FORM 6-K/A
U.S. SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Report of Foreign Private Issuer
Pursuant to Rule 13a-16 or 15d-16 of
the Securities Exchange Act of 1934
Commission File Number: 1-15270
For the month of June 2024

NOMURA HOLDINGS, INC.
(Translation of registrant’s name into English)

13-1, Nihonbashi 1-chome
Chuo-ku, Tokyo 103-8645
Japan(Address of principal executive offices)

Indicate by check mark whether the registrant files or will file annual reports under cover Form 20-F or Form 40-F.
Form 20-F

X

Form 40-F

Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):

Information furnished on this form:

EXHIBITS
Exhibit Number

1.

(English Translation) Quarterly Securities Report Pursuant to the Financial Instruments and Exchange Act for the Three Months Ended June 30,
2021.

2.

(English Translation) Confirmation Letter.

The registrant hereby incorporates Exhibits 1 and 2 to this report on Form 6-K by reference in the prospectus that is part of the Registration
Statement on Form F-3 (Registration No. 333-229191) of the registrant, filed with the SEC on January 11, 2019.
EXPLANATORY NOTE: The registrant furnished with the Securities and Exchange Commission (the “SEC”) a report on Form 6-K on
August 26, 2021 (the “Original Form 6-K”). The registrant is furnishing this Form 6-K/A in order to amend certain information contained in Exhibit 1“(English Translation) Quarterly Securities Report Pursuant to the Financial Instruments and Exchange Act for the Three Months Ended June 30, 2021”
furnished on the Original Form 6-K.
As shown in Exhibit 1 to this Form 6-K/A, amendments are indicated by “underline” and relate to the following:•

Part I Corporate Information—Item 1. Information on Company and Its Subsidiaries and Affiliates—1. Selected Financial Data•

Part I Corporate Information—Item 2. Operating and Financial Review–1. Risk Factors•

Part I Corporate Information—Item 2. Operating and Financial Review—2. Operating, Financial and Cash Flow Analyses by Management—(6) Liquidity and Capital Resources—Cash Flows•

Part I Corporate Information—Item 4. Financial Information—1. Consolidated Financial Statements—(5) Consolidated Statements ofCash Flows (UNAUDITED)•Part I Corporate Information—Item 4. Financial Information—1. Consolidated Financial Statements—Notes to the Consolidated Financial
Statements (UNAUDITED)—1. Basis of accounting

No other portion of the Original Form 6-K is being amended hereby.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by theundersigned, thereunto duly authorized.
NOMURA HOLDINGS, INC.
Date: June 25, 2024

By:/s/ Yoshifumi Kishida
Yoshifumi Kishida
Senior Managing Director

Exhibit 1
Quarterly Securities Report Pursuant to the Financial Instruments and Exchange Act for the Three Months Ended June 30, 2021
Items included in the Quarterly Securities Report
Page

Part I Corporate Information

1

Item 1. Information on Company and Its Subsidiaries and Affiliates

1

1. Selected Financial Data
2. Business Overview
Item 2. Operating and Financial Review
1. Risk Factors
2. Operating, Financial and Cash Flow Analyses by Management
3. Significant Contracts
Item 3. Company Information
1. Share Capital Information
2. Directors and Executive Officers

1
1
2
2
2
18
19
19

Item 4. Financial Information21

Preparation Method of Consolidated Financial Statements and Quarterly Review Certificate

21

1. Consolidated Financial Statements

22(1) Consolidated Balance Sheets (UNAUDITED)(2) Consolidated Statements of Income (UNAUDITED)(3) Consolidated Statements of Comprehensive Income (UNAUDITED)(4) Consolidated Statements of Changes in Equity (UNAUDITED)(5) Consolidated Statements of Cash Flows (UNAUDITED)
Notes to the Consolidated Financial Statements (UNAUDITED)
2. OtherPart II

22
25
26
27
28
30
106

Information on Guarantor of the Company

Quarterly Review Report of Independent Auditors
Note: Translations for the underlined items are attached to this form as below.

107Part I

Corporate Information

Item 1. Information on Company and Its Subsidiaries and Affiliates
1. Selected Financial Data

Total revenue
Net revenue
Income before income taxes
Net income attributable to Nomura Holdings, Inc. (“NHI”) shareholders
Comprehensive income attributable to NHI shareholders
Total equity
Total assets
Net income attributable to NHI common shareholders per share—basic
Net income attributable to NHI common shareholders per share—diluted
Total NHI shareholders’ equity as a percentage of total assets
Cash flows from operating activities
Cash flows from investing activities
Cash flows from financing activities
Cash, cash equivalents, restricted cash and restricted cash equivalents at end of period

12
3(Mil yen)(Mil yen)(Mil yen)(Mil yen)(Mil yen)(Mil yen)(Mil yen)
(Yen)
(Yen)
(%)
(Mil yen)(Mil yen)(Mil yen)(Mil yen)Three months
ended
June 30,
2020

Three months
ended
June 30,
2021

Year ended
March 31,2021

514,049
460,747
181,811
142,516
142,648
2,830,643
41,545,394
46.77
45.65
6.7
414,980
511,417(759,935)
3,355,531

405,172
353,275
78,53348,48749,4552,804,320
41,830,204
16.12
15.59
6.6
(488,809)(15,400)
231,820
3,231,015

1,617,235
1,401,872
230,671
153,116
141,077
2,756,451
42,516,480
50.11
48.63
6.3
667,610
257,932(668,725)
3,510,011

The selected financial data of Nomura Holdings, Inc. (the “Company”) and other entities in which it has a controlling financial interest(collectively referred to as “Nomura”, “we”, “our”, or “us”) are stated in accordance with the accounting principles generally accepted in the
United States of America (“U.S. GAAP”).
As the consolidated financial statements have been prepared, selected financial data on the Company are not disclosed.
As discussed in Item 4. Financial Information, 1 Consolidated Financial Statements, Note 1 “Basis of accounting”, amounts for Cash flows fromoperating activities, Cash flows from investing activities and Cash flows from financing activities have been restated to correct certain errors
identified during the fourth quarter ended March 31, 2024.

2. Business Overview
There were no significant changes to the businesses of the Company and its 1,273 consolidated subsidiaries for the three months ended June 30,
2021.
There were 15 affiliated companies which were accounted for by the equity method as of June 30, 2021.
1

Item 2. Operating and Financial Review
1. Risk Factors
Significant changes in our Risk Factors which were described on the annual securities report from the original date of submission of the annual
securities report (June 25, 2021) until the original date of submission of this report (August 16, 2021) are stated below. The titles below correspond to
the titles of “Part I Corporate Information—Item 2. Operating and Financial Review—2. Risk Factors” in the annual securities report. The discussion
below contains future matters that are based on the assessments made as of the original date of submission of this report (August 16, 2021), unless noted
separately.
There is no significant change to the risk factor titled “Part I Corporate Information—Item 2. Operating and Financial Review—2. Risk Factors—
Risks Relating to Legal, Compliance and Other Operational Issues—13. We have identified a material weakness in our internal control over financial
reporting and, despite our efforts to remediate, may identify further material weaknesses in the future.” described in the amended annual securities reportfor March 31, 2021 submitted on June 25, 2024.
5. Our business may incur losses due to various factors in the conduct of its operations.
(1) We may incur significant losses from our trading and investment activities(Omission)
For example, in March 2021, following the default of a U.S. prime brokerage client in respect of a margin call, we issued a close-out event notice
to such client, and proceeded to wind down positions held as hedges for transactions with the client. We refer to this event and the losses caused as the“U.S. Prime Brokerage Event.” See Item 5. “Operating and Financial Review—Executive Summary—U.S. Prime Brokerage Event” for further
information on the nature of this event. Despite our efforts to wind down the relevant positions in a way that would limit losses to us and impacts on themarket, volatility in the underlying securities led us to recognize a trading loss of ¥204.2 billion during the year ended March 31, 2021. We also
recognized a provision for current expected credit losses ¥41.6 billion during the same period to reflect a shortfall in the value of securities pledged ascollateral by the client against financing provided to the client, caused by a decrease in the value of such securities before we were able to liquidate
them. The unwinding of the underlying positions was completed in the first quarter of the fiscal year ending March 31, 2022, and we recognized
additional losses of ¥65.4 billion in the three months ended June 30, 2021 as a result. Despite our actions in response to the U.S. Prime Brokerage Event,including to improve our risk management activities, our business model necessarily involves significant trading activity, and we may record significant
losses as a result of such trading activity again in the future.
(Omitted)
2. Operating, Financial and Cash Flow Analyses by Management(1) Operating Results
Nomura reported net revenue of ¥353.3 billion, non-interest expenses of ¥274.7 billion, income before income taxes of ¥78.5 billion, and net
income attributable to NHI shareholders of ¥48.5 billion for the three months ended June 30, 2021.
The breakdown of net revenue and non-interest expenses on the consolidated statements of income is as follows:
Millions of yen
Three months ended June 30
2020
2021

Commissions
Brokerage commissions
Commissions for distribution of investment trust
Other
Fees from investment banking
Underwriting and distribution
M&A / financial advisory fees
Other
Asset management and portfolio service fees
Asset management fees
Other
Net gain on trading
Gain (loss) on private equity and debt investments
Net interest
Gain (loss) on investments in equity securities
Other
Net revenue¥ 85,512
67,274
14,077
4,161
10,828
4,886
4,711
1,231
53,65649,762
3,894
139,089
1,070
53,241
3,473
113,878¥ 460,747
2¥ 82,886
61,91914,407
6,560
35,703
17,825
13,115
4,763
64,04459,4904,554
51,99425,988
12,6393,468
76,553¥ 353,275

Millions of yen
Three months ended June 30
2020
2021

Compensation and benefits
Commissions and floor brokerage
Information processing and communications
Occupancy and related depreciation
Business development expenses
Other
Non-interest expenses¥ 138,297
28,511
43,23817,0582,832
49,000¥ 278,936
3¥ 135,603
26,81644,09916,716
3,294
48,214¥ 274,742

Business Segment Information
Results by business segment are noted below. In April 2021, the Investment Management Division was newly established by replacing the AssetManagement Division and the Merchant Banking Division. Accordingly, our operating management and management reporting are prepared based on
the Retail, the Investment Management and the Wholesale segments. We disclose business segment information in accordance with this structure fromthe first quarter commencing on April 1, 2021.
Reconciliations of Net revenue and Income (loss) before income taxes on segment results of operations and the consolidated statements of income
are set forth in Item 4. Financial Information, 1. Consolidated Financial Statements, Note 16. “Segment and geographic information.”
Net revenue
Millions of yen
Three months ended June 30
2020
2021

RetailInvestment Management
Wholesale
Other (Incl. elimination)
Total¥ 81,078
39,674
248,669
89,023¥ 458,444¥

84,98663,482
132,777
68,659¥ 349,904

Non-interest expenses
Millions of yen
Three months ended June 30
2020
2021

RetailInvestment Management
Wholesale
Other (Incl. elimination)
Total¥ 66,009
17,503160,800
34,624¥ 278,936¥

65,964
18,569161,134
29,075¥ 274,742

Income (loss) before income taxes
Millions of yen
Three months ended June 30
2020
2021

RetailInvestment Management
Wholesale
Other (Incl. elimination)
Total¥ 15,069
22,17187,86954,399¥ 179,508¥

19,022
44,913(28,357)
39,584¥ 75,162

Note: Prior period amounts have been reclassified to conform to the current year presentation.
RetailNet revenue was ¥85.0 billion primarily due to an increase in fees from investment banking and investment trust administration fees, which ispartially offset by decreases in commissions from sales of stocks from the previous year. Non-interest expenses were ¥66.0 billion and income before
income taxes was ¥19.0 billion. Retail client assets were ¥127.0 trillion as of June 30, 2021, a ¥0.4 trillion increase from March 31, 2021.
Investment Management
Net revenue was ¥63.5 billion. Non-interest expenses were ¥18.6 billion and income before income taxes was ¥44.9 billion. Assets undermanagement were ¥65.8 trillion as of June 30, 2021, a ¥1.1 trillion increase from March 31, 2021, primarily due to increases in the market value of
assets under management and inflows to our investment trusts.
4

The breakdown of net revenue for Investment Management is as follows:
Millions of yen
Three months ended June 30
2020
2021

Business revenue(1)Investment gain/ loss(2)Net revenue¥¥

26,026
13,64839,674¥¥28,02335,45963,482

Note: Prior period amounts have been reclassified to conform to the current year presentation.
(1)

(2)

Consists of division revenue, other than investment gain/loss, including revenue generated by our asset management business (excluding gains andlosses related to our investment in American Century Investments), revenues generated by Nomura Babcock & Brown Co., Ltd.’s aircraft leasingrelated businesses and management fee revenues generated from our private equity and other investment businesses
Consists of division revenue attributable to investments (including fair value fluctuations, funding cost and dividends), including gains and losses
related to our investment in American Century Investments, our investments held in our private equity and other investment businesses and ourinvestment in Mebuki Financial Group, Inc.

WholesaleNet revenue was ¥132.8 billion. Non-interest expenses were ¥161.1 billion and loss before income taxes was ¥28.4 billion, which included lossesof ¥65.4 billion arising from transactions with a U.S. client.
The breakdown of net revenue for Wholesale is as follows:
Millions of yen
Three months ended June 30
2020
2021

Global Markets
Investment Banking
Net revenue¥ 232,586
16,083¥ 248,669¥

97,23035,547¥ 132,777

Global Markets net revenue was ¥97.2 billion. Fixed Income net revenue decreased from ¥154.9 billion in the previous year to ¥88.1 billion
primarily due to market normalization. Equities net revenue decreased from ¥77.7 billion in the previous year to ¥9.1 billion primarily due to losses
arising from transactions with a U.S. client. Investment banking net revenue was ¥35.5 billion.
Other Operating Results
Other operating results include net gain (loss) related to economic hedging transactions, a part of realized gain (loss) on investments in equity
securities held for operating purposes, equity in earnings of affiliates, corporate items, and other financial adjustments. Other operating results for thethree months ended June 30, 2021 include losses from changes in the fair value of derivative liabilities of ¥3.9 billion attributable to the change in its
own creditworthiness and gains from changes in counterparty credit spread of ¥2.1 billion. Net revenue was ¥68.7 billion, mainly due to income of¥36.2 billion recognized in June 2021 from the sale of a part of our shares held in Nomura Research Institute, Ltd. Non-interest expenses were¥29.1 billion and income before income taxes was ¥39.6 billion for the three months ended June 30, 2021.
Geographic Information
Please refer to Item 4. Financial Information, 1. Consolidated Financial Statements, Note 16. “Segment and geographic information” for net
revenue and income (loss) before income taxes by geographic allocation.
Cash Flow Information
Please refer to “(6) Liquidity and Capital Resources.”5(2) Assets and Liabilities Associated with Investment and Financial Services Business
1) Exposure to Certain Financial Instruments and Counterparties
Market conditions continue to impact numerous products to which we have certain exposures. We also have exposures to Special Purpose Entities(“SPEs”) and others in the normal course of business.
Leveraged Finance
We provide loans to clients in connection with leveraged buy-outs and leveraged buy-ins. As this type of financing is usually initially provided
through a commitment, we have both funded and unfunded exposures on these transactions.
The following table sets forth our exposure to leveraged finance with unfunded commitments, presenting funded and unfunded portions bygeographic location of the target company as of June 30, 2021.

EuropeAmericas
Asia and Oceania
Total

FundedMillions of yen
June 30, 2021
Unfunded¥ 5,3428,434
14,196¥ 116,181
108,607
12,986¥ 121,523
117,041
27,182¥ 27,972¥ 237,774¥ 265,746

Total

Special Purpose Entities
Our involvement with these entities includes structuring, underwriting, as well as, subject to prevailing market conditions, distributing and sellingdebt instruments and beneficial interests issued by these entities. In the normal course of securitization and equity derivative activities business, we also
act as a transferor of financial assets to, and underwriter, distributor and seller of repackaged financial instruments issued by these entities. We retain,
purchase and sell variable interests in SPEs in connection with our market-making, investing and structuring activities. Our other types of involvementwith SPEs include guarantee agreements and derivative contracts.
For further discussion on Nomura’s involvement with variable interest entities (“VIEs”), see Item 4. Financial Information, 1. Consolidated
Financial Statements, Note 6. “Securitizations and Variable Interest Entities.”
2) Fair Value of Financial Instruments
A significant amount of our financial instruments are carried at fair value, with changes in fair value recognized through the consolidated
statements of income or the consolidated statements of comprehensive income on a recurring basis. Use of fair value is either specifically required under
U.S. GAAP or we make an election to use fair value for certain eligible items under the fair value option.
Other financial assets and financial liabilities are carried at fair value on a nonrecurring basis, where the primary measurement basis is not fairvalue. Fair value is only used in specific circumstances after initial recognition, such as to measure impairment.
In accordance with Accounting Standard Codification (“ASC”) 820 “Fair Value Measurements and Disclosures”, all financial instruments
measured at fair value have been categorized into a three-level hierarchy based on the transparency of inputs used to establish fair value.
Level 3 financial assets as a proportion of total financial assets, carried at fair value on a recurring basis was 5% as of June 30, 2021 (5% as ofMarch 31, 2021) as listed below:

Financial assets measured at fair value(Excluding derivative assets)
Derivative assets
Total

Level 1

Level 2

Billions of yen
June 30, 2021
Counterparty
andCash Collateral
Level 3
Netting¥8,30432¥8,336¥ 7,545
13,850¥21,395

¥ 726
175
¥ 901

¥
¥

—
(12,992)(12,992)

Total¥16,575
1,065¥17,640

Please refer to Item 4. Financial Information, 1. Consolidated Financial Statements, Note 2. “Fair value measurements” for further information.
6

(3) Trading Activities
Assets and liabilities for trading purposes
Please refer to Item 4. Financial Information, 1. Consolidated Financial Statements, Note 2. “Fair value measurements” and Note 3. “Derivative
instruments and hedging activities” regarding the balances of assets and liabilities for trading purposes.
Risk management of trading activity
We adopt Value at Risk (“VaR”) for measurement of market risk arising from trading activity.
1) Assumptions on VaR•

Confidence Level: 99%•

Holding period: One day•

Consideration of price movement among the products

2) Records of VaR
Billions of yen
March 31, 2021
June 30, 2021

EquityInterest rate
Foreign exchange
Subtotal
Diversification benefit
VaR

¥

¥

93.4
8.6
4.2
106.2
(12.8)
93.4

¥

3.6
3.8
2.3
9.7
(3.9)
5.8

¥

Billions of yen
Three months ended June 30, 2021
Maximum(1)Minimum(1)Average(1)

VaR
(1)

¥

89.7

Represents the maximum, average and minimum VaR based on all daily calculations over the three-month period.
7

¥

4.8

¥

16.1

(4) Deferred Tax Assets Information
Details of deferred tax assets and liabilities
The following table presents details of deferred tax assets and liabilities reported within Other assets—Other and Other liabilities, respectively, inthe consolidated balance sheets as of June 30, 2021.
Millions of yen
June 30, 2021

Deferred tax assets
Depreciation, amortization and valuation of fixed assets
Investments in subsidiaries and affiliates
Valuation of financial instruments
Accrued pension and severance costs
Other accrued expenses and provisions
Operating losses
Lease liabilities
Other
Gross deferred tax assets
Less—Valuation allowance
Total deferred tax assets
Deferred tax liabilities
Investments in subsidiaries and affiliates
Valuation of financial instruments
Undistributed earnings of foreign subsidiaries
Valuation of fixed assets
Right-of-use assets
Other
Total deferred tax liabilities
Net deferred tax assets (liabilities)¥¥

26,841
20,475
79,17919,96455,039412,308
51,172
10,050675,028(470,630)
204,398
91,892
53,124
2,505
23,35650,6395,316
226,832(22,434)

Calculation method of deferred tax assets
In accordance with U.S. GAAP, we recognize deferred tax assets to the extent we believe that it is more likely than not that a benefit will be
realized. A valuation allowance is provided for tax benefits available to us, which are not deemed more likely than not to be realized.
8

(5) Qualitative Disclosures about Market, Credit and Other Risk
1) Risk Management
Nomura defines risks as (i) the potential erosion of Nomura’s capital base due to unexpected losses arising from risks to which its business
operations are exposed, such as market risk, credit risk, operational risk and model risk, (ii) liquidity risk, the potential lack of access to funds or higher
cost of funding than normal levels due to a deterioration in Nomura’s creditworthiness or deterioration in market conditions, and (iii) strategic risk, thepotential failure of revenues to cover costs due to a deterioration in the earnings environment or a deterioration in the efficiency or effectiveness of its
business operations.
A fundamental principle established by Nomura is that all employees shall regard themselves as principals of risk management and appropriately
manage these risks. Nomura seeks to promote a culture of proactive risk management throughout all levels of the organization and to limit risks to theconfines of its risk appetite. The risk management framework that Nomura uses to manage these risks consists of its risk appetite, risk management
governance and oversight, the management of all risk classes, and processes to measure and control risks.
2) Risk Appetite
Nomura has determined the types and levels of risk that it will assume in pursuit of its strategic objectives and business plan and has articulated
this in its Risk Appetite Statement. This document is jointly submitted by the Chief Risk Officer (“CRO”), the Chief Financial Officer (“CFO”) and theChief Compliance Officer (“CCO”) to the Executive Management Board (“EMB”) for approval. The Risk Appetite Statement provides an aggregatedview of risk and includes capital adequacy, liquidity, financial risk and non-financial risk. It is subject to regular monitoring and breach escalation as
appropriate by the owner of the relevant risk appetite statement.
Nomura’s Risk Appetite Statement is required to be reviewed at least annually by the EMB but it is reviewed on an ad hoc basis if necessary, andmust specifically be reviewed following any significant changes in Nomura’s strategy. Risk appetite underpins all additional aspects of Nomura’s risk
management framework.
3) Market Risk Management
Market risk is the risk of loss arising from fluctuations in the value of financial assets and liabilities (including off-balance sheet items) due tofluctuations in market factors (interest rates, foreign exchange rates, prices of securities and others). Effective management of market risk requires theability to analyze a complex and evolving portfolio in a constantly changing global market environment, identify problematic trends and ensure thatappropriate action is taken in a timely manner.
Nomura uses a variety of statistical risk measurement tools to assess and monitor market risk on an ongoing basis, including, but not limited to,
Value at Risk (“VaR”), Stressed VaR and Incremental Risk Charge. In addition, Nomura uses sensitivity analysis and stress testing to measure andanalyze its market risk. Sensitivities are measures used to show the potential changes to a portfolio due to standard moves in market risk factors. They
are specific to each asset class and cannot usually be aggregated across risk factors. Stress testing enables the analysis of portfolio risks or tail risks,
including non-linear behaviors and can be aggregated across risk factors at any level of the group hierarchy, from group level to business division, units
or desk levels. Market risk is monitored against a set of approved limits, with daily reports and other management information provided to the business
units and senior management.
4) Credit Risk Management
Credit risk is the risk of loss arising from an obligor’s default, insolvency or administrative proceeding which results in the obligor’s failure tomeet its contractual obligations in accordance with agreed terms. This includes both on and off-balance sheet exposures. It is also the risk of loss arisingthrough a credit valuation adjustment (“CVA”) associated with deterioration in the creditworthiness of a counterparty. Nomura manages credit risk on a
global basis and on an individual Nomura legal entity basis.
The measurement, monitoring and management of credit risk at Nomura are governed by a set of global policies and procedures. Credit Risk
Management (“CRM”), a global function within the Risk Management Division, is responsible for the implementation and maintenance of these policies
and procedures. These policies are authorized by the Group Integrated Risk Management Committee (“GIRMC”) and/or Global Risk Strategic
Committee (“GRSC”), prescribe the basic principles of credit risk management and set delegated authority which enables CRM personnel to set Credit
limits.
Credit risk is managed by CRM together with various global and regional risk committees. This helps to ensure transparency of material credit
risks and compliance with established credit limits, the approval of material extensions of credit and the escalation of risk concentrations to appropriatesenior management.
9CRM operates as a credit risk control function within the Risk Management Division, reporting to the CRO. The process for managing credit risk
at Nomura includes:•

Evaluation of likelihood that a counterparty defaults on its payments and obligations;•

Assignment of internal credit ratings to all active counterparties;•

Approval of extensions of credit and establishment of credit limits;•

Measurement, monitoring and management of Nomura’s current and potential future credit exposures;•

Setting credit terms in legal documentation;•

Use of appropriate credit risk mitigants including netting, collateral and hedging.

For regulatory capital calculation purposes, Nomura has been applying the Foundation Internal Rating Based Approach in calculating credit-riskweighted asset since the end of March 2011. The Standardized Approach is applied to certain business units or asset types, which are considered
immaterial to the calculation of credit-risk weighted assets. The exposure calculation model used for counterparty credit risk management has also beenused for the Internal Model Method based exposure calculation for regulatory capital reporting purposes since the end of December 2012.
5) Operational Risk Management
Operational risk is the risk of financial loss or non-financial impact arising from inadequate or failed internal processes, people and systems, orfrom external events. Operational risk includes in its definition Compliance, Legal, IT and Cyber Security, Fraud, Third Party and other non-financial
risks. Operational risk does not include strategic risk and reputational risk, however, some operational risks can lead to reputational issues and as suchoperational and reputational risks may be closely linked.
Nomura adopts the industry standard “Three Lines of Defence” for the management of operational risk, comprising the following elements:
1)

1st Line of Defence: The business which owns and manages its risks

2)

2nd Line of Defence: The Operational Risk Management (“ORM”) function, which co-ordinates the Operational Risk Management
Framework and its implementation.

3)

3rd Line of Defence: Internal and External Audit, who provide independent assurance

An Operational Risk Management Framework has been established in order to allow Nomura Group to identify, assess, manage, monitor andreport on operational risk. The GIRMC, with delegated authority from the EMB has formal oversight over the management of operational risk.
Nomura Group uses The Standardized Approach for calculating regulatory capital for operational risk. This involves using a three-year average ofgross income allocated to business lines, which is multiplied by a fixed percentage (“Beta Factor”) determined by the Financial Services Agency ofJapan (“FSA”), to establish the amount of required operational risk capital.
6) Model Risk Management
Model Risk is the risk of financial loss, incorrect decision making, or damage to the firm’s credibility arising from Model errors or incorrect orinappropriate Model application.
To effectively manage the Firm’s Model Risk, Nomura has established a Model Risk Management Framework to govern the development,
ownership, validation, approval, usage, ongoing monitoring, and periodic review of the Firm’s Models. The framework is supported by a set of policies
and procedures that articulate process requirements for the various elements of the model lifecycle, including monitoring of model risk with respect to
the Firm’s appetite.
New models and material changes to approved models must be independently validated prior to official use. Thresholds to assess the materialityof model changes are defined in Model Risk Management’s procedures. During independent validation, validation teams analyze a number of factors toassess a model’s suitability, identify model limitations, and quantify the associated model risk, which is ultimately mitigated through the imposition of
approval conditions, such as usage conditions, model reserves and capital adjustments. Approved models are subject to Model Risk Management’s
periodic review process and ongoing performance monitoring to assess their continued suitability. Appropriately delegated Model Risk Management
Committees provide oversight, challenge, governance, and ultimate approval of validated Models.
10

(6) Liquidity and Capital Resources
Funding and Liquidity Management
Overview
We define liquidity risk as the risk of loss arising from difficulty in securing the necessary funding or from a significantly higher cost of funding
than normal levels due to deterioration of the Nomura Group’s creditworthiness or deterioration in market conditions. This risk could arise from
Nomura-specific or market-wide events such as inability to access the secured or unsecured debt markets, a deterioration in our credit ratings, a failure
to manage unplanned changes in funding requirements, a failure to liquidate assets quickly and with minimal loss in value, or changes in regulatory
capital restrictions which may prevent the free flow of funds between different group entities. Our global liquidity risk management policy is based on
liquidity risk appetite formulated by the Executive Management Board (“EMB”). Nomura’s liquidity risk management, under market-wide stress and in
addition, under Nomura-specific stress, seeks to ensure enough continuous liquidity to meet all funding requirements and unsecured debt obligations
across one year and 30-day periods, respectively, without raising funds through unsecured funding or through the liquidation of assets. We are required
to meet regulatory notice on the liquidity coverage ratio issued by the FSA.
We have in place a number of liquidity risk management frameworks that enable us to achieve our primary liquidity objective. These frameworks
include (1) Centralized Control of Residual Cash and Maintenance of Liquidity Portfolio; (2) Utilization of Unencumbered Assets as Part of Our
Liquidity Portfolio; (3) Appropriate Funding and Diversification of Funding Sources and Maturities Commensurate with the Composition of Assets;(4) Management of Credit Lines to Nomura Group Entities; (5) Implementation of Liquidity Stress Tests; and (6) Contingency Funding Plan.
Our EMB has the authority to make decisions concerning group liquidity management. The Chief Financial Officer (“CFO”) has the operational
authority and responsibility over our liquidity management based on decisions made by the EMB.
11

1) Centralized Control of Residual Cash and Maintenance of Liquidity Portfolio
We centrally control residual cash held at Nomura Group entities for effective liquidity utilization purposes. As for the usage of funds, the CFO
decides the maximum amount of available funds, provided without posting any collateral, for allocation within Nomura and the EMB allocates the funds
to each business division. Global Treasury monitors usage by businesses and reports to the EMB.
In order to enable us to transfer funds smoothly between group entities, we limit the issuance of securities by regulated broker-dealers or banking
entities within the Nomura Group and seek to raise unsecured funding primarily through the Company or through unregulated subsidiaries. The primary
benefits of this strategy include cost minimization, wider investor name recognition and greater flexibility in providing funding to various subsidiaries
across the Nomura Group.
To meet any potential liquidity requirement, we maintain a liquidity portfolio, managed by Global Treasury apart from other assets, in the form of
cash and highly liquid, unencumbered securities that may be sold or pledged to provide liquidity. As of June 30, 2021, our liquidity portfolio was¥6,894.1 billion which sufficiently met liquidity requirements under the stress scenarios.
2) Utilization of Unencumbered Assets as Part of Our Liquidity Portfolio
In addition to our liquidity portfolio, we had unencumbered assets comprising mainly of unpledged trading assets that can be used as an additionalsource of secured funding. Global Treasury monitors other unencumbered assets and can, under a liquidity stress event when the contingency funding
plan has been invoked, monetize and utilize the cash generated as a result. The aggregate of our liquidity portfolio and other unencumbered assets was
sufficient against our total unsecured debt maturing within one year.
3) Appropriate Funding and Diversification of Funding Sources and Maturities Commensurate with the Composition of Assets
We seek to maintain a surplus of long-term debt and equity above the cash capital requirements of our assets. We also seek to achieve
diversification of our funding by market, instrument type, investors, currency, and staggered maturities in order to reduce unsecured refinancing risk.
We diversify funding by issuing various types of debt instruments—these include both structured loans and structured notes with returns linked tointerest rates, currencies, equities, commodities, or related indices. We issue structured loans and structured notes in order to increase the diversity of ourdebt instruments. We typically hedge the returns we are obliged to pay with derivatives and/or the underlying assets to obtain funding equivalent to our
unsecured long-term debt.
3.1) Short-Term Unsecured Debt
Our short-term unsecured debt consists of short-term bank borrowings (including long-term bank borrowings maturing within one year),other loans, commercial paper, deposit at banking entities, certificates of deposit and debt securities maturing within one year. Deposits atbanking entities and certificates of deposit comprise customer deposits and certificates of deposit of our banking subsidiaries. Short-term
unsecured debt includes the current portion of long-term unsecured debt.
The following table presents an analysis of our short-term unsecured debt by type of financial liability as of March 31, 2021 andJune 30, 2021.
Billions of yen
March 31, 2021
June 30, 2021

Short-term bank borrowings
Other loans
Commercial paper
Deposits at banking entities
Certificates of deposit
Debt securities maturing within one year
Total short-term unsecured debt

¥

¥
12

265.8
138.7
460.0
1,149.9
83.6
831.5
2,929.5

¥

¥

270.4
161.8
483.3
1,173.2
121.7
740.2
2,950.6

3.2) Long-Term Unsecured Debt
We meet our long-term capital requirements and also achieve both cost-effective funding and an appropriate maturity profile byroutinely funding through long-term debt and diversifying across various maturities and currencies.
Our long-term unsecured debt includes senior and subordinated debt issued through U.S. registered shelf offerings and our U.S.
registered medium-term note programs, our Euro medium-term note programs, registered shelf offerings in Japan and various other debt
programs.
As a globally competitive financial services group in Japan, we have access to multiple global markets and major funding centers. The
Company, Nomura Securities Co. Ltd., Nomura Europe Finance N.V., Nomura Bank International plc, Nomura International Funding Pte.
Ltd., and Nomura Global Finance Co., Ltd. are the main group entities that borrow externally, issue debt instruments and engage in otherfunding activities. By raising funds to match the currencies and liquidities of our assets or by using foreign exchange swaps as necessary, we
pursue optimization of our funding structures.
We use a wide range of products and currencies to ensure that our funding is efficient and well diversified across markets and investor
types. Our unsecured senior debt is mostly issued without financial covenants, such as covenants related to adverse changes in our credit
ratings, cash flows, results of operations or financial ratios, which could trigger an increase in our cost of financing or accelerate repayment of
the debt.
The following table presents an analysis of our long-term unsecured debt by type of financial liability as of March 31, 2021 andJune 30, 2021.
Billions of yen
March 31, 2021
June 30, 2021

Long-term deposits at banking entities
Long-term bank borrowings
Other loans
Debt securities(1)Total long-term unsecured debt
(1)

¥

¥

109.0
2,635.2
74.2
3,877.9
6,696.3

¥

¥

105.7
2,638.2
129.6
3,963.4
6,836.9

Excludes long-term debt securities issued by consolidated special purpose entities and similar entities that meet the definition ofvariable interest entities under ASC 810 “Consolidation” and secured financing transactions recognized within Long-term borrowings
as a result of transfers of financial assets that are accounted for as financings rather than sales in accordance with ASC 860 “Transfer
and Servicing.”

