Basel III Disclosure
Interim Fiscal 2013

Basel III Data (MUFG, Consolidated)

Scope of Consolidation

2

Composition of Equity Capital

4

Capital Adequacy

15

Credit Risk

17

Credit Risk Mitigation30

Derivative Transactions and Long Settlement Transactions

31

Securitization Exposures(Subject to calculation of credit risk assets)

32

Securitization Exposures(Subject to calculation of market risk equivalent amount)41

Market Risk

43

Equity Exposures in Banking Book

45

Exposures Relating to Funds

46

Interest Rate Risk in the Banking Book (IRRBB)

47

1

Basel III Disclosure

Interim Fiscal 2013

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

Scope of Consolidation
Notes on the scope of consolidation
Differences between those companies
belonging to the corporate group (hereinafter, the “holding company group”) to
which the calculation of consolidated
capital adequacy ratio as stipulated in
Articles 3 or 15 of the FSA Holding
Company Capital Adequacy Notification
is applicable and those companies thatare included in the scope of consolidation
for accounting purposes

Paragraph 1 of Article 3 of the FSA Holding Company Capital Adequacy Notification
states that “the provisions of Paragraph 2 of Article 5 of the Japanese regulations
pertaining to consolidated financial statements shall not apply” to “financial subsidiaries” of a bank holding company. Moreover, Paragraph 2 of the said Article 3 statesthat “insurance-related subsidiaries” of a bank holding company “shall not be included in the scope of consolidation.”
In addition, with regard to affiliated companies engaged in financial operations, the
FSA Consolidated Capital Adequacy Notification states that, provided certain conditions are met, such companies “can be included in the scope of consolidation and in
the calculation of the consolidated capital adequacy ratio using pro rata consolidation” (under which only those portions of the affiliated company’s assets, liabilities,
income and expenditures that are attributable to the bank holding company or any
consolidated subsidiaries with investments in the said affiliated company are includedin the scope of consolidation).
MUFG Group had no companies to which the above exception applied as of
September 30, 2012, or September 30, 2013, and there were no differences between
those companies belonging to the “holding company group” and those companies
that are included in the “scope of consolidation for accounting purposes.”

Number of consolidated subsidiaries, andnames and principal businesses of major
consolidated subsidiaries of the holding
company group

211 companies as of September 30, 2012; 249 companies as of September 30, 2013
The Bank of Tokyo-Mitsubishi UFJ, Ltd. (banking business), Mitsubishi UFJ Trust andBanking Corporation (trust/banking business), Mitsubishi UFJ Securities Holdings Co.,
Ltd. (securities business), etc.

Number of affiliated companies engaged
in financial operations which are subject to
Articles 9 or 21 of the FSA Holding
Company Capital Adequacy Notification,and names, amounts of total assets andnet assets shown on the balance sheet andprincipal businesses of affiliated companies
engaged in these financial operations

Not applicable as of September 30, 2012 and 2013

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

Not applicable as of September 30, 2012 and 20132

Basel III Disclosure

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

As of September 30, 2012 and 2013, transfer of funds or capital within the MUFG
Group is conducted with all due consideration given to the appropriateness of eachaction. We give priority in ensuring that each group company maintains sufficient
capital level for legal and regulatory compliance purposes. Care is also taken to
ensure that actions do not compromise sound and proper operations, while eliminating negative effects on payment capacity, liquidity or profitability.

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

Interim Fiscal 2013

Not applicable as of September 30, 2012 and 20133

Basel III Disclosure

Interim Fiscal 2013

Composition of Equity Capital
Capital structure

Billions of yen

September 30, 2012
Tier 1 (core) capital

(A)

Capital stock

10,832.2
2,139.3—

Stock subscription advances
Capital surplus

2,176.1

Retained earnings

5,798.9

Treasury stock

(6.5)
—

Treasury stock subscription advances
Planned distribution(93.9)—Net unrealized losses on securities available for sale
Foreign currency translation adjustments(430.7)

Subscription rights to shares

7.8

Minority interests in consolidated subsidiaries
and affiliates (Note 1)

1,707.5—

Business rights
Amount equivalent to goodwill(408.5)Intangible assets acquired via business combinations(44.8)

Amount equivalent to capital increase due tosecuritization transactions(13.1)

Amount equivalent to 50% of expected losses inexcess of qualifying allowances—

Deductions for deferred tax assets (Note 2)—

Qualified Tier 2 (supplementary) and Tier 3(quasi-supplementary) capital (Note 3)(B)3,268.7

Deductions from total qualifying capital (Note 4)(C)1,782.4

Total capital

12,318.4(A) + (B) – (C)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 696.9 billion
yen as of September 30, 2012, all of which was contained within “minority interests in consolidated subsidiaries and affiliates.”
The amount of these instruments accounted for 6% of Tier 1 capital.
2. As of September 30, 2012, the amount equivalent to net deferred tax assets totaled 315.2 billion yen and the regulatory ceilingon the net amount of deferred tax assets allowable for capital inclusion equaled 2,166.4 billion yen.
3. As stipulated in Articles 6 and 7 of the FSA Consolidated Capital Adequacy Notification. (Before revision in March 2013)
4. As stipulated in Article 8 of the FSA Consolidated Capital Adequacy Notification. (Before revision in March 2013)4

Basel III Disclosure

Interim Fiscal 2013

Composition of Capital Disclosure
Millions of yen

September 30, 2013

Items

Amounts
excluded undertransitionalarrangements

Basel III
Template No.

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

10,502,813/

1a+2–1c–26

of which: capital and capital surplus

3,924,335/

1aof which: retained earnings

6,688,270/

2(1,677)/1c(108,115)

/

26

—

/

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

8,399

/

1b

—

1,463,806

3

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

57,778/

5

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

196,688/

Subscription rights to common shares
Accumulated other comprehensive income and other disclosed reservesof which: common share capital issued by subsidiaries and held by
third parties (amount allowed in group Common Equity Tier 1)

196,688/(A)

10,765,679/

6

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

Common Equity Tier 1 capital: instruments and reserves
Common Equity Tier 1 capital: regulatory adjustments (2)—1,079,802

8+9

of which: goodwill (including those equivalent)—

668,838

8

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

410,964

9

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

—

5,561

10

Deferred gains or losses on derivatives under hedge accounting—

56,916

11

Shortfall of eligible provisions to expected losses

—

—

12

Securitization gain on sale—

13,324

13

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

—

—

14

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

294,882

15

Investments in own shares (excluding those reported in the Net assets
section)—13,968

16

Reciprocal cross-holdings in common equity

—

—

17

Investments in the capital 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 theissued share capital (amount above the 10% threshold)

—

—

18

Amount exceeding the 10% threshold on specified items——

19+20+21

of which: significant investments in the common stock of financials

—

—

19

of which: mortgage servicing rights

—

—

20

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

—

—

21

5

Basel III Disclosure

Interim Fiscal 2013

Composition of Capital Disclosure (continued)

Millions of yen

September 30, 2013

Items

Amounts
excluded undertransitionalarrangements

Basel III
Template No.

—

—

22

of which: significant investments in the common stock of financials

—

—

23

of which: mortgage servicing rights

—

—

24

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

—

—

25

Amount exceeding the 15% threshold on specified items

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

—

/

27

(B)

—

/

28

((A) – (B)) (C)10,765,679/

29

Directly issued qualifying Additional Tier 1 instruments plus related
capital surplus of which: classified as equity under applicable accounting
standards—/

31a 30

Subscription rights to Additional Tier 1 instruments—/

31b 30

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

—

/

32 30

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

—

/

30

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

123,855/

34–35

Eligible Tier 1 capital instruments subject to transitional arrangements
included in Additional Tier 1 capital: instruments

1,491,777

/

33+35

of which: instruments issued by bank holding companies and their
special purpose vehicles

1,491,612

/

33

165

/

35

163,706/

163,706/

1,779,339/

Investments in own Additional Tier 1 instruments

—

1,167

37

Reciprocal cross-holdings in Additional Tier 1 instruments

—

—

38

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

—

—

39

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

—

9,211

40

Common Equity Tier 1 capital: regulatory adjustments
Common Equity Tier 1 capital (CET1)
Common Equity Tier 1 capital (CET1)
Additional Tier 1 capital: instruments (3)of which: instruments issued by subsidiaries
Total of items included in Additional Tier 1 capital: instruments subject
to transitional arrangementsof which: foreign currency translation adjustments
Additional Tier 1 capital: instruments

(D)

36

Additional Tier 1 capital: regulatory adjustments

6Basel III Disclosure

Interim Fiscal 2013

Composition of Capital Disclosure (continued)

Millions of yen

September 30, 2013
Amounts
excluded undertransitionalarrangements

Items
Total of items included in Additional Tier 1 capital: regulatory
adjustments subject to transitional arrangements

546,374/of which: goodwill (net of related tax liability, including thoseequivalent)

505,126/of which: other intangibles other than goodwill and mortgage
servicing rights (net of related tax liability)

27,923/of which: securitization gain on sale

13,324/

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

Basel III
Template No.

