Basel III Data
(Consolidated)

INTERIM FISCAL 2014

Contents

2

Scope of Consolidation

3

Composition of Equity Capital

5

Capital Adequacy

18

Credit Risk

20

Credit Risk Mitigation

34

Derivative Transactions andLong Settlement Transactions

35

Securitization Exposures(Subject to calculation of credit risk assets)

36

Securitization Exposures(Subject to calculation of market risk equivalent amount)

45

Market Risk

47

Equity Exposures in Banking Book

49

Exposures Relating to Funds

50

Interest Rate Risk in the Banking Book (IRRBB)

51

Basel III Disclosure

Interim Fiscal 2014

In accordance with the provisions of Article 52-25 of the Banking Law of Japan, Mitsubishi UFJ Financial Group (MUFG) adopts
the “International regulatory framework” to calculate its capital adequacy ratio based on formulas contained in the standards forthe consolidated capital adequacy ratio of bank holding companies (Notification of the Financial Services Agency No. 20, 2006;
referred to hereinafter as the “FSA Holding Company Capital Adequacy Notification”) to assess capital adequacy in light of theassets we own on a consolidated basis.
With regard to the calculation of the consolidated capital adequacy ratio, MUFG received an independent audit by Deloitte
Touche Tohmatsu (DTT) LLC in accordance with “Treatment of Inspection of the Capital Ratio Calculation Framework Based onAgreed-Upon Procedures” (JICPA Industry Committee Report No. 30). With regard to part of the internal controls structure governing calculation of the consolidated capital adequacy ratio, MUFG received a report from DTT LLC, which conducted certain
procedures as deemed necessary by MUFG. The procedures conducted by the independent auditor were not part of an
accounting audit of the consolidated financial statements, and we did not receive any audit opinion with regard to our internal
controls structure governing the calculation of the consolidated capital adequacy ratio or the related consolidated capital adequacy ratio.

Scope of Consolidation
Notes on the scope of consolidation3

Differences between those companies
belonging to the corporate group (hereinafter, the “holding company group”) to
which the calculation of consolidated
capital adequacy ratio as stipulated in
Article 3 of the FSA Holding Company
Capital Adequacy Notification is applicable and those companies that areincluded in the scope of consolidation
for accounting purposes

Paragraph 1 of Article 3 of the FSA Holding Company Capital Adequacy
Notification states that “the provisions of Paragraph 2 of Article 5 of the Japanese
regulations pertaining to consolidated financial statements shall not apply” to“financial subsidiaries” of a bank holding company. Moreover, Paragraph 2 of thesaid Article 3 states that “insurance-related subsidiaries” of a bank holding company “shall not be included in the scope of consolidation.”
In addition, with regard to affiliated companies engaged in financial operations, the
FSA Consolidated Capital Adequacy Notification states that, provided certain
conditions are met, such companies “can be included in the scope of consolidationand in the calculation of the consolidated capital adequacy ratio using pro rata
consolidation” (under which only those portions of the affiliated company’s assets,
liabilities, income and expenditures that are attributable to the bank holding company or any consolidated subsidiaries with investments in the said affiliated company are included in the scope of consolidation).
MUFG Group had no companies to which the above exception applied as of
September 30, 2013, or September 30, 2014, and there were no differences
between those companies belonging to the “holding company group” and thosecompanies that are included in the “scope of consolidation for accounting purposes.”

Number of consolidated subsidiaries,
and names and principal businesses ofmajor consolidated subsidiaries of theholding company group249 companies as of September 30, 2013; 255 companies as of September 30,
2014
The Bank of Tokyo-Mitsubishi UFJ, Ltd. (banking business), Mitsubishi UFJ Trustand Banking Corporation (trust/banking business), Mitsubishi UFJ Securities
Holdings Co., Ltd. (securities business), etc.

Number of affiliated companies engaged
in financial operations which are subject
to Article 9 of the FSA Holding Company
Capital Adequacy Notification, andnames, amounts of total assets and net
assets shown on the balance sheet andprincipal businesses of affiliated companies engaged in these financial
operations

Not applicable as of September 30, 2013 and 2014

Basel III Disclosure

Interim Fiscal 2014

Names, amounts of total assets and net
assets shown on the balance sheet, andprincipal businesses of companies
belonging to the holding company groupthat are not included in the scope of
consolidation for accounting purposes,
and of companies not belonging to theholding company group but included in
the scope of consolidation for accounting
purposes

Not applicable as of September 30, 2013 and 2014

Outline of restrictions on transfer offunds or equity capital within the holding
company group

As of September 30, 2013 and 2014, transfer of funds or capital within the MUFG
Group is conducted with all due consideration given to the appropriateness ofeach action. We give priority in ensuring that each group company maintainss­ ufficient capital level for legal and regulatory compliance purposes. Care is also
taken to ensure that actions do not compromise sound and proper operations,while eliminating negative effects on payment capacity, liquidity or profitability.

Companies that are deficient in regulatory capital and total regulatory capital deficiencies
Names of any other financial institutions, etc., classified as subsidiaries orother members of the bank holding
company that are deficient in regulatory
capital, and corresponding total regulatory capital deficiencies

4

Basel III Disclosure

Interim Fiscal 2014

Not applicable as of September 30, 2013 and 2014

Composition of Equity Capital
Composition of Capital Disclosure
Millions of yen

Items

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

Basel III
Template No.

Common Equity Tier 1 capital: instruments
and reserves (1)Directly issued qualifying common share capitalplus related capital surplus and retained
earnings

10,502,813/

10,982,788/

1a+2–1c–26

of which: capital and capital surplus

3,924,335/

3,580,926/

1aof which: retained earnings

6,688,270/

7,531,092/

2(1,677)/(1,714)/1c(108,115)/(127,515)

/

26

—

/

—

/

of which: treasury stockof which: national specific regulatory
adjustments (earnings to be distributed)
of which: other than above

8,399

/

7,906

/

1b

Accumulated other comprehensive income andother disclosed reserves

Subscription rights to common shares—

1,463,806

448,640

1,794,560

3

Common share capital issued by subsidiaries
and held by third parties (amount allowed ingroup Common Equity Tier 1)

57,778/151,013/

5

Total of items included in Common Equity Tier
1 capital: instruments and reserves subject totransitional arrangements

196,688/

140,316/of which: common share capital issued bysubsidiaries and held by third parties(amount allowed in group Common Equity
Tier 1)

196,688/

140,316/

10,765,679/

11,730,666/

6

Common Equity Tier 1 capital: instruments
and reserves

(A)

Common Equity Tier 1 capital: regulatory
adjustments (2)Total intangible assets (net of related tax
liability, excluding those relating to mortgage
servicing rights)

5—

1,079,802

211,652

846,6118+9

of which: goodwill (including those equivalent)—

668,838

83,396

333,5878of which: other intangibles other than goodwill
and mortgage servicing rights—

410,964

128,255

513,023

9

Deferred tax assets that rely on future profitability
excluding those arising from temporary
differences (net of related tax liability)

—

5,561

471

1,884

10

Deferred gains or losses on derivatives underhedge accounting—

56,916

21,43785,750

11

Shortfall of eligible provisions to expected losses

—

—

—

—

12

Securitization gain on sale—

13,324

2,697

10,791

13

Gains and losses due to changes in own credit
risk on fair valued liabilities

—

—

—

—

14

Net defined benefit asset//

55,468221,874

15

Defined-benefit pension fund net assets(prepaid pension costs)—

294,882//

15

Basel III Disclosure

Interim Fiscal 2014

Composition of Capital Disclosure (continued)

Items

Millions of yen

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

Basel III
Template No.

Investments in own shares (excluding thosereported in the Net assets section)—

13,9683,122

12,488

16

Reciprocal cross-holdings in common equity

—

—

—

—

17

Investments in the capital of banking, financial
and insurance entities that are outside thescope of regulatory consolidation, net of eligible
short positions, where the bank does not own
more than 10% of the issued share capital(amount above the 10% threshold)

—

—

—

—

18

Amount exceeding the 10% threshold on
specified items

—

—

—

—

19+20+21

of which: significant investments in thecommon stock of financials

—

—

—

—

19

of which: mortgage servicing rights

—

—

—

—

20

of which: deferred tax assets arisingfrom temporary differences(net of related tax liability)

—

—

—

—

21

Amount exceeding the 15% threshold on
specified items

—

—

—

—

22

of which: significant investments in thecommon stock of financials

—

—

—

—

23

of which: mortgage servicing rights

—

—

—

—

24

of which: deferred tax assets arisingfrom temporary differences(net of related tax liability)

—

—

—

—

25

—

/

—

/

27

(B)

—

/

294,850/

28

Common Equity Tier 1 capital (CET1)((A) – (B)) (C)10,765,679/

11,435,815/

29

Directly issued qualifying Additional Tier 1
instruments plus related capital surplus ofwhich: classified as equity under applicableaccounting standards

—

/

—

/

31a 30

Subscription rights to Additional Tier 1
instruments

—

/

—

/

31b 30

Directly issued qualifying Additional Tier 1
instruments plus related capital surplus ofwhich: classified as liabilities under applicableaccounting standards

—

/

—

/

32 30

Qualifying Additional Tier 1 instruments plus
related capital surplus issued by special
purpose vehicles and other equivalent entities

—

/

—

/

30

Regulatory adjustments applied to Common
Equity Tier 1 due to insufficient Additional
Tier 1 and Tier 2 to cover deductions
Common Equity Tier 1 capital:
regulatory adjustments
Common Equity Tier 1 capital (CET1)

Additional Tier 1 capital: instruments (3)6Basel III Disclosure

Interim Fiscal 2014

Composition of Capital Disclosure (continued)

Items

Millions of yen

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

Basel III
Template No.

Additional Tier 1 instruments issued bysubsidiaries and held by third parties(amount allowed in group Additional Tier 1)

123,855/

137,958/

34–35

Eligible Tier 1 capital instruments subject totransitional arrangements included in
Additional Tier 1 capital: instruments

1,491,777/

1,326,024

/

33+35

1,491,612/

1,325,835

/

33

165

/

188

/

35

163,706/

203,376/

163,706/

203,376/(D)

1,779,339/

1,667,359/

36

Investments in own Additional Tier 1 instruments

—

1,167

—

—

37

Reciprocal cross-holdings in Additional
Tier 1 instruments

—

—

—

—

38

Investments in the capital of banking, financial
and insurance entities that are outside thescope of regulatory consolidation, net of
eligible short positions, where the bank does
not own more than 10% of the issued commonshare capital of the entity (amount above the
10% threshold)

—

—

—

—

39

Significant investments in the capital of banking,financial and insurance entities that are outside
the scope of regulatory consolidation (net of
eligible short positions)

—

9,211

57

230

40

Total of items included in Additional Tier 1 capital:
regulatory adjustments subject to transitionalarrangements

546,374/

376,999/of which: goodwill (net of related tax liability,
including those equivalent)

505,126/

213,252/of which: other intangibles other than goodwill
and mortgage servicing rights(net of related tax liability)

27,923/

152,956/of which: securitization gain on saleof which: instruments issued by bank holding
companies and their special purpose vehiclesof which: instruments issued by subsidiaries
and other equivalent entities of bankholding companies (excluding special
purpose vehicles)
Total of items included in Additional Tier 1 capital:
instruments subject to transitional arrangementsof which: foreign currency translation
adjustments
Additional Tier 1 capital: instruments
Additional Tier 1 capital: regulatory
adjustments

7

13,324/

10,791/

Regulatory adjustments applied to Additional Tier
1 due to insufficient Tier 2 to cover deductions

—

/

—

/

42

Additional Tier 1 capital: regulatory
adjustments(E)546,374/

377,057/

43

Basel III Disclosure

Interim Fiscal 2014

Composition of Capital Disclosure (continued)

Millions of yen

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

1,232,965/

1,290,302/

44

11,998,645/

12,726,118/

45

Directly issued qualifying Tier 2 instruments plus
related capital surplus of which: classified as
equity under applicable accounting standards

—

/

—

/

46

Subscription rights to Tier 2 instruments

—

/

—

/

46

Directly issued qualifying Tier 2 instruments plus
related capital surplus of which: classified asliabilities under applicable accounting standards—/

49,300/46

Qualifying Tier 2 instruments plus related capitalsurplus issued by special purpose vehicles andother equivalent entities

—

/

—

/

46

Tier 2 instruments issued by subsidiaries andheld by third parties(amount allowed in group Tier 2)

38,273/65,347/

48–49

Eligible Tier 2 capital instruments subject totransitional arrangements included in Tier 2:
instruments and provisions

2,384,976/

1,990,698

/

47+49

—

/

—

/

47

of which: instruments issued bysubsidiaries and other equivalent
entities of bank holding companies(excluding special purpose vehicles)

2,384,976/

1,990,698/

49

Total of general allowance for credit losses
and eligible provisions included in Tier 2

230,364/

237,459/50

of which: provision for general allowancefor credit losses

108,871/

137,855/

50a

of which: eligible provisions

121,493/

99,604/50b

931,244/

1,098,267/

of which: amounts equivalent to 45% of
unrealized gains on other securities

802,891/

997,325/of which: deferred gains or losses onderivatives under hedge accounting(13,101)/(12,297)/

Items

Basel III
Template No.