3.3) Maturity Profile
We also seek to maintain an average maturity for our plain vanilla debt securities and borrowings greater than or equal to three years. A
significant amount of our structured loans and structured notes are linked to interest rates, currencies, equities, commodities, or related
indices. These maturities are evaluated based on internal models and monitored by Global Treasury. Where there is a possibility that these
may be called prior to their scheduled maturity date, maturities are based on our internal stress option adjusted model. The model values theembedded optionality under stress market conditions in order to determine when the debt securities or borrowings are likely to be called.
3.4) Secured Funding
We typically fund our trading activities through secured borrowings, repurchase agreements and Japanese “Gensaki Repo” transactions.
We believe such funding activities in the secured markets are more cost-efficient and less credit-rating sensitive than financing in theunsecured market. Our secured funding capabilities depend on the quality of the underlying collateral and market conditions. While we haveshorter term secured financing for highly liquid assets, we seek longer terms for less liquid assets. We also seek to lower the refinancing risksof secured funding by transacting with a diverse group of global counterparties and delivering various types of securities collateral. In
addition, we reserve an appropriate level of liquidity portfolio for the refinancing risks of secured funding maturing in the short term for lessliquid assets. For more detail of secured borrowings and repurchase agreements, see Note 5 “Collateralized transactions” in our consolidated
financial statements.
134) Management of Credit Lines to Nomura Group Entities
We maintain and expand credit lines to Nomura Group entities from other financial institutions to secure stable funding. We ensure that thematurity dates of borrowing agreements are distributed evenly throughout the year in order to prevent excessive maturities in any given period.
5) Implementation of Liquidity Stress Tests
We maintain our liquidity portfolio and monitor the sufficiency of our liquidity based on an internal model which simulates changes in cash
outflow under specified stress scenarios to comply with our above mentioned liquidity management policy.
We assess the liquidity requirements of the Nomura Group under various stress scenarios with differing levels of severity over multiple time
horizons. We evaluate these requirements under Nomura-specific and broad market-wide events, including potential credit rating downgrades at theCompany and subsidiary levels. We call this risk analysis our Maximum Cumulative Outflow (“MCO”) framework.
The MCO framework is designed to incorporate the primary liquidity risks for Nomura and models the relevant future cash flows in the following
two primary scenarios:•

Stressed scenario—To maintain adequate liquidity during a severe market-wide liquidity event without raising funds through unsecured
financing or through the liquidation of assets for a year; and•Acute stress scenario—To maintain adequate liquidity during a severe market-wide liquidity event coupled with credit concerns regarding
Nomura’s liquidity position, without raising funds through unsecured funding or through the liquidation of assets for 30 days.

We assume that Nomura will not be able to liquidate assets or adjust its business model during the time horizons used in each of these scenarios.
The MCO framework therefore defines the amount of liquidity required to be held in order to meet our expected liquidity needs in a stress event to alevel we believe appropriate based on our liquidity risk appetite.
As of June 30, 2021, our liquidity portfolio exceeded net cash outflows under the stress scenarios described above.
We constantly evaluate and modify our liquidity risk assumptions based on regulatory and market changes. The model we use in order to simulate
the impact of stress scenarios includes the following assumptions:•

No liquidation of assets;•

No ability to issue additional unsecured funding;•

Upcoming maturities of unsecured debt (maturities less than one year);•

Potential buybacks of our outstanding debt;•

Loss of secured funding lines particularly for less liquid assets;•

Fluctuation of funding needs under normal business circumstances;•

Cash deposits and free collateral roll-off in a stress event;•

Widening of haircuts on outstanding repo funding;•

Additional collateralization requirements of clearing banks and depositories;•

Drawdown on loan commitments;•

Loss of liquidity from market losses;•

Assuming a two-notch downgrade of our credit ratings, the aggregate fair value of assets that we would be required to post as additional
collateral in connection with our derivative contracts; and•Legal and regulatory requirements that can restrict the flow of funds between entities in the Nomura Group.
146) Contingency Funding Plan
We have developed a detailed contingency funding plan to integrate liquidity risk control into our comprehensive risk management strategy and toenhance the quantitative aspects of our liquidity risk control procedures. As a part of our Contingency Funding Plan (“CFP”), we have developed an
approach for analyzing and quantifying the impact of any liquidity crisis. This allows us to estimate the likely impact of both Nomura-specific andmarket-wide events; and specifies the immediate action to be taken to mitigate any risk. The CFP lists details of key internal and external parties to becontacted and the processes by which information is to be disseminated. This has been developed at a legal entity level in order to capture specific cash
requirements at the local level—it assumes that our parent company does not have access to cash that may be trapped at a subsidiary level due toregulatory, legal or tax constraints. We periodically test the effectiveness of our funding plans for different Nomura-specific and market-wide events. We
also have access to central banks including, but not exclusively, the Bank of Japan, which provide financing against various types of securities. These
operations are accessed in the normal course of business and are an important tool in mitigating contingent risk from market disruptions.
Liquidity Regulatory Framework
In 2008, the Basel Committee published “Principles for Sound Liquidity Risk Management and Supervision.” To complement these principles, theCommittee has further strengthened its liquidity framework by developing two minimum standards for funding liquidity. These standards have beendeveloped to achieve two separate but complementary objectives.
The first objective is to promote short-term resilience of a financial institution’s liquidity risk profile by ensuring that it has sufficient high-quality
liquid assets to survive a significant stress scenario lasting for 30 days. The Committee developed the Liquidity Coverage Ratio (“LCR”) to achieve thisobjective.
The second objective is to promote resilience over a longer time horizon by creating additional incentives for financial institutions to fund theiractivities with more stable sources of funding on an ongoing basis. The Net Stable Funding Ratio (“NSFR”) has a time horizon of one year and has beendeveloped to provide a sustainable maturity structure of assets and liabilities.
These two standards are comprised mainly of specific parameters which are internationally “harmonized” with prescribed values. Certain
parameters, however, contain elements of national discretion to reflect jurisdiction-specific conditions.
In Japan, the regulatory notice on the LCR, based on the international agreement issued by the Basel Committee with necessary national revisions,
was published by Financial Services Agency. The notices have been implemented since the end of March 2015 with phased-in minimum standards.
Average of Nomura’s LCRs for the three months ended June 30, 2021 was 216.0%, and Nomura was compliant with requirements of the above notices.
As for the NSFR, the revision of the liquidity regulatory notice was published by Financial Services Agency (on March 31, 2021) and NSFR will be
implemented from the end of September 2021.
Cash Flows
Cash, cash equivalents, restricted cash and restricted cash equivalents’ balance as of June 30, 2020 and as of June 30, 2021 were ¥3,355.5 billionand ¥3,231.0 billion, respectively. Cash flows from operating activities for the three months ended June 30, 2020 were inflows of ¥415.0 billion due
primarily to a decrease in Margin loans and receivables and the comparable period in 2021 were outflows of ¥488.8 billion due primarily to Securities
purchased under agreements to resell, net of securities sold under agreements to repurchase. Cash flows from investing activities for the three months
ended June 30, 2020 were inflows of ¥511.4 billion due primarily to Proceeds from sales or repayments of other non-trading loans and the comparable
period in 2021 were outflows of ¥15.4 billion due primarily to Payments for placements of time deposits. Cash flows from financing activities for thethree months ended June 30, 2020 were outflows of ¥759.9 billion due primarily to Net cash outflows from other secured borrowings and thecomparable period in 2021 were inflows of ¥231.8 billion due primarily to Proceeds from issuances of long-term borrowings.
As discussed in Item 4. Financial Information, 1. Consolidated Financial Statements, Note 1 “Basis of accounting”, amounts for the three months
ended June 30, 2020 and 2021 have been restated to correct certain errors identified during the quarter ended March 31, 2024.
Balance Sheet and Financial Leverage
Total assets as of June 30, 2021, were ¥41,830.2 billion, a decrease of ¥686.3 billion compared with ¥42,516.5 billion as of March 31, 2021,
primarily due to a decrease in Securities borrowed. Total liabilities as of June 30, 2021, were ¥39,025.9 billion, a decrease of ¥734.1 billion comparedwith ¥39,760.0 billion as of March 31, 2021, primarily due to a decrease in Securities sold under agreements to repurchase. NHI shareholders’ equity asof June 30, 2021, was ¥2,739.2 billion, an increase of ¥44.3 billion compared with ¥2,694.9 billion as of March 31, 2021.
We seek to maintain sufficient capital at all times to withstand losses due to extreme market movements. The EMB is responsible for
implementing and enforcing capital policies. This includes the determination of our balance sheet size and required capital levels. We continuously
review our equity capital base to ensure that it can support the economic risk inherent in our business. There are also regulatory requirements forminimum capital of entities that operate in regulated securities or banking businesses.
15

As leverage ratios are commonly used by other financial institutions similar to us, we voluntarily provide a Leverage ratio and Adjusted leverage
ratio primarily for benchmarking purposes so that users of our annual report can compare our leverage against other financial institutions. Adjusted
leverage ratio is a non-GAAP financial measure that Nomura considers to be a useful supplemental measure of leverage.
The following table sets forth NHI shareholders’ equity, total assets, adjusted assets and leverage ratios:
Billions of yen, except ratios
March 31, 2021
June 30, 2021

NHI shareholders’ equity
Total assets
Adjusted assets(1)Leverage ratio(2)Adjusted leverage ratio(3)¥2,694.9
42,516.5
26,477.0
15.8x
9.8x

¥

2,739.2
41,830.2
25,782.5
15.3x
9.4x

(1) Represents total assets less Securities purchased under agreements to resell and Securities borrowed. Adjusted assets is a non-GAAP financial
measure and is calculated as follows:(2) Equals total assets divided by NHI shareholders’ equity.
(3) Equals adjusted assets divided by NHI shareholders’ equity.
Billions of yen
March 31, 2021
June 30, 2021

Total assets
Less:
Securities purchased under agreements to resell
Securities borrowed
Adjusted assets¥

42,516.5¥ 41,830.2¥

10,775.1
5,264.4
26,477.0

11,381.7
4,666.0¥ 25,782.5

Total assets decreased by 1.6% reflecting primarily decreases in Securities borrowed. NHI shareholders’ equity increased by 1.6% primarily due toan increase in Retained earnings. As a result, our leverage ratio declined from 15.8 times as of March 31, 2021 to 15.3 times as of June 30, 2021.
Adjusted assets decreased primarily due to a decrease in Trading assets. As a result, our adjusted leverage ratio declined from 9.8 times as ofMarch 31, 2021 to 9.4 times as of June 30, 2021.
Consolidated Regulatory Capital Requirements
The FSA established the “Guideline for Financial Conglomerates Supervision” (“Financial Conglomerates Guideline”) in June 2005 and set out
the rules on consolidated regulatory capital. We started monitoring our consolidated capital adequacy ratio in accordance with the Financial
Conglomerates Guideline from April 2005.
The Company has been assigned by the FSA as a Final Designated Parent Company who must calculate a consolidated capital adequacy ratio
according to the Capital Adequacy Notice on Final Designated Parent Company in April 2011. Since then, we have been calculating our consolidated
capital adequacy ratio according to the Capital Adequacy Notice on Final Designated Parent Company. The Capital Adequacy Notice on Final
Designated Parent Company has been revised to be in line with Basel 2.5 and Basel III since then. We have calculated a Basel III-based consolidated
capital adequacy ratio from the end of March 2013. Basel 2.5 includes significant change in calculation method of market risk and Basel III includes
redefinition of capital items for the purpose of requiring higher quality of capital and expansion of the scope of credit risk-weighted assets calculation.
16

In accordance with Article 2 of the Capital Adequacy Notice on Final Designated Parent Company, our consolidated capital adequacy ratio iscurrently calculated based on the amounts of common equity Tier 1 capital, Tier 1 capital (sum of common equity Tier 1 capital and additional Tier 1
capital), total capital (sum of Tier 1 capital and Tier 2 capital), credit risk-weighted assets, market risk and operational risk. As of June 30, 2021, ourcommon equity Tier 1 capital ratio (common equity Tier 1 capital divided by risk-weighted assets) was 17.73%, Tier 1 capital ratio (Tier 1 capital
divided by risk-weighted assets) was 20.29% and consolidated capital adequacy ratio (total capital divided by risk-weighted assets) was 20.33% and wewere in compliance with the requirement for each ratio set out in the Capital Adequacy Notice on Final Designated Parent Company (required level as ofJune 30, 2021 was 7.52% for common equity Tier 1 capital ratio, 9.02% for Tier 1 capital ratio and 11.02% for consolidated capital adequacy ratio).
In accordance with Article 2 of the “Notice of the Establishment of Standards that Indicate Soundness pertaining to Loss-absorbing andRecapitalisation Capacity, Established as Criteria by which the Highest Designated Parent Company is to Judge the Soundness in the Management of theHighest Designated Parent Company and its Subsidiary Corporations, etc., under Paragraph 1, Article 57-17 of the Financial Instruments and Exchange
Act” (the “TLAC Notification”), we have started calculating our external TLAC ratio on a risk-weighted assets basis from March 2021. As of June 30,
2021, our external TLAC as a percentage of risk-weighted assets is 26.07% and we are in compliance with the requirement set out in the TLAC
Notification.
The following table presents the Company’s consolidated capital adequacy ratios and External TLAC as a percentage of risk-weighted assets as ofJune 30, 2021.
Billions of yen, except ratios
June 30, 2021

Common equity Tier 1 capital
Tier 1 capital
Total capital
Risk-Weighted Assets
Credit risk-weighted assets
Market risk equivalent assets
Operational risk equivalent assets
Total risk-weighted assets¥¥

Consolidated Capital Adequacy Ratios
Common equity Tier 1 capital ratio
Tier 1 capital ratio
Consolidated capital adequacy ratio
External TLAC as a percentage of risk-weighted assets

2,608.9
2,986.8
2,991.5
7,862.2
4,403.8
2,448.5
14,714.5
17.73%
20.29%
20.33%
26.07%

Since the end of March 2011, we have been calculating credit risk-weighted assets and operational risk equivalent assets by using the foundation
Internal Ratings-Based Approach and the Standardized Approach, respectively, with the approval of the FSA. Furthermore, Market risk equivalent assets
are calculated by using the Internal Models Approach for market risk.
We provide consolidated capital adequacy ratios not only to demonstrate that we are in compliance with the requirements set out in the Capital
Adequacy Notice on Final Designated Parent Company but also for benchmarking purposes so that users of this quarterly report can compare our capital
position against those of other financial groups to which Basel III is applied. Management receives and reviews these capital ratios on a regular basis.
17

Consolidated Leverage Ratio Requirements
In March 2019, the FSA set out requirements for the calculation and disclosure and minimum requirement of 3% of a consolidated leverage ratio,
and the publication of “Notice of the Establishment of Standards for Determining Whether the Adequacy of Leverage, the Supplementary Measure to
the Adequacy of Equity Capital of a Final Designated Parent Company and its Subsidiary Corporations, etc. is Appropriate Compared to the Assets Heldby the Final Designated Parent Company and its Subsidiary Corporations, etc., under Paragraph 1, Article 57-17 of the Financial Instruments andExchange Act” (2019 FSA Regulatory Notice No. 13; “Notice on Consolidated Leverage Ratio”), through amendments to revising “Specification of
items which a final designated parent company should disclose on documents to show the status of its sound management” (2010 FSA Regulatory
Notice No. 132; “Notice on Pillar 3 Disclosure”). We started calculating and disclosing a consolidated leverage ratio from March 31, 2015 in accordancewith the Notices. We have also started calculating a consolidated leverage ratio from March 31, 2019 in accordance with the Notice on Pillar 3
Disclosure, Notice on Consolidated Leverage Ratio and other related Notices. In June 2020, in coordination with the monetary policy of the Bank ofJapan in response to the impact of coronavirus (“COVID-19”) pandemic, the FSA published amendments to the Notice on Consolidated Leverage Ratio.
Under these amendments, amounts of deposits with the Bank of Japan Japan have been excluded from the total exposure measure used to calculate theleverage ratio during the period from June 30, 2020 to March 31, 2021. In March 2021, the FSA announced this measure will be extended for one year
due to the continuous uncertainty regarding the impact of COVID-19. As of June 30, 2021, our consolidated leverage ratio is 6.03%.
In accordance with Article 2 of the TLAC Notification we have started calculating our external TLAC ratio on a total exposure basis from March
2021. As of June 30, 2021, our external TLAC as a percentage of leverage ratio exposure measure is 8.65% and we are in compliance with therequirement set out in the TLAC Notification.
Credit Ratings
There were no significant rating actions in the first quarter of the fiscal year ending March 2022.
(7) Current Challenges
There is no significant change to our current challenges nor new challenges for the three months ended June 30, 2021.
In addition, regarding the issues relating to the U.S. Prime Brokerage Event reported in the previous consolidated accounting year, we madeprogress as follows in this first quarter.
•

Phase 1: Initial Responses (completed).

•Phase 2: Review of Prime Brokerage Risk Management Framework (in progress). As part of this phase, we are taking actions to enhance
the monitoring of concentrated positions, revise our margin rates applicable to clients and to enhance management of margin rates forindividual transactions (including internal approvals and other processes).

•

Phase 3: Comprehensive Review of Wholesale Risk Framework (in progress). We have already completed our comprehensive internal
review of the risk management framework in the Wholesale division. Based on a further review by third-party risk management experts,
we have started to determine additional remediation plans. We are also taking actions to further strengthen our risk management
organizational structure including IT infrastructure and staffing.

•

Phase 4: Enhance Global Risk Governance (in progress): We are considering actions to strengthen the functions of our risk management
committees, including expanding the scope of our Wholesale division’s risk monitoring beyond our financing businesses to include otherbusinesses in the Wholesale division. We are also working to promote a better understanding of further proactive risk management
capabilities among front office teams.

3. Significant Contracts
Not applicable.
18

Item 3. Company Information
1. Share Capital Information(1) Total Number of Shares
A. Number of Authorized Share Capital
Authorized Share Capital(shares)Type

Common stock
Class 1 preferred stock
Class 2 preferred stock
Class 3 preferred stock
Class 4 preferred stock
Total

6,000,000,000
200,000,000
200,000,000
200,000,000
200,000,000
6,000,000,000

The “Authorized Share Capital” is stated by the type of stock and the “Total” is the number of authorized share capital as referred in the Articles ofIncorporation.
B. Issued Shares
Number ofIssued Shares as ofJune 30, 2021

Type

Common stock
3,233,562,601

Total
(1)

3,233,562,601

Number ofIssued Shares as ofAugust 16, 2021

Trading Markets

Tokyo Stock
3,233,562,601 Exchange(2)Nagoya Stock
Exchange(2)Singapore Exchange
New York Stock Exchange
3,233,562,601—

Details

1 unit is 100 shares—

Shares that may have increased from exercise of stock options between August 1, 2021 and the submission date (August 16, 2021) are notincluded in the number of issued shares as of the submission date.
Listed on the First Section of each stock exchange.

(2)(2) Stock Acquisition Rights
A. Stock option
Not applicable in this quarter.
B. Other stock acquisition rights
Not applicable in this quarter.
(3) Exercise of Moving Strike Bonds with Subscription WarrantNone(4) Changes in Issued Shares, Shareholders’ Equity, etc.
Millions of yen
Increase/Decreaseof Issued Shares

Date

June 30, 2021

—

Total
Issued Shares

Increase/Decreaseof Shareholders’Equity—Common stock

Shareholders’Equity—Common stock

Increase/Decrease of
Additional
capital reserve

Additional
capital reserve—594,493—559,676

3,233,562,601(5) Major Shareholders
Not applicable as this is the first quarter.
19

(6) Voting Rights
The “Voting Rights” as of the end of the current first quarter is presented as of March 31, 2021, the most recent cutoff date, because the number ofbeneficiary shareholders as of June 30, 2021, could not be ascertained.
A. Outstanding Shares
Number of Shares

Stock without voting right
Stock with limited voting right (Treasury stocks, etc.)
Stock with limited voting right (Others)
Stock with full voting right (Treasury stocks, etc.)

Stock with full voting right (Others)
Shares less than 1 unit

(Treasury stocks)
Common stock(Crossholding stocks)
Common stock
Common stock
Common stock

Total Shares Issued

As of March 31, 2021
Number of Votes

—
—
—

—
—
—

170,057,100—

2,055,700
3,059,922,400—
30,599,224

1,527,401
3,233,562,601———

30,599,224

Voting Rights of Total Shareholders

Description

—
—
—

—
—
Shares less than 1 unit
(100 shares)——

2,000 shares held by Japan Securities Depository Center, Inc. are included in “Stock with full voting right (Others).” 67 shares of treasury stocks areincluded in “Shares less than 1 unit.”
B. Treasury Stocks

Name(Treasury stocks)
Nomura Holdings, Inc.
Total

Address

1-13-1, Nihonbashi, Chuo-ku,
Tokyo, Japan—

Directly
heldshares170,057,100
170,057,100

As of March 31, 2021
Indirectly
heldsharesTotal——

170,057,100
170,057,100

In addition to the above, 2,055,700 shares are directly held by a subsidiary of the Company for the purpose of securities related business.
20

Percentage ofIssued Shares
(%)

5.25
5.25

Item 4. Financial Information
12

Preparation Method of Consolidated Financial Statements(1)

The consolidated financial statements have been prepared in accordance with accounting principles, procedures, and presentations which
are required in order to issue American Depositary Shares, i.e., U.S. generally accepted accounting principles, pursuant to Article 95 of“Regulations Concerning the Terminology, Forms and Preparation Methods of Quarterly Consolidated Financial Statements” (Cabinet
Office Ordinance No. 64, 2007).

(2)

The consolidated financial statements have been prepared by making necessary adjustments to the financial statements of eachconsolidated company which were prepared in accordance with the accounting principles generally accepted in each country. Suchadjustments have been made to comply with the principles noted in (1) above.

Quarterly Review Certificate
Under Article 193-2 Section 1 of the Financial Instruments and Exchange Act, Ernst & Young ShinNihon LLC performed a quarterly
review of the consolidated financial statements for the three months ended June 30, 2021.
Under Article 24-4-7 Section 4 of the Financial Instruments and Exchange Act, the registrant furnished the amended Quarterly Securities
Report, which Ernst & Young ShinNihon LLC performed a quarterly review of the restated consolidated financial statements for the threemonths ended June 30, 2021.
<Note>
Although Ernst & Young ShinNihon LLC reported that they applied limited procedures in accordance with professional standards in Japanon the interim consolidated financial statements, prepared in Japanese for the three months ended June 30, 2021, they have not performed
any such limited procedures nor have they performed an audit on the English translated version of the consolidated financial statements forthe above-mentioned periods which are included in this report on Form 6-K.
21

1. Consolidated Financial Statements(1) Consolidated Balance Sheets (UNAUDITED)Millions of yen
March 31,
June 30,
2021
2021

Notes

ASSETSCash and cash deposits:
Cash and cash equivalents
Time deposits
Deposits with stock exchanges and other segregated cash
Total cash and cash deposits
Loans and receivables:
Loans receivable (including ¥818,523 million and ¥823,235 million measured at fair value by applying
the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Receivables from customers (including ¥163,388 million and ¥160,660 million measured at fair value
by applying the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Receivables from other than customers
Allowance for credit losses
Total loans and receivables
Collateralized agreements:
Securities purchased under agreements to resell (including ¥366,506 million and ¥326,682 million
measured at fair value by applying the fair value option as of March 31, 2021 and June 30, 2021,
respectively)
Securities borrowed
Total collateralized agreements
Trading assets and private equity and debt investments:
Trading assets (including securities pledged as collateral of ¥5,587,555 million and ¥4,923,727 million
as of March 31, 2021 and June 30, 2021, respectively; including ¥10,122 million and¥10,061 million measured at fair value by applying the fair value option as of March 31, 2021 andJune 30, 2021, respectively)
Private equity and debt investments (including ¥3,599 million and ¥3,117 million measured at fairvalue by applying the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Total trading assets and private equity and debt investments
Other assets:
Office buildings, land, equipment and facilities (net of accumulated depreciation and amortization of¥395,429 million and ¥399,299 million as of March 31, 2021 and June 30, 2021, respectively)
Non-trading debt securities (including securities pledged as collateral of ¥ 9,427 million and ¥14,332 million as of March 31, 2021 and June 30, 2021, respectively)
Investments in equity securities
Investments in and advances to affiliated companies
Other (including ¥171,482 million and ¥171,374 million measured at fair value by applying the fairvalue option as of March 31, 2021 and June 30, 2021, respectively)
Total other assets
Total assets
22¥

3,509,754
281,422373,559
4,164,735¥

3,230,541
345,724
319,258
3,895,523*2, 7

2,943,472

2,867,032*2, 4

459,090793,669(53,784)
4,142,447

452,253
1,011,571(61,419)
4,269,437*2

10,775,078
5,264,360
16,039,438

11,381,727
4,666,008
16,047,735*2, 3

15,674,354

15,277,367*2

63,825
15,738,179

74,345
15,351,712

464,449

466,516*2*2*7

426,758
126,649364,393416,990131,008356,309*2, 101,049,432
2,431,681¥ 42,516,480

894,974
2,265,797¥ 41,830,204*7

(1) Consolidated Balance Sheets—(Continued) (UNAUDITED)Millions of yen
March 31,
June 30,
2021
2021

Notes

LIABILITIES AND EQUITY
Short-term borrowings (including ¥634,714 million and ¥678,485 million measured at fair value by applying
the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Payables and deposits:
Payables to customers
Payables to other than customers
Deposits received at banks (including ¥49,874 million and ¥50,505 million measured at fair value by
applying the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Total payables and deposits
Collateralized financing:
Securities sold under agreements to repurchase (including ¥224,056 million and ¥235,062 million
measured at fair value by applying the fair value option as of March 31, 2021 and June 30, 2021,
respectively)
Securities loaned (including ¥128,886 million and ¥117,240 million measured at fair value by applying
the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Other secured borrowings
Total collateralized financing
Trading liabilities
Other liabilities (including ¥44,708 million and ¥41,091 million measured at fair value by applying the fairvalue option as of March 31, 2021 and June 30, 2021, respectively)
Long-term borrowings (including ¥4,098,457 million and ¥4,240,331 million measured at fair value by
applying the fair value option as of March 31, 2021 and June 30, 2021, respectively)
Total liabilities
Commitments and contingencies
Equity:Nomura Holdings, Inc. (“NHI”) shareholders’ equity:
Common stock
No par value share
Authorized—6,000,000,000 shares as of March 31, 2021 and June 30, 2021
Issued—3,233,562,601 shares as of March 31, 2021 and June 30, 2021
Outstanding—3,063,155,434 shares as of March 31, 2021 and 3,093,691,885 shares as of June 30,
2021
Additional paid-in capital
Retained earnings
Accumulated other comprehensive income
Total NHI shareholders’ equity before treasury stock
Common stock held in treasury, at cost—170,407,167 shares as of March 31, 2021 and 139,870,716 shares
as of June 30, 2021
Total NHI shareholders’ equity
Noncontrolling interests
Total equity
Total liabilities and equity
23

*2 ¥

1,368,098¥

1,500,334*4

1,454,755
1,773,699

1,432,935
1,303,772*2

1,342,464
4,570,918

1,400,599
4,137,306*2

13,360,429

12,875,394

*2

*2, 3

1,380,629
392,515
15,133,573
9,473,261

1,112,934
421,679
14,410,007
9,913,221*2, 101,239,167

949,683*2

7,975,012
39,760,029

8,115,333
39,025,884

594,493
696,122
1,533,713(38,144)2,786,184

594,493
677,476
1,579,330(37,176)
2,814,123

*15

*14

(91,246)(74,896)
2,694,938
2,739,227
61,51365,0932,756,451
2,804,320¥ 42,516,480 ¥ 41,830,204(1) Consolidated Balance Sheets—(Continued) (UNAUDITED)The following table presents the classification of consolidated variable interest entities’ (“VIEs”) assets and liabilities included in the consolidatedbalance sheets above. The assets of a consolidated VIE may only be used to settle obligations of that VIE. Creditors do not typically have any recourse
to Nomura beyond the assets held in the VIEs. See Note 6 “Securitizations and Variable Interest Entities” for further information.
Billions of yen
March 31,
June 30,
2021
2021

Cash and cash deposits
Trading assets and private equity and debt investments
Other assets
Total assets¥

Trading liabilities
Other liabilities
Borrowings
Total liabilities¥¥¥
The accompanying notes are an integral part of these consolidated financial statements.
24

13 ¥
984
77
1,074 ¥

25
1,035
152
1,212

2 ¥
2
837
841 ¥

2
2
862
866

(2) Consolidated Statements of Income (UNAUDITED)Millions of yen
Three months ended June 30
2020
2021

Notes

Revenue:Commissions
Fees from investment banking
Asset management and portfolio service fees
Net gain on trading
Gain on private equity and debt investments
Interest and dividends
Gain on investments in equity securities
Other
Total revenue
Interest expense
Net revenue
Non-interest expenses:
Compensation and benefits
Commissions and floor brokerage
Information processing and communications
Occupancy and related depreciation
Business development expenses
Other
Total non-interest expenses

*4
*4
*4
*2, 3

¥

*4

Income before income taxes
Income tax expense
Net income
Less: Net income attributable to noncontrolling interests
Net income attributable to NHI shareholders

*13
¥

¥

¥

82,88635,70364,044
51,99425,98864,536
3,468
76,553405,172
51,897353,275

138,297
28,511
43,23817,0582,832
49,000135,603
26,81644,09916,716
3,294
48,214

278,936
181,81137,513
144,298
1,782

274,742
78,53328,54049,993
1,506

142,516¥¥

48,487

Yen
Three months ended June 30
2020
2021

Notes

Per share of common stock:
Basic—Net income attributable to NHI shareholders per share
Diluted—
Net income attributable to NHI shareholders per share

85,512
10,82853,656
139,089
1,070
106,543
3,473
113,878
514,049
53,302
460,747*11

The accompanying notes are an integral part of these consolidated financial statements.
25

¥

46.77

¥

16.12

¥

45.65

¥

15.59

(3) Consolidated Statements of Comprehensive Income (UNAUDITED)Millions of yen
Three months ended June 30
2020
2021

Net income
Other comprehensive income (loss):
Cumulative translation adjustments:
Cumulative translation adjustments
Deferred income taxes
Total
Defined benefit pension plans:
Pension liability adjustment
Deferred income taxes
Total
Own credit adjustments:
Own credit adjustments:
Deferred income taxes
Total
Total other comprehensive income
Comprehensive income
Less: Comprehensive income attributable to noncontrolling interests
Comprehensive income attributable to NHI shareholders¥¥¥

The accompanying notes are an integral part of these consolidated financial statements.
26

144,298¥

49,993

(95)
(14)
(109)

(2,764)(311)(3,075)

2,807
(499)
2,308

(130)
139
9

603
(2,095)(1,492)707
145,005 ¥2,357
142,648 ¥

5,725(1,432)
4,293
1,227
51,2201,765
49,455

(4) Consolidated Statements of Changes in Equity (UNAUDITED)Millions of yen
Three months ended June 30
2020
2021

Common stock
Balance at beginning of year
Balance at end of period
Additional paid-in capital
Balance at beginning of year
Stock-based compensation awards
Changes in an affiliated company’s interests in its subsidiary
Changes in an affiliated company’s interests
Balance at end of period
Retained earnings
Balance at beginning of year
Cumulative effect of change in accounting principle (1)Net income attributable to NHI shareholders
Gain (loss) on sales of treasury stock
Balance at end of period
Accumulated other comprehensive income (loss)
Cumulative translation adjustments
Balance at beginning of year
Net change during the period
Balance at end of period
Defined benefit pension plans
Balance at beginning of year
Pension liability adjustment
Balance at end of period
Own credit adjustments
Balance at beginning of year
Own credit adjustments
Balance at end of period
Balance at end of period
Common stock held in treasury
Balance at beginning of year
Repurchases of common stock
Sales of common stock
Common stock issued to employees
Balance at end of period
Total NHI shareholders’ equity
Balance at end of period
Noncontrolling interests
Balance at beginning of year
Cash dividends
Net income attributable to noncontrolling interests
Accumulated other comprehensive income attributable to noncontrolling interests
Purchase / sale of subsidiary shares, net
Other net change in noncontrolling interests
Balance at end of period
Total equity
Balance at end of period
(1)

