)
Foreign exchange contracts		18			(1	)		—		—		—			5			0			0			(1	)		21

Total derivatives, net		34			12			—		—		0			(18	)		(3	)		(9	)		2			18

Subtotal	¥	503		¥	13		¥	—	¥	128	¥	(164	)	¥	(18	)	¥	17		¥	25		¥	(8	)	¥	496

Loans and receivables		196			3			—		18		(21	)		—			9			16			—			221
Collateralized agreements		18			0			—		—		—			—			1			—			—			19
Other assets
Non-trading debt securities		3			0			—		0		—			—			0			—			—			3
Other		189			(10	)		0		0		0			—			9			1			—			189

Total	¥	909		¥	6		¥	0	¥	146	¥	(185	)	¥	(18	)	¥	36		¥	42		¥	(8	)	¥	928

Liabilities:
Trading liabilities
Equities	¥	1		¥	0		¥	—	¥	—	¥	0		¥	—		¥	0		¥	0		¥	—		¥	1
Foreign government, agency and municipal securities		0			0			—		—		0			—			0			—			—			0
Bank and corporate debt securities		5			0			—		0		(3	)		—			0			2			0			4
Collateralized debt obligations (“CDOs”) and other		0			—			—		—		0			—			—			—			—			—
Investment trust funds and other		0			0			—		—		0			—			0			—			—			0

Total trading liabilities	¥	6		¥	0		¥	—	¥	0	¥	(3	)	¥	—		¥	0		¥	2		¥	0		¥	5

Short-term borrowings		35			(2	)		0		9		(10	)		—			0			3			(10	)		29
Payables and deposits		25			0			0		4		—			—			—			—			(8	)		21
Long-term borrowings		442			0			2		37		(22	)		—			2			16			(58	)		415
Other liabilities		26			(1	)		—		0		(5	)		—			2			0			(1	)		23

Total	¥	534		¥	(3	)	¥	2	¥	50	¥	(40	)	¥	—		¥	4		¥	21		¥	(77	)	¥	493

(1)

Includes gains and losses reported primarily within

Net gain on trading, Gain on private equity and debt investments,

and also within

Gain (loss) on investments in equity securities, Revenue—Other

and

Non-interest expenses—Other, Interest and dividends

and

Interest expense

in the consolidated statements of income.

(2)	Amounts reported in Purchases / issues include increases in trading liabilities while Sales / redemptions include decreases in trading liabilities.

(3)	Derivatives which contain multiple types of risk are classified based on the primary risk type of the instrument.

(4)	Amounts of gains and losses on these transfers which were recognized in the period when the Transfers into Level 3 occurred were not significant for the six and three months ended September 30, 2021 and 2022.

(5)

Transfers into Level

indicate certain valuation inputs of a financial instrument become unobservable or significant.

Transfers out of Level

indicate certain valuation inputs of a financial instrument become observable or insignificant. See

Quantitative and qualitative information regarding significant unobservable

valuation

inputs

above for the valuation inputs of each financial instruments.

Unrealized gains and losses recognized for Level 3 financial instruments

The following table presents the amounts of unrealized gains (losses) for the six and three months ended September 30, 2021 and 2022, relating to those financial instruments which Nomura classified in Level 3 within the fair value hierarchy and that were still held by Nomura at the relevant consolidated balance sheet date.


	Billions of yen
	Six months ended September 30
	2021			2022


	Unrealized gains / (losses) (1)

Assets:
Trading assets and private equity and debt investments
Equities	¥	0		¥	0
Private equity and debt investments		2			2
Japanese agency and municipal securities		0			0
Foreign government, agency and municipal securities		0			0
Bank and corporate debt securities and loans for trading purposes		1			0
Commercial mortgage-backed securities (“CMBS”)		0			0
Residential mortgage-backed securities (“RMBS”)		0			0
Real estate-backed securities		2			(1	)
Collateralized debt obligations (“CDOs”) and other		(2	)		(3	)
Investment trust funds and other		0			0

