Basel Pillar 3 Disclosures
Interim for FY2021

Mizuho Financial GroupTable of Contents
2

Key Metrics

3
3
4
13
15
30
38
44
46
48
54

Status of Mizuho Financial Group's Consolidated Capital Adequacy
Scope of Consolidation
Risk-based Capital
Summary of Risk-weighted Assets (RWA)
Credit Risk
Counterparty Credit Risk
Securitization Exposures
Market Risk
Composition of Leverage Ratio
TLAC Regulations
Geographical Distribution of Credit Exposures Used in the Countercyclical Buffer

55
55
56
58

Status of Sound Management of Liquidity Risk
Liquidity Coverage Ratio
Net Stable Funding Ratio
Status of Major Liquid Assets

The following English translation of excerpt regarding the Basel Pillar 3 disclosures and the relevant information from our Japanese
language disclosure material published in January 2022. The Japanese regulatory disclosure requirements are fulfilled with the Basel
Pillar 3 disclosures and Japanese GAAP is applied to the relevant financial information. In this report, “we,” “us,” and “our” refer toMizuho Financial Group, Inc. and, unless the context indicates otherwise, its consolidated subsidiaries. “Mizuho Financial Group”
refers to Mizuho Financial Group, Inc.

1

Basel Pillar 3 Disclosures

Key Metrics

Key Metrics
Under the capital adequacy ratio regulations agreed upon by the Basel Committee on Banking Supervision, banks are required to meetcertain minimum capital requirements. We calculate our capital adequacy ratio on a consolidated basis based on “the criteria used by abank holding company for deciding whether or not the adequacy of equity capital of the bank holding company and its subsidiaries isappropriate in light of the assets owned by the bank holding company and its subsidiaries pursuant to Article 52-25 of the Banking
Law” (Financial Services Agency, or FSA, Notice No.20 issued in 2006).
We also calculate our leverage ratio on a consolidated basis according to “the criteria for evaluating the soundness of the leverage,prescribed as supplemental requirements of the criteria used by a bank holding company in deciding whether or not the adequacy ofequity capital of the bank holding company and its subsidiaries is appropriate in light of the assets owned by the bank holding
company and its subsidiaries, pursuant to Article 52-25 of the Banking Law” (FSA Notice No.12 issued in 2019.)
Liquidity standards agreed upon by the Basel Committee on Banking Supervision require our liquidity coverage ratio and net stable
funding ratio to surpass certain minimum standards. We calculate our consolidated liquidity coverage ratio (the “Consolidated LCR”)
and consolidated net stable funding ratio (the “Consolidated NSFR”) in accordance with the regulation “The Evaluation Criterion on
the Sound Management of Liquidity Risk Defined, Based on Banking Law Article 52-25, as One of Criteria for Bank Holding
Companies to Evaluate the Soundness of Their Management and the Ones of Their Subsidiaries and Others, which is also One of
Evaluation Criteria on the Soundness of the Banks' Management”(the FSA Notice No.62 of 2014 (the “Notice No.62”)).

■ Key Metrics
KM1: Key Metrics
Basel III
Template
No.
Capital1
Common Equity Tier 1 capital
2
Tier 1 capital3
Total capital
Risk weighted assets
4
Risk weighted assets
Capital ratio
5
Common Equity Tier 1 capital ratio
6
Tier 1 capital ratio
7
Total capital ratio
Capital buffer8
Capital conservation buffer requirement
9Countercyclical buffer requirement
10
Bank G-SIB/D-SIB additional requirements
Total of bank CET1 specific buffer
11
requirements
CET1 available after meeting the bank's
12minimum capital requirements
Leverage ratio
13
Total exposures
14
Leverage ratio
Liquidity coverage ratio (LCR)
Total HQLA allowed to be included in the15
calculation
16
Net cash outflows
17
LCR
Net stable funding ratio (NSFR)
18
Available stable funding
19
Required stable funding
20
NSFR(millions of yen, except percentages)a
As of
September 30,
2021

b
As of
June 30,
2021

c
As of
March 31,2021

8,243,579
10,098,408
11,927,024

8,055,550
9,906,857
11,604,563

7,849,969
9,701,931
11,385,395

7,684,114
9,543,742
11,316,192

7,452,628
9,467,504
11,132,750

67,147,718

67,367,304

67,481,983

66,124,705

64,404,983

12.27%
15.03%
17.76%

11.95%
14.70%
17.22%

11.63%
14.37%
16.87%

11.62%
14.43%
17.11%

11.57%
14.69%
17.28%

2.50%
0.01%
1.00%

2.50%
0.01%
1.00%

2.50%
0.01%
1.00%

2.50%
0.01%
1.00%

2.50%
0.01%
1.00%

3.51%

3.51%

3.51%

3.51%

3.51%

7.77%

7.45%

7.13%

7.12%

7.07%

203,591,555
4.96%

206,393,377
4.79%

200,546,630
4.83%

192,563,485
4.95%

195,811,781
4.83%

77,427,898

77,902,708

72,792,220

71,926,717

66,704,578

55,219,275
140.2%

54,843,907
142.0%

53,607,048
135.8%

51,806,256
138.9%

49,157,712
135.6%

104,304,278
86,539,611
120.5%

Note: Figures of No.15 to 17 in the table above are calculated based on the average values for the quarter.

2

d
e
As of
As of
December 31, September 30,
2020
2020

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

Status of Mizuho Financial Group’s consolidated capital adequacy
The information disclosed herein is in accordance with "Matters Separately Prescribed by the Commissioner of the Financial Services
Agency Regarding Status of the Adequacy of Equity Capital Pursuant to Article 19-2, Paragraph 1, Item 5, Subitem (d), and otherrelated provisions of the Regulation for Enforcement of the Banking Act (the FSA Notice No. 7 of 2015).

■ Scope of Consolidation(1) Scope of Consolidation for Calculating Consolidated Capital Adequacy Ratio(A) Difference from the companies included in the scope of consolidation based on consolidation rules for preparation of
consolidated financial statements (the “scope of accounting consolidation”)
None as of September 30, 2020 and 2021.
(B) Number of consolidated subsidiaries
Consolidated subsidiaries

As of September 30, 2020
153

As of September 30, 2021
160

Our major consolidated subsidiaries (and their main businesses) are Mizuho Bank, Ltd. (banking business), Mizuho Trust & Banking
Co., Ltd. (trust business and banking business) and Mizuho Securities Co., Ltd. (securities business).
(C) Corporations providing financial services for which Article 9 of the FSA Notice No. 20 is applicable
None as of September 30, 2020 and 2021.
(D) Companies that are in the bank holding company’s corporate group but not included in the scope of accounting
consolidation and companies that are not in the bank holding company’s corporate group but included in the scope ofaccounting consolidation
None as of September 30, 2020 and 2021.
(E) Restrictions on transfer of funds or capital within the bank holding company’s corporate group
None as of September 30, 2020 and 2021.
(F) Names of any other financial institutions, etc., classified as subsidiaries or other members of the bank holding company thatare deficient in regulatory capital
None as of September 30, 2020 and 2021.

3

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Risk-based Capital(1) Composition of Capital, etc.
(A) CC1: Composition of Capital DisclosureaBasel III
Template(Millions of yen, except percentage)
b
c

As of
As of
Reference
September 30, September 30, to Template
2020
2021
CC2

Common Equity Tier 1 capital: instruments and reserves(1)

Directly issued qualifying common share capital plus related stock surplus
1a+2-1c-26
and retained earnings

7,550,834

7,984,632

1aof which: capital and stock surplus

3,392,716

3,382,092

2

of which: retained earnings

4,260,352

4,712,250

1cof which: treasury stock (-)

7,025

8,164

26

of which: national specific regulatory adjustments (earnings to be
distributed) (-)

95,209101,545

-

-

134

95

of which: other than above
1b

Subscription rights to common shares

3

Accumulated other comprehensive income and other disclosed reserves

1,156,580

1,437,480

5Common share capital issued by subsidiaries and held by third parties(amount allowed in group CET1)

8,002

18,653

6

Common Equity Tier 1 capital: instruments andreserves

8,715,551

9,440,861

458,577

446,850(A)

Common Equity Tier 1 capital: regulatory adjustments
8+9

(2)

Total intangible assets (net of related tax liability, excluding those relating
to mortgage servicing rights)

8of which: goodwill (net of related tax liability, including thoseequivalent)

66,67264,0829of which: other intangibles other than goodwill and mortgage
servicing rights (net of related tax liability)

391,905

382,767

10

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

13,86959,311

11

Deferred gains or losses on derivatives under hedge accounting

123,464

6,575

12

Shortfall of eligible provisions to expected losses

-

-

13

Securitization gain on sale

-

1

14

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

22,40816,26915

Net defined benefit asset

641,592

666,332

16

Investments in own shares (excluding those reported in the net assets
section)

3,009

1,941

17

Reciprocal cross-holdings in common equity

-

-

18

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

-

-

4

(a)

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
CC1: Composition of Capital Disclosure (Continued)
19+20+21--

19

of which: significant investments in the common stock of financials

-

-

20

-

-

-

-

22

of which: mortgage servicing rightsof which: deferred tax assets arising from temporary differences (netof related tax liability)
Amount exceeding the 15% threshold on specified items

-

-

23

of which: significant investments in the common stock of financials

-

-

24

of which: mortgage servicing rights

-

-

25

of which: deferred tax assets arising from temporary differences (netof related tax liability)

-

-

-

-

(B)

1,262,923

1,197,282(C)

7,452,628

8,243,579

21

Amount exceeding the 10% threshold on specified items

27

Regulatory adjustments applied to Common Equity Tier 1 due toinsufficient Additional Tier 1 and Tier 2 to cover deductions

28

Common Equity Tier 1 capital: regulatory adjustments

Common Equity Tier 1 capital (CET1)
29

Common Equity Tier 1 capital (CET1) ((A)-(B))

Additional Tier 1 capital: instruments

(3)

31a

Directly issued qualifying Additional Tier 1 instruments plus related stock
surplus of which: classified as equity under applicable accounting
standards and the breakdown

-

-

31b

Subscription rights to Additional Tier 1 instruments

-

-

32

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

2,042,000

1,873,000

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

-

-

30

34-35

Additional Tier 1 instruments issued by subsidiaries and held by third
parties (amount allowed in group AT1)

19,47822,40733+35

Eligible Tier 1 capital instruments subject to phase-out arrangements
included in Additional Tier 1 capital: instruments

-

-

33

of which: directly issued capital instruments subject to phase out from
Additional Tier 1

-

-

35

of which: instruments issued by subsidiaries subject to phase out--

2,061,478

1,895,407

36

Additional Tier 1 capital: instruments(D)

Additional Tier 1 capital: regulatory adjustments
37

Investments in own Additional Tier 1 instruments

2,200

4,500

38

Reciprocal cross-holdings in Additional Tier 1 instruments

-

-

39

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

-

-

40

Significant investments in the capital of banking, financial and insurance
entities that are outside the scope of regulatory consolidation (net of
eligible short positions)44,40336,07842

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

-

-

43

Additional Tier 1 capital: regulatory adjustments(E)

46,60340,578(F)

2,014,875

1,854,829

Additional Tier 1 capital (AT1)44

Additional Tier 1 capital ((D)-(E))

5Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
CC1: Composition of Capital Disclosure (Continued)
Tier 1 capital (T1 = CET1 + AT1)
45

Tier 1 capital (T1 = CET1 + AT1) ((C) + (F))(G)

9,467,504

10,098,408

Directly issued qualifying Tier 2 instruments plus related stock surplus ofwhich: classified as equity under applicable accounting standards and thebreakdown--

Subscription rights to Tier 2 instruments--

Directly issued qualifying Tier 2 instruments plus related stock surplus ofwhich: classified as liabilities under applicable accounting standards

1,271,937

1,516,408

Tier 2 instruments plus related stock surplus issued by special purpose
vehicles and other equivalent entities

110,674

83,548Tier 2 capital: instruments and provisions

46

(4)

48-49

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

5,996

8,921

47+49

Eligible Tier 2 capital instruments subject to phase-out arrangements
included in Tier 2:instruments and provisions

268,831

168,706of which: directly issued capital instruments subject to phase out fromTier 257,01923,10549

of which: instruments issued by subsidiaries subject to phase out

211,811

145,600

50

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

9,688

65,35547

50aof which: general allowance for loan losses

6,668

4,910

50b

of which: eligible provisions

3,019

60,444

1,667,128

1,842,940

51

Tier 2 capital: instruments and provisions(H)

Tier 2 capital: regulatory adjustments

(5)

52

Investments in own Tier 2 instruments

1,169

11,17653

Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities

-

-

54

Investments in the capital and other TLAC liabilities of banking, financial
and insurance entities that are outside the scope 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 (amountabove the 10% threshold)

-

-

54a

Investments in the other TLAC liabilities of banking, financial andinsurance entities that are outside the scope of regulatory consolidation,
where the bank does not own more than 10% of the issued common sharecapital of the entity: amount previously designated for the 5% threshold
but that no longer meets the conditions

712

3,147

55

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

-

-

57

Tier 2 capital: regulatory adjustments

(I)

1,881

14,324(J)

1,665,246

1,828,616(K)

11,132,750

11,927,024

64,404,983

67,147,718

Tier 2 capital (T2)58

Tier 2 capital (T2) ((H)-(I))

Total capital (TC = T1 + T2)
59

Total capital (TC = T1 + T2) ((G) + (J))

Risk weighted assets
60(6)

Risk weighted assets(L)

6Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
CC1: Composition of Capital Disclosure (Continued)
Capital ratio and buffers (consolidated)

(7)

61

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

11.57%

12.27%

62

Tier 1 capital ratio (consolidated) ((G)/(L))

14.69%

15.03%

63

Total capital ratio (consolidated) ((K)/(L))

17.28%

17.76%

64

Total of bank CET1 specific buffer requirements

3.51%

3.51%

65

of which: capital conservation buffer requirement

2.50%

2.50%

66

of which: countercyclical buffer requirement

0.01%

0.01%

of which: bank G-SIB/D-SIB additional requirements

1.00%

1.00%

7.07%

7.77%

437,033

482,616

273,747

316,598--

280,095

215,851

Provisions (general allowance for loan losses)

6,668

4,910

77

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

44,29045,717

78

Provisions eligible for inclusion in Tier 2 in respect of exposures subject
to internal ratings-based approach (prior to application of cap) (if theamount is negative, report as "nil")

3,019

60,44479

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

318,272

335,369

416,627

208,313--

337,412

168,706-

26,68867
68

CET1 available after meeting the bank's minimum capital requirements

Regulatory adjustments(8)
Non-significant investments in the capital and other TLAC liabilities of72
other financials that are below the thresholds for deduction (before risk
weighting)Significant investments in the common stock of financials that are below
73
the thresholds for deduction (before risk weighting)74

Mortgage servicing rights that are below the thresholds for deduction(before risk weighting)75

Deferred tax assets arising from temporary differences that are below thethresholds for deduction (before risk weighting)

Provisions included in Tier 2 capital: instruments and provisions
76(9)

Capital instruments subject to phase-out arrangements

(10)

82

Current cap on AT1 instruments subject to phase-out arrangements

83

Amount excluded from AT1 due to cap (excess over cap after
redemptions and maturities) (if the amount is negative, report as "nil")

84

Current cap on T2 instruments subject to phase-out arrangements

85

Amount excluded from T2 due to cap (excess over cap after redemptions
and maturities) (if the amount is negative, report as "nil")

Notes:
1. The above figures are calculated based on the international standard applied on a consolidated basis under the FSA Notice No. 20.
2. As an external audit of calculating the consolidated capital adequacy ratio, we underwent an examination under the procedures agreed with by Ernst & Young
ShinNihon LLC, on the basis of "Practical guidance on agreed-upon procedures for the calculation of capital adequacy ratio and leverage ratio" (Practical Guideline
for specialized fields No. 4465 of the Japanese Institute of Certified Public Accountants). Note that this examination is not a part of the audit performed on ourconsolidated financial statements or internal controls over financial reporting. Ernst & Young ShinNihon LLC does not give its opinion or conclusion concerning thecapital adequacy ratio or our internal control structure regarding the calculation of the capital adequacy ratio. Instead, it performs an examination to the extent both of
us agreed to and reports the results to us.

7Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) CC2:Reconciliation of regulatory capital to consolidated balance sheet(Millions of yen)

Items

a

b

c

d

Consolidated balance
sheet as in publishedfinancial statements

Consolidated balance
sheet as in publishedfinancial statements

Reference toTemplate CC1

Cross-reference toAppended template

As of September 30, 2020 As of September 30, 2021
(Assets)
Cash and Due from Banks
Call Loans and Bills Purchased
Receivables under Resale Agreements
Guarantee Deposits Paid under Securities
Borrowing Transactions
Other Debt Purchased
Trading Assets
Money Held in Trust
Securities
Loans and Bills Discounted
Foreign Exchange Assets
Derivatives other than for Trading Assets
Other Assets
Tangible Fixed Assets
Intangible Fixed Assets
Net Defined Benefit AssetDeferred Tax Assets
Customers' Liabilities for Acceptances andGuarantees
Reserves for Possible Losses on Loans
Reserve for Possible Losses on Investments
Total Assets(Liabilities)
Deposits
Negotiable Certificates of Deposit
Call Money and Bills Sold
Payables under Repurchase Agreements
Guarantee Deposits Received under Securities
Lending Transactions
Commercial Paper
Trading Liabilities
Borrowed Money
Foreign Exchange Liabilities
Short-term Bonds
Bonds and Notes
Due to Trust Accounts
Derivatives other than for Trading Liabilities
Other Liabilities
Reserve for Bonus Payments
Reserve for Variable Compensation
Net Defined Benefit Liability
Reserve for Director and Corporate Auditor
Retirement Benefits
Reserve for Possible Losses on Sales of Loans
Reserve for Contingencies
Reserve for Reimbursement of Deposits
Reserve for Reimbursement of Debentures
Reserves under Special Laws
Deferred Tax Liabilities
Deferred Tax Liabilities for Revaluation
Reserve for Land
Acceptances and Guarantees
Total Liabilities

42,498,278
243,267
12,666,551

47,075,429
330,455
16,932,692

2,190,799

2,412,626

2,676,047
14,564,434
471,782
43,314,534
86,501,633
1,936,636
1,439,293
4,413,001
1,101,614
619,695
924,167
23,3683,137,520
12,610,648
637,862
43,725,034
82,198,528
2,228,808
1,407,561
5,296,681
1,118,837
603,477
959,987
27,842

5,938,130

7,085,422(477,516)(0)
221,045,717(594,023)(1)

227,195,390

134,665,825
14,201,308
1,903,686
19,326,350

129,291,662
19,215,068
1,431,315
22,277,769

1,244,440

1,229,187

921,282
8,487,342
7,275,166
402,476
331,447
9,639,781
1,336,263
1,274,444
4,815,831
55,8601,467
71,9501,969,424
6,464,003
7,495,869
500,486
543,561
10,513,503
1,182,263
1,480,764
6,469,900
58,833
1,014
71,775

635

488

1,142
4,180
25,205
17,663
2,506
133,564

181
8,562
19,901
12,157
3,127
166,8234-b

62,55561,4364-c

5,938,130
212,140,512

7,085,422
217,554,505

8

6-a2-b, 6-b
6-c
6-d
6-e
2-a
3
4-a

6-f
8-a
8-b
6-g

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Net Assets)
Common Stock
Capital Surplus
Retained Earnings
Treasury Stock
Total Shareholders' Equity
Net Unrealized Gains (Losses) on Other
Securities
Deferred Gains or Losses on Hedges
Revaluation Reserve for Land
Foreign Currency Translation Adjustments
Remeasurements of Defined Benefit Plans
Total Accumulated Other Comprehensive
IncomeStock Acquisition Rights
Non-Controlling Interests
Total Net Assets
Total Liabilities and Net Assets

2,256,767
1,135,948
4,260,606(7,025)
7,646,297

2,256,767
1,125,324
4,712,422(8,164)
8,086,349

1,038,781

1,154,756

66,262
137,834(170,773)
84,475(743)
135,297(80,968)
229,137

1,156,580

1,437,480

134
102,192
8,905,205
221,045,717

95
116,959
9,640,884
227,195,390

1-a
1-b
1-c
1-d

5

(a)
7

Note:
The regulatory scope of consolidation is the same as the accounting scope of consolidation.

Appended template
1. Shareholders' equity(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
1-aCommon stock
1-b
Capital surplus
1-c
Retained earnings
1-dTreasury stock
Total shareholders' equity(2) Composition of capitalBasel III
Composition of capital disclosure
template(Millions of yen)
As of September 30, 2020 As of September 30, 2021
2,256,767
2,256,767
1,135,948
1,125,324
4,260,606
4,712,422(7,025)(8,164)
7,646,297
8,086,349(Millions of yen)
As of September 30, 2020 As of September 30, 2021

Directly issued qualifying common sharecapital plus related stock surplus and retained
earnings
1a
2
1c

31a

of which: capital and stock surplusof which: retained earningsof which: treasury stock (-)
of which: other than above
Directly issued qualifying additional Tier 1
instruments plus related stock surplus ofwhich: classified as equity under applicableaccounting standards and the breakdown

2. Intangible fixed assets(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
2-aIntangible fixed assets
2-b
Securities

Remarks

7,646,044

8,086,177

3,392,716
4,260,352
7,025-

3,382,092
4,712,250
8,164
-

-

-

(Millions of yen)
As of September 30, 2020 As of September 30, 2021
619,695
603,477
43,314,534
43,725,034

of which: share of goodwill of companies
accounted for using the equity method
Income taxes related to above

9

8,544

9,388

(169,661)(166,015)

Remarks
Shareholders' equity attributable
to common shares (before
adjusting national specificregulatory adjustments(earnings to be distributed))

Remarks

Share of goodwill of companies
accounted for using the equity
methodBasel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(2) Composition of capitalBasel III
Composition of capital disclosure
template
Goodwill (net of related tax liability,
8
including those equivalent)
Other intangibles other than goodwill and9mortgage servicing rights (net of related tax
liability)
Mortgage servicing rights (net of related tax
liability)
Amount exceeding the 10% threshold on
20
specified items
Amount exceeding the 15% threshold on
24specified items
Mortgage servicing rights that are below
74
the thresholds for deduction (before risk
weighting)

3. Net defined benefit asset(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
Net defined benefit asset
3(Millions of yen)
As of September 30, 2020 As of September 30, 2021

4. Deferred tax assets(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
4-aDeferred tax assets
4-b
4-c

21
25

75

391,905

382,767

-

-

-

-

-

-

-

-

924,167

959,987(282,574)(293,654)

Software and other

Remarks(Millions of yen)
As of September 30, 2020 As of September 30, 2021

641,592

Remarks

666,332(Millions of yen)
As of September 30, 2020 As of September 30, 2021
23,36827,842

Deferred tax liabilities
Deferred tax liabilities for revaluation
reserve for land

133,564

166,823

62,55561,436

Tax effects on intangible fixed assets
Tax effects on net defined benefit asset

169,661
282,574

166,015
293,654(2) Composition of capitalBasel III
Composition of capital disclosure
template

10

64,082(Millions of yen)
As of September 30, 2020 As of September 30, 2021

Income taxes related to above(2) Composition of capitalBasel III
Composition of capital disclosure
template
15
Net defined benefit asset

66,672

Remarks

Remarks(Millions of yen)
As of September 30, 2020 As of September 30, 2021

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

13,86959,311

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

280,095

215,851

-

-

-

-

280,095

215,851

Amount exceeding the 10% threshold on
specified items
Amount exceeding the 15% threshold on
specified items
Deferred tax assets arising from
temporary differences that are below thethresholds for deduction (before risk
weighting)

10

Remarks
This item does not agree withthe amount reported on the
consolidated balance sheet due
to offsetting of assets andliabilities.
This item does not agree withthe amount reported on the
consolidated balance sheet due
to offsetting of assets andliabilities.

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
5. Deferred gains or losses on derivatives under hedge accounting(1) Consolidated balance sheet(Millions of yen)
Ref.
Consolidated balance sheet items
As of September 30, 2020 As of September 30, 2021
5
Deferred gains or losses on hedges
66,262(743)(2) Composition of capitalBasel III
Composition of capital disclosure
template

11

Remarks(Millions of yen)
As of September 30, 2020 As of September 30, 2021

Deferred gains or losses on derivatives underhedge accounting

123,464

6. Items associated with investments in the capital of financial institutions(1) Consolidated balance sheet(Millions of yen)
Ref.
Consolidated balance sheet items
As of September 30, 2020 As of September 30, 2021
6-aTrading assets

14,564,434

12,610,648

6-b
6-c
6-d
6-e

Securities
Loans and bills discounted
Derivatives other than for trading assets
Other assets

43,314,534
86,501,633
1,439,293
4,413,001

43,725,034
82,198,528
1,407,561
5,296,681

6-fTrading liabilities

8,487,342

6,464,003

6-g

Derivatives other than for trading liabilities

1,274,444

1,480,764(2) Composition of capital(Millions of yen)
Basel III
Composition of capital disclosure
As of September 30, 2020 As of September 30, 2021
template
17,6186,378
Investments in own capital instruments
16
Common equity Tier 1 capital
3,009
1,941
37
Additional Tier 1 capital
2,200
4,500
52
Tier 2 capital
1,169
11,176
Reciprocal cross-holdings in the capital ofbanking, financial and insurance entities
17
Common equity Tier 1 capital
38
Additional Tier 1 capital
53
Tier 2 capital and other TLAC liabilities
Investments in the capital of banking,financial and insurance entities that areoutside the scope of regulatory consolidation,
437,746
485,763
net of eligible short positions, where thebank does not own more than 10% of theissued share capital (amount above 10%threshold)18
Common equity Tier 1 capital
39
Additional Tier 1 capital
54
Tier 2 capital and other TLAC liabilities
Investments in the other TLAC liabilities
of banking, financial and insurance
entities that are outside the scope of
regulatory consolidation, where the bank54adoes not own more than 10% of the
712
3,147
issued common share capital of theentity: amount previously designated forthe 5% threshold but that no longer meetsthe conditions
Non-significant investments in the capitaland other TLAC liabilities of other72
437,033
482,616
financials that are below the thresholds
for deduction (before risk weighting)

11

Remarks

Excluding those items
whose valuation differences
arising from hedged items
6,575
are recognized as "Total
accumulated othercomprehensive income"Remarks
Including trading accountsecurities and derivatives for
trading assets
Including subordinated loans
Including money invested
Including trading accountsecurities soldRemarksBasel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

19
23
40
55
73

Significant investments in the capital ofbanking, financial and insurance entities thatare outside the scope of regulatory
consolidation, net of eligible short positions
Amount exceeding the 10% threshold on
specified items
Amount exceeding the 15% threshold on
specified items
Additional Tier 1 capital
Tier 2 capital and other TLAC liabilities
Significant investments in the common
stock of financials that are below thethresholds for deduction (before risk
weighting)

7. Non-Controlling interests(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
7
Non-Controlling interests(2) Composition of capitalBasel III
Composition of capital disclosure
template

318,150

352,676

-

-

-

-

44,403-36,078-273,747

316,598(Millions of yen)
As of September 30, 2020 As of September 30, 2021

102,192(Millions of yen)
As of September 30, 2020 As of September 30, 2021

5

Common share capital issued by subsidiaries
and held by third parties (amount allowed ingroup CET1)

8,002

18,65330-31ab-32

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

-

-

34-35

Additional Tier 1 instruments issued bysubsidiaries and held by third parties(amount allowed in group AT1)

19,47822,40746

Tier 2 instruments plus related stock surplus
issued by special purpose vehicles and otherequivalent entities

110,674

83,54848-49

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

5,996

8,921

8. Other capital instruments(1) Consolidated balance sheet
Ref.
Consolidated balance sheet items
8-aBorrowed money
8-b
Bonds and notes
Total

Remarks

116,959(Millions of yen)
As of September 30, 2020 As of September 30, 2021

7,275,166
9,639,781
16,914,948

After reflecting amounts
eligible for inclusion (NonControlling Interest after
adjustments)
After reflecting amounts
eligible for inclusion (NonControlling Interest after
adjustments)
After reflecting amounts
eligible for inclusion (NonControlling Interest after
adjustments)
After reflecting amounts
eligible for inclusion (NonControlling Interest after
adjustments)
After reflecting amounts
eligible for inclusion (NonControlling Interest after
adjustments)

Remarks

7,495,869
10,513,503
18,009,372(2) Composition of capital(Millions of yen)
Basel III
Composition of capital disclosure
As of September 30, 2020 As of September 30, 2021
template
Directly issued qualifying additional Tier 1
instruments plus related stock surplus of
32
2,042,000
1,873,000
which: classified as liabilities underapplicable accounting standards
Directly issued qualifying Tier 2 instruments
plus related stock surplus of which: classified
46
1,271,937
1,516,408
as liabilities under applicable accounting
standards

12

Remarks

RemarksBasel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Summary of Risk-weighted Assets (RWA)(1) Summary of RWA(A) OV1: Overview of Risk-weighted Assets (RWA)aBasel III
Template
No.

1
2
3

4
5
6

7
8
9

10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25

Credit risk (excluding counterparty credit risk)of which: standardized approach (SA)of which: internal rating-based (IRB) approachof which: significant investmentsof which: estimated residual value of lease transactions
othersCounterparty credit risk (CCR)
of which: SA-CCR
of which: current exposure methodof which: expected positive exposure (EPE) methodof which: credit valuation adjustment (CVA) riskof which: central counterparty-related
OthersEquity positions in banking book under market-based approach
Equity investments in funds - Look-through approach
Equity investments in funds - Mandate-based approach
Equity investments in funds - Simple approach (subject to 250% RW)
Equity investments in funds - Simple approach (subject to 400% RW)
Equity investments in funds - Fall-back approach
Settlement risk
Securitization exposures in banking bookof which: Securitisation IRB approach (SEC-IRBA)
or internal assessment approach(IAA)of which: Securitisation external ratings-based approach (SEC-ERBA)
of which: Securitisation standardised approach (SEC-SA)of which: 1250% risk weight is applied
Market riskof which: standardized approach (SA)of which: internal model approaches (IMA)
Operational riskof which: basic indicator approachof which: standardized approachof which: advanced measurement approach
Exposures of specified items not subject to regulatory adjustments
Amounts included in RWA subject to phase-out arrangements
Floor adjustment
Total (after applying the scaling factor)

13

b

c

(Millions of yen)d

RWA
Capital requirements
As of September As of September As of September As of September
30, 2021
30, 2020
30, 2021
30, 2020
41,275,421
40,583,267
3,483,531
3,424,325
1,892,684
2,072,056
151,414
165,764
37,812,051
37,013,372
3,206,461
3,138,734
1,570,685
1,497,838
125,654
119,827
4,219,942
4,255,024
343,434
346,544
206,570
213,471
17,086
17,681
1,199,922
1,165,775
100,653
98,1101,823,733
1,996,899
145,898
159,751
175,461
177,078
14,036
14,166814,254
701,799
65,75856,834
4,119,148
2,000,261
349,303
169,6225,764,047
5,948,455
487,760
503,088491,934
583,791
41,71649,505269,934
135,417
21,604
10,833
19,765
2,728
1,675
230
1,060,025
1,035,139
84,80282,811
863,250

794,217

69,06063,537

196,167251
356
2,375,853
1,284,799
1,091,053
3,220,395
820,9292,399,465
1,331,126
67,147,718

240,453467
2,373,910
1,127,173
1,246,737
3,268,390
695,179
2,573,211
1,384,607
64,404,983

15,69320
28
190,068
102,783
87,284
257,63165,674
191,957
110,289
5,371,817

19,23637
189,912
90,17399,738261,471
55,614
205,856
114,053
5,152,398

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) Credit Risk-weighted Assets by Asset Class and Ratings Segment(Billions of yen)
As of September 30, 2021

As of September 30, 2020
IRB approach
Corporate, etc.
Corporate (except specialized lending)
Ratings A1-B2
Ratings C1-D3
Ratings E1-E2
Ratings E2R-H1
Sovereign
Ratings A1-B2
Ratings C1-D3
Ratings E1-E2
Ratings E2R-H1Bank
Ratings A1-B2
Ratings C1-D3
Ratings E1-E2
Ratings E2R-H1
Specialized lending
RetailResidential mortgage
Qualifying revolving loan
Other retail
Equities
PD/LGD approach
Market-based approach
Regarded-method exposure
Securitizations
OthersStandardized approach
Equity investments in funds
Securitization exposures
CVA risk
Central counterparty-related
Total

EAD
218,979.0
202,722.0
99,909.0
75,570.4
22,045.6
1,448.3
844.6
95,673.1
95,491.9
179.4
1.7
0.0
6,842.6
6,415.6
423.9
0.0
2.9
297.1
10,351.6
8,222.5
588.1
1,541.0
3,924.5
3,245.5
679.0

RWA
45,046.2
33,463.5
30,822.7
15,438.1
12,877.9
2,179.6
326.9
812.9
704.2
105.8
2.8
0.0
1,523.9
1,240.4
282.3
0.1
1.1
303.8
3,224.3
2,198.5470.4
555.3
6,500.6
4,284.6
2,216.0

RW(%)
20.57
16.50
30.85
20.42
58.41
150.49
38.71
0.84
0.73
58.98
165.94
39.10
22.27
19.33
66.59
128.3339.01
102.23
31.14
26.73
79.98
36.03
165.63132.01
326.33EAD
220,066.2
203,275.7
98,781.4
73,303.1
22,907.3
1,319.4
1,251.5
97,370.1
97,172.5
189.7
7.9
0.0
6,796.0
6,425.9
362.5
6.5
1.0
328.0
9,919.6
7,944.2
556.9
1,418.4
5,015.2
3,633.5
1,381.7

RWA
48,019.6
33,653.1
30,913.7
15,212.6
13,463.6
1,760.6
476.7
823.3
678.7
134.5
10.0
0.0
1,573.0
1,345.8
209.0
17.8
0.3
343.0
3,016.2
2,078.3454.9
482.9
9,629.0
5,157.4
4,471.6

RW(%)
21.82
16.55
31.29
20.75
58.77
133.43
38.09
0.84
0.69
70.91
127.46
33.12
23.14
20.94
57.65
274.2933.12
104.55
30.4
26.16
81.68
34.04
191.99141.93323.63

1,980.7
4,904.4
2,768.9
5,056.9／／
231,709.3

1,857.7
3,464.4
7,042.8
1,035.1
1,996.8
177.0
58,762.6

93.79
70.63
254.35
20.46
／
／
24.42

1,855.5
5,262.3
2,527.5
5,168.2／／
233,024.3

1,721.1
3,584.0
6,888.5
1,060.0
1,823.7
175.4
61,551.4

92.75
68.1
272.53
20.51
／
／
25.55

Note1: "Specialized lending" is specialized lending exposure under supervisory slotting criteria.
Note2: "Equity investments in funds" is total of look-though approach, mandate-based approach, simple approach and fall-back approach.
Note3: "Equity investments in funds" and "Securitization exposures" as of September 30, 2019 are disclosed out of IRB approach due to revision of FSA Notice No.20.

<Reference>The following table sets forth information with respect to the definition of obligor ratings:
Obligor ratings(major category)
A1–A3
B1–B2
C1–C3
D1–D3
E1
E2
F1
G1
H1

R*

Definition of ratings

Classification

Obligors whose certainty of debt fulfillment is very high, hence their level of credit risk is excellent.
Obligors whose certainty of debt fulfillment poses no problems for the foreseeable future, hence their level of credit
risk is sufficient.
Obligors whose certainty of debt fulfillment and their level of credit risk pose no problems for the foreseeable future.
Obligors whose current certainty of debt fulfillment poses no problems, however, their resistance to future changes
in business environment is low.

Investment
grade zone

Non-investment

Obligors who require close watching going forward because there are problems with their borrowing conditions,such as reduced or suspended interest payments, problems with fulfillment such as de facto postponements ofprincipal or interest payments, or problems with their financial positions as a result of their poor or unstablebusiness conditions.
Obligors who are not yet bankrupt but are in financial difficulties and are deemed to be very likely to go bankrupt in
the future because they are finding it difficult to make progress in implementing their management improvement
plans (including obligors who are receiving ongoing support from financial institutions).
Obligors who have not yet gone legally or formally bankrupt but who are substantially bankrupt because they are inserious financial difficulties and are not deemed to be capable of restructuring.
Obligors who have already gone bankrupt, from both a legal and/or formal perspective.