¥

¥

594,493594,493¥594,493594,493683,232(8,314)
1,122—
676,040

696,122(18,628)—(18)
677,476

1,645,451(18,200)
142,516(542)
1,769,225

1,533,713—
48,487(2,870)1,579,330(26,274)(684)(26,958)

18,316(3,334)
14,982(62,571)
2,308(60,263)(43,477)
9(43,468)

62,740(1,492)
61,248(25,973)(12,983)
4,293(8,690)(37,176)(243,604)
(1)
0
9,323
(234,282)(91,246)(3)
0
16,353(74,896)

2,779,503

2,739,227

77,797
(990)
1,782
575
530
(28,554)
51,14061,513(1,610)
1,506
259
197
3,228
65,0932,830,643¥

2,804,320

Represents the adjustments to initially apply Accounting Standards Update 2016-13, “Measurement of Credit Losses on Financial Instruments”
for the three months ended June 30, 2020.
The accompanying notes are an integral part of these consolidated financial statements.
27

(5) Consolidated Statements of Cash Flows (UNAUDITED)Millions of yen
Three months ended June 30
2020
2021
(Restated)(Restated)

Cash flows from operating activities:
Net income
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Depreciation and amortization
Provision for credit losses
Gain on investments in equity securities
Gain on investments in subsidiaries and affiliates
Gain on disposal of office buildings, land, equipment and facilities
Deferred income taxes
Changes in operating assets and liabilities:
Deposits with stock exchanges and other segregated cash
Trading assets and private equity and debt investments
Trading liabilities
Securities purchased under agreements to resell, net of securities sold under agreements
to repurchase
Securities borrowed, net of securities loaned
Margin loans and receivables
PayablesBonus accrual
Accrued income taxes, net
Other, net
Net cash provided by (used in) operating activities
Cash flows from investing activities:
Payments for placements of time deposits
Proceeds from redemption or maturity of time deposits
Payments for purchases of office buildings, land, equipment and facilities
Proceeds from sales of office buildings, land, equipment and facilities
Payments for purchases of equity investments
Proceeds from sales of equity investments
Net cash inflows (outflows) from loans receivable at banks
Payments for purchases or origination of other non-trading loans
Proceeds from sales or repayments of other non-trading loans
Net cash outflows from interbank money market loans
Payments for purchases of non-trading debt securities
Proceeds from sales or maturity of non-trading debt securities
Acquisitions, net of cash acquired
Payments for purchases of investments in affiliated companies
Proceeds from sales of investments in affiliated companies
Other, net
Net cash provided by (used in) investing activities
Cash flows from financing activities:
Proceeds from issuances of long-term borrowings
Payments for repurchases or maturity of long-term borrowings
Proceeds from issuances of short-term borrowings
Payments for repurchases or maturity of short-term borrowings
Net cash inflows (outflows) from interbank money market borrowings
Net cash inflows (outflows) from other secured borrowings
Net cash inflows (outflows) from deposits received at banks
Payments for withholding taxes on stock-based compensation
Proceeds from sales of common stock
Payments for repurchases of common stock
Payments for cash dividends
Contributions from noncontrolling interests
Distributions to noncontrolling interests
Net cash provided by (used in) financing activities
Effect of exchange rate changes on cash, cash equivalents, restricted cash and restricted cash
equivalents¥ 144,298¥

49,993

15,337(2,075)(3,473)(224)(69,902)22,505

14,644
7,738(3,468)(36,249)(4,523)761(180,442)
131,902
149,144

53,435
361,716
463,289(141,243)
186,486
806,095(631,173)(62,606)(18,826)
69,177414,980(1,064,879)
320,801(145,456)(439,641)(93,093)(49,015)
75,138(488,809)(41,993)
173,876(17,460)
4,978
(57)
6,041
18,038(457,734)
836,433(14,512)(24,746)
52,201(11,152)(9,800)131(2,827)
511,417(133,752)
69,149(38,924)
25,275(4)
15,387(8,799)(1,324,155)
1,350,286(30,555)(13,453)
23,015—(57)
50,002
1,185(15,400)

581,290(551,095)
761,733(761,940)(234,573)(342,165)(175,123)(3,856)2(1)(15,195)
5,264(24,276)(759,935)

700,692(604,918)
515,290(464,713)
61,11027,00347,569(10,816)6(3)(45,953)
18,902(12,349)
231,820(3,241)(6,607)

Net increase (decrease) in cash, cash equivalents, restricted cash and restricted cash equivalents
Cash, cash equivalents, restricted cash and restricted cash equivalents at beginning of year
Cash, cash equivalents, restricted cash and restricted cash equivalents at end of period

163,221
3,192,310¥3,355,531(278,996)
3,510,011¥ 3,231,015

Supplemental information:
Cash paid during the period for—
Interest
Income tax payments, net

¥
¥

¥
¥

28

65,287
33,83446,034
76,794

The following table presents a reconciliation of cash, cash equivalents, restricted cash and restricted cash equivalents as reported within the
consolidated balance sheets to the total of the same such amounts shown in the statements of cash flows above. Restricted cash and restricted cash
equivalents are amounts where access, withdrawal or usage by Nomura is substantively prohibited by a third party entity outside of the Nomura group.
Millions of yen
Three months ended June 30
2020
2021

Cash and cash equivalents reported in Cash and cash equivalents
Restricted cash and restricted cash equivalents reported in Deposits with stock exchanges and other
segregated cash
Total cash, cash equivalent, restricted cash and restricted cash equivalents¥

3,354,793¥

3,230,541¥¥

738
3,355,531¥¥

474
3,231,015

Non-cash—
Total amount of Right- of use assets recognized during the three months ended June 30, 2020 and June 30, 2021 were ¥16,233 million and¥10,271 million, respectively.
Restatement of above comparatives
See Note 1 “Basis of accounting” to these consolidated financial statements included in this interim report for further information on the nature ofthis restatement.
The accompanying notes are an integral part of these consolidated financial statements.
29

Notes to the Consolidated Financial Statements (UNAUDITED)
1. Basis of accounting:
Restatement of historical interim consolidated financial statements
Nature of errors
During the quarter ended March 31, 2024, the Company identified classification and presentation errors within the consolidated statements of cash
flows as reported in historical interim financial statements. These classification errors related to the incorrect classification of cash flows arising fromcertain non-trading loans, other financial and non-financial transactions within operating rather than investing or financing activities. These presentation
errors related to the presentation of certain cash flows from non-trading debt securities, short-term borrowings and other financial and non-financialtransactions on a net rather than gross basis. None of these errors impact the consolidated balance sheets, consolidated statements of income orconsolidated statements of comprehensive income and therefore do not impact previously reported earnings per share amounts.
The Company has concluded that certain of these errors are material and therefore the Company has restated comparative amounts included in the
consolidated statements of cash flows during the three months ended June 30, 2020 and June 30, 2021 to correct the identified classification andpresentation errors.
The following tables present the impact of correction of each of these errors on prior amounts as previously reported in specific line items in the
consolidated statement of cash flows and the restated amounts for the three months ended June 30, 2020 and June 30, 2021.
30

Three months ended June 30, 2021
Millions of yen
As Previously Reported

As RestatedLine item

Amount[Line item not previously reported]
Time deposits
Trading assets and private equity and debt investments—(62,409)

Other secured borrowings
Loans and receivables, net of allowance for doubtful
accounts
Other, net
Net cash provided by (used in) operating activities[Line item not previously reported][Line item not previously reported]
Proceeds from sales of investments in equity securities[Line item not previously reported][Line item not previously reported]
Decrease (increase) in loans receivable at banks, net

Adjustment

360,058
29,314

361,716—(127,784)
49,654(539,112)—(17,672)
25,48450,303(133,752)(145,456)
75,138(488,809)(133,752)

—
318
—
—

69,149(318)(4)
15,387(8,698)(101)—(1,324,155)—

1,350,286—
9,562(30,555)—[Line item not previously reported][Line item not previously reported]

Decrease (increase) in investments in affiliatedcompanies, net

Other, net
Net cash provided by investing activities
Increase in long-term borrowings
Decrease in long-term borrowings
Increase (decrease) in short-term borrowings, net[Line item not previously reported][Line item not previously reported]

49,945—

10,46147,939707,662(9,276)(63,339)(6,970)(606,590)
96,061—

1,672(96,061)
515,290—(464,713)—

61,110—27,00367,601(20,032)———
218,784(10,816)
18,902(12,349)
13,036[Line item not previously reported][Line item not previously reported]
Increase (decrease) in deposits received at banks, net[Line item not previously reported][Line item not previously reported][Line item not previously reported]
Net cash provided by (used in) financing activities

AmountProvision for credit losses[Line item removed]
Trading assets and private equity and debt
1,658
investments(29,314) [Line item removed][Line item not previously reported]

Decrease in non-trading debt securities, net

Line item

7,738
62,40931

Margin loans and receivables
Other, net
Net cash provided by (used in) operating activities
Payments for placements of time deposits
Proceeds from redemption or maturity of time
deposits[Line item removed]
Payments for purchases of equity investments
Proceeds from sales of equity investments
Net cash inflows (outflows) from loans receivable atbanks
Payments for purchases or origination of other
non-trading loans
Proceeds from sales or repayments of other
non-trading loans
Net cash outflows from interbank money market
loans
Payments for purchases of non-trading debt securities
Proceeds from sales or maturity of non-trading debt
securities
Payments for purchases of investments in affiliatedcompanies
Proceeds from sales of investments in affiliatedcompanies
Other, net
Net cash provided by (used in) investing activities
Proceeds from issuances of long-term borrowings
Payments for repurchases or maturity of long-termborrowings[Line item removed]
Proceeds from issuances of short-term borrowings
Payments for repurchases or maturity of short-termborrowings
Net cash inflows (outflows) from interbank money
market borrowings
Net cash inflows (outflows) from other secured
borrowings
Net cash inflows (outflows) from deposits received atbanks
Payments for withholding taxes on stock-based
compensation
Contributions from noncontrolling interests
Distributions to noncontrolling interests
Net cash provided by (used in) financing activities

7,738
—

69,149—(4)
15,387(8,799)(1,324,155)
1,350,286(30,555)(13,453)
23,015(57)
50,002
1,185(15,400)
700,692(604,918)—
515,290(464,713)
61,11027,00347,569(10,816)
18,902(12,349)
231,820

Three months ended June 30, 2020
Millions of yen
As Previously Reported

As RestatedLine item

AmountAdjustment

Line item

Amount[Line item not previously reported]
Time deposits
Trading assets and private equity and debt investments
Other secured borrowings
Loans and receivables, net of allowance for doubtful
accounts
Other, net
Net cash provided by (used in) operating activities[Line item not previously reported][Line item not previously reported]
Proceeds from sales of investments in equity securities[Line item not previously reported][Line item not previously reported]
Decrease (increase) in loans receivable at banks, net—
131,639
142,949(354,322)(2,075)(131,639)(11,047)
354,322

Provision for credit losses[Line item removed]
Trading assets and private equity and debt investments[Line item removed](2,075)—
131,902—1,130,926(80,228)
380,845
—
—
1,102
—
—

(324,831)
149,405
34,135(41,993)
173,876(1,102)(57)
6,041

Margin loans and receivables
Other, net
Net cash provided by (used in) operating activities
Payments for placements of time deposits
Proceeds from redemption or maturity of time deposits[Line item removed]
Payments for purchases of equity investments
Proceeds from sales of equity investments
Net cash inflows (outflows) from loans receivable at
(472)
banks
Payments for purchases or origination of other(457,734)
non-trading loans
Proceeds from sales or repayments of other non-trading
836,433
loans(14,512) Net cash outflows from interbank money market loans—
Payments for purchases of non-trading debt securities
Proceeds from sales or maturity of non-trading debt
securities—
Acquisitions, net of cash acquired
Divestures, net of cash disposed of

806,095
69,177414,980(41,993)
173,876
—
(57)
6,041

18,510[Line item not previously reported]—[Line item not previously reported][Line item not previously reported]
Decrease in non-trading debt securities, net——
27,455Business combinations or disposals, net(11,152)

Decrease (increase) in investments in affiliatedcompanies, net[Line item not previously reported](9,651)

9,651—(9,800)—3,004
16,786588,277

131(5,831)
494,631(6,987)(533,333)(94,867)—(17,762)
94,867
761,733—(761,940)—(234,573)—(342,165)[Line item not previously reported]
Other, net
Net cash provided by investing activities
Increase in long-term borrowings
Decrease in long-term borrowings
Increase (derease) in short-term borrowings, net[Line item not previously reported][Line item not previously reported][Line item not previously reported][Line item not previously reported]
Increase (decrease) in deposits received at banks, net(176,052)

929

—
—
—
(231,169)(3,856)
5,264(24,276)(528,766)[Line item not previously reported][Line item not previously reported][Line item not previously reported]
Net cash provided by (used in) financing activities

32[Line item removed]
Payments for purchases of investments in affiliatedcompanies
Proceeds from sales of investments in affiliatedcompanies
Other, net
Net cash provided by (used in) investing activities
Proceeds from issuances of long-term borrowings
Payments for repurchases or maturity of long-termborrowings[Line item removed]
Proceeds from issuances of short-term borrowings
Payments for repurchases or maturity of short-termborrowings
Net cash inflows (outflows) from interbank money
market borrowings
Net cash inflows (outflows) from other secured
borrowings
Net cash inflows (outflows) from deposits received atbanks
Payments for withholding taxes on stock-based
compensation
Contributions from noncontrolling interests
Distributions to noncontrolling interests
Net cash provided by (used in) financing activities

18,038(457,734)
836,433(14,512)(24,746)
52,201(11,152)——(9,800)131(2,827)
511,417581,290(551,095)—
761,733(761,940)(234,573)(342,165)(175,123)(3,856)
5,264(24,276)(759,935)

In December 2001, Nomura Holdings, Inc. (“the Company”) filed a registration statement, in accordance with the Securities Exchange Act of1934, with the United States Securities and Exchange Commission (“SEC”) in order to list its American Depositary Shares (“ADS”) on the New York
Stock Exchange. Since then, the Company has had an obligation to file an annual report on Form 20-F with the SEC in accordance with the Securities
Exchange Act of 1934.
Therefore, the Company and other entities in which it has a controlling financial interest (collectively “Nomura”) prepares consolidated financial
statements in accordance with the accounting principles, procedures and presentations which are required in order to issue ADS, i.e., U.S. generally
accepted accounting principles (“U.S. GAAP”), pursuant to Article 95 of “Regulations Concerning the Terminology, Forms and Preparation Methods ofQuarterly Consolidated Financial Statements” (Cabinet Office Ordinance No. 64, 2007).
The following paragraphs describe the major differences between U.S. GAAP applied by Nomura and accounting principles generally accepted inJapan (“Japanese GAAP”) for the three months ended June 30, 2021. Where the effect of these major differences are significant to Income before
income taxes, Nomura discloses as (higher) or (lower) below the amount by which Income before income taxes based on U.S. GAAP was higher orlower than Japanese GAAP, respectively.
Scope of consolidation—
Under U.S. GAAP, the scope of consolidation is mainly determined by the ownership of a majority of the voting interests in an entity or by
identifying the primary beneficiary of variable interest entities. Under Japanese GAAP, the scope of consolidation is determined by a “financial
controlling model”, which takes into account the ownership level of voting interests in an entity and other factors.
Unrealized gains and losses on investments in equity securities—
Under U.S. GAAP applicable to broker-dealers, minority investments in equity securities with readily determinable fair values are measured at fairvalue with changes in fair value recognized in earnings. Under Japanese GAAP, these investments are also measured at fair value, but unrealized gains
and losses, net of applicable income taxes, are reported in other comprehensive income. Income before income taxes prepared under U.S. GAAP,
therefore, was ¥2,860 million (higher) and ¥3,649 million (higher) for the three months ended June 30, 2020 and 2021, respectively.
Unrealized gains and losses on non-trading debt and equity securities—
Under U.S. GAAP applicable to broker-dealers, non-trading securities are measured at fair value with changes in fair value recognized in earnings.
Under Japanese GAAP, these securities are also measured at fair value, but unrealized gains and losses, net of applicable income taxes, are reported inother comprehensive income. Income before income taxes prepared under U.S. GAAP, therefore, was ¥1,183 million (higher) and ¥471 million (higher)
for the three months ended June 30, 2020 and 2021, respectively for non-trading debt securities. Income before income taxes prepared under U.S. GAAP
was ¥846 million (lower) and ¥32 million (lower) for the three months ended June 30, 2020 and 2021, respectively for non-trading equity securities.
Retirement and severance benefits—
Under U.S. GAAP, gains or losses resulting from either experience that is different from an actuarial assumption or a change in assumption isamortized over the average remaining service period of employees when a net gain or loss at the beginning of the year exceeds the “Corridor” which isdefined as 10% of the larger of projected benefit obligation or the fair value of plan assets. Under Japanese GAAP, these gains or losses are amortizedover a certain period regardless of the Corridor.
33

Amortization of goodwill and equity method goodwill—
Under U.S. GAAP, goodwill is not amortized and is tested for impairment periodically. Under Japanese GAAP, goodwill is amortized over acertain periods of less than 20 years using the straight-line method. Therefore, under U.S. GAAP, Income before income taxes was ¥971 million (higher)and ¥913 million (higher) for the three months ended June 30, 2020 and 2021, respectively.
Changes in the fair value of derivative contracts—
Under U.S. GAAP, all derivative contracts, including derivative contracts that have been designated as hedges of specific assets or specificliabilities, are carried at fair value, with changes in fair value recognized either in earnings or other comprehensive income. Under Japanese GAAP,
derivative contracts that have been entered into for hedging purposes are carried at fair value with changes in fair value, net of applicable income taxes,
recognized generally in other comprehensive income.
Fair value for financial assets and financial liabilities—
Under U.S. GAAP, the fair value option may be elected for eligible financial assets and financial liabilities which would otherwise be carried on abasis other than fair value (“the fair value option”). Where the fair value option is elected, the financial asset or liability is carried at fair value withchanges in fair value are recognized in earnings. Under Japanese GAAP, the fair value option is not permitted. Therefore, under U.S. GAAP, Income
before income taxes was ¥21,070 million (higher) and ¥10,162 million (higher) for the three months ended June 30, 2020 and 2021, respectively. In
addition, non-marketable equity securities which are carried at fair value under U.S. GAAP applicable to broker-dealers are carried at cost less
impairment loss under Japanese GAAP.
Offsetting of amounts related to certain contracts—
Under U.S. GAAP, an entity that is party to a master netting arrangement is permitted to offset fair value amounts recognized for the right toreclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) against fair value amounts recognized for derivative
instruments that have been offset under the same master netting arrangement. Under Japanese GAAP, offsetting of such amounts is not permitted.
Stock issuance costs—
Under U.S. GAAP, stock issuance costs are deducted from capital. Under Japanese GAAP, stock issuance costs are either immediately expensed
or capitalized as a deferred asset and amortized over periods of up to three years using the straight-line method.
Accounting for change in controlling interest in a consolidated subsidiary’s shares—
Under U.S. GAAP, when a parent’s ownership interest decreases as a result of sales of a subsidiary’s common shares by the parent and thesubsidiary becomes an equity method investee, the parent’s remaining investment in the former subsidiary is measured at fair value as of the date of lossof a controlling interest and a related valuation gain or loss is recognized in earnings. Under Japanese GAAP, the remaining investment on the parent’s
consolidated balance sheet is computed as the sum of the carrying amount of investment in the equity method investee recorded in the parent’s standalone balance sheet as adjusted for the share of net income or losses and other adjustments from initial acquisition through to the date of loss of acontrolling interest multiplied by the ratio of the remaining shareholding percentage against the holding percentage prior to loss of control.
Stock-based and other compensation awards—
Under U.S. GAAP, Restricted Stock Units (“RSUs”) are classified as equity awards, and the total compensation cost is measured based on the fairvalue of the Company’s common stock on the grant date. Under Japanese GAAP, the total compensation cost of RSUs is measured by the amount ofmonetary compensation liabilities which is granted to management and employees. Therefore, under U.S. GAAP, Income before income taxes was¥588 million (lower) and ¥2,684million (higher) for the three months ended June 30, 2020 and 2021, respectively.
Use of estimates—
While the COVID-19 pandemic has impacted some of the critical accounting estimates and underlying assumptions used in the consolidated
financial statements during the year ended March 31, 2021, no further significant adverse changes in these estimates occurred during the 3 months ended
June 30, 2021 as a result of the COVID-19 pandemic.
New accounting pronouncements recently adopted—
No new accounting pronouncements relevant to Nomura were adopted during the three months ended June 30, 2021.
Future accounting developments—
There are no new authoritative accounting pronouncements relevant to Nomura which will be adopted on or after July 1, 2021 which may have amaterial impact on these consolidated financial statements.
34

2. Fair value measurements:
The fair value of financial instruments
A significant amount of Nomura’s financial instruments are measured at fair value. Financial assets measured at fair value on a recurring basis arereported in the consolidated balance sheets within Trading assets and private equity and debt investments, Loans and receivables, Collateralized
agreements and Other assets. Financial liabilities measured at fair value on a recurring basis are reported within Trading liabilities, Short-termborrowings, Payables and deposits, Collateralized financing, Long-term borrowings and Other liabilities.
Other financial assets and financial liabilities are measured at fair value on a nonrecurring basis, where the primary measurement basis is not fairvalue but where fair value is used in specific circumstances after initial recognition, such as to measure impairment.
In all cases, fair value is determined in accordance with ASC 820 “Fair Value Measurements and Disclosures” (“ASC 820”) which defines fairvalue as the amount that would be exchanged to sell a financial asset or transfer a financial liability in an orderly transaction between market participantsat the measurement date. It assumes that the transaction occurs in the principal market for the relevant financial assets or financial liabilities, or in theabsence of a principal market, the most advantageous market.
Fair value is usually determined on an individual financial instrument basis consistent with the unit of account of the financial instrument.
However, certain financial instruments managed on a portfolio basis are valued as a portfolio, namely based on the price that would be received to sell a
net long position (i.e., a net financial asset) or transfer a net short position (i.e., a net financial liability) consistent with how market participants would
price the net risk exposure at the measurement date.
Financial assets measured at fair value also include investments in certain funds where, as a practical expedient, fair value is determined on thebasis of net asset value per share (“NAV per share”) if the NAV per share is calculated in accordance with certain industry standard principles.
Increases and decreases in the fair value of assets and liabilities will significantly impact Nomura’s position, performance, liquidity and capital
resources. As explained below, valuation techniques applied contain inherent uncertainties and Nomura is unable to predict the accurate impact of future
developments in the market. The valuation of financial instruments is more difficult during periods of market stress as a result of greater volatility andreduced price transparency, which has been the case during the COVID-19 pandemic in 2020, and may therefore require the greater use of judgement in
the determination of fair value. Where appropriate, Nomura uses economic hedging strategies to mitigate its risk, although these hedges are also subject
to unpredictable movements in the market.
Valuation methodology for financial instruments carried at fair value on a recurring basis
The fair value of financial instruments is based on quoted market prices including market indices, broker or dealer quotations or an estimation by
management of the expected exit price under current market conditions. Various financial instruments, including cash instruments and over-the-counter(“OTC”) contracts, have bid and offer prices that are observable in the market. These are measured at the point within the bid-offer range which best
represents Nomura’s estimate of fair value. Where quoted market prices or broker or dealer quotations are not available, prices for similar instruments orvaluation pricing models are considered in the determination of fair value.
Where quoted prices are available in active markets, no valuation adjustments are taken to modify the fair value of assets or liabilities marked
using such prices. Other instruments may be measured using valuation techniques, such as valuation pricing models incorporating observable valuation
inputs, unobservable parameters or a combination of both. Valuation pricing models use valuation inputs which would be considered by market
participants in valuing similar financial instruments.
Valuation pricing models and their underlying assumptions impact the amount and timing of unrealized and realized gains and losses recognized,
and the use of different valuation pricing models or underlying assumptions could produce different financial results. Valuation uncertainty results froma variety of factors, including the valuation technique or model selected, the quantitative assumptions used within the valuation model, the inputs into
the model, as well as other factors. Valuation adjustments are used to reflect the assessment of this uncertainty. Common valuation adjustments include
model reserves, credit adjustments, close-out adjustments, and other appropriate instrument-specific adjustments, such as those to reflect transfer or sale
restrictions.
35

The level of adjustments is largely judgmental and is based on an assessment of the factors that management believe other market participants
would use in determining the fair value of similar financial instruments. The type of adjustments taken, the methodology for the calculation of theseadjustments, and the valuation inputs for these calculations are reassessed periodically to reflect current market practice and the availability of new
information.
For example, the fair value of certain financial instruments includes adjustments for credit risk; both with regards to counterparty credit risk on
positions held and Nomura’s own creditworthiness on positions issued. Credit risk on financial assets is significantly mitigated by credit enhancements
such as collateral and netting arrangements. Any net credit exposure is measured using available and applicable valuation inputs for the relevant
counterparty. The same approach is used to measure the credit exposure on Nomura’s financial liabilities as is used to measure counterparty credit risk
on Nomura’s financial assets.
Such valuation pricing models are calibrated to the market on a regular basis and inputs used are adjusted for current market conditions and risks.
The Valuation Model Validation Group (“VMVG”) within Nomura’s Risk Management Department reviews pricing models and assesses model
appropriateness and consistency independently of the front office. The model reviews consider a number of factors about a model’s suitability forvaluation and sensitivity of a particular product. Valuation models are calibrated to the market on a periodic basis by comparison to observable market
pricing, comparison with alternative models and analysis of risk profiles.
As explained above, any changes in fixed income, equity, foreign exchange and commodity markets can impact Nomura’s estimates of fair value
in the future, potentially affecting trading gains and losses. Where financial contracts have longer maturity dates, Nomura’s estimates of fair value may
involve greater subjectivity due to the lack of transparent market data.
Fair value hierarchy
All financial instruments measured at fair value, including those measured at fair value using the fair value option, have been categorized into athree-level hierarchy (“fair value hierarchy”) based on the transparency of valuation inputs used by Nomura to estimate fair value. A financial instrument
is classified in the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement of the financial instrument. The
three levels of the fair value hierarchy are defined as follows, with Level 1 representing the most transparent inputs and Level 3 representing the leasttransparent inputs:
Level 1:
Observable valuation inputs that reflect quoted prices (unadjusted) for identical financial instruments traded in active markets at the measurement
date.
Level 2:
Valuation inputs other than quoted prices included within Level 1 that are either directly or indirectly observable for the financial instrument.
Level 3:
Unobservable valuation inputs which reflect Nomura assumptions and specific data.
The availability of valuation inputs observable in the market varies by product and can be affected by a variety of factors. Significant factors
include, but are not restricted to the prevalence of similar products in the market, especially for customized products, how established the product is in
the market, for example, whether it is a new product or is relatively mature, and the reliability of information provided in the market which would
depend, for example, on the frequency and volume of current data. A period of significant change in the market may reduce the availability ofobservable data. Under such circumstances, financial instruments may be reclassified into a lower level in the fair value hierarchy.
Significant judgments used in determining the classification of financial instruments include the nature of the market in which the product would
be traded, the underlying risks, the type and liquidity of market data inputs and the nature of observed transactions for similar instruments.
Where valuation models include the use of valuation inputs which are less observable or unobservable in the market, significant management
judgment is used in establishing fair value. The valuations for Level 3 financial instruments, therefore, involve a greater degree of judgment than thosevaluations for Level 1 or Level 2 financial instruments and has become more prevalent during the COVID-19 pandemic.
Certain criteria management use to determine whether a market is active or inactive include the number of transactions, the frequency that pricing
is updated by other market participants, the variability of price quotes among market participants, and the amount of publicly available information.
36

The following tables present the amounts of Nomura’s financial instruments measured at fair value on a recurring basis as of March 31, 2021 andJune 30, 2021 within the fair value hierarchy.