—

/

42

(E)

546,374/43((D) – (E)) (F)1,232,965/

44

11,998,645/

45

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

—

/

46

Subscription rights to Tier 2 instruments

—

/

46

Directly issued qualifying Tier 2 instruments plus related capital surplusof which: classified as liabilities under applicable accounting standards

—

/

46

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

—

/

46

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

38,273/48–49

2,384,976

/

47+49

Additional Tier 1 capital: regulatory adjustments
Additional Tier 1 capital
Additional Tier 1 capital
Tier 1 capital

(T1 = CET1 + AT1)

Tier 1 capital

(T1 = CET1 + AT1) ((C) + (F)) (G)Tier 2 capital: instruments and provisions (4)Eligible Tier 2 capital instruments subject to transitional arrangements
included in Tier 2: instruments and provisionsof which: instruments issued by bank holding companies and their
special purpose vehicles

—

/

47

2,384,976/

49

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

230,364/50

of which: provision for general allowance for credit losses

108,871/

50a

of which: eligible provisions

121,493/50b

931,244/of which: amounts equivalent to 45% of unrealized gains on othersecurities

802,891/

of which: deferred gains or losses on derivatives under hedge
accounting(13,101)/

141,453/

3,584,859/

of which: instruments issued by subsidiaries

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

(H)

7

51

Basel III Disclosure

Interim Fiscal 2013

Composition of Capital Disclosure (continued)

Millions of yen

September 30, 2013

Items

Amounts
excluded undertransitionalarrangements

Basel III
Template No.

Tier 2 capital: regulatory adjustments
Investments in own Tier 2 instruments—

17,75752

Reciprocal cross-holdings in Tier 2 instruments

—

—

53

Investments in the capital 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 theissued common share capital of the entity (amount above the 10%threshold)

—

—

54

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

—

4,831

55

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

175,636/of which: goodwill (net of related tax liability, including thoseequivalent)

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

11,924/(I)

175,636/57((H) – (I)) (J)3,409,222/

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

59

Total of items included in risk weighted assets subject to transitionalarrangements

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

Tier 2 capital: regulatory adjustments
Tier 2 capital (T2)
Tier 2 capital (T2)
Total capital (TC = T1 + T2)
Total capital (TC = T1 + T2)Risk weighted assets (5)383,040/of which: deferred tax assets that rely on future profitability
excluding those arising from temporary differences (net of related tax
liability)

5,561

/

of which: defined-benefit pension fund net assets (prepaid pension
costs)

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

11,572/of which: significant investments in the capital banking, financial
and insurance entities that are outside the scope of regulatory
consolidation (net of eligible short positions)

2,706

/

(L)

91,448,580/

60

Common Equity Tier 1 capital ratio (consolidated)

((C) / (L))

11.77%/

61

Tier 1 capital ratio (consolidated)

((G) / (L))

13.12%/

62

Total capital ratio (consolidated)

((K) / (L))

16.84%/

63

Risk weighted assets
Capital ratio (consolidated)8Basel III Disclosure

Interim Fiscal 2013

Composition of Capital Disclosure (continued)

Millions of yen

September 30, 2013

Items

Amounts
excluded undertransitionalarrangements

Basel III
Template No.

Regulatory adjustments (6)Non-significant investments in the capital of other financials that are
below the thresholds for deduction (before risk weighting)

868,852/

72

Significant investments in the common stock of other financials that are
below the thresholds for deduction (before risk weighting)662,963/73

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

89

/

74

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

195,616/75

Provisions (general allowance for credit losses)

108,871/76

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

190,508/

77

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”)

121,493/

78

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

363,683/

79

Current cap on AT1 instruments subject to phase out arrangements

1,491,777/

82

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

212,749/83

2,384,976/

84

85,794/

85

Provisions included in Tier 2 capital: instruments and provisions (7)Capital instruments subject to transitional arrangements (8)Current cap on T2 instruments subject to transitional arrangements
Amount excluded from T2 due to cap (excess over cap after redemptions
and maturities) (if the amount is negative, report as “nil”)

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

9Basel III Disclosure

Interim Fiscal 2013

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

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

Millions of yen
AmountCapital stock

2,140,421

Stock surplus

2,173,915

Retained earnings

6,688,270

Treasury stock
Total shareholders’ equity

Remarks(1,677)
11,000,929(2) Composition of capital

Composition of capital disclosure

Directly issued qualifying common share capitalplus related stock surplus and retained earnings

Millions of yen
Amount10,610,928

Remarks

Basel III
Template No.

Shareholders’ equity attributable tocommon shares (before adjusting national
specific regulatory adjustments (earnings
to be distributed))of which: capital and stock surplus

3,924,335

1aof which: retained earnings

6,688,270

2(1,677)1cof which: treasury stock—of which: other than above
Directly issued qualifying Additional Tier 1
instruments plus related stock surplus of which:classified as equity under applicable accounting
standards—

10

Shareholders’ equity attributable topreferred shares with a loss absorbency
clause upon entering into effective
bankruptcy

31aBasel III Disclosure

Interim Fiscal 2013

2. Intangible assets(1) Consolidated balance sheet
Consolidated balance sheet items

Millions of yen
AmountIntangible assets

1,165,895

Securities

77,113,847

of which: goodwill attributable to equitymethod investees

Remarks

163,712Goodwill attributable to equity-method investees

248,277

Income taxes related to intangibles other than goodwill
and mortgage servicing rights

Income taxes related to above(2) Composition of capitalMillions of yen
AmountGoodwill (net of related tax liability, including
those equivalent)

668,838

8

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

410,9649

Mortgage servicing rights

Remarks

Basel III
Template No.

Composition of capital disclosure

89

Amount exceeding the 10% threshold on
specified items—

20

Amount exceeding the 15% threshold on
specified items—

24

Mortgage servicing rights that are below
the thresholds for deduction (before risk
weighting)89

74

3. Defined-benefit pension fund net assets (prepaid pension costs)(1) Consolidated balance sheet
Consolidated balance sheet items

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

Millions of yen
AmountRemarks

9,587,937
475,593
180,710(2) Composition of capitalMillions of yen

Composition of capital disclosure

AmountDefined-benefit pension fund net assets (prepaid
pension costs)

294,882

11

Remarks

Basel III
Template No.

15

Basel III Disclosure

Interim Fiscal 2013

4. Deferred tax assets(1) Consolidated balance sheet

Millions of yen

Consolidated balance sheet items

AmountDeferred tax assets

128,319

Deferred tax liabilities

201,623

Deferred tax liabilities for land revaluation

155,944

Tax effects on other intangible assets

248,277

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

180,710Remarks(2) Composition of capital

Composition of capital disclosure

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

Millions of yen
AmountRemarks

Basel III
Template No.

5,561

This item does not agree with the amountreported on the balance sheet due tooffsetting of assets and liabilities.

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

195,616This item does not agree with the amountreported on the balance sheet due tooffsetting of assets and liabilities.

Amount exceeding the 10% threshold on
specified items—

21

Amount exceeding the 15% threshold on
specified items—

25

195,61675

Deferred tax assets arising from temporary
differences that are below the thresholds fordeduction (before risk weighting)10

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

Millions of yen

Consolidated balance sheet items

AmountDeferred gains or losses on derivatives underhedge accounting

27,802

Remarks(2) Composition of capital

Composition of capital disclosure

Millions of yen
AmountRemarks

56,916

Excluding those items whose valuationdifferences arising from hedged items
are recognized as “Accumulated othercomprehensive income”

Deferred gains or losses on derivatives underhedge accounting

12

Basel III
Template No.

11

Basel III Disclosure

Interim Fiscal 2013

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

Millions of yen
AmountRemarks

Trading assets

16,493,759

Including trading account securities and derivatives for
trading assets

Securities

77,113,847

Loans and bills discounted

95,245,250

Including subordinated loans

Other assets

9,587,937

Including derivatives and investments in the capital

Trading liabilities

12,613,653

Including trading account securities sold and derivatives
for trading-assets

Other liabilities

7,397,809

Including derivatives(2) Composition of capitalMillions of yen

Composition of capital disclosure

AmountInvestments in own capital instruments

32,894

Remarks

Basel III
Template No.

