Mitsubishi UFJ
Financial Group
Basel II Disclosure
Interim Fiscal 2007

Basel II Data (MUFG, Consolidated)

Scope of Consolidation

2

Composition of Equity Capital

3

Capital Adequacy

4

Credit Risk

6

Credit Risk Mitigation

13

Derivative Transactions

14

Securitization Exposures

15

Market Risk

19

Equity Exposures in Banking Book

21

Exposures Relating to Funds

22Interest Rate Risk in the Banking Book (IRRBB)

23

Consolidated Capital Adequacy Ratio as of September 30, 200624

1

Basel II Disclosure Interim Fiscal 2007

In accordance with the provisions of Article 52-25 of the Banking Law of Japan, Mitsubishi UFJ Financial Group (MUFG) adopts the“First Standard” to calculate its capital adequacy ratio based on formulas contained in the standards for the consolidated capital
adequacy ratio of bank holding companies (Notification of the Financial Services Agency No. 20, 2006; referred to hereinafter as the“FSA Consolidated Capital Adequacy Notification”) to assess capital adequacy in light of the assets we own on a consolidated basis.
With regard to the internal controls structure governing calculation of the consolidated capital adequacy ratio, MUFG received areport from Deloitte Touche Tohmatsu (DTT) which conducted certain procedures as an independent auditing firm. The proceduresthat were agreed upon between MUFG and DTT were conducted in accordance with the Japanese Institute of Certified Public
Accountants (JICPA) Industry Audit Committee Report No. 30. The procedures were not conducted based on “generally accepted
auditing principles,” and we did not receive any audit opinion with regard to our internal controls structure or the related
consolidated capital adequacy ratio.
The Basel II framework was implemented in Japan at the end of fiscal 2006 (the year ended March 31, 2007). With certain
exceptions, this report does not contain figures for the interim period of fiscal 2006, which preceded the implementation of Basel II,
since such figures have not been calculated based on this standard.

Scope of Consolidation
Companies that are deficient in regulatory capital and total regulatory capital deficiencies
September 30, 2007
Names of any companies qualifying for
capital deductions under the provisionsof Paragraph 1.2 (a)–(c) of Article 8,
or Paragraph 1.2 (a)–(c) of Article
20, of the FSA Consolidated Capital
Adequacy Notification that are deficient
in regulatory capital, and corresponding
total regulatory capital deficiencies

Not applicable2Basel II Disclosure Interim Fiscal 2007

Composition of Equity Capital
Capital structure

Billions of yen

September 30, 2007
Tier 1 (core) capital(A)

Capital stock

8,230.7
1,383.0—

Stock subscription advances
Capital surplus

1,865.9

Retained earnings

4,286.0

Treasury stock(576.4)—

Treasury stock subscription advances
Planned distribution(76.7)Net unrealized losses on securities available for sale—

Foreign currency translation adjustments

9.8

Subscription rights to shares

0.0

Minority interests in consolidated subsidiaries and affiliates (Note 1)

1,715.1

Amount equivalent to goodwill(311.5)Intangible assets acquired via business combinations(26.6)

Amount equivalent to capital increase due to securitization transactions(37.8)

Amount equivalent to 50% of expected losses in excess of qualifying allowances—

Deductions for deferred tax assets (Note 2)—

Qualified Tier 2 (supplementary) and Tier 3 (quasi-supplementary) capital (Note 3)
Deductions from total qualifying capital (Note 4)
Total capital(B)

5,643.2

(C)

417.5

(A) ＋ (B) − (C)13,456.4

Notes: 1. The amount of stocks and other securities with some probability of being redeemed pursuant to special provisions for stepped-up
interests, etc., as stipulated in Paragraph 2 of Article 5 of the FSA Consolidated Capital Adequacy Notification was 1,031.2 billion
yen, all of which was contained within “minority interests in consolidated subsidiaries and affiliates.” The amount of these
instruments accounted for 12% of Tier 1 capital.
2. The amount equivalent to net deferred tax assets totaled 93.2 billion yen and the regulatory ceiling on the net amount ofdeferred tax assets allowable for capital inclusion equaled 2,469.2 billion yen.
3. As stipulated in Articles 6 and 7 of the FSA Consolidated Capital Adequacy Notification.
4. As stipulated in Article 8 of the FSA Consolidated Capital Adequacy Notification.

