Edgar Filing: MIZUHO FINANCIAL GROUP INC

FORM 6-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 6-K

REPORT OF FOREIGN PRIVATE ISSUER

PURSUANT TO RULE 13a-16 OR 15d-16

UNDER THE SECURITIES EXCHANGE ACT OF 1934

For the month of January 2018

Commission File Number 001-33098

Mizuho Financial Group, Inc.

(Translation of registrant’s name into English)

5-5, Otemachi 1-chome

Chiyoda-ku, Tokyo 100-8176

Japan

(Address of principal executive office)

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

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

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

Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.

Yes ☐ No ☒

If “Yes” is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b):82- .

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Date:		January 30, 2018

Mizuho Financial Group, Inc.

By:		/s/ Makoto Umemiya
Name:		Makoto Umemiya
Title:		Managing Executive Officer / Group CFO

The following is the English translation of excerpt regarding the Basel Pillar 3 disclosures and the relevant information from our Japanese language disclosure material published in January 2018.

The Japanese regulatory disclosure requirements are fulfilled with the Basel Pillar 3 disclosures and Japanese GAAP is applied to the relevant financial information.

In this report, “we,” “us,” and “our” refer to Mizuho Financial Group, Inc. and, unless the context indicates otherwise, its consolidated subsidiaries. “Mizuho Financial Group” refers to Mizuho Financial Group, Inc.

Status of Capital Adequacy


Capital adequacy requirement highlights			2

∎ Capital adequacy ratio			2

∎ Risk weighted assets			4

Status of Mizuho Financial Group’s consolidated capital adequacy			5

∎ Scope of consolidation			5
(1) Scope of consolidation for calculating consolidated capital adequacy ratio

∎ Composition of capital			6
(2) Composition of capital, etc.

∎ Risk-based capital			18
(3) Required capital by portfolio classification

∎ Credit risk			20
(4) Credit risk exposure, etc.

∎ Methods for credit risk mitigation			37
(5) Credit risk mitigation by portfolio classification

∎ Counterparty risk in derivatives transactions and long-settlement transactions			39
(6) Status of counterparty risk in derivatives transactions and long-settlement transactions

∎ Securitization exposure			41
(7) Quantitative disclosure items for securitization exposure

∎ Market risk			56

∎ Equity exposure in banking book			58
(8) Status of equity exposure in banking book

∎ Composition of Leverage Ratio			60

Status of Sound Management of Liquidity Risk



Liquidity Coverage Ratio			61

Status of Major Liquid Assets			64

Capital adequacy requirement highlights

The Basel Framework, based on the “International Convergence of Capital Measurement and Capital Standards: A Revised Framework” issued by the Basel Committee on Banking Supervision, requires the disclosure of capital adequacy information to ensure the enhanced effectiveness of market discipline. Our disclosure is made under the “Matters Separately Prescribed by the Commissioner of the Financial Services Agency Regarding Capital Adequacy Conditions, etc. pursuant to Article 19-2, Paragraph 1, Item 5, Subitem (d) , etc. of the Ordinance for Enforcement of the Banking Law (Ministry of Finance Ordinance No. 10 of 1982)” (the FSA Notice No. 7 of 2014.).

With respect to the calculation of capital adequacy ratio, we have applied the international standard and adopted (a) the advanced internal ratings-based approach as a method to calculate the amount of credit risk weighted assets and (b) the advanced measurement approach as a method to calculate the amount equivalent to the operational risk.

∎ Capital adequacy ratio

(1) Summary of capital adequacy ratio


Mizuho Financial Group (Consolidated)
	(Billions of yen)
	As of September 30, 2016			As of September 30, 2017
Total capital ratio (International standard)		15.84	%		17.74	%
Tier 1 capital ratio		12.94	%		14.59	%
Common equity Tier 1 capital ratio		10.98	%		11.80	%

Total capital		9,767.8			10,946.6

Tier 1 capital		7,982.5			9,004.8
Common equity Tier 1 capital		6,769.3			7,280.5

Risk weighted assets		61,648.4			61,695.5

Credit risk		56,576.9			56,082.3
Market risk		1,917.2			2,239.7
Operational risk		3,154.3			3,373.3

Mizuho Bank (Consolidated)
	(Billions of yen)
	As of September 30, 2016			As of September 30, 2017
Total capital ratio (International standard)		16.01	%		18.16	%
Tier 1 capital ratio		13.22	%		14.87	%
Common equity Tier 1 capital ratio		11.02	%		11.76	%

Total capital		9,012.1			10,192.5

Tier 1 capital		7,440.1			8,348.6
Common equity Tier 1 capital		6,202.3			6,603.6

Risk weighted assets		56,261.3			56,107.0

Credit risk		53,098.7			52,159.2
Market risk		878.1			1,474.7
Operational risk		2,284.4			2,473.0

Mizuho Bank (Non-Consolidated)
	(Billions of yen)
	As of September 30, 2016			As of September 30, 2017
Total capital ratio (International standard)		16.37	%		18.52	%
Tier 1 capital ratio		13.39	%		15.08	%
Common equity Tier 1 capital ratio		11.06	%		11.81	%

Total capital		8,846.2			9,948.9

Tier 1 capital		7,238.5			8,101.0
Common equity Tier 1 capital		5,976.5			6,347.4

Risk weighted assets		54