* Obligors who have loans in need of monitoring (restructured loans and loans past due for three months or more) out of the obligors who require close watching going forward

14

grade zone

DefaultBasel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Credit Risk
(1) Quantitative Disclosure on Credit Risk

Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit
risk exposures below.
(A) CR1: Credit Quality of Assets(Millions of yen)
As of September 30, 2020abcGross carrying values ofDefaulted
Non-defaulted
exposures
exposures
Reserve
1
2
3
4
5
6
7
8

On-balance sheet exposures
Loans
Debt securities
Other on-balance sheet debt exposures
Total on-balance sheet exposures (1+2+3)
Off-balance sheet exposures
Guarantees
Commitments
Total off-balance sheet exposures (5+6)
Total
Total assets (4+7)

dNet values(a+b-c)847,6579,776
5,596
863,030

84,187,897
36,070,448
45,584,483
165,842,829

437,1082,231
439,340

84,598,446
36,080,225
45,587,847
166,266,519

20,02342,86862,891

5,917,039
32,504,067
38,421,106

33,38633,386

5,903,676
32,546,935
38,450,611

925,922204,263,936

472,727

204,717,131

Notes: 1. Other on-balance sheet debt exposures include deposits, call loans, bills purchased, other debt purchased, money held in trust and foreign exchange assets, etc.
2. Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on.
3. Reserve corresponds to the amount of reserves for possible loan losses(Millions of yen)
As of September 30, 2021abcGross carrying values ofDefaulted
Non-defaulted
Reserve
exposures
exposures
1
2
3
4
5
6
7
8

On-balance sheet exposures
Loans
Debt securities
Other on-balance sheet debt exposures
Total on-balance sheet exposures (1+2+3)
Off-balance sheet exposures
Guarantees
Commitments
Total off-balance sheet exposures (5+6)
Total
Total assets (4+7)

dNet values(a+b-c)1,207,556
12,865
1,862
1,222,285

79,246,566
36,338,161
51,150,652
166,735,380

529,2933,090
532,384

79,924,829
36,351,027
51,149,424
167,425,281

43,54781,755
125,303

7,041,858
32,831,297
39,873,155

45,84545,845

7,039,560
32,913,053
39,952,613

1,347,588

206,608,536

578,229

207,377,895

Notes: 1. Other on-balance sheet debt exposures include deposits, call loans, bills purchased, other debt purchased, money held in trust and foreign exchange assets, etc.
2. Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on.
3. Reserve corresponds to the amount of reserves for possible loan losses

15Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) CR2: Changes in Defaulted Loans and Debt Securities(Millions of yen)
As of September 30, 2020

No.
1
2
3
4
5
6

Exposure
Defaulted loans and debt securities as of March 31, 2020
Defaulted
Returned to non-defaulted status
Breakdown of changes in loans and debt
securities during this reporting period
Amounts written off
Other changes
Defaulted loans and debt securities as of September 30, 2020 (1+2-3-4+5)

747,891
248,182
52,64330,219(50,180)
863,030

Note: Other changes corresponds to the amount of variation in defaulted exposures arising from debt recovery and additional credit to defaulted obligors, etc.

(Millions of yen)
As of September 30, 2021

No.
1
2
3
4
5
6

Defaulted loans and debt securities as of March 31, 2021
Defaulted
Returned to non-defaulted status
Breakdown of changes in loans and debt
securities during this reporting period
Amounts written off
Other changes
Defaulted loans and debt securities as of September 30, 2021 (1+2-3-4+5)

Exposure
1,243,701
165,918
69,60715,025(102,700)
1,222,285

Note: Other changes corresponds to the amount of variation in defaulted exposures arising from debt recovery and additional credit to defaulted obligors, etc.

16

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(2) Credit Risk under Internal Ratings-Based (IRB) Approach(i) Quantitative Disclosure on Credit Risk under Internal Ratings-based Approach(A) CR6: IRB - Credit Risk Exposures by Portfolio and PD Range

PD scale
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9

(Millions of yen, %, number in the thousands, year)
a
b
c
d
e
f
g
h
i
j
k
l
Original
Offon-balance balance
EAD
sheet
sheet
Numberpost CRM
ofgross
exposures Average
andAverage
Average Average
RWA
obligors LGD maturity RWA
exposure pre CCF CCF post-CCF
PDdensity
EL Provisions
As of September 30, 2020

Sovereign
75,813,720
231,90279.74
0.00 to <0.15
0.15 to <0.25
89,743
5,335
74.99
0.25 to <0.50
0.50 to <0.75
128,94782
75.00
0.75 to <2.50
57,6952,466
74.99
2.50 to <10.00
1,837
10.00 to <100.00
740
100.00 (Default)
76,092,685
239,786
79.58
Sub-total
Banks
4,081,519
668,89270.31
0.00 to <0.15
0.15 to <0.25
91,25239,38670.59
0.25 to <0.50
0.50 to <0.75
230,31336,86071.07
0.75 to <2.50
43,401
9,859
73.00
2.50 to <10.00
10.00 to <100.00
2,908
100.00 (Default)
4,449,396
754,998
70.39
Sub-total
Corporate (except SME and specialized lending)
46,260,901 29,057,412
74.34
0.00 to <0.15
0.15 to <0.25
7,980,874
2,758,354
74.56
0.25 to <0.50
0.50 to <0.75
5,029,069
1,546,737
74.25
0.75 to <2.50
1,870,452
357,912
69.63
2.50 to <10.00
941,440
69,58577.72
10.00 to <100.00
657,059
57,59177.05
100.00 (Default)
62,739,797 33,847,593
74.32
Sub-total
SME
161,901
61,17665.73
0.00 to <0.15
0.15 to <0.25
1,490,674
52,41575.86
0.25 to <0.50
0.50 to <0.75
1,172,728
61,40287.63
0.75 to <2.50
538,526
37,71678.44
2.50 to <10.00
204,241
5,239
73.82
10.00 to <100.00
147,296630
88.23
100.00 (Default)
3,715,369
218,58176.76
Sub-total
Specialized Lending
3,368,950
367,755
76.95
0.00 to <0.15
0.15 to <0.25
825,302314,81075.82
0.25 to <0.50
0.50 to <0.75
455,783
106,85374.54
0.75 to <2.50
69,67892,88075.11
2.50 to <10.00
53,5375,910
76.61
10.00 to <100.00
27,886
214
99.99
100.00 (Default)
4,801,138
888,425
76.07
Sub-total
Equities (PD/LGD approach)
2,818,935
2,510
100.000.00 to <0.15
0.15 to <0.25
91,6420.25 to <0.50
0.50 to <0.75
33,1710.75 to <2.50
16,0682.50 to <10.00
38,04510.00 to <100.00
4,869
100.00 (Default)
3,002,732
2,510
100.00Sub-total

77,650,091
93,304
81,137114
1,663
077,826,311

0.00
0.26
1.13
4.29
14.88
100.00
0.00

0.2
0.0
0.0
0.0
0.0
0.0
0.3

37.85
37.70
37.79
37.83
34.60
87.22
37.85

1.6
2.9
1.1
1.0
1.1
1.0
1.6

538,855
43,48651,902118
2,620
0636,984

0.69
46.60
63.96
103.93
157.49
36.89
0.81

662
93
348
1
85
0
1,192

／
／
／
／
／
／
／
／
1,022

4,967,673
137,794
236,386
45,203
2,908
5,389,965

0.05
0.34
1.05
3.06
100.00
0.18

0.3
0.0
0.0
0.0
0.0
0.5

37.47
35.94
36.95
41.11
51.36
37.45

2.0
1.5
1.1
1.6
2.3
1.9

855,241
46,629160,940
50,726
1,070
1,114,608

17.21
33.84
68.08
112.21
36.80
20.67

962
142
902
570
1,408
3,987

／
／
／
／
／
／
／
／
3,420

68,503,674
9,656,075
5,643,361
1,657,955
823,507
662,702
86,947,276

0.06
0.36
1.16
3.69
14.88
100.00
1.14

7.7
8.6
4.6
217.4
3.3
0.6
242.5

37.87
33.53
32.17
32.09
33.10
40.26
36.88

2.3
2.4
2.6
2.6
2.9
2.2
2.3

12,917,933
4,212,046
3,909,667
1,622,559
1,376,980
241,598
24,280,787

18.85
43.62
69.27
97.86
167.2036.45
27.92

16,953
11,69021,25919,81240,590247,506
357,813

／
／
／
／
／
／
／
／
306,934

200,046
1,481,255
1,176,838
545,357
194,916
138,251
3,736,667

0.09
0.37
1.11
3.19
14.88
100.00
5.44

0.0
7.0
5.3
81.7
1.7
1.0
97.0

34.52
24.17
21.60
22.08
19.00
37.93
23.85

3.3
3.1
3.4
3.4
3.1
2.3
3.2

45,673439,679
489,592
298,735
155,854
45,3491,474,883

22.83
29.68
41.60
54.77
79.95
32.80
39.47

62
1,337
2,875
3,887
5,515
48,81362,492

／
／
／
／
／
／
／
／
53,606

3,263,276
887,078
333,392
54,696
29,04827,151
4,594,644

0.07
0.37
0.89
4.20
14.88
100.00
0.92

0.5
0.1
0.0
0.0
0.0
0.0
0.7

34.75
38.23
39.88
36.62
34.35
56.41
35.94

4.2
4.2
4.3
4.3
3.1
4.1
4.2

911,337
585,844
327,61172,72350,76912,891
1,961,178

27.92
66.04
98.26
132.95174.77
47.47
42.68

881
1,259
1,190
834
1,485
14,286
19,937

／
／
／
／
／
／
／
／
17,1022,821,445
91,642
33,171
16,06838,045
4,869
3,005,242

0.04
0.34
1.13
4.31
14.88
100.00
0.44

1.0
0.6
0.2
0.0
0.0
0.1
2.1

90.00
90.00
90.00
90.00
90.00
90.00
90.00

5.0
5.0
5.0
5.0
5.0
5.0
5.0

2,834,481
155,828
87,64062,932
252,41254,7783,448,073

100.46170.03264.20391.65663.45
1,125.00
114.73

／
／
／
／
／
／
／
／
／

／
／
／
／
／
／
／
／
／

17

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen, %, number in the thousands, year)
a
b
c
d
e
f
g
h
i
j
k
l
Original
Offon-balance balance
EAD
sheet
sheet
post CRM
Numbergross
exposures Average
andAverageof
Average Average
RWA
PD scale
exposure pre CCF CCF post-CCF
PD
obligors LGD maturity RWA
density
EL Provisions
As of September 30, 2020
Purchased receivables (Corporate, etc.) - Default Risk Equivalent
2,036,195
192,19376.59
2,183,295
0.06
0.6
38.19
1.5
273,05312.50
520／
1 0.00 to <0.15／
2 0.15 to <0.25
305,641
50,66977.58
344,955
0.39
0.2
37.83
1.7
153,767
44.57
516／
3 0.25 to <0.50／
4 0.50 to <0.75
65,657
28,83775.68
87,484
1.24
0.0
37.83
2.8
75,07485.81
413／
5 0.75 to <2.50
17,211
10,02578.16
25,047
3.28
0.0
37.83
2.7
28,591
114.14311／
6 2.50 to <10.00
770
770
14.88
0.0
37.83
2.7
1,446
187.8243／
7 10.00 to <100.00
3,810
3,810
100.00
0.0
30.92
0.9
1,555
40.80
1,053
／
8 100.00 (Default)
2,429,286
281,72576.73
2,645,364
0.32
1.0
38.12
1.5
533,489
20.16
2,859
2,452
9 Sub-total
Purchased receivables (Retail) - Default Risk Equivalent／
1 0.00 to <0.15／
2 0.15 to <0.25／
3 0.25 to <0.50／
4 0.50 to <0.75／
5 0.75 to <2.50／
6 2.50 to <10.00／
7 10.00 to <100.00／
8 100.00 (Default)
9 Sub-total
Purchased receivables (Dilution Risk Equivalent)
885,02237,825100.00922,847
0.06
0.0
37.83
106,02411.48
221／
1 0.00 to <0.15／
2 0.15 to <0.25
127,047
2,689
100.00129,736
0.38
0.0
37.71
48,58837.45
190／
3 0.25 to <0.50／
4 0.50 to <0.75
45,34345,343
1.06
0.0
37.83
29,86765.86
182／
5 0.75 to <2.50
42,23342,233
3.11
0.0
37.83
39,48293.48
498／
6 2.50 to <10.00
528
528
14.88
0.0
37.83
909
171.9829／
7 10.00 to <100.00
19,40919,409100.000.0
50.07
10,911
56.21
8,846
／
8 100.00 (Default)
1,119,585
40,514100.001,160,100
1.92
0.1
38.02
235,782
20.32
9,968
／
9 Sub-total
Retail – qualifying revolving retail exposures (QRRE)／／
1 0.00 to <0.15
2
0.15
0.0
72.65
／
0
6.43
0
／
2 0.15 to <0.25
24
0.32
0.6
79.32
／
3
12.65
0
／
3 0.25 to <0.50
14
0.70
0.4
79.32
／
3
23.17
0
／
4 0.50 to <0.75
211,624
841,736
13.55
325,782
2.38
560.4
79.31
／
188,404
57.83
6,152
／
5 0.75 to <2.50
157,694
873,059
7.86
226,276
4.24
2,013.2
79.32／
192,207
84.94
7,619
／
6 2.50 to <10.00
29,881
19,54428.28
35,408
17.53
202.7
79.32
／
62,631
176.884,925／
7 10.00 to <100.00
457
1,238
11.14
592
100.00
1.8
72.11
／
530
89.50
384
／
8 100.00 (Default)
399,657
1,735,577
10.85
588,102
4.10
2,779.4
79.31／
443,780
75.45
19,082
16,3689 Sub-total
Retail – Residential mortgage
1,615,187
1,648,439
0.08
193.2
28.71
／
98,4215.97
408／
1 0.00 to <0.15
1,012,597
1,014,202
0.20
98.6
31.53
／
130,257
12.84
654／
2 0.15 to <0.25
1,850,332
1,889,688
0.34
217.1
31.88
／
356,597
18.87
2,057
／
3 0.25 to <0.50
2,004,700
67,97897.37
1,995,273
0.63
283.7
33.56
／
610,969
30.62
4,203
／
4 0.50 to <0.75
1,493,213331
100.001,494,619
1.08
183.7
34.25
／
664,702
44.47
5,436
／
5 0.75 to <2.50
83,1401,659
100.0085,145
9.29
11.7
35.78
／
134,193157.602,829／
6 2.50 to <10.00
19,8571,458
100.0021,321
47.74
3.3
39.05
／
40,154
188.32
3,972／
7 10.00 to <100.00
72,8201,028
100.0073,832100.006.0
43.18／
38,78052.52
28,782／8 100.00 (Default)
8,151,848
72,45697.54
8,222,523
1.58
997.7
32.20
／
2,074,075
25.22
48,344
41,4709 Sub-total
Other retail18249,125
0.07
30.7
46.91
／
20,9518.41
82／
1 0.00 to <0.15
24
187,828
0.20
6.8
46.20
／
35,66518.98
178／
2 0.15 to <0.25
112,295
94
89.42
112,593
0.34
3.1
48.17
／
31,14727.66
185／
3 0.25 to <0.50
18,78193
75.00
18,995
0.65
0.8
18.62
／
2,952
15.54
23
／
4 0.50 to <0.75
854,389
3,642
76.96
756,555
1.32
97.6
43.68
／
349,527
46.19
4,028
／
5 0.75 to <2.50
392,838
2,409
66.30
127,568
6.44
15.2
17.47
／
32,671
25.61
1,048
／
6 2.50 to <10.00
89,894
7,506
54.75
38,773
17.38
13.1
34.41
／
27,415
70.70
2,465
／
7 10.00 to <100.00
60,911
2,189
93.74
48,431100.002.4
47.19／
23,13447.76
21,007／8 100.00 (Default)
1,529,153
15,93667.25
1,539,871
4.83
170.0
42.24
／
523,465
33.99
29,02024,8949 Sub-total
71.52 195,656,069
0.77
4,291.8
37.82
2.1 36,727,110
18.77
554,698467,272
Total (all portfolios) 168,430,651 38,098,105
Notes: 1. Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above.
2. On-balance sheet exposures, pre-CCF and pre- CRM off-balance sheet exposures, and the average CCF are allocated to the PD ranges based on pre- CRM PD
estimates.
3. The number of credits is disclosed as the number of data of obligors for QRRE, residential mortgage and other retail excluding credit for business purpose.

18Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

PD scale
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9

(Millions of yen, %, number in the thousands, year)
a
b
c
d
e
f
g
h
i
j
k
l
Original
Offon-balance balance
EAD
sheet
sheet
post CRM
Numbergross
exposures Average
andAverageof
Average Average
RWA
exposure pre CCF CCF post-CCF
PD
obligors LGD maturity RWA
density
EL Provisions
As of September 30, 2021

Sovereign
78,745,397
252,12177.82
0.00 to <0.15
0.15 to <0.25
8,284
0.25 to <0.50
0.50 to <0.75
210,105
1,736
75.00
0.75 to <2.50
43,1131,600
74.99
2.50 to <10.00
3,592
10.00 to <100.00
653
100.00 (Default)
79,011,146
255,459
77.78
Sub-total
Banks
4,248,623
714,23659.65
0.00 to <0.15
0.15 to <0.25
108,360
111,14063.73
0.25 to <0.50
0.50 to <0.75
129,366
44,58354.94
0.75 to <2.50
23,6815,459
74.94
2.50 to <10.00
10.00 to <100.00
1,015
100.00 (Default)
4,511,048
875,418
60.02
Sub-total
Corporate (except SME and specialized lending)
43,662,973 29,014,603
73.84
0.00 to <0.15
0.15 to <0.25
8,213,596
3,357,161
74.80
0.25 to <0.50
0.50 to <0.75
4,687,304
1,490,010
74.91
0.75 to <2.50
1,992,626
1,029,907
71.15
2.50 to <10.00
587,210139,080
78.82
10.00 to <100.00
1,004,827
119,432
69.88
100.00 (Default)
60,148,539 35,150,195
73.91
Sub-total
SME
261,792
52,33074.43
0.00 to <0.15
0.15 to <0.25
1,343,820
61,36374.46
0.25 to <0.50
0.50 to <0.75
1,229,586
60,83486.55
0.75 to <2.50
511,142
19,63377.36
2.50 to <10.00
215,146
4,212
71.80
10.00 to <100.00
162,8322,033
79.50
100.00 (Default)
3,724,320
200,40978.40
Sub-total
Specialized Lending
3,851,927
358,402
76.37
0.00 to <0.15
0.15 to <0.25
956,514357,45375.18
0.25 to <0.50
0.50 to <0.75
508,795
161,55574.18
0.75 to <2.50
87,698130,18375.08
2.50 to <10.00
72,425
5,408
76.81
10.00 to <100.00
27,400113
100.00100.00 (Default)
5,504,762
1,013,116
75.44
Sub-total
Equities (PD/LGD approach)
3,105,696
19,686100.000.00 to <0.15
0.15 to <0.25
102,9160.25 to <0.50
0.50 to <0.75
34,9850.75 to <2.50
32,5982.50 to <10.00
7,813
10.00 to <100.00
50,273100.00 (Default)
3,334,285
19,686100.00Sub-total

80,835,195
1,583
179,8187,835
151
081,024,584

0.00
0.27
0.91
6.30
15.12
100.00
0.00

0.2
0.0
0.0
0.0
0.0
0.0
0.2

37.89
31.01
37.86
37.88
5.19
96.42
37.89

1.6
3.5
1.6
1.0
1.6
1.0
1.6

506,348649
118,2039,546
37
0634,784

0.62
41.05
65.73
121.82
24.51
31.25
0.78

705
1
621
187
1
0
1,517

／
／
／
／
／
／
／
／
1,452

5,190,262
191,107
134,936
23,956
1,015
5,541,278

0.05
0.41
1.21
3.99
100.00
0.12

0.3
0.0
0.0
0.0
0.0
0.5

37.72
36.91
36.13
41.53
96.42
37.68

2.4
1.2
0.9
2.6
5.0
2.4

972,934
74,35388,603
33,669317
1,169,877

18.74
38.90
65.66
140.54
31.25
21.11

899
262
592
443
953
3,152

／
／
／
／
／
／
／
／
3,017

65,567,616
10,244,965
5,386,878
2,079,783
511,694
1,067,577
84,858,515

0.06
0.36
1.20
3.84
15.12
100.00
1.61

7.3
8.0
4.2
208.8
3.5
0.6
232.7

38.16
33.06
32.38
32.85
29.94
33.74
36.94

2.3
2.4
2.6
2.5
2.3
2.4
2.3

12,642,543
4,468,891
3,780,626
2,076,952
752,893385,528
24,107,435

19.28
43.62
70.18
99.86
147.1336.11
28.40

16,91812,42020,88526,28323,174329,453
429,135

／
／
／
／
／
／
／
／
410,729

304,879
1,341,992
1,234,306
501,606
199,102150,013
3,731,899

0.08
0.38
1.19
3.28
15.12
100.00
5.80

0.0
6.4
4.8
77.3
1.7
1.0
91.5

35.39
24.26
21.76
20.80
18.38
35.19
24.00

3.0
3.1
3.2
3.4
3.0
2.3
3.1

60,648396,804
519,764
262,639
152,828
48,668
1,441,353

19.89
29.56
42.10
52.35
76.75
32.44
38.62

86
1,239
3,284
3,514
5,535
48,90762,569

／
／
／
／
／
／
／
／
59,885

3,707,931
1,056,967
368,625
111,763
49,328
27,1055,321,722

0.07
0.36
0.93
3.73
15.12
100.00
0.91

0.5
0.1
0.0
0.0
0.0
0.0
0.8

32.82
37.32
40.65
33.81
34.26
59.85
34.43

4.2
4.3
3.9
3.6
3.5
3.7
4.1

965,457
691,513356,410
127,973
87,523
12,4392,241,318

26.03
65.42
96.68
114.50177.42
45.89
42.11

970
1,430
1,403
1,422
2,556
15,22823,012

／
／
／
／
／
／
／
／
22,0253,125,383
102,916
34,98532,598
7,813
50,273
3,353,972

0.04
0.34
1.14
3.69
15.12
100.00
1.63

0.9
0.5
0.2
0.1
0.0
0.1
2.0

90.00
90.00
90.00
90.00
90.00
90.00
90.00

5.0
5.0
5.0
5.0
5.0
5.0
5.0

3,164,949
176,008
93,194
121,50252,164565,582
4,173,401

101.26171.02266.37372.71667.58
1,124.99
124.43

／
／
／
／
／
／
／
／
／

／
／
／
／
／
／
／
／
／

19

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen, %, number in the thousands, year)
a
b
c
d
e
f
g
h
i
j
k
l
Original
Offon-balance balance
EAD
sheet
sheet
post CRM
Numbergross
exposures Average
andAverageof
Average Average
RWA
PD scale
exposure pre CCF CCF post-CCF
PD
obligors LGD maturity RWA
density
EL Provisions
As of September 30, 2021
Purchased receivables (Corporate, etc.) - Default Risk Equivalent
2,197,811
213,76177.99
2,364,336
0.06
0.6
38.24
1.3
291,360
12.32
591／
1 0.00 to <0.15／
2 0.15 to <0.25
424,816
66,14578.84
476,969
0.34
0.2
37.88
1.2
179,477
37.62
617／
3 0.25 to <0.50／
4 0.50 to <0.75
82,88525,278
77.98
102,598
1.31
0.0
37.88
2.0
80,34978.31
510／
5 0.75 to <2.50
52,246
8,967
75.07
58,978
3.54
0.0
37.88
1.5
60,652102.83792／
6 2.50 to <10.00
864
864
15.12
0.0
37.88
2.1
1,587
183.7349／
7 10.00 to <100.00
465
465
100.00
0.0
31.10
1.2
186
40.00
129
／
8 100.00 (Default)
2,759,088
314,153
78.09
3,004,211
0.24
1.0
38.16
1.3
613,614
20.42
2,691
2,576
9 Sub-total
Purchased receivables (Retail) - Default Risk Equivalent／
1 0.00 to <0.15／
2 0.15 to <0.25／
3 0.25 to <0.50／
4 0.50 to <0.75／
5 0.75 to <2.50／
6 2.50 to <10.00／
7 10.00 to <100.00／
8 100.00 (Default)
9 Sub-total
Purchased receivables (Dilution Risk Equivalent)
1,155,486
37,409100.001,192,896
0.06
0.0
37.79
134,85611.30
285／
1 0.00 to <0.15／
2 0.15 to <0.25
167,0852,240
100.00169,325
0.31
0.0
37.88
55,83232.97
198／
3 0.25 to <0.50／
4 0.50 to <0.75
35,25135,251
1.34
0.0
37.63
23,92267.86
179／
5 0.75 to <2.50
32,386
16,792100.0049,179
3.12
0.0
37.88
33,61268.34
389／
6 2.50 to <10.00
525
525
15.12
0.0
37.88
910
173.1130／
7 10.00 to <100.00
21,376
21,376100.000.0
52.41
12,42858.14
10,209／8 100.00 (Default)
1,412,111
56,443100.001,468,554
1.68
0.1
38.01
261,563
17.81
11,292／9 Sub-total
Retail – qualifying revolving retail exposures (QRRE)／／
1 0.00 to <0.15／／
2 0.15 to <0.25
15
0.36
0.3
79.12
／
2
13.80
0
／
3 0.25 to <0.50
15
0.72
0.4
80.14
／
3
23.89
0
／
4 0.50 to <0.75
193,669
827,72613.30
303,802
2.40
537.2
80.14
／
178,604
58.78
5,846
／
5 0.75 to <2.50
148,615
861,566
8.00
217,579
4.27
1,964.4
80.14／
187,645
86.24
7,456
／
6 2.50 to <10.00
29,061
20,75928.00
34,875
17.46
201.2
80.14
／
62,279178.574,880／
7 10.00 to <100.00
490
1,168
12.81
638
100.00
1.8
72.77
／
634
99.50
413
／
8 100.00 (Default)
371,837
1,711,220
10.81
556,925
4.18
2,705.5
80.13／
429,170
77.06
18,596
17,7999 Sub-total
Retail – Residential mortgage
1,498,908
1,543,545
0.08
176.4
29.42
／
92,2095.97
380／
1 0.00 to <0.15
1,211,533
1,213,749
0.20
130.3
30.44
／
149,79112.34
751／
2 0.15 to <0.25
1,772,434
1,805,141
0.36
210.8
31.41
／
346,207
19.17
2,024
／
3 0.25 to <0.50
1,826,733
39,56094.99
1,783,613
0.63
261.2
33.83
／
552,275
30.96
3,802
／
4 0.50 to <0.75
1,439,695
190
100.001,440,822
1.07
178.9
33.73
／
626,925
43.51
5,108
／
5 0.75 to <2.50
78,538845
100.0079,602
9.15
11.2
35.42
／
123,461
155.092,579／
6 2.50 to <10.00
18,341950
100.0019,291
46.92
3.1
38.67
／
36,295188.14
3,507／
7 10.00 to <100.00
57,866619
100.0058,471100.005.0
42.77／
33,57357.41
22,326／8 100.00 (Default)
7,904,052
42,16695.30
7,944,237
1.40
977.3
31.98
／
1,960,741
24.68
40,48038,7449 Sub-total
Other retail25
247,763
0.07
26.7
46.58
／
21,6538.73
85／
1 0.00 to <0.15
21
192,938
0.20
6.4
45.93
／
36,90519.12
185／
2 0.15 to <0.25
107,481207
100.00107,948
0.33
2.9
48.70
／
29,53427.35
173／
3 0.25 to <0.50
54,870177
75.00
53,375
0.67
67.5
60.42
／
27,58351.67
222／
4 0.50 to <0.75
713,3632,731
77.93
615,500
1.34
21.1
39.72
／
262,402
42.63
3,096
／
5 0.75 to <2.50
364,717
1,725
58.35
112,541
6.60
13.3
15.10
／
24,84222.07
778／
6 2.50 to <10.00
104,014
6,554
54.50
39,582
16.93
12.3
35.10
／
28,347
71.61
2,479
／
7 10.00 to <100.00
64,3891,934
93.11
48,084100.002.2
45.47／
24,11050.14
19,936／8 100.00 (Default)
1,408,884
13,33066.38
1,417,734
5.06
152.7
41.34
／
455,379
32.12
26,95825,8029 Sub-total
71.07 198,223,637
0.97
4,164.9
37.92
2.1 37,488,639
18.91
619,407582,032
Total (all portfolios) 170,090,078 39,651,600
Notes: 1. Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above.
2. On-balance sheet exposures, pre-CCF and pre- CRM off-balance sheet exposures, and the average CCF are allocated to the PD ranges based on pre- CRM PD
estimates.
3. The number of credits is disclosed as the number of data of obligors for QRRE, residential mortgage and other retail excluding credit for business purpose.

20Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) CR10: IRB -Specialized Lending under the Slotting Criteria Approach and Equity Exposures under the Market-based
Approach etc.
(Millions of yen, %)abRegulatory
categories

RemainingmaturityLess than 2.5 years
Equal to or morethan 2.5 years
Less than 2.5 years
Equal to or morethan 2.5 years

StrongGood
Satisfactory
Weak
Default
Total

Regulatory
categories

RemainingmaturityLess than 2.5 years
Equal to or morethan 2.5 years
Less than 2.5 years
Equal to or morethan 2.5 years

StrongGood
Satisfactory
Weak
Default
Total

Categories
Exchangetraded
equityexposures
Privateequityexposures
Other
equityexposures
Total
Equity exposures to which arisk weight of 100% isappliedAs of September 30, 2020
c
d
e
f
g
h
i
Specialized lending under slotting criteria approach
Other than HVCRE
OnOffExposure amountbalancebalance
RW
sheet
sheet
PF
OF
CF
IPRE
amountamount50%
25,021
25,021
-

j

Total

k

l

RWA

Expected
losses25,021

12,510

-

-

-

70%

-

-

-

-

-

-

-

-

-

70%

-

-

-

-

-

-

-

2,404

-

90%

2,673
7,913
6,456
44,47013,182
9,549
22,732

115%
250%

-

-

2,405

-

-

2,405

2,164

19

HVCRE

12,577
15,131
9,312
64,449--12,577
15,131
9,312
64,44914,46437,82866,968

352
1,210
4,656
6,238

OnOffbalancebalance
RW
sheet
sheet
amountamount70%
24,512313
157,517

28,243

Exposureamount95%

Expected
lossesRWA

24,75817,33099

178,725

169,789

714

9,562

-

95%

9,562

9,083

38

5,844

17,850120%

19,241

23,08976

232,287

219,293929- 140%- 250%
197,436
46,406Equity exposures under the market-based approach etc.
Equity exposures under the market-based approach
OnOffbalancebalance
RW
sheet
sheet
amountamountExposureamountRWA

541,987

26,820300%

568,808 1,706,424

70,988

1,409

400%

72,348289,395

-

-

-

-

-

612,976
28,230Equity exposures to which a risk weight of 100% is applied

4,440- 100%

641,157 1,995,820

4,440

4,440

Notes:1. Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above.
2. PF, OF, CF and IPRE respectively stand for project finance, object finance, commodity finance and income-producing real estate.

21

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen, %)abRegulatory
categories

RemainingmaturityLess than 2.5 years

StrongEqual to or morethan 2.5 years
Less than 2.5 years
Equal to or morethan 2.5 years

Good
Satisfactory
Weak
Default
Total

Regulatory
categories

RemainingmaturityLess than 2.5 years
Equal to or morethan 2.5 years
Less than 2.5 years
Equal to or morethan 2.5 years

StrongGood
Satisfactory
Weak
Default
Total

Categories
Exchangetraded
equityexposures
Privateequityexposures
Other
equityexposures
Total
Equity exposures to which arisk weight of 100% isappliedAs of September 30, 2021
c
d
e
f
g
h
i
Specialized lending under slotting criteria approach
Other than HVCRE
OnOffExposure amountbalancebalance
RW
sheet
sheet
PF
OF
CF
IPRE
amountamount50%
25,01925,019
-

j

Total

k

l

RWA

Expected
losses25,01912,509

-

-

1,618

70%

-

1,213

-

-

1,213

849

4

-

-

70%

-

-

-

-

-

-

-

1,945

-

90%

-

1,945

-

-

1,945

1,750

15

934
10,624
6,622
45,146

40,107
8,911
50,637

115%
250%

HVCRE

31,015
17,407
8,883
85,485--31,015
17,407
8,883
85,48535,66743,51994,297

868
1,392
4,441
6,723

-

OnOffbalancebalance
RW
sheet
sheet
amountamount70%
20,923
313

ExposureamountExpected
lossesRWA

21,164

14,815

84

164,171

48,477

95%

200,563

190,534

802

4,748

-

95%

4,753

4,515

19

10,642

5,247

120%

14,581

17,49758

1,250
242,3121,750
229,113

35
999

1,250
- 140%- 250%
201,736
54,037
Equity exposures under the market-based approach etc.
Equity exposures under the market-based approach
OnOffbalancebalance
RW
sheet
sheet
amountamountExposureamountRWA

1,033,368

212,556300%

1,245,924 3,737,772

92,919

1,708

400%

94,200376,803

-

-

-

-

-

1,126,287
214,265
Equity exposures to which a risk weight of 100% is applied

4,572- 100%

1,340,125 4,114,576

4,572

4,572

Notes:1. Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above.
2. PF, OF, CF and IPRE respectively stand for project finance, object finance, commodity finance and income-producing real estate.

22Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(3) Credit Risk under Standardized Approach(i) Quantitative disclosure on credit risk under standardized approach(A) CR5: Standardized Approach - Exposures by Asset Classes and Risk Weights

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

Risk weight
Asset classes
CashJapanese sovereigns and Bank of Japan
Foreign central sovereigns and central
banksBank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other thanforeign central sovereigns, etc.
International development banks
Japan Finance Organization for
Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business
operators conducting the type I financial
instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Mortgage housing loan
Real estate acquisition business, etc.
Claims past due for 3 months or more
(excluding mortgage housing loan)
Claims past due for 3 months or moreregarding mortgage housing loanBills in process of collection
With guarantee of Credit Guarantee
Corporations, etc.
With guarantee of Regional Economy
Vitalization Corporation of Japan
Investments, etc.(excluding significant
investments)
Total(Millions of yen)
As of September 30, 2020
c
d
e
f
g
h
i
j
k
Credit exposures amount (post CCF and post-CRM)
20% 35% 50% 75% 100% 150% 250% 1,250% Total

a

b

0%

10%

81
326,890
69,495-97,345-93,749-31,531

1--

81
326,890
292,123

323
-

-

740

-

17

-

0

-

-

-

323
758

-

2

-

-

-

-

-

-

-

-

2

-

1,893
-

346,641-

52,506-

66,891

-

-

-

1,893
466,039

-

-

-

-

127

- 1,811,257
12

27

-

- 1,811,257
167

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

396,791

1,895

444,727-

146,401- 1,909,692

28-- 2,899,537

Note: Counterparty credit risk exposures, credit risk related to securitization transactions, and fund exposures are excluded from the amount of credit risk exposures above.