Level 1

Assets:Trading assets and private equity and debt investments(2)Equities(3)Private equity and debt investments(4)Japanese government securities
Japanese agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities and loans for trading purposes
Commercial mortgage-backed securities (“CMBS”)
Residential mortgage-backed securities (“RMBS”)
Issued/Guaranteed by government sponsored entity
Other
Real estate-backed securities
Collateralized debt obligations (“CDOs”) and other(5)Investment trust funds and otherTotal trading assets and private equity and debt investments
Derivative assets(6)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Netting
Total derivative assets
Subtotal
Loans and receivables(7)Collateralized agreements(8)Other assets
Non-trading debt securities
Other(2)(3)
Total
Liabilities:
Trading liabilities
Equities
Japanese government securities
Japanese agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities
Residential mortgage-backed securities (“RMBS”)
Collateralized debt obligations (“CDOs”) and other(5)Investment trust funds and otherTotal trading liabilities
Derivative liabilities(6)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Netting
Total derivative liabilities
Subtotal
Short-term borrowings(9)Payables and deposits(10)Collateralized financing(8)Long-term borrowings(9)(11)(12)
Other liabilities(13)
Total

¥

¥

¥

¥

¥
¥

¥

37

Billions of yen
March 31, 2021
Counterparty
and CashCollateral
Netting(1)Level 3

Level 2

2,338
—
1,637
—
2,838
—
—
—
—
—
—
—
573
7,386
9
29
4
0
1
—
43
7,429
—
—
123
353
7,905

2,341
1,039
—
2,912
—
—
—
243
6,535
1
21
3
—
0
—
25
6,560
—
—
—
5
231
6,796

¥

¥

¥

¥

¥
¥

¥

968
—
—
76
1,987
1,259
0
2,387
2,325
62
0
36
29
6,742
1,318
9,577
427
4,479
0
—
15,801
22,543
878
349
304
173
24,247

20
—
1
1,172
230
0
0
13
1,436
2,112
8,948
458
4,380
0
—
15,89817,334
532
49
352
3,546
179
21,992

¥

¥

¥

¥

¥
¥

¥

16
58
—
2
12
135
8
6
—
6
106
23
0
366
75
26
24
37
—
—
162
528
104
18
—
185
835

0
—
—
1
5
—
1
0
7
116
69
62
22
—
—
269
276
103
1
1
547
35
963

¥

¥

¥

¥

¥
¥

¥

Balance as ofMarch 31,
2021

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
(14,786)(14,786)(14,786)————(14,786)

—
—
—
—
—
—
—
—
—
—
—
—
—
—
(14,697)(14,697)(14,697)—————(14,697)

¥

¥

¥

¥

¥
¥

¥

3,322
58
1,637
78
4,837
1,394
8
2,393
2,325
68
106
59
602
14,494
1,402
9,632
455
4,516
1
(14,786)
1,220
15,714
982
367
427
711
18,201

2,361
1,039
1
4,085
235
0
1
256
7,978
2,229
9,038
523
4,402
0
(14,697)
1,495
9,473
635
50
353
4,098
445
15,054

Level 1

Assets:Trading assets and private equity and debt investments(2)Equities(3)Private equity and debt investments(4)Japanese government securities
Japanese agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities and loans for trading purposes
Commercial mortgage-backed securities (“CMBS”)
Residential mortgage-backed securities (“RMBS”)
Issued/Guaranteed by government sponsored entity
Other
Real estate-backed securities
Collateralized debt obligations (“CDOs”) and other(5)Investment trust funds and otherTotal trading assets and private equity and debt investments
Derivative assets(6)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Netting
Total derivative assets
Subtotal
Loans and receivables(7)Collateralized agreements(8)Other assets
Non-trading debt securities
Other(2)(3)
Total
Liabilities:
Trading liabilities
Equities
Japanese government securities
Japanese agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities
Residential mortgage-backed securities (“RMBS”)
Collateralized debt obligations (“CDOs”) and other(5)Investment trust funds and otherTotal trading liabilities
Derivative liabilities(6)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Netting
Total derivative liabilities
Subtotal
Short-term borrowings(9)Payables and deposits(10)Collateralized financing(8)Long-term borrowings(9)(11)(12)
Other liabilities(13)
Total

¥

Level 2

2,047
23
2,189
—
3,352
—
—
—
—
—
—
—
283
7,894
0
28
3
0
1
—
32
7,926
—
—

¥

123
287
8,336

¥

¥

1,615
1,074
—
4,155
—
—
—
124
6,968
0
23
2
—
0
—
25
6,993
—
—
—
11
178
7,182

¥

¥

38

Billions of yen
June 30, 2021
Counterparty
and CashCollateral
Level 3
Netting(1)

¥

¥

¥

¥

¥

¥

880
—
—
97
2,021
1,091
0
1,827
1,766
61
0
30
22
5,968
947
8,877
420
3,606
0
—
13,85019,818
873
311
294
99
21,395

13
—
0
1,409
207
0
0
0
1,629
1,429
8,246
441
3,553
1
—
13,67015,299
584
49
352
3,721
103
20,108

¥

¥

¥

¥

¥

¥

11
45
—
2
13
131
8
7
—
7
158
21
1
397
90
19
32
34
—
—
175
572
111
16
—
202
901

0
—
—
0
2
—
0
0
2
129
60
63
25
—
—
277
279
94
2
—
508
33
916

¥

¥

¥

¥

¥

¥

Balance as ofJune 30,
2021

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
(12,992)(12,992)(12,992)————(12,992)

—
—
—
—
—
—
—
—
—
—
—
—
—
—
(12,658)(12,658)(12,658)—————(12,658)

¥

¥

¥

¥

¥

¥

2,938
68
2,189
99
5,386
1,222
8
1,834
1,766
68
158
51
306
14,259
1,037
8,924
455
3,640
1
(12,992)
1,065
15,324
984
327
417
588
17,640

1,628
1,074
0
5,564
209
0
0
124
8,599
1,558
8,329
506
3,578
1
(12,658)
1,314
9,913
678
51
352
4,240
314
15,548

(1)
(2)

(3)
(4)

(5)
(6)

(7)
(8)
(9)
(10)
(11)
(12)
(13)

Represents the amount offset under counterparty netting of derivative assets and liabilities as well as cash collateral netting against net derivatives.
Certain investments that are measured at fair value using net asset value per share as a practical expedient have not been classified in the fair value
hierarchy. As of March 31, 2021 and June 30, 2021, the fair values of these investments which are included in Trading assets and private equity
and debt investments were ¥24 billion and ¥28 billion, respectively. As of March 31, 2021 and June 30, 2021, the fair values of these investments
which are included in Other assets - Others were ¥4 billion and ¥5 billion, respectively.
Includes equity investments that would have been accounted for under the equity method had Nomura not chosen to elect the fair value option.
Private equity and debt investments are typically private non-traded financial instruments including ownership or other forms of junior capital(such as mezzanine loan). Includes equity investments that would have been accounted for under the equity method had Nomura not chosen toelect the fair value option.
Includes collateralized loan obligations (“CLOs”) and asset-backed securities (“ABS”) such as those secured on credit card loans, auto loans andstudent loans.
Each derivative classification includes derivatives with multiple risk underlyings. For example, interest rate contracts include complex derivatives
referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default
swaps as well as derivatives referencing corporate and government debt securities.
Includes loans for which the fair value option has been elected.
Includes collateralized agreements or collateralized financing for which the fair value option has been elected.
Includes structured notes for which the fair value option has been elected.
Includes embedded derivatives bifurcated from deposits received at banks. If unrealized gains are greater than unrealized losses, deposits are
reduced by the excess amount.
Includes embedded derivatives bifurcated from issued structured notes. If unrealized gains are greater than unrealized losses, borrowings are
reduced by the excess amount.
Includes liabilities recognized from secured financing transactions that are accounted for as financings rather than sales. Nomura elected the fairvalue option for these liabilities.
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 ofboth listed and unlisted equity securities, and fund investments. The fair value of listed equity securities is determined using quoted prices for identicalsecurities 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 thesesecurities 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 ofholding. The amount of such adjustments made to listed equity securities traded in inactive markets was ¥nil as of March 31, 2021 and June 30, 2021,
respectively. The fair value of unlisted equity securities is determined using the same methodology 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.
39

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 fromcarrying 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 growthrate 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 theprice of comparable companies. A liquidity discount may also be applied to either a DCF or market multiple valuation to reflect the specificcharacteristics 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 theinvestment, such as conversion features and liquidation preferences. Private equity and debt investments are generally classified in Level 3 since thevaluation 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 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 thenature 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 areyield curves, asset swap spreads, recovery rates and credit spreads of the issuer. Bank and corporate debt securities are generally classified in Level 2 ofthe fair value hierarchy because these valuation inputs are usually observable or market-corroborated. Certain bank and corporate debt securities will beclassified 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 orsimilar 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 generallyclassified 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 moreof 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 oralternative 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.
40Collateralized debt obligations (“CDOs”) and other—The fair value of CDOs is primarily determined using DCF valuation techniques but alsousing broker or dealer quotations and recent market transactions of identical or similar securities, if available. Consideration is given to the nature of thebroker 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 representativeof fair value, the fair value of exchange-traded equity derivatives is determined using an unadjusted exchange price and classified in Level 1 of the fairvalue 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 determinedthrough 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 andNomura‘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 ininactive 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 fairvalue of OTC interest rate derivatives is determined through DCF valuation techniques as well as option models such as Black-Scholes and Monte Carlosimulation. 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 onderivative liabilities. OTC interest rate derivatives are generally classified in Level 2 because all significant valuation inputs and adjustments areobservable 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 onderivative 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 andunobservable.
41

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 Carlosimulation. 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 marketcorroborated. 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 thesetransactions to be consistent with how market participants in the principal market for these derivatives would determine fair value.
Loans—The fair value of loans carried at fair value either as trading assets or through election of the fair value option is primarily determinedusing DCF valuation techniques as quoted prices are typically not available. The significant valuation inputs used are similar to those used in thevaluation of corporate debt securities described above. Loans are generally classified in Level 2 of the fair value hierarchy because all significant
valuation inputs are observable. Certain loans, 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 used in DCF valuations are significant andunobservable.
Collateralized agreements and Collateralized financing—The primary types of collateralized agreement and financing transactions carried at fairvalue 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 generalcollateral or special rates. Reverse repurchase and repurchase agreements are generally classified in Level 2 of the fair value hierarchy because thesevaluation 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 thefair value hierarchy using the same valuation techniques used for other debt securities classified as Government, agency and municipal securities andBank 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 variableinterest entities (“VIEs”) which contain embedded features that alter the return to the investor from simply receiving a fixed or floating rate of interest toa 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 notavailable, 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 boththe 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 basedon recent observable secondary market transactions and executable broker quotes involving Nomura debt instruments and is therefore typically treatedas a Level 2 valuation input. Structured notes are generally classified in Level 2 of the fair value hierarchy as all significant valuation inputs andadjustments are observable. Where any unobservable 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 afinancial 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.
42

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 thatvary 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 themarket. The level of correlation between the specific Level 3 financial instrument and the available benchmark instrument is considered as anunobservable valuation input. Other techniques for determining an appropriate value for unobservable 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.
43Quantitative and qualitative information regarding significant unobservable inputs
The following tables present quantitative and qualitative information about the significant unobservable valuation inputs used by Nomura tomeasure the fair value of financial instruments classified in Level 3 as of March 31, 2021 and June 30, 2021. 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 hedgedusing financial instruments which are classified in Level 1 or Level 2 of the fair value hierarchy. Changes in each of these significant unobservablevaluation inputs used by Nomura will impact upon the fair value measurement of the financial instrument. The following tables also illustratequalitatively 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 thefinancial instruments. The impact of the COVID-19 pandemic on financial markets has been considered in determining which valuation inputs are used
to measure fair value.
March 31, 2021

Financial Instrument
Assets:Trading assets and private equity anddebt investments
Equities
Private equity and debt
investments

Fairvalue inbillionsof yen¥16
58

Valuationtechnique

DCF
DCF

Marketmultiples
Foreign government, agency andmunicipal securities
Bank and corporate debt
securities and loans for
trading purposes
Commercial mortgage
backed securities(“CMBS”)
Residential mortgage
backed securities(“RMBS”)
Real estate-backed
securities
Collateralized debt obligations(“CDOs”) and other

Weighted
Average(2)Impact ofincreases insignificant
unobservablevaluation
inputs(3)(4)

75.0%
6.3 – 11.5%
0.0 – 1.0%
7.6 – 8.8%
5.0 – 30.0%
1.9 – 10.8 x
11.1 x
5.0 – 20.0%
0.0 – 1.5%
9.2 – 9.3%
0.0 – 23.1%
0.0 – 100.0%

75.0%
8.4%
0.5%
8.1%
12.8%
6.5 x
11.1 x
12.2%
0.4%
9.2%
7.4%
73.3%

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

Not applicable
No predictableinterrelationship

Significant
unobservablevaluation input

Range ofvaluation inputs(1)Liquidity discounts
WACC
Growth rates
Credit spreads
Liquidity discounts
EV/EBITDA ratios
PE Ratios
Liquidity discounts
Credit spreads
Recovery rates
Credit spreads
Recovery rates

Interrelationships
between valuation
inputs(5)No predictableinterrelationship

12

DCF

135

DCF

8

DCF

YieldsLoss severities

4.2 – 10.6%
27.5 – 69.5%

5.0%
50.3%

Lower fair value
Lower fair value

No predictableinterrelationship

6

DCF
DCF

0.0 – 14.3%
6.4 – 15.0%
0.8 – 100.0%
0.0 – 18.6%

1.4%
7.2%
5.8%
2.4%

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

No predictableinterrelationship106

Yields
Prepayment rates
Loss severities
Loss severities

23

DCF

Yields
Prepayment rates
Default probabilities
Loss severities

5.4 – 35.0%
20.0%
2.0%
77.0 – 100.0%

11.0%
20.0%
2.0%
88.1%

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

Change in default probabilities
typically accompanied bydirectionally similar change inloss severities and oppositechange in prepayment rates

44

No predictableinterrelationship
No predictableinterrelationship

Not applicableMarch 31, 2021

Financial Instrument

Fair
value inbillionsof yenDerivatives, net:
Equity contracts¥

Valuationtechnique(41)

OptionmodelsInterest rate contracts

(43)

DCF/
OptionmodelsCredit contracts

(38)

DCF/
OptionmodelsForeign exchange contracts

15

OptionmodelsLoans and receivables

104

DCF

Collateralized agreements
Other assets
Other(6)

18

DCF

185

DCF

Marketmultiples

Impact ofincreases insignificant
unobservablevaluation
inputs(3)(4)Significant
unobservablevaluation input

Range ofvaluation inputs(1)Dividend yield
Volatilities
Correlations
Interest rates
Volatilities
Volatilities
Correlations
Credit spreads
Recovery rates
Volatilities
Correlations
Interest rates
Volatilities
Volatilities
Correlations
Credit spreads
Recovery rates
Repo rate

0.0 – 9.8%
4.0 – 102.0%(0.80) – 0.98
0.1 – 2.3%
9.6 – 13.1%
24.9 – 94.0 bp(1.00) – 0.98
0.0 – 20.8%
0.0 – 100.4%
41.9 – 65.0%
0.29 – 0.72
0.1 – 2.1%
2.6 – 31.5%
16.2 – 25.5 bp(0.25) – 0.80
0.0 – 25.6%
26.4 – 100.0%
2.8 – 5.8%

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
6.6%
95.8%
4.0%

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

WACC
Growth rates
Liquidity discounts
EV/EBITDA ratios
PE Ratios
Price/Book ratios
Liquidity discounts

9.2%
2.0%
10.0%
5.0 – 6.2 x
8.2 – 32.0 x
0.3 – 1.6 x
10.0 – 40.0%

9.2%
2.0%
10.0%
5.4 x
13.8 x
0.9 x
30.6%

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

Weighted
Average(2)Interrelationships
between valuation
inputs(5)No predictableinterrelationship
No predictableinterrelationship

No predictableinterrelationship

No predictableinterrelationship

No predictableinterrelationship
Not applicable
No predictableinterrelationship
Generally changes in
multiples result in acorresponding similar
directional change in a fairvalue measurement,
assuming earnings levels
remain constant.

Liabilities:
Trading Liabilities
Bank and corporate debt
securities
Short-term borrowings

5

DCF

Recovery rates

3.4 – 3.5%

3.4%

Higher fair value

Not applicable

103

Volatilities
Correlations

13.8 – 82.3%(0.69) – 0.96——

Higher fair value
Higher fair value

No predictableinterrelationship

Long-term borrowings

547

DCF/
Optionmodels
DCF/
OptionmodelsVolatilities
Volatilities
Correlations

9.5 – 82.3%
29.6 – 77.0 bp(1.00) – 0.98———

Higher fair value
Higher fair value
Higher fair value

No predictableinterrelationship45June 30, 2021

Financial Instrument

Fair
value inbillionsof yenAssets:Trading assets and private equity
and debt investments
Equities¥

Private equity and debt
investments

1145Real estate-backed securities
Collateralized debt
obligations (“CDOs”) andother

Interrelationships
between valuation
inputs(5)ValuationtechniqueSignificant
unobservable input

Range ofvaluation inputs(1)DCF

Liquidity discounts

75.0%

75.0%

Lower fair value

Not applicable

DCF

WACC
Growth rates
Credit spreads
Liquidity discounts
EV/EBITDA ratios
PE Ratios
Liquidity discounts
Credit spreads
Recovery rates

6.3 – 11.4%
0.0 – 0.3%
7.6 – 8.8%
5.0 – 30.0%
2.2 – 11.0 x
11.9 x
5.0 – 20.0%
0.0 – 1.3%
9.8 – 29.0%

9.2%
0.1%
8.1%
15.3%
6.8 x
11.9 x
12.1%
0.5%
13.1%

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

No predictableinterrelationshipMarketmultiples
Foreign government,
agency andmunicipal securities
Bank and corporate debt
securities and loans for
trading purposes
Commercial mortgagebacked securities (“CMBS”)
Residential mortgage-backed
securities (“RMBS”)

Weighted
Average(2)Impact ofincreases insignificant
unobservablevaluation
inputs(3)(4)

No predictableinterrelationship

13

DCF

131

DCF

Credit spreads
Recovery rates

0.0 – 39.2%
0.0 – 100.0%

6.8%
79.1%

Lower fair value
Higher fair value

No predictableinterrelationship

8

DCF

7

DCF

DCF
DCF

4.1 – 10.4%
28.3 – 71.5%
0.0 – 15.7%
6.9 – 15.0%
0.0 – 100.0%
0.0 – 31.9%
5.4 – 30.0%
20.0%
2.0%
78.4 – 100.0%

4.8%
42.6%
1.8%
7.4%
4.5%
1.4%
11.6%
20.0%
2.0%
90.3%

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

No predictableinterrelationship
No predictableinterrelationship158
21

YieldsLoss severities
Yields
Prepayment rates
Loss severities
Loss severities
Yields
Prepayment rates
Default probabilities
Loss severities

46

No predictableinterrelationship

Not applicable
Change in default
probabilities typicallyaccompanied by directionallysimilar change in loss
severities and opposite change
in prepayment rates

June 30, 2021

Financial Instrument

Fair
value inbillionsof yenDerivatives, net:
Equity contracts¥

Impact ofincreases insignificant
unobservablevaluation
inputs(3)(4)Interrelationships
between valuation
inputs(5)ValuationtechniqueSignificant
unobservable input

Range ofvaluation inputs(1)(39)

Optionmodels(41)

DCF/
OptionmodelsCredit contracts

(31)

DCF/
OptionmodelsForeign exchange
contracts

9

OptionmodelsLoans and receivables

111

DCF

Collateralized agreements
Other assets
Other(6)16DCF

0.0 – 13.4%
5.0 – 118.2%(0.80) – 0.98
0.1 – 2.0%
9.5 – 13.9%
27.1 – 70.7 bp(1.00) – 0.98
0.0 – 39.1%
0.0 – 105.8%
30.0 – 50.0%
0.27 – 0.69
0.1 – 1.7%
2.4 – 24.3%
15.5 – 20.1 bp(0.25) – 0.80
0.0 – 19.7%
54.0 – 100.0%
2.8 – 6.7%

—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
7.0%
96.6%
3.8%

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

No predictableinterrelationship

Interest rate contracts

Dividend yield
Volatilities
Correlations
Interest rates
Volatilities
Volatilities
Correlations
Credit spreads
Recovery rates
Volatilities
Correlations
Interest rates
Volatilities
Volatilities
Correlations
Credit spreads
Recovery rates
Repo rate

202

DCF

WACC
Growth rates
Liquidity discounts
EV/EBITDA ratios
PE Ratios
Price/Book ratios
Liquidity discounts

9.2%
2.0%
10.0%
4.2 – 5.9 x
9.7 – 30.8 x
0.3 – 1.6 x
25.0 – 40.0%

9.2%
2.0%
10.0%
4.8 x
15.1 x
0.9 x
30.6%

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

No predictableinterrelationshipMarketmultiples

Weighted
Average(2)No predictableinterrelationship

No predictableinterrelationship

No predictableinterrelationship

No predictableinterrelationship
Not application

Generally changes in
multiples result in acorresponding similar
directional change in a fairvalue measurement, assuming
earnings levels remain
constant.

Liabilities:
Trading liabilities
Bank and corporate debt
securities
Short-term borrowings

2

DCF

Recovery rates

4.4%

4.4%

Higher fair value

Not applicable

94

Payables and deposits

2

DCF/option
models
DCF/option
models508

DCF/option
modelsOther liabilities

33

DCF

11.9 – 73.2%(0.74) – 0.96
9.5 – 11.6%
31.2 – 59.9 bp
0.35 – 0.98
9.5 – 73.2%
31.2 – 69.4 bp(1.00) – 0.98
88.0 – 93.3%

—
—
—
—
—
—
—
—
91.9%

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

No predictableinterrelationship
No predictableinterrelationship

Long-term borrowings

Volatilities
Correlations
Volatilities
Volatilities
Correlations
Volatilities
Volatilities
Correlations
Recovery rates

47

No predictableinterrelationship
Not applicable

(1)

(2)
(3)

(4)

(5)
(6)

Range information is provided in percentages, coefficients and multiples and represents the highest and lowest level significant unobservablevaluation 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.
Weighted average information for non-derivative instruments is calculated by weighting each valuation input by the fair value of the financial
instrument.
The above table only considers the impact of an increase in each significant unobservable valuation input on the fair value measurement of thefinancial 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 fairvalue measurement, a decrease in the significant unobservable valuation input would result in a higher fair value measurement.
The impact of an increase in the significant unobservable 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 measurementof the derivative.
Consideration of the interrelationships between significant unobservable inputs is only relevant where more than one unobservable valuation input
is used to determine the fair value measurement of the financial instrument.
Valuation technique(s) and unobservable valuation inputs in respect of equity securities reported within Other assets in the consolidated balance
sheets.
48

Qualitative discussion of the ranges of significant unobservable 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 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 ofshorter-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 ofcorrelations 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 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 wide as volatilities can be higher when interest rates are at extremely low
levels, and also because volatilities of shorter-dated interest rate derivatives are typically higher than those of longer-dated instruments. The range ofcorrelations 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 inputs are spread across the ranges.
Derivatives—Credit contracts—The significant unobservable inputs are credit spreads, recovery rates, volatilities and correlations. The range ofcredit 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 rangeof 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 inputs are interest rates, volatilities and correlations. The range ofinterest 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 thesame direction causing highly positive correlations while others generally move in opposite directions causing highly negative correlations with pairsthat have differing relationships through the range.
Short-term borrowings and Long-term borrowings—The significant unobservable 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 inlonger-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 withpairs that have differing relationships through the range.
49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 three months ended June 30, 2020 and 2021. 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 orlosses for these hedging instruments. Level 3 financial instruments are also measured using both observable and unobservable valuation inputs. Fairvalue changes presented below, therefore, reflect realized and unrealized gains and losses resulting from movements in both observable andunobservable valuation inputs.
For the three months ended June 30, 2020 and 2021, 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
Three months ended June 30, 2020
Beginningbalance as ofthree months
ended
June 30,
2020

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

Total gains(losses)
recognized
in revenue(1)Total gains(losses)
recognized inothercomprehensive Purchases /Sales /
incomeissues(2) redemptions(2)

14 ¥

0 ¥

—

31

1

2

¥

Settlements

Foreignexchange
movements

0 ¥

(3) ¥

—

¥

—

7

(2)

—

0

0

—

—

0

—

—

8

0

—

6

(2)

—

228

(4)

—

10

(28)

1

0

—

0

62

0

—

94

(5)

32
0

Transfers
intoLevel 3(4)(5)

0 ¥Transfers
out ofLevel 3(5)0 ¥—Balance as ofthree months
ended
June 30,
2020

0 ¥

11

—

37

0

—

2

0

0

(2)

10

—

0

15

(14)

207

0

—

—

—

0

1

11

(29)

—

0

—

(23)

21

—

15

(22)

—

0

—

0

82

(2)

—

14

(26)

—

0

—

(7)

11

0

—

—

—

—

0

—

—

0

Total trading assets andprivate equity and debt
investments
Derivatives, net(3)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange
contracts
Total derivatives, net
Subtotal¥
Loans and receivables
Collateralized agreements
Other assets
Other
Total
¥
Liabilities:
Trading liabilities
Equities¥
Foreign government,
agency and municipal
securities
Bank and corporate debt
securities
Collateralized debt
obligations (“CDOs”)
and other
Investment trust funds
and other
Total trading liabilities¥
Short-term borrowings
Payables and deposits
Long-term borrowings
Other liabilities
Total
¥

472

(10)

—

63

(112)

—

0

15

(46)

382

19
(54)
(1)

(22)
(5)
(6)

—
—
—

—
—
—

—
—
—

(6)
(4)
2

0
0
0

7
(2)
(3)

(14)
(1)
0

(16)
(66)
(8)

7
(29)
443 ¥
96
15

2
(31)
(41) ¥
1
0

—
—
—
—
—

—
—
63 ¥
17
—

—
—
(112) ¥
(22)
—

(8)
(16)
(16) ¥
—
—

0
0
0 ¥
0
0

(3)
(1)
14 ¥
8
4

2
(13)
(59) ¥
(2)
—

0
(90)
292
98
19

168
722 ¥

15
(25) ¥

—
—

¥

1
81 ¥

(36)
(170) ¥—
(16) ¥

(1)
(1) ¥

—
26 ¥

0
(61) ¥

147
556

0 ¥

0 ¥

—

¥

1 ¥

0 ¥

—

0 ¥

0 ¥

0

—

0

0

—

¥

—

—

¥

1

0

—

1

(1)

—

0

1

0

—

1

(1)

—

0

0
2 ¥
29
1
409
0
441 ¥

0
0 ¥
(1)
0
(18)
(4)
(23) ¥

—
—

—
3 ¥
25
—
75
1
104 ¥

—
(2) ¥
(26)
0
(64)
0
(92) ¥

—
—
—
—
—
—
—

¥

0
0
4
—
4 ¥

50

¥

¥

0
0 ¥
0
—
0
0
0

—

—

¥

—
1

1

0
0

—

—

—
1 ¥
3
—
20
—
¥24 ¥

—
0 ¥
(2)
—
(7)
—
(9) ¥

2

1
0
4
30
1
447
5
487

Billions of yen
Three months ended June 30, 2021
Beginningbalance as ofthree months
ended
June 30,
2021

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

Investment trust funds
and other
Total trading assets andprivate equity and debt
investments
Derivatives, net(3)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange
contracts
Total derivatives, net
Subtotal¥
Loans and receivables
Collateralized agreements
Other assets

Total gains(losses)
recognized
in revenue(1)Total gains(losses)
recognized inothercomprehensive Purchases /Sales /
incomeissues(2) redemptions(2)

16 ¥

0 ¥

—

58

3

—

2

0

12

¥

(4) ¥

—

¥

—

(3)

—

0

—

—

0

—

0

—

5

(5)

135

1

—

14

8

0

—

6

0

106

Transfers
intoLevel 3(4)(5)

0 ¥Transfers
out ofLevel 3(5)

(2) ¥

11

—

(13)

45

—

—

—

2

—

0

1

0

13

(18)

—

(1)

10

(10)

131

0

0

—

—

—

—

8

—

1

0

—

0

—

—

7

2

—

110

(60)

—

0

—

—

158

23

0

—

20

(22)

—

0

—

—

21

0

0

—

1

—

—

0

0

—

1

366

6

—

152

(112)

—

(1)

11

(25)

397

(41)
(43)
(38)

(1)
(2)
2

—
—
—

—
—
—

—
—
—

(1)
1
3

0
0
0

(9)
1
1

13
2
1

(39)
(41)
(31)

15
(107)
259 ¥
104
18

(7)
(8)
(2) ¥
0
0

—
—
—
—
—

—
—
152 ¥
6
—

—
—
(112) ¥
(6)
(2)

1
4
4 ¥
—
—

0
0
(1) ¥
0
0

0
(7)
4 ¥
9
—

0
16
(9) ¥
(2)
—

9
(102)
295
111
16

¥

1 ¥

Settlements

Foreignexchange
movements

0 ¥Balance as ofthree months
ended
June 30,2021

Other
Total¥

Liabilities:
Trading liabilities
Equities¥
Foreign government,
agency and municipal
securities
Bank and corporate debt
securities
Collateralized debt
obligations (“CDOs”)
and other
Investment trust funds
and other
Total trading liabilities¥
Short-term borrowings
Payables and deposits
Collateralized financing
Long-term borrowings
Other liabilities
Total

(1)

(2)
(3)

(4)
(5)

¥

185
566 ¥

18
16 ¥

—
—

0
158 ¥

0
(120) ¥

—

¥

0 ¥

0 ¥

—

¥

0 ¥

0 ¥

—

1

0

—

—

5

0

—

1

—

—

0
7 ¥

—
0 ¥

—
—

¥

103
1
1
547
35
694 ¥

(8)
0
—
(14)
(3)
(25) ¥

0
0
0
2
—
2 ¥

4 ¥

¥

0
(1) ¥

—
13 ¥

0 ¥

—

¥

(1)
(12) ¥

202
624

0 ¥

0

—

—

(1)

—

—

0

1

(1)

—

0

—

(3)

2

—

(1)

—

0

0

—

0

0
1 ¥

—
(2) ¥

—
—

¥

0
(1) ¥

—
0 ¥

—
(3) ¥

0
2

43
0
—
159
0
203 ¥

(39)
—
—
(146)
(6)
(193) ¥

—
—
—
—
—
—

¥

0
—
—
0
1
0 ¥

5
1
—
16
0
22 ¥

(26)
—
(1)
(80)
—
(110) ¥

94
2
—
508
33
639

Includes gains and losses reported primarily 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.
Amounts reported in Purchases / issues include increases in trading liabilities while Sales / redemptions include decreases in trading liabilities.
Each derivative classification includes derivatives with multiple risk underlyings. For example, interest rate contracts include complex derivatives
referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default
swaps as well as derivatives referencing corporate and government debt securities.
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 three months ended June 30, 2020 and 2021.
Transfers into Level 3 indicate certain valuation inputs of a financial instrument become unobservable or significant. Transfers out of Level 3
indicate certain valuation inputs of a financial instrument become observable or insignificant. See Quantitative and qualitative information
regarding significant unobservable inputs above for the valuation inputs of each financial instruments.
51

Unrealized gains and losses recognized for Level 3 financial instruments
The following table presents the amounts of unrealized gains (losses) for the three months ended June 30, 2020 and 2021, relating to thosefinancial instruments which Nomura classified in Level 3 within the fair value hierarchy and that were still held by Nomura at the relevant consolidatedbalance sheet date.
Billions of yen
Three months ended June 30
2020
2021
Unrealized gains / (losses)(1)

Assets:Trading assets and private equity and debt investments
Equities
Private equity and debt investments
Japanese agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities and loans for trading purposes
Commercial mortgage-backed securities (“CMBS”)
Residential mortgage-backed securities (“RMBS”)
Real estate-backed securities
Collateralized debt obligations (“CDOs”) and other
Investment trust funds and otherTotal trading assets and private equity and debt investments
Derivatives, net(2)Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Total derivatives, net
Subtotal
Loans and receivables
Collateralized agreements
Other assets
Other
Total
Liabilities:
Trading liabilities
Equities
Bank and corporate debt securities
Collateralized debt obligations (“CDOs”) and otherTotal trading liabilities
Short-term borrowings
Payables and deposits
Long-term borrowings(3)Other liabilities
Total
(1)

(2)

(3)

¥

¥

¥

¥

¥

¥

1
1
0
0
(3)
0
0
(2)
(2)
0
(5)
(36)
(6)
(10)
1
(51)
(56)
0
0
15
(41)

0
0
0
0
0
0
(12)
(2)
(14)

¥

¥

0
2
0
0
1
0
0
3
(2)
0
4
(1)
(4)
5
(6)
(6)
(2)
0
0

¥

18
16

¥

—

¥

¥

0
—
0
(4)
0
(7)
(2)
(13)

Includes gains and losses reported within Net gain on trading, Gain (loss) 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.
Each derivative classification includes derivatives with multiple risk underlyings. For example, interest rate contracts include complex derivatives
referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default
swaps as well as derivatives referencing corporate and government debt securities.
Includes ¥4 billion and ¥2 billion of 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 for the three months ended June 30, 2020 and 2021, respectively.
52

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 innature and which do not have readily determinable fair values. For certain of these investments, Nomura uses NAV per share as the basis for valuation asa 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, 2021 and June 30,
2021. Investments are presented by major category relevant to the nature of Nomura’s business and risks.

Hedge funds
Venture capital funds
Private equity funds
Real estate funds
Total

Hedge funds
Venture capital funds
Private equity funds
Real estate funds
Total
(1)
(2)
(3)

Fair value

Unfundedcommitments(1)

¥

¥

—

¥

2
21
1
24

2
4
18
4
28

¥

Fair value

Unfundedcommitments(1)

¥

¥

—

¥

4
21
1
26

7
3
19
4
33

¥

Billions of yen
March 31, 2021
Redemption frequency(if currently eligible)(2)Redemption notice(3)Monthly———

Same day-30 days———

Billions of yen
June 30, 2021
Redemption frequency(if currently eligible)(2)Redemption notice(3)Monthly———

Same day-30 days———

The contractual amount of any unfunded commitments Nomura is required to make to the entities in which the investment is held.
The range in frequency with which Nomura can redeem investments.
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 pershare. 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. Some of these investments contain restrictions against transfers of the investments tothird 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. Some of these investments contain restrictions against transfers of the investments to third
parties.
53

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’sfair value are recognized through earnings. Election of the fair value option is generally irrevocable unless an event occurs that gives rise to a new basisof 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 thefair 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 andloan 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 andthe 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 inmeasurement 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 or Long-term borrowings. Nomura elects thefair 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 forcertain 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 straight bonds.

•

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 andthe 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 thetransferred financial assets, they remain on the consolidated balance sheets and continue to be carried at fair value, with changes in fairvalue 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.

In March 2021, Nomura also elected the fair value option for certain claims receivable arising from the U.S. prime brokerage losses. This election
was made as these receivables will be prospectively managed on a fair value basis. The receivables are reported within Loans and receivables in the
consolidated balance sheets and any subsequent changes in fair value recognized in earnings and reported within Net gain (loss) on trading 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 anddividends, Interest expense or Net gain on trading.
54

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 three months ended June 30, 2020 and 2021.
Billions of yen
Three months ended June 30
2020
2021
Gains / (Losses)(1)

Assets:Trading assets and private equity and debt investments(2)Trading assets
Private equity and debt investments
Loans and receivables
Collateralized agreements(3)Other assets(2)
Total

¥

¥

Liabilities:
Short-term borrowings(4)Payables and deposits
Collateralized financing(3)Long-term borrowings(4)(5)
Other liabilities(6)
Total
(1)
(2)
(3)
(4)
(5)
(6)

¥

¥

0
0
2
(1)
20
21
(46)
1
1
(154)
1
(197)

¥

¥

0
—
4
0
11
15

¥

¥

(12)
3
(2)
(55)
(4)
(70)

Includes gains and losses reported primarily within Net gain on trading and Revenue—Other in the consolidated statements of income.
Includes equity investments that would have been accounted for under the equity method had Nomura not chosen to elect the fair value option.
Includes reverse repurchase and repurchase agreements.
Includes structured notes and other financial liabilities.
Includes secured financing transactions arising from transfers of financial assets which did not meet the criteria for sales accounting.
Includes unfunded written loan commitments.