Common equity Tier 1 capital

13,96816Additional Tier 1 capital

1,167

37

Tier 2 capital

17,75752

Reciprocal cross-holdings in the capital ofbanking, financial and insurance entities—

Common equity Tier 1 capital—

17

Additional Tier 1 capital—

38

Tier 2 capital—

53

Investments in the capital of banking, financial
and insurance entities that are outside the scopeof regulatory consolidation, net of eligible shortpositions, where the bank does not own morethan 10% of the issued share capital (amountabove 10% threshold)868,852

Common equity Tier 1 capital—

18

Additional Tier 1 capital—

39

Tier 2 capital—54

Non-significant investments in the capital ofother financials that are below the thresholds
for deduction (before risk weighting)

868,852

72

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

677,006

Amount exceeding the 10% threshold on
specified items—

Amount exceeding the 15% threshold on
specified items

19

—

23

Additional Tier 1 capital

9,211

40

Tier 2 capital

4,831

55

662,963

73

Significant investments in the capital of
financials that are below the thresholds fordeduction (before risk weighting)13Basel III Disclosure

Interim Fiscal 2013

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

Minority interests

Millions of yen
AmountRemarks

1,855,256(2) Composition of capital

Composition of capital disclosure

Common share capital issued by subsidiaries andheld by third parties (amount allowed in group
CET1)

Millions of yen
Remarks

57,778After reflecting amounts eligible
for inclusion (after minority interest
adjustments)

5—

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

30–31ab–32

34–35

Qualifying Additional Tier 1 instruments plus
related capital surplus issued by special purpose
vehicles and other equivalent entities
Additional Tier 1 instruments issued bysubsidiaries and held by third parties (amountallowed in group AT1)

Basel III
Template No.

Amount123,855

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

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

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

46

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

38,273After reflecting amounts eligible
for inclusion (after minority interest
adjustments)

48–49

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

Millions of yen
AmountBorrowed money

10,531,385

Bonds payable

6,093,491

Total

16,624,877

Remarks(2) Composition of capital

Composition of capital disclosure

Millions of yen
AmountRemarks

Basel III
Template No.

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

32

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

46

Description of agreements concerning methods of procuring capital
Details are shown on the MUFG website (Please see http://www.mufg.jp/english/ir/basel3/)14Basel III Disclosure

Interim Fiscal 2013

Capital Adequacy
Capital requirements for credit risk

Billions of yen

September 30, 2012

September 30, 2013

6,158.3

6,293.2

4,996.0

4,883.9

3,416.9

3,431.6

Corporate exposures (specialized lending exposures subject tosupervisory slotting criteria)

32.4

30.0

Sovereign exposures

57.1

69.7

Bank exposures

149.2

193.1

Residential mortgage exposures

589.0

481.0

Qualifying revolving retail exposures

209.0

189.4

Other retail exposures

281.3

258.0

0.1

0.0

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

Exposures related to unsettled transactions

260.7

230.8

Standardized Approach (excluding securitization exposures)

Exposures for other assets

956.2

1,219.2

Securitization exposures (Note 4)

206.0

190.0

179.4

169.7

Portfolios under the IRB Approach
Portfolios under the Standardized Approach

26.6

20.2

413.8

863.2

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

249.7

367.2

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

64.2

95.5

—

—

99.8

259.9

/

140.3

154.6

195.9

/

268.9

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

Market-Based Approach (Internal Models Method) (Note 6)
PD/LGD Approach (Note 6)
Exposures related to specific items related to components not included insurvey items
Capital requirements for exposures relating to funds
Required capital for CVA risk
Required capital for credit risk associated with exposures relating to central clearing
houses
Total

/

38.0

6,726.8

7,659.4

Notes: 1. Credit risk-weighted assets were calculated using the AIRB approach. However, as an exemption to this approach, theStandardized Approach is used for calculations with credit risk-weighted assets at some subsidiaries in cases where the figures forsuch subsidiaries are expected to be minor compared with the total. In addition, the adoption of the IRB approach is due to bephased in from the end of March 2018 at UnionBanCal Corporation
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 are calculated as “credit risk-weighted asset amount x 8%.”
3. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 145 of the FSA Holding Company Capital
Adequacy Notification.
4. Including amounts equivalent to 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 Holding Company Capital Adequacy Notification.
6. Exposures to calculate the amount of credit risk-weighted assets as stipulated in Article 144 of the FSA Holding Company Capital
Adequacy Notification.

15

Basel III Disclosure

Capital requirements for market risk

Interim Fiscal 2013

Billions of yen

September 30, 2012

September 30, 2013

Standardized Method

101.2

72.9

Interest rate risk

44.0

36.5

Equity position risk

50.1

29.6

Foreign exchange risk

3.1

3.8

Commodity risk

3.7

0.4

Options transactions——

Internal Models Approach

74.0

75.3

Total

175.2

148.2

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

Capital requirements for operational risk

Billions of yen

September 30, 2012

September 30, 2013

The Advanced Measurement Approach

286.0

321.2

The Standardized Approach——

The Basic Indicator Approach

110.1

115.2

Total

396.2

436.5

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

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

Billions of yen

September 30, 2012

September 30, 2013

Consolidated total capital adequacy ratio

14.30%/

Consolidated Tier 1 capital adequacy ratio

12.57%/

Consolidated total capital requirements

6,889.4

7,315.8

8% of credit risk-weighted assets

5,190.6

6,375.3

Capital requirements for market risk

175.2

148.2

Capital requirements for operational risk

396.2

436.5

/

55.8

1,127.2

299.9

8% of the amount included in risk weighted assets using transitionalarrangements
8% of the amount by which the capital floor value, which is obtainedby multiplying the risk-weighted asset amount as calculated according to theFormer Notification (Note) by a predetermined 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 52-25 of
the Banking Law of Japan.

16Basel III Disclosure

Interim Fiscal 2013

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

September 30, 2012
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

The IRB Approach

120,288.8

66,548.2

3,891.9

209,340.8

The Standardized Approach

17,193.8

2,370.7

2,507.8

26,746.6

Total

137,482.6

68,918.9

6,399.8

236,087.4
Billions of yen

September 30, 2013
Credit risk exposures (Note 1)

The IRB Approach

Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

129,059.2

63,062.8

4,125.5

224,907.5

The Standardized Approach

23,281.4

3,057.1

2,514.2

34,444.1

Total

152,340.6

66,119.96,639.7

259,351.7

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 central clearing houses.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. Regarding on balance sheet exposures to loans and debt securities, etc., and off balance sheet exposures to commitments, etc.,
no significant disparity was observed between the interim term-end position and the average risk positions during this period.

(By geographic area)

Billions of yen

September 30, 2012
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Default
exposures (Note 3)

Domestic

105,077.0

62,367.1

5,679.6

190,937.8

2,515.6

Foreign

32,405.6

6,551.7

720.1

45,149.6

159.9

Total

137,482.6

68,918.9

6,399.8

236,087.4

2,675.5
Billions of yen

September 30, 2013
Credit risk exposures (Note 1)

Domestic

Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Default
exposures (Note 3)

109,443.3

58,761.4

5,801.3

197,274.7

2,237.6

Foreign

42,897.3

7,358.5

838.4

62,076.9

178.3

Total

152,340.6

66,119.96,639.7

259,351.7

2,415.9

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 central clearing houses.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. Figures for exposures past due three months or more or default exposures correspond to exposures as of the period-end where
the amount of the credit risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures
where the amount of the credit risk-weighted asset is computed assuming past-due loan exposure in cases subject to theStandardized 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.

17Basel III Disclosure(By type of industry)

Interim Fiscal 2013

Billions of yen

September 30, 2012
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Default
exposures (Note 3)

Manufacturing

17,090.4

1,331.7

608.5

21,343.9

433.9

Wholesale and retail

10,283.1

489.5

496.4

12,227.9

457.8

Construction

1,502.1

93.0

19.9

1,723.0

75.4

Finance and insurance

26,928.7

1,506.8

3,686.8

35,173.7

30.4

Real estate

10,553.5

275.1

100.0

11,024.7

222.5

Services

6,454.7

273.9

228.3

7,043.9

240.1

Transport

4,381.3

206.9

266.2

5,170.8

68.6

Individuals

21,697.6—

0.1

22,511.7

832.8

Governments and local authorities

20,790.3

62,644.4

61.9

87,973.9

0.0

Others17,800.5

2,097.2

931.2

31,893.4

313.5

Total

137,482.6

68,918.9

6,399.8

236,087.4

2,675.5
Billions of yen

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

Debt securities

OTC derivatives

Total

Default
exposures (Note 3)

Manufacturing

19,424.4

1,144.4

560.7

24,417.1

371.6

Wholesale and retail11,610.4

372.6

329.3

13,522.2

391.1

Construction

1,585.0

61.4

17.5

1,808.6

64.9

Finance and insurance

29,050.6

1,539.3

3,944.1

39,405.4

34.3

Real estate

11,493.9

221.7

96.8

11,972.3

245.6

Services

6,924.7

221.9

201.5

7,466.0

197.0

Transport

4,921.3

190.5

185.2

5,770.1

69.2

Individuals

22,198.3—

0.0

23,044.2

722.4

Governments and local authorities

22,844.2

59,384.9

55.9

91,975.6

0.0

Others

22,287.3

2,982.8

1,248.2

39,969.7

319.5

Total

152,340.6

66,119.96,639.7

259,351.7

2,415.9

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 central clearing houses.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. Figures for exposures past due three months or more or default exposures correspond to exposures as of the period-end where
the amount of the credit risk-weighted asset is computed assuming default in cases subject to the IRB Approach, and exposures
where the amount of the credit risk-weighted asset is computed assuming past-due loan exposure in cases subject to theStandardized Approach. Figures do not include any securitization exposures or exposures relating to central clearing houses.
4. Exposures held by certain subsidiaries whose credit risk weighted assets are considered minor relative to the overall total are
included in the “Others” category.