Total trading assets and private equity and debt investments		3			(2	)

Derivatives, net (2)
Equity contracts		24			11
Interest rate contracts		(9	)		15
Credit contracts		2			3
Foreign exchange contracts		(1	)		(7	)

Total derivatives, net		16			22

Subtotal	¥	19		¥	20

Loans and receivables		1			4
Collateralized agreements		0			0
Other assets
Other		23			(34	)

Total	¥	43		¥	(10	)

Liabilities:
Trading liabilities
Equities	¥	—		¥	0
Foreign government, agency and municipal securities		0			0
Bank and corporate debt securities		0			0

Total trading liabilities	¥	0		¥	0

Short-term borrowings (3)		3			0
Payables and deposits (3)		0			1
Long-term borrowings (3)		4			19
Other liabilities		(1	)		14

Total	¥	6		¥	34


	Billions of yen
	Three months ended September 30
	2021			2022

	Unrealized gains / (losses) (1)
Assets:
Trading assets and private equity and debt investments
Equities	¥	1		¥	2
Private equity and debt investments		1			3
Japanese agency and municipal securities		0			0
Foreign government, agency and municipal securities		0			0
Bank and corporate debt securities and loans for trading purposes		0			(2	)
Commercial mortgage-backed securities (“CMBS”)		0			0
Residential mortgage-backed securities (“RMBS”)		0			0
Real estate-backed securities		(1	)		(2	)
Collateralized debt obligations (“CDOs”) and other		(2	)		1
Investment trust funds and other		0			0

Total trading assets and private equity and debt investments		(1	)		2

Derivatives, net (2)
Equity contracts		25			4
Interest rate contracts		(4	)		11
Credit contracts		(3	)		(5	)
Foreign exchange contracts		5			(2	)

Total derivatives, net		23			8

Subtotal	¥	22		¥	10

Loans and receivables		2			3
Collateralized agreements		—			0
Other assets
Other		5			(9	)

Total	¥	29		¥	4

Liabilities:
Trading liabilities
Equities	¥	—		¥	0
Bank and corporate debt securities		0			0
Collateralized debt obligations (“CDOs”) and other		0			—

Total trading liabilities	¥	0		¥	0

Short-term borrowings (3)		5			(1	)
Payables and deposits (3)		0			0
Long-term borrowings (3)		8			5
Other liabilities		0			1

Total	¥	13		¥	5

(1)

Includes gains and losses reported within

Net gain on trading, Gain on private equity and debt investments,

and also within

Gain on investments in equity securities, Revenue

—

Other

and

Non-interest

expenses

—

Other, Interest and dividends

and

Interest expense

in the consolidated statements of income.

(2)	Derivatives which contain multiple types of risk are classified based on the primary risk type of the instrument.

(3)

Includes changes in unrealized gains and losses in

Other comprehensive income

(loss)

for recurring Level 3 fair value measurements held at the end of the reporting period. They were ¥2 billion and ¥3 billion for the six months ended September 30, 2021 and 2022 respectively and ¥0 billion and ¥2 billion for the three months ended September 30, 2021 and 2022, respectively.

Investments in investment funds that calculate NAV per share

In the normal course of business, Nomura invests in

non-consolidated

funds which meet the definition of investment companies or are similar in nature and which do not have readily determinable fair values. For certain of these investments, Nomura uses NAV per share as the basis for valuation as a practical expedient. Some of these investments are redeemable at different amounts from NAV per share.