Additional Tier 1 capital
Additional Tier 1 capital

((D) – (E)) (F)Tier 1 capital

(T1 = CET1 + AT1)

Tier 1 capital

(T1 = CET1 + AT1) ((C) + (F)) (G)Tier 2 capital: instruments andprovisions (4)of which: instruments issued by bank holding
companies and their special purpose vehicles

Total of items included in Tier 2 capital:
instruments and provisions subject totransitional arrangementsof which: amounts equivalent to 45% ofland revaluation excess

141,453/

113,240/

3,584,859/

3,441,073/

51

Investments in own Tier 2 instruments—

17,757

4,253

17,01552

Reciprocal cross-holdings in Tier 2 instruments

—

—

—

—

53

Tier 2 capital: instruments and provisions(H)

Tier 2 capital: regulatory adjustments

8

Basel III Disclosure

Interim Fiscal 2014

Composition of Capital Disclosure (continued)

Items

Millions of yen

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

Basel III
Template No.

Investments in the capital of banking, financial
and insurance entities that are outside thescope of regulatory consolidation, net of
eligible short positions, where the bank does
not own more than 10% of the issued
common share capital of the entity(amount above the 10% threshold)

—

—

—

—

54

Significant investments in the capital banking,financial and insurance entities that are outside
the scope of regulatory consolidation(net of eligible short positions)

—

4,831

1,011

4,044

55

Total of items included in Tier 2 capital: regulatory
adjustments subject to transitional arrangements

175,636/

122,735/of which: goodwill (net of related tax liability,
including those equivalent)

163,712/120,335/of which: significant investments in the capitalbanking, financial and insurance entities
that are outside the scope of regulatory
consolidation (net of eligible short positions)

11,924

/

2,400

/

(I)

175,636/

128,000/

57((H) – (I)) (J)3,409,222/

3,313,073/

58((G) + (J)) (K)15,407,868/

16,039,191/

59

Total of items included in risk weighted assets
subject to transitional arrangements

697,763/597,625/of which: other intangibles other than
goodwill and mortgage servicing rights(net of related tax liability)

383,040/

360,067

/

5,561

/

1,884

/

Tier 2 capital: regulatory adjustments
Tier 2 capital (T2)
Tier 2 capital (T2)
Total capital (TC = T1 + T2)
Total capital (TC = T1 + T2)Risk weighted assets (5)of which: deferred tax assets that rely on future
profitability excluding those arising from
temporary differences(net of related tax liability)of which: net defined benefit asset//

221,874/of which: defined-benefit pension fund net
assets (prepaid pension costs)

294,882///of which: investments in own shares(excluding those reported in the
Net assets section)

11,572/

11,657

/

2,706

/

2,141

/

91,448,580/

104,160,164/

of which: significant investments in the capitalbanking, financial and insurance entities
that are outside the scope of regulatory
consolidation (net of eligible short positions)
Risk weighted assets

9

Basel III Disclosure

Interim Fiscal 2014

(L)

60

Composition of Capital Disclosure (continued)

Items

Millions of yen

September 30, 2013

September 30, 2014

Amounts excluded under­transitional arrangements

Amounts excluded under­transitional arrangements

Basel III
Template No.

Capital ratio (consolidated)
Common Equity Tier 1 capital ratio (consolidated)((C) / (L))

11.77%/

10.97%/

61

Tier 1 capital ratio (consolidated)

((G) / (L))

13.12%/

12.21%/

62

Total capital ratio (consolidated)

((K) / (L))

16.84%/

15.39%/

63

Non-significant investments in the capital of otherfinancials that are below the thresholds fordeduction (before risk weighting)

868,852/

901,957/

72

Significant investments in the common stock ofother financials that are below the thresholds
for deduction (before risk weighting)662,963/

721,947/

73

Mortgage servicing rights that are below thethresholds for deduction (before risk weighting)

89

/

380

/

74

195,616/

22,254/75

Provisions (general allowance for credit losses)

108,871/

137,855/76

Cap on inclusion of provisions(general allowance for credit losses)

190,508/250,371/

77

Provisions eligible for inclusion in Tier 2 inrespect of exposures subject to internalratings-based approach (prior to application ofcap) (if the amount is negative, report as “nil”)

121,493/

99,604/78

Cap for inclusion of provisions in Tier 2 underinternal ratings-based approach

363,683/

381,668/79

1,491,777/

1,326,024/82

212,749

/

4,457

/

83

2,384,976/

2,119,979/

84

85,794

/

—

/

85

Regulatory adjustments (6)Deferred tax assets arising from temporary
differences that are below the thresholds fordeduction (before risk weighting)
Provisions included in Tier 2 capital:
instruments and provisions (7)Capital instruments subject to transitionalarrangements (8)Current cap on AT1 instruments subject tophase out arrangements
Amount excluded from AT1 due to cap (excess
over cap after redemptions and maturities)(if the amount is negative, report as “nil”)
Current cap on T2 instruments subject totransitional arrangements
Amount excluded from T2 due to cap (excess
over cap after redemptions and maturities)(if the amount is negative, report as “nil”)

Note: Capital instruments, approved by the commissioner of Japanese Financial Services Agency, subject to the provision to Paragraph 12 of Article 8 of the notificationof Japanese Financial Services Agency No. 20, 2006, hereinafter referred to as the “FSA Consolidated Capital Adequacy Notification,” are excluded from thecalculation of figures stipulated in Paragraph 8 of Article 8, 9-1, and 10-1 of FSA Consolidated Capital Adequacy Notification, for 10 years from March 31, 2013 toMarch 30, 2023. The approved amount will decrease by 20% each year from March 31, 2019. The amount approved at the end of September, 2013 is 1,095,808
million yen and the amount approved at the end of September, 2014 is 1,187,981 million yen.

10

Basel III Disclosure

Interim Fiscal 2014

Explanation on reconciliation between balance sheet items and regulatory capital elements defined in theprevious paragraph (September 30, 2013 and 2014)
Notes: 1.	The amounts in the “Composition of capital disclosure” are based on those before considering transitional arrangements and include “Amounts excluded undertransitional arrangements” disclosed in “Composition of Capital Disclosure” as well as the amounts included in regulatory capital. In addition, items included inregulatory capital under transitional arrangements are excluded from this table.
2.	As of September 30, 2013 and 2014, the regulatory scope of consolidation was the same as the accounting scope of consolidation.

1. Shareholders’ equity(1) Consolidated balance sheet
Consolidated balance sheet items

Millions of yen
September 30, 2013

September 30, 2014

Capital stock

2,140,421

2,141,449

Capital surplus

2,173,915

1,439,477

Retained earnings

6,688,270

7,531,092

Treasury stock
Total shareholders’ equity(1,677)(1,714)

11,000,929

11,110,304

Remarks(2) Composition of capital

Composition of capital disclosure

Millions of yen
September 30, 2013

September 30, 2014

Directly issued qualifying commonshare capital plus related capitalsurplus and retained earnings

Basel III
Template No.

Shareholders’ equity
attributable to commonshares (before adjusting
national specific regulatory
adjustments (earnings to
be distributed))

10,610,928

11,110,304

of which: capital and capitalsurplus3,924,335

3,580,926

of which: retained earnings

6,688,270

7,531,092

2(1,677)(1,714)1c——of which: treasury stockof which: other than above
Directly issued qualifying Additional
Tier 1 instruments plus related
capital surplus of which: classified
as equity under applicableaccounting standards and its
breakdown

11

Remarks

Basel III Disclosure

Interim Fiscal 2014

—

—

1a

Shareholders’ equity
attributable to preferredshares with a loss
absorbency clause uponentering into effective
bankruptcy

31a2. Intangible fixed assets(1) Consolidated balance sheet

Millions of yen
September 30, 2013

September 30, 2014

Intangible fixed assets

1,165,895

1,204,280

Securities

77,113,847

73,179,318

163,712150,418

Goodwill attributable to equity-method
investees

248,277

292,878

Income taxes related to intangibles otherthan goodwill and mortgage servicing rights

Consolidated balance sheet itemsof which: goodwill attributable toequity-method investees
Income taxes related to above

Remarks(2) Composition of capital

Composition of capital disclosure

Millions of yen
September 30, 2014

Goodwill (net of related tax liability,
including those equivalent)

668,838

416,984

8

Other intangibles other than
goodwill and mortgage servicing
rights (net of related tax liability)

410,964

641,2799

Mortgage servicing rights

Remarks

Basel III
Template No.

September 30, 2013

89

380

Amount exceeding the 10%threshold on specified items

—

—

20

Amount exceeding the 15%threshold on specified items

—

—

24

Mortgage servicing rights thatare below the thresholds fordeduction (before risk weighting)

89

380

74

September 30, 2013

September 30, 2014

9,587,937/

475,593//433,641

180,710156,298

3. Net defined benefit assets(1) Consolidated balance sheet
Consolidated balance sheet items

Other assets
Defined-benefit pension fund net
assets (prepaid pension costs)
Net defined benefit assets
Income taxes related to above

Millions of yen
Remarks(2) Composition of capital
Composition of capital disclosure

Net defined benefit assets
Defined-benefit pension fund net
assets (prepaid pension costs)

12

Basel III Disclosure

Interim Fiscal 2014

Millions of yen
Remarks

Basel III
Template No.

September 30, 2013

September 30, 2014/

277,34315

294,882/15

4. Deferred tax assets(1) Consolidated balance sheet

Millions of yen
September 30, 2013

September 30, 2014

Deferred tax assets

128,319

85,707

Deferred tax liabilities

201,623

641,157

Deferred tax liabilities for land
revaluation

155,944

154,564

Tax effects on other intangible fixed
assets248,277

292,878/

156,298

180,710/

Consolidated balance sheet items

Tax effects on net defined
benefit assets
Tax effects on defined-benefit
pension fund net assets(prepaid pension costs)

Remarks(2) Composition of capital
Composition of capital disclosure

Millions of yen
September 30, 2013

September 30, 2014

Deferred tax assets that rely on
future profitability excluding thosearising from temporary differences(net of related tax liability)
5,561

2,355

This item does not agreewith the amount reported
on the balance sheet due
to offsetting of assets andliabilities.
This item does not agreewith the amount reported
on the balance sheet due
to offsetting of assets andliabilities.

Deferred tax assets that rely on
future profitability arising from
temporary differences(net of related tax liability)

Basel III
Template No.