18

Basel III Disclosure(By residual contractual maturity)

Interim Fiscal 2013

Billions of yen

September 30, 2012
Credit risk exposures (Note 1)
Loans, etc. (Note 2)

Debt securities

OTC derivatives

Total

Due in 1 year or less

42,093.0

16,901.0

586.3

65,557.9

Due over 1 year to 3 years

16,262.1

15,035.9

1,110.3

32,468.7

Due over 3 years to 5 years

14,111.0

21,274.9

1,330.6

36,727.1

Due over 5 years to 7 years

5,326.4

3,375.8245.1

8,947.6

Due over 7 years

15,560.2

10,020.7

618.3

26,199.7

Others (Note 3)

44,129.7

2,310.3

2,509.0

66,186.3

Total

137,482.6

68,918.9

6,399.8

236,087.4
Billions of yen

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

Debt securities

OTC derivatives

Total

Due in 1 year or less

43,112.3

15,804.3

709.4

69,281.6

Due over 1 year to 3 years

21,654.0

12,871.8

1,558.2

36,185.9

Due over 3 years to 5 years

16,776.6

22,165.5

1,114.5

40,075.8

Due over 5 years to 7 years

5,644.1

5,430.4

152.2

11,227.1

Due over 7 years

17,258.7

6,846.2

594.7

24,699.9

Others (Note 3)

47,894.7

3,001.5

2,510.6

77,881.1

Total

152,340.6

66,119.96,639.7

259,351.7

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 central clearing houses.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. The “Others” category includes exposures of indeterminate maturity, etc. Exposures held by certain subsidiaries whose credit risk
weighted assets are considered minor relative to the overall total are included in the “Others” category.

19

Basel III Disclosure

Interim Fiscal 2013

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, 2012

Against March 31, 2012

September 30, 2013

Against March 31, 2013

General allowance for
credit losses

720,898(27,230)

659,908(69,172)

Specific allowance for
credit losses

368,595(6,422)306,891(50,734)

Domestic

325,588(8,774)

268,168(46,385)

Foreign

43,0062,351

38,722(4,349)Allowance for loans to specificforeign borrowers
Total

795

169

1,536

785

1,090,289(33,483)

968,335(119,121)(Balances by type of industry)

Millions of yen

September 30, 2012

Against March 31, 2012

September 30, 2013

Against March 31, 2013

General allowance for
credit losses

720,898(27,230)

659,908(69,172)

Specific allowance for
credit losses

368,595(6,422)306,891(50,734)

Manufacturing

92,50914,16353,736(35,887)

Wholesale and retail87,308

11,68580,424(3,050)Construction

11,730

3,113

7,998

(757)

Finance and insurance

14,095(2,295)

19,767

1,729

Real estate

20,066102

24,4493,597

Services

23,314(1,528)21,698(1,947)

Transport

15,321851

15,565(650)

Individuals

32,293(4,919)24,108(3,787)

Governments andlocal authorities
OthersAllowance for loans to
specific foreign borrowers
Total

4

(0)

4

(0)

71,949(27,595)

59,137(9,980)

795

169

1,536

785

1,090,289(33,483)

968,335(119,121)

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 III.
2. Industry classifications apply primarily to allowances related to exposures held by the Bank of Tokyo-Mitsubishi UFJ and Mitsubishi
UFJ Trust and Banking (both on a non-consolidated basis). The bulk of provisions relating to exposures held by other subsidiaries
are included in the “Others” category.

20

Basel III Disclosure

Interim Fiscal 2013

Loan charge-offs(By type of industry)

Millions of yen

FY2012 1H

FY2013 1H

Manufacturing

8,113

8,722

Wholesale and retail

9,710

13,761

Construction

1,023

1,136

(90)

(19)

Real estate

2,254

1,216

Services

1,533

5,222

Finance and insurance

Transport

554

695

Individuals

11,023

8,354

—

—

Others

16,513

10,897

Total

50,63649,987

Governments and local authorities

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

21Basel III Disclosure

Balances by risk weight category of exposures under theStandardized Approach

Interim Fiscal 2013

Billions of yen

September 30, 2012

September 30, 2013

Balances

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

Balances

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

Risk weight: 0%

2,011.6

834.0

3,135.5

1,729.0

Risk weight: 10%

149.0

—

276.4

—

Risk weight: 20%

4,535.0

4,270.6

5,171.7

5,007.7

Risk weight: 35%

1,555.1—

2,326.5—

Risk weight: 50%

364.6

364.2

335.3

335.2

Risk weight: 75%

1,191.3—

1,214.0—

Risk weight: 100%

9,207.4

127.2

12,123.1

132.9

Risk weight: 150%

44.4

0.0

55.8

1.8
—

Risk weight: 625%

0.0

—

0.0

Risk weight: 1,250%

0.0

—

5.6

—

Capital deductions

10.0

—

—

—

Others (Note 3)
Total

5.2

—

3.7

—

19,074.0

5,596.2

24,647.9

7,206.8

Notes: 1. Figures are taking into account the effects of credit risk mitigation techniques.
2. Figures do not contain any securitization exposures.
3. “Others” includes investment funds leveraged by debt loans, etc., for which the weighted average risk weight was 220% as of
September 30, 2012 and 219% as of September 30, 2013.

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

Billions of yen

September 30, 2012

September 30, 2013

276.2

321.9

Risk weight: 50%

26.2

17.1

Risk weight: 70%

98.0

101.4

Risk weight: 90%

31.9

95.9

Risk weight: 95%

41.0

9.0

Risk weight: 115%

13.0

7.7

Risk weight: 120%

26.7

67.4

Risk weight: 140%—

5.6

Risk weight: 250%

24.7

17.4

Risk weight: 0%

14.5

—

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

198.5

301.2

Risk weight: 300%

36.1

77.9

Risk weight: 400%

162.3

223.2

22

Basel III Disclosure

Interim Fiscal 2013

Exposures subject to the IRB Approach: corporate exposures

Billions of yen

September 30, 2012
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

56.14%

2,329.7

Borrower ratings 1~3

24,947.9

16,704.8

8,243.1

10,533.6

Borrower ratings 4~937,803.1

32,353.2

5,449.8

5,658.3

56.38%

2,259.6

Borrower ratings 10~11

4,970.0

4,376.6

593.4

267.3

57.16%

440.6

Borrower ratings 12~15

1,853.8

1,760.8

93.0

6.6

56.31%

89.2

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

Borrower ratings 1~3

0.11%

34.88%—

23.01%

Borrower ratings 4~90.84%

29.86%—

47.42%

Borrower ratings 10~11

12.05%

26.32%—

118.96%

Borrower ratings 12~15

100.00%42.14%

38.70%

46.92%

September 30, 2012

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD
Amount ofundrawn
commitments

Credit rating

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

30,003.5

19,622.8

10,380.7

13,349.1

56.21%

2,876.6

Borrower ratings 4~940,526.5

34,865.4

5,661.1

6,361.6

56.31%

2,078.7

Borrower ratings 10~11

4,564.9

4,102.0

462.8

256.1

56.16%

318.9

Borrower ratings 12~15

1,684.8

1,642.2

42.6

10.9

56.64%

36.4

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

Borrower ratings 1~30.10%

34.80%—

23.29%

Borrower ratings 4~90.80%

29.76%—

48.04%

September 30, 2013

Borrower ratings 10~11

11.02%

24.98%—

111.21%

Borrower ratings 12~15

100.00%39.90%

36.61%

45.23%

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

23

Basel III Disclosure

Interim Fiscal 2013

Exposures subject to the IRB Approach: sovereign exposures

Billions of yen

September 30, 2012
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Borrower ratings 1~3