3

Basel II Disclosure Interim Fiscal 2007

Capital Adequacy
Capital requirements for credit risk

Billions of yen

September 30, 2007
Capital requirements for credit risk (excluding equity exposures underthe IRB Approach, exposures relating to funds (Note 3), andportfolios with phased rollout of the IRB Approach)

7,305.7

IRB Approach (excluding securitization exposures)

6,375.7

Corporate exposures (excluding specialized lending) (the FIRB Approach)

4,468.6

Corporate exposures: specialized lending (the FIRB Approach)

327.3

Sovereign exposures (the FIRB Approach)

192.9

Bank exposures (the FIRB Approach)351.3

Residential mortgage exposures

404.3

Other retail exposures

355.4

Exposures for other assets

275.8Standardized Approach (excluding securitization exposures)

535.9

Securitization exposures (Note 4)

394.0
385.9

Portfolios under the IRB Approach
Portfolios under the Standardized Approach

8.0

Capital requirements for credit risk of equity exposures under the IRB Approach

911.2

Exposures subject to transitional arrangements (grandfathering provisions) (Note 5)627.1

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

106.2

Market-Based Approach (Internal Models Method) (Note 6)—

PD/LGD Approach (Note 6)

177.8

Capital requirements for exposures relating to funds

552.3

Capital requirements for portfolios with phased rollout of the IRB Approach
Total

810.0
9,579.3

Notes: 1. Credit risk-weighted assets are calculated using the FIRB Approach. However, as an exemption to this approach, the Standardized
Approach is used for calculations with credit risk-weighted assets at some subsidiaries in cases where the figures for such
subsidiaries are expected to be minor compared with the total. In addition, the adoption of the IRB Approach is due to be phasedin from the end of December 2010 at UnionBanCal Corporation and from the end of March 2009 at Mitsubishi UFJ NICOS Co., Ltd.
2. Capital requirement for portfolios under the IRB Approach is calculated as “credit risk-weighted asset amount x 8% + expected
losses.” In this calculation, the amount of capital requirement is including any exposures qualifying as capital deduction, and thecredit risk-weighted asset amount is multiplied by the scaling factor of 1.06. Capital requirements for portfolios under theStandardized Approach or a phased rollout of the IRB Approach are calculated as “credit risk-weighted asset amount x 8%.”
3. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 145 of the FSA Consolidated Capital
Adequacy Notification.
4. Including amounts equivalent to increase in equity capital resulting from a securitization exposure, as a deduction from Tier 1
capital elements.
5. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 13 of the Supplementary Provisions to the
FSA Consolidated Capital Adequacy Notification.
6. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 144 of the FSA Consolidated Capital
Adequacy Notification.

4Basel II Disclosure Interim Fiscal 2007

Capital requirements for market risk

Billions of yen

September 30, 2007
Standardized Method

120.3

Interest rate risk

50.2

Equity position risk

54.5

Foreign exchange risk

15.0

Commodity risk

0.4

Options transactions—

Internal Models Approach

55.6

Total

175.9

Note: As for market risk, Internal Models Approach is mainly adopted to calculate general market risk (in some cases the Standardized
Method is adopted) and the Standardized Method is adopted to calculate specific risk.

Capital requirements for operational risk

Billions of yen

September 30, 2007
The Standardized Approach

484.7

Total

484.7

Note: Operational risk is calculated using the Standardized Approach (the Basic Indicator Approach and the Advanced Measurement
Approaches are not adopted).

Consolidated total capital adequacy ratio, Tier 1 capital adequacy ratio andtotal capital requirement (consolidated basis)

Billions of yen

September 30, 2007
Consolidated total capital adequacy ratio

12.54%

Consolidated Tier 1 capital adequacy ratio

7.67%

Consolidated total capital requirements

8,581.6

8% of credit risk-weighted assets

7,920.8

Capital requirements for market risk

175.9

Capital requirements for operational risk

484.7

8% of the amount by which the capital floor value, which is obtainedby multiplying the risk-weighted asset amount as calculated according to
the Former Notification (Note) based on the 1988 Accord by the adjustment factor,
exceeds the risk-weighted asset amount as calculated according to
the FSA Consolidated Capital Adequacy Notification
Note: Hereafter, this refers to Ministry of Finance (MOF) Notification No. 62, 1998, which was based on the provisions of Article 52-25of the Banking Law of Japan.

5—Basel II Disclosure Interim Fiscal 2007

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

September 30, 2007
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

The IRB approach

108,651.3

30,181.6

5,047.3

169,984.2

The Standardized approach

15,737.8

839.1

1,630.0

21,095.8

Phased rollout
Total

9,362.5

834.6

75.6

12,688.8

133,751.7

31,855.4

6,753.1

203,768.9

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

(By geographic area)

Billions of yen

September 30, 2007
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Default
exposures

Domestic

103,191.7

29,083.1

6,396.7

164,194.0

2,325.1

Foreign

30,559.9

2,772.3

356.3

39,574.9

51.8

Total

133,751.7

31,855.4

6,753.1

203,768.9

2,377.0

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

6Basel II Disclosure Interim Fiscal 2007

(By type of industry)

Billions of yen

September 30, 2007
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Default
exposures