As of March 31, 2021 and June 30, 2021, Nomura held an economic interest of 39.27% and 39.43% 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.
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
DCF valuation 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 credit worthiness applied to certain financial liabilities forwhich the fair value option has been elected recognized in other comprehensive income during the period and cumulatively, and amounts reclassified toearnings from accumulated other comprehensive income on early settlement of such financial liabilities during the period ended June 30, 2020 and
2021.
Billions of yen
Period ended or as of June 30
2020
2021

Changes recognized as a credit (debit) to other comprehensive income
Credit (debit) Amounts reclassified to earnings
Cumulative credit (debit) balance recognized in accumulated other comprehensive income
55

1
(9)
81

6
0
(5)

As of March 31, 2021, the fair value of the aggregate unpaid principal balance (which is contractually principally protected) of Loans andreceivables for which the fair value option was elected was ¥219 billion less than the principal balance of such Loans and receivables. The significant
portion of the principal balance is derived from receivables for the claim of the losses on the related hedges from default by the U.S. client. The fairvalue of the aggregate unpaid principal balance (which is contractually principally protected) of Long-term borrowings for which the fair value option
was elected was ¥45 billion less than the principal balance of such Long-term borrowings. There were no Loans and receivables for which the fair value
option was elected that were 90 days or more past due.
As of June 30, 2021, the fair value of the aggregate unpaid principal balance (which is contractually principally protected) of Loans andreceivables for which the fair value option was elected was ¥269 billion less than the principal balance of such Loans and receivables. The fair value ofthe aggregate unpaid principal balance (which is contractually principally protected) of Long-term borrowings for which the fair value option waselected was ¥28 billion less than the principal balance of such Long-term borrowings. There were no Loans and receivables for which the fair value
option was elected that were 90 days or more past due.
Investment by Investment companies
Nomura carries all of investments by investment companies under ASC 946 “Financial Services—Investment Companies” at fair value, withchanges 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 bychanges in political or economic factors. Nomura has credit risk concentrations on bonds 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 andmunicipal securities, including Securities pledged as collateral, represented 15% of total assets as of March 31, 2021 and 18% as of June 30, 2021.
The following tables present geographic allocations of Nomura’s trading assets related to government, agency and municipal securities. See Note
3 “Derivative instruments and hedging activities” for further information regarding the concentration of credit risk for derivatives.

Government, agency and municipal securities

Government, agency and municipal securities
(1)

Japan

U.S.

¥1,715¥1,888

Japan

U.S.

¥2,288¥2,167

Billions of yen
March 31, 2021
EU & U.K.

Other

Total(1)

2,329

¥620

¥6,552

Billions of yen
June 30, 2021
EU & U.K.

Other

Total(1)¥577¥7,674

¥

¥

2,642

Other than above, there were ¥299 billion and ¥279 billion of government, agency and municipal securities reported within Other
assets—Non-trading debt securities in the consolidated balance sheets as of March 31, 2021 and June 30, 2021, respectively. These securities areprimarily 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 will approximate fair value since they are short-term in nature andcontain minimal credit risk. These financial instruments include financial assets reported within Cash and cash equivalents, Time deposits, Deposits withstock exchanges and other segregated cash, Receivables from customers, Receivables from other than customers, Securities purchased underagreements to resell and Securities borrowed and financial liabilities reported within Short-term borrowings, Payables to customers, Payables to otherthan 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 totheir 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.
56

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, 2021 and June 30, 2021.

Carrying
value

Billions of yen
March 31, 2021(1)Fair value by level
Fair
value
Level 1
Level 2
Level 3

Assets:Cash and cash equivalents
Time deposits
Deposits with stock exchanges and other segregated cash
Loans receivable(2)Securities purchased under agreements to resell
Securities borrowed
Total¥ 3,510
281
374
2,937
10,775
5,264¥23,141¥ 3,510
281
374
2,937
10,775
5,264¥23,141¥3,510—————¥3,510

¥

—
281
374
2,120
10,757
5,264¥18,796

¥ —
—
—
817
18
—
¥ 835

Liabilities:
Short-term borrowings
Deposits received at banks
Securities sold under agreements to repurchase
Securities loaned
Other secured borrowings
Long-term borrowings
Total¥ 1,368
1,342
13,360
1,381
393
7,975
¥25,819¥ 1,368
1,343
13,360
1,381
393
7,978
¥25,823

¥ —
—
—
—
—
5
¥
5

¥ 1,265
1,342
13,360
1,381
393
7,370
¥25,111

¥ 103
1
0
—
—
603
¥ 707

Carrying
value

Billions of yen
June 30, 2021(1)Fair value by level
Fair
value
Level 1
Level 2
Level 3

Assets:Cash and cash equivalents
Time deposits
Deposits with stock exchanges and other segregated cash
Loans receivable(2)Securities purchased under agreements to resell
Securities borrowed
Total¥ 3,231
346
319
2,808
11,382
4,666¥22,752¥ 3,231
346
319
2,808
11,382
4,665¥22,751¥3,231—————¥3,231

¥

—
346
319
1,985
11,366
4,665¥18,681

¥ —
—
—
823
16
—
¥ 839

Liabilities:
Short-term borrowings
Deposits received at banks
Securities sold under agreements to repurchase
Securities loaned
Other secured borrowings
Long-term borrowings
Total¥ 1,500
1,401
12,875
1,113
422
8,115
¥25,426¥ 1,500
1,401
12,875
1,113
422
8,128
¥25,439

¥ —
—
—
—
—
11
¥ 11

¥ 1,406
1,399
12,875
1,113
422
7,556
¥24,771

¥ 94
2
—
—
—
561
¥ 657

(1)
(2)

Includes financial instruments which are carried at fair value on a recurring basis.
Carrying values are shown after deducting relevant allowances for credit losses.
57

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 andliabilities 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, 2021, the equity method investment in Nomura Real Estate Holdings, Inc., one of Nomura’s affiliated companies, is measured atfair value on a nonrecurring basis. The investment that is reported within Investments in and advances to affiliated companies in the consolidatedbalance sheets was impaired by ¥47,661 million. The fair value used to measure the other than temporary impairment was the quoted market price as ofMarch 31, 2021 which would be classified in Level 1 of the fair value hierarchy.
As of June 30, 2021, there were no significant amount of assets and liabilities which were measured at fair value on a nonrecurring basis.
58

3. Derivative instruments and hedging activities:
Nomura uses a variety of derivative financial instruments, including futures, forwards, options and swaps, for both trading and non-trading
purposes.
Derivatives used for trading purposes
In the normal course of business, Nomura enters into transactions involving derivative financial instruments to meet client needs, for trading
purposes, and to reduce its own exposure to loss due to adverse fluctuations in interest rates, currency exchange rates and market prices of securities.
These financial instruments include contractual agreements such as commitments to swap interest payment streams, exchange currencies or purchase or
sell securities and other financial instruments on specific terms at specific future dates.
Nomura maintains active trading positions in a variety of derivative financial instruments. Most of Nomura’s trading activities are client oriented.
Nomura utilizes a variety of derivative financial instruments as a means of bridging clients’ specific financial needs and investors’ demands in the
securities markets. Nomura also actively trades securities and various derivatives to assist its clients in adjusting their risk profiles as markets change. In
performing these activities, Nomura carries an inventory of capital markets instruments and maintains its access to market liquidity by quoting bid andoffer prices to and trading with other market makers. These activities are essential to provide clients with securities and other capital market products atcompetitive prices.
Futures and forward contracts are commitments to either purchase or sell securities, foreign exchange contracts or other capital market instruments
at a specific future date for a specified price and may be settled in cash or through delivery. Foreign exchange contracts include spot and forward
contracts and involve the exchange of two currencies at a rate agreed by the contracting parties. Risks arise from the possible inability of counterparties
to meet the terms of their contracts and from movements in market prices. Futures contracts are executed through exchanges which clear and guarantee
performance of counterparties. Accordingly, credit risk associated with futures contracts is considered minimal. In contrast, forward contracts are
generally negotiated between two counterparties and, therefore, are subject to counterparty risks.
Options are contracts that grant the purchaser, for a premium payment, the right to either purchase or sell a financial instrument at a specified pricewithin a specified period of time or on a specified date from or to the writer of the option. The writer of options receives premiums and bears the risk ofunfavorable changes in the market price of the financial instruments underlying the options.
Swaps are contractual agreements in which two counterparties agree to exchange certain cash flows, at specified future dates, based on an agreed
contract. Certain agreements may result in combined interest rate and foreign exchange exposures. Entering into swap agreements may involve the riskof credit losses in the event of counterparty default.
To the extent these derivative financial instruments are economically hedging financial instruments or securities positions of Nomura, the overallrisk of loss may be fully or partly mitigated by the hedged position.
Nomura seeks to minimize its exposure to market risk arising from its use of these derivative financial instruments through various control
policies and procedures, including position limits, monitoring procedures and hedging strategies whereby Nomura enters into offsetting or otherpositions in a variety of financial instruments.
59Derivatives used for non-trading purposes
Nomura’s principal objectives in using derivatives for non-trading purposes are to manage interest rate risk, to modify interest rate risk profile ofcertain financial liabilities, to manage foreign exchange risk of certain foreign currency denominated debt securities, to manage net investment exposure
to fluctuations in foreign exchange rates arising from certain foreign operations and to mitigate equity price risk arising from certain stock-based
compensation awards given to employees. Credit risk associated with derivatives utilized for non-trading purposes is controlled and managed in thesame way as that associated with derivatives used for trading purposes.
Nomura designates certain derivative financial instruments as fair value hedges of interest rate risk arising from specific financial liabilities andforeign currency risk arising from specific foreign currency denominated debt securities. These derivatives are effective in reducing the risk associatedwith the exposure being hedged and are highly correlated with changes in the fair value and foreign currency rates of the underlying hedged items, bothat inception and throughout the life of the hedging relationship. Changes in fair value of the hedging derivatives are reported together with those of thehedged liabilities and assets through the consolidated statements of income within Interest expense and Revenue—Other, respectively.
Derivative financial instruments designated as hedges of the net investment in foreign operations relate to specific subsidiaries with non-Japanese
Yen functional currencies. When determining the effectiveness of net investment hedges, the effective portion of the change in fair value of the hedging
derivative is determined by changes in spot exchange rates. Changes in fair value of the hedging derivatives attributable to changes in the difference
between the forward rate and spot rate are excluded from the measurement of hedge effectiveness and are reported in the consolidated statements ofincome within Revenue—Other. All other movements in fair value of highly effective hedging derivatives are reported through NHI shareholders’ equity
within Accumulated other comprehensive income (loss).
Concentrations of credit risk for derivatives
The following tables present Nomura’s significant concentration of exposures to credit risk in OTC derivatives with financial institutions
including transactions cleared through central counterparties as of March 31, 2021 and June 30, 2021. The gross fair value of derivative assets represents
the maximum amount of loss due to credit risk that Nomura would incur if the counterparties of Nomura failed to perform in accordance with the termsof the instruments and any collateral or other security Nomura held in relation to those instruments proved to be of no value.

Financial institutions

Financial institutions
60

Gross fair value ofderivative assets

Billions of yen
March 31, 2021
Impact ofmaster netting
Impact ofagreements
collateralNet exposure tocredit risk

¥

¥

¥

13,474(11,473)¥ (1,500)

501

Gross fair value ofderivative assets

Billions of yen
June 30, 2021
Impact ofmaster netting
Impact ofagreements
collateralNet exposure tocredit risk

¥

¥

¥

11,966(10,220)¥ (1,438)

308

Derivative activities
The following tables quantify the volume of Nomura’s derivative activity as of March 31, 2021 and June 30, 2021 through a disclosure of notionalamounts, in comparison with the fair value of those derivatives. All amounts are disclosed on a gross basis, prior to counterparty netting of derivative
assets and liabilities and cash collateral netting against net derivatives.

Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Total

¥

¥
¥
¥

Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Total

40,3962,524,407
38,850351,662334
2,955,649
1,168
130
1,298
2,956,947

¥
¥
¥
¥

1,402
9,617
455
4,511
1
15,98615
520
16,006

¥

¥
¥
¥
¥

2,229
9,023
523
4,402
0
16,17714—
14
16,191

Total Notional(1)Billions of yen
June 30, 2021
Derivative assets
Derivative liabilities
Fair value
Fair value(1)

¥

¥

¥

Derivatives designated as hedging instruments:
Interest rate contracts
Foreign exchange contracts
Total
Total derivatives

(3)

¥

¥

Derivatives designated as hedging instruments:
Interest rate contracts
Foreign exchange contracts
Total
Total derivatives

(1)
(2)

Total Notional(1)Billions of yen
March 31, 2021
Derivative assets
Derivative liabilities
Fair value
Fair value(1)¥¥¥34,6202,809,808
39,241
368,415320
3,252,404
1,293
137
1,430
3,253,834

¥
¥
¥
¥

1,037
8,919
455
3,638
1
14,050
5
2
7
14,057

¥

¥
¥
¥
¥

1,558
8,328
506
3,578
1
13,9710—
013,971

Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.
Each derivative classification includes derivatives referencing multiple risk components. For example, certain interest rate contracts include
complex derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts
include credit default swaps as well as derivatives referencing corporate and government securities.
As of March 31, 2021 and June 30, 2021, the amounts reported include derivatives used for non-trading purposes which are not designated as fairvalue or net investment hedges. These amounts have not been separately presented since such amounts were not significant.

Changes in fair value are recognized either through earnings or other comprehensive income depending on the purpose for which the derivatives
are used.
61

Offsetting of derivatives
Counterparty credit risk associated with derivative financial instruments is controlled by Nomura through credit approvals, limits and monitoringprocedures. To reduce the risk of loss, Nomura requires collateral, principally cash collateral and government securities, for certain derivativetransactions. In certain cases, Nomura may agree for such collateral to be posted to a third-party custodian under a control agreement that enables
Nomura to take control of such collateral in the event of counterparty default. From an economic standpoint, Nomura evaluates default risk exposure netof related collateral. Furthermore, OTC derivative transactions are typically documented under industry standard master netting agreements which
mitigate Nomura’s credit exposure to counterparties. A master netting agreement is a single agreement with a counterparty that permits multiple
transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a
default of the counterparty (“close-out and offsetting rights”).
For certain OTC centrally-cleared and exchange-traded derivatives, the clearing or membership agreements entered into by Nomura provide
similar rights to Nomura in the event of default of the relevant central clearing party or exchange. Nomura generally seeks to obtain an external legal
opinion in order to ascertin the enforceability of such close-out and offsetting rights within these agreements.
For certain counterparties and /or in certain jurisdictions, Nomura may enter into derivative transactions which are not documented under a masternetting agreement. Even when derivatives are documented under such agreements, Nomura may not have obtained, or may not be able to obtainevidence to determine with sufficient certainty that close-out and offsetting rights within such agreements are legally enforceable. This may be the casewhere the relevant local laws explicitly prohibit the enforceability of such close-out and offsetting rights, or where the local laws are complex,
ambiguous or silent on the enforceability of such rights. This may include derivative transactions executed with certain foreign governments, agencies,
municipalities, central clearing counterparties, exchanges and pension funds.
Nomura considers the enforceability of a master netting agreement in determining how credit risk arising from transactions with a specificcounterparty is hedged, how counterparty credit exposures are calculated and applied to credit limits and the extent and nature of collateral requirementsfrom the counterparty.
Derivative assets and liabilities with the same counterparty and the related cash collateral receivables and payables documented under anenforceable master netting agreement are presented on a net basis on the consolidated balance sheets where the specific criteria defined by ASC 210-20“Balance Sheet—Offsetting” (“ASC210-20”) and ASC 815 are met.
The following table presents information about offsetting of derivatives and related collateral amounts on the consolidated balance sheets as ofMarch 31, 2021 and June 30, 2021 by type of derivative contract, and additional amounts permitted to be offset legally by Nomura under enforceable
master netting agreements, central clearing counterparties or exchange rules in the event of counterparty default but not offset on the consolidatedbalance sheets due to one or more of the criteria defined by ASC 210-20 and ASC 815 are not met. Derivative transactions which are not documented
under a master netting agreement or are documented under a master netting agreement for which Nomura does not have sufficient evidence ofenforceability of close-out and offsetting rights are not offset in the following table.
62Equity contracts
OTC settled bilaterally
Exchange-traded
Interest rate contracts
OTC settled bilaterally
OTC centrally-cleared
Exchange-traded
Credit contracts
OTC settled bilaterally
OTC centrally-cleared
Exchange-traded
Foreign exchange contracts
OTC settled bilaterally
Commodity contracts
OTC settled bilaterally
Exchange-traded
Total gross derivative balances(2)Less: Amounts offset in the consolidated balance sheets(3)Total net amounts reported on the face of the consolidated balance sheets(4)Less: Additional amounts not offset in the consolidated balance sheets(5)Financial instruments and non-cash collateral
Net amount
(1)
(2)

(3)

(4)

Billions of yen
March 31, 2021
Derivative
Derivative
assetsliabilities(1)Billions of yen
June 30, 2021
Derivative
Derivative
assetsliabilities(1)

¥

¥

904
498

¥

1,439
790

602
434

¥

951
607

8,456
1,147
29

7,871
1,146
20

7,917
979
28

7,309
997
22

169
282
4

251
269
3

173
280
3

242
263
2

4,516

4,402

3,640

3,578

0
0
0
0
1
0
1
0
¥ 16,006 ¥ 16,191 ¥ 14,057 ¥ 13,971(14,786)(14,697) (12,992)(12,658)¥ 1,220 ¥ 1,494 ¥ 1,065 ¥ 1,313

¥

(240)
980 ¥

(310)
1,184 ¥

(198)
867 ¥

(229)
1,084

Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.
Includes all gross derivative asset and liability balances irrespective of whether they are transacted under a master netting agreement or whether
Nomura has obtained sufficient evidence of enforceability of the master netting agreement. As of March 31, 2021, the gross balance of derivative
assets and derivative liabilities which are not documented under master netting agreements or are documented under master netting agreements forwhich Nomura has not yet obtained sufficient evidence of enforceability was ¥392 billion and ¥589 billion, respectively. As of June 30, 2021, thegross balance of such derivative assets and derivative liabilities was ¥378 billion and ¥525 billion, respectively.
Represents amounts offset through counterparty netting of derivative assets and liabilities as well as cash collateral netting against net derivatives
under master netting and similar agreements for which Nomura has obtained sufficient evidence of enforceability in accordance with ASC 815. Asof March 31, 2021, Nomura offset a total of ¥1,594 billion of cash collateral receivables against net derivative liabilities and ¥1,683 billion of cash
collateral payables against net derivative assets. As of June 30, 2021, Nomura offset a total of ¥1,252 billion of cash collateral receivables against
net derivative liabilities and ¥1,586 billion of cash collateral payables against net derivative assets.
Net derivative assets and net derivative liabilities are generally reported within Trading assets and private equity and debt investments—Trading
assets and Trading liabilities, respectively in the consolidated balance sheet. Bifurcated embedded derivatives are reported within Short-termborrowings or Long-term borrowings depending on the maturity of the underlying host contract.
63

(5)

Represents amounts which are not permitted to be offset on the consolidated balance sheets in accordance with ASC 210-20 and ASC 815 but
which provide Nomura with a legally enforceable right of offset in the event of counterparty default. Amounts relating to derivative and collateralagreements where Nomura has not yet obtained sufficient evidence of enforceability of such offsetting rights are excluded. As of March 31, 2021,
a total of ¥283 billion of cash collateral receivables and ¥572 billion of cash collateral payables, including amounts reported in the table, have notbeen offset against net derivatives. As of June 30, 2021, a total of ¥240 billion of cash collateral receivables and ¥438 billion of cash collateralpayables, including amounts reported in the table, have not been offset against net derivatives.
Derivatives used for trading purposes

Derivative financial instruments used for trading purposes, including bifurcated embedded derivatives, are carried at fair value with changes infair value recognized through the consolidated statements of income within Revenue—Net gain on trading.
The following table presents amounts included in the consolidated statements of income for the three months ended June 30, 2020 and 2021
related to derivatives used for trading and non-trading purposes by type of underlying derivative contract.
Billions of yen
Three months ended June 30
2020

Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts
Interest rate contracts
Credit contracts
Foreign exchange contracts
Commodity contracts
Total
(1)

(2)

¥

¥

2021

137
136
(7)
(59)
(5)
202

¥

¥

(68)
9
10
69
23
43

Each derivative classification includes derivatives referencing multiple risk components. For example, interest rates contracts include complex
derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit
default swaps as well as derivatives referencing corporate and government securities.
Includes net gains (losses) on derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. For thethree months ended June 30, 2020 and 2021, these amounts have not been separately presented as net gains (losses) for these non-trading
derivatives were not significant.
64

Fair value hedges
Nomura issues Japanese Yen and foreign currency denominated debt with both fixed and floating interest rates. Nomura generally enters into swap
agreements to convert fixed rate interest payments on its debt obligations to a floating rate and applies fair value hedge accounting to these instruments.
In conjunction with the abolition of LIBOR, Nomura terminated the hedging instruments that reference LIBOR and began new hedging transactions.
The cancelled hedging transactions are accounted for as termination of hedge accounting.
The following table presents the carrying value of the hedged items that are currently designated in a hedging relationship and the related
cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items as of March 31, 2021 and June 30, 2021.

Line items in the statement of financial
position in which the hedged item is included:

Billions of yen
Cumulative gains/(losses) of fair value hedging
adjustment included in the carrying amount of thehedged liabilities
Carrying amount of the hedged liabilities
March 31, 2021
June 30, 2021
March 31, 2021
June 30, 2021

Long-term borrowings
Total

¥
¥

1,164
1,164

¥
¥

1,296
1,296

¥
¥

2
2

¥
¥

(4)
(4)

Hedging derivatives designated as fair value hedges are carried at fair value attributable to the hedged risk, which is recognized in the
consolidated statements of income within Interest expense and Revenue-Other, respectively together with the change in fair value of the hedged items.
The cumulative amount of fair value hedging adjustments remaining for the liabilities which hedge accounting has been discontinued is¥87 million as of March 31, 2021 and ¥834 million as of June 30, 2021.
The following table presents amounts included in the consolidated statements of income for the three months ended June 30, 2020 and 2021
related to derivatives designated as fair value hedges by type of underlying derivative contract and the nature of the hedged item.
Billions of yen
Three months ended June 30
2020

2021

Derivatives designated as hedging instruments:
Interest rate contracts
Total

¥
¥

(2)
(2)

¥
¥

(8)
(8)

Hedged items:
Long-term borrowings
Total

¥
¥

2
2

¥
¥

8
8

Net investment hedges
Nomura designates certain foreign currency derivative contracts, as hedges of net investments in certain foreign operations with significant
foreign exchange risks and applies hedge accounting to these instruments. Accordingly, foreign exchange gains (losses) arising from the derivative
contracts and non-derivative financial products designated as hedges, except for the portion excluded from effectiveness assessment, are recognizedthrough the consolidated statements of comprehensive income within Other comprehensive income (loss)—Change in cumulative translation
adjustments, net of tax. This is offset by the foreign exchange adjustments arising from consolidation of the relevant foreign subsidiaries.
65

The following table presents gains (losses) from derivatives designated as net investment hedges included in the consolidated statements ofcomprehensive income for the three months ended June 30, 2020 and 2021.
Billions of yen
Three months ended June 30
2020

Hedging instruments:
Foreign exchange contracts
Total

¥
¥

2021

(2)
(2)

¥
¥

(2)
(2)

The portion of gains (losses) representing the amount excluded from the assessment of hedge effectiveness are recognized within
Revenue—Other in the consolidated statements of income. The amount of gains (losses) was not significant during the three months ended
June 30, 2020 and 2021.
Derivatives containing credit risk related contingent features
Nomura enters into certain OTC derivatives and other agreements containing credit-risk-related contingent features. These features would require
Nomura to post additional collateral or settle the instrument upon occurrence of a credit event, the most common of which would be a downgrade in the
Company’s long-term credit rating.
The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a liability position as of March 31,
2021 was ¥727 billion with related collateral pledged of ¥583 billion. In the event of a one-notch downgrade to Nomura’s long-term credit rating in
effect as of March 31, 2021 the aggregate fair value of assets that would have been required to be posted as additional collateral or that would have been
needed to settle the instruments immediately was ¥2 billion.
The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a liability position as of June 30, 2021
was ¥502 billion with related collateral pledged of ¥340 billion. In the event of a one-notch downgrade to Nomura’s long-term credit rating in effect asof June 30, 2021 the aggregate fair value of assets that would have been required to be posted as additional collateral or that would have been needed tosettle the instruments immediately was ¥2 billion.
Credit derivatives
Credit derivatives are derivative instruments in which one or more of their underlyings are related to the credit risk of a specified entity (or groupof entities) or an index based on the credit risk of a group of entities that expose the seller of credit protection to potential loss from credit events
specified in the contract.
Written credit derivatives are instruments or embedded features where Nomura assumes third party credit risk, either as guarantor in a guaranteetype contract, or as the party that provides credit protection in an option-type contract, credit default swap, or any other credit derivative contract.
Nomura enters into credit derivatives as part of its normal trading activities as both purchaser and/ or seller of protection for credit risk mitigation,
proprietary trading positions and for client transactions.
The most common type of credit derivatives used by Nomura are single-name credit default swaps where settlement of the derivative is based on
the credit risk of a single third party. Nomura also writes credit derivatives linked to the performance of credit default indices and issues other credit risk
related portfolio products.
Nomura would have to perform under a credit derivative contract if a credit event as defined in the respective contract occurs. Typical credit
events include bankruptcy, failure to pay and restructuring of obligations of the reference asset.
Credit derivative contracts written by Nomura are either cash or physically settled. In cash-settled instruments, once payment is made upon an
event of a default, the contract usually terminates with no further payments due. Nomura generally has no right to assume the reference assets of thecounterparty in exchange for payment, nor does Nomura usually have any direct recourse to the actual issuers of the reference assets to recover theamount paid. In physically settled contracts, upon a default event, Nomura takes delivery of the reference asset in return for payment of the full notionalamount of the contract.
66

Nomura actively monitors and manages its credit derivative exposures. Where protection is sold, risks may be mitigated by purchasing credit
protection from other third parties either on identical underlying reference assets or on underlying reference assets with the same issuer which would be
expected to behave in a correlated fashion. The most common form of recourse provision to enable Nomura to recover from third parties any amounts
paid under a written credit derivative is therefore not through the derivative itself but rather through the purchase of separate credit derivative protection
with identical or correlated underlyings.
Extent of these purchased credit protection contracts is quantified in the following tables under the column titled “Purchased Credit Protection.”
These amounts represent purchased credit protection with identical underlyings to the written credit derivative contracts which act as a hedge against
Nomura’s exposures. To the extent Nomura is required to pay out under the written credit derivative, a similar amount would generally become due to
Nomura under the purchased credit protection.
Credit derivatives have a stated notional amount which represents the maximum payment Nomura may be required to make under the written
credit derivative contract. However, this is generally not a true representation of the amount Nomura will actually pay under these contracts as there areother factors that affect the likelihood and amount of any payment obligations under the contracts, including:
Probability of default: Nomura values credit derivatives taking into account of the probability that the underlying reference asset will default andthat Nomura will be required to make payments under the contract. Based on historical experience and Nomura’s assessment of the market, Nomura
believes that the probability that all reference assets on which Nomura provides protection will default in a single period is remote. The notionalamounts are therefore, significantly higher than Nomura’s actual exposures to these contracts as a whole.
Recovery value on the underlying asset: In the case of the occurrence of an event of default, Nomura’s liability on a written credit derivative
contract is limited to the difference between the notional amount and the recovery value of the underlying reference asset under default. While therecovery value on a defaulted asset may be minimal in certain cases, this does reduce amounts paid on these contracts.
Nomura holds assets as collateral in relation to written credit derivatives. However, these amounts do not enable Nomura to recover any amounts
paid under the credit derivative but rather mitigate the risk of economic loss arising from a counterparty defaulting against amounts due to Nomura
under the contract. Collateral requirements are determined on a counterparty level rather than individual contract, and also generally cover all types ofderivative contracts rather than just credit derivatives.
The following tables present information about Nomura’s written credit derivatives and purchased credit protection with identical underlyings asof March 31, 2021 and June 30, 2021.

Carrying value(Asset) / Liability(1)Single-name credit default swaps
Credit default indices
Other credit risk related portfolio products
Credit-risk related options and swaptions
Total

¥

(80)
(246)
10
0
(316)

¥

Carrying value(Asset) / Liability(1)Single-name credit default swaps
Credit default indices
Other credit risk related portfolio products
Credit-risk related options and swaptions
Total
(1)

¥

(89)
(249)
5
0
(333)

¥

Total

¥ 7,035
10,235396
39¥17,705

Total¥ 6,519
10,443518
23¥17,503

Billions of yen
March 31, 2021
Maximum potential payout/NotionalYears to maturity
Less than
1 to 33 to 5More than
1 yearyears
years
5 years

Notional
Purchased
creditprotection¥ 1,318
1,271
73—¥ 2,662

778
910
12
—
¥ 1,700¥ 5,452
7,737
280
33
¥ 13,502

Billions of yen
June 30, 2021
Maximum potential payout/NotionalYears to maturity
Less than
1 to 33 to 5More than
1 yearyears
years
5 years

Notional
Purchased
creditprotection¥ 1,1021,579
64—¥ 2,745¥ 4,963
7,884
406
23
¥ 13,276¥2,2974,065
180—¥6,542¥2,5974,760
187—¥7,544¥2,642
3,989
131
39¥6,801¥2,1433,460
256
23¥5,882

¥

¥

677
644
11
—
¥ 1,332

Carrying value amounts are shown on a gross basis prior to cash collateral or counterparty netting. Asset balances represent positive fair value
amounts caused by tightening of credit spreads of underlyings since inception of the credit derivative contracts.
67

The following tables present information about Nomura’s written credit derivatives by external credit rating of the underlying asset. Ratings are
based on S&P Global Ratings (“S&P”), or if not rated by S&P, based on Moody’s Investors Service. If ratings from either of these agencies are notavailable, the ratings are based on Fitch Ratings Ltd. or Japan Credit Rating Agency, Ltd. For credit default indices, the rating is determined by taking
the weighted average of the external credit ratings given for each of the underlying reference entities comprising the portfolio or index.

AAA

Single-name credit default swaps
Credit default indices
Other credit risk related portfolio products
Credit-risk related options and swaptions
Total

Total

¥198 ¥1,218 ¥1,887 ¥2,098 ¥ 753 ¥ 881 ¥ 7,035
114
128 1,880 6,294 1,415
404 10,235
—
—
4
237
58
97
396
—
—
—
32
7
—
39
¥312 ¥1,346 ¥3,771 ¥8,661 ¥2,233 ¥1,382 ¥17,705

AAA

Single-name credit default swaps
Credit default indices
Other credit risk related portfolio products
Credit-risk related options and swaptions
Total
(1)

AA

Billions of yen
March 31, 2021
Maximum potential payout/Notional
A
BBB
BB
Other(1)AA

Billions of yen
June 30, 2021
Maximum potential payout/Notional
A
BBB
BB
Other(1)

Total¥ 99 ¥1,154 ¥1,797 ¥2,001 ¥ 699 ¥ 769 ¥ 6,519
46
186 2,722 5,663 1,409
417 10,443
—
—
4
359
58
97
518
—
—
—
13
10
—
23
¥145 ¥1,340 ¥4,523 ¥8,036 ¥2,176 ¥1,283 ¥17,503“Other” includes credit derivatives where the credit rating of the underlying reference asset is below investment grade or where a rating isunavailable.

Derivatives entered into in contemplation of sales of financial assets
Nomura enters into transactions which involve both the transfer of financial assets to a counterparty and contemporaneously enters into a separate
agreement with the same counterparty through which Nomura retains substantially all of the exposure to the economic return on the transferred financial
assets throughout the term of the transaction. These transactions primarily include sales of securities with bilateral OTC total return swaps or otherderivative agreements which are in-substance total return swaps.
These transactions are accounted for as sales of the securities with the derivative accounted for separately if the criteria for derecognition of the
securities under ASC 860 are met. Where the derecognition criteria are not met, the transfer and separate derivative are accounted for as a single
collateralized financing transaction which is reported within Long-term borrowings in the consolidated balance sheets.
For the year ended March 31, 2021, certain transactions which involve sales of securities and total return swaps were accounted for as sales. As ofthe date of transfer, the carrying amount of the securities and the amount of gross cash proceeds from the sales were ¥69,405 million and¥69,535 million, respectively. As of March 31, 2021, the fair value of the securities derecognized by Nomura and the gross liability balances of the total
return swaps arising from the transactions were ¥67,773 million and ¥1,539 million respectively.
For the three months ended June 30, 2021, certain transactions which involve sales of securities and total return swaps were accounted for as sales.
As of the date of transfer, the carrying amount of the securities and the amount of gross cash proceeds from the sales were ¥69,734 million and¥69,865 million, respectively. As of June 30, 2021, the fair value of the securities derecognized by Nomura and the gross liability balances of the total
return swaps arising from the transactions were ¥68,113 million and ¥1,597 million, respectively.
68

4. Revenue from services provided to customers
Revenues by types of service
The following table presents revenue earned by Nomura from providing services to customers by relevant line item in Nomura’s consolidated
statement of income for the three months ended June 30, 2020 and 2021.
Millions of yen
Three months ended June 30
2020
2021

Commissions
Fees from investment banking
Asset management and portfolio service fees
Other revenue
Total

¥

85,512
10,82853,656
11,805¥ 161,801¥

82,88635,70364,0448,363¥ 190,996

Commissions represent revenue principally from trade execution, clearing services and distribution of fund units provided by both the Retail andWholesale Divisions approximately equally across the divisions. The following table shows the breakdown of Commissions for the three months ended
June 30, 2020 and 2021.
Millions of yen
Three months ended June 30
2020
2021

Stock Brokerage Commissions
Commissions for distributing of investment trusts
Other
Total

¥

¥

62,94914,077
8,486
85,512¥¥

58,233
14,407
10,24682,886

Fees from investment banking represent revenues from financial advisory, underwriting and distribution primarily from Wholesale followed by
Retail. The following table shows the breakdown of Fees from investment banking for the three months ended June 30, 2020 and 2021.
Millions of yen
Three months ended June 30
2020
2021

Equity underwriting and distribution
Bond underwriting and distribution
Financial advisory fees
Other
Total

¥

¥

1,550
3,330
4,711
1,237
10,828

¥

¥

9,955
7,322
13,115
5,311
35,703

Asset management and portfolio service fees represent revenues from asset management services primarily from the Investment Management
Division followed by Retail.
The following table shows the breakdown of Asset management and portfolio service fees for the three months ended June 30, 2020 and 2021.
Millions of yen
Three months ended June 30
2020
2021

Asset management fees
Administration fees
Custodial fees
Total

¥

¥
69

35,238
14,524
3,894
53,656¥¥

40,585
18,9054,554
64,044

The following table presents summary information regarding the key methodologies, assumptions and judgments used in recognizing revenue foreach of the primary types of service provided to customers, including the nature of underlying performance obligations within each type of service andwhether those performance obligations are satisfied at a point in time or over a period of time. For performance obligations recognized over time,
information is also provided to explain the nature of the input or output method used to recognize revenue over time.
Type of service provided tocustomers

Trade execution, clearing
services and distribution of fundunits

Financial advisory services

Underwriting and syndication
services

Key revenue recognition policies, assumptions andjudgments

Overview of key services provided•

Buying and selling of securities onbehalf of customers•

Trade execution and clearing commissions recognized at a point in
time, namely trade date.