89,840.3

Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

55.86%

13,046.9

76,199.3

13,641.0

1,063.5

Borrower ratings 4~9

364.0

325.4

38.6

40.8

55.86%

15.8

Borrower ratings 10~11

181.4

178.5

2.9

2.4

55.86%

1.5

Borrower ratings 12~15

23.6

22.7

0.8

—

—

0.8

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

Borrower ratings 1~3

0.00%

36.16%—

0.46%

September 30, 2012

Borrower ratings 4~90.71%

28.46%—

41.52%

Borrower ratings 10~1117.00%

5.18%—

28.78%

Borrower ratings 12~15

100.00%20.76%

18.27%

35.79%
Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD
Amount ofundrawn
commitments

Credit rating

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

95,486.0

82,769.2

12,716.8

1,218.4

55.89%

12,035.8

Borrower ratings 4~9

461.0

401.6

59.3

70.3

55.89%

20.0

Borrower ratings 10~11

123.9

121.6

2.3

0.6

55.89%

1.9

Borrower ratings 12~15

53.4

52.6

0.7

—

—

0.7

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Borrower ratings 1~3

0.00%

36.39%—

0.51%

Borrower ratings 4~90.72%

29.74%—

46.49%

September 30, 2013
Weighted
average
RW

Borrower ratings 10~11

14.41%

5.66%—

31.07%

Borrower ratings 12~15

100.00%14.57%

12.88%

22.73%

24

Basel III Disclosure

Interim Fiscal 2013

Exposures subject to the IRB Approach: bank exposures

Billions of yen

September 30, 2012
EAD
On balance sheet
EAD

Off balance sheet
EAD

Credit rating

Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

4,314.8

2,430.2

1,884.6

249.7

55.86%

1,745.1

Borrower ratings 4~92,698.6

1,434.4

1,264.2

102.4

55.20%

1,207.6

Borrower ratings 10~11

241.2

131.6

109.6

—

—

109.6

Borrower ratings 12~15

1.5

1.5

—

—

—

—

September 30, 2012

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

Borrower ratings 1~3

0.10%

32.01%—

18.61%

Borrower ratings 4~90.46%

29.59%—

27.78%

Borrower ratings 10~11

11.36%

31.65%—

75.05%

Borrower ratings 12~15

100.00%79.98%

77.98%

26.41%
Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD
Amount ofundrawn
commitments

Credit rating

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Borrower ratings 1~3

6,139.8

3,374.7

2,765.1

303.7

55.89%

2,595.3

Borrower ratings 4~92,343.3

1,341.0

1,002.3

114.3

56.20%

938.0

Borrower ratings 10~11

81.7

6.5

75.2

—

—

75.2

Borrower ratings 12~15

1.5

1.5

—

—

—

—

Credit rating

Weighted
average
PD

Weighted
average
LGD

Weighted
average
EL default

Weighted
average
RW

Borrower ratings 1~3

0.09%

32.03%—

24.71%

Borrower ratings 4~90.26%

30.84%—

29.06%

September 30, 2013

Borrower ratings 10~11

14.41%

26.41%—

147.84%

Borrower ratings 12~15

100.00%78.76%

77.17%

21.13%

25

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012
Amountof exposures

Weighted average
PD

Weighted average
RW

Borrower ratings 1~3

428.1

0.10%

141.56%

Borrower ratings 4~9

196.6

2.05%

282.99%Borrower ratings 10~11

4.3

8.77%

446.52%

Borrower ratings 12~15

1.0

100.00%/Credit rating

Billions of yen

September 30, 2013
Amountof exposures

Weighted average
PD

Weighted average
RW

Borrower ratings 1~3

543.9

0.09%

148.57%

Borrower ratings 4~91,364.5

0.42%

178.10%Credit rating

Borrower ratings 10~11

0.7

11.03%

605.48%Borrower ratings 12~15

0.6

100.00%1,192.50%

Note:	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.

26

Basel III Disclosure

Interim Fiscal 2013

Exposures subject to the IRB Approach: retail exposures

Billions of yen

September 30, 2012
EAD
On balance sheet
EAD

Off balance sheet
EAD
Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Residential mortgage

13,968.9

13,639.2

329.7

—

—

329.7

Non-defaulted

13,628.4

13,303.0

325.3

—

—

325.3

340.5

336.2

4.3

—

—

4.3

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

4,328.6

1,360.7

2,967.9

17,689.3

12.97%

51.6

4,190.4

1,222.8

2,967.5

17,685.4

12.97%

51.1

138.2

137.8

0.4

3.8

0.00%

0.4

2,110.1

914.4

1,195.7

4,333.8

0.69%

601.6

1,889.1

700.9

1,188.2

4,328.1

0.69%

594.1

221.0

213.5

7.5

5.6

0.13%

7.4

1,737.9

1,671.0

66.8

114.2

26.28%

36.8

1,726.6

1,660.1

66.4

114.2

26.28%

36.4

11.2

10.8

0.3

—

—

0.3

September 30, 2012
Number ofpools

Weighted average
PD

Weighted average
LGD

Weighted average
EL default

Weighted average
RW

Residential mortgage

131

3.40%

40.14%—

36.90%

Non-defaulted

93

0.98%

40.16%—

36.78%

38

99.98%

39.52%

36.41%

41.37%

72

4.06%

76.70%—

20.54%
21.14%

Defaulted
Qualifying revolving retailNon-defaulted

55

0.90%

76.79%—

Defaulted

17100.00%74.01%

79.01%

2.22%

182

12.48%

41.83%—

52.64%

Other retail (non-business)
Non-defaulted

112

2.24%

40.90%—

57.02%

Defaulted

7099.99%

49.82%

49.35%

15.21%

45

4.64%

21.24%—

28.95%

Non-defaulted

29

4.02%

20.95%—

28.84%

Defaulted

16100.00%64.78%

63.33%

45.80%

Other retail (business-related)

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.

27Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2013
EAD
On balance sheet
EAD

Off balance sheet
EAD
Amount ofundrawn
commitments

Weighted
average factor
on undrawn
commitments

Other
off balance
sheet
EAD

Residential mortgage

13,807.2

13,567.5

239.7

—

—

239.7

Non-defaulted

13,522.4

13,286.5

235.8

—

—

235.8

284.8

280.9

3.9

—

—

3.9

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

4,177.6

1,306.0

2,871.5

18,122.4

15.57%

49.6

4,051.7

1,180.5

2,871.1

18,118.3

15.57%

49.2

125.9

125.5

0.4

4.0

0.00%

0.4

1,995.4

903.1

1,092.3

4,283.5

13.59%

510.0

1,798.0

711.4

1,086.5

4,277.5

13.61%

504.2

197.4

191.6

5.8

5.9

0.06%

5.8

1,587.0

1,527.6

59.4

114.2

24.78%

31.0

1,577.2

1,518.1

59.0

114.2

24.78%

30.7

9.7

9.4

0.3

—

—

0.3

September 30, 2013
Number ofpools

Weighted average
PD

Weighted average
LGD

Weighted average
EL default

Weighted average
RW

Residential mortgage

122

3.00%

34.71%—

31.00%

Non-defaulted

84

0.95%

34.71%—

31.19%

38

99.97%

34.84%

33.22%

21.65%

72

3.82%

76.48%—

19.53%
20.07%

Defaulted
Qualifying revolving retailNon-defaulted

55

0.83%

76.58%—

Defaulted

17100.00%73.16%

78.16%

1.98%

172

11.95%

43.65%—

55.56%

Other retail (non-business)
Non-defaulted

100

2.28%

43.12%—

60.12%

Defaulted

72

100.00%48.51%

47.98%

14.00%

44

4.21%

20.50%—

26.54%

Non-defaulted

29

3.61%

20.22%—

26.32%

Defaulted

15100.00%65.25%

61.06%

61.03%

Other retail (business-related)

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.