Manufacturing

15,864.9

1,468.5

585.0

23,130.9466.5

Wholesale and retail

10,991.5

1,165.0820.1

14,224.0

292.6

Construction

2,317.3

288.0

38.1

2,874.1

109.6

Finance and insurance

23,189.5

4,062.3

2,806.2

32,532.6

103.1

Real estate

11,094.9

393.1

56.6

11,798.1

223.8Services

8,060.9

597.0

280.8

9,067.6

211.9

Transport

4,181.0

255.5

118.3

5,193.8

148.5

Individuals

22,450.0—

0.7

22,455.0

527.9

Governments and local authorities

20,113.4

21,973.7

11.8

43,424.0

0.0

Others

15,487.9

1,652.0

2,035.1

39,068.2

292.6

Total

133,751.7

31,855.4

6,753.1

203,768.9

2,377.0

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

(By residual contractual maturity)

Billions of yen

September 30, 2007
Credit risk exposures (Note 1)

Due in 1 year or less

Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

41,666.6

11,056.0

764.4

63,389.3

Due over 1 year to 3 years

13,776.5

6,609.5

2,125.7

23,227.1

Due over 3 years to 5 years

15,768.8

4,653.0

1,300.3

21,725.7

Due over 5 years to 7 years

4,893.6

1,011.0374.9

6,654.0

Due over 7 years

19,252.2

7,429.5

460.3

27,425.6

Others38,393.9

1,096.2

1,727.1

61,346.9

Total

133,751.7

31,855.4

6,753.1

203,768.9

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

7Basel II Disclosure Interim Fiscal 2007

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

Millions of yen

September 30, 2007

Against March 31, 2007

General allowance for credit losses

830,152

21,532

Specific allowance for credit losses

430,80954,741

Domestic

419,177

52,816

Foreign

11,632

1,924

82

11

1,261,044

76,285

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

Millions of yen

September 30, 2007

Against March 31, 2007

General allowance for credit losses

830,152

21,532

Specific allowance for credit losses

430,80954,741

Manufacturing

19,673

1,583

Wholesale and retail

39,744

14,465Construction

6,541(3,037)

Finance and insurance

40,17812,665

Real estate

38,605

20,680Services

40,281

1,496

Transport

109,254

3,847

Individuals

13,486(1,189)70

123,035

4,231

Governments and local authorities
OthersAllowance for loans to specific foreign borrowers
Total

82

11

1,261,044

76,285

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

8Basel II Disclosure Interim Fiscal 2007

Loan charge-offs(By type of industry)

Millions of yen

FY2007 H1
Manufacturing

13,477Wholesale and retail

17,368Construction

8,815

Finance and insurance

8,284

Real estate

1,078

Services

14,819Transport

1,033

Individuals

3,383

Governments and local authorities—

Others

18,749Total

87,010Note: Figures do not include loan charge-offs related to securitization exposures or exposures relating to funds.

Balances by risk weight category of exposures under theStandardized Approach

Billions of yen

September 30, 2007
Including: Balances for whichrisk weights are determinedby external rating

Risk weight: 0%

1,281.2

197.2

Risk weight: 10%

232.6

—

Risk weight: 20%

2,806.6

2,742.0

Risk weight: 35%

877.0

—

Risk weight: 50%

175.2

172.9

Risk weight: 75%

254.3

—

Risk weight: 100%

5,473.8

62.5

Risk weight: 150%

4.9

0.0

Capital deductions

3.9—

Others10.5—

11,120.2

3,174.7

Total

Notes: 1. Figures are taking into account the effects of credit risk mitigation techniques.
2. Figures do not contain any securitization exposures.
3. “Others” includes investment funds leveraged by debt loans, etc., for which the weighted average risk weight is 459%.

(Reference: Balances by risk weight category of exposures
which are applicable to the Former Notification)

Billions of yen

September 30, 2007
Risk weight: 0%

91.3

Risk weight: 10%—

Risk weight: 20%

1,357.3

Risk weight: 50%

2,773.0

Risk weight: 100%

8,467.1

Total

12,688.8

9Basel II Disclosure Interim Fiscal 2007

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

Billions of yen

September 30, 2007
Specialised lending exposures subject to supervisory slotting criteria

2,875.4

Risk weight: 50%

203.9

Risk weight: 70%

916.0

Risk weight: 90%

697.9

Risk weight: 95%

71.9

Risk weight: 115%

491.8

Risk weight: 120%

47.5

Risk weight: 140%

28.3

Risk weight: 250%

404.4

Risk weight: 0%

13.3

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

368.3

Risk weight: 300%

220.8

Risk weight: 400%

147.5

10

Basel II Disclosure Interim Fiscal 2007

Exposures subject to the IRB Approach: corporate exposures

Billions of yen

September 30, 2007
EAD
Credit rating

On balance sheet
EAD

Off balance sheet
EAD

Weighted
average
PD

Weighted
average
LGD

Weighted
averageRW

0.17%

44.74%

34.97%

Borrower ratings 1~3

26,809.9

16,880.7

9,929.2

Borrower ratings 4~935,654.4

30,561.2

5,093.1

0.70%

43.45%

67.68%

Borrower ratings 10~11

4,535.0

3,680.3

854.6

11.33%

42.96%

191.65%

Borrower ratings 12~15

1,633.9

1,522.4111.4

100.00%43.19%／

Notes: 1. Figures exclude specialized lending exposures subject to supervisory slotting criteria and any exposures relating to funds.
2. RW stands for risk weight. Risk weight is calculated by dividing the amount of credit risk-weighted assets by EAD, and does notinclude any expected losses. Note that credit risk-weighted asset amounts are multiplied by 1.06.