•

Distribution of fund units••

Clearing of securities and derivatives
on behalf of customers

Distribution fees are recognized at a point in time when the fundunits have been sold to third party investors.

•

Commissions recognized net of soft dollar credits provided tocustomers where Nomura is acting as agent in providing investment
research and similar services to the customer.

•

Fees contingent on the success of an underlying transaction arevariable consideration recognized when the underlying transaction
has been completed since only at such point is it probable that asignificant reversal of revenue will not occur.

•

Retainer and milestone fees are recognized either over the period towhich they relate or are deferred until consummation of theunderlying transaction depending on whether the underlying
performance obligation is satisfied at a point in time or over time.

•

Judgment is required to make this determination with factors
influencing this determination including, but not limited to, whether
the fee is in connection with an engagement designed to achieve a
specific transaction or outcome for the customer (such as thepurchase or sale of a business), the nature and extent of benefit to beprovided to the customer prior to, and in addition to such specifictransaction or outcome and the fee structure for the engagement.

•

Retainer and milestone fees recognized over time are normallyrecognized on a straight-line basis over the term of the contract
based on time elapsed.

•

Underwriting and syndication revenues recognized at a point in time
when the underlying transaction is complete.

•Commitment fees where drawn down of the facility is deemed
remote recognized on a straight-line basis over the life of the
facility based on time elapsed.

•

Underwriting and syndication costs recognized either as a reductionof revenue or on a gross basis depending on whether Nomura isacting as principal or agent for such amounts.

•

Provision of financial advice tocustomers in connection with a
specific forecasted transaction ortransactions such as mergers andacquisitions•

Provision of financial advice not in
connection with a specific forecasted
transaction or transactions such as
general corporate intelligence andsimilar research•

Issuance of fairness opinions•

Structuring complex financial
instruments for customers•

Underwriting of debt, equity andother financial instruments on behalfof customers•

Distributing securities on behalf ofissuers•

Arranging loan financing forcustomers•

Syndicating loan financing on behalfof customer
70

Type of service provided tocustomers

Asset management services

Key revenue recognition policies, assumptions andsignificant judgments

Overview of key services provided•

Management of funds, investment
trusts and other investment vehicles•

Provision of investment advisory
services••Management fees earned by Nomura in connection with managing afund, investment trust or other vehicle generally recognized on astraight-line basis based on time elapsed.

•

Performance-based fees are variable consideration recognized when
the performance metric has been determined since only at such
point is it probable that a significant reversal of revenue will notoccur.

•

Custodial and administrative fees recognized on a straightline basis
over time based on time elapsed.

Providing custodial andadministrative services to customers

Where revenue is recognized at a point on time, payments of fees are typically received at the same time as when the performance obligation issatisfied, or within several days or months after satisfying a performance obligation. In relation to revenue recognized over time, payments of fees are
typically received every month, three months or six months.
The underlying contracts entered into by Nomura in order to provide the services described above typically do not have significant financing
components within the contracts either provided to or from Nomura. If such components did exist in a contract, Nomura has made an accounting policy
permitted by ASC 606 “Revenue from Contracts with Customers” (“ASC 606”) not to adjust for the effects of a significant financing component where
the financing is effectively for a period of one year or less. Such contracts also typically do not contain rights of return or similar features for thecustomer.
71

Customer contract balances
When Nomura or the customer performs in accordance with the terms of a customer contract, a contract asset, customer contract receivable orcontract liability is recognized in Nomura’s consolidated balance sheet.
A contract asset represents accrued revenue recognized by Nomura for completing or partially completing a performance obligation, namely aright of Nomura to receive consideration for providing the service to the customer, which is conditioned on something other than the passage of time. A
customer contract receivable is an unconditional right of Nomura to receive consideration in exchange for providing the service. Both contract assets
and customer contract receivables are reported in Receivables from Customers within Nomura’s consolidated balance sheet. A contract liability is any
liability recognized in connection with a customer contract, including obligations to provide refunds and obligations to provide a service in the future forwhich consideration has already been received or is due to be received. Contract liabilities are reported in Payables to Customers within Nomura’s
consolidated balance sheet.
The following table presents the balances of customer contract receivables, contract assets and contract liabilities in scope of ASC 606. The
amount of contract assets as of March 31, 2021 and June 30, 2021 was immaterial.
Millions of yen
March 31, 2021
June 30, 2021

Customer contract receivables
Contract liabilities(1)(1)¥

85,205
3,497¥

85,023
3,849

Contract liabilities primarily rise from investment advisory services and recognized in connection with the term of the contract based on time
elapsed.

The balance of contract liabilities as of March 31, 2020 were recognized as revenue for the three months ended June 30, 2020 and the balance ofcontract liabilities as of March 31, 2021 were recognized as revenue for the three months ended June 30, 2021. Nomura recognized ¥80 million and¥4,113 million of revenue from performance obligations satisfied in previous periods for the three months ended June 30, 2020 and 2021, respectively.
Transaction price allocated to the remaining performance obligations
Nomura retaines significant transactions for which individual estimated contract period exceeds one year. Transaction price allocated to theremaining performance obligations is ¥1,187 million as of March 31, 2021 and ¥1,144 million as of June 30, 2021.
As permitted by ASC 606, Nomura has chosen not to disclose information about remaining performance obligations that have original expected
durations of one year or less as of March 31, 2021 and June 30, 2021. These amounts are not included in the above. In addition, considerations arisingfrom contracts with customers do not comprise any significant amount that is not included in transaction price.
Customer contract costs
As permitted by ASC 340 “Other Assets and Deferred Costs”, Nomura has elected to expense all costs to obtain customer contracts where suchamounts would be otherwise expensed within one year or less. As a result, the amount of deferred costs to obtain or fulfill customer contracts as ofMarch 31, 2021 and June 30, 2021 were not significant.
72

5. Collateralized transactions:
Nomura enters into collateralized transactions, including reverse repurchase agreements, repurchase agreements, securities borrowing
transactions, securities lending transactions, other secured borrowings and similar transactions mainly to meet clients’ needs, finance trading inventory
positions and obtain securities for settlements.
Reverse repurchase agreements, repurchase agreements, securities borrowing transactions and securities lending transactions are typically
documented under industry standard master netting agreements which reduce Nomura’s credit exposure to counterparties as they permit the close-out
and offset of transactions and collateral amounts in the event of default of the counterparty. For certain centrally-cleared reverse repurchase andrepurchase agreements, the clearing or membership agreements entered into by Nomura provide similar rights to Nomura in the event of default of therelevant central clearing counterparty. In order to support the enforceability of the close-out and offsetting rights within these agreements, Nomura
generally seeks to obtain an external legal opinion.
For certain types of counterparty and in certain jurisdictions, Nomura may enter into reverse repurchase agreements, repurchase agreements,
securities borrowing and securities lending transactions which are not documented under a master netting agreement. Similarly, even when thesetransactions are documented under such agreements, Nomura may not have yet sought evidence, or may not be able to obtain evidence to determinewith sufficient certainty that the close-out and offsetting rights are legally enforceable. This may be the case where relevant local laws specificallyprohibit such close-out and offsetting rights, or where local laws are complex, ambiguous or silent on the enforceability of such rights. This may include
reverse repurchase agreements, repurchase agreements, securities borrowing and securities lending transactions executed with certain foreign
governments, agencies, municipalities, central clearing counterparties, agent banks and pension funds.
Nomura considers the enforceability of a master netting agreement in determining how credit risk arising from transactions with a specificcounterparty is hedged, how counterparty credit exposures are calculated and applied to credit limits and the extent and nature of collateral requirementsfrom the counterparty.
In all of these transactions, Nomura either receives or provides collateral, including Japanese and non-Japanese government, agency, mortgagebacked, bank and corporate debt securities and equities. In most cases, Nomura is permitted to use the securities received to enter into repurchaseagreements, enter into securities lending transactions or to cover short positions with counterparties. In repurchase and reverse repurchase agreements,
the value of collateral typically exceeds the amount of cash transferred. Collateral is generally in the form of securities. Securities borrowing
transactions generally require Nomura to provide the counterparty with collateral in the form of cash or other securities. For securities lendingtransactions, Nomura generally receives collateral in the form of cash or other securities. Nomura monitors the market value of the securities either
received from or provided to the counterparty. Additional cash or securities are exchanged as necessary, to ensure that such transactions are adequately
collateralized throughout the life of the transactions.
Offsetting of certain collateralized transactions
Reverse repurchase agreements and repurchase agreements, securities borrowing and lending transactions with the same counterparty documented
under a master netting agreement are offset in the consolidated balance sheets where the specific criteria defined by ASC 210-20 are met. These criteria
include requirements around the maturity of the transactions, the underlying systems on which the collateral is settled, associated banking arrangements
and the legal enforceability of close-out and offsetting rights under the master netting agreement.
The following tables present information about offsetting of these transactions in the consolidated balance sheets as of March 31, 2021 andJune 30, 2021, together with the extent to which master netting agreements entered into with counterparties and central clearing parties permit additional
offsetting in the event of counterparty default. Transactions which are not documented under a master netting agreement or are documented under amaster netting agreement for which Nomura does not have sufficient evidence of enforceability are not offset in the following tables.
73

Billions of yen
March 31, 2021
AssetsTotal gross balance(1)Less: Amounts offset in the consolidated balance sheets(2)Total net amounts of reported on the face of the consolidated balance sheets(3)Less: Additional amounts not offset in the consolidated balance sheets(4)Financial instruments and non-cash collateral
Cash collateral
Net amount

Reverserepurchaseagreements

Securities
borrowingtransactions¥ 31,568(20,793)¥ 10,775¥(9,390)(1)¥ 1,384

Liabilities
Securities
Repurchaselendingagreements
transactions

¥

5,241
—
5,241

¥ 34,154(20,794)¥ 13,360¥(3,211)—
2,030(9,448)(1)¥ 3,911

¥
¥

1,781
—
1,781

¥

(1,488)—
293

Billions of yen
June 30, 2021
AssetsTotal gross balance(1)Less: Amounts offset in the consolidated balance sheets(2)Total net amounts of reported on the face of the consolidated balance sheets(3)Less: Additional amounts not offset in the consolidated balance sheets(4)Financial instruments and non-cash collateral
Cash collateral
Net amount
(1)

(2)

(3)

(4)

Reverserepurchaseagreements

Securities
borrowingtransactions¥ 31,305(19,923)¥ 11,382¥(9,649)(3)¥ 1,730

Liabilities
Securities
Repurchaselendingagreements
transactions

¥

4,661
—
4,661

¥ 32,799(19,924)¥ 12,875¥(3,004)—
1,657(9,093)(16)¥ 3,766

¥
¥

1,385
—
1,385

¥

(1,210)—175

Includes all recognized balances irrespective of whether they are transacted under a master netting agreement or whether Nomura has obtained
sufficient evidence of enforceability of the master netting agreement. Amounts include transactions carried at fair value through election of the fairvalue option. As of March 31, 2021, the gross balance of reverse repurchase agreements and repurchase agreements which were not transacted
under master netting agreements or are documented under master netting agreements for which Nomura has not yet obtained sufficient evidence
of enforceability was ¥480 billion and ¥2,653 billion, respectively. As of March 31, 2021, the gross balance of securities borrowing transactions
and securities lending transactions which were not transacted under master netting agreements or are documented under master netting agreements
for which Nomura has not yet obtained sufficient evidence of enforceability was ¥1,947 billion and ¥213 billion, respectively. As of June 30,
2021, the gross balance of reverse repurchase agreements and repurchase agreements which were not transacted under master netting agreements
or are documented under master netting agreements for which Nomura has not yet obtained sufficient evidence of enforceability was ¥494 billionand ¥2,208 billion, respectively. As of June 30, 2021, the gross balance of securities borrowing transactions and securities lending transactions
which were not transacted under master netting agreements or are documented under master netting agreements for which Nomura has not yet
obtained sufficient evidence of enforceability was ¥1,563 billion and ¥176 billion, respectively.
Represents amounts offset through counterparty netting under master netting and similar agreements for which Nomura has obtained sufficientevidence of enforceability in accordance with ASC 210-20. Amounts offset include transactions carried at fair value through election of the fairvalue option.
Reverse repurchase agreements and securities borrowing transactions are reported within Collateralized agreements—Securities purchased underagreements to resell and Collateralized agreements—Securities borrowed in the consolidated balance sheets, respectively. Repurchase agreements
and securities lending transactions are reported within Collateralized financing—Securities sold under agreements to repurchase andCollateralized financing—Securities loaned in the consolidated balance sheets, respectively. Amounts reported under securities lendingtransactions also include transactions where Nomura lends securities and receives securities that can be sold or pledged as collateral. Nomura
recognizes the securities received at fair value and a liability for the same amount, representing the obligation to return those securities. The
liability is reported within Other liabilities in the consolidated balance sheets.
Represents amounts which are not permitted to be offset on the face of the balance sheet in accordance with ASC 210-20 but which provide
Nomura with the right of offset in the event of counterparty default. Amounts relating to agreements where Nomura has not yet obtained sufficientevidence of enforceability of such offsetting rights are excluded.
74

Maturity analysis of repurchase agreements and securities lending transactions
The following table presents an analysis of the total carrying value of liabilities recognized in the consolidated balance sheets for repurchaseagreements and securities lending transactions by remaining contractual maturity of the agreement as of March 31, 2021 and June 30, 2021. Amounts
reported are shown prior to counterparty netting in accordance with ASC 210-20.

Overnight
and open(1)Repurchase agreements
Securities lending transactions
Total gross recognized liabilities(2)¥¥13,837872
14,709Overnight
and open(1)Repurchase agreements
Securities lending transactions
Total gross recognized liabilities(2)
(1)
(2)

¥
¥

Up to
30 days¥¥

16,452351
16,803¥¥¥ 1,991291¥ 2,282

¥
¥

1,590
266
1,856

Billions of yen
June 30, 2021
30 –90
90 days –days
1 yearUp to
30 days

13,456742
14,198Billions of yen
March 31, 2021
30 – 90
90 days –days
1 year

16,641
218
16,859¥ 1,303128¥ 1,431¥¥

Greaterthan 1 year

¥
¥

284
1
285

Greaterthan 1 year

1,021
297
1,318

¥
¥

Total

¥ 34,154
1,781¥ 35,935

Total

378
—
378

¥ 32,799
1,385¥ 34,184

Open transactions do not have an explicit contractual maturity date and are terminable on demand by Nomura or the counterparty.
Repurchase agreements and securities lending transactions are reported within Collateralized financing—Securities sold under agreements torepurchase and Collateralized financing—Securities loaned in the consolidated balance sheets, respectively. Amounts reported for securities
lending transactions also include transactions where Nomura lends securities and receives securities that can be sold or pledged as collateral.
Nomura recognizes the securities received at fair value and a liability for the same amount, representing the obligation to return those securities.
The liability is reported within Other liabilities in the consolidated balance sheets. The total gross recognized liabilities reported for repurchaseagreements and securities lending transactions are consistent with the total gross balances reported in the offsetting disclosures above.
75

Securities transferred in repurchase agreements and securities lending transactions
The following table presents an analysis of the total carrying value of liabilities recognized in the consolidated balance sheets for repurchaseagreements and securities lending transactions by class of securities transferred by Nomura to counterparties as of March 31, 2021 and June 30, 2021.
Amounts reported are shown prior to counterparty netting in accordance with ASC 210-20.

Repurchaseagreements

Equities and convertible securities
Japanese government, agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities
Commercial mortgage-backed securities (“CMBS”)
Residential mortgage-backed securities (“RMBS”)(1)Collateralized debt obligations (“CDOs”) and other
Investment trust funds and otherTotal gross recognized liabilities(2)¥¥Repurchaseagreements

Equities and convertible securities
Japanese government, agency and municipal securities
Foreign government, agency and municipal securities
Bank and corporate debt securities
Commercial mortgage-backed securities (“CMBS”)
Residential mortgage-backed securities (“RMBS”)(1)Collateralized debt obligations (“CDOs”) and other
Investment trust funds and otherTotal gross recognized liabilities(2)
(1)
(2)

¥

¥

Billions of yen
March 31, 2021
Securities
lendingtransactions

724
1,168
27,531
1,926
6
2,532
223
44
34,154

¥

¥

1,600
0
8
117
—
—
—
56
1,781

Billions of yen
June 30, 2021
Securities
lendingtransactions

294
1,251
27,364
1,789
6
1,898
179
18
32,799

¥

¥

1,246
11
13
88
—
—
—
27
1,385

Total

¥

2,324
1,168
27,539
2,043
6
2,532
223
100
¥ 35,935

Total

¥

1,540
1,262
27,377
1,877
6
1,898
179
45
¥ 34,184

Includes ¥2,170 billion as of March 31, 2021 and ¥ 1,557 billion as of June 30, 2021 of U.S. government sponsored agency mortgage passthrough securities and collateralized mortgage obligations
Repurchase agreements and securities lending transactions are reported within Collateralized financing—Securities sold under agreements torepurchase and Collateralized financing—Securities loaned in the consolidated balance sheets, respectively. Amounts reported for securities
lending transactions also include transactions where Nomura lends securities and receives securities that can be sold or pledged as collateral.
Nomura recognizes the securities received at fair value and a liability for the same amount, representing the obligation to return those securities.
The liability is reported within Other liabilities in the consolidated balance sheets. The total gross recognized liabilities reported for repurchaseagreements and securities lending transactions are consistent with the total gross balances reported in the offsetting disclosures above.
76

Collateral received by Nomura
The following table presents the fair value of securities received as collateral, securities borrowed with collateral and securities borrowed without
collateral, which Nomura is permitted to sell or repledge, and the portion that has been sold or repledged as of March 31, 2021 and June 30, 2021.
Billions of yen
March 31, 2021
June 30, 2021

The fair value of securities received as collateral, securities borrowed as collateral and securities borrowed
without collateral where Nomura is permitted by contract or custom to sell or repledge the securities
The portion of the above that has been sold (reported within Trading liabilities in the consolidated balance
sheets) or repledged¥

50,466¥49,19938,342

37,101

Collateral pledged by Nomura
Nomura pledges firm-owned securities to collateralize repurchase transactions, other secured financings and derivative transactions. Pledged
securities that can be sold or repledged by the transferee, including Gensaki Repo transactions, are reported in parentheses as Securities pledged ascollateral within Trading assets in the consolidated balance sheets.
The following table presents the carrying amounts of financial assets recognized in the consolidated balance sheets which have been pledged ascollateral, primarily to stock exchanges and clearing organizations, without allowing the secured party the right to sell or repledge them by type of asset
as of March 31, 2021 and June 30, 2021.
March 31, 2021

Trading assets:
Equities and convertible securities
Government and government agency securities
Bank and corporate debt securities
Residential mortgage-backed securities (“RMBS”)
Collateralized debt obligations (“CDOs”) and other(1)Investment trust funds and other¥

Non-trading debt securities
Investments in and advances to affiliated companies(1)

Millions of yen
June 30, 2021¥

239,393
1,064,164
32,262
1,790,395
32,08143,8053,202,100¥¥

253,165
1,162,108
35,866
1,073,188
16,217
16,1022,556,646¥¥

115,659
4,136¥¥

110,204
4,149

Includes CLOs and ABS such as those secured on credit card loans, auto loans and student loans.

The following table presents the carrying amount of financial and non-financial assets recognized in the consolidated balance sheets, other thanthose disclosed above, which are subject to lien as of March 31, 2021 and June 30, 2021.
March 31, 2021

Loans and receivables
Trading assets and private equity and debt investments
Office buildings, land, equipment and facilities
Non-trading debt securities
Other

¥

¥

Millions of yen
June 30, 2021

114,051
1,344,361
5,076
1,047
5,823
1,470,358¥¥

172,379
1,412,106
5,023
489
353
1,590,350

Assets in the above table were primarily pledged for secured borrowings, including other secured borrowings, collateralized borrowings ofconsolidated VIEs, trading balances of secured borrowings, and derivative transactions.
77

6. Securitizations and Variable Interest Entities:
Securitizations
Nomura utilizes special purpose entities (“SPEs”) to securitize commercial and residential mortgage loans, government agency and corporate
securities and other types of financial assets. Those SPEs are incorporated as stock companies, Tokumei kumiai (silent partnerships), Cayman special
purpose companies (“SPCs”) or trust accounts. Nomura’s involvement with SPEs includes structuring SPEs, underwriting, distributing and selling debt
instruments and beneficial interests issued by SPEs to investors. Nomura accounts for the transfer of financial assets in accordance with ASC 860. This
statement requires that Nomura accounts for the transfer of financial assets as a sale when Nomura relinquishes control over the assets. ASC 860 deems
control to be relinquished when the following conditions are met: (a) the assets have been isolated from the transferor (even in bankruptcy or otherreceivership), (b) the transferee has the right to pledge or exchange the assets received, or if the transferee is an entity whose sole purpose is to engage insecuritization or asset-backed financing activities, the holders of its beneficial interests have the right to pledge or exchange the beneficial interests, and(c) the transferor has not maintained effective control over the transferred assets. Nomura may retain an interest in the financial assets, including residualinterests in the SPEs. Any such interests are accounted for at fair value and reported within Trading assets in Nomura’s consolidated balance sheets, withthe change in fair value reported within Revenue—Net gain on trading. Fair value for retained interests in securitized financial assets is determined byusing observable prices; or in cases where observable prices are not available for certain retained interests, Nomura estimates fair value based on thepresent value of expected future cash flows using its best estimates of the key assumptions, including forecasted credit losses, prepayment rates, forward
yield curves and discount rates commensurate with the risks involved. Nomura may also enter into derivative transactions in relation to the assets
transferred to an SPE.
As noted above, Nomura may have continuing involvement with SPEs to which Nomura transferred assets. For the three months ended June 30,
2020 and 2021, Nomura received cash proceeds from SPEs in new securitizations of ¥123 billion and ¥55 billion, respectively. The associated gain onsale was ¥7 billion for the three months ended June 30, 2021, and the amount was not significant for the three months ended June 30, 2020. For the threemonths ended June 30, 2020 and 2021, Nomura received debt securities issued by these SPEs with an initial fair value of ¥526 billion and ¥682 billion,
respectively, and cash inflows from third parties on the sale of those debt securities of ¥485 billion and ¥581 billion, respectively. The cumulativebalance of financial assets transferred to SPEs with which Nomura has continuing involvement was ¥5,323 billion and ¥5,462 billion as of March 31,
2021 and June 30, 2021, respectively. Nomura’s retained interests were ¥160 billion and ¥166 billion, as of March 31, 2021 and June 30, 2021,
respectively. For the three months ended June 30, 2020 and 2021, Nomura received cash flows of ¥5 billion and ¥9 billion, respectively, from the SPEson the retained interests held in the SPEs.
Nomura did not provide financial support to SPEs beyond its contractual obligations as of March 31, 2021 and June 30, 2021.
78

The following tables present the fair value of retained interests which Nomura has continuing involvement in SPEs and their classification in thefair value hierarchy, categorized by the type of transferred assets.
Billions of yen
March 31, 2021

Government, agency and municipal securities
Bank and corporate debt securities
CMBS and RMBS
Total

Level 1

Level 2

Level 3

Total

¥ —
—
—
¥ —

¥ 154
—
—
¥ 154

¥ —
—
6
¥ 6

¥154
—
6
¥160

Investment
grade

¥

Other

154
—
0
154

¥—
—
6
¥ 6

Investment
grade

Other

¥

Billions of yen
June 30, 2021

Government, agency and municipal securities
Bank and corporate debt securities
CMBS and RMBS
Total

Level 1

Level 2

Level 3

Total

¥ —
—
—
¥ —

¥ 159
—
—
¥ 159

¥ —
—
7
¥ 7

¥159
—
7
¥166

¥

¥

159
—
0
159

¥—
—
7
¥ 7

As of June 30, 2021, predominantly all of the retained interests held by Nomura were valued using observable prices. The initial fair value ofthese retained interests are mostly level 2 in the fair value hierarchy
The following table presents the type and carrying value of financial assets included within Trading assets which have been transferred to SPEsbut which do not meet the criteria for derecognition under ASC 860. These transfers are accounted for as secured financing transactions and generally
reported within Long-term borrowings. The assets are pledged as collateral of the associated liabilities and cannot be removed unilaterally by Nomura
and the liabilities are non-recourse to Nomura.
Billions of yen
March 31, 2021
June 30, 2021

AssetsTrading assets
Loans

¥

106

¥

164

¥

106

¥

164

Liabilities
Long-term borrowings

79Variable Interest Entities
In the normal course of business, Nomura acts as a transferor of financial assets to VIEs, and underwriter, distributor, and seller of repackaged
financial instruments issued by VIEs in connection with its securitization and equity derivative activities. Nomura retains, purchases and sells variableinterests in VIEs in connection with its market-making, investing and structuring activities.
If Nomura has an interest in a VIE that provides Nomura with control over the most significant activities of the VIE and the right to receive
benefits or the obligation to absorb losses that could be significant to the VIE, Nomura is the primary beneficiary of the VIE and must consolidate theentity, provided that Nomura does not meet separate tests confirming that it is acting as a fiduciary for other interest holders. Nomura’s consolidated
VIEs include those that were created to market structured securities to investors by repackaging corporate convertible securities, mortgages andmortgage-backed securities. Certain VIEs used in connection with Nomura’s aircraft leasing business as well as other purposes are consolidated.
Nomura also consolidates certain investment funds, which are VIEs, and for which Nomura is the primary beneficiary.
The power to make the most significant decisions may take a number of different forms in different types of VIEs. For transactions such as
securitizations, investment funds, and CDOs, Nomura considers collateral management and servicing to represent the power to make the mostsignificant decisions. Accordingly, Nomura does not consolidate such types of VIEs for which it does not act as collateral manager or servicer unless
Nomura has the right to replace the collateral manager or servicer or to require liquidation of the entity.
For many transactions, such as where VIEs are used for re-securitizations of residential mortgage-backed securities, there are no significant
economic decisions made on an ongoing basis and no single investor has the unilateral ability to liquidate the VIE. In these cases, Nomura focuses its
analysis on decisions made prior to the initial closing of the transaction, and considers factors such as the nature of the underlying assets held by the
VIE, the involvement of third party investors in the design of the VIE, the size of initial third party investment and the amount and level of any
subordination of beneficial interests issued by the VIE which will be held by Nomura and third party investors. Nomura has sponsored numerous
re-securitization transactions and in many cases has determined that it is not the primary beneficiary on the basis that control over the most significant
decisions relating to these entities are shared with third party investors. In some cases, however, Nomura has consolidated such VIEs, for example,
where it was determined that third party investors were not involved in the design of the VIEs, including where the size of third party investment was
not significant at inception of the transaction.
80

The following table presents the classification of consolidated VIEs’ assets and liabilities in these consolidated financial statements. Most of theseassets and liabilities are related to consolidated SPEs which securitize corporate convertible securities, mortgages and mortgage-backed securities. The
assets of a consolidated VIE may only be used to settle obligations of that VIE. Creditors do not typically have any recourse to Nomura beyond theassets held in the VIEs.
Billions of yen
March 31, 2021
June 30, 2021

Consolidated VIE assets
Cash and cash equivalents
Trading assets
Equities
Debt securities
CMBS and RMBS
Investment trust funds and other
Derivatives
Private equity and debt investments
Office buildings, land, equipment and facilities
Other
Total
Consolidated VIE liabilities
Trading liabilities
Derivatives
Borrowings
Short-term borrowings
Long-term borrowings
Other
Total

¥

13

¥

25

¥

524
414
20
4
1
21
51
26
1,074

¥

553
455
20
—
1
6
56
96
1,212

¥

2

¥

2

¥

74
763
2
841

¥

99
763
2
866

Nomura continuously reassesses its initial evaluation of whether it is the primary beneficiary of a VIE based on current facts and circumstances aslong as it has any continuing involvement with the VIE. This determination is based upon an analysis of the design of the VIE, including the VIE’s
structure and activities, the power to make significant economic decisions held by Nomura and by other parties, and the variable interests owned by
Nomura and other parties.
Nomura also holds variable interests in VIEs where Nomura is not the primary beneficiary. Nomura’s variable interests in such VIEs include
senior and subordinated debt, residual interests, and equity interests associated with commercial and residential mortgage-backed and other asset-backed
securitizations and structured financings, equity interests in VIEs which were formed primarily to acquire high yield leveraged loans and other lower
investment grade debt obligations, residual interests in operating leases for aircraft held by VIEs, and loans and investments in VIEs that acquire
operating businesses.
81

The following tables present the carrying amount of variable interests of unconsolidated VIEs and maximum exposure to loss associated withthese variable interests. Maximum exposure to loss does not reflect Nomura’s estimate of the actual losses that could result from adverse changes, nordoes it reflect the economic hedges Nomura enters into to reduce its exposure. The risks associated with VIEs in which Nomura is involved are limited
to the amount recorded in the consolidated balance sheets and the amount of commitments and financial guarantees.
Billions of yen
March 31, 2021
Carrying amount ofMaximum exposure
variable interests
to loss toAssetsLiabilities
unconsolidated VIEs

Trading assets and liabilities
Equities
Debt securities
CMBS and RMBS
Investment trust funds and other
Private equity and debt investments
Loans
Other
Commitments to extend credit and other guarantees
Total

¥

30
60
2,362
195
3
556
19
—
¥3,225

¥

¥

—
—
—
—
—
—
—
—
—

¥

¥

30
60
2,362
195
3
556
19
110
3,335

Billions of yen
June 30, 2021
Carrying amount ofMaximum exposure
variable interests
to loss toAssetsLiabilities
unconsolidated VIEs

Trading assets and liabilities
Equities
Debt securities
CMBS and RMBS
Investment trust funds and other
Private equity and debt investments
Loans
Other
Commitments to extend credit and other guarantees
Total

¥

48
51
1,806
152
12
616
18
—
¥2,703
82

¥

¥

—
—
—
—
—
—
—
—
—

¥

¥

48
51
1,806
152
12
616
18
110
2,813

7. Financing receivables:
In the normal course of business, Nomura extends financing to clients primarily in the form of loan receivables, loan commitments andcollateralized agreements such as reverse repurchase agreements and securities borrowing transactions. These financing receivables are recognized asassets on Nomura’s consolidated balance sheets at fair value or on amortized cost basis and provide a contractual right to receive money either on
demand or on future fixed or determinable dates.
The carrying value of financing receivables measured on an amortized cost basis as of June 30, 2021 is adjusted for an allowance for current
expected credit losses (“CECL”) defined by ASC 326 “Financial Instruments—Credit Losses” (“ASC 326”). Allowances for CECL against recognizedfinancial instruments are reported in the consolidated balance sheets within Allowance for credit losses.
Collateralized agreements
Collateralized agreements consist of reverse repurchase agreements reported as Securities purchased under agreements to resell and securities
borrowing transactions reported as Securities borrowed in the consolidated balance sheets, including those executed under Gensaki Repo agreements.
Reverse repurchase agreements and securities borrowing transactions principally involve the buying of government and government agency securities
from customers under agreements that also require Nomura to resell these securities to those customers, or borrowing these securities with cash andnon-cash collateral. Nomura monitors the value of the underlying securities on a daily basis to the related receivables, including accrued interest, andrequests or returns additional collateral when appropriate. Except for those where we apply fair value options, reverse repurchase agreements are
generally recognized in the consolidated balance sheets at the amount for which the securities were originally acquired with applicable accrued interest.
Securities borrowing transactions are generally recognized in the consolidated balance sheets at the amount of cash collateral advanced. Allowances for
current expected credit losses against collateralized agreements are not significant because of our application of practical expedients permitted by ASC
326 based on the collateralization requirements and ongoing monitoring of the collateral levels and the short expected life of the financial instruments.
Loans receivable
The key types of loans receivable recognized by Nomura are loans at banks, short-term secured margin loans, inter-bank money market loans andcorporate loans.
Loans at banks include both retail and commercial secured and traditional unsecured loans mainly extended by Nomura Trust & Banking Co., Ltd.
For both retail and commercial loans secured by real estate or securities, Nomura is exposed to the risk of a decline in the value of the underlying
collateral. Loans at banks also include unsecured commercial loans provided to investment banking clients for relationship purposes. For unsecuredcommercial loans, Nomura is exposed to risk of default of the counterparty, although these counterparties usually have high or good credit ratings.
Where loans are secured by guarantees, Nomura is also exposed to the risk of default by the guarantor.
Short-term secured margin loans are margin loans provided to clients in connection with securities brokerage business in retail and wealthmanagement services. These loans provide funding for clients in order to purchase securities. Nomura requests initial margin in the form of acceptable
collateral securities or deposits against these loans and holds the purchased securities as collateral through the life of the loans. If the value of the
securities declines by more than specified amounts, Nomura can make additional margin calls in order to maintain a specified ratio of loan-to-value(“LTV”) ratio. These clients are required and reasonably expected to continue to replenish the amount of collateral. For these reasons, the risk to
Nomura of providing these loans is limited.
Inter-bank money market loans are loans to financial institutions in the inter-bank money market, where overnight and intra-day financings aretraded through money market dealers. The risk to Nomura of making these loans is limited as only qualified financial institutions can participate in thesemarkets and these loans are usually overnight or short-term in nature.
Corporate loans are primarily commercial loans provided to corporate clients except Loan at banks. Corporate loans include loans secured by realestate or securities, unsecured commercial loans provided to investment banking clients for relationship purposes. The risk to Nomura of making theseloans is similar to those risks arising from commercial loans reported in loans at banks.
83

The following tables present a summary of loans receivable reported within Loans receivable or Investments in and advances to affiliatedcompanies in the consolidated balance sheets by portfolio segment.
Millions of yen
March 31, 2021
Carried at
Carried atamortized costfair value(1)Loans receivable
Loans at banks
Short-term secured margin loans
Inter-bank money market loans
Corporate loans
Total loans receivable
Advances to affiliated companies
Total

Total

¥

605,200
436,2211,289
1,082,239¥ 2,124,949

¥

—
—
—
818,523¥ 818,523¥ 605,200
436,2211,289
1,900,762¥2,943,472

1,000¥ 2,125,949—¥ 818,523

1,000¥2,944,472

Millions of yen
June 30, 2021
Carried at
Carried atamortized costfair value(1)Loans receivable
Loans at banks
Short-term secured margin loans
Inter-bank money market loans
Corporate loans
Total loans receivable
Advances to affiliated companies
Total
(1)

Total

¥

613,901
445,418
31,807
952,671¥ 2,043,797

¥

—
—
—
823,235¥ 823,235¥ 613,901
445,418
31,807
1,775,906¥2,867,032

1,000¥ 2,044,797—¥ 823,235

1,000¥2,868,032

Includes loans receivable and loan commitments carried at fair value through election of the fair value option.