The following tables present information on these investments where NAV per share is calculated or disclosed as of March 31, 2022 and September 30, 2022. Investments are presented by major category relevant to the nature of Nomura’s business and

risks


	Billions of yen
	March 31, 2022
	Fair value		Unfunded commitments (1)		Redemption frequency (if currently eligible) (2)		Redemption notice (3)
Hedge funds	¥	12	¥	1		Monthly		Same day-30 days
Venture capital funds		10		10		—		—
Private equity funds		22		19		—		—
Real estate funds		4		1		—		—

Total	¥	48	¥	31


	Billions of yen
	September 30, 2022
	Fair value		Unfunded commitments (1)		Redemption frequency (if currently eligible) (2)		Redemption notice (3)
Hedge funds	¥	15	¥	1		Monthly		Same day-30 days
Venture capital funds		10		9		—		—
Private equity funds		21		13		—		—
Real estate funds		3		1		—		—

Total	¥	49	¥	24

(1)	The contractual amount of any unfunded commitments Nomura is required to make to the entities in which the investment is held.

(2)	The range in frequency with which Nomura is permitted to redeem investments.

(3)	The range in notice period required to be provided before redemption is possible.

Hedge funds:

These investments include funds of funds that invest in multiple asset classes. The fair values of these investments are determined using NAV per share. Although most of these funds can be redeemed within six months, certain funds cannot be redeemed within six months due to contractual, liquidity or gating issues. The redemption period is unknown for certain suspended or liquidating funds. Some of these investments contain restrictions against transfers of the investments to third parties.

Venture capital funds:

These investments include primarily

start-up

funds. The fair values of these investments are determined using NAV per share. Most of these funds cannot be redeemed within six months. The redemption period is unknown for certain suspended or liquidating funds. Some of these investments contain restrictions against transfers of the investments to third parties.

Private equity funds:

These investments are made mainly in various sectors in Europe, U.S. and Japan. The fair values of these investments are determined using NAV per share. Redemption is restricted for most of these investments. The redemption period is unknown for certain suspended or liquidating funds. Some of these investments contain restrictions against transfers of the investments to third parties.

Real estate funds:

These are investments in commercial and other types of real estate. The fair values of these investments are determined using NAV per share. Redemption is restricted for most of these investments. The redemption period is unknown for certain suspended or liquidating funds. Some of these investments contain restrictions against transfers of the investments to third parties.

Fair value option for financial assets and financial liabilities

Nomura measures certain eligible financial assets and liabilities at fair value through the election of the fair value option permitted by ASC 815 “

Derivatives and Hedging

”

and ASC 825 “

Financial Instruments.

” When Nomura elects the fair value option for an eligible item, changes in that item’s fair value are recognized through earnings. Election of the fair value option is generally irrevocable unless an event occurs that gives rise to a new basis of accounting for that instrument.

The financial assets and financial liabilities primarily elected for the fair value option by Nomura, and the reasons for the election, are as follows:

•

Equity method investments reported within

Trading assets and private equity and debt investments

and

Other assets

held for capital appreciation or current income purposes which Nomura generally has an intention to exit rather than hold indefinitely. Nomura elects the fair value option to more appropriately represent the purpose of these investments in these consolidated financial statements.

•

Loans receivable

and

Receivables from customers

reported within

Loans and receivables

which are risk managed on a fair value basis and loan commitments related to loans receivable for which the fair value option will be elected upon funding. Nomura elects the fair value option to mitigate volatility through earnings caused by the difference in measurement basis that otherwise would arise between loans and the derivatives used to risk manage those instruments.

•

Reverse repurchase and repurchase agreements reported within

Collateralized agreements

and

Collateralized financing

which are risk managed on a fair value basis. Nomura elects the fair value option to mitigate volatility through earnings caused by the difference in measurement basis that otherwise would arise between the reverse repurchase and repurchase agreements and the derivatives used to risk manage those instruments.

•

All structured notes issued on or after April 1, 2008 reported within

Short-term borrowings

Long-term borrowings

. Nomura elects the fair value option for those structured notes primarily to mitigate the volatility through earnings caused by differences in the measurement basis for structured notes and the derivatives Nomura uses to risk manage those positions. Nomura also elects the fair value option for certain notes issued by consolidated VIEs for the same purpose and for certain structured notes issued prior to April 1, 2008. Certain subsidiaries elect the fair value option for structured loans and vanilla debt securities issued by those subsidiaries.