Exposures subject to the IRB Approach: sovereign exposures

Billions of yen

September 30, 2007
EAD
Credit rating

On balance sheet
EAD

Off balance sheet
EAD

Weighted
average
PD

Weighted
average
LGD

Weighted
average
RW

0.01%

44.69%

3.01%

Borrower ratings 1~3

36,766.1

31,154.3

5,611.7

Borrower ratings 4~9

1,197.3

1,101.0

96.2

0.37%

44.84%

51.86%

Borrower ratings 10~11

150.8

145.1

5.6

16.63%

44.93%

233.41%

Borrower ratings 12~15

25.9

23.8

2.1

100.00%43.98%／

Exposures subject to the IRB Approach: bank exposures

Billions of yen

September 30, 2007
EAD
Credit rating

On balance sheet
EAD

Off balance sheet
EAD

Weighted
average
PD

Weighted
average
LGD

Weighted
average
RW

Borrower ratings 1~3

17,956.8

13,682.4

4,274.3

0.07%

45.19%

18.98%

Borrower ratings 4~91,389.8

795.8

594.0

0.43%

44.88%

53.14%

Borrower ratings 10~11

42.0

23.1

18.8

11.60%

44.98%

218.27%

Borrower ratings 12~15

2.9

2.8

0.0

100.00%45.00%／

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

Billions of yen

September 30, 2007
Amountof exposures

Weighted average
PD

Weighted average
RW

Borrower ratings 1~3

388.4

0.13%

209.04%

Borrower ratings 4~9

115.1

0.25%

190.47%

Borrower ratings 10~11

1.4

16.81%

539.78%Borrower ratings 12~15

104.2

100.00%／Credit rating

Notes: 1. Figures exclude any equity exposures based on calculations where credit risk asset values are assessed using the Market-BasedApproach as well as any equity exposures where a 100% risk weight is applied based on the transitional arrangements stipulated
in Article 13 of the Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification.
2. For equity exposures under the PD/LGD approach, the weighted average PD may not match the weighted average RW because
risk weight minimums including expected losses are set 100% for strategic equity investments, 200% for other publicly traded
equities and 300% for other non-listed equities.

11Basel II Disclosure Interim Fiscal 2007

Exposures subject to the IRB Approach: retail exposures

Billions of yen

September 30, 2007
EAD

On balance sheet
EAD

Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance sheet
EAD

Residential mortgage

13,876.8

13,366.0

—

—

510.8

Non-defaulted

13,772.3

13,264.3

—

—

508.0

104.4

101.6

—

—

2.8

3,228.4

1,541.9

6,829.3

21.30%

231.6

3,073.1

1,391.7

6,818.8

21.32%

226.9

155.3

150.2

10.5

3.95%

4.6

2,136.5

2,067.7

1.2

0.35%

68.7

2,126.8

2,058.7

1.2

0.35%

68.0

9.6

8.9

—

—

0.6

Number ofpools

Weighted average
PD

Weighted average
LGD

Weighted average
EL default

Weighted average
RW

Residential mortgage

117

1.40%

39.79%—

28.40%

Non-defaulted

90

0.65%

39.44%—

28.34%

27

99.98%

54.79%

52.10%

35.76%

138

6.52%

41.64%—

41.10%

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

September 30, 2007

Defaulted
Other retail (non-business)
Non-defaulted

94

1.80%

40.44%—

41.32%

Defaulted

4499.99%

62.20%

59.42%

36.79%

Other retail (business-related)

22

3.59%

38.53%—

55.25%

Non-defaulted

15

3.15%

38.46%—

55.47%

Defaulted

7100.00%36.83%

36.45%

5.05%

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

Actual losses on exposures subject to the IRB Approach

FY2006
FY2005
FY2006:
Discussion of the factors

Millions of yen

Corporate
exposures

SovereignexposuresBank
exposures

Equity exposures
under PD/LGD
Approach

Residential
mortgage
exposures

Other retail
exposures

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

84

26,7255,940(377,841)
Actual losses on exposures were lower than initial loss estimates, reflecting repayments on
defaulted exposures and other factors such as loan normalization.