28Basel III Disclosure

Interim Fiscal 2013

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

FY2006 actual losses
FY2006 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2007 actual losses
FY2007 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2008 actual losses
FY2008 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2009 actual losses
FY2009 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2010 actual losses
FY2010 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2011 actual losses
FY2011 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2012 actual losses
FY2012 estimated losses
Initial EAD
Estimated weighted
average PD
Estimated weighted
average LGD
FY2012:
Discussion of the factors

Millions of yen

Corporate
exposures

SovereignexposuresBank
exposures

Equityexposures
under PD/LGD
Approach

23,025
1,235,407
72,143,293(1,571)
18,10643,809,530(6,941)
14,417
16,865,540

84
173,180
375,755

26,72562,96814,985,264

—
—
—

5,940
108,1735,648,325

3.91%

0.09%

0.19%

51.21%

1.17%

—

5.21%

43.74%
70,776
1,200,881
66,584,415

44.79%(499)
13,051
39,998,750

45.16%(52)
15,572
19,100,674

90.00%
2,063
96,176520,68936.05%
12,64576,51813,705,023

—
—
—
—

36.78%
6,058
121,380
5,469,071

4.12%

0.07%

0.17%

20.52%

1.50%

—

5.60%

43.75%
367,111
993,791
70,710,242

44.96%(353)
18,38937,890,290

45.28%
24,30924,85019,877,135

90.00%
66,906
94,474
632,858

37.78%
26,21889,93814,243,086

—
—
—
—

39.56%
52,879112,0905,099,330

3.19%

0.10%

0.25%

16.58%

1.44%

—

5.27%

43.75%
374,658
1,040,595
74,113,431

44.96%(118)
47,332
55,115,408

41.89%
23,631
39,86312,125,418

90.00%
2,162
27,827
1,382,457

44.05%
28,922
101,070
14,240,099—
2,817
11,784
741,843

41.63%
20,19086,6983,877,135

3.78%

0.23%

0.88%

2.24%

1.66%

2.20%

5.98%

36.98%
161,997
1,202,669
70,981,831

38.47%(298)
31,084
65,386,649

37.47%(6,725)38,243
11,189,296

90.00%
238
7,631
1,531,399

43.02%
27,687143,096
14,527,802

72.32%
62,514
210,666
5,354,803

37.34%
23,460171,435
4,809,516

4.42%

0.12%

0.84%

0.55%

2.29%

4.74%

6.87%

38.14%
144,305
1,125,141
66,989,253

40.86%(214)
29,294
88,407,803

40.48%(4)29,545
12,816,541

90.00%
93
7,597
1,500,479

43.13%
29,023
216,949
14,368,724

82.68%
18,693
164,990
4,706,299

44.89%
23,826
182,613
4,739,835

4.39%

0.08%

0.58%

0.56%

3.27%

4.62%

7.89%

37.97%
108,263951,689
71,463,314

41.17%(133)
25,146
88,940,300

39.48%—
20,163
10,391,449

90.00%
121
5,194
672,20146.17%
21,068
206,700
14,064,062

75.77%
13,823
142,764
4,788,117

42.54%
7,377
157,993
4,022,364

3.91%

0.08%

0.58%

0.86%

3.52%

3.97%

9.37%

34.13%
37.94%
33.47%
90.00%
41.83%
75.17%
Actual losses on exposures were lower than initial estimated losses, reflecting
repayments on defaulted exposures and other factors such as loan normalization.

35.19%

Residential
mortgage
exposures

Qualifying
revolvingretailexposures

Other retail
exposures

Notes: 1. Actual losses include the following amounts related to defaulted exposures: write-offs against allowances, losses on the disposalof claims, debt forgiveness or loan waivers, and impairment losses on securities. Actual losses incurred by Mitsubishi UFJ Trust andBanking Corporation equal the aggregate figures for the banking account and for trust accounts for which repayment of theprincipal to the customers is guaranteed.
2. The initial EAD under FY2006 estimated losses was used for a preliminary calculation under the FIRB Approach at the end of
March 2006, and was not used to calculate an official figure of capital adequacy ratio.
3. Estimates for PD and LGD under FY2006 estimated losses were used for preliminary calculations under the FIRB Approach at theend of September 2006, and were not used to calculate official figures of capital adequacy ratio. Estimates for PD and LGD thatwere 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.

29

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012
Eligiblefinancial collateral

Guarantees

Creditderivatives/

5,006.8

218.9

Corporate exposures/

3,306.3

214.5

Sovereign exposures

/

489.6

1.2

Bank exposures

/

698.8

3.0

Residential mortgage exposures

/

—

—

Qualifying revolving retail exposures

/

—

—

/

512.0

—

7,089.6

222.0—

Portfolios under the AIRB Approach

Other retail exposures
Portfolios under the Standardized Approach

Billions of yen

September 30, 2013
Eligiblefinancial collateral

Guarantees

Creditderivatives/

5,612.1

191.3

Corporate exposures/

3,861.2

179.3

Sovereign exposures

/

549.0

9.8

Bank exposures

/

746.1

2.1

Residential mortgage exposures

/

—

—

Qualifying revolving retail exposures

/

—

—

Other retail exposures

/

455.7

—

9,322.0

161.3—

Portfolios under the AIRB Approach

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.

30Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012

September 30, 2013

Aggregated gross replacement costs

10,808.7

9,750.4

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

6,400.2

6,642.5

Foreign exchange and gold

4,641.9

6,197.3

Interest rate

11,654.4

9,224.1

Equity

78.3

159.8

Precious metals (except gold)

0.1—

Other commodities

209.1

293.9

Credit derivative

491.6

450.7

Long settlement transactions

0.3

2.8

(10,675.9)(9,686.4)

Collateral held

1,272.1

1,074.4

Deposits

654.1

414.1

Marketable securities

436.6

487.7

Others

181.3

172.4

Credit equivalent amounts after credit risk mitigation benefits due to collateral

5,928.1

6,236.4

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

6,955.6

6,906.8

3,512.3

3,679.9

Purchased credit protection through total return swaps

1.1

28.9

Purchased credit protection through credit options—

6.4

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

Purchased credit protection through credit default swaps

Purchased other credit protection
Provided credit protection through credit default swaps——

3,442.0

3,191.5

Provided credit protection through total return swaps——

Provided credit protection through credit options——

Provided other credit protection

—

—

802.0

780.7

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

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

31Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012

FY2012 1H

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

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

Underlying assets
relating 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)

1,744.7

—

6.9

—

2.5

Residential mortgage

1,635.6

—

6.9

—

2.1

66.6

—

—

—

0.4

Apartment loan

—

—

—

—

—

42.4

—

0.0

—

—

Synthetic securitizations

—

—

—

—

—

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

20,736.9

—

309.8

347.6

290.1

—

—

—

—

—

Credit card receivables
Other assets

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

—

—

—

—

—

Credit card receivables

9,974.6

—

132.9

196.0

233.7

Account receivables

5,684.1

—

171.2

141.4

53.2

Leasing receivables

673.9

—

0.0

0.0

1.0

Other assets

4,404.2

—

5.6

10.1

2.2

Total as an originator

22,481.7

—

316.7

347.6

292.7

Notes: 1. The amount of underlying assets relating to sponsor of ABCP programs includes underlying assets related to ABCP programs
sponsored by multiple financial institutions, including certain consolidated subsidiaries of MUFG.
2. The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization
conducted during this period were wholly transferred to third parties.
3. Figures show cumulative totals for this period of underlying assets either in default or contractually past due 3 months or morearising from securitization transactions in cases where the securitization exposures associated with a transaction conductedduring 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. L osses 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.

32

Basel III Disclosure

Interim Fiscal 2013

Information on underlying assets (continued)

Billions of yen

September 30, 2013

FY2013 1H

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

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

Underlying assets
relating 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)

1,428.3

—

3.7

—

2.0

Residential mortgage

1,428.3

—

3.7

—

2.0

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

Synthetic securitizations

—

—

—

—

—

Residential mortgage

—

—

—

—

—

Apartment loan

—

—

—

—

—

Credit card receivables

—

—

—

—

—

Other assets

—

—

—

—

—

18,279.5

—

267.1

575.1

323.6

—

—

—

—

—

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

—

—

—

—

—

Credit card receivables

3,351.8

—

34.0

167.9

105.7

Account receivables

8,366.9

—

220.5

170.6

176.4

Leasing receivables

1,560.1

—

0.7

0.2

1.2

Other assets

5,000.5

—

11.9

236.2

40.2

Total as an originator

19,707.8

—

270.9

575.1

325.6

Notes: 1. The amount of underlying assets relating to sponsor of ABCP programs includes underlying assets related to ABCP programs
sponsored by multiple financial institutions, including certain consolidated subsidiaries of MUFG.
2. The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization
conducted during this period were wholly transferred to third parties.
3. Figures show cumulative totals for this period of underlying assets either in default or contractually past due 3 months or morearising from securitization transactions in cases where the securitization exposures associated with a transaction conductedduring 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. L osses 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.