•

Certain structured deposit issuances reported within

Deposits received at banks

. Nomura elects the fair value option for those structured deposits primarily to mitigate the volatility through earnings caused by differences in the measurement basis for structured deposits and the derivatives Nomura uses to risk manage those positions.

•

Financial liabilities reported within

Long-term borrowings

recognized in transactions which are accounted for as secured financing transactions under ASC 860. Nomura elects the fair value option for these financial liabilities to mitigate volatility through earnings that otherwise would arise had this election not been made. Even though Nomura usually has little or no continuing economic exposure to the transferred financial assets, they remain on the consolidated balance sheets and continue to be carried at fair value, with changes in fair value recognized through earnings.

•

Financial reinsurance contracts reported within

Other assets.

Nomura elects the fair value option to mitigate income volatility caused by the difference in measurement basis that would otherwise exist. Changes in the fair value of the reinsurance contracts carried at fair value are reported in the consolidated statements of income.

Interest and dividends arising from financial instruments for which the fair value option has been elected are recognized within

Interest and dividends, Interest expense

Revenue—Net gain on trading

The following table presents gains (losses) due to changes in fair value for financial instruments measured at fair value using the fair value option for the six and three months ended September 30, 2021 and 2022.


	Billions of yen
	Six months ended September 30
	2021			2022

	Gains / (Losses) (1)
Assets:
Trading assets and private equity and debt investments (2)
Trading assets	¥	0		¥	(1	)
Private equity and debt investments		1			2
Loans and receivables		8			16
Collateralized agreements (3)		0			(2	)
Other assets (2)		16			(35	)

Total	¥	25		¥	(20	)

Liabilities:
Short-term borrowings (4)	¥	21		¥	126
Payables and deposits		3			9
Collateralized financing (3)		6			3
Long-term borrowings (4)(5)		(25	)		442
Other liabilities (6)		(10	)		16

Total	¥	(5	)	¥	596


	Billions of yen
	Three months ended September 30
	2021			2022

	Gains / (Losses) (1)
Assets:
Trading assets and private equity and debt investments (2)
Trading assets	¥	—		¥	(1	)
Private equity and debt investments		1			1
Loans and receivables		4			7
Collateralized agreements (3)		0			(2	)
Other assets (2)		5			(10	)

Total	¥	10		¥	(5	)

Liabilities:
Short-term borrowings (4)	¥	33		¥	66
Payables and deposits		0			4
Collateralized financing (3)		8			0
Long-term borrowings (4)(5)		30			173
Other liabilities (6)		(6	)		11

Total	¥	65		¥	254

(1)	Includes gains and losses reported primarily within Revenue— Net gain on trading and Revenue — Other in the consolidated statements of income.

(2)	Includes equity investments that would have been accounted for under the equity method had Nomura not chosen to elect the fair value option.

(3)	Includes reverse repurchase and repurchase agreements.

(4)	Includes structured notes and other financial liabilities.

(5)	Includes secured financing transactions arising from transfers of financial assets which did not meet the criteria for sales accounting.

(6)	Includes unfunded written loan commitments.

As of March 31, 2022 and September 30, 2022, Nomura held an economic interest of 39.21% and 39.87% in American Century Companies, Inc., respectively. The investment is measured at fair value on a recurring basis through election of the fair value option and is reported within

Other assets—Other

in the consolidated balance sheets.

For the six months ended September 30, 2021 and 2022, there was no significant impact on financial assets for which the fair value option was elected attributable to instrument-specific credit risk.

Nomura calculates the impact of changes in its own creditworthiness on certain financial liabilities for which the fair value option is elected by revaluation techniques using a rate which incorporates observable changes in its credit spread.