23

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

Risk weight
Asset classes
CashJapanese sovereigns and Bank of Japan
Foreign central sovereigns and central
banksBank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other thanforeign central sovereigns, etc.
International development banks
Japan Finance Organization for
Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business
operators conducting the type I financial
instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Mortgage housing loan
Real estate acquisition business, etc.
Claims past due for 3 months or more
(excluding mortgage housing loan)
Claims past due for 3 months or moreregarding mortgage housing loanBills in process of collection
With guarantee of Credit Guarantee
Corporations, etc.
With guarantee of Regional Economy
Vitalization Corporation of Japan
Investments, etc.(excluding significant
investments)
Total(Millions of yen)
As of September 30, 2021
c
d
e
f
g
h
i
j
k
Credit exposures amount (post CCF and post-CRM)
20% 35% 50% 75% 100% 150% 250% 1,250% Total

a

b

0%

10%

144
470,444
66,714-

94,111-

124,594-

34,638

0

-

-

144
470,444
320,059

538
-

-

693

-

1

-

2

-

-

-

538
697

-

7

-

-

-

-

-

-

-

-

7

-

1,608
-

499,422-33,736-75,690

-

-

-

1,608
608,849

-

-

-

-

220

- 1,584,079
12

23

-

- 1,584,079
256

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

537,841

1,616

594,227-

158,553- 1,694,422

23-- 2,986,685

Note: Counterparty credit risk exposures, credit risk related to securitization transactions, and fund exposures are excluded from the amount of credit risk exposures above.

24

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(4) Credit Risk Mitigation Techniques(i) Quantitative Disclosure on Credit Risk Mitigation Techniques
Counterparty risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk
exposures below.
(A) CR3: Credit Risk Mitigation Techniques - Overview
a

1
2
3
4
5

Loans
Debt securities
Other on balance debt assets
Total (1+2+3)
Of which defaulted

Exposures
unsecured
68,248,312
35,613,240
45,534,516
149,396,069
337,763(Millions of yen)
As of September 30, 2020bcde
Exposures secured Exposures secured
Exposures secured
by financial
by credit
Exposures secured
by collateralguarantees
derivatives
16,350,133
6,698,001
7,267,800
3,909
466,985
319,027
46,81753,331
1,763
41,39816,870,450
7,018,792
7,356,016
3,909
298,927
149,672
62,616-

Notes: 1. Other on-balance debt assets include deposits, call loans, bills purchased, monetary claims bought, money held in trust, and foreign exchange assets, etc.
2. Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on.

a

1
2
3
4
5

Loans
Debt securities
Other on balance debt assets
Total (1+2+3)
Of which defaulted

Exposures
unsecured
63,926,425
35,691,144
51,027,455
150,645,026
528,986(Millions of yen)
As of September 30, 2021bcde
Exposures secured Exposures secured
Exposures secured
by financial
by credit
Exposures secured
by collateralguarantees
derivatives
15,998,404
6,882,438
6,791,039
6,740
659,882376,784
164,754
121,968
2,369
105,897
16,780,255
7,261,592
7,061,691
6,740
304,339
148,968
51,647-

Notes: 1. Other on-balance debt assets include deposits, call loans, bills purchased, monetary claims bought, money held in trust, and foreign exchange assets, etc.
2. Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on.

25Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) CR4: Standardized Approach - Credit Risk Exposure and Credit Risk Mitigation (CRM) Effects

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

Asset classes
CashJapanese sovereigns and Bank of Japan
Foreign central sovereigns and central banks
Bank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other thanforeign central sovereigns, etc.
International development banks
Japan Finance Organization for Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business operators
conducting the type I financial instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Mortgage housing loan
Real estate acquisition business, etc.
Claims past due for 3 months or more
(excluding mortgage housing loan)
Claims past due for 3 months or moreregarding mortgage housing loanBills in process of collection
With guarantee of Credit Guarantee
Corporation, etc.
With guarantee of Regional Economy
Vitalization Corporation of Japan
Investments, etc.(excluding significant
investments)
Total(Millions of yen, except percentages)
As of September 30, 2020
a
b
c
d
e
f
Exposures before CCF and Exposures post-CCF andCRM
CRM
On-balance Off-balance On-balance Off-balance
sheet amount sheet amount sheet amount sheet amountRWA
RWA density
81
81
0.00
326,890326,8900.00
292,123
292,123
97,877
33.50
323
323
0.00
758

-

758

-

157

20.74

78
2
1,893
-

-

2
1,893
-

-

0
189
-

0.00
10.00
10.00
-

402,033

142,067

398,164

67,875

162,47334.86

1,553,278-

340,738-

1,552,844-

258,413-

1,811,242
-

99.99
-

167

-

167

-

117

69.99

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

2,577,630

482,805

2,573,248

326,289

2,072,056

71.46

26

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

Asset classes
CashJapanese sovereigns and Bank of Japan
Foreign central sovereigns and central banks
Bank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other thanforeign central sovereigns, etc.
International development banks
Japan Finance Organization for Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business operators
conducting the type I financial instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Mortgage housing loan
Real estate acquisition business, etc.
Claims past due for 3 months or more
(excluding mortgage housing loan)
Claims past due for 3 months or moreregarding mortgage housing loanBills in process of collection
With guarantee of Credit Guarantee
Corporation, etc
With guarantee of Regional Economy
Vitalization Corporation of Japan
Investments, etc.(excluding significant
investments)
Total(Millions of yen, except percentages)
As of September 30, 2021
a
b
c
d
e
f
Exposures before CCF and Exposures post-CCF andCRM
CRM
On-balance Off-balance On-balance Off-balance
sheet amount sheet amount sheet amount sheet amountRWA
RWA density
144
144
0.00
470,444
470,4440.00
320,059
320,059
115,758
36.16
538
538
0.00
697

-

697

-

142

20.35

7
1,608
-

-

7
1,608
-

-

0
160
-

10.00
10.00
-

552,942

129,532

547,431

61,418

192,44331.60

1,353,063-

293,891-

1,350,168-

233,910-

1,584,021
-

99.99
-

256

-

256

-

158

61.69

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

2,699,763

423,424

2,691,356

295,329

1,892,684

63.37

27

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(C) CR7: IRB - Effect on RWA of Credit Derivatives Used as CRM Techniques

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

(Millions of yen)
As of September 30, 2020ab
Pre-credit
derivatives RWA
Actual RWA
502,847
502,847
1,055,659
1,055,659
25,864,083
25,863,570
2,332,627
2,332,627
443,780
443,780
2,074,075
2,074,075
523,465
523,4653,448,073
3,448,073
769,272
769,272

Portfolios
Sovereign - FIRB
Sovereign - AIRB
Banks - FIRB
Banks - AIRB
Corporate (except Specialized lending) - FIRB
Corporate (except Specialized lending) - AIRB
Specialized lending - FIRB
Specialized lending - AIRB
Retail - qualifying revolving retail exposures (QRRE)
Retail - residential mortgage exposures
Other retail exposures
Equity - FIRB
Equity - AIRB
Purchased receivables - FIRB
Purchased receivables - AIRB
Total

37,013,886

37,013,372(Millions of yen)
As of September 30, 2021abPre-credit
derivatives RWA
Actual RWA
500,924
500,924
1,098,950
1,098,950
25,653,095
25,652,440
2,665,865
2,665,865
429,170429,170
1,960,741
1,960,741
455,379
455,379
4,173,401
4,173,401
875,177875,177

Portfolios
Sovereign - FIRB
Sovereign - AIRB
Banks - FIRB
Banks - AIRB
Corporate (except Specialized lending) - FIRB
Corporate (except Specialized lending) - AIRB
Specialized lending - FIRB
Specialized lending - AIRB
Retail - qualifying revolving retail exposures (QRRE)
Retail - residential mortgage exposures
Other retail exposures
Equity - FIRB
Equity - AIRB
Purchased receivables - FIRB
Purchased receivables - AIRB
Total

37,812,706

28

37,812,051

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(5) Equity investments in funds(Millions of yen)
As of September 30, 2020

As of September 30, 2021

Exposure

Exposure

Equity investments in funds - Look-through approach

2,612,167

2,382,959

Equity investments in funds - Mandate-based approach--

Equity investments in funds - Simple approach (subject to 250% RW)--

Equity investments in funds - Simple approach (subject to 400% RW)

145,947

122,983

Equity investments in funds - Fall-back approach

10,833

21,594

2,768,949

2,527,537

Total

29

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Counterparty Credit Risk
(1) Quantitative Disclosure on Counterparty Credit Risk
(A) CCR1: Analysis of Counterparty Credit risk (CCR) Exposure by Approach(Millions of yen)
a

1
2
3
4
5
6

SA-CCR
Current Exposure Method
Internal Model Method
Simple Approach for credit risk
mitigation
Comprehensive Approach for credit
risk mitigation
VAR for SFTs
Total

b

Replacement
cost
325,844／

Potential
futureexposure
369,841／

As of September 30, 2020cdAlpha used forcomputingregulatory
EEPE
EAD
／
1.4
／
／
2,313,774
1.4

e

f

EAD
post-CRM

RWA

695,685
3,239,284

213,471
1,165,775

／

／

／

／

46,55630,588／／／／18,690,214

671,210

／
／

／
／

／
／

／
／

／

2,081,046(Millions of yen)
a

1
2
3
4
5
6

SA-CCR
Current Exposure Method
Expected Positive Exposure Method
Simple Approach for credit risk
mitigation
Comprehensive Approach for credit
risk mitigation
VAR for SFTs
Total

b

Replacement
cost
235,169／

Potential
futureexposure
345,221／

As of September 30, 2021cdAlpha used forcomputingregulatory
EEPE
EAD
／
1.4
／
／
2,403,824
1.4

e

f

EAD
post-CRM

RWA

580,390
3,365,354

206,570
1,199,922

／

／

／

／

84,07860,009／／／／17,016,348

754,244

／
／

／
／

／
／

／
／

／

2,220,747(B) CCR2: Credit Valuation Adjustment (CVA) Capital Charge

1
2
3
4
5

1
2
3
4
5

Total portfolios subject to the Advanced CVA capital charge(i) VAR component (including the 3×multiplier)(ii) Stressed VAR component (including the 3×multiplier)
All portfolios subject to the Standardized CVA capital charge
Total subject to the CVA capital charge(Millions of yen)
As of September 30, 2020ab
EAD post-CRM
RWA／／
3,602,326
1,996,899
3,602,326
1,996,899

Total portfolios subject to the Advanced CVA capital charge(i) VAR component (including the 3×multiplier)(ii) Stressed VAR component (including the 3×multiplier)
All portfolios subject to the Standardized CVA capital charge
Total subject to the CVA capital charge(Millions of yen)
As of September 30, 2021ab
EAD post-CRM
RWA／／
3,929,867
1,823,733
3,929,867
1,823,733

30

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(C) CCR3: Standardized Approach - CCR Exposures by Regulatory Portfolio and Risk Weights(Millions of yen)
As of September 30, 2020
b
c
d
e
f
g
h
i
Credit exposures amount (post CCF and post-CRM)
10%
20%
50%
75%
100%
150% Other
Total

a

1
2
3
4
5
6
7
8
9
10
11
12
13
14

1
2
3
4
5
6
7
8
9
10
11
12
13
14

Risk weight
Regulatory portfolio
Japanese sovereigns and Bank of Japan
Foreign central sovereigns and central banks
Bank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other than foreign
central sovereigns, etc.
International development banks
Japan Finance Organization for Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business operators
conducting the type I financial instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Other assets
Total

Risk weight
Regulatory portfolio
Japanese sovereigns and Bank of Japan
Foreign central sovereigns and central banks
Bank for International Settlements,etc.
Japanese non-central governmental PSEs
Non-central governmental PSEs other than foreign
central sovereigns, etc.
International development banks
Japan Finance Organization for Municipalities
Japanese government institutions
Three regional public sectors of Japan
Financial institutions and business operators
conducting the type I financial instruments businessCorporates, etc.
Regulatory retail portfolios and individuals
Other assets
Total

0%

10,123
1,869
1,537
-

-

684
-

949
-

-

22
-

-

-

10,123
3,526
1,537
-

-

-

13,656

975

-

672

-

-

15,304

6,345
-

1,306
-

-

-

-

-

-

-

6,345
1,306
-

-

-

665,596

14,097-31,084--

710,779

19,876

1,306

679,937

16,023-

638,057
669,837-- 638,057- 1,386,981

a(Millions of yen)
As of September 30, 2021
b
c
d
e
f
g
h
i
Credit exposures amount (post CCF and post-CRM)
10%
20%
50%
75%
100%
150% Other
Total

0%
24,484
11,548
-

-

2,871
-

568
-

-

123
-

-

-

24,484
15,113---

12,335

4,934

-

1,135

-

-

18,406

1,042
-

1,122
-

-

-

-

-

-

-

1,042
1,122
-

-

-

614,975

13,376-

61,547--

689,899

37,0761,122

630,183

18,880-829,802892,609-- 829,802- 1,579,872

31

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(D) CCR4: IRB - CCR Exposures by Portfolio and PD Scale(Millions of yen, %, number in thethousands,year)

1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9

PD scale
Sovereign0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-totalBanks
0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-total
Corporate
0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-totalaEAD
post-CRM

As of September 30, 2020cde
Number of
Average
Average
Average PD counterparty
LGD
maturity
b

f

g

RWA

RWA density

17,429,284
978
3,961
11
17,434,236

0.00
0.26
0.97
3.06
0.00

0.0
0.0
0.0
0.0
0.0

37.83
37.83
37.83
37.83
37.83

4.8
3.7
4.6
1.0
4.8

69,518521
3,874
1173,924

0.39
53.25
97.79
93.01
0.42

1,418,426
21,7241,725
1,487
1,443,364

0.07
0.28
1.02
3.06
0.07

0.2
0.0
0.0
0.0
0.3

37.82
37.80
37.83
37.82
37.82

2.0
1.5
0.6
2.0
2.0

309,567
9,992
1,185
1,478
322,222

21.82
45.99
68.67
99.38
22.32

1,411,087
120,940
82,71537,890
10,396
9,219
1,672,249

0.06
0.36
1.19
3.45
14.88
100.00
0.86

2.4
1.9
1.1
0.4
0.1
0.0
6.2

37.75
36.28
36.29
35.62
33.67
48.75
37.56

3.1
2.3
2.6
2.5
1.9
1.5
3.0

322,835
56,875
65,14541,005
16,504
5,083
507,449

22.87
47.02
78.75
108.22158.74
55.13
30.34

32

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(-Continued)

PD scaleSME
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Specialized Lending
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Purchased receivables
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Retails
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Total (all portfolios)aEAD
post-CRM

As of September 30, 2020cde
Number of
Average
Average
Average PD counterparty
LGD
maturity
b

f

g

RWA

RWA density

10,037
20,295
9,066
4,914
2,128
476
46,919

0.11
0.36
1.14
3.14
14.88
100.00
2.42

0.0
1.3
0.9
0.2
0.1
0.0
2.7

36.70
27.52
21.63
21.55
28.63
36.51
27.86

4.9
3.9
3.4
4.0
3.5
2.5
4.0

4,803
8,107
3,922
2,772
2,594
204
22,404

47.85
39.94
43.26
56.40
121.8742.95
47.75

421,592
171,648
79,942
9,328
849
3,003
686,364

0.08
0.36
0.97
4.83
14.88
100.00
0.78

0.2
0.1
0.0
0.0
0.0
0.0
0.3

39.13
37.83
37.83
37.83
37.83
53.28
38.69

4.3
4.2
4.4
4.2
1.9
5.0
4.3

146,210
112,624
77,43913,2451,535
1,764
352,819

34.68
65.61
96.86
141.98180.86
58.74
51.40

-

-

-

-

-

-

-

1,078
5
82
3
1,170
21,284,304

1.85
3.88
13.19
100.00
2.94
0.10

945.0
10.0
77.0
13.0
1,045.0
10,856.0

30.62
4.46
35.93
31.62
30.87
37.81

／
／
／
／
／
／
／
／
／
4.4

421
0
55
1
478
1,279,300

39.05
6.42
66.96
37.69
40.85
6.01

33

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen, %, number in thethousands,year)

1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9
1
2
3
4
5
6
7
8
9

PD scale
Sovereign0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-totalBanks
0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-total
Corporate
0.00 to <0.15
0.15 to <0.25
0.25 to <0.50
0.50 to <0.75
0.75 to <2.50
2.50 to <10.00
10.00 to <100.00
100.00 (Default)
Sub-totalaEAD
post-CRM

As of September 30, 2021cde
Number of
Average
Average
Average PD counterparty
LGD
maturity
b

f

g

RWA

RWA density

15,922,516
24
8,109
85
15,930,736

0.00
0.27
0.90
3.11
0.00

0.0
0.0
0.0
0.0
0.0

37.88
37.88
37.88
37.88
37.88

4.8
2.2
4.7
1.0
4.8

69,281
10
7,892
80
77,264

0.43
41.60
97.32
93.70
0.48

1,217,612
27,3791,838
6,893
1,253,724

0.05
0.29
0.86
3.11
0.08

0.2
0.0
0.0
0.0
0.3

37.88
37.86
37.88
37.87
37.87

2.7
1.3
1.1
0.8
2.6

294,098
12,431
1,179
6,512
314,221

24.15
45.40
64.14
94.46
25.06

1,414,968
107,91470,881
23,397
22,612
3,398
1,643,172

0.06
0.34
1.16
3.54
15.12
100.00
0.59

2.4
1.7
0.9
0.4
0.1
0.1
5.8

37.80
36.51
36.65
33.54
36.35
33.17
37.57

3.1
2.5
2.7
2.6
1.9
1.8
3.0

335,429
51,86856,82923,32639,228
1,292
507,974

23.70
48.06
80.17
99.69
173.48
38.04
30.91

34

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(-Continued)

PD scaleSME
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Specialized Lending
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Purchased receivables
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Retails
1 0.00 to <0.15
2 0.15 to <0.25
3 0.25 to <0.50
4 0.50 to <0.75
5 0.75 to <2.50
6 2.50 to <10.00
7 10.00 to <100.00
8 100.00 (Default)
9 Sub-total
Total (all portfolios)aEAD
post-CRM