33

Basel III Disclosure

Interim Fiscal 2013

Information on underlying assets (continued)

Billions of yen

FY2012 1H

FY2013 1H

Cumulative amount ofunderlying assets
securitized
during the period

Recognized
gains or losses
in this period arisingfrom securitizationtransactions

Cumulative amount ofunderlying assets
securitized
during the period

Recognized
gains or losses
in this period arisingfrom securitizationtransactions

Traditional securitizations(asset transfer type)

—

—

—

—

Residential mortgage

—

—

—

—

Apartment loan

—

—

—

—

Credit card receivables

—

—

—

—

Other assets

—

—

—

—

Synthetic securitizations

—

/

—

/

Residential mortgage

—

/

—

/

Apartment loan

—

/

—

/

Credit card receivables

—

/

—

/

Other assets

—

/

—

/

Sponsor of asset-backed
commercial paper (ABCP)
program

57,429.9/

68,872.8/

Residential mortgage

—

/

—

/

Apartment loan

—

/

—

/

Credit card receivables

14,336.5/

5,564.6/

Account receivables

41,770.3/

61,147.2/

Leasing receivables

351.5

/

515.5

/

Other assets

971.5

/

1,645.3/

Total as an originator

57,429.9—

68,872.8—(Amount of assets held for the purpose of securitization)

Billions of yen

September 30, 2012

September 30, 2013
Bankingaccounts

Specifiedtradingaccounts

Total

2.1

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

2.1

—

2.1

—

—

—

Bankingaccounts

Specifiedtradingaccounts

Total

Residential mortgage

2.1—

Apartment loan——

Credit card receivables—

Account receivables—

Leasing receivables
Other assets
Total

34

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

Amount of securitization exposuresthat have been
deducted fromTier 1 capital(Amount equivalent to increase incapital) (Note 1)

Amount of securitization exposures
Other thanre-securitization exposure

Total as an originator

Re-securitization exposure

Capital deductions related tosecuritization
exposures(Note 2)

3,617.0

445.1

—

—

13.1

4.8

Traditional securitizations(asset transfer type)

588.6

—

—

—

13.1

4.8

Residential mortgage

492.8

—

—

—

13.1

0.0

Apartment loan

76.9

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

18.7

—

—

—

—

4.8

Synthetic securitizations

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Other assets

Credit card receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP)
program

3,028.4

445.1

—

—

—

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

532.2

122.2

—

—

—

—

Account receivables

1,159.5

247.7

—

—

—

—

Leasing receivables

330.4

6.2

—

—

—

—

Other assets

1,006.1

68.8

—

—

—

—

2,472.1

1.3

470.4

—

/

16.2

Residential mortgage

820.9

—

5.3

—

/

0.3

Apartment loan

48.8

—

1.8

—

/

0.3

Credit card receivables

20.4

—

—

—

/

—

1,112.5

1.3

457.8

—

/

1.9

469.4

—

5.3

—

/

13.5

As an investor

Corporate loans
Other assets

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

35

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2013

(Note 1)

Amount of securitization exposuresthat have been
deducted from Tier
1 capital (Amountequivalent toincrease in capital)(Note 2)

Amount of securitization exposures
Other thanre-securitization exposure

Total as an originator

Re-securitization exposure

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

Amount of securitization exposuressubject to a risk
weight of 1,250%

4,047.6

615.7

—

—

1.3

13.3

Traditional securitizations(asset transfer type)

488.5

—

—

—

0.0

13.3

Residential mortgage

488.5

—

—

—

0.0

13.3

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

Synthetic securitizations

—

—

—

—

—

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

—

—

—

—

—

—

Other assets

—

—

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP)
program

3,559.1

615.7

—

—

1.3

—

Residential mortgage

—

—

—

—

—

—

Apartment loan

—

—

—

—

—

—

Credit card receivables

538.4

206.6

—

—

—

—

Account receivables

1,285.5

330.1

—

—

—

—

Leasing receivables

367.4

20.7

—

—

—

—

Other assets

1,367.5

58.1

—

—

1.3

—

3,126.5

—

517.5

—

14.0

/

Residential mortgage

822.3

—

5.0

—

—

/

Apartment loan

31.8

—

1.5

—

—

/

Credit card receivables

2.4

—

—

—

—

/

1,635.9

—

507.8

—

2.5

/

634.0

—

3.1

—

11.5

/

As an investor

Corporate loans
Other assets

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

(Securitization exposures subject to early amortization provisions retained)		
In line with the provisions of Articles 230 & 248 of the FSA Holding Company Capital Adequacy Notification, as of September 30,
2012 and 2013, there were no securitization exposures subject to early amortization treatment that are retained by external investors and are used to calculate credit risk-weighted assets.

36Basel III Disclosure

Interim Fiscal 2013

(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, 2012
Other than re-securitization exposure
Amount of
securitization exposures

Capitalrequirement

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

3,617.0

445.1

125.4

5.9

588.6

—

79.1

—

—

—

—

—

Risk weight: over 20% to 50%

10.2

—

0.2

—

Risk weight: over 50% to 100%

149.4

—

10.0

—

Risk weight: over 100% to 250%

383.1

—

45.1

—

Risk weight: over 250% under 1,250%

40.8

—

18.8

—

Risk weight: 1,250%

4.8

—

4.8

—

Synthetic securitizations

—

—

—

—

Risk weight: to 20%

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

—

—

—

—

Risk weight: over 100% to 250%

—

—

—

—

Risk weight: over 250% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

3,028.4

445.1

46.3

5.9

2,286.9

379.5

16.2

3.1

Risk weight: over 20% to 50%

333.7

49.4

9.1

1.2

Risk weight: over 50% to 100%

336.1

13.2

10.5

1.0

Risk weight: over 100% to 250%

59.9

2.8

7.4

0.5

Risk weight: over 250% under 1,250%

11.6

—

3.0

—

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

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

Risk weight: 1,250%
As an investor
Risk weight: to 20%

—

—

—

—

2,473.7

1.3

47.1

0.0

2,157.7

1.3

15.5

0.0

Risk weight: over 20% to 50%

205.4

—

6.2

—

Risk weight: over 50% to 100%

68.3

—

4.5

—

Risk weight: over 100% to 250%

17.4

—

2.2

—

Risk weight: over 250% under 1,250%

8.6

—

2.4

—

Risk weight: 1,250%

16.1

—

16.1

—

37

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

September 30, 2012
Re-securitization exposure
Amount of
securitization exposures

Total as an originator
Traditional securitizations (asset transfer type)

Capitalrequirement

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Synthetic securitizations

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP) program

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

470.4

—

14.2

—

Risk weight: to 30%

412.5

—

8.5

—

Risk weight: over 30% to 150%

45.1

—

3.1

—

Risk weight: over 150% to 350%

11.9

—

2.1

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

0.5

—

0.2

—

Risk weight: 1,250%

0.1

—

0.1

—

As an investor

38Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

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

Total as an originator

Capitalrequirement

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

4,047.6

615.7

104.6

7.8

488.5

—

54.8

—

Risk weight: to 20%

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

69.2

—

4.4

—

Risk weight: over 100% to 250%

384.5

—

37.2

—

Risk weight: over 250% under 1,250%

34.6

—

13.1

—

Risk weight: 1,250%

0.0

—

0.0

—

Synthetic securitizations

—

—

—

—

Risk weight: to 20%

—

—

—

—

Risk weight: over 20% to 50%

—

—

—

—

Risk weight: over 50% to 100%

—

—

—

—

Risk weight: over 100% to 250%

—

—

—

—

Risk weight: over 250% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

3,559.1

615.7

49.8

7.8

2,972.4

478.7

20.2

3.0

Risk weight: over 20% to 50%

392.8

116.1

11.4

3.1

Risk weight: over 50% to 100%

119.1

14.0

7.1

1.0

Risk weight: over 100% to 250%

68.2

6.8

8.2

0.6

Risk weight: over 250% under 1,250%

5.0

—

1.3

—

Traditional securitizations (asset transfer type)

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

Risk weight: 1,250%
As an investor
Risk weight: to 20%

1.3

—

1.4

—

3,126.5

—

47.8

—

2,914.3

—

23.1

—

Risk weight: over 20% to 50%

120.3

—

3.5

—

Risk weight: over 50% to 100%

58.2

—

4.0

—

Risk weight: over 100% to 250%

16.8

—

2.2

—

Risk weight: over 250% under 1,250%

4.2

—

1.3

—

Risk weight: 1,250%

12.5

—

13.2

—

39

Basel III Disclosure

Interim Fiscal 2013

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

Billions of yen

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

Total as an originator
Traditional securitizations (asset transfer type)

Capitalrequirement

On balancesheet

Off balancesheet

On balancesheet

Off balance
sheet

—

—

—

—

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Synthetic securitizations

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

Sponsor of asset-backed
commercial paper (ABCP) program

—

—

—

—

Risk weight: to 30%

—

—

—

—

Risk weight: over 30% to 150%

—

—

—

—

Risk weight: over 150% to 350%

—

—

—

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

—

—

—

—

517.5

—

16.3

—

Risk weight: to 30%

461.6

—

9.5

—

Risk weight: over 30% to 150%

41.9

—

2.9

—

Risk weight: over 150% to 350%

12.4

—

2.2

—

Risk weight: over 350% to 500%

—

—

—

—

Risk weight: over 500% under 1,250%

—

—

—

—

Risk weight: 1,250%

1.5

—

1.6

—

As an investor(Application of credit risk mitigation methods to re-securitization exposures)
Not applicable as of September 30, 2012 and 2013.