The following table presents changes in the valuation adjustment for Nomura’s own creditworthiness recognized in other comprehensive income during the years pertaining to certain financial liabilities for which the fair value option has been elected recognized in other comprehensive income during the years and cumulatively, and amounts reclassified to earnings from accumulated other comprehensive income on early settlement of such financial liabilities during the six and three months ended September 30, 2021 and 2022


	Billions of yen
	Period ended or as of September 30
	2021			2022

Changes recognized as a credit to other comprehensive income	¥	6		¥	63
Credit A mounts reclassified to earnings		1			0
Cumulative credit (debit) balance recognized in accumulated other comprehensive income		(5	)		116

	Billions of yen
	Three months ended September 30
	2021			2022
Changes recognized as a credit to other comprehensive income	¥	1		¥	35
Credit (debit) amounts reclassified to earnings		0			(0	)

As of March 31, 2022, the fair value of the aggregate unpaid principal balance (which is contractually principally protected) of

Loans and receivables

for which the fair value option was elected was ¥267 billion less than the principal balance of such

Loans and receivables

. A significant portion of the principal balance relates to receivables recognized for claims in connection with the U.S. Prime Brokerage Event in March 2021. The unpaid principal balance of

Loans and receivables

for which the fair value option was elected that were 90 days or more past due was ¥278 billion. The fair value of the aggregate unpaid principal balance (which is contractually principally protected) of

Long-term borrowings

for which the fair value option was elected was ¥212 billion less than the principal balance of such

Long-term borrowings

As of September 30, 2022, the fair value of the aggregate unpaid principal balance (which is contractually principally protected) of

Loans and receivables

for which the fair value option was elected was ¥347 billion less than the principal balance of such

Loans and receivables

A significant portion of the principal balance relates to receivables recognized for claims in connection with the U.S. Prime Brokerage Event in March 2021. The unpaid principal balance of

Loans and receivables

for which the fair value option was elected that were 90 days or more past due was

¥329 billion. The fair value of the aggregate unpaid principal balance (which is contractually principally protected) of

Long-term borrowings

for which the fair value option was elected was

¥487 billion less than the principal balance of such

Long-term borrowings

Investment by Investment companies

Nomura carries all of investments by investment companies under ASC 946 “

Financ

ial

Services—Investment Companies

” (“ASC 946”) at fair value, with changes in fair value recognized through the consolidated statements of income.

Concentrations of credit risk

Concentrations of credit risk may arise from trading, securities financing transactions and underwriting activities, and may be impacted by changes in political or economic factors. Nomura has credit risk concentrations on debt securities issued by the Japanese Government, U.S. Government, British Government (“U.K.”), Governments within the European Union (“EU”), their states and municipalities, and their agencies. These concentrations generally arise from taking trading positions and are reported within

Trading assets

in the consolidated balance sheets. Government, agency and municipal securities, including

Securities pledged as collateral,

represented 16% of total assets as of March 31, 2022 and 16% as of September 30, 2022.

The following tables present geographic allocations of Nomura’s trading assets related to government, agency and municipal securities as of March 31, 2022 and September 30, 2022. See Note 3 “

Derivative instruments and hedging activities

” for further information regarding the concentration of credit risk for derivatives.


	Billions of yen
	March 31, 2022
	Japan		U.S.		EU & U.K.		Other		Total (1)
Government, agency and municipal securities	¥	1,916	¥	2,368	¥	2,151	¥	721	¥	7,156

	Billions of yen
	September 30, 2022
	Japan		U.S.		EU & U.K.		Other		Total (1)
Government, agency and municipal securities	¥	2,080	¥	3,276	¥	2,083	¥	704	¥	8,143

(1)

Other than above, there were ¥331 billion and ¥325 billion of government, agency and municipal securities reported within

Other

assets—Non-trading

debt securities

in the consolidated balance sheets as of March 31, 2022 and September 30

2022, respectively. These securities are primarily Japanese government, agency and municipal securities.

Estimated fair value of financial instruments not carried at fair value

Certain financial instruments are not carried at fair value on a recurring basis in the consolidated balance sheets since they are neither held for trading purposes nor are elected for the fair value option. These are typically carried at contractual amounts due or amortized cost.