Note: Actual losses include the following amounts related to defaulted exposures: write-offs against allowances, losses on the disposal ofclaims, debt forgiveness or loan waivers, and impairment losses on securities. However, in FY2005, credit-related costs are describedas actual losses, since MUFG’s credit risk management in that year was not based on Basel II asset classes. Actual losses and creditrelated costs in FY2005 incurred by Mitsubishi UFJ Trust and Banking equal the aggregate figures for the banking account and fortrust accounts for which repayment of the principal to the customers is guaranteed.

12Basel II Disclosure Interim Fiscal 2007

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

FY2006 estimated losses

Sovereignexposures

Millions of yen
Equity exposures
under PD/LGD
ApproachBank
exposures

Residential
mortgage
exposures

Other retail
exposures

1,235,407

18,106

14,417

173,180

62,968108,173

72,143,293

43,809,530

16,865,540

375,755

14,985,264

5,648,325

average PD

3.91%

0.09%

0.19%

51.21%

1.17%

5.21%

Estimated weighted
average LGD

43.74%

44.79%

45.16%

90.00%

36.05%

36.78%

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

84

26,725

5,940

Initial EAD
Estimated weighted

FY2006 actual losses

Notes: 1. The initial EAD was used for a preliminary calculation under the FIRB Approach at the end of March 2006, and was not used to
calculate an official figure of capital adequacy ratio.
2. Estimates for PD and LGD were used for preliminary calculations under the FIRB Approach at the end of September 2006, andwere not used to calculate official figures of capital adequacy ratio. Estimates for PD and LGD that were used for preliminary
calculations under the FIRB Approach at the end of March 2006 were not used, because such estimates included temporary
factors due to the merger of Mitsubishi Tokyo Financial Group, Inc. with UFJ Holdings, Inc.

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

Billions of yen

September 30, 2007

Portfolios under the FIRB Approach
Corporate exposures
Sovereign exposures

Eligiblefinancial collateral

Other eligible
IRB collateral

Guarantees

Creditderivatives

9,926.3

4,725.5

2,045.8

1,286.3

1,556.8

4,721.7

1,000.1

1,241.8

166.9

3.2

734.6

—

8,202.5

0.6

15.4

44.4

Residential mortgage exposures

—

—

—

—

Other retail exposures

—

—

295.5

—

9,975.5

—

17.7

—

Bank exposures

Portfolios under the Standardized Approach

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

13Basel II Disclosure Interim Fiscal 2007

Derivative Transactions
Matters relating to counterparty credit risk

Billions of yen

September 30, 2007
Aggregated gross replacement costs

6,787.7

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

6,753.1

Foreign exchange and gold

4,412.0

Interest rate

6,672.9

Equity45.5

Precious metals (except gold)

22.8

Other commodities

423.1

Credit derivative

337.2

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

(5,160.6)
144.1

Deposits
Marketable securities
Others

98.7
5.4
39.9

Credit equivalent amounts after credit risk mitigation benefits due to collateral

6,654.8

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

5,842.6

Purchased credit protection through credit default swaps

3,093.5

Purchased credit protection through total return swaps

93.8

Purchased credit protection through credit options—

Purchased other credit protection—

Provided credit protection through credit default swaps

2,655.1

Provided credit protection through total return swaps—

Provided credit protection through credit options—

Provided other credit protection—

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

1,596.9

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

14

Basel II Disclosure Interim Fiscal 2007

Securitization Exposures
Information on underlying assets

Billions of yen

September 30, 2007

FY2007 H1Amount of underlying assets
at period-end (Note 1)

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

Underlying assets
relating toretainedsecuritization
exposures

Underlying assets
relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures (Note 2)

Underlying assets
relating toretainedsecuritization
exposures

Underlying assets
relating tosecuritizationtransactions
during this periodwith no retained
securitization
exposures (Note 3)

Losses onunderlying assets
incurred during
this period (Note 4)

Traditional securitizations(asset transfer type)2,934.1

—

9.3

—

4.2

Residential mortgage

2,566.2

—

8.4

—

3.7

367.9

—

0.8

—

0.4

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

Synthetic securitizations

431.6

—

—

—

—

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Apartment loan

Credit card receivables
Other assets
Sponsor of asset-backed
commercial paper (ABCP) program

—

—

—

—

—

431.6

—

—

—

—

32,418.4

—

652.7

840.6

438.8

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Credit card receivables

23,666.3

—

499.3

557.1

319.0

Account receivables

5,294.4

—

124.5

124.9

29.4

Leasing receivables

1,924.5

—

1.1

2.9

5.3

Other assets

1,533.0

—

27.6

155.6

85.0

Total as an originator

35,784.2

—

662.0

840.6

443.0

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

15

Basel II Disclosure Interim Fiscal 2007

Billions of yen

FY2007 H1Cumulative amount ofunderlying assets
securitized
during the period

Recognized
gains or losses
in this period arisingfrom securitizationtransactions

139.5

4.1

139.5

4.1

Apartment loan——

Credit card receivables——

Other assets——

Synthetic securitizations

69.3

／

Residential mortgage—／

Apartment loan—／

Traditional securitizations (asset transfer type)
Residential mortgage

—

／

69.3

／

48,649.1／

Residential mortgage—／

Apartment loan—／

Credit card receivables

25,781.0／

Account receivables

19,111.6／

Leasing receivables

2,159.8／

Credit card receivables
Other assets
Sponsor of asset-backed commercial paper (ABCP) program