10

195,616

22,254

Amount exceeding the 10%threshold on specified items

—

—

21

Amount exceeding the 15%threshold on specified items

—

—

25

195,616

22,25475

Deferred tax assets arising from
temporary differences thatare below the thresholds fordeduction (before risk weighting)

13

Remarks

Basel III Disclosure

Interim Fiscal 2014

5. Deferred gains or losses on derivatives under hedge accounting(1) Consolidated balance sheet
Consolidated balance sheet items

Deferred gains or losses onderivatives under hedge
accounting

Millions of yen
September 30, 2013

September 30, 2014

27,80273,028Remarks(2) Composition of capital
Composition of capital disclosure

Millions of yen
September 30, 2013

September 30, 2014

Deferred gains or losses onderivatives under hedge
accounting

56,916

107,188

Remarks

Basel III
Template No.

Excluding those items whose
valuation differences arisingfrom hedged items arerecognized as“Accumulated othercomprehensive income”

11

6. Items associated with investments in the capital of financial institutions(1) Consolidated balance sheet
Consolidated balance sheet items

Millions of yen
September 30, 2013

September 30, 2014

Trading assets
16,493,759

17,428,975

Securities

77,113,847

73,179,318

Loans and bills discounted

95,245,250

102,571,087

9,587,937

9,906,313

Including derivatives and investments inthe capital

12,613,653

14,166,285

Including trading account securities sold andderivatives for trading-assets

7,397,809

7,498,875

Including derivatives

Other assets
Trading liabilities
Other liabilities

14

Remarks

Including trading account securities andderivatives for trading assets

Basel III Disclosure

Interim Fiscal 2014

Including subordinated loans

(2) Composition of capital
Composition of capital disclosure

Remarks

Basel III
Template No.

September 30, 2013

September 30, 2014

32,89436,879Common equity Tier 1 capital

13,96815,61016

Additional Tier 1 capital

1,167

—

37

Tier 2 capital

52

Investments in own capital
instruments

17,757

21,269Reciprocal cross-holdings in thecapital of banking, financial andinsurance entities——

Common equity Tier 1 capital

—

—

17

Additional Tier 1 capital

—

—

38

Tier 2 capital

—

—

53

868,852

901,957

Investments in the capital ofbanking, financial and insurance
entities that are outside the scopeof regulatory consolidation, netof eligible short positions, where
the bank does not own more than
10% of the issued share capital(amount above 10% threshold)Common equity Tier 1 capital

—

—

18

Additional Tier 1 capital

—

—

39

Tier 2 capital

—

—

54

868,852

901,957

72

Significant investments in thecapital of banking, financial
and insurance entities that areoutside the scope of regulatory
consolidation, net of eligible
short positions

677,006

727,291

Amount exceeding the 10%threshold on specified items——

Non-significant investments inthe capital of other financialsthat are below the thresholds fordeduction (before risk weighting)Amount exceeding the 15%threshold on specified items

19

—

—

23

Additional Tier 1 capital

9,211

287

40

Tier 2 capital

4,831

5,055

55

662,963

721,947

73

Significant investments inthe capital of financials thatare below the thresholds fordeduction (before risk weighting)

15

Millions of yen

Basel III Disclosure

Interim Fiscal 2014

7. Minority interests(1) Consolidated balance sheet
Consolidated balance sheet items

Minority interests

Millions of yen
September 30, 2013

September 30, 2014

1,855,256

1,981,648

Remarks(2) Composition of capital
Composition of capital disclosure

Common share capital issued bysubsidiaries and held by third
parties (amount allowed in group
CET1)
Directly issued qualifying Additional
Tier 1 instruments plus related
stock surplus of which: classified
as equity under applicableaccounting standards, or of which:classified as liabilities underapplicable accounting standards
Subscription rights to Additional
Tier 1 instruments
Additional Tier 1 instruments
issued by subsidiaries and held by
third parties (amount allowed
in group AT1)

Millions of yen
September 30, 2013

57,778September 30, 2014

151,013—

123,855—

16

Basel III Disclosure

Interim Fiscal 2014

After reflecting amounts
eligible for inclusion(after minority interest
adjustments)

Basel III
Template No.

5

After reflecting amounts
eligible for inclusion(after minority interest
adjustments)—

38,27330–31ab–32

137,958

After reflecting amounts
eligible for inclusion(after minority interest
adjustments)

34–35

—

After reflecting amounts
eligible for inclusion(after minority interest
adjustments)

46

65,347After reflecting amounts
eligible for inclusion(after minority interest
adjustments)

48–49

Directly issued qualifying Tier 2
instruments plus related stock
surplusTier 2 instruments issued bysubsidiaries and held by third
parties (amount allowed ingroup Tier 2)

Remarks

8. Other capital instruments(1) Consolidated balance sheet
Consolidated balance sheet items

Millions of yen
September 30, 2013

September 30, 2014

Borrowed money

10,531,385

12,603,521

Bonds payable

6,093,491

7,628,496

Total

16,624,877

20,232,017

Remarks(2) Composition of capitalMillions of yen
Remarks

September 30, 2014

Directly issued qualifying Additional
Tier 1 instruments plus related
stock surplus of which: classified
as liabilities under applicableaccounting standards

—

—

32

Directly issued qualifying Tier 2
instruments plus related stock
surplus of which: classified
as liabilities under applicableaccounting standards and its
breakdown—

49,30046

Description of agreements concerning methods of procuring capital
Details are shown on the MUFG website (Please see http://www.mufg.jp/english/ir/basel3/)17

Basel III
Template No.

September 30, 2013

Composition of capital disclosure

Basel III Disclosure

Interim Fiscal 2014

Capital Adequacy
Capital requirements for credit risk
Capital requirements for credit risk (excluding equity exposures under the IRB
Approach and exposures relating to funds (Note 3))
IRB Approach (excluding securitization exposures)
Corporate exposures (excluding specialized lending exposures subject tosupervisory slotting criteria)
Corporate exposures (specialized lending exposures subject tosupervisory slotting criteria)Billions of yen

September 30, 2013

September 30, 2014

6,293.2

6,458.2

4,883.9

4,677.1

3,431.6

3,341.5

30.0

32.5

Sovereign exposures

69.7

69.6

Bank exposures

193.1

249.1

Residential mortgage exposures

481.0

423.7

Qualifying revolving retail exposures

189.4

163.3

Other retail exposures

258.0

224.3

0.0

0.0

Exposures related to unsettled transactions
Exposures for other assets
Standardized Approach (excluding securitization exposures)
Securitization exposures (Note 4)

230.8

172.7

1,219.2

1,602.3

190.0

178.7

Portfolios under the IRB Approach

169.7

160.9

Portfolios under the Standardized Approach

20.2

17.7

Capital requirements for credit risk of equity exposures underthe IRB Approach

863.2

1,018.5

Exposures subject to transitional arrangements(grandfathering provisions) (Note 5)

367.2

—

Market-Based Approach (Simple Risk Weight Method) (Note 6)

95.5

117.9

—

—

259.9

747.7

Market-Based Approach (Internal Models Method) (Note 6)
PD/LGD Approach (Note 6)
Exposures related to specific items related to components
not included in survey items

140.3

152.8

Capital requirements for exposures relating to funds

195.9

268.9

Required capital for CVA risk

268.9

307.5

Required capital for credit risk associated with exposures relating tocentral clearing houses

38.0

35.7

7,659.4

8,089.0

Total

Notes: 1. Credit risk-weighted assets were calculated using the AIRB approach. However, as an exemption to this approach, the Standardized Approach is used for
calculations with credit risk-weighted assets at some subsidiaries in cases where the figures for such subsidiaries are expected to be minor compared with thetotal. In addition, the adoption of the IRB approach is due to be phased in from the end of March 2018 at MUFG Americas Holdings Corporation and from theend of March 2019 at Bank of Ayudhya Public Company Limited.
2. Capital requirement for portfolios under the IRB Approach is calculated as “credit risk-weighted asset amount x 8% + expected losses.” In this calculation, thecredit risk-weighted asset amount is multiplied by the scaling factor of 1.06. Capital requirements for portfolios under the Standardized Approach are calculated
as “credit risk-weighted asset amount x 8%.”
3.	Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 145 of the FSA Holding Company Capital Adequacy Notification.
4. Including amounts equivalent to the increase in equity capital resulting from a securitization exposure, as regulatory adjustments applied to equity capital.
5.	Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 13 of the Supplementary Provisions to the FSA Holding Company
Capital Adequacy Notification.
6.	Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 144 of the FSA Holding Company Capital Adequacy Notification.

18

Basel III Disclosure

Interim Fiscal 2014

Capital requirements for market risk

Billions of yen

September 30, 2013

September 30, 2014

Standardized Method

72.9

88.4

Interest rate risk

36.5

42.7

Equity position risk

29.6

39.2

Foreign exchange risk

3.8

6.4

Commodity risk

0.4

0.0

Options transactions——

Internal Models Approach

75.3

138.5

Total

148.2

226.9

Note:	As for market risk, the Internal Models Approach is mainly adopted to calculate general market risk (in some cases the Standardized Method is adopted) and theStandardized Method is adopted to calculate specific risk.
Stressed value-at-risk is included in the market risk equivalent amount based on the Internal Models Approach.

Capital requirements for operational risk

Billions of yen

September 30, 2013

September 30, 2014

The Advanced Measurement Approach

321.2

331.5

The Standardized Approach——

The Basic Indicator Approach

115.2

154.2

Total

436.5

485.8

Note:	Operational risk was calculated using the Advanced Measurement Approach and Basic Indicator Approach.

Consolidated total capital requirements

Billions of yen

September 30, 2013

September 30, 2014

Consolidated total capital requirements

7,315.8

8,332.8

8% of credit risk-weighted assets

6,431.1

7,082.4

8% of the amount included in risk weighted assets using transitionalarrangements

55.8

47.8

Capital requirements for market risk

148.2

226.8

Capital requirements for operational risk

436.5

485.8

8% of the amount by which the capital floor value, which is obtainedby multiplying the risk-weighted asset amount as calculated according
to the Former Notification (Note) by a predetermined adjustment factor,
exceeds the risk-weighted asset amount as calculated according to
the FSA Consolidated Capital Adequacy Notification

299.9

537.7

Note:	Hereafter, this refers to Ministry of Finance (MOF) Notification No. 62, 1998, which was based on the provisions of Article 52-25 of the Banking Law of Japan.

19

Basel III Disclosure

Interim Fiscal 2014

Credit Risk
Credit risk exposures and default exposures(By approach)Billions of yen

September 30, 2013
Credit risk exposures (Note 1)
Loans, etc.
(Note 2)Debt
securities

OTC
derivatives

Total

The IRB Approach

129,059.2

63,062.8

4,125.5

224,907.5

The Standardized Approach

23,281.4

3,057.1

2,514.2

34,444.1

Total

152,340.6

66,119.96,639.7

259,351.7
Billions of yen

September 30, 2014
Credit risk exposures (Note 1)
Loans, etc.

The IRB Approach(Note 2)Debt
securities

OTC
derivatives

Total

135,539.1

57,232.2

4,891.4

240,344.7

The Standardized Approach

28,333.9

3,610.0

2,795.0

42,579.1

Total

163,873.1

60,842.3

7,686.4

282,923.9

Notes: 1.	Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures,
exposures relating to funds, or exposures relating to central clearing houses.
2.	Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3.	Regarding on balance sheet exposures to loans and debt securities, etc., and off balance sheet exposures to commitments, etc., no significant disparity wasobserved between the interim term-end position and the average risk positions during this period.

(By geographic area)

Billions of yen

September 30, 2013
Credit risk exposures (Note 1)
Loans, etc.

Domestic

Default
exposures(Note 2)Debt
securities

OTC
derivatives

Total(Note 3)

109,443.3

58,761.4

5,801.3

197,274.7

2,237.6

Foreign

42,897.3

7,358.5

838.4

62,076.9

178.3

Total

152,340.6

66,119.96,639.7

259,351.7

2,415.9
Billions of yen

September 30, 2014
Credit risk exposures (Note 1)
Loans, etc.