The carrying value of the majority of the financial instruments detailed below approximates their fair value since they are short-term in nature and contain minimal credit risk. These financial instruments include financial assets reported within

Cash and cash equivalents, Time deposits, Deposits with stock exchanges and other segregated cash, Receivables from customers, Receivables from other than customers, Securities purchased under agreements to resell and Securities borrowed

and financial liabilities reported within

Short-term borrowings, Payables to customers, Payables to other than customers, Deposits received at banks, Securities sold under agreements to repurchase, Securities loaned

and

Other secured borrowings

in the consolidated balance sheets.

The fair values of other financial instruments which are longer-term in nature or may contain more than minimal credit risk may be different to their carrying value. Financial assets of this type primarily include certain loans which are reported within

Loans receivable

while financial liabilities primarily include long-term borrowings which are reported within

Long-term borrowings

The following tables present carrying values, fair values and classification within the fair value hierarchy for certain classes of financial instrument of which a portion of the ending balance was carried at fair value as of March 31, 2022 and September 30, 2022.


	Billions of yen
	March 31, 2022 (1)
	Carrying value		Fair value		Fair value by level
	Carrying value		Fair value		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	¥	3,316	¥	3,316	¥	3,316	¥	—	¥	—
Time deposits		321		321		—		321		—
Deposits with stock exchanges and other segregated cash		427		427		—		427		—
Loans receivable (2)		3,515		3,515		—		2,461		1,054
Securities purchased under agreements to resell		11,879		11,879		—		11,863		16
Securities borrowed		4,997		4,994		—		4,994		—

Total	¥	24,455	¥	24,452	¥	3,316	¥	20,066	¥	1,070

Liabilities:
Short-term borrowings	¥	1,050	¥	1,050	¥	—	¥	993	¥	57
Deposits received at banks		1,761		1,761		—		1,752		9
Securities sold under agreements to repurchase		12,575		12,575		—		12,575		0
Securities loaned		1,567		1,568		—		1,568		—
Other secured borrowings		396		396		—		396		—
Long-term borrowings		9,258		9,236		23		8,688		525

Total	¥	26,607	¥	26,586	¥	23	¥	25,972	¥	591


	Billions of yen
	September 30, 2022 (1)
	Carrying value		Fair value		Fair value by level
	Carrying value		Fair value		Level 1		Level 2		Level 3
Assets:
Cash and cash equivalents	¥	3,676	¥	3,676	¥	3,676	¥	—	¥	—
Time deposits		347		347		—		347		—
Deposits with stock exchanges and other segregated cash		384		384		—		384		—
Loans receivable (2)		4,133		4,133		—		2,960		1,173
Securities purchased under agreements to resell		15,829		15,828		—		15,809		19
Securities borrowed		5,012		5,011		—		5,011		—

Total	¥	29,381	¥	29,379	¥	3,676	¥	24,511	¥	1,192

Liabilities:
Short-term borrowings	¥	1,274	¥	1,274	¥	—	¥	1,245	¥	29
Deposits received at banks		2,039		2,039		—		2,018		21
Securities sold under agreements to repurchase		15,964		15,964		—		15,964		—
Securities loaned		1,586		1,585		—		1,585		—
Other secured borrowings		327		327		—		327		—
Long-term borrowings		10,095		9,998		22		9,521		455

Total	¥	31,285	¥	31,187	¥	22	¥	30,660	¥	505

(1)	Includes financial instruments which are carried at fair value on a recurring basis.

(2)	Carrying values are shown after deducting relevant allowances for credit losses.

Assets and liabilities measured at fair value on a nonrecurring basis

In addition to financial instruments carried at fair value on a recurring basis, Nomura also measures other financial and

non-financial

assets and liabilities at fair value on a nonrecurring basis, where the primary measurement basis is not fair value. Fair value is only used in specific circumstances after initial recognition such as to measure impairment.

As of March 31, 2022 and September 30, 2022, there were no significant amount of assets or liabilities which were

measured

at fair value on a nonrecurring basis.