Other assets

1,596.6／

Total as an originator

48,857.9

4.1

16

Basel II Disclosure Interim Fiscal 2007

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

Billions of yen

September 30, 2007
Amount of securitization
exposures that have been
deducted fromTier 1 capital(Amount equivalent toincrease in capital) (Note 1)

Capital deductions
related tosecuritization
exposures (Note 2)

4,430.5

37.8

9.8

716.1

37.8

0.1

Residential mortgage

510.9

34.6

—

Apartment loan

204.3

3.2

—

—

—

—

Amount of
securitization
exposures

Total as an originator
Traditional securitizations (asset transfer type)

Credit card receivables

0.9

—

0.1

Synthetic securitizations

Other assets

409.8

—

—

Residential mortgage

—

—

—

Apartment loan

—

—

—

Credit card receivables

—

—

—

Other assets

409.8

—

—

3,304.4—

9.6

Residential mortgage

—

—

—

Apartment loan

—

—

—

Credit card receivables

561.0

—

5.7

Account receivables

1,448.3——

Leasing receivables

816.1

—

2.4

Other assets

478.9

—

1.4

3,787.1／

15.5

1,110.8／

0.0

Sponsor of asset-backed commercial paper (ABCP) program

As an investor
Residential mortgage
Apartment loan
Credit card receivables
Corporate loans
Other assets

7.6

／

0.0

330.3

／

0.0

1,674.4

／

1.5

663.8

／

14.0

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

(Securitization exposures subject to early amortization provisions retained)
In line with the provisions of Articles 230 & 248 of the FSA Consolidated Capital Adequacy Notification, there are no securitization
exposures subject to early amortization treatment that are retained by external investors and are used to calculate credit riskweighted assets.

17

Basel II Disclosure Interim Fiscal 2007

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

Billions of yen

September 30, 2007
Amount of
securitization
exposures

Capitalrequirement

4,430.5
716.1

291.2
91.7
—

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

0.7

Risk weight: over 20% to 50%——

Risk weight: over 50% to 100%

79.5

4.9

Risk weight: over 100% to 250%

566.1

65.9

Risk weight: over 250% under 1250%

69.5

20.5

Risk weight: 1250%

0.1

0.1

Synthetic securitizations

409.8

3.9

Risk weight: to 20%

390.2

2.3

—

—

Risk weight: over 20% to 50%
Risk weight: over 50% to 100%——

Risk weight: over 100% to 250%

19.6

1.6

—

—

Risk weight: over 250% under 1250%
Risk weight: 1250%
Sponsor of asset-backed commercial paper (ABCP) program
Risk weight: to 20%——

3,304.4

195.5

1,763.0

11.9

Risk weight: over 20% to 50%

244.1

7.6

Risk weight: over 50% to 100%

524.3

31.5

Risk weight: over 100% to 250%

609.3

77.3

Risk weight: over 250% under 1250%

153.9

57.4

9.6

9.6

Risk weight: 1250%
As an investor
Risk weight: to 20%

3,787.1

64.9

3,218.5

23.4

Risk weight: over 20% to 50%

210.8

4.6

Risk weight: over 50% to 100%

312.8

16.9

Risk weight: over 100% to 250%

24.0

3.0

Risk weight: over 250% under 1250%

5.2

1.2

Risk weight: 1250%

15.5

15.5

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

September 30, 2007
As an originator—

As an investor

12.2

Total

12.2

Note: Figures refer to credit risk-weighted assets calculated using transitional arrangements as stipulated in Article 15 of the
Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification. Specifically, in those cases where the standardized
approach is applied as an exception that include securitization exposures, figures refer to credit risk-weighted assets calculatedusing a transitional arrangement whereby such assets values are capped at the greater of the value based on the Former
Notification as stipulated in the Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification or the value if theunderlying assets were retained.

18Basel II Disclosure Interim Fiscal 2007

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

Billions of yen

FY2006 H1

Total

Average

Maximum

Minimum Sep 30, 2006

FY2007 H1
Average

Maximum

Minimum

Sep 30, 2007

5.32

8.06

3.75

4.98

10.77

14.97

7.79

12.22

Interest rate
Yen
U.S. dollar

4.56
2.36
1.51

6.93
3.69
3.27

2.99
1.43
0.42

4.64
2.87
1.17

7.41
4.44
2.22

11.56
8.58
4.54

3.69
1.97
0.97

11.53
8.47
2.12

Foreign exchange

2.09

3.86

0.46

1.33

3.62

6.18

1.55

1.90

Equities

0.51

1.94

0.23

0.30

2.04

8.39

0.43

0.64

Commodities

0.11

0.34

0.06

0.08

0.28

0.51

0.10

0.11

Diversification effect(1.95)——(1.37)(2.58)——(1.96)

Assumptions for VaR calculations:
Historical simulation method
Holding period:
10 business days
Confidence interval:
99%
Observation period:
701 business days
• The maximum and minimum VaR overall and for various risk categories were taken from different days.