There were no significant purchases nor sales of loans receivable during the three months ended June 30, 2020. There were no significant
reclassifications of loans receivable to trading assets during the same period.
There were no significant purchases nor sales of loans receivable during the three months ended June 30, 2021. There were no significant
reclassifications of loans receivable to trading assets during the same period.
Allowance for current expected credit losses
Management has established an allowance for current expected credit losses using the CECL impairment model against the following types offinancial instruments, including financing receivables, which are not measured at fair value on a recurring basis, to reflect the net amount Nomura
expects to collect:•

Loans and written unfunded loan commitments;•

Deposits;•

Collateralized agreements such as reverse repos and securities borrowing transactions;•Customer contract assets and receivables; and•Other receivables including margin receivables, security deposits, default fund contributions to central clearing counterparties, reinsurance
and net investments in finance leases.

Current expected credit losses for an individual or portfolio of financial instrument are measured at each Nomura reporting date based on expectedcredit losses over the remaining expected life of the financial instruments that consider forecast of future economic conditions in addition to information
about past events and current conditions. Key macroeconomic inputs to our weighted average forecasts of three years include GDP and credit spreads.
84

The risk of loss is considered, even when that risk of loss is remote. While management has based its estimate of the allowance for current
expected credit losses on the best information available, future adjustments to the allowance may be necessary as a result of changes in the economic
environment or variances between actual results and original assumptions.
Nomura has elected to exclude accrued interest receivable from the amortized cost basis of financial instruments used to measure expected credit
losses. The amount of accrued interest receivable as of June 30, 2021 was not significant.
The methodology used by Nomura to determine allowances for current expected credit losses in accordance with the CECL impairment modelprimarily depends on the nature of the financial instrument and whether certain practical expedients permitted by ASC 326 are applied by Nomura.
Financial instruments subject to the CECL impairment model are charged off when Nomura has deemed the loan or receivable as uncollectible,
namely management believes there is no reasonable expectation of collecting future contractual cash flows and all commercially reasonable means ofrecovering outstanding principle and interest balances have been exhausted.
The following table summarizes the methodology used for each significant type of financial instrument subject to the CECL impairment modeland the key assumptions used which have impacted the measurement of current expected credit losses during the year ended June 30, 2021.
Methodology to determine current expected credit losses

Financial instrument

Loans, written loan commitments andcertain deposits

Collateralized agreements, short-term
secured margin loans and cash prime
brokerage loans

Customer contract assets and receivables•

Full loss rate model developed by Nomura’s Risk department•

Measures expected credit losses based on probability of default (PD), Loss Given Default (LGD) andExposure at Default (EAD) inputs.

•

PD inputs incorporate forward-looking scenarios used by Nomura for internal risk management andcapital purposes.

•

Immediate reversion method used for periods beyond which reasonable and supportable forecast is notavailable.

•

For financial instruments which have defaulted or are probable of defaulting, expected credit losses
measured using discounted cash flow analyses or, where the financial instrument is collateraldependent, based on any shortfall of fair value of the underlying collateral.

•

For reverse repos and short-term secured margin loans and cash prime brokerage loans where frequentmargining is required and the counterparty has ability to replenish margin, as permitted by a practical
expedient provided by ASC 326 expected credit losses are limited to difference between carrying valueof the reverse repo or margin loan and fair value of underlying collateral.

•

Securities borrowing transactions typically have very short expected lives and are collateralized andtherefore expected credit losses are generally determined qualitatively to be insignificant based on
historical experience and consistent monitoring of collateral.

•

Expected credit losses typically based on ageing analysis where loss rates are applied to the carrying
value based on historical experience, the current economic climate and specific information about theability of the client to pay.
85

The following table presents changes in the allowance for current expected credit losses for the three months ended June 30, 2020 and 2021 asdetermined using the CECL impairment model defined by ASC 326.
Millions of yen
Three months ended June 30, 2020
Allowance for current expected credit losses
Allowance for
Short-term
receivables
securedother thanLoansmarginCorporateloans(2)at banks
loans
loans
Subtotal

Opening balance prior to CECL adoption
Impact of CECL adoption(1)Opening balance after CECL adoption
Provision for losses
Charge-offs
Other(4)Ending balance¥¥

1,564 ¥
232
1,796
(342)
—
—
1,454 ¥

352 ¥
—
352
(76)
—
16
292 ¥

7,944 ¥
1,738
9,682
(1,852)—(103)
7,727 ¥

9,860 ¥
1,970
11,830(2,270)—(87)
9,473 ¥

3,152 ¥
2
3,154
1,044
(1,322)5
2,881 ¥

Millions of yen
Three months ended June 30, 2021
Allowance for current expected credit losses
Allowances
againstShort-term
receivables
securedother thanLoansmarginCorporateloans(2)at banks
loans
loans
Subtotal

Opening balance
Provision for losses(3)Charge-offs
Other(4)Ending balance
(1)
(2)
(3)
(4)

¥

¥

1,282 ¥——
(9)
1,273 ¥

—
—
—
—
—

¥

¥

47,985 ¥
9,197
(7)
384
57,559 ¥49,267 ¥
9,197
(7)
375
58,832 ¥Total
allowance forcurrent
expected
credit losses

13,012
1,972
14,984(1,226)(1,322)(82)
12,354

Total
allowance forcurrent
expected
credit losses

4,517 ¥
3(57)
(1,876)
2,587 ¥

53,7849,200(64)(1,501)
61,419The balance recognized on April 1, 2020 on adoption of ASC 326.
Includes collateralized agreements, customer contract assets and receivables and other receivables.
In June 2021, following the default by the U.S. client an additional allowance for current expected credit losses of ¥9,289 million was taken on theloans with the client.
Includes recoveries collected and the effect of foreign exchange movements.
Troubled debt restructurings

In the ordinary course of business, Nomura may choose to restructure a loan classified as held for investment either because of financial
difficulties of the borrower, or simply as a result of market conditions or relationship reasons. A troubled debt restructuring (“TDR”) occurs when
Nomura (as lender) for economic or legal reasons related to the borrower’s financial difficulties grants a concession to the borrower that Nomura would
not otherwise consider.
Expected credit losses for a loan being restructured under a TDR which only involve modification of the loan’s terms (rather than receipt of assets
in full or partial settlement) is typically determined using a discounted cash flow analysis. Assets received in full or partial satisfaction of a loan in a
TDR are recognized at fair value.
Discussions continue with various borrowers to modify the existing contractual terms of certain loans. These modifications where the borrower isdeemed to be in financial difficulty and Nomura has, or expects to, grant a financial concession would typically be accounted for and reported as a TDR.
The amounts of TDRs which occurred during the three months ended June 30, 2020 and 2021 were not significant.
86

Nonaccrual and past due loans
Loans are placed on a nonaccrual status if interest is deemed uncollectible. Nomura policy is to define interest as being uncollectible if theborrower is determined to be in financial difficulty or an interest or principal payment on the loans is 90 days or more past due.
Where a loan is placed on a nonaccrual status, any accrued but unpaid interest receivable reversed and no further accrual of interest is permitted.
Interest income is subsequent recognized when a cash payment is received from the borrower using the cash basis method.
Loans are generally only returned to an accrual status if the loan is brought contractually current, i.e., all overdue principal and interest amounts
are paid. In limited circumstances, a loan which has not been brought contractually current will also be returned to an accrual status if all principal andinterest amounts contractually due are reasonably assured of repayment within a reasonable period of time or there has been a sustained period of
repayment performance by the borrower.
As of March 31, 2021, there were ¥204,404 million of loans which were placed on a nonaccrual status, primarily secured corporate loans. Nomura
uses, as a practical expedient, the fair value of the collateral when determining the allowance for current expected credit losses, for which repayment is
expected to be provided substantially through the operation or sale of the collateral. Of the corporate loans on non-accrual status, these loans relate to
U.S. client as of March 31,2021 causing an increase of an allowance for current expected credit losses of ¥41,561 million to be recorded. The amount ofloans which were 90 days past due was not significant.
As of June 30, 2021, there were ¥57,622 million of loans which were placed on a nonaccrual status, primarily secured corporate loans. Of thecorporate loans on non-accrual status, these loans relate to U.S. client as of June 30,2021 causing an increase of an allowance for current expected credit
losses of ¥9,289 million to be recorded. The amount of loans which were 90 days past due was ¥57,623 million.
Credit quality indicators
Nomura is exposed to credit risks deriving from a decline in the value of loans or a default caused by deterioration of creditworthiness orbankruptcy of the obligor. Nomura’s risk management framework for such credit risks is based on a risk assessment through an internal rating process,in depth pre-financing credit analysis of each individual loan and continuous post-financing monitoring of obligor’s creditworthiness.
The following tables present an analysis of each class of loans not carried at fair value using Nomura’s internal ratings or equivalent credit quality
indicators applied by subsidiaries by years of origination as of March 31 and June 30, 2021.
87Millions of yen
March 31, 2021
2021

Secured loans at banks:
AAA-BBB
BB-CCC
CC-D
Others(1)Total secured loans at banks
Unsecured loans at banks:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured loans at banks
Short-term secured margin loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total short-term secured margin loans
Unsecured inter-bank money market loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured inter-bank money market loans
Secured corporate loans:
AAA-BBB
BB-CCCCC-D(2)Others(1)Total secured corporate loans
Unsecured corporate loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured corporate loans
Advances to affiliated companies
AAA-BBB
BB-CCC
CC-D
Others(1)Total advances to affiliated companies
Total
(1)
(2)

2020

2019

2018

2016 orearlier

2017

Revolving

Total¥ 54,179 ¥115,003 ¥ 17,106 ¥ 12,450 ¥ 4,240 ¥ 17,634 ¥
75,680 115,131
3,864
2,324
—
5,484
—
—
—
—
—
—
—
61,185————¥129,859 ¥291,319 ¥ 20,970 ¥ 14,774 ¥ 4,240 ¥ 23,118 ¥

—
—
—
—
—

¥ 220,612
202,483—
61,185¥ 484,280

¥

—
—
—
—
—

¥ 120,685
235——¥ 120,920

9,101 ¥ 22,955 ¥ 27,863 ¥ 17,563 ¥ 8,484 ¥ 34,719 ¥
—
—
235
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ 9,101 ¥ 22,955 ¥ 28,098 ¥ 17,563 ¥ 8,484 ¥ 34,719 ¥

¥

— ¥
—
—
170,514¥170,514 ¥

— ¥
—
—
141
141 ¥

—
—
—
—
—

¥

¥

—
—
—
—
—

—
—
—
—
—

¥

1,289 ¥———
¥ 1,289 ¥

¥

¥

¥

¥

—
—
—
—
—

¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

— ¥
—
—
—
—
—
265,566
436,221¥265,566 ¥ 436,221

—
—
—
—
—

¥

¥

—
—
—
—
—

¥

¥

1,289
—
—
—
1,289

¥ 33,965 ¥261,182 ¥ 45,880 ¥ 9,817 ¥ 6,406 ¥ 27,672 ¥97 ¥ 385,019
20,093 102,941
34,43529,869 13,067
17,573 173,178
391,156
197,859——————
197,859
—
39
40
11
30
4,697
428
5,245
¥251,917 ¥364,162 ¥ 80,355 ¥ 39,697 ¥19,503 ¥ 49,942 ¥173,703 ¥ 979,279
¥

¥

— ¥
84
—
1
85 ¥

— ¥
—
—
191
191 ¥

¥

— ¥
— ¥
450
—
—
—
8
97,212458 ¥ 97,212 ¥

—
—
—
—
—

¥

— ¥
—
—
5,014
¥ 5,014 ¥

—
—
—
—
—

¥

—
534
—
102,426¥ 102,960

1,000 ¥— ¥— ¥— ¥ — ¥
— ¥
— ¥
1,000
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ 1,000 ¥— ¥— ¥— ¥ — ¥
— ¥
— ¥
1,000
¥563,765 ¥678,768 ¥129,881 ¥169,246 ¥32,227 ¥112,793 ¥439,269 ¥2,125,949

Relate to collateralized exposures where a specified ratio of LTV is maintained.
Includes loans of ¥197,859 million in relation to the U.S. prime brokerage event.
88Millions of yen
June 30, 2021
2021

2020

2019

2018

2016 orearlier

2017

Revolving

Total

Secured loans at banks:
AAA-BBB
BB-CCC
CC-D
Others(1)Total secured loans at banks¥ 72,006 ¥104,635 ¥ 17,059 ¥ 10,420 ¥ 4,240 ¥ 16,525 ¥
125,81475,930
2,946
2,229
—
5,285
—
—
—
—
—
—
64,288—————¥262,108 ¥180,565 ¥ 20,005 ¥ 12,649 ¥ 4,240 ¥ 21,810 ¥48 ¥ 224,933—
212,204———
64,28848 ¥ 501,425

Unsecured loans at banks:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured loans at banks¥ 11,206 ¥ 21,540 ¥ 25,343 ¥ 15,625 ¥ 5,092 ¥ 26,260 ¥
—
—
226
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ 11,206 ¥ 21,540 ¥ 25,569 ¥ 15,625 ¥ 5,092 ¥ 26,260 ¥

7,184 ¥ 112,250
—
226
—
—
—
—
7,184 ¥ 112,476

Short-term secured margin loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total short-term secured margin loans
Unsecured inter-bank money market loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured inter-bank money market loans
Secured corporate loans:
AAA-BBB
BB-CCCCC-D(2)Others(1)Total secured corporate loans
Unsecured corporate loans:
AAA-BBB
BB-CCC
CC-D
Others(1)Total unsecured corporate loans
Advances to affiliated companies
AAA-BBB
BB-CCC
CC-D
Others(1)Total advances to affiliated companies
Total
(1)
(2)

¥

— ¥
—
—
156,130¥156,130 ¥

—
—
—
—
—

¥

¥ 31,807 ¥———¥ 31,807 ¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

—
—
—
—
—

¥

¥

¥

—
—
—
—
—

¥

— ¥
—
—
—
—
—
289,288445,418¥289,288 ¥ 445,418

—
—
—
—
—

¥

¥

—
—
—
—
—

¥

¥

31,807———31,807¥

9,115 ¥202,350 ¥ 38,315 ¥ 7,519 ¥ — ¥ 21,269 ¥ 9,156 ¥ 287,724
104,862
52,73036,30060,862 11,000
15,692 224,030
505,476
52,645——————52,645
—
23
40
17
31
80
517
708
¥166,622 ¥255,103 ¥ 74,655 ¥ 68,398 ¥11,031 ¥ 37,041 ¥233,703 ¥ 846,553

¥

¥

— ¥
—
—
668
668 ¥

— ¥
— ¥
— ¥
—
2,963
—
—
—
—
194
358
96,915
194 ¥ 3,321 ¥ 96,915 ¥

¥

—
—
—
—
—

¥

¥

—
—
—

¥

— ¥
—
—
2,963
—
—
8
5,012
103,155
8 ¥ 5,012 ¥ 106,118

1,000 ¥— ¥— ¥— ¥ — ¥
— ¥
— ¥
1,000
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ 1,000 ¥— ¥— ¥— ¥ — ¥
— ¥
— ¥
1,000
¥629,541 ¥457,402 ¥123,550 ¥193,587 ¥20,363 ¥ 85,119 ¥535,235 ¥2,044,797

Relate to collateralized exposures where a specified ratio of LTV is maintained.
Includes loans of ¥52,645 million in relation to the U.S. prime brokerage event.
89

The following table presents a definition of each of the internal ratings used in the Nomura Group.
Rating Range

Definition

AAA

Highest credit quality. An obligor or facility has extremely strong capacity to meet its financial commitments. ‘AAA range’ is the highest
credit rating assigned by Nomura. Extremely low probability of default.

AA

Very high credit quality category. An obligor or facility has very strong capacity to meet its financial commitments. Very low probabilityof default but above that of ‘AAA range.’

A

High credit quality category. An obligor or facility has strong capacity to meet its financial commitments but is somewhat more
susceptible to the adverse effects of changes in circumstances and economic conditions than those in higher-rated categories. Low
probability of default but higher than that of ‘AA range.’

BBB

Good credit quality category. An obligor or facility has adequate capacity to meet its financial commitments. However, adverse economic
conditions or changing circumstances are more likely to lead to a weakened capacity to meet its financial commitments. Medium
probability of default but higher than that of ‘A range.’

BB

Speculative credit quality category. An obligor or facility is less vulnerable in the near term than other lower-ratings. However, it faces
major ongoing uncertainties and exposure to adverse business, financial, or economic conditions which could lead to the inadequate
capacity to meet its financial commitments. Medium to high probability of default but higher than that of ‘BBB range.’

B

Highly speculative credit quality category. An obligor or facility is more vulnerable than those rated ‘BB range’, but the obligor currently
has the capacity to meet its financial commitments. Adverse business, financial, or economic conditions will likely impair the issuer’s orobligor’s capacity or willingness to meet its financial commitments. High probability of default—more than that of ‘BB range.’

CCC

Substantial credit risk. An obligor or facility is currently vulnerable, and is dependent upon favorable business, financial, and economic
conditions to meet its financial commitments. Strong probability of default – more than that of ‘B range.’CCAn obligor or facility is currently highly vulnerable to nonpayment (default category).

C

An obligor or facility is currently extremely vulnerable to nonpayment (default category).

D

Failure of an obligor to make payments in full and on time of any financial obligations, markedly disadvantageous modification to acontractual term compared with the existing obligation, bankruptcy filings, administration, receivership, liquidation or other winding-up
or cessation of business of an obligor or other similar situations.

Nomura reviews internal ratings at least once a year by using available credit information of obligors including financial statements and otherinformation. Internal ratings are also reviewed more frequently for high-risk obligors or problematic exposures and any significant credit event of
obligors will trigger an immediate credit review process.
90

8. Leases:
Nomura as lessor
Nomura leases office buildings and aircrafts in Japan and overseas either as head lessor or through subleases. These leases and subleases areprimarily classified as operating leases. The related assets are stated at cost, net of accumulated depreciation, except for land, which is stated at cost in
the consolidated balance sheets and reported within Other assets—Office buildings, land, equipment and facilities.
The following table presents the types of assets which Nomura leases under operating leases as of March 31, 2021 and June 30, 2021.

Cost

Real estate(1)Aircraft
Total
(1)

¥

354
39,736¥40,090

Millions of yen
March 31, 2021
Accumulated
Net carrying
depreciation
amountCost

June 30, 2021
Accumulated
depreciation

Net carrying
amount

¥

¥

¥

¥

(288)
(1,382)(1,670)¥¥66
38,35438,420¥354
58,047¥58,401¥(289)(1,784)(2,073)¥65
56,26356,328

Cost, accumulated depreciation and net carrying amounts include amounts relating to real estate utilized by Nomura.

Nomura recognized lease income of ¥325 million and ¥837 million for the three months ended June 30, 2020 and 2021, respectively. These areincluded in the consolidated statements of income within Revenue—Other.
The following table presents an analysis of future undiscounted lease payments to be received in connection with noncancellable operating leases
entered into by Nomura as lessor over the remaining lease term as of June 30, 2021. Amounts in connection with finance leases were not significant.
Millions of yen
June 30, 2021
Minimum lease payments
to be received

Years of receipt
Less than 1 year
1 to 2 years
2 to 3 years
3 to 4 years
4 to 5 years
More than 5 years
Total

¥

¥
91

4,375
4,321
4,311
4,311
4,311
28,00049,629

9. Business combinations:On April 1, 2020, Nomura acquired 100% of Greentech Capital, LLC (“Greentech”), a leading M&A advisory boutique in sustainable technology
and infrastructure in the United States. The acquisition of Greentech comprises an initial cash payment and additional contingent payments based on
future performance of the company. The transaction has been accounted for as a business combination under ASC 805 and consideration for thepurchase as used to determine goodwill was ¥12,389 million which includes the estimated fair value of contingent payments accounted for as contingent
consideration on acquisition date. Changes in the fair value of contingent consideration are recognized in the consolidated statements of income until thecontingency is resolved. Contingent payments linked to future employment of employees of Greentech are recognized in the consolidated statements ofincome as compensation expense over the relevant service period and when payment of those amounts becomes probable. The operating results and cash
flows of Greentech have been reflected to Nomura’s consolidated financial statements from April 1, 2020. The assets acquired and liabilities assumed asof the acquisition date were not material to Nomura’s consolidated balance sheet.
9210. Other assets—Other / Other liabilities:
The following table presents components of Other assets—Other and Other liabilities in the consolidated balance sheets as of March 31, 2021 andas of June 30, 2021.
Millions of yen
March 31,
June 30,
2021
2021

Other assets—Other:
Securities received as collateral
Goodwill and other intangible assets(1)Deferred tax assets
Investments in equity securities for other than operating purposes(2)Prepaid expenses
Other
Total

¥ 399,975
29,04030,433
270,246
18,741300,997¥1,049,432¥272,450
28,52025,768270,219
22,234
275,783¥894,974

Other liabilities:
Obligation to return securities received as collateral
Accrued income taxes
Other accrued expenses
Other(3)Total¥ 399,975
60,275424,961
353,956¥1,239,167¥272,450
21,595
334,486
321,152¥949,683

(1)
(2)
(3)

For the three months ended June 30, 2020, Nomura recognized goodwill attributable to the Wholesale segment as a result of acquiring 100% of
the ownership interests in Greentech Capital, LLC. See Note.9 “Business combination“ for further information.
Includes equity securities without readily determinable fair value of ¥65,365 million as of March 31, 2021 and as of June 30, 2021 respectively.
Includes operating lease liabilities.
9311. Earnings per share:
A reconciliation of the amounts and the numbers used in the calculation of net income attributable to NHI shareholders per share (basic anddiluted) is as follows:
Millions of yen
except per share data
presented in yen
Three months ended June 30
2020
2021

Basic—Net income attributable to NHI shareholders
Weighted average number of shares outstanding
Net income attributable to NHI shareholders per share
Diluted—
Net income attributable to NHI shareholders
Weighted average number of shares outstanding
Net income attributable to NHI shareholders per share¥

142,516
3,047,302,930
¥
46.77

¥

¥

¥

142,492
3,121,234,228¥
45.65

48,487
3,007,328,504¥
16.12
48,437
3,107,455,855¥
15.59

Net income attributable to NHI shareholders is adjusted to reflect the decline in Nomura’s equity share of earnings of subsidiaries and affiliates forthe three months ended June 30, 2020 and 2021, arising from options to purchase common shares issued by subsidiaries and affiliates.
The weighted average number of shares used in the calculation of diluted earnings per share (“EPS”) reflects the increase in potential issuance ofcommon shares arising from stock-based compensation plans issued by the Company and affiliates, which would have minimal impact on EPS for thethree months ended June 30, 2020 and 2021.
Antidilutive stock options and other stock-based compensation plans to purchase 15,451,900 common shares and 10,079,200 common shares were
not included in the computation of diluted EPS for the three months ended June 30, 2020 and 2021 respectively.
9412. Employee benefit plans:
Nomura provides various pension plans and other post-employment benefits which cover certain employees worldwide. In addition, Nomura
provides health care benefits to certain active and retired employees through its Nomura Securities Health Insurance Society.
Net periodic benefit cost
The net periodic benefit cost of the defined benefit plans of Japanese entities’ includes the following components.
Millions of yen
Three months ended June 30
2020
2021

Service cost
Interest cost
Expected return on plan assets
Amortization of net actuarial losses
Amortization of prior service cost
Net periodic benefit cost

¥

1,680
446
(1,456)
1,380(380)¥ 1,670

Nomura also recognized net periodic benefit cost of plans other than Japanese entities’ plans, which are not significant.
95

¥

1,613
511
(1,514)989(400)¥ 1,19913. Income taxes:
For the three months ended June 30, 2020, the difference between the effective statutory tax rate of 31% and the effective tax rate of 20.6% was
mainly due to a decrease in valuation allowance of foreign subsidiaries, whereas non-deductible expenses increased the effective tax rate.
For the three months ended June 30, 2021, the difference between the effective statutory tax rate of 31% and the effective tax rate of 36.3% was
mainly due to a decrease of non-taxable revenues, whereas an increase of the valuatuon allowance of foreign subsidiaries increased the effective tax rate.
14. Other comprehensive income (loss):
Changes in accumulated other comprehensive income (loss) are as follows:
Millions of yen
Three months ended June 30, 2020
Balance at
beginningof year

Cumulative translation adjustments
Pension liability adjustment
Own credit adjustments
Total
(1)

Other
comprehensive
income (loss)
beforereclassifications¥(26,274) ¥(62,571)
62,740¥(26,105) ¥Reclassifications out ofaccumulated othercomprehensive
income (loss) (1)(664) ¥
1,328
7,758
8,422 ¥Net change
during theperiodBalance at
end of period(20) ¥ (684) ¥ (26,958)
980
2,308
(60,263)(9,250)(1,492)
61,248(8,290) ¥132 ¥ (25,973)

Change in own credit adjustments, net of tax in other comprehensive income (loss) for three months ended June 30, 2020 includes reclassification
adjustment of ¥11,056 million recognized in Revenue—Net gain on trading. The amount of Income tax expense allocated to this reclassification
adjustment is ¥1,806 million. See Note 2 “Fair value measurements” for further information.
Millions of yen
Three months ended June 30, 2021
Balance at
beginningof year

Cumulative translation adjustments
Pension liability adjustment
Own credit adjustments
Total
(1)

Other
comprehensive
income (loss)
beforereclassifications¥ 18,316 ¥(43,477)(12,983)¥(38,144) ¥(3,395) ¥
(534)
3,892
(37) ¥

Reclassifications out of accumulated other comprehensive income (loss) were not significant.
96

Reclassifications out ofaccumulated othercomprehensive
income (loss) (1)

61
543
401
1,005

Net change
during theperiodBalance at
end of period¥ (3,334) ¥ 14,982
9(43,468)
4,293(8,690)¥968 ¥ (37,176)

15. Commitments, contingencies and guarantees:
Commitments—
Credit and investment commitments
In connection with its banking and financing activities, Nomura provides commitments to extend credit which generally have fixed expiration
dates. In connection with its investment banking activities, Nomura enters into agreements with clients under which Nomura commits to underwrite
securities that may be issued by the clients. As a member of certain central clearing counterparties, Nomura is committed to provide liquidity facilities
through entering into reverse repo transactions backed by government and government agency debt securities with those counterparties in a situation
where a default of another clearing member occurs. The outstanding commitments under these agreements are included below in commitments to extend
credit.
Nomura has commitments to invest in various partnerships and other entities and also has commitments to provide financing for investments
related to these partnerships. The outstanding commitments under these agreements are included below in commitments to invest.
The following table presents a summary of the key types of outstanding commitments provided by Nomura.
Millions of yen
March 31, 2021
June 30, 2021

Commitments to extend credit
Liquidity facilities to central clearing counterparties
Other commitments to extend credit
Total¥ 1,400,076
901,867¥ 2,301,943¥ 1,597,192
869,243¥ 2,466,435

Commitments to invest¥¥

136,367

26,299As of June 30, 2021, these commitments had the following maturities:
Millions of yen
Years to Maturity
Total
contractual
amountLess than
1 year1 to 3years

3 to 5years

More than
5 years

Commitments to extend credit
Liquidity facilities to central clearing counterparties
Other commitments to extend credit
Total¥1,597,192
869,243¥2,466,435¥1,597,192
159,911¥1,757,103¥—
190,443¥190,443¥—
242,337¥242,337¥—
276,552¥276,552

Commitments to invest

¥

¥

¥

¥

¥ 19,288

26,299

336

2,427

4,248

The contractual amounts of these commitments to extend credit represent the amounts at risk but only if the contracts are fully drawn upon, should
the counterparties default, and assuming the value of any existing collateral becomes worthless. The total contractual amount of these commitments may
not represent future cash requirements since the commitments may expire without being drawn upon. The credit risk associated with these commitments
varies depending on the clients’ creditworthiness and the value of collateral held. Nomura evaluates each client’s creditworthiness on a case-by-casebasis. The amount of collateral obtained, if deemed necessary by Nomura upon extension of credit, is based on credit evaluation of the counterparty.
Contingencies—
Investigations, lawsuits and other legal proceedings
In the normal course of business as a global financial services entity, Nomura is involved in investigations, lawsuits and other legal proceedings
and, as a result, may suffer loss from any fines, penalties or damages awarded against Nomura, any settlements Nomura chooses to make to resolve a
matter, and legal and other advisory costs incurred to support and formulate a defense.
The ability to predict the outcome of these actions and proceedings is inherently difficult, particularly where claimants are seeking substantial orindeterminate damages, where investigations and legal proceedings are at an early stage, where the matters present novel legal theories or involve alarge number of parties, or which take place in foreign jurisdictions with complex or unclear laws.
97