As of September 30, 2021cde
Number of
Average
Average
Average PD counterparty
LGD
maturity
b

f

g

RWA

RWA density

14,99919,535
9,993
4,269
1,324
523
50,645

0.12
0.42
1.05
3.19
15.12
100.00
2.10

0.0
1.1
0.7
0.2
0.1
0.0
2.4

37.34
28.68
27.54
19.84
20.82
35.02
30.14

4.4
4.0
3.9
3.9
3.1
3.3
4.0

6,673
8,784
5,619
2,202
1,191
211
24,684

44.48
44.96
56.23
51.58
89.98
40.45
48.73

344,448
175,49354,020
6,619
3,921
2,483
586,987

0.08
0.37
1.07
4.96
15.12
100.00
0.84

0.2
0.1
0.0
0.0
0.0
0.0
0.3

39.50
37.88
37.88
37.88
37.88
53.49
38.89

4.1
3.8
3.9
3.0
2.8
4.9
4.0

114,156
109,338
50,766
8,627
7,448
1,465
291,802

33.14
62.30
93.97
130.32189.92
58.99
49.71

-

-

-

-

-

-

-

684
3
43
3
734
19,466,000

1.73
3.81
13.60
100.00
2.89
0.08

0.9
0.0
0.0
0.0
1.0
10.1

24.53
4.51
18.63
30.77
24.11
37.86

／
／
／
／
／
／
／
／
／
4.5

210
0
15
1
227
1,216,174

30.81
6.48
34.84
33.77
30.93
6.24

35

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(E) CCR5: Composition of Collateral for CCR Exposure(Millions of yen)
As of September 30, 2020abcdCollateral used in derivative transactions
Fair value of collateral received Fair value of posted collateral

1
2
3
4
5
6
7
8
9

Cash – domestic currency
Cash – other currencies
Domestic sovereign debt
Other sovereign debt
Government agency debt
Corporate bonds
Equity securities
Other collateral
Total

Segregated
14,184290,068
31,401
181,360
265,475
64
3,657
786,212

Unsegregated378,278
383,032
198,242
99,016742
45,228339,238
1,443,779

Segregated
23,050
162,444
67,310483,83664
736,706

Unsegregated636,604
604,076
279,619
103,048742
7,701
111,540
1,743,333

efCollateral used in SFTs
Fair value ofcollateral
received
2,850,079
17,633,073
3,076,012
8,976,017
312,334
770,3622,009,495
28,15635,655,531

Fair value of
postedcollateral
4,058,289
10,855,777
3,800,260
14,009,473
46,502
1,537,975
1,487,142
556,559
36,351,980(Millions of yen)
As of September 30, 2021abcdCollateral used in derivative transactions
Fair value of collateral received Fair value of posted collateral

1
2
3
4
5
6
7
8
9

Cash – domestic currency
Cash – other currencies
Domestic sovereign debt
Other sovereign debt
Government agency debt
Corporate bonds
Equity securities
Other collateral
Total

Segregated
7,379
380,317
49,214
152,859
37
610

3,007
593,426

Unsegregated
7,967,793
607,8822,700,288
21,109,786

Segregated
16,166
143,190
175,945
722,922

Unsegregated
13,845,142
495,520
3,204,104
53,785

803

-

803

1,330,762
321,910
34,039,227

822

5,825
187,804
17,792,986

1,059,046efCollateral used in SFTs
Fair value ofcollateral
received
2,713,850
20,796,014
8,363,594
7,700,272
202,319744,163
2,351,305
7,693
42,879,213

Fair value of
postedcollateral
9,712,021
9,722,697
3,207,843
17,792,860
28,983
1,393,843
2,248,314
269,145
44,375,710(F) CCR6: Credit Derivatives Exposures(Millions of yen)
As of September 30, 2020ab
Protection bought
Protection soldNotionals
Single-name credit default swaps
Index credit default swaps
Total return swaps
Credit options
Other credit derivatives
Total notionals
Fair values
7 Positive fair value (asset)
8 Negative fair value (liability)
1
2
3
4
5
6

2,752,906
1,382,269
425,650
1,100
4,561,926

2,648,916
1,037,326
64,926
3,751,169

9,749(73,408)

59,854(7,675)(Millions of yen)
As of September 30, 2021
aProtection bought
Notionals
Single-name credit default swaps
Index credit default swaps
Total return swaps
Credit options
Other credit derivatives
Total notionals
Fair values
7 Positive fair value (asset)
8 Negative fair value (liability)
1
2
3
4
5
6

36

b
Protection sold3,584,942
2,226,473
45,640500
5,857,555

3,028,655
1,971,700
626,3455,626,701

4,344(129,363)

119,383(7,752)Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(G) CCR8: Exposures to Central Counterparties

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Exposures to QCCPs (total)
Exposures for trades at QCCPs (excluding initial margin and default fundcontributions); of which(i) OTC derivatives(ii) Exchange-traded derivatives(iii) Securities financing transactions(iv) Netting sets where cross-product netting has been approved
Segregated initial marginNon-segregated initial margin
Pre-funded default fund contributions
Unfunded default fund contributions
Exposures to non-QCCPs (total)
Exposures for trades at non-QCCPs (excluding initial margin and default fundcontributions); of which(i) OTC derivatives(ii) Exchange-traded derivatives(iii) Securities financing transactions(iv) Netting sets where cross-product netting has been approved
Segregated initial marginNon-segregated initial margin
Pre-funded default fund contributions
Unfunded default fund contributions(Millions of yen)
As of September 30, 2020ab
EAD (post-CRM)
RWA／
177,078
1,332,927

21,879314,064
661,558
357,304
567,603692,973
298,229／

1,938
14,942
4,998／
13,387
141,811
-

-

-

-

／
-

(Millions of yen)
As of September 30, 2021a
EAD (post-CRM)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Exposures to QCCPs (total)
Exposures for trades at QCCPs (excluding initial margin and default fundcontributions); of which(i) OTC derivatives(ii) Exchange-traded derivatives(iii) Securities financing transactions(iv) Netting sets where cross-product netting has been approved
Segregated initial marginNon-segregated initial margin
Pre-funded default fund contributions
Unfunded default fund contributions
Exposures to non-QCCPs (total)
Exposures for trades at non-QCCPs (excluding initial margin and default fundcontributions); of which(i) OTC derivatives(ii) Exchange-traded derivatives(iii) Securities financing transactions(iv) Netting sets where cross-product netting has been approved
Segregated initial marginNon-segregated initial margin
Pre-funded default fund contributions
Unfunded default fund contributions

37

b
RWA
／

175,461

1,584,061

17,929693,312417,809472,939
797,959759,280
405,966
／

2,384
9,284
6,260
／
14,271
143,260
-

-

-

-

／
-

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Securitization Exposures(1) Quantitative Disclosure on Securitization Exposures(A) SEC1: Securitization Exposures in the Banking Book by Type of Underlying Assets

1
2
3
4
5
6
7
8
9
10
11

1
2
3
4
5
6
7
8
9
10
11

type of underlying assets
Retail (total) - of which
residential mortgage
credit cardother retail exposures
re-securitization
Wholesale (total) - of whichloans to corporates
commercial mortgage
lease and receivables
other wholesale
re-securitization

type of underlying assets
Retail (total) - of which
residential mortgage
credit cardother retail exposures
re-securitization
Wholesale (total) - of whichloans to corporates
commercial mortgage
lease and receivables
other wholesale
re-securitizationabcBank acts as originator
Traditional Synthetic Sub-total
84,527
111,027
195,554
84,527
111,027
195,554-(Millions of yen)
As of September 30, 2020
d
e
f
g
h
i
Bank acts as sponsor
Banks acts as investor
Traditional Synthetic Sub-total Traditional Synthetic Sub-total
1,597,945- 1,597,945 1,490,979- 1,490,979
594,986
594,986
310,213
310,213
58,19758,197
1,287,732- 1,287,732
837,796
837,796
262,764
262,764 1,509,673- 1,509,673
11,146
11,146
623,001
623,00117
17
172,266
172,266
722,772
722,772
79,351
79,351
163,882
163,882-abcBank acts as originator
Traditional Synthetic Sub-total
111,335
60,490171,825
111,335
60,490171,825-(Millions of yen)
As of September 30, 2021
d
e
f
g
h
i
Bank acts as sponsor
Banks acts as investor
Traditional Synthetic Sub-total Traditional Synthetic Sub-total
1,661,571- 1,661,571 1,628,936- 1,628,936
659,910
659,910
788,875
788,875
61,57861,578872,695
872,695
907,447
907,447
273,615
273,615 1,432,336- 1,432,336
34,01534,015
420,451
420,451
18
18
158,058
158,058
783,262783,262
81,54181,541
228,604
228,604-38

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(B) SEC2: Securitization Exposures in the Trading Book by Type of Underlying Assets

1
2
3
4
5
6
7
8
9
10
11

1
2
3
4
5
6
7
8
9
10
11

type of underlying assets
Retail (total) - of which
residential mortgage
credit cardother retail exposures
re-securitization
Wholesale (total) - of whichloans to corporates
commercial mortgage
lease and receivables
other wholesale
re-securitization

type of underlying assets
Retail (total) - of which
residential mortgage
credit cardother retail exposures
re-securitization
Wholesale (total) - of whichloans to corporates
commercial mortgage
lease and receivables
other wholesale
re-securitizationabcBank acts as originator
Traditional Synthetic Sub-total-(Millions of yen)
As of September 30, 2020
d
e
f
g
h
i
Bank acts as sponsor
Banks acts as investor
Traditional Synthetic Sub-total Traditional Synthetic Sub-total
12,98812,988
9,482
9,482
1,476
1,476
2,029
2,029
7,739
7,739
7,637
7,637
102
102
-

a
b
c
Bank acts as originator
Traditional Synthetic Sub-total-(Millions of yen)
As of September 30, 2021
d
e
f
g
h
i
Bank acts as sponsor
Banks acts as investor
Traditional Synthetic Sub-total Traditional Synthetic Sub-total
14,827
14,827
10,887
10,887
3,940
3,940
0
0
12,736
12,736
12,736
12,736-39

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(C) SEC3: Securitization Exposures in the Banking Book and Associated Regulatory Capital Requirements - Bank Acting as
Originator or as Sponsor(Millions of yen)a

Total
exposures
Exposure values (by RW bands)
1,772,589
1 ≤20% RW
2 >20% to 50% RW
134,678
3 >50% to 100% RW
86,254
4 >100% to <1250% RW
62,7425 1250% RW
Exposure values (by regulatory approach)
6 IRB RBA (including IAA)
2,056,264
7 IRB SFA
8 SA/SSFA
9 1250%RWA (by regulatory approach)
10 IRB RBA (including IAA)
442,177
11 IRB SFA
12 SA/SSFA
13 1250%
Capital charge after cap
14 IRB RBA (including IAA)
35,37415 IRB SFA
16 SA/SSFA
17 1250%-ib

As of September 30, 2020dec

Of which
Traditional
Of which
retailsecuritization securitization underlyingghOf whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

1,669,281
134,678
86,25455,023-

1,669,281
134,678
86,25455,023-

1,410,194
81,69353,152
52,905-

259,087
52,984
33,101
2,118
-

-

-

-

1,945,237-

1,945,237-

1,597,945-

347,292----

426,329-426,329-

337,965-

88,364----

34,106-

34,106-27,037
-

7,069
-

-

-

-

j

As of September 30, 2020klm

Of which
Synthetic
Of which
retailsecuritization securitization underlying
Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory approach)
6 IRB RBA (including IAA)
7 IRB SFA
8 SA/SSFA
9 1250%RWA (by regulatory approach)
10 IRB RBA (including IAA)
11 IRB SFA
12 SA/SSFA
13 1250%
Capital charge after cap
14 IRB RBA (including IAA)
15 IRB SFA
16 SA/SSFA
17 1250%fno

Of whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

103,307
7,719-

103,307
7,719--

103,307
7,719
-

-

-

-

111,027-

111,027--

111,027----

15,847-

15,847--

15,847
-

-

-

-

1,267
-

1,267
-

-

1,267
-

-

-

-

40

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen)
a

b

Total
exposures
Exposure values (by RW bands)
1,714,930
1 ≤20% RW
2 >20% to 50% RW
168,418
3 >50% to 100% RW
210,486
4 >100% to <1250% RW
13,1755 1250% RW
Exposure values (by regulatory approach)
6 Internal Ratings-Based Approach (SEC-IRBA) 2,107,011
7 External Ratings-Based Approach (SEC-ERBA)
8 Standardised Approach (SEC-SA)
9 1250%RWA (by regulatory approach)
10 Internal Ratings-Based Approach (SEC-IRBA)
475,391
11 External Ratings-Based Approach (SEC-ERBA)
12 Standardised Approach (SEC-SA)
13 1250%
Capital charge after cap
14 Internal Ratings-Based Approach (SEC-IRBA)
38,031
15 External Ratings-Based Approach (SEC-ERBA)
16 Standardised Approach (SEC-SA)
17 1250%-i

As of September 30, 2021dec

Of which
Traditional
Of which
retailsecuritization securitization underlyingghOf whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

1,689,819
139,049
210,486
7,165-

1,689,819
139,049
210,486
7,165-

1,391,449
96,545173,575-

298,370
42,50436,910
7,165
-

-

-

-

2,046,521-

2,046,521-

1,661,571-

384,950----

465,457-

465,457-

357,545-

107,912----

37,236-37,236-28,603
-

8,633
-

-

-

-

j

As of September 30, 2021klm

Of which
Synthetic
Of which
retailsecuritization securitization underlying
Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory approach)
6 Internal Ratings-Based Approach (SEC-IRBA)
7 External Ratings-Based Approach (SEC-ERBA)
8 Standardised Approach (SEC-SA)
9 1250%RWA (by regulatory approach)
10 Internal Ratings-Based Approach (SEC-IRBA)
11 External Ratings-Based Approach (SEC-ERBA)
12 Standardised Approach (SEC-SA)
13 1250%
Capital charge after cap
Internal Ratings-Based Approach (SEC14
IRBA)-15 External Ratings-Based Approach (SEC-ERBA)
16 Standardised Approach (SEC-SA)
17 1250%fno

Of whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

25,111
29,368
6,010-

25,111
29,368
6,010--

25,111
29,368
6,010
-

-

-

-

60,490-60,490--60,490
-

-

-

-

9,934
-

9,934
-

-

9,934
-

-

-

-

794

794

-

794

-

-

-

-

-

-

-

-

-

-

41

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(D) SEC4: Securitization Exposures in the Banking Book and Associated Regulatory Capital Requirements - Bank Acting as
Investor(Millions of yen)a

Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory
approach)
6 IRB RBA (including IAA)
7 IRB SFA
8 SA/SSFA
9 1250%RWA (by regulatory approach)
10 IRB RBA (including IAA)
11 IRB SFA
12 SA/SSFA
13 1250%
Capital charge after cap
14 IRB RBA (including IAA)
15 IRB SFA
16 SA/SSFA
17 1250%b

As of September 30, 2020
d
e

c

g

h

Total
exposures

Of which
Traditional
Of which
retailsecuritization securitization underlying

Of whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

2,648,776
275,872
39,35636,60937

2,648,776
275,872
39,35636,60937

2,648,776
275,872
39,35636,60937

1,219,179
222,064
28,572
21,1630

1,429,597
53,807
10,784
15,44637---

1,777,361
1,223,254
37

1,777,361
1,223,254
37

1,777,361
1,223,254
37

894,563596,416
0882,797
626,838
37

-

-

-

352,039
240,453467

352,039
240,453467

352,039
240,453467

195,057
71,4330

156,981
169,020
467

-

-

-

28,163
19,23637

28,163
19,23637

28,163
19,23637

15,6045,714
012,55813,521
37

-

-

-

i

j

As of September 30, 2020klm

Of which
Of which
Synthetic
retailsecuritization securitization underlying
Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory
approach)
6 IRB RBA (including IAA)
7 IRB SFA
8 SA/SSFA
9 1250%RWA (by regulatory approach)
10 IRB RBA (including IAA)
11 IRB SFA
12 SA/SSFA
13 1250%
Capital charge after cap
14 IRB RBA (including IAA)
15 IRB SFA
16 SA/SSFA
17 1250%fno

Of whichwholesale

Of which
resecuritization

Of whichseniorOf which
non-senior

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

42

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen)

Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory
approach)
6 Internal Ratings-Based Approach (SEC-IRBA)
7 External Ratings-Based Approach (SEC-ERBA)
8 Standardised Approach (SEC-SA)
9 1250%RWA (by regulatory approach)
10 Internal Ratings-Based Approach (SEC-IRBA)
11 External Ratings-Based Approach (SEC-ERBA)
12 Standardised Approach (SEC-SA)
13 1250%
Capital charge after cap
14 Internal Ratings-Based Approach (SEC-IRBA)
15 External Ratings-Based Approach (SEC-ERBA)
16 Standardised Approach (SEC-SA)
17 1250%

a

b

Total
exposures

Traditional
securitization

Of which
Of which
retailOf whichsecuritization underlying wholesale

2,697,725
281,093
70,488
11,93628

2,697,725
281,093
70,488
11,93628

2,697,725
281,093
70,488
11,93628

1,368,679
236,308
23,9470

1,971,787
1,087,782
1,674
28

1,971,787
1,087,782
1,674
28

1,971,787
1,087,782
1,674
28

387,858
196,167251
356

387,858
196,167251
356

31,02815,69320
28

iSynthetic
securitization
Exposure values (by RW bands)
1 ≤20% RW
2 >20% to 50% RW
3 >50% to 100% RW
4 >100% to <1250% RW
5 1250% RW
Exposure values (by regulatory
approach)
6 Internal Ratings-Based Approach (SEC-IRBA)
7 External Ratings-Based Approach (SEC-ERBA)
8 Standardised Approach (SEC-SA)
9 1250%RWA (by regulatory approach)
10 Internal Ratings-Based Approach (SEC-IRBA)
11 External Ratings-Based Approach (SEC-ERBA)
12 Standardised Approach (SEC-SA)
13 1250%
Capital charge after cap
14 Internal Ratings-Based Approach (SEC-IRBA)
15 External Ratings-Based Approach (SEC-ERBA)
16 Standardised Approach (SEC-SA)
17 1250%

As of September 30, 2021
d
e

c

f

g

h

Of which
resecuritization

Of whichseniorOf which
non-senior

1,329,045
44,78446,541
11,93628---

967,069
660,1921,674
01,004,717
427,590
28

-

-

-

387,858
196,167251
356

198,038
72,374251
0189,819
123,792
356

-

-

-

31,02815,69320
28

31,02815,69320
28

15,8435,789
20
015,185
9,903
28

-

-

-

j

As of September 30, 2021klm

Of which
Of which
retailOf whichsecuritization underlying wholesalenoOf which
resecuritization

Of whichseniorOf which
non-senior

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

43

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Market Risk
(1) Trading Activities(A) MR1：Market risk under standardized approach

No.
1
2
3
4
5
6
7
8
9

(Millions of yen)
As of September 30, 2020 As of September 30, 2021
RWA
RWA
(Risk equivalent / 8%)(Risk equivalent / 8%)
425,654571,827
377,333
333,424
52,90839,742
127,863
168,943

Interest rate risk (general and specific)
Equity risk (general and specific)
Foreign exchange risk
Commodity risk
Options
Simplified approach
Delta-plus method
Scenario approach
Securitization
Total

-

28,782-

114,630
1,127,173(B) MR3：IMA values for trading portfolios(Millions of yen)

No.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17

41,967
128,894
1,284,799

As of September 30, 2020 As of September 30, 2021
VAR (10 day 99%)
Maximum value
Average value
Minimum value
Period end
Stressed VAR (10 day 99%)
Maximum value
Average value
Minimum value
Period end
Incremental Risk Charge (99.9%)
Maximum value
Average value
Minimum value
Period end
Comprehensive Risk Capital Charge (99.9％)
Maximum value
Average value
Minimum value
Period end
Floor (standardized measurement method)

24,455
14,625
7,959
8,952

13,9379,500
6,716
10,25035,89322,501
17,38919,35739,648
17,771
12,28422,429----Notes: 1. The historical simulation method is used for the calculation of VAR and stressed VAR under the Internal Models Approach.
2. VAR is measured based on the observation period of 3 years (801 business days), a 99% confidence interval and a 1-day holding period. This 1-day VAR isscaled up to 10-business day VAR using the square-root-of-time (√T) rule. We update historical data on a daily basis, in principle, and do not weight such data.
When re-pricing instruments, we use the full revaluation method, a sensitivity-based approach and the like. We consider change width or rate as market volatilityof risk factors according to product attributes.
3. When measuring stressed VAR, the same measurement approach as VAR is used except for the observation period of 1 year (265 business days). As a stressed
period, we select a period which has an adequate length of time and is considered the most stressful under a certain set of criteria established based on the mostrecent portfolio.
4. When applying the internal model, we regularly verify the preconditions used for VAR measurement.

44Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(C) MR4：Back testing results of IMA
As of September 30, 2020

As of September 30, 2021

Note: The number of cases where VAR on a particular day was exceeded by losses on the following business day for the past 250 business days was 1 as of September 30,
2021 (2 as of September 30, 2020).
The following details information relevant to the excess incident:
VAR calculation date: January 11, 2021; Amount in excess: JPY 449 million; Primary cause of the excess: Commodity price fluctuations and Exchange rate fluctuations(2) Banking Activities(D) IRRBB1：Interest rate risk
a

ΔEVE
As of
As of
September
September
30, 2021
30, 2020
963,326
1,047,12700358,111423,489
158,921137,133
391,173
381,890
43,03949,060963,326
1,047,127e
As of September 30, 2021
10,098,408

No.
1
2
3
4
5
6
7

Parallel up
Parallel down
Steepener
Flattener
Short rate up
Short rate down
Maximum

8

Tier1 capitalb(Millions of yen)
d
ΔNII
As of
As of
September
September
30, 2021
30, 2020(291,078)(372,779)
491,207433,391
／
／
／
／
／
／
／
／
491,207433,391f
As of September 30, 2020
9,467,504cNotes:1. Decreased economic values and interest income are shown as positive values.
2. As for some of those current deposits and ordinary deposits whose interest rates are not changed at predetermined intervals and from which depositors can withdraw
money as desired on demand, we measure the interest rate risk associated with such deposits by applying an appropriate method after recognizing them as core
deposits. The average repricing maturities are 0.7 years for yen deposits and 0.4 years for dollar deposits respectively. The longest repricing maturities are 10.0 years
for yen deposits and 5.0 years for dollar deposits respectively. We measure interest rate risk associated with term deposits and loans in an appropriate manner by
estimating their early redemption rates based on their historical prepayment and cancellation data.
3. When aggregating the respective ΔEVE of multiple currencies, we use the internal model that estimates the correlations between the key currencies based on
historical data. When aggregating the respective ΔNII of multiple currencies, we simply add their respective ΔNII.
4. For the calculation of ΔEVE and ΔNII, we set an appropriate interest rate and spread according to a certain discount rate and reference rate.
5. When making the calculations above, we use regulatory defined preconditions including an interest rate shock scenario.

45Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■Composition of Leverage Ratio(Millions of yen, except percentage)

Correspon Correspo
ding line # nding lineon Basel# on
III
Basel III
Item
disclosure disclosure
template
template(Table 2) (Table 1)(1)
On-balance sheet exposures
On-balance sheet exposures before deducting adjustment1
items
Total assets reported in the consolidated balance sheet
11a
The amount of assets of subsidiaries that are not included in
1b
2
the scope of the leverage ratio on a consolidated basis (-)
The amount of assets of subsidiaries that are included in thescope of the leverage ratio on a consolidated basis (except
1c7
those included in the total assets reported in the consolidatedbalance sheet)
The amount of assets that are deducted from the total assets
1d3
reported in the consolidated balance sheet (except adjustment
items) (-)
The amount of adjustment items pertaining to Tier1 capital (-)
2
7
Total on-balance sheet exposures
(a)
3
(2)
Exposures related to derivative transactions
RC multiplied by 1.4 associated with derivatives
4
transactions, etc.
Replacement cost associated with derivatives transactions,etc.
PFE multiplied by 1.4 associated with derivatives
5
transactions, etc.
Add-on amount associated with derivatives transactions, etc.
The amount of receivables arising from providing cash
margin in relation to derivatives transactions, etc.
The amount of receivables arising from providing collateral,
6
provided where deducted from the consolidated balance
sheet pursuant to the operative accounting framework
The amount of receivables arising from providing cash
margin, provided where deducted from the consolidatedbalance sheet pursuant to the operative accounting framework
The amount of deductions of receivables (out of those arising7
from providing cash variation margin) (-)
The amount of client-cleared trade exposures for which a
8bank holding company acting as a clearing member is not
obliged to make any indemnification (-)
Adjusted effective notional amount of written credit
9
derivatives
The amount of deductions from effective notional amount of10
written credit derivatives (-)
Total exposures related to derivative transactions
(b)
11
4
(3)
Exposures related to repo transactions
The amount of assets related to repo transactions, etc.
1213
The amount of deductions from the assets above (line 12) (-)
The exposures for counterparty credit risk for repo
14
transactions, etc.
The exposures for agent repo transactions
15
Total exposures related to repo transactions, etc.
(c)
16
5
(4)
Exposures related to off-balance sheet transactions
Notional amount of off-balance sheet transactions
17
The amount of adjustments for conversion in relation to off18
balance sheet transactions (-)
Total exposures related to off-balance sheet transactions
(d)
19
6

46

As of September
30, 2020

As of September
30, 2021

154,603,463

155,497,592

184,686,370

189,004,440

-

-

-

-

30,082,906

33,506,847

1,163,652
153,439,811

1,215,013
154,282,578--

2,732,477

2,663,862--

7,119,728

8,235,460

1,082,320

1,086,110--

227,265

126,143

-

-

／

／

3,228,030

5,079,267

3,033,543

4,791,953

11,356,278

12,398,890

14,857,350
4,907,652

19,345,318
4,872,890

796,528

492,995／
10,746,226／
14,965,423

46,862,086

48,507,502

26,592,621

26,562,839

20,269,465

21,944,662

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
Leverage ratio on a consolidated basis
The amount of capital (Tier1 capital)
20
Total exposures ((a)+(b)+(c)+(d))
21
8Leverage ratio on a consolidated basis ((e)/(f))
22
Leverage ratio on a consolidated basis (excluding the impact of any applicable
temporary exemption of deposits with the Bank of Japan)
Total exposures
The amount of deposits with the Bank of Japan
Total exposures (excluding the impact of any applicable
temporary exemption of deposits with the Bank of Japan)
Leverage ratio on a consolidated basis (excluding the impactof any applicable temporary exemption of deposits with the
Bank of Japan) ((e)/(f '))

(5)
(e)
(f)

9,467,504
195,811,781
4.83%

10,098,408
203,591,555
4.96%

195,811,781
36,359,347

203,591,555
38,190,949

232,171,128

241,782,505

4.07%

4.17%

(6)
(f)
(f ')

Note: As an external audit of calculating the leverage ratio on a consolidated basis, we underwent an examination under the procedures agreed with by Ernst & Young
ShinNihon LLC, on the basis of "Practical guidance on agreed-upon procedures for the calculation of capital adequacy ratio and leverage ratio" (Practical Guideline
for specialized fields No. 4465 of the Japanese Institute of Certified Public Accountants). Note that this examination is not a part of the audit performed on ourconsolidated financial statements or internal controls over financial reporting. Ernst & Young ShinNihon LLC does not give its opinion or conclusion concerning theleverage ratio or our internal control structure regarding the calculation of the leverage ratio. Instead, it performs an examination to the extent both of us agreed toand reports the results to us.

47Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ TLAC Regulations(1) TLAC1: TLAC composition for G-SIBs (at resolution group level)(Millions of yen, except percentage)ab
Basel III
As of
As of
Template
Items
September 30, September 30,
No.
2020
2021
(1)
Preferred resolution strategy
The SPE (Single Point of Entry) resolution strategy is considered to be the preferred resolution strategy
for Mizuho Financial Group, Inc. (MHFG) and its subsidiaries.
More concretely, at the time of a stress, following the relevant authority's determination that one ormore of the material sub-groups, i.e. Mizuho Bank, Ltd., Mizuho Trust & Banking Co., Ltd. andMizuho Securities Co., Ltd. have reached the point of non-viability, losses incurred to them would be
passed to MHFG, the ultimate holding company. While this could lead to a resolution of MHFG, thematerial sub-groups are expected to continue their business as usual under the Specified Bridge
Financial Institution, etc. incorporated by the Deposit Insurance Corporation of Japan (DICJ) to which
MHFG transfers its business.
(2)
Regulatory capital elements of TLAC and adjustments(A)
1
Common Equity Tier 1 capital (CET1)
7,452,628
8,243,579
Additional Tier 1 capital (AT1) before TLAC adjustments
2(B)
2,014,875
1,854,829
3
AT1 ineligible as TLAC as issued out of subsidiaries to third parties(C)
Other adjustments
4(D)
5
AT1 instruments eligible under the TLAC framework ((B)-(C)-(D))
2,014,875
1,854,829(E)(F)
6
Tier 2 capital (T2) before TLAC adjustments
1,665,246
1,828,616(G)
7
Amortised portion of T2 instruments where remaining maturity > 1 year
(287,173)(210,040)
8
T2 capital ineligible as TLAC as issued out of subsidiaries to third parties(H)
9
Other adjustments
146,210
48,712(I)(J)
10
T2 instruments eligible under the TLAC framework ((F)-(G)-(H)-(I))
1,806,209
1,989,944(K)
11
TLAC arising from regulatory capital ((A) + (E) + (J))
11,273,713
12,088,352(3)
Non-regulatory capital elements of TLAC
External TLAC instruments issued directly by the bank and subordinated to(L)123,378,135
3,958,785
excluded liabilities
External TLAC instruments issued directly by the bank which are not subordinated13／／
to excluded liabilities but meet all other TLAC term sheet requirements
14of which: amount eligible as TLAC after application of the caps／／
15
External TLAC instruments issued by funding vehicles prior to 1 January 2022
／
／
(M)
16
Eligible ex ante commitments to recapitalise a G-SIB in resolution
1,610,124
1,678,692
TLAC arising from non-regulatory capital instruments before adjustments(N)
17
4,988,260
5,637,477((L) + (M))(4)
Non-regulatory capital elements of TLAC: adjustments(O)
18
TLAC before deductions ((K) + (N))
16,261,973
17,725,830
Deductions of exposures between MPE resolution groups that correspond to items(P)
19
eligible for TLAC (not applicable to SPE G-SIBs)(Q)
20
Deduction of investments in own other TLAC liabilities
2,832
5,737
(R)
21
Other adjustments to TLAC
(S)
22
TLAC after deductions ((O)-(P)-(Q)-(R))
16,259,140
17,720,093(5)
Risk-weighted assets and leverage exposure measure for TLAC purposes(T)
23
Total RWA
64,404,983
67,147,718(U) 195,811,781 203,591,555
24
Leverage ratio exposure measure(6)
TLAC ratios and buffers
TLAC before deduction of CET1 specific buffer requirement (as a percentage of25
25.24%
26.38%RWA) ((S)/(T))
25a
TLAC as a percentage of RWA
21.73%
22.87%
26
TLAC as a percentage of leverage ratio exposure measure ((S)/(U))
8.30%
8.70%
27
CET1 available after meeting the bank's minimum capital requirements
7.07%
7.77%
28
3.51%
3.51%
Total of bank CET1 specific buffer requirements
29of which: capital conservation buffer requirement
2.50%
2.50%
of which: countercyclical buffer requirement
30
0.01%
0.01%
of which: bank G-SIB/D-SIB additional requirements
31
1.00%
1.00%

48

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy
TLAC as a percentage of leverage ratio exposure measure (excluding the impact of any
applicable temporary exemption of deposits with the Bank of Japan)
Leverage ratio exposure measure
The amount of deposits with the Bank of Japan
Leverage ratio exposure measure (excluding the impact of any applicable temporary
exemption of deposits with the Bank of Japan)
TLAC as a percentage of leverage ratio exposure measure (excluding the impact of
any applicable temporary exemption of deposits with the Bank of Japan) ((S)/(U'))

49

(7)
(U)
(U')

195,811,781
36,359,347

203,591,555
38,190,949

232,171,128

241,782,505

7.00%

7.32%

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(2) TLAC2:Material subgroup entity – creditor ranking at legal entity level(Millions of yen)Mizuho Bank (Non-consolidated)
As of September 30, 2020
Creditor ranking
Basel III
Items
Template
1
Is the resolution entity the creditor/investor?
2

Description of creditor ranking

3
4
5
6
7
8
9

Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity,but
excluding perpetual securities
Subset of row 6 that is perpetual securities

10
11

1
most junior
✓
-

2

3

4

✓
Eligible Tier 2 capital
Other internalCommonAdditional Tier 1 Tier 2 capital instruments subject
TLAC eligible
equitycapital instruments instruments
to phase-out
instruments
arrangements
3,690,227- 2,042,004- 1,455,072- 158,715 353,000 3,929,280- 11,628,300
3,690,227- 2,042,004- 1,455,072- 158,715 353,000 3,939,280- 11,628,300
3,690,227- 2,042,000- 1,296,357- 3,378,135- 10,406,721- 518,469- 518,469- 125,000- 1,483,767- 1,608,767- 1,091,357- 1,132,536- 2,223,894

-

✓

-

3,690,227-

Sum of
1 to 55
most senior
✓
-

-

✓

-

-

80,000---243,363- 2,042,000

-

-

-

-

-

-

-

323,363- 5,732,227* Additional Tier 1 capital instruments include eligible Additional Tier 1 capital instruments subject to phase-out arrangements (4 million yen)

(Millions of yen)Mizuho Bank (Non-consolidated)
As of September 30, 2021
Creditor ranking
Basel III
Items
Template
1
Is the resolution entity the creditor/investor?
2

Description of creditor ranking

3
4
5
6
7
8
9

Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity,but
excluding perpetual securities
Subset of row 6 that is perpetual securities

10
11

1
most junior
✓
-

2

3

4

✓
Eligible Tier 2 capital
Other internalCommonAdditional Tier 1 Tier 2 capital instruments subject
TLAC eligible
equitycapital instruments instruments
to phase-out
instruments
arrangements
3,690,227- 1,873,004- 1,761,837- 167,925 314,000 4,507,340- 12,314,334
3,690,227- 1,873,004- 1,761,837- 167,925 314,000 4,507,340- 12,314,334
3,690,227- 1,873,000- 1,593,912- 3,958,785- 11,115,925- 529,452- 529,452- 393,962- 1,590,942- 1,984,905- 1,154,950- 1,601,027- 2,755,977

-

✓

-

3,690,227-

Sum of
1 to 55
most senior
✓
-

-

✓

-

-

45,000---237,362- 1,873,000

-

-

-

-

-

-

* Additional Tier 1 capital instruments include eligible Additional Tier 1 capital instruments subject to phase-out arrangements (4 million yen)

50-

282,362- 5,563,227

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen)Mizuho Trust & Banking (Non-consolidated)
As of September 30, 2020
Creditor ranking
Basel III
Template
1

Items
Is the resolution entity the creditor/investor?

2

Description of creditor ranking

3
4
5
6
7
8
9

Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity , but excluding
perpetual securities
Subset of row 6 that is perpetual securities

10
11

1
most junior✓-32
most senior✓✓
Eligible Tier 2 capital instruments Other internal TLAC eligible
Common equity
subject to phase-out arrangements
instruments
262,874
10,000262,874
10,000262,874-

Sum of 1
to 3

272,874
272,874
262,874
-

-

-

-

-

-

-

-

262,874

-

-

-

-

-

262,874(Millions of yen)Mizuho Trust & Banking (Non-consolidated)
As of September 30, 2021
Creditor ranking
Basel III
Template
1
2
3
4
5
6
7
8
9
10
11

Is the resolution entity the creditor/investor?
Description of creditor ranking
Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity , but excluding
perpetual securities
Subset of row 6 that is perpetual securities2
most senior

Common equity
262,874
262,874
262,874--✓
Other internal TLAC eligible instruments
-

-

-

-

-

-

262,874---

262,874✓

51

Sum of 1 to 2

1
most junior

Items

262,874
262,874
262,874-Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(Millions of yen)Mizuho Securities (Non-consolidated)
As of September 30, 2020
Creditor ranking
Basel III
Template
1

Items
Is the resolution entity the creditor/investor?

2

Description of creditor ranking

3
4
5
6
7
8
9

Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity, but excluding
perpetual securities
Subset of row 6 that is perpetual securities

10
11

1
most junior✓-32
most senior✓✓Long-term subordinated
Other internal TLAC
Common equity
debt/Short-term subordinated debt
instruments
485,530
21,28690,000485,530
21,28690,000485,530
21,286-

Sum of 1
to 3

596,816
596,816
506,816
-

-

-

-

-

-

-

-

485,530

21,286----

506,816(Millions of yen)Mizuho Securities (Non-consolidated)
As of September 30, 2021
Creditor ranking
Basel III
Template
1

Items
Is the resolution entity the creditor/investor?