40

Basel III Disclosure

Interim Fiscal 2013

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

September 30, 2012

September 30, 2013

As an originator

2.3—

As an investor

24.5

19.2

Total

26.9

19.2

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

Securitization Exposures (Subject to calculation of market risk equivalent amount)
Information on underlying assets
There were no securitization exposures during the first half of the fiscal year ended March 31, 2013 and as of September 30, 2012, andduring the first half of the fiscal year ending March 31, 2014 and as of September 30, 2013.

(Amount of assets held for the purpose of securitization)
There were no assets held for the purpose of securitization transactions as of September 30, 2012 and 2013.

Information on securitization exposures retained(By type of underlying asset)
There were no assets held as an originator as of September 30, 2012 and 2013.
Billions of yen

September 30, 2012

Other thanresecuritization
exposures

Resecuritization
exposures

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

Amount of securitization
exposures

September 30, 2013

Resecuritization
exposures

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

Capitaldeductions
related tosecuritization
exposures(Note 2)

Amount of securitization
exposures

Capitaldeductions
related tosecuritization
exposures(Note 2)Other thanresecuritization
exposures

23.0

—

/

—

33.9

—

/

—

Residential mortgage

0.0

—

/

—

0.0

—

/

—

Apartment loan

0.0

—

/

—

0.0

—

/

—

Credit card
receivables

0.0

—

/

—

0.0

—

/

—

Corporate loans

0.0

—

/

—

0.0

—

/

—

Other assets

23.0

—

/

—

33.9

—

/

—

As an investor

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

(Securitization exposures subject to early amortization provisions as an originator)
There were no securitization exposures subject to early amortization provisions as an originator as of September 30, 2012 and 2013.

41

Basel III Disclosure

Interim Fiscal 2013

(Amount of securitization exposures retained and the associated capital requirement for these exposures
broken down into a number of risk weight bands)
There was no securitization exposure as an originator as of September 30, 2012 and 2013.
Billions of yen

September 30, 2012
Other than re-securitization exposures
Amount of securitization exposures

23.0

Risk weight: to 1.6%
Risk weight: over 1.6% to 4%
Risk weight: over 4% to 8%

Re-securitization exposures

Capital requirement

Amount of securitization exposures

Capital requirement

0.9

—

—

0.0

0.0

—

—

20.0

0.7

—

—

3.0

0.2

—

—

Risk weight: over 8% to 20%

0.0

0.0

—

—

Risk weight: over 20% under 100%

0.0

0.0

—

—

Risk weight: 100%

0.0

0.0

—

—

As an investor

Billions of yen

September 30, 2013
Other than re-securitization exposures

As an investor

Amount of securitization exposures

Re-securitization exposures

Capital requirement

Amount of securitization exposures

Capital requirement

33.9

2.2

—

—

Risk weight: to 1.6%

22.0

0.0

—

—

Risk weight: over 1.6% to 4%

0.0

0.0

—

—

Risk weight: over 4% to 8%

0.0

0.0

—

—

Risk weight: over 8% to 20%

11.9

2.2

—

—

Risk weight: over 20% under 100%

0.0

0.0

—

—

Risk weight: 100%

0.0

0.0

—

—

(Securitization exposures subject to measurement of comprehensive risk)
There were no securitization exposures subject to measurement of comprehensive risk as of September 30, 2012 and 2013.

42

Basel III Disclosure

Interim Fiscal 2013Market Risk
Value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end• VaR for trading activities

Billions of yen

FY2012 H1
Average

OverallInterest rate

Maximum

Minimum

Sept. 30, 2012

FY2013 H1
Average

Maximum

Minimum

Sept. 30, 2013

8.49

11.02

6.55

7.71

22.25

29.50

17.87

18.12

7.90

10.03

6.47

7.17

18.33

21.93

14.62

16.43

Yen

4.38

6.46

2.71

3.63

10.12

14.07

6.91

8.30

U.S. dollar

2.83

5.05

1.89

3.27

6.94

11.12

3.95

6.57

Foreign exchange

2.71

4.49

1.10

1.94

8.14

15.30

3.75

4.82

Equities

0.56

3.50

0.12

0.44

1.82

5.64

0.79

1.76

Commodities

0.34

0.68

0.15

0.64

0.60

0.82

0.37

0.72

Less diversification effect(3.02)——(2.48)(6.64)——(5.61)

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

Stressed value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end
Billions of yen

FY2012 H1Stressed VaR

FY2013 H1

Average

Maximum

Minimum

Sept. 30, 2012

Average

Maximum

Minimum

Sept. 30, 2013

18.65

26.78

13.55

14.26

9.68

17.90

5.29

8.07

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

The amount of required capital related to additional risk and comprehensive risk as of the period-end, as
well as the maximum, minimum and average values for the amount of required capital for additional risk
and comprehensive risk during the disclosure period
Not applicable in the first half of the fiscal year ended March 31, 2013 and the first half of the fiscal year ending March 31, 2014.

43

Basel III Disclosure

Interim Fiscal 2013

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

Market Risk Backtesting(Oct. 2012–Sept. 2013)

Billions of Yen

12

Daily profit/loss

Daily profit/loss(Oct. 2011–Sept. 2012)
Case of losses exceeding VaR: 1

10
8
6
4
0

6

0

–2

–3

–4
–6

–6

–8

–9

–10
0

2

4

6

8

10

VaR

–12

12

0

2

4

6

8

10

VaR

12

Note:	Actual trading losses never significantly exceeded VaRthroughout the period studied.

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

VaR and Daily Profit/Loss for Trading Activities

VaR and Daily Profit/Loss for Trading Activities(Oct. 2011–Sept. 2012)12(Oct. 2012–Sept. 2013)

Billions of Yen
12

Billions of Yen
Daily profit/loss

Daily profit/loss

10

9

8
6

6

4

3

2

0

0
–2

–3

–4

–6

–6
–8

–9

–10
–12

Case of losses exceeding VaR: 1
9

3

2

–12

Billions of Yen

12

VaR shown on a negative scale
Oct. 2011

VaR shown on a negative scale–12

Sep. 2012

Oct. 2012

Note:	Actual trading losses never significantly exceeded VaRthroughout the period studied.

Sept. 2013

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

44Basel III Disclosure

Interim Fiscal 2013

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

September 30, 2012
Marketvalue

Marketvalue

3,020.5

3,020.5

4,594.5

4,594.5

372.1

—

336.0

—

3,392.7—

4,930.6—

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

September 30, 2013
Amount on
consolidatedbalance sheet

Amount on
consolidatedbalance sheet

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

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

Millions of yen

FY2012 H1Exposures to equities

FY2013 H1

Gains on sales

Losses on sales

Write-offs

Gains on sales

Losses on sales

Write-offs

22,543(9,222)(186,887)

61,854(7,587)(10,818)

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, 2012

Exposures to equities

September 30, 2013

Acquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains or losses

Acquisition
cost

Amount on
consolidatedbalance sheet

Unrealized
gains or losses

2,927.1

3,020.5

93.4

2,960.7

4,594.5

1,633.7

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

Unrealized gains or losses not recognized either on consolidated balance sheet oron consolidated statement of income
Not applicable as of September 30, 2012 and 2013.

45

Basel III Disclosure

Equity exposures subject to transitional arrangements (grandfathering provisions)Interim Fiscal 2013

Billions of yen

September 30, 2012

September 30, 2013

Exposures to publicly traded equities subject totransitional arrangements

2,721.1

4,125.5

Equity exposures other than above subject totransitional arrangements

223.8

205.8

2,944.9

4,331.3

Total

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

Exposures Relating to Funds
Exposures relating to funds

Billions of yen

September 30, 2012

September 30, 2013

2,028.6

2,508.3

1,961.3

2,456.9

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

31.0

35.1

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

13.8

8.9

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

15.4

6.0

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

6.3

0.5

Exposures not included in any category above (Note 5)

0.6

0.6

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

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

46

Basel III Disclosure

Interim Fiscal 2013

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

FY2012 H1
Average

Maximum

Minimum

Sept. 30, 2012

FY2013 H1
Average

Maximum

Minimum

Sept. 30, 2013

Interest rate

434.6

467.5

402.3

415.7

401.9

452.4

341.9

369.2

Yen

212.2

245.6

190.3

198.6

233.4

276.4

195.5

205.4

U.S. dollar

274.7

300.2

251.6

251.6

184.1

223.6

137.7

176.9

Euro

41.4

70.1

9.0

57.7

102.0

118.2

79.1

107.1

Equities

66.2

79.5

57.9

61.8

143.4

176.8

100.6

173.4

Overall

443.3

473.0

413.3

413.4

412.0

450.9

361.3

387.2

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

Outlier ratio
Outlier ratio

September 30, 2012

September 30, 2013

9.73%

7.18%

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

47