Default
exposures(Note 2)Debt
securities

OTC
derivatives

Total(Note 3)

Domestic

109,374.0

52,657.5

6,338.6

204,581.9

1,873.6

Foreign

54,499.0

8,184.7

1,347.8

78,342.0

205.5

Total

163,873.1

60,842.3

7,686.4

282,923.9

2,079.2

Notes: 1.	Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures,
exposures relating to funds, or exposures relating to central clearing houses.
2.	Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3.	Figures for exposures past due three months or more or default exposures correspond to exposures as of the period-end where the amount of the credit
risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures where the amount of the credit risk-weighted asset iscomputed assuming past-due loan exposure in cases subject to the Standardized Approach. Figures do not include any securitization exposures, exposuresrelating to funds, or exposures relating to central clearing houses.
4.	Geographic area refers to the locations of MUFG or our subsidiaries or the head and branch offices of our subsidiaries.

20

Basel III Disclosure

Interim Fiscal 2014

(By type of industry)

Billions of yen

September 30, 2013
Credit risk exposures (Note 1)
Loans, etc.

Default
exposures(Note 2)Debt
securities

OTC
derivatives

Total(Note 3)

Manufacturing

19,424.4

1,144.4

560.7

24,417.1

371.6

Wholesale and retail11,610.4

372.6

329.3

13,522.2

391.1

Construction

1,585.0

61.4

17.5

1,808.6

64.9

Finance and insurance

29,050.6

1,539.3

3,944.1

39,405.4

34.3

Real estate

11,493.9

221.7

96.8

11,972.3

245.6

Services

6,924.7

221.9

201.5

7,466.0

197.0

Transport

4,921.3

190.5

185.2

5,770.1

69.2

Individuals

22,198.3—

0.0

23,044.2

722.4

Governments and local authorities

22,844.2

59,384.9

55.9

91,975.6

0.0

Others

22,287.3

2,982.8

1,248.2

39,969.7

319.5

Total

152,340.6

66,119.96,639.7

259,351.7

2,415.9
Billions of yen

September 30, 2014
Credit risk exposures (Note 1)
Loans, etc.

Default
exposures(Note 2)Debt
securities

OTC
derivatives

Total(Note 3)

Manufacturing

21,721.2

1,033.9

675.0

27,105.2

378.3

Wholesale and retail

12,190.0

322.9

341.8

14,342.9

337.7

Construction

1,708.6

37.8

18.4

1,927.1

50.8

Finance and insurance

32,038.2

1,465.3

4,270.8

46,271.2

20.4

Real estate

11,929.6

170.3

126.2

12,406.1

132.8

Services

7,780.2

179.5

209.3

8,307.0

179.4

Transport

5,048.0

186.0

218.3

5,960.4

52.6

Individuals

22,347.2—

0.0

23,561.4

589.7

Governments and local authorities

20,486.1

53,896.5

45.1

92,578.2

0.0

Others28,623.6

3,549.7

1,781.3

50,464.1

337.1

Total

163,873.1

60,842.3

7,686.4

282,923.9

2,079.2

Notes: 1.	Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures,
exposures relating to funds, or exposures relating to central clearing houses.
2.	Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3.	Figures for exposures past due three months or more or default exposures correspond to exposures as of the period-end where the amount of the credit
risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures where the amount of the credit risk-weighted asset iscomputed assuming past-due loan exposure in cases subject to the Standardized Approach. Figures do not include any securitization exposures, exposuresrelating to funds, or exposures relating to central clearing houses.
4.	Exposures held by certain subsidiaries whose credit risk weighted assets are considered minor relative to the overall total are included in the “Others” category.

21

Basel III Disclosure

Interim Fiscal 2014

(By residual contractual maturity)

Billions of yen

September 30, 2013
Credit risk exposures (Note 1)
Loans, etc.

Due in 1 year or less

(Note 2)Debt
securities

OTC
derivatives

Total

43,112.3

15,804.3

709.4

69,281.6

Due over 1 year to 3 years

21,654.0

12,871.8

1,558.2

36,185.9

Due over 3 years to 5 years

16,776.6

22,165.5

1,114.5

40,075.8

Due over 5 years to 7 years

5,644.1

5,430.4

152.2

11,227.1

Due over 7 years

17,258.7

6,846.2

594.7

24,699.9

Others (Note 3)

47,894.7

3,001.5

2,510.6

77,881.1

Total

152,340.6

66,119.96,639.7

259,351.7
Billions of yen

September 30, 2014
Credit risk exposures (Note 1)
Loans, etc.
(Note 2)Debt
securities

OTC
derivatives

Total

Due in 1 year or less

48,271.2

18,215.3

1,162.7

82,295.7

Due over 1 year to 3 years

21,469.0

12,253.3

2,008.4

35,789.6

Due over 3 years to 5 years

18,647.8

11,518.9

874.3

31,053.7

Due over 5 years to 7 years

6,490.8

5,807.2

201.6

12,500.0

Due over 7 years

16,924.3

9,499.5

648.6

27,072.6

Others (Note 3)

52,069.7

3,547.8

2,790.7

94,212.1

Total

163,873.1

60,842.3

7,686.4

282,923.9

Notes: 1.	Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any securitization exposures,
exposures relating to funds, or exposures relating to central clearing houses.
2.	Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3.	The “Others” category includes exposures of indeterminate maturity, etc. Exposures held by certain subsidiaries whose credit risk weighted assets are­considered minor relative to the overall total are included in the “Others” category.

22

Basel III Disclosure

Interim Fiscal 2014

General allowance for credit losses, specific allowance for credit losses andallowance for loans to specific foreign borrowers(Balances by geographic area)

Millions of yen

September 30, 2013

AgainstMarch 31, 2013

September 30, 2014

AgainstMarch 31, 2014

General allowance for
credit losses

659,908(69,172)

588,139(55,121)

Specific allowance for
credit losses

306,891(50,734)

251,815(68,547)

Domestic

268,168(46,385)

211,208(63,552)

Foreign

38,722(4,349)40,606(4,995)

1,536

785

1,351

(39)

968,335(119,121)

841,306(123,707)

September 30, 2013

AgainstMarch 31, 2013

September 30, 2014

AgainstMarch 31, 2014

General allowance for
credit losses

659,908(69,172)

588,139(55,121)

Specific allowance for
credit losses

306,891(50,734)

251,815(68,547)

Manufacturing

53,736(35,887)

56,770(7,137)Wholesale and retail80,424(3,050)53,800(19,867)

Allowance for loans to specificforeign borrowers
Total(Balances by type of industry)

Millions of yen

Construction

7,998

(757)

6,071

(2,483)Finance and insurance

19,767

1,729

7,628

(15,314)

Real estate

24,4493,597

18,753(5,535)Services

21,698(1,947)

19,361(5,655)

Transport

15,565

(650)

7,889

(1,887)

Individuals

24,108(3,787)

18,635(3,135)

4

(0)

4

0

59,137(9,980)62,900(7,529)

1,536

785

1,351

(39)

968,335(119,121)

841,306(123,707)

Governments andlocal authorities
OthersAllowance for loans to
specific foreign borrowers
Total

Notes: 1.	Although the specific allowance for credit losses does not include the allowance relating to any securitization exposures and exposures relating to funds, theallowance relating to these exposures is not excluded from both the general allowance for credit losses and the allowance for loans to specific foreign­borrowers, owing to the fact that MUFG does not manage provisioning with respect to each asset class based on Basel III.
2. Industry classifications apply primarily to allowances related to exposures held by The Bank of Tokyo-Mitsubishi UFJ and Mitsubishi UFJ Trust and Banking(both on a non-consolidated basis). The bulk of provisions relating to exposures held by other subsidiaries is included in the “Others” category.

23

Basel III Disclosure

Interim Fiscal 2014

Loan charge-offs(By type of industry)

FY2014 1H

Manufacturing

8,722

3,733

Wholesale and retail

13,761

4,513

Construction

1,136

727

(19)

132

Finance and insurance
Real estate

1,216

1,371

Services

5,222

2,529

Transport

695

1,851

Individuals

8,354

6,314

Governments and local authorities——

Others10,897

18,553

Total

49,98739,728

Note:	Figures do not include loan charge-offs related to securitization exposures or exposures relating to funds.

24

Millions of yen

FY2013 1H

Basel III Disclosure

Interim Fiscal 2014

Balances by risk weight category of exposures
under the Standardized Approach

Billions of yen

September 30, 2013

September 30, 2014

Balances

Of which: balances
for which risk weights
are determinedby external rating

Balances

Of which: balances
for which risk weights
are determinedby external rating

Risk weight: 0%3,135.5

1,729.0

4,564.8

2,282.4

Risk weight: 10%

276.4

—

114.0

—

Risk weight: 20%

5,171.7

5,007.7

5,101.7

4,907.8

Risk weight: 35%

2,326.5—

3,021.3—

Risk weight: 50%

335.3

335.2

565.5

558.2

Risk weight: 75%

1,214.0—

2,931.9—

Risk weight: 100%

12,123.1

132.9

15,300.9

132.0

Risk weight: 150%

55.8

1.8

71.4

2.6

Risk weight: 625%

0.0

—

0.1

—

Risk weight: 937.5%

—

—

0.0

—

Risk weight: 1,250%

5.6

—

3.6

—

Others (Note 3)

3.7

—

1.7

—

24,647.9

7,206.8

31,677.3

7,883.2

Total

Notes: 1.	Figures are taking into account the effects of credit risk mitigation techniques.
2.	Figures do not contain any securitization exposures.
3. “Others” includes investment funds leveraged by debt loans, etc., for which the weighted average risk weight was 219% as of September 30, 2013 and 221%
as of September 30, 2014.

Exposures subject to the IRB Approach: specialized lending exposuressubject to supervisory slotting criteria and equity exposures subject to theMarket-Based Approach (simple risk weight method)
Specialized lending exposures subject tosupervisory slotting criteria

September 30, 2014

321.9

300.9

Risk weight: 50%

17.1

26.3

Risk weight: 70%

101.4

68.4

Risk weight: 90%

95.9

43.0

Risk weight: 95%

9.0

46.6

Risk weight: 115%

7.7

72.4

Risk weight: 120%

67.4

27.7

Risk weight: 140%

5.6

2.6

Risk weight: 250%

17.4

13.6

Risk weight: 0%

—

—

301.2

362.3

Equity exposures subject to the Market-Based Approach(simple risk weight method)

25

Billions of yen

September 30, 2013

Risk weight: 300%

77.9

97.1

Risk weight: 400%

223.2

265.2

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: corporate exposures

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD

Amount ofundrawn
commitments

Credit rating

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

30,003.5

19,622.8

10,380.7

13,349.1

56.21%

2,876.6

Borrower ratings 4~940,526.5

34,865.4

5,661.1

6,361.6

56.31%

2,078.7

Borrower ratings 10~11

4,564.9

4,102.0

462.8

256.1

56.16%

318.9

Borrower ratings 12~15

1,684.8

1,642.2

42.6

10.9

56.64%

36.4

September 30, 2013

Credit rating

Borrower ratings 1~3

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

0.10%

34.80%—

23.29%

Borrower ratings 4~90.80%

29.76%—

48.04%

Borrower ratings 10~11

11.02%

24.98%—

111.21%

Borrower ratings 12~15

100.00%39.90%

36.61%

45.23%
Billions of yen

September 30, 2014
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

55.86%

3,672.6

Borrower ratings 1~3

36,550.2

24,195.6

12,354.5

15,540.9

Borrower ratings 4~943,561.1

36,694.3

6,866.7

8,277.4

56.01%

2,230.3

Borrower ratings 10~11

3,534.7

3,207.2

327.5

133.2

55.66%

253.4

Borrower ratings 12~15

1,431.6

1,402.0

29.6

5.9

57.23%

26.2

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

September 30, 2014

Credit rating

Borrower ratings 1~3

0.09%

35.02%—

23.82%

Borrower ratings 4~90.71%

30.03%—

46.13%

Borrower ratings 10~11

10.08%

24.71%—

106.43%

Borrower ratings 12~15

100.00%38.10%

35.12%

41.28%

Notes: 1.	Figures exclude specialized lending exposures subject to supervisory slotting criteria and any exposures relating to funds.
2. Weighted average PD and weighted average LGD represent weighted average figures based on EAD.
3.	RW stands for risk weight. Risk weight is calculated by dividing the amount of credit risk-weighted assets by EAD, and does not include any expected losses.
Note that credit risk-weighted asset amounts are multiplied by 1.06.

26

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: sovereign exposures

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD

Amount ofundrawn
commitments

Credit rating

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

95,486.0

82,769.2

12,716.8

1,218.4

55.89%

12,035.8

Borrower ratings 4~9

461.0

401.6

59.3

70.3

55.89%

20.0

Borrower ratings 10~11

123.9

121.6

2.3

0.6

55.89%

1.9

Borrower ratings 12~15

53.4

52.6

0.7

—

—

0.7

September 30, 2013

Credit rating

Borrower ratings 1~3

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

0.00%

36.39%—

0.51%

Borrower ratings 4~90.72%

29.74%—

46.49%

Borrower ratings 10~11

14.41%

5.66%—

31.07%

Borrower ratings 12~15

100.00%14.57%

12.88%

22.73%
Billions of yen

September 30, 2014
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

99,794.5

88,628.3

11,166.1

1,221.0

55.56%

10,487.7

Borrower ratings 4~9

551.2

496.7

54.4

71.1

55.56%

14.9

Borrower ratings 10~11

87.5

84.1

3.3

1.1

55.56%

2.7

Borrower ratings 12~15

18.5

17.9

0.6

—

—

0.6

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

September 30, 2014

Credit rating

27

Weighted
average
RW

Borrower ratings 1~3

0.00%

36.74%—

0.55%

Borrower ratings 4~90.60%

29.95%—

37.24%

Borrower ratings 10~11

13.50%

5.31%—

28.71%

Borrower ratings 12~15

100.00%25.21%

21.72%

46.91%

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: bank exposures

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

6,139.8

3,374.7

2,765.1

303.7

55.89%

2,595.3

Borrower ratings 4~92,343.3

1,341.0

1,002.3

114.3

56.20%

938.0

Borrower ratings 10~11

81.7

6.5

75.2

—

—

75.2

Borrower ratings 12~15

1.5

1.5

—

—

—

—

September 30, 2013

Credit rating

Borrower ratings 1~3

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
averageRW

0.09%

32.03%—

24.71%

Borrower ratings 4~90.26%

30.84%—

29.06%

Borrower ratings 10~11

14.41%

26.41%—

147.84%

Borrower ratings 12~15

100.00%78.76%

77.17%

21.13%
Billions of yen

September 30, 2014
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~38,140.1

4,217.6

3,922.4

304.3

55.56%

3,753.3

Borrower ratings 4~92,854.4

1,454.9

1,399.4

93.2

55.72%

1,347.5

Borrower ratings 10~11

70.5

7.2

63.3

—

—

63.3

Borrower ratings 12~15

1.4

1.4

—

—

—

—

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

September 30, 2014

Credit rating

28

Borrower ratings 1~3

0.09%

32.14%—

26.12%

Borrower ratings 4~90.21%

30.47%—

27.14%

Borrower ratings 10~11

13.91%

29.90%—

159.04%

Borrower ratings 12~15

100.00%75.28%

73.41%

24.83%

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: equity exposures under PD/LGD Approach

Billions of yen

September 30, 2013
Amountof exposures

Weighted
average PD

Weighted
average RW

Borrower ratings 1~3

543.9

0.09%

148.57%

Borrower ratings 4~9178.10%Credit rating

1,364.5

0.42%

Borrower ratings 10~11

0.7

11.03%

605.48%Borrower ratings 12~15

0.6

100.00%1,192.50%
Billions of yen

September 30, 2014
Amountof exposures

Weighted
average PD

Weighted
average RW

Borrower ratings 1~3

4,400.2

0.08%

112.82%

Borrower ratings 4~92,494.9

0.27%

163.43%

Borrower ratings 10~11

47.2

7.44%

515.00%Borrower ratings 12~15

5.1

100.00%1,192.50%

Credit rating

Note:	Figures exclude any equity exposures based on calculations where credit risk asset values are assessed using the Market-Based Approach as well as any equity
exposures where a 100% risk weight is applied based on the transitional arrangements stipulated in Article 13 of the Supplementary Provisions to the FSA
Consolidated Capital Adequacy Notification.

29

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: retail exposures

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Residential mortgage

13,807.2

13,567.5

239.7

—

—

239.7

Non-defaulted

13,522.4

13,286.5

235.8

—

—

235.8

Defaulted
Qualifying revolving retailNon-defaulted
Defaulted
Other retail (non-business)
Non-defaulted
Defaulted
Other retail (business-related)
Non-defaulted
Defaulted

284.8

280.9

3.9

—

—

3.9

4,177.6

1,306.0

2,871.5

18,122.4

15.57%

49.6

4,051.7

1,180.5

2,871.1

18,118.3

15.57%

49.2

125.9

125.5

0.4

4.0

0.00%

0.4

1,995.4

903.1

1,092.3

4,283.5

13.59%

510.0

1,798.0

711.4

1,086.5

4,277.5

13.61%

504.2

197.4

191.6

5.8

5.9

0.06%

5.8

1,587.0

1,527.6

59.4

114.2

24.78%

31.0

1,577.2

1,518.1

59.0

114.2

24.78%

30.7

9.7

9.4

0.3

—

—

0.3

September 30, 2013
Number ofpools

Weighted average
PD

Weighted average
LGD

Weighted average
EL default

Weighted average
RW

Residential mortgage

122

3.00%

34.71%—

31.00%

Non-defaulted

84

0.95%

34.71%—

31.19%

38

99.97%

34.84%

33.22%

21.65%

72

3.82%

76.48%—

19.53%

Defaulted
Qualifying revolving retailNon-defaulted

55

0.83%

76.58%—

20.07%

Defaulted

17100.00%73.16%

78.16%

1.98%

172

11.95%

43.65%—

55.56%

100

2.28%

43.12%—

60.12%

72

100.00%48.51%

47.98%

14.00%

44

4.21%

20.50%—

26.54%

Other retail (non-business)
Non-defaulted
Defaulted
Other retail (business-related)
Non-defaulted

29

3.61%

20.22%—

26.32%

Defaulted

15100.00%65.25%

61.06%

61.03%

Note: In cases where purchased receivables are included, the weighted average PD reflects not only the PD but also a figure for which the annual expected loss
­corresponding to the dilution risk is prorated.

30

Basel III Disclosure

Interim Fiscal 2014

Exposures subject to the IRB Approach: retail exposures (continued)

Billions of yen

September 30, 2014
EAD
On balance sheet
EAD

Off balance sheet
EAD

Amount ofundrawn
commitments

Weighted
averagefactor on
undrawn
commitments

Other
off balance
sheet
EAD

Residential mortgage

13,738.3

13,537.4

200.9

—

—

200.9

Non-defaulted

13,515.6

13,318.0

197.6

—

—

197.6

Defaulted
Qualifying revolving retailNon-defaulted
Defaulted
Other retail (non-business)
Non-defaulted
Defaulted
Other retail (business-related)
Non-defaulted
Defaulted

222.6

219.3

3.2

—

—

3.2

4,146.1

1,290.4

2,855.6

18,397.5

15.26%

48.7

4,039.6

1,184.3

2,855.2

18,394.2

15.26%

48.3

106.4

106.1

0.3

3.3

0.00%

0.3

1,901.4

913.1

988.2

4,188.3

13.09%

440.0

1,725.9

742.0

983.8

4,184.2

13.10%

435.6

175.5

171.1

4.4

4.1

0.08%

4.4

1,451.1

1,287.2

163.8

115.0

23.12%

137.2

1,442.0

1,278.5

163.5

115.0

23.12%

136.9

9.0

8.7

0.3

—

—

0.3

September 30, 2014
Number ofpools

Weighted average
PD

Weighted average
LGD

Weighted average
EL default

Weighted average
RW

Residential mortgage

127

2.53%

32.75%—

28.40%

Non-defaulted

87

0.93%

32.73%—

28.53%

40

99.97%

33.56%

32.05%

20.33%

72

3.29%

73.93%—

17.58%

Defaulted
Qualifying revolving retailNon-defaulted

55

0.74%

73.91%—

18.03%

Defaulted

17100.00%74.46%

77.79%

0.63%

163

10.97%

44.93%—

55.90%

95

1.91%

44.84%—

60.27%

68

100.00%45.90%

45.51%

12.94%

48

4.05%

17.15%—

22.72%

Other retail (non-business)
Non-defaulted
Defaulted
Other retail (business-related)
Non-defaulted

33

3.45%

16.87%—

22.70%

Defaulted

15100.00%62.38%

61.04%

27.30%

Note: In cases where purchased receivables are included, the weighted average PD reflects not only the PD but also a figure for which the annual expected loss
­corresponding to the dilution risk is prorated.

31

Basel III Disclosure

Interim Fiscal 2014

Comparison of estimated and actual losses
for exposures subject to the IRB Approach

Corporate
exposures

FY2006 actual losses
FY2006 estimated losses
Initial EAD

Bank
exposures

Residential
mortgage
exposures

Qualifying
revolvingretailexposures

Other retail
exposures

23,025(1,571)(6,941)

84

26,725—5,940

1,235,407

18,106

14,417

173,180

62,968—108,173

72,143,293

43,809,530

16,865,540

375,755

14,985,264—

5,648,325

Estimated weighted
average PD

3.91%

0.09%

0.19%

51.21%

1.17%

—

5.21%

Estimated weighted
average LGD

43.74%

44.79%

45.16%

90.00%

36.05%—

36.78%

FY2007 actual losses
FY2007 estimated losses
Initial EAD

70,776

(499)

(52)

2,063

12,645—6,058

1,200,881

13,051

15,572

96,17676,518—

121,380

66,584,415

39,998,750

19,100,674

520,689

13,705,023—

5,469,071

Estimated weighted
average PD

4.12%

0.07%

0.17%

20.52%

1.50%

—

5.60%

Estimated weighted
average LGD

43.75%

44.96%

45.28%

90.00%

37.78%—

39.56%

FY2008 actual losses

367,111(353)

24,30966,906

26,218—52,879FY2008 estimated losses

993,791

18,38924,85094,47489,938—112,090

Initial EAD

70,710,242

37,890,290

19,877,135

632,858

14,243,086—

5,099,330

Estimated weighted
average PD

3.19%

0.10%

0.25%

16.58%

1.44%

—

5.27%

Estimated weighted
average LGD

43.75%

44.96%

41.89%

90.00%

44.05%—

41.63%

FY2009 actual losses
FY2009 estimated losses
Initial EAD

374,658(118)

23,631

2,162

28,922

2,817

20,1901,040,595

47,33239,86327,827101,070

11,78486,69874,113,431

55,115,408

12,125,418

1,382,457

14,240,099

741,8433,877,135

Estimated weighted
average PD

3.78%

0.23%

0.88%

2.24%

1.66%

2.20%

5.98%

Estimated weighted
average LGD

36.98%

38.47%

37.47%

90.00%

43.02%

72.32%

37.34%FY2010 actual losses

161,997(298)(6,725)238

27,68762,514

23,4601,202,669

31,084

38,2437,631

143,096

210,666

171,435

70,981,831

65,386,649

11,189,296

1,531,399

14,527,802

5,354,803

4,809,516

FY2010 estimated losses
Initial EAD
Estimated weighted
average PD

4.42%

0.12%

0.84%

0.55%

2.29%

4.74%

6.87%

Estimated weighted
average LGD

38.14%

40.86%

40.48%

90.00%

43.13%

82.68%

44.89%FY2011 actual losses

144,305

(214)

(4)

93

29,023

18,69323,826FY2011 estimated losses

1,125,141

29,29429,545

7,597

216,949

164,990

182,613

66,989,253

88,407,803

12,816,541

1,500,479

14,368,724

4,706,299

4,739,835

Estimated weighted
average PD

4.39%

0.08%

0.58%

0.56%

3.27%

4.62%

7.89%

Estimated weighted
average LGD

37.97%

41.17%

39.48%

90.00%

46.17%

75.77%

42.54%

Initial EAD

32

Sovereignexposures

Millions of yen
Equityexposures
under
PD/LGD
ApproachBasel III Disclosure

Interim Fiscal 2014

Comparison of estimated and actual losses
for exposures subject to the IRB Approach

Corporate
exposures

Sovereignexposures

Millions of yen

Bank
exposures

Equityexposures
under
PD/LGD
Approach

Residential
mortgage
exposures

Qualifying
revolvingretailexposures

Other retail
exposures

FY2012 actual losses

108,263

(133)

—

121

21,06813,8237,377

FY2012 estimated losses

951,689

25,146

20,163

5,194

206,700

142,764

157,993

Initial EAD

71,463,314

88,940,300

10,391,449

672,201

14,064,062

4,788,117

4,022,364

Estimated weighted
average PD

3.91%

0.08%

0.58%

0.86%

3.52%

3.97%

9.37%

Estimated weighted
average LGD

34.13%

37.94%

33.47%

90.00%

41.83%

75.17%

35.19%FY2013 actual losses

76,814

(139)

—

182

(1,339)

11,1914,378

FY2013 estimated losses

896,608

29,833

15,405

6,223

163,665

128,347

130,934

77,051,135

91,958,666

10,189,751

765,530

13,900,410

4,278,958

3,679,324

Estimated weighted
average PD

Initial EAD

3.69%

0.09%

0.46%

0.90%

3.33%

3.91%

8.56%

Estimated weighted
average LGD

31.82%

35.82%

32.05%

90.00%

35.76%

76.66%

32.61%FY2013:
Discussion of the factors

Actual losses on exposures were lower than initial estimated losses, reflecting
repayments on defaulted exposures and other factors such as loan normalization.

Notes: 1.	Actual losses include the following amounts related to defaulted exposures: write-offs against allowances, losses on the disposal of claims, debt forgiveness orloan waivers, and impairment losses on securities. Actual losses incurred by Mitsubishi UFJ Trust and Banking Corporation equal the aggregate figures for thebanking account and for trust accounts for which repayment of the principal to the customers is guaranteed.
2.	The initial EAD under FY2006 estimated losses was used for a preliminary calculation under the FIRB Approach at the end of March 2006, and was not used to
calculate an official figure of capital adequacy ratio.
3.	Estimates for PD and LGD under FY2006 estimated losses were used for preliminary calculations under the FIRB Approach at the end of September 2006,
and were not used to calculate official figures of capital adequacy ratio. Estimates for PD and LGD that were used for preliminary calculations under the FIRBApproach at the end of March 2006 were not used, because such estimates included temporary factors due to the merger of Mitsubishi Tokyo Financial Group,
Inc. with UFJ Holdings, Inc.

33

Basel III Disclosure

Interim Fiscal 2014

Credit Risk Mitigation
Exposures subject to application of credit risk mitigation techniques

Billions of yen

September 30, 2013

Portfolios under the AIRB Approach

Eligiblefinancial collateral

Guarantees

Creditderivatives/

5,612.1

191.3

Corporate exposures/

3,861.2

179.3

Sovereign exposures

/

549.0

9.8

Bank exposures

/

746.1

2.1

Residential mortgage exposures

/

—

—

Qualifying revolving retail exposures

/

—

—

/

455.7

—

9,322.0

161.3—

Other retail exposures
Portfolios under the Standardized Approach

Billions of yen

September 30, 2014

Portfolios under the AIRB Approach

Eligiblefinancial collateral

Guarantees

Creditderivatives/

5,912.2

224.4

Corporate exposures/

4,159.0

207.8

Sovereign exposures

/

949.8

12.5

Bank exposures

/

399.2

4.0

Residential mortgage exposures

/

—

—

Qualifying revolving retail exposures

/

—

—

/

404.1

—

10,329.7

191.0—

Other retail exposures
Portfolios under the Standardized Approach

Note:	Eligible financial collateral includes collateral for repo transactions but does not include deposits in our banks subject to on balance sheet netting.

34

Basel III Disclosure

Interim Fiscal 2014

Derivative Transactions and Long Settlement Transactions
Matters relating to counterparty credit risk

Billions of yen

September 30, 2013

September 30, 2014

Aggregated gross replacement costs

9,750.4

10,775.6

Credit equivalent amounts prior to credit risk mitigation benefits due to collateral

6,642.5

7,686.5

Foreign exchange and gold

6,197.3

8,039.8

Interest rate

9,224.1

8,547.6

159.8

198.2

—

—

Other commodities

293.9

194.6

Credit derivative

450.7

439.2

EquityPrecious metals (except gold)

Long settlement transactions

2.8

0.0

(9,686.4)(9,733.2)

Collateral held

1,074.4

1,751.5

Deposits

414.1

712.0

Marketable securities

487.7

557.5

Others

172.4

481.9

Credit equivalent amounts after credit risk mitigation benefits due to collateral

6,236.4

7,138.3

Notional principal amount of credit derivatives included in
calculation of credit equivalent amounts

Netting benefits due to close-out netting agreements (Note 2)

6,906.8

7,101.7

Purchased credit protection through credit default swaps

3,679.9

3,634.9

Purchased credit protection through total return swaps

28.9

22.5

Purchased credit protection through credit options

6.4—

Purchased other credit protection——

3,191.5

3,444.2

Provided credit protection through total return swaps——

Provided credit protection through credit options——

Provided other credit protection

—

—

780.7

714.8

Provided credit protection through credit default swaps

Notional principal amount of credit derivatives used for
credit risk mitigation purposes

Notes: 1. Credit equivalent amounts are calculated using the Current Exposure Method.
2.	These benefits are equal to the figure obtained by subtracting credit equivalent amounts prior to credit risk mitigation benefits due to collateral from the sum of
aggregated gross replacement costs and total gross add-ons.

35

Basel III Disclosure

Interim Fiscal 2014

Securitization Exposures (Subject to calculation of credit risk assets)
Information on underlying assets

Billions of yen

September 30, 2013

FY2013 1H

Amount of underlying assets
at period-end (Note 1)

Cumulative amount of underlying
assets in default or contractuallypast due 3 months or more

Underlying
assets relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures

Underlying
assets relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures

Losses onunderlying assets
incurred during
this period(Note 3)(Note 4)—

2.0

Underlying
assetsrelating toretainedsecuritization
exposures

Traditional securitizations(asset transfer type)

1,428.3

Residential mortgage(Note 2)

Underlying
assetsrelating toretainedsecuritization
exposures—

3.7

1,428.3

—

3.7

—

2.0

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

Synthetic securitizations

—

—

—

—

—

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

18,279.5

—

267.1

575.1

323.6

—

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP)
programResidential mortgage
Apartment loan

—

—

—

—

—

3,351.8

—

34.0

167.9

105.7

Account receivables

8,366.9

—

220.5

170.6

176.4

Leasing receivables

1,560.1

—

0.7

0.2

1.2

5,000.5

—

11.9

236.2

40.2

19,707.8

—

270.9

575.1

325.6

Credit card receivables

Other assets
Total as an originator

Notes: 1.	The amount of underlying assets relating to sponsor of ABCP programs includes underlying assets related to ABCP programs sponsored by multiple financial
institutions, including certain consolidated subsidiaries of MUFG.
2.	The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization conducted during this period
were wholly transferred to third parties.
3.	Figures show cumulative totals for this period of underlying assets either in default or contractually past due 3 months or more arising from securitizationtransactions in cases where the securitization exposures associated with a transaction conducted during this period were wholly transferred to third parties, orwhere no exposure was retained at the end of this period from a securitization conducted during this period due to related maturity.
4.	Losses with traditional or synthetic securitizations are based on the projected accounting losses for holding the underlying assets without conducting therelevant securitization. With sponsor of ABCP programs, since it is extremely rare for such schemes to result in losses on any retained securitization exposure,
it is difficult to obtain generally relevant information relating to losses as based on certain definitions. These figures therefore aggregate cases where actual
economic losses have been recognized with cases where the loss has been valued on the same basis as the underlying defaulted assets. Losses on underlying assets relating to sponsor of ABCP programs differ from losses incurred by MUFG.

36

Basel III Disclosure

Interim Fiscal 2014

Information on underlying assets (continued)

Billions of yen

September 30, 2014

FY2014 1H

Amount of underlying assets
at period-end (Note 1)

Cumulative amount of underlying
assets in default or contractuallypast due 3 months or more

Underlying
assets relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures

Underlying
assets relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures

Losses onunderlying assets
incurred during
this period(Note 3)(Note 4)

Underlying
assetsrelating toretainedsecuritization
exposures(Note 2)

Underlying
assetsrelating toretainedsecuritization
exposures

Traditional securitizations(asset transfer type)

1,267.7

—

2.1

—

0.4

Residential mortgage

1,267.7

—

2.1

—

0.4

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

Synthetic securitizations

—

—

—

—

—

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

19,724.2

—

286.4

373.0

121.1

29.7

—

0.0

0.1

—

—

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP)
programResidential mortgage
Apartment loan
Credit card receivables

3,706.5

—

36.7

176.9

27.1

Account receivables

9,095.4

—

232.5

172.4

67.7

Leasing receivables

1,232.9

—

4.8

2.0

4.1

Other assets

5,659.5

—

12.3

21.4

22.1

20,992.0

—

288.5

373.0

121.6

Total as an originator

Notes: 1.	The amount of underlying assets relating to sponsor of ABCP programs includes underlying assets related to ABCP programs sponsored by multiple financial
institutions, including certain consolidated subsidiaries of MUFG.
2.	The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization conducted during this period
were wholly transferred to third parties.
3.	Figures show cumulative totals for this period of underlying assets either in default or contractually past due 3 months or more arising from securitizationtransactions in cases where the securitization exposures associated with a transaction conducted during this period were wholly transferred to third parties, orwhere no exposure was retained at the end of this period from a securitization conducted during this period due to related maturity.
4.	Losses with traditional or synthetic securitizations are based on the projected accounting losses for holding the underlying assets without conducting therelevant securitization. With sponsor of ABCP programs, since it is extremely rare for such schemes to result in losses on any retained securitization exposure,
it is difficult to obtain generally relevant information relating to losses as based on certain definitions. These figures therefore aggregate cases where actual
economic losses have been recognized with cases where the loss has been valued on the same basis as the underlying defaulted assets. Losses on underlying assets relating to sponsor of ABCP programs differ from losses incurred by MUFG.

37

Basel III Disclosure

Interim Fiscal 2014

Information on underlying assets (continued)

Billions of yen

FY2013 1H

FY2014 1H

Cumulative
amount ofunderlying assets
securitized
during the period

Recognized
gains or losses
in this period arisingfrom securitizationtransactions

Cumulative
amount ofunderlying assets
securitized
during the period

Recognized
gains or losses
in this period arisingfrom securitizationtransactions

Traditional securitizations(asset transfer type)

—

—

—

—

Residential mortgage

—

—

—

—

Apartment loan

—

—

—

—

Credit card receivables

—

—

—

—

Other assets

—

—

—

—

Synthetic securitizations

—

/

—

/

Residential mortgage

—

/

—

/

Apartment loan

—

/

—

/

Credit card receivables

—

/

—

/

Other assets

—

/

—

/

68,872.8/

74,973.1

/

—

/

24.1

/

Sponsor of asset-backed
commercial paper (ABCP)
programResidential mortgage
Apartment loan

—

/

—

/

Credit card receivables

5,564.6/

5,750.6/

Account receivables

61,147.2/

65,903.2/

Leasing receivables

515.5

/

534.5

/

1,645.3/

2,760.5/

68,872.8—

74,973.1—

Other assets
Total as an originator(Amount of assets held for the purpose of securitization)

Billions of yen

September 30, 201338

September 30, 2014
Bankingaccounts

Specifiedtradingaccounts

Total

—

—

—

—

Bankingaccounts

Specifiedtradingaccounts

Total

Residential mortgage——

Apartment loan

—

—

—

121.4

—

121.4

Credit card receivables

—

—

—

—

—

—

Account receivables

—

—

—

—

—

—

Leasing receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

Total

—

—

—

121.4

—

121.4

Basel III Disclosure

Interim Fiscal 2014

Information on securitization exposures retained(By type of underlying asset)

Billions of yen

September 30, 2013
Amount of securitization exposures

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

Amount of­securitization
exposures subject
to a risk weight of
1,250% (Note 1)

Other thanre-securitization exposure

Total as an originator

Re-securitization exposure

Capitaldeductions
related tosecuritization
exposures(Note 2)

4,047.6

615.7

—

—

1.3

13.3

Traditional securitizations(asset transfer type)

488.5

—

—

—

0.0

13.3

Residential mortgage

488.5

—

—

—

0.0

13.3

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets
Synthetic securitizations

—

—

—

—

—

—

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

3,559.1

615.7

—

—

1.3

—

Sponsor of asset-backed
commercial paper (ABCP)
programResidential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

538.4

206.6

—

—

—

—

Account receivables

1,285.5

330.1

—

—

—

—

Leasing receivables
Other assets
As an investor

367.4

20.7

—

—

—

—

1,367.5

58.1

—

—

1.3

—

3,126.5

—

517.5

—

14.0

/

Residential mortgage

822.3

—

5.0

—

—

/

Apartment loan

31.8

—

1.5

—

—

/

Credit card receivables

2.4

—

—

—

—

/

1,635.9

—

507.8

—

2.5

/

634.0

—

3.1

—

11.5

/

Corporate loans
Other assets

Notes: 1.	Figures listed refer to the amounts of exposures subject to a 1,250% risk weight as stipulated in Article 225 of the FSA Holding Company Capital Adequacy
Notification. Securitization exposures subject to a 1,250% risk weight include cases where the credit risk-weighted assets computed using the Supervisory
Formula exceed 1,250% or where a rating is lower than a certain threshold when calculating credit risk-weighted assets under the Ratings-Based Approach.
2.	The amount of securitization exposures that have been deducted from Tier 1 capital counts as deductions from Tier 1 capital, such as capital stock, as stipulated
by Article 5 of the FSA Holding Company Capital Adequacy Notification, and includes any gains on disposal of the underlying assets relating to the securitization.

39

Basel III Disclosure

Interim Fiscal 2014

Information on securitization exposures retained(By type of underlying asset) (continued)

Billions of yen

September 30, 2014
Amount of securitization exposures

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

Amount of
securitization
exposures subject
to a risk weight of
1,250% (Note 1)

Other thanre-securitization exposure

Total as an originator

Re-securitization exposure

Capitaldeductions
related tosecuritization
exposures(Note 2)

4,616.0

587.8

—

—

1.9

13.4

Traditional securitizations(asset transfer type)

484.8

—

—

—

0.0

13.4

Residential mortgage

484.8

—

—

—

0.0

13.4

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets
Synthetic securitizations

—

—

—

—

—

—

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP)
program

4,131.2

587.8

—

—

1.8

—

Residential mortgage

25.5

—

—

—

—

—

—

—

—

—

—

—

Apartment loan
Credit card receivables

650.6

206.9

—

—

—

—

Account receivables

1,521.7

314.3

—

—

—

—

Leasing receivables
Other assets
As an investor

363.1

25.6

—

—

—

—

1,569.9

40.9

—

—

1.8

—

3,664.0

—

350.3

—

13.2

/

Residential mortgage

779.4

—

—

—

—

/

Apartment loan

18.9

—

0.3

—

0.0

/

—

—

—

—

—

/

2,220.6

—

349.9

—

1.5

/

644.9

—

—

—

11.6

/

Credit card receivables
Corporate loans
Other assets

Notes: 1.	Figures listed refer to the amounts of exposures subject to a 1,250% risk weight as stipulated in Article 225 of the FSA Holding Company Capital Adequacy
Notification. Securitization exposures subject to a 1,250% risk weight include cases where the credit risk-weighted assets computed using the Supervisory
Formula exceed 1,250% or where a rating is lower than a certain threshold when calculating credit risk-weighted assets under the Ratings-Based Approach.
2.	The amount of securitization exposures that have been deducted from Tier 1 capital counts as deductions from Tier 1 capital, such as capital stock, as stipulated
by Article 5 of the FSA Holding Company Capital Adequacy Notification, and includes any gains on disposal of the underlying assets relating to the securitization.

(Securitization exposures subject to early amortization provisions retained)
In line with the provisions of Articles 230 & 248 of the FSA Holding Company Capital Adequacy Notification, as of September 30,
2013 and 2014, there were no securitization exposures subject to early amortization treatment that are retained by external
investors and are used to calculate credit risk-weighted assets.

40

Basel III Disclosure

Interim Fiscal 2014

(Amount of securitization exposures retained and the associated capital requirement
for these exposures broken down into a number of risk weight bands)

Billions of yen

September 30, 2013
Other than re-securitization exposure
Amount of
securitization exposures
On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

4,047.6

615.7

104.6

7.8

488.5

—

54.8

—

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

69.2

—

4.4

—

Risk weight: over 100% to 250%

384.5

—

37.2

—

Risk weight: over 250% under 1,250%

34.6

—

13.1

—

Risk weight: 1,250%

0.0

—

0.0

—

Synthetic securitizations

—

—

—

—

Risk weight: to 20%

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

—

—

—

—

Risk weight: over 100% to 250%

—

—

—

—

Risk weight: over 250% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

3,559.1

615.7

49.8

7.8

Total as an originator
Traditional securitizations(asset transfer type)
Risk weight: to 20%

Sponsor of asset-backed
commercial paper (ABCP) program
Risk weight: to 20%

2,972.4

478.7

20.2

3.0

Risk weight: over 20% to 50%

392.8

116.1

11.4

3.1

Risk weight: over 50% to 100%

119.1

14.0

7.1

1.0

Risk weight: over 100% to 250%

68.2

6.8

8.2

0.6

Risk weight: over 250% under 1,250%

5.0

—

1.3

—

Risk weight: 1,250%

1.3

—

1.4

—

3,126.5

—

47.8

—

2,914.3

—

23.1

—

Risk weight: over 20% to 50%

120.3

—

3.5

—

Risk weight: over 50% to 100%

58.2

—

4.0

—

Risk weight: over 100% to 250%

16.8

—

2.2

—

Risk weight: over 250% under 1,250%

4.2

—

1.3

—

Risk weight: 1,250%

12.5

—

13.2

—

As an investor
Risk weight: to 20%

41

Capitalrequirement

Basel III Disclosure

Interim Fiscal 2014

(Amount of securitization exposures retained and the associated capital requirement
for these exposures broken down into a number of risk weight bands) (continued)

Billions of yen

September 30, 2013
Re-securitization exposure
Amount of
securitization exposures

Total as an originator
Traditional securitizations (asset transfer type)On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Synthetic securitizations

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP) program

As an investor

42

Capitalrequirement

517.5

—

16.3

—

Risk weight: to 30%

461.6

—

9.5

—

Risk weight: over 30% to 150%

41.9

—

2.9

—

Risk weight: over 150% to 350%

12.4

—

2.2

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

1.5

—

1.6

—

Basel III Disclosure

Interim Fiscal 2014

(Amount of securitization exposures retained and the associated capital requirement
for these exposures broken down into a number of risk weight bands) (continued)

Billions of yen

September 30, 2014
Other than re-securitization exposure
Amount of
securitization exposures
On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

4,616.0

587.8

103.7

6.2

484.8

—

48.4

—

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

376.5

—

29.1

—

Risk weight: over 100% to 250%

84.5

—

10.4

—

Risk weight: over 250% under 1,250%

23.7

—

8.7

—

Risk weight: 1,250%

0.0

—

0.0

—

Synthetic securitizations

—

—

—

—

Risk weight: to 20%

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

—

—

—

—

Risk weight: over 100% to 250%

—

—

—

—

Risk weight: over 250% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

4,131.2

587.8

55.3

6.2

Total as an originator
Traditional securitizations(asset transfer type)
Risk weight: to 20%

Sponsor of asset-backed
commercial paper (ABCP) program
Risk weight: to 20%

3,572.7

511.6

23.9

3.3

Risk weight: over 20% to 50%

322.9

54.2

7.8

1.2

Risk weight: over 50% to 100%

133.4

19.8

7.2

1.3

Risk weight: over 100% to 250%

95.0

2.1

12.8

0.2

Risk weight: over 250% under 1,250%

5.2

—

1.3

—

Risk weight: 1,250%

1.8

—

1.9

—

3,664.0

—

47.3

—

3,498.1

—

26.6

—

Risk weight: over 20% to 50%

98.1

—

2.9

—

Risk weight: over 50% to 100%

33.8

—

2.3

—

Risk weight: over 100% to 250%

18.9

—

2.3

—

Risk weight: over 250% under 1,250%

3.3

—

0.9

—

Risk weight: 1,250%

11.6

—

12.1

—

As an investor
Risk weight: to 20%

43

Capitalrequirement

Basel III Disclosure

Interim Fiscal 2014

(Amount of securitization exposures retained and the associated capital requirement
for these exposures broken down into a number of risk weight bands) (continued)

Billions of yen

September 30, 2014
Re-securitization exposure
Amount of
securitization exposures

Total as an originator
Traditional securitizations (asset transfer type)On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Synthetic securitizations

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP) program

As an investor

350.3

—

7.7

—

Risk weight: to 30%

329.6

—

6.3

—

Risk weight: over 30% to 150%

19.6

—

1.2

—

Risk weight: over 150% to 350%

1.0

—

0.1

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

(Application of credit risk mitigation methods to re-securitization exposures)
Not applicable as of September 30, 2013 and 2014.

44

Capitalrequirement

Basel III Disclosure

Interim Fiscal 2014

(Credit risk-weighted asset amount calculated using transitional arrangements
for securitization exposures)Billions of yen

September 30, 2013

September 30, 2014

As an originator——

As an investor

19.2

—

19.2

—

Total

Note:	Figures refer to credit risk-weighted assets calculated using transitional arrangements as stipulated in Article 15 of the Supplementary Provisions to the FSA
Holding Company Capital Adequacy Notification. Specifically, in those cases where the standardized approach is applied as an exception that includes securitization exposures, figures refer to credit risk-weighted assets calculated using a transitional arrangement whereby such assets values are capped at the greater ofthe value based on the Former Notification as stipulated in the Supplementary Provisions to the FSA Holding Company Capital Adequacy Notification or the value
if the underlying assets were retained. The transitional arrangements were not applicable as of September 30, 2014, as they were terminated on June 30, 2014.

Securitization Exposures(Subject to calculation of market risk equivalent amount)
Information on underlying assets
There were no securitization exposures during the first half of the fiscal year ended March 31, 2014 and as of September 30, 2013,and during the first half of the fiscal year ending March 31, 2015 and as of September 30, 2014.

(Amount of assets held for the purpose of securitization)
There were no assets held for the purpose of securitization transactions as of September 30, 2013 and 2014.

Information on securitization exposures retained(By type of underlying asset)
There were no assets held as an originator as of September 30, 2013 and 2014.
Billions of yen

September 30, 2013

Other thanresecuritization
exposures

Resecuritization
exposures

Amount of
securitization
exposures thathave been
deducted fromTier 1 capital(Amount­equivalent toincreasein capital)(Note 1)

Amount of securitization
exposures

As an investor

September 30, 2014

Resecuritization
exposures

Amount of
securitization
exposures thathave been
deducted fromTier 1 capital(Amount
equivalent toincreasein capital)(Note 1)

Capitaldeductions
related tosecuritization
exposures(Note 2)

Amount of securitization
exposures

Capitaldeductions
related tosecuritization
exposures(Note 2)Other thanresecuritization
exposures

33.9

—

/

—

0.0

—

/

—

Residential mortgage

0.0

—

/

—

0.0

—

/

—

Apartment loan

0.0

—

/

—

0.0

—

/

—

Credit card
receivables

0.0

—

/

—

0.0

—

/

—

Corporate loans

0.0

—

/

—

0.0

—

/

—

Other assets

33.9

—

/

—

0.0

—

/

—

Notes: 1.	The amounts equivalent to increase in equity capital resulting from securitization correspond to Tier 1 capital deductions in line with Article 5 of the FSA Holding
Company Capital Adequacy Notification, and include any gains on disposal of the underlying assets relating to the securitization.
2.	Figures listed refer to capital deductions as stipulated in Article 280-5, Paragraph 2 of the FSA Holding Company Capital Adequacy Notification.

(Securitization exposures subject to early amortization provisions as an originator)
There were no securitization exposures subject to early amortization provisions as an originator as of September 30, 2013
and 2014.

45

Basel III Disclosure

Interim Fiscal 2014

(Amount of securitization exposures retained and the associated capital requirement for these exposures
broken down into a number of risk weight bands)
There was no securitization exposure as an originator as of September 30, 2013 and 2014.
Billions of yen

September 30, 2013
Other than re-securitization exposures

As an investor

Amount of­securitization
exposures

Re-securitization exposures

Capitalrequirement

Amount of­securitization
exposures

Capitalrequirement

33.9

2.2

—

—

Risk weight: to 1.6%

22.0

0.0

—

—

Risk weight: over 1.6% to 4%

0.0

0.0

—

—

Risk weight: over 4% to 8%

0.0

0.0

—

—

Risk weight: over 8% to 20%

11.9

2.2

—

—

Risk weight: over 20% under 100%

0.0

0.0

—

—

Risk weight: 100%

0.0

0.0

—

—
Billions of yen

September 30, 2014
Other than re-securitization exposures

Re-securitization exposures

Capitalrequirement

Amount of­securitization
exposures

Capitalrequirement

0.0

0.0

—

—

Risk weight: to 1.6%

0.0

0.0

—

—

Risk weight: over 1.6% to 4%

0.0

0.0

—

—

Risk weight: over 4% to 8%

0.0

0.0

—

—

Risk weight: over 8% to 20%

0.0

0.0

—

—

Risk weight: over 20% under 100%

0.0

0.0

—

—

Risk weight: 100%

0.0

0.0

—

—

As an investor

Amount of­securitization
exposures(Securitization exposures subject to measurement of comprehensive risk)
There were no securitization exposures subject to measurement of comprehensive risk as of September 30, 2013 and 2014.

46

Basel III Disclosure

Interim Fiscal 2014

Market Risk
Value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end• VaR for trading activities

Billions of yen

FY2013 H1OverallInterest rateYen

FY2014 H1

Average

Maximum

Minimum

Sept. 30, 2013

Average

Maximum

Minimum

Sept. 30, 2014

22.25

29.50

17.87

18.12

20.00

23.02

16.02

16.02

18.33

21.93

14.62

16.43

17.68

23.79

14.74

15.28

10.12

14.07

6.91

8.30

6.52

10.12

4.87

5.74

U.S. dollar

6.94

11.12

3.95

6.57

5.83

8.40

4.33

6.14

Foreign exchange

8.14

15.30

3.75

4.82

4.59

6.74

1.88

1.88

Equities

1.82

5.64

0.79

1.76

2.58

3.75

1.47

1.56

Commodities

0.60

0.82

0.37

0.72

0.50

1.27

0.00

0.02

Less diversification effect(6.64)——(5.61)(5.35)——(2.72)

Assumptions for VaR calculations:
Historical simulation method
Holding period:
10 business days
Confidence interval:
99%
Observation period:
701 business days
• The maximum and minimum VaR overall and for various risk categories were taken from different days.
• Figures for stressed VaR are not included.

Stressed VaR: maximum, minimum and average values by disclosure period and period-end
Billions of yen

FY2013 H1Stressed VaR

FY2014 H1

Average

Maximum

Minimum

Sept. 30, 2013

Average

Maximum

Minimum

Sept. 30, 2014

9.68

17.90

5.29

8.07

24.13

36.40

9.96

9.96

Assumptions for VaR calculations:
Historical simulation method
Holding period:
10 business days
Confidence interval:
99%

The amount of required capital related to additional risk and comprehensive risk as of the period-end, as
well as the maximum, minimum and average values for the amount of required capital for additional risk
and comprehensive risk during the disclosure period
Not applicable in the first half of the fiscal year ended March 31, 2014 and the first half of the fiscal year ending March 31, 2015.

47

Basel III Disclosure

Interim Fiscal 2014

Results of market risk backtesting and explanations of any actual trading losses
significantly in excess of VaRMarket Risk Backtesting

Market Risk Backtesting

12

Case of losses exceeding VaR: 0
9
6

Case of losses exceeding VaR: 0
9
6
3

0

0

–3

–3

–6

–6

–9

–9
0

2

4

6

8

10

VaR

12

Billions of Yen

12

3

–12

–12

0

2

4

6

8

10

VaR

Note:	Actual trading losses never exceeded VaR throughout the period
studied.

Note:	Actual trading losses never exceeded VaR throughout the period
studied.

VaR and Daily Profit/Loss for Trading Activities

VaR and Daily Profit/Loss for Trading Activities(Oct. 2012–Sept. 2013)(Oct. 2013–Sept. 2014)

Billions of Yen
12

12

9

6

6

3

3

0

0

–3

–3

–6

–6

12

Billions of Yen
Daily profit/loss

Daily profit/loss

9

–9

–9

VaR shown on a negative scale–12
Oct. 2012

Sept. 2013

Note:	Actual trading losses never exceeded VaR throughout the period
studied.

48(Oct. 2013–Sept. 2014)

Billions of Yen
Daily profit/loss

Daily profit/loss(Oct. 2012–Sept. 2013)

Basel III Disclosure

Interim Fiscal 2014

VaR shown on a negative scale–12
Oct. 2013

Sept. 2014

Note:	Actual trading losses never exceeded VaR throughout the period
studied.

Equity Exposures in Banking Book
Amount on consolidated balance sheet and market values

Billions of yen

September 30, 2013

September 30, 2014

Amount on
consolidatedbalance sheet

Marketvalue

Amount on
consolidatedbalance sheet

Marketvalue

4,594.5

4,594.5

5,122.3

5,122.3

336.0

—

183.8

—

4,930.6—

5,306.1—

Exposures to publicly traded equities(Note 1)Equity exposures other than above(Note 2)

Total

Notes: 1.	Figures only count Japanese and foreign equities held within securities available for sale with quoted market value.
2.	Figures only count Japanese and foreign equities held within securities available for sale whose market values are not readily determinable.

Cumulative gains or losses arising from sales or write-offs of exposures to equities

Millions of yen

FY2013 H1Exposures to equities

Gains onsales

Losses on
sales

61,854(7,587)FY2014 H1Write-offs

Gains onsales

Losses on
sales

Write-offs(10,818)

31,998(6,478)(2,615)

Note:	Figures refer to net gains or losses on equity securities within net non-recurring gains or losses.

Unrealized gains or losses recognized on consolidated balance sheet
but not on consolidated statement of income

Billions of yen

September 30, 2013

Exposures to equities

September 30, 2014

Acquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains orlossesAcquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains orlosses2,960.7

4,594.5

1,633.7

2,944.7

5,122.3

2,177.5

Note:	Figures only count Japanese and foreign equities held within securities available for sale with quoted market value.

Unrealized gains or losses not recognized either on consolidated balance sheet oron consolidated statement of income
Not applicable as of September 30, 2013 and 2014.

49

Basel III Disclosure

Interim Fiscal 2014

Equity exposures subject to transitional arrangements (grandfathering provisions)

Billions of yen

September 30, 2013

September 30, 2014

Exposures to publicly traded equities subject totransitional arrangements

4,125.5—

Equity exposures other than above subject totransitional arrangements

205.8

—

4,331.3—

Total

Note:	Based on the transitional arrangements as stipulated in Article 13 of the Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification, figuresrefer to the amount of equity exposures for which a 100% risk weight is used to calculate credit risk-weighted assets. The transitional arrangements were notapplicable as of September 30, 2014, as they were terminated on June 30, 2014.

Exposures Relating to Funds
Exposures relating to funds
September 30, 2013

September 30, 2014

2,508.3

3,316.1

2,456.9

3,266.3

Exposures not included above where equity exposuresconstitute majority of total value of fund components (Note 2)

35.1

35.7

Exposures not included in any category above where
investment mandates of funds are known (Note 3)

8.9

9.3

Exposures not included in any category above where
the internal models approach is applied (Note 4)

6.0—

Exposures not included in any category above where
there is a high probability of the weighted average risk weight
applied to fund components being less than 400% (Note 5)

0.5

0.9

Exposures not included in any category above (Note 5)

0.6

3.6

Exposures relating to funds
Exposures where fund components are identifiable(look-through approach) (Note 1)

Notes: 1.	As stipulated in Paragraph 1 of Article 145 of the FSA Consolidated Capital Adequacy Notification.
2.	As stipulated in Paragraph 2 of Article 145 of the FSA Consolidated Capital Adequacy Notification.
3.	As stipulated in Paragraph 3 of Article 145 of the FSA Consolidated Capital Adequacy Notification.
4.	As stipulated in Paragraph 4 of Article 145 of the FSA Consolidated Capital Adequacy Notification.
5.	As stipulated in Paragraph 5 of Article 145 of the FSA Consolidated Capital Adequacy Notification.

50

Billions of yen

Basel III Disclosure

Interim Fiscal 2014

Interest Rate Risk in the Banking Book (IRRBB)
Decline in economic values for applied interest rate shocks according to internal risk management• VaR for non-trading activities

Billions of yen

FY2013 H1Interest rate

FY2014 H1

Average

Maximum

Minimum

Sept. 30, 2013

Average

Maximum

Minimum

Sept. 30, 2014

401.9

452.4

341.9

369.2

357.8

409.1

305.7

400.7

Yen

233.4

276.4

195.5

205.4

223.0

244.4

196.3

234.2

U.S. dollar

184.1

223.6

137.7

176.9

118.9

145.8

99.8

110.2

Euro

102.0

118.2

79.1

107.1

111.2

149.5

61.0

149.2

Equities

143.4

176.8

100.6

173.4

169.7

185.8

153.6

169.1

Overall

412.0

450.9

361.3

387.2

369.4

411.0

332.5

403.1

Assumptions for VaR calculations:
Historical simulation method
Holding period:
10 business days
Confidence interval:
99%
Observation period:
701 business days
• The maximum and minimum VaR overall and for various risk categories were taken from different days.
• The equity-related risk figures do not include market risk exposure from our strategic equity portfolio.

Outlier ratio
Outlier ratio

September 30, 2013

September 30, 2014

7.18%

8.09%

Assumptions for outlier ratio calculations:
Measurement method:
Interest rate sensitivity method
Interest rate shock range:	1st and 99th percentile of observed interest changes using a one-year holding period
and five-year observation period

51

Basel III Disclosure

Interim Fiscal 2014