2

Description of creditor ranking

3
4
5
6
7
8
9

Total capital and liabilities net of credit risk mitigation (A)Subset of row 3 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) -(B) )Subset of row 5 that are eligible as TLAC
Subset of row 6 with 1 year ≤ residual maturity < 2 years
Subset of row 6 with 2 years ≤ residual maturity < 5 years
Subset of row 6 with 5 years ≤ residual maturity < 10 years
Subset of row 6 with 10 years ≤ residual maturity, but excluding
perpetual securities
Subset of row 6 that is perpetual securities

10
11

1
most junior✓-32
most senior✓✓Long-term subordinated
Other internal TLAC
Common equity
debt/Short-term subordinated debt
instruments
454,10752,708 364,000
90,000454,10752,708 364,000
90,000454,10752,708 364,000- 180,000- 184,000-

Sum of 1
to 3

960,816
960,816
870,816
180,000
184,000

-

-

-

-

-

-

-

454,10752,708----506,81652

Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy(3) TLAC3:Resolution entity – creditor ranking at legal entity level(Millions of yen)Mizuho Financial Group (Non-Consolidated)
As of September 30, 2020
Creditor ranking
Basel III
Template

Items

1

Description of creditor ranking

2
3
4
5
6
7

Total capital and liabilities net of credit risk mitigation (A)Subset of row 2 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) - (B))
Subset of row 4 that are eligible as TLAC
Subset of row 5 with 1 year ≤ residual maturity < 2 years
Subset of row 5 with 2 years ≤ residual maturity < 5 years
Subset of row 5 with 5 years ≤ residual maturity < 10
years
Subset of row 5 with 10 years ≤ residual maturity,but
excluding perpetual securities
Subset of row 5 that is perpetual securities

8
9
10

1
2
most juniorCommonAdditional Tier 1
capital instruments
equity3,453,427
2,042,000
3,453,427
2,042,000
3,453,427
2,042,000-

Tier 2 capital
instruments
1,613,787
1,613,787
1,613,787
158,715
283,7154
most senior
Unsecuredsenior debts
3,934,314
5,033
3,929,280
3,378,135
518,469
1,483,767

3

Sum of 1 to 4

11,043,529
5,033
11,038,495
10,487,350
677,184
1,767,482--

1,091,357

1,132,536

2,223,894--

80,000243,363

323,363

3,453,427

2,042,000--

5,495,427*1 :Tier 2 capital instruments include eligible Tier 2 capital instruments subject to phase-out arrangements issued by SPC (158,715 million yen)
*2 :Internal transactions are excluded from unsecured senior debts*3 :Excluded liabilities are recognized on a conservative basis in consideration of the materiality of the amounts(Millions of yen)Mizuho Financial Group (Non-Consolidated)
As of September 30, 2021
Creditor ranking
Basel III
Template

Items

1

Description of creditor ranking

2
3
4
5
6
7

Total capital and liabilities net of credit risk mitigation (A)Subset of row 2 that are excluded liabilities (B)Total capital and liabilities less excluded liabilities ((A) - (B))
Subset of row 4 that are eligible as TLAC
Subset of row 5 with 1 year ≤ residual maturity < 2 years
Subset of row 5 with 2 years ≤ residual maturity < 5 years
Subset of row 5 with 5 years ≤ residual maturity < 10
years
Subset of row 5 with 10 years ≤ residual maturity,but
excluding perpetual securities
Subset of row 5 that is perpetual securities

8
9
10

1
2
most juniorCommonAdditional Tier 1
equitycapital instruments
3,453,427
1,873,000
3,453,427
1,873,000
3,453,427
1,873,000-

Tier 2 capital
instruments
1,929,762
1,929,762
1,761,837
561,8874
most senior
Unsecuredsenior debts
4,512,204
4,864
4,507,340
3,958,785
529,452
1,590,942

3

Sum of 1 to 4

11,768,393
4,864
11,763,529
11,047,049
529,452
2,152,830--

1,154,950

1,601,027

2,755,977--

45,000237,362

282,362

3,453,427

1,873,000--

5,326,427*1 :Tier 2 capital instruments include eligible Tier 2 capital instruments subject to phase-out arrangements issued by SPC (167,925 million yen)
*2 :Internal transactions are excluded from unsecured senior debts*3 :Excluded liabilities are recognized on a conservative basis in consideration of the materiality of the amounts

53Basel Pillar 3 Disclosures

Status of Mizuho Financial Group’s Consolidated Capital Adequacy■ Geographical Distribution of Credit Exposures Used in the Countercyclical Buffer(1) CCyB1: Geographical distribution of credit exposures used in the countercyclical buffer

Geographicalbreakdown
Hong Kong SAR
Luxembourg
Subtotal
Total(Millions of yen, except percentage)
As of September 30, 2020abcd
Risk-weighted assets
Countercyclical buffer used in theCountercyclical buffer Countercyclical buffer
ratecomputation of therequirements
amountcountercyclical buffer
／
／
1.00%
539,468／／0.25%
217,263／／／756,731／
52,308,941
0.01%
6,440

Note: Credit risk-weighted assets used in the computation of the countercyclical buffer of each country or region are calculated based on where counterparties are located.
Some equity exposures, regarded-method exposures, securitization exposures and standardized approach portion which are difficult to calculate based on the locationsof counterparties, are calculated based on the country or region in which the reporting office is located.

Geographicalbreakdown
Hong Kong SAR
Luxembourg
Subtotal
Total(Millions of yen, except percentage)
As of September 30, 2021abcd
Risk-weighted assets
Countercyclical buffer used in theCountercyclical buffer Countercyclical buffer
ratecomputation of therequirements
amountcountercyclical buffer
／
／
1.00%
555,743／／0.50%
201,586／／／
757,330／
54,679,204
0.01%
6,714

Notes: Credit risk-weighted assets used in the computation of the countercyclical buffer of each country or region are calculated based on where counterparties are located.
Some equity exposures, regarded-method exposures, securitization exposures and standardized approach portion which are difficult to calculate based on thelocations of counterparties, are calculated based on the country or region in which the reporting office is located.

54Basel Pillar 3 Disclosures

Status of Sound Management of Liquidity Risk

Status of Sound Management of Liquidity Risk
■Liquidity Coverage Ratio (Consolidated)
The information disclosed herein is in accordance with "Matters Separately Prescribed by the Commissioner of the Financial Services
Agency Regarding Status of Sound Management of Liquidity Risk, etc. pursuant to Article 19-2, Paragraph 1, Item 5, Sub-item (e),and other related provisions of the Regulation for Enforcement of the Banking Act" (the FSA Notice No.7 of 2015).

(1)Disclosure of quantitative information regarding the Liquidity Coverage Ratio (Consolidated)
Item
High-Quality Liquid Assets
1

3
4
5
6
7
378
9
10
11

(1)

Total high-quality liquid assets (HQLA)／／

77,902,708

77,427,898

TOTAL UNWEIGHTEDVALUETOTAL WEIGHTEDVALUETOTAL UNWEIGHTEDVALUETOTAL WEIGHTED
VALUE

51,275,636

3,995,220

51,762,350

4,016,640

16,212,879

486,386

16,601,082

498,032

35,062,756

3,508,833

35,161,268

3,518,607

84,015,191

47,983,995

84,172,724

49,141,397

0

0

0

0

of which, Cash outflows related to unsecured wholesalefunding other than qualifying operational deposits anddebt securities

73,307,774

37,276,577

72,956,438

37,925,111

of which, Debt securities

10,707,417

10,707,417

11,216,285

11,216,285

Cash Outflows
2(In million yen, %, the number of data)
For the three months ended September 30, 2021

For the three months ended June 30, 2021

(2)

Cash outflows related to unsecured retail fundingof which, Stable depositsof which, Less stable deposits
Cash outflows related to unsecured wholesale fundingof which, Qualifying operational deposits

Cash outflows related to secured funding, etc

1,637,142

Cash outflows related to derivatives transactions, etc.
funding programs, credit and liquidity facilitiesof which, Cash outflows related to derivativetransactions, etc

1,720,564

32,911,113

9,112,171

31,850,604

8,998,258

2,021,692

2,021,692

2,043,946

2,043,946

12

of which, Cash outflows related to funding programs

24,79824,79832,79032,79013

of which, Cash outflows related to credit and liquidity
facilities

30,864,622

7,065,680

29,773,867

6,921,521

14

Cash outflows related to contractual funding obligations, etc.

7,147,737

1,868,668

6,837,575

2,048,409

15

Cash outflows related to contingencies

76,783,787

628,90376,782,576

16

Total cash outflows

Cash Inflows

637,716

65,226,101(3)

66,562,986

TOTAL UNWEIGHTEDVALUETOTAL WEIGHTEDVALUETOTAL UNWEIGHTEDVALUETOTAL WEIGHTED
VALUE

17

Cash inflows related to secured lending, etc.

11,178,662

1,124,492

13,337,485

1,190,092

18

Cash inflows related to collections of loans, etc

10,192,474

7,146,422

11,234,220

8,067,601

19

Other cash inflows

9,113,069

2,111,279

10,432,380

2,086,017

20

Total cash inflows

30,484,206

10,382,194

35,004,085

11,343,711

Consolidated liquidity coverage ratio

(4)

21

Total HQLA allowed to be included in the calculation

77,902,708

77,427,898

22

Net cash outflows

54,843,907

55,219,275

23

Consolidated liquidity coverage ratio (LCR)24

The number of data used to calculate the average value

142.0％
61

140.2％
61(2)Disclosure of qualitative information regarding the Liquidity Coverage Ratio (Consolidated)(A)Chronological changes in the Liquidity Coverage Ratio
Our Consolidated LCR has remained stable over the past two years.

(B)Evaluation of the Liquidity Coverage Ratio Level
Our Consolidated LCR surpasses the regulatory standard (100%), with no issues. Our Consolidated LCR disclosed
herein does not differ significantly from our expectations, and we do not expect our Consolidated LCR to deviatesignificantly from the current level in the future.

(C)Composition of the total HQLA allowed to be included in the calculation

There are no significant changes in the composition, such as by currency or type, and geographic distribution of the HQLA
allowed to be included in the calculation. In addition, there is no significant currency mismatch between total amount of the
HQLA allowed to be included in the calculation and net cash outflow regarding main currencies (those currencies of which
the aggregate liabilities denominated amount to 5% or more of our total liabilities).

55

Basel Pillar 3 Disclosures

Status of Sound Management of Liquidity Risk

(D)Other matters regarding the Liquidity Coverage Ratio

We do not apply the "exceptional treatment regarding qualifying operational deposits" in Article 28 of the Notice No.62 and "theamount of additional collateral required due to market valuation changes to derivatives transactions estimated by the scenario
approach" in Article 37 of the Notice No.62. "Cash outflows from other contracts" in Article 59 of the Notice No.62 includes"cash outflows related to small consolidated subsidiaries." There are no material items that require detailed explanation of "cashoutflows from other contingent events" in Article 52 of the Notice No.62 and "cash inflows from other contracts" in Article 72 of
the Notice No.62. Monthly or quarterly data is used for some of our consolidated subsidiaries.

■Net Stable Funding Ratio (Consolidated)(1)Disclosure of quantitative information regarding the Net Stable Funding Ratio (Consolidated)(In million yen, %)Prior Quarter
Item

Current Quarter

Unweighted value by residual maturity
No maturity < 6 months 6 months to <1yr

≥1yr

Weighted
value

／

／

Unweighted value by residual maturity
No maturity < 6 months 6 months to <1yr

≥1yr

Weighted
value

Available stable funding (ASF) items (1)
1

2

3
4
5

Capital; of which:Common Equity Tier 1 capital,
Additional Tier 1 capital and Tier 2
capital (excluding the proportion ofTier 2 instruments with residual
maturity of less than one year) before
the application of capital deductions
Other capital instruments that are notincluded in the above category
Funding from retail and small businesscustomers; of which:Stable deposits

／

／

／

9,537,545

00

3,634,837

13,172,382

／

／

／

／

／

9,537,545

003,472,957

13,010,502

／

／

／

／

／

0

0

0

161,880

161,880

／

／

／

／

／

51,558,249

909

22,37270,31047,320,343

／

／

／

／

／

16,533,111

0

0

0

15,706,456

6Less stable deposits

／

／

／

／

／

35,025,137

909

22,37270,31031,613,887

7

／

／

／

／

／

58,957,667

64,803,259

4,607,980

7,156,298

43,516,314

8Wholesale funding; of which:Operational deposits

／

／

／

／

／

0

0

0

0

0

9

Other wholesale funding

／

／

／

／

／

58,957,667

64,803,259

4,607,980

7,156,298

43,516,314

／

／

／

／

／

0

0

0

0

0

／

／

／

／

／

410,092

180,806

0

97,206295,237

／

／

／

／

／

／

／

／

0

／

／

／

／

／

／

410,092

180,806

0

97,206295,237

／

／

／

／

／

／

／

／

／

104,304,278

10
11
12
13
14

Liabilities with matching interdependent
assetsOther liabilities; of which:
Derivative liabilities
All other liabilities and equity notincluded in the above categories
Total available stable funding56

Basel Pillar 3 Disclosures

Status of Sound Management of Liquidity Risk
Prior Quarter
Item

Current Quarter

Unweighted value by residual maturity
No maturity < 6 months 6 months to <1yr

Weighted
value

≥1yr

Unweighted value by residual maturity
No maturity < 6 months 6 months to <1yr

Weighted
value

≥1yr

Required stable funding (RSF) items (2)
15

HQLA

／

／

／

／

／

／

／

／

／

3,767,157

16

Deposits held at financial institutions for
operational purposes

／

／

／

／

／

340,026000170,125

／

／

／

／

／

6,926,464

35,779,672

7,971,343

59,633,336

68,884,007

／

／

／

／

／

180,747

10,990,454

75,884040,380

／

／

／

／

／

2,569,326

6,372,369

1,721,414

8,725,890

11,012,628

／

／

／

／

／

577,101

17,255,552

5,762,345

39,694,441

45,295,507

／

／

／

／

／

6,015

1,180,784

317,131

1,577,677

1,778,358

／

／

／

／

／

0

6,245

48,368

7,846,401

5,849,095

／

／

／

／

／

0

1,828

2,530

4,229,664

2,751,461

／

／

／

／

／

3,599,288

1,155,050

363,329

3,366,602

6,686,395

／

／

／

／

／

0

0

0

0

0

／

／

／

／

／

7,636,535

2,730,960

140,853

4,780,193

11,556,261

／

／

／

／

／

0

／

／

／

0

28

Assets posted as initial margin forderivative contracts and contributions
to default funds of CCPs (including
those that are not recorded on
consolidated balance sheet)

／

／

／

／

／

／

／

／

1,254,650

1,066,452

29

Derivative assets

／

／

／

／

／

／

／

／

629,959

629,95930

Derivative liabilities (before
deduction of variation margin posted)

／

／

／

／

／

／

／

／

1,957,341

97,86731

All other assets not included in theabove categories

／

／

／

／

／

7,636,535

2,730,960

140,853938,241

9,761,982

17

18

19

20

21

22

23

24

25
26
27

Loans, repo transactions-related assets,
securities and other similar assets; ofwhich:
Loans to- and repo transactions withfinancial institutions (secured bylevel 1 HQLA)
Loans to- and repo transactions withfinancial institutions (not included initem 18)
Loans and repo transactions-related
assets (not included in item 18, 19
and 22); of which:With a risk weight of less than orequal to 35% under theStandardised Approach for credit
risk
Residential mortgages; of which:With a risk weight of less than orequal to 35% under theStandardised Approach for credit
risk
Securities that are not in default anddo not qualify as HQLA and othersimilar assets
Assets with matching interdependent
liabilities
Other assets; of which:Physical traded commodities,
including gold

32

Off-balance sheet items

／

／

／

／

／

／

／

／

108,284,061

2,162,059

33

Total required stable funding

／

／

／

／

／

／

／

／

／

86,539,611

34

Consolidated net stable funding ratio(NSFR)

／

／

／

／

／

／

／

／

／

120.5%(2)Disclosure of qualitative information regarding the Net Stable Funding Ratio (Consolidated)(A)Chronological changes in the Net Stable Funding Ratio

There are no items to disclose regarding major changes of our Consolidated NSFR.

(B)Interdependent assets and liabilities

We do not apply the "exceptional treatment against interdependent assets and liabilities" in Article 99of the Notice No.62.

(C)Other matters regarding the Net Stable Funding Ratio

Our Consolidated NSFR surpasses the regulatory standard (100%), with no issues.
We do not expect our Consolidated NSFR disclosed herein to deviate significantly from the current level in the future, and our
Consolidated NSFR does not differ significantly from our expectations.

57Basel Pillar 3 Disclosures

Status of Sound Management of Liquidity Risk

■Status of Major Liquid Assets(Billions of yen)

Item

As of Mar. 2021

As of Sep. 2021

47,075.4

Cash and Due from Banks (including Due from Central Banks)

47,981.9

Trading Securities

6,421.3

8,028.2

Securities

42,567.4

42,495.5

Bonds Held to Maturity
Other Securities

885.5

1,394.1

41,681.9

41,101.3

Japanese Stocks

2,865.9

2,933.1

Japanese Bonds

24,145.0

22,433.9

20,920.5

19,003.0

Japanese Government Bonds
Japanese Local Government Bonds
Japanese Corporate Bonds
Other

463.5

494.9

2,760.9

2,935.9

14,670.9

15,734.2

Foreign Bonds

12,433.9

13,489.3

Other2,236.9

2,244.8

96,970.8

97,599.1

Portion pledged as collateral(12,728.6)(16,961.7)

Total after the deduction above

84,242.1

80,637.3

Total

Notes:
1. All securities included in the above table have fair value.
2. The Portion pledged as collateral mainly consists of securities and others collateralized for borrowed money, foreign and domestic exchange transactions orderivatives transactions, or substituted for margins for futures transactions.
3. Figures in the above table do not represent high quality liquid assets under the Basel Ⅲ regulatory regime.

58