19Basel II Disclosure Interim Fiscal 2007

Results of market risk backtesting and explanations of any actual trading losses
significantly in excess of VaR�����������������������
������������������������������������

���������������

������������������

�����������������

������������������������������������

�������������������������������
���������������������������������
�
�

�

�

��

��

��

��

��

��

��

��

���

�

�

�

�

�

���

��

���

���������������

�

�

�

�

�

�

��

���

������������������������������������������������
������������������������������������

������������������������������������

���������������

���������������

�������������������

�����������������

�

�

�

�

�

�

��

��

��

��

��

��

��

��

������������������������������

������������������������������
���

���

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

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

20

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

���
��

Basel II Disclosure Interim Fiscal 2007

Equity Exposures in Banking Book
Amount on consolidated balance sheet and market values• Exposures to publicly traded equities

Billions of yen

September 30, 2006
Amount on
consolidatedbalance sheet

7,224.3

Exposures to publicly traded equities

September 30, 2007

Marketvalue

Amount on
consolidatedbalance sheet

Marketvalue

7,224.3

7,653.4

7,653.4

Notes: 1. Figures only count Japanese and foreign equities held within securities available for sale with quoted market value.
2. There is no significant disparity between the share prices of publicly quoted share values and fair value.

• Equity exposures other than above

Billions of yen

September 30, 2006

September 30, 2007

Amount on
consolidatedbalance sheet

Amount on
consolidatedbalance sheet

760.4

493.9

Equity exposures other than above

Note: Figures only count Japanese and foreign equities held within securities available for sale whose market values are not readily
determinable.

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

Millions of yen

September 30, 2006

Exposures to equities

September 30, 2007

Gains on sales

Losses on sales

Write-offs

Gains on sales

Losses on sales

Write-offs

32,431(821)(17,816)

105,818(6,392)(45,010)

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

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

Billions of yen

September 30, 2006

Exposures to equities

September 30, 2007

Acquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains or losses

Acquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains or losses

4,548.8

7,224.3

2,675.5

4,501.7

7,653.4

3,151.6

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

Unrealized gains or losses not recognized either on consolidated balance sheet oron consolidated statement of income
Not applicable21Basel II Disclosure Interim Fiscal 2007

Amounts equivalent to 45% of unrealized gains on securities
available for sale counted as Tier 2 capital

Amounts equivalent to 45% of unrealized gains
on securities available for sale counted as Tier 2 capitalBillions of yen

September 30, 2006

September 30, 2007

1,209.5

1,355.6

Note: Figures refer to items counted as Tier 2 capital based on the provisions of Paragraph 1.1 of Article 6 of the FSA Consolidated Capital
Adequacy Notification. Specifically, in cases where the total amount on the consolidated balance sheet of securities available for saleexceeds total book value for such securities (excluding instances where such securities are held intentionally as part of fund raising byother financial institutions, in line with the provisions of Paragraph 1.1 of Article 8 of the FSA Consolidated Capital Adequacy
Notification), the figures show amounts equivalent to 45% of the corresponding unrealized gains.

Equity exposures subject to transitional arrangements (grandfathering provisions)

Billions of yen

September 30, 2007
Exposures to publicly traded equities subject totransitional arrangements

7,133.4

Equity exposures other than above subject totransitional arrangements

262.0

Total

7,395.5

Note: Based on the transitional arrangements as stipulated in Article 13 of the Supplementary Provisions to the FSA Consolidated Capital
Adequacy Notification, figures refer to the amount of equity exposures for which a 100% risk weight is used to calculate credit riskweighted assets.

Exposures Relating to Funds
Exposures relating to funds

Billions of yen

September 30, 2007
Exposures relating to funds

2,329.4

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

1,720.4

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

77.6

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

64.5

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

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

461.3
5.5

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

22

Basel II Disclosure Interim Fiscal 2007

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

Billions of yen

FY2006 H1
Average

Maximum

Minimum Sep 30, 2006

Interest rate (overall)
Yen
U.S. dollar
Euro

167.9
108.0
95.3
18.8

185.7
127.7
106.6
25.7

145.4
83.6
79.0
13.8

Equities

90.7

104.9

Overall

190.4

203.5

FY2007 H1
Average

Maximum

Minimum Sep 30, 2007

145.4
84.4
83.3
21.6

158.4
108.0
59.0
14.1

183.1
137.5
96.1
17.6

128.2
83.9
37.6
10.1

156.2
99.6
55.7
12.9

62.8

104.9

84.2

100.1

67.9

87.4

176.6

188.8

188.8

214.4

156.4

191.0

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

Outlier ratio
September 30, 2007
Outlier ratio

7.54%

Assumptions for outlier ratio calculations:
Measurement method:
Interest rate shock range:

Interest rate sensitivity method
1st and 99th percentile of observed interest changes using a one-year holding period
and five-year observation period23Basel II Disclosure Interim Fiscal 2007

Consolidated Capital Adequacy Ratio as of September 30, 2006
MUFG’s consolidated capital adequacy ratio as of September 30, 2006 was calculated based on formulas contained in the Former
Notification. MUFG applies the “First Standard” and market risk regulation.
With regard to the internal controls structure governing calculation of the consolidated capital adequacy ratio, MUFG received areport from Deloitte Touche Tohmatsu (DTT) which conducted certain procedures as an independent auditing firm. The proceduresthat were agreed upon between MUFG and DTT were conducted in accordance with the Japanese Institute of Certified Public
Accountants (JICPA) Industry Audit Committee Report No. 30. The procedures were not conducted based on “generally accepted
auditing principles,” and we did not receive any audit opinion with regard to our internal controls structure or the related
consolidated capital adequacy ratio.
Billions of yen

September 30, 2006
Tier 1 (core) capital

Capital stock

1,383.0

Non-cumulative perpetual preferred stock

125.0
—

Stock subscription advances
Capital surplus

1,916.3

Retained earnings

3,781.9

Treasury stock
Treasury stock subscription advances(1,000.4)—

Planned distribution(54.3)—Net unrealized losses on securities available for sale
Foreign currency translation adjustments(56.3)

Subscription rights to shares

0.0

Minority interests in consolidated subsidiaries and affiliates

1,943.8

Preferred securities issued by SPCs based outside Japan

1,236.3

Amount equivalent to goodwill(227.7)

Intangible assets acquired via business combination(4.1)

Tier 1 capital prior to deductions for deferred tax assets(subtotal of above items)

7,682.1—

Deductions for deferred tax assets (Note 1)
SubtotalPreferred securities with step-up interest rate clauses (Note 2)
Tier 2 (supplementary)
capital(A)

Amounts equivalent to 45% of unrealized gains on
securities available for sale

1,209.5

Amount equal to 45% of the land revaluation excess

161.4

General allowance for loan losses

878.0

Debt capital

3,827.1

Perpetual subordinated debt (Note 3)
Non-perpetual subordinated debt and non-perpetual
preferred stock (Note 4)658.4
3,168.7

Subtotal

6,076.2

Total qualified Tier 2 capital
Tier 3 (quasi-(B)

6,076.2—

Short-term subordinated debt

supplementary) capital

Total qualified Tier 3 capital

Deductions from capital(C)

Deductions from capital (Note 5)

Total capital
Risk-weighted assets

7,682.1
777.3

—

(D)

296.2

(E) = [(A) + (B) + (C) – (D)]13,462.0

On balance sheet items

95,144.0

Off balance sheet items

15,679.7

Credit risk-weighted assets
Risk assets derived from market-risk equivalent(Reference) Amount equivalent to market risk
Subtotal
Consolidated capital adequacy ratio (First Standard)

24

(F)

110,823.7(G) = [(H) / 8%]

1,743.7

(H)

139.5

(I) = [(F) + (G)]112,567.5[(E) / (I) x 100]

11.95%

Basel II Disclosure Interim Fiscal 2007

Notes: 1. The amount equivalent to net deferred tax assets totaled 549.3 billion yen as of September 30, 2006, and the regulatory
ceiling on the net amount of deferred tax assets allowable for capital inclusion equaled 3,072.8 billion yen.
2. Refers to stocks and other securities with some probability of being redeemed pursuant to special provisions for stepped-up
interests, etc., as stipulated in Paragraph 2 of Article 4 of the Former Notification (including preferred securities issued by
SPCs based outside Japan).
3. This refers to capital market-issued debt instruments as listed in Paragraph 1.4 of Article 5 of the Former Notification withall of the following characteristics:(1) Unsecured, fully paid and subordinated to senior debt
(2) Non-redeemable except under specified conditions(3) Capital allocated to cover losses incurred in continuing operations(4) Right retained to defer interest-payment obligations
4. This refers to instruments listed in Paragraph 1.5 and 1.6 of the Former Notification. However, non-perpetual subordinateddebt is limited to issues with an original maturity of over five years.
5. These figures refer to any amounts held intentionally as part of fund raising by other financial institutions in line with
Paragraph 1.1 of Article 7 of the Former Notification and any amounts invested in line with the provisions of Paragraph
1.2 of Article 7 of said Notification.

25