The Company regularly evaluates each legal proceeding and claim on a case-by-case basis in consultation with external legal counsel to assess
whether an estimate of possible loss or range of loss can be made, if recognition of a liability is not appropriate. In accordance with ASC 450“Contingencies” (“ASC 450”), the Company recognizes a liability for this risk of loss arising on each individual matter when a loss is probable and theamount of such loss or range of loss can be reasonably estimated. The amount recognized as a liability is reviewed at least quarterly and is revised whenfurther information becomes available. If these criteria are not met for an individual matter, such as if an estimated loss is only reasonably possible
rather than probable, no liability is recognized. However, where a material loss is reasonably possible, the Company will disclose details of the legal
proceeding or claim below. Under ASC 450 an event is defined as reasonably possible if the chance of the loss to the Company is more than remote but
less than probable. As of March 31, 2021 and June 30, 2021, the total liability of ¥62,889 million ¥64,400 million have been recognized respectively,
and reported within Other liabilities in respect of outstanding and unsettled investigations, lawsuits and other legal proceedings where loss is considered
probable and the loss can be reasonably estimated.
The most significant actions and proceedings against Nomura are summarized below. The Company believes that, based on current information
available as of the date of these consolidated financial statements, the ultimate resolution of these actions and proceedings will not be material to theCompany’s financial condition. However, an adverse outcome in certain of these matters could have a material adverse effect on the consolidated
statements of income or cash flows in a particular quarter or annual period.
For certain of the significant actions and proceedings, the Company is currently able to estimate the amount of reasonably possible loss, or rangeof reasonably possible losses, in excess of amounts recognized as a liability (if any) against such cases. These estimates are based on current information
available as of the date of these consolidated financial statements and include, but are not limited to, the specific amount of damages or claims against
Nomura in each case. As of August 16, 2021, for those cases where an estimate of the range of reasonably possible losses can be made, the Company
estimates that the total aggregate reasonably possible maximum loss in excess of amounts recognized as a liability (if any) against these cases isapproximately ¥68 billion.
For certain other significant actions and proceedings, the Company is unable to provide an estimate of the reasonably possible loss or range ofreasonably possible losses because, among other reasons, (i) the proceedings are at such an early stage there is not enough information available toassess whether the stated grounds for the claim are viable; (ii) damages have not been identified by the claimant; (iii) damages are unsupported and/or
exaggerated; (iv) there is uncertainty as to the outcome of pending appeals or motions; (v) there are significant legal issues to be resolved that may bedispositive, such as the applicability of statutes of limitations; (vi) there are novel or unsettled legal theories underlying the claims and/or (vii) a
judgment has been made against Nomura but detailed reasons for the basis for the judgment and how the amount of the judgment has been determined
have not yet been received.
Nomura will continue to cooperate with regulatory investigations and to vigorously defend its position in the ongoing actions and proceedings set
out below, as appropriate.
In January 2008, Nomura International plc (“NIP”) was served with a tax notice issued by the tax authorities in Pescara, Italy alleging breaches by
NIP of the U.K.-Italy Double Taxation Treaty of 1998 (“Tax Notice”). The alleged breaches relate to payments to NIP of tax credits on dividends on
Italian shares. The Tax Notice not only denies certain payments to which NIP claims to be entitled but also seeks reimbursement of approximately EUR
33.8 million, plus interest, already refunded. NIP has exhausted all avenues of appeal following a judgment of the Italian Supreme Court dismissing
NIP’s appeal in July 2021.
Similar claims have been made by the tax authorities against IBJ Nomura Financial Products (UK) PLC (“IBJN”) a group company which has
been in members’ voluntary liquidation since 2000. An Italian Supreme Court judgment in June 2019 confirmed that tax credit refunds of approximately
EUR 38 million, plus interest, were payable by IBJN to the Italian tax authorities.
In October 2010 and June 2012, two actions were brought against NIP, seeking recovery of payments allegedly made to NIP by Fairfield Sentry
Ltd. and Fairfield Sigma Ltd. (collectively, “Fairfield Funds”), which are now in liquidation and were feeder funds to Bernard L. Madoff Investment
Securities LLC (in liquidation pursuant to the Securities Investor Protection Act in the U.S. since December 2008) (“BLMIS”). The first suit was
brought by the liquidators of the Fairfield Funds. It was filed on October 5, 2010 in the Supreme Court of the State of New York, but was subsequently
removed to the United States Bankruptcy Court for the Southern District of New York. The second suit was brought by the Trustee for the liquidation of
BLMIS (“Madoff Trustee”). NIP was added as a defendant in June 2012 when the Madoff Trustee filed an amended complaint in the United States
Bankruptcy Court for the Southern District of New York. Both actions seek to recover approximately $35 million.
98

Certain of the Company’s subsidiaries in the U.S. securitized residential mortgage loans in the form of residential mortgage-backed securities(“RMBS”). These subsidiaries did not generally originate mortgage loans, but purchased mortgage loans from third-party loan originators(“originators”). In connection with such purchases, these subsidiaries received loan level representations from the originators. In connection with thesecuritizations, the relevant subsidiaries provided loan level representations and warranties of the type generally described below, which mirror the
representations the subsidiaries received from the originators.
The loan level representations made in connection with the securitization of mortgage loans were generally detailed representations applicable toeach loan and addressed characteristics of the borrowers and properties. The representations included, but were not limited to, information concerning
the borrower’s credit status, the loan-to-value ratio, the owner occupancy status of the property, the lien position, the fact that the loan was originated inaccordance with the originator’s guidelines, and the fact that the loan was originated in compliance with applicable laws. Certain of the RMBS issued by
the subsidiaries were structured with credit protection provided to specified classes of certificates by monoline insurers.
With respect to certain of the RMBS issued from 2005 to 2007, the relevant subsidiaries received claims demanding the repurchase of certain
loans from trustees of various securitization trusts, made at the instance of one or more investors, or from certificate insurers. The total original principal
amount of loans for which repurchase claims were received by the relevant subsidiaries within six years of each securitization is $3,203 million. The
relevant subsidiaries summarily rejected any demand for repurchase received after the expiration of the statute of limitations applicable to breach of
representation claims. For those claims received within six years, the relevant subsidiaries reviewed each claim received, and rejected those claims
believed to be without merit or agreed to repurchase certain loans for those claims that the relevant subsidiaries determined to have merit. In several
instances, following the rejection of repurchase demands, investors instituted actions through the trustee alleging breach of contract from 2011 to 2014.
The breach of contract claims that were brought within the six-year statute of limitations for breach of contract actions have survived motions to dismiss
and the claims are now in the expert discovery phase of litigation in the Supreme Court of the State of New York. These claims involve substantial legal,
as well as factual, uncertainty and the Company cannot provide an estimate of probable loss or reasonably possible loss at this time.
A monoline insurer, Ambac Assurance Corp (“Ambac”), brought an action in April 2013 against Nomura Credit & Capital, Inc. (“NCCI”) and
Nomura Holding America Inc. (“NHA”) alleging breach of contract with respect to representations concerning specific loan characteristics and fraud in
the inducement of the insurance contract based on misrepresentations concerning the loans for two trusts insured by Ambac. The court dismissed all
claims against NHA, and the claims against NCCI are continuing in the Supreme Court of the State of New York and are now in the expert discovery
phase of litigation.
In November 2011, NIP was served with a claim filed by the Madoff Trustee in the United States Bankruptcy Court for the Southern District of
New York. This is a clawback action similar to claims filed by the Madoff Trustee against numerous other institutions. The Madoff Trustee alleges that
NIP received redemptions from the BLMIS feeder fund, Harley International (Cayman) Limited in the six years prior to December 11, 2008 (the dateproceedings were commenced against BLMIS) and that these are avoidable and recoverable under the U.S. Bankruptcy Code and New York law. The
amount that the Madoff Trustee is currently seeking to recover from NIP is approximately $21 million.
In March 2013, Banca Monte dei Paschi di Siena SpA (“MPS”) issued a claim in the Italian Courts against (1) two former directors of MPS and(2) NIP. MPS alleged that the former directors improperly caused MPS to enter into certain structured financial transactions with NIP in 2009(“Transactions”) and that NIP acted fraudulently and was jointly liable for the unlawful conduct of MPS’s former directors. MPS claimed damages of
not less than EUR 1.1 billion.
In March 2013, NIP commenced a claim against MPS in the English Courts. The claim was for declaratory relief confirming that the Transactions
remained valid and contractually binding. MPS filed and served its defence and counterclaim to these proceedings in March 2014. MPS alleged in its
counterclaim that NIP was liable to make restitution of a net amount of approximately EUR 1.5 billion, and sought declarations regarding the illegality
and invalidity of the Transactions.
On September 23, 2015, NIP entered into a settlement agreement with MPS to terminate the Transactions. NIP believes that the Transactions wereconducted legally and appropriately, and does not accept the allegations made against it or admit any wrongdoing. Taking into account the views of
relevant European financial authorities and the advice provided by external experts, NIP considered it to be in its best interests to reach a settlement inrelation to this matter. As part of the agreement, the Transactions were unwound at a discount of EUR 440 million in favour of MPS and the civil
proceedings between MPS and NIP in Italy and England, respectively, will no longer be pursued. Pursuant to the settlement agreement MPS and NIP
applied to the Italian Courts to discontinue the proceedings brought by MPS against NIP. These proceedings have since been discontinued.
99

In April 2013, an investigation was commenced by the Public Prosecutor’s office in Siena, Italy, into various allegations against MPS and certainof its former directors, including in relation to the Transactions. The investigation was subsequently transferred to the Public Prosecutor of Milan. On
April 3, 2015, the Public Prosecutor’s office in Milan issued a notice concluding its preliminary investigation. The Public Prosecutor was seeking toindict MPS, three individuals from MPS’s former management, NIP and two former NIP employees for, among others, the offences of false accounting
and market manipulation in relation to MPS’s previous accounts. The preliminary hearing at which the Milan criminal court considered whether or not
to grant the indictment concluded on October 1, 2016, the Judge ordering the trial of all individuals and banks involved except for MPS (which enteredinto a plea bargaining agreement with the Public Prosecutor). The trial commenced in December 2016. As part of these proceedings, a number of civil
claimants have been permitted to bring damages claims against a number of entities and individuals, including NIP.
On November 8, 2019, the court delivered its oral verdict, finding two former employees of NIP guilty of false accounting, market manipulationand obstructing the supervisory activities of CONSOB and that NIP had breached Italian corporate liability legislation. In so doing, it imposed a fine of
EUR 3.45 million on NIP as well as ordering confiscation of EUR 88 million. On May 12, 2020, the court issued the detailed reasoning for the verdict(including the rationale for the penalties imposed). NIP has appealed the decision to the Milan Court of Appeal. The penalties will not be enforceable
until all appeals have been concluded.
In addition, NIP is involved in a number of separate civil or administrative matters relating to the Transactions including those described further
below.
In July 2013, a claim was issued against former directors of MPS, and NIP, by the shareholder group Fondazione Monte dei Paschi di Siena(“FMPS”). The grounds of the FMPS claim were similar to those on which the MPS claim was founded and the level of damages sought by FMPS was
not less than EUR 315.2 million. In September 2020, NIP, without admitting any wrongdoing, entered into a settlement agreement with FMPS pursuant
to which FMPS waived its claim against NIP. NIP and FMPS have applied to the court to discontinue the proceedings brought against NIP.
In January 2018, a claim before the Italian Courts brought by two claimants, Alken Fund Sicav (on behalf of two Luxembourg investment funds
Alken Fund European Opportunities and Alken Fund Absolute Return Europe) and Alken Luxembourg S.A (the funds’ management company)(collectively referred to as “Alken”) was served on NIP. The claim was made against NIP, MPS, four MPS former directors and a member of MPS’s
internal audit board, and sought monetary damages of approximately EUR 434 million on the basis of allegations similar to those made in the MPS and
FMPS claims, as well as non-monetary damages in an amount left to be quantified by the Judge. In July 2021, the court rejected all of Alken’s claims.
In May 2019, a claim before the Italian Courts brought by York Global Finance Offshore BDH (Luxembourg) Sàrl and a number of seemingly
related funds was served on NIP. The claim is made against NIP, MPS, two MPS former directors and a member of MPS’s internal audit board, andseeks monetary damages of approximately EUR 186.7 million on grounds similar to those in the MPS and FMPS claims, as well as non-monetarydamages in an amount left to be quantified by the Judge.
Additionally, NIP was served by the Commissione Nazionale per le Società e la Borsa (“CONSOB”, the Italian financial regulatory authority)with a notice commencing administrative sanction proceedings for market manipulation in connection with the Transactions. In relation to theTransactions, the notice named MPS, three individuals from MPS’s former management and two former NIP employees as defendants, whereas NIP wasnamed only in its capacity as vicariously liable to pay any fines imposed on the former NIP employees. On May 22, 2018 CONSOB issued its decisionin which it levied EUR 100,000 fines in relation to each of the two former NIP employees. In addition, CONSOB decided that the two employees did
not meet the necessary Italian law integrity requirements to perform certain senior corporate functions, for a period of three months and six months
respectively. NIP was vicariously liable to pay the fines imposed on its former employees. NIP paid the fines and appealed the decision to the Milan
Court of Appeal. In December 2020, the Court of Appeal annulled the CONSOB decision against NIP. CONSOB has appealed the Court of Appeal’s
decision to the Italian Supreme Court.
In June 2016 and August 2016, Nomura International (Hong Kong) Limited (“NIHK”) and Nomura Special Investments Singapore Pte Limited(“NSIS”) were respectively served with a complaint filed in the Taipei District Court against NIHK, NSIS and certain individuals by Cathay United
Bank, Co., Ltd., Taiwan Cooperative Bank Ltd., Chang Hwa Commercial Bank Ltd., Taiwan Business Bank Ltd., KGI Bank and Hwatai Bank Ltd.
(collectively, “Syndicate Banks”). The Syndicate Banks’ complaint relates to a $60 million syndicated term loan to a subsidiary of Ultrasonic AG that
was arranged by NIHK, and made by the Syndicate Banks together with NSIS. The Syndicate Banks’ allegations in the complaint include allegations
that NIHK failed to comply with its fiduciary duties to the lenders as the arranger of the loan and the Syndicate Banks seek to recover approximately$48 million in damages and interest.
100

In March 2017, certain subsidiaries of American International Group, Inc. (“AIG”) commenced proceedings in the District Court of Harris
County, Texas against certain entities and individuals, including Nomura Securities International, Inc. (“NSI”), in connection with a 2012 offering of$750 million of certain project finance notes, of which $92 million allegedly were purchased by AIG. AIG alleges violations of the Texas Securities Act
based on material misrepresentations and omissions in connection with the marketing, offering, issuance and sale of the notes and seeks rescission of thepurchases or compensatory damages.
On May 20, 2021, NIP and the Company were named as addressees in a decision issued by the European Commission in which NIP, the Company
and various other third party banks have been found to have infringed EU competition law in connection with their activity in the primary and secondary
markets for European Government Bonds (“EGB”). The European Commission found that the infringement consisted of anticompetitive agreements
and/or concerted practices in the EGB sector in breach of EU competition law and fined NIP and the Company approximately EUR 129.6 million. In
August 2021, NIP and the Company appealed the decision.
NIP and NSI have been served with a class action complaint filed in the United States District Court for the Southern District of New York
alleging violations of U.S. antitrust law in relation to the alleged manipulation of the primary and secondary markets for EGB.
NIP and NSI were also defendants in a separate class action complaint filed in the United States District Court for the Southern District of New
York alleging violations of U.S. antitrust law relating to the alleged manipulation of the secondary trading market for supranational, sub-sovereign andagency bonds. In July 2021, the Second Circuit Court of Appeals affirmed the District Court’s dismissal of the complaint. Additionally, NIP and NSI are
defendants in a similar class action complaint filed in the Toronto Registry Office of the Federal Court of Canada alleging violations of Canadiancompetition law.
Nomura is responding to requests from governmental authorities in relation to swap trading related to bond issuances. On February 1, 2021, theU.S. Commodity Futures Trading Commission filed a civil enforcement action against a Nomura employee and charged him with violating the antifraud, price manipulation and false statements provisions of the Commodity Exchange Act in relation to a 2015 interest rate swap transaction.
In September 2017 and November 2017, NIHK and NSIS were respectively served with a complaint filed in the Taipei District Court against
NIHK, NSIS, China Firstextile (Holdings) Limited (“FT”) and certain individuals by First Commercial Bank, Ltd., Land Bank of Taiwan Co., Ltd.,
Chang Hwa Commercial Bank Ltd., Taishin International Bank, E.Sun Commercial Bank, Ltd., CTBC Bank Co., Ltd., Hwatai Bank, Ltd. and Bank of
Taiwan (collectively, “FT Syndicate Banks”). The FT Syndicate Banks’ complaint relates to a $100 million syndicated term loan facility to borrower FTthat was arranged by NIHK, and made by the FT Syndicate Banks together with NSIS. The FT Syndicate Banks’ allegations in the complaint include
tort claims under Taiwan law against the defendants. The FT Syndicate Banks seek to recover approximately $68 million in damages and interest.
In August 2017, the Cologne public prosecutor in Germany notified NIP that it is investigating possible tax fraud by individuals who worked for
the Nomura Group in relation to the historic planning and execution of trading strategies around dividend record dates in certain German equities(known as “cum/ex” trading) and in relation to filings of tax reclaims in 2007 to 2012. During the fiscal year ended March 31, 2020, Nomura Group
became aware that certain of those individuals would be the subject of investigative proceedings in Germany. NIP and another entity in the Nomura
Group are cooperating with the investigation, including by disclosing to the public prosecutor certain documents and trading data. If the investigation
involving Nomura Group entities and former individuals proceeds to trial, the individuals could face criminal sanctions and Nomura Group entities
could face administrative sanctions such as administrative fines or profit confiscation orders.
In June 2020, NIP issued a claim against a current Italian counterparty in the courts of England and Wales. The claim seeks declarations that theterms of a derivative transaction entered into in 2005 are binding. The counterparty filed and served its defense and counterclaim to these proceedings inJanuary 2021 which seeks, amongst other things, restitution of sums paid under the transaction. Separately, in June 2020, the counterparty filed aninterim injunction application against NIP in the Tribunal of Palermo relating to payments due by it in relation to the same transaction. This application
was dismissed at first instance but the counterparty is currently appealing that decision.
A former counterparty has asserted a claim against NIP relating to derivative transactions entered into between the counterparty and NIP between
2009 and 2011. The counterparty alleges that it lacked the authority and the capacity to enter into the transactions. To date, no legal proceedings havebeen issued in respect of the claim.
101

Guarantees—
In the normal course of business, Nomura enters into various guarantee arrangements with counterparties in the form of standby letters of credit
and other guarantees, which generally have a fixed expiration date.
In addition, Nomura enters into certain derivative contracts that meet the accounting definition of a guarantee, namely derivative contracts that
contingently require a guarantor to make payment to a guaranteed party based on changes in an underlying that relate to an asset, liability or equity
security held by a guaranteed party. Since Nomura does not track whether its clients enter into these derivative contracts for speculative or hedging
purposes, Nomura has disclosed below information about derivative contracts that could meet the accounting definition of guarantees.
For information about the maximum potential amount of future payments that Nomura could be required to make under certain derivatives, thenotional amount of contracts has been disclosed. However, the maximum potential payout for certain derivative contracts, such as written interest rate
caps and written currency options, cannot be estimated, as increases in interest or foreign exchange rates in the future could be theoretically unlimited.
Nomura records all derivative contracts at fair value on its consolidated balance sheets. Nomura believes the notional amounts generally overstate
its risk exposure. Since the derivative contracts are accounted for at fair value, carrying value is considered the best indication of payment andperformance risk for individual contracts.
The following table presents information on Nomura’s derivative contracts that could meet the accounting definition of a guarantee and standby
letters of credit and other guarantees.
Millions of yen
March 31, 2021
June 30, 2021
Maximum
Maximum
Potential
Potential
Payout/Payout/Carrying
Notional
Carrying
Notional
Total
value
Total
value

Derivative contracts(1)(2)Standby letters of credit and other guarantees(3)
(1)
(2)
(3)

¥5,207,911—¥322,635,226
206,072¥4,111,278—¥349,196,073
457,364

Credit derivatives are disclosed in Note 3. “Derivative instruments and hedging activities” and are excluded from derivative contracts.
Derivative contracts primarily consist of equity, interest rate and foreign exchange contracts.
As of March 31, 2021 and June 30, 2021, primarily related to a certain sponsored repo program where Nomura guarantees to a 3rd party clearing
house the payment of its clients’ obligations. Our exposure under this guarantee is minimized through effectively obtaining collaterals whoseamount is approximately equal to the maximum potential payout of the guarantee.

The following table presents maturity information on Nomura’s derivative contracts that could meet the accounting definition of a guarantee andstandby letters of credit and other guarantees as of June 30, 2021.

Derivative contracts
Standby letters of credit and other guarantees

Carrying
value

Total

¥4,111,278—¥349,196,073
457,364
102

Millions of yen
Maximum Potential Payout/NotionalYears to Maturity
Less than
1 to 33 to 5
1 yearyears
years¥80,748,420
444,736¥80,914,891
9,193¥63,341,450
281

More than
5 years¥124,191,312
3,154

16. Segment and geographic information:
Operating segments—
In April 2021, the Investment Management Division was newly established by replacing the Asset Management Division and the MerchantBanking Division. Accordingly, Nomura’s operating management and management reporting are prepared based on the Retail, the Investment
Management, and the Wholesale segments. Nomura structures its business segments based upon the nature of its main products and services, its clientbase and its management structure.
The accounting policies for segment information follow U.S. GAAP, except for the impact of unrealized gains/losses on certain investments inequity securities held for operating purposes, which under U.S. GAAP are included in Income (loss) before income taxes, but excluded from segment
information.
Revenues and expenses directly associated with each business segment are included in the operating results of each respective segment. Revenues
and expenses that are not directly attributable to a particular segment are allocated to each respective business segment or included in “Other”, based
upon Nomura’s allocation methodologies as used by management to assess each segment’s performance.
Business segments’ results are shown in the following tables. Net interest revenue is disclosed because management views interest revenue net ofinterest expense for its operating decisions. Business segments’ information on total assets is not disclosed because management does not utilize suchinformation for its operating decisions and therefore, it is not reported to management.
The prior period amounts have been reclassified to conform to the current year presentation, in accordance with the realignment in April 2021.
Millions of yen
RetailInvestment
Management

Three months ended June 30, 2020
Non-interest revenue
Net interest revenue
Net revenue
Non-interest expenses
Income before income taxes¥80,345733
81,07866,009¥15,069¥

Three months ended June 30, 2021
Non-interest revenue
Net interest revenue
Net revenue
Non-interest expenses
Income (loss) before income taxes¥84,080906
84,98665,964¥19,022

¥

(1)

¥

¥

Wholesale(1)Other(Incl. elimination)

40,157(483)
39,67417,503
22,171¥ 190,547
58,122
248,669
160,800¥ 87,869¥

63,700(218)
63,482
18,56944,913¥ 110,770
22,007
132,777
161,134¥ (28,357)

¥

¥

¥

Total

94,154(5,131)89,02334,62454,399¥405,203
53,241
458,444278,936¥179,508

78,715(10,056)
68,65929,07539,584¥337,265
12,639349,904
274,742¥ 75,162

Non-interest revenue and Non-interest expense for the three months ended June 30, 2021 include losses of ¥65,362 million arising fromtransactions with a U.S. client. The losses are reported within Net gain on trading in the amount of ¥(56,073) million and in Non-interest expenses—Other in the amount of ¥9,289 million in the consolidated statements of income.
Transactions between operating segments are recorded within segment results on commercial terms and conditions and are eliminated in “Other.”
103

The following table presents the major components of Income (loss) before income taxes in “Other.”
Millions of yen
Three months ended June 30
2020
2021

Net gain (loss) related to economic hedging transactions
Realized gain (loss) on investments in equity securities held for operating purposes
Equity in earnings of affiliates
Corporate items(1)Other(2)(3)
Total
(1)

(2)
(3)

¥

¥

5,577
685
6,609
45,090(3,562)54,399

¥

¥

3,444
173
9,617
(9,272)35,62239,584The income before income taxes for the three months ended June 30, 2020 includes a gain of ¥ 71,075 million which represents the difference
between the fair value of the assets acquired and the carrying value of the assets transferred by Nomura as a result of the rights conversion of theTokyo Nihonbashi district redevelopment project.
The income before income taxes for three months ended June 30, 2021 includes gain of ¥36,249 million from the sale of Nomura ResearchInstitute, Ltd. ordinary shares.
Includes the impact of Nomura’s own creditworthiness.

The table below presents reconciliations of the combined business segments’ results included in the preceding table to Nomura’s reported Net
revenue, Non-interest expenses and Income before income taxes in the consolidated statements of income.
Millions of yen
Three months ended June 30
2020
2021

Net revenue
Unrealized gain (loss) on investments in equity securities held for operating purposes¥ 458,444¥ 349,904

Consolidated net revenue

2,303¥ 460,747

3,371¥ 353,275

Non-interest expenses
Unrealized gain (loss) on investments in equity securities held for operating purposes
Consolidated non-interest expenses¥ 278,936—¥ 278,936¥ 274,742—¥ 274,742

Income before income taxes
Unrealized gain (loss) on investments in equity securities held for operating purposes
Consolidated income before income taxes¥ 179,508
2,303¥ 181,811

¥

104

¥

75,162
3,371
78,533

Geographic information—
Nomura’s identifiable assets, revenues and expenses are generally allocated based on the country of domicile of the legal entity providing theservice. However, because of the integration of the global capital markets and the corresponding global nature of Nomura’s activities and services, it is
not always possible to make a precise separation by location. As a result, various assumptions, which are consistent among years, have been made inpresenting the following geographic data.
The table below presents a geographic allocation of Net revenue and Income (loss) before income taxes from operations by geographic areas, andlong-lived assets associated with Nomura’s operations. Net revenue in “Americas” and “Europe” substantially represents Nomura’s operations in the
U.S. and the U.K., respectively. Net revenue and Long-lived assets have been allocated based on transactions with external customers while Income(loss) before income taxes have been allocated based on the inclusion of intersegment transactions.
Millions of yen
Three months ended June 30
2020
2021

Net revenue(1) (2) :Americas
EuropeAsia and Oceania
Subtotal
Japan
Consolidated¥¥

Income (loss) before income taxes(2) :Americas
EuropeAsia and Oceania
Subtotal
Japan
Consolidated
(1)
(2)

¥

¥

109,188
20,171
10,237
139,596
321,151
460,747
39,99815,017
9,195
64,210117,601
181,811¥¥¥¥38,30433,36821,161
92,833
260,442353,275(36,599)(5,287)
6,621(35,265)
113,798
78,533

There is no revenue derived from transactions with a single major external customer.
Includes losses arising from transactions with a U.S. client.
Millions of yen
March 31, 2021
June 30, 2021

Long-lived assets:
Americas
EuropeAsia and Oceania
Subtotal
Japan
Consolidated

¥

¥
105

98,611
65,165
26,690190,466
303,355
493,821¥¥96,851
52,97326,096
175,920
319,428
495,348

2. Other
On April 27, 2021, the Board of Directors resolved to pay the dividend based on the record date of March 31, 2021 to shareholders registered as ofMarch 31, 2021.
a. Total dividend based on the record date of March 31, 2021
b. Dividend based on the record date of March 31, 2021 per share¥45,953 million
¥15.0
106

[Translation]
Quarterly Review Report of Independent Auditor
June 25, 2024
The Board of Directors
Nomura Holdings, Inc.
Ernst & Young ShinNihon LLC
Tokyo office, Japan
Hiroki Matsumura
Certified Public Accountant
Designated and Engagement Partner
Hisashi Yuhara
Certified Public Accountant
Designated and Engagement Partner
Kenjiro Tsumura
Certified Public Accountant
Designated and Engagement Partner
Toshiro Kuwata
Certified Public Accountant
Designated and Engagement Partner
Auditor’s Conclusion
We have performed a quarterly review of the restated quarterly consolidated financial statements of Nomura Holdings, Inc. (the “Company”)
included in Financial Information section for the three-month period ended June 30, 2021 within the fiscal period from April 1, 2021 to March 31, 2022,
which comprise the quarterly consolidated balance sheet, the quarterly consolidated statements of income, comprehensive income, changes in equity andcash flows, and the related notes, pursuant to the requirement of the rule specified in Article 193-2, Section 1 of the Financial Instruments and Exchange
Act.
Based on our quarterly review, nothing has come to our attention that causes us to believe that the quarterly consolidated financial statements
referred to above do not present fairly, in all material respects, the consolidated financial position of the Company and its consolidated subsidiaries (the“Group”) as of June 30, 2021, and the consolidated results of their operations and cash flows for the three-month period then ended in conformity withaccounting principles generally accepted in the United States of America pursuant to Article 95 of “Regulations Concerning the Terminology, Forms andPreparation Methods of Quarterly Consolidated Financial Statements” (see Note 1 to the quarterly consolidated financial statements).
Basis for Auditor’s Conclusion
We conducted our quarterly review in accordance with quarterly review standards generally accepted in Japan. Our responsibilities under thosestandards are further described in the Auditor’s Responsibilities for the Quarterly Review of the Quarterly Consolidated Financial Statements section of
our report. We are independent of the Group in accordance with the ethical requirements that are relevant to our audit of the financial statements inJapan, and we have fulfilled our other ethical responsibilities in accordance with these requirements. We believe that we have obtained the evidence toprovide a basis for our conclusion.
Emphasis of a matter
As mentioned in Note 1 to the quarterly consolidated financial statements, the Company has restated its quarterly consolidated financial
statements. However, this matter does not affect our conclusion.
We issued our quarterly review report on the original quarterly consolidated financial statements on August 16, 2021. Due to the restatement, weissue this quarterly review report on the restated quarterly consolidated financial statements.
Responsibilities of Management and the Audit Committee for the Quarterly Consolidated Financial Statements
Management is responsible for the preparation and fair presentation of the quarterly consolidated financial statements in accordance withaccounting principles generally accepted in the United States of America (see Note 1 to the quarterly consolidated financial statements), and fordesigning and operating such internal control as management determines is necessary to enable the preparation and fair presentation of the quarterly
consolidated financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the quarterly consolidated financial statements, management is responsible for assessing the Group’s ability to continue as a going
concern and disclosing, as required by accounting principles generally accepted in the United States of America (see Note 1 to the quarterly consolidated
financial statements), matters related to going concern.
The Audit Committee is responsible for overseeing the Group’s financial reporting process.
107

Auditor’s Responsibility for the Quarterly Review of the Quarterly Consolidated Financial Statements
Our responsibility is to independently express a conclusion on the quarterly consolidated financial statements in the quarterly review report based on ourquarterly review. As part of a quarterly review in accordance with quarterly review standards generally accepted in Japan, we exercise professional
judgment and maintain professional skepticism throughout the quarterly review. We also:•

Make inquiries, primarily of management and persons responsible for financial and accounting matters and apply analytical and otherquarterly review procedures. A quarterly review is substantially less in scope than an audit conducted in accordance with auditing
standards generally accepted in Japan.

•

Conclude on whether nothing has come to our attention that causes us to believe that the quarterly consolidated financial statements do notpresent fairly in conformity with accounting principles generally accepted in the United States of America (see Note 1 to the quarterly
consolidated financial statements) based on the audit evidence obtained if we conclude that a material uncertainty exists related to events
or conditions that may cast significant doubt on the Group’s ability to continue as a going concern. If we conclude that a material
uncertainty exists, we are required to draw attention in our quarterly review report to the related disclosures in the quarterly consolidated
financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the evidence obtained up
to the date of our quarterly review report. However, future events or conditions may cause the Group to cease to continue as a going
concern.

•

Evaluate whether nothing has come to our attention that cause us to believe that the overall presentation, structure and content of thequarterly consolidated financial statements, including the disclosures, and the quarterly consolidated financial statements do not represent
the underlying transactions and events in a manner that achieves fair presentation in accordance with accounting principles generally
accepted in the United States of America (see Note 1 to the quarterly consolidated financial statements).

•

Obtain evidence of the financial information of the Group to express its conclusions on the quarterly consolidated financial statements.
The auditor is responsible for directing, overseeing and implementing the quarterly review of the quarterly consolidated financial
statements. The auditor is solely responsible for the auditor’s conclusions.

We communicate with the Audit Committee regarding, among other matters, the planned scope and timing of the quarterly review and significant
quarterly review findings.
We also provide the Audit Committee with a statement that we have complied with the ethical requirements regarding independence that are
relevant to our audit of the consolidated financial statements in Japan, and to communicate with them all relationships and other matters that may
reasonably be thought to bear on our independence, and where applicable, related safeguards.
Conflicts of Interest
We have no interest in the Group which should be disclosed in accordance with the Certified Public Accountants Act.
*1.
*2.

The Company maintains the original of the Quarterly Review Report of Independent Auditor above.
XBRL data is not included in the scope of the quarterly review.

(Note)
This is an English translation of the Japanese language Quarterly Review Report of Independent Auditor issued by Ernst & Young ShinNihon LLC
in connection with the limited procedures applied on the quarterly consolidated financial statements of Nomura Holdings, Inc., prepared in Japanese, forthe three-month period ended June 30, 2021 within the fiscal period from April 1, 2021 to March 31, 2022. Ernst & Young ShinNihon LLC have notapplied any such procedures nor have they performed an audit on the English language version of the quarterly consolidated financial statements for theabove-mentioned period which are included in this report on Form 6-K/A.
108

Exhibit 2
Confirmation Letter
1 [Appropriateness of Quarterly Securities Report]
Kentaro Okuda, Group Chief Executive Officer, and Takumi Kitamura, Chief Financial Officer, have confirmed that quarterly amendment reportof Nomura Holdings, Inc. for the three months ended June 30, 2021 is appropriate under the Financial Instruments and Exchange Act.
2 [Special Comments]
There is no special comment to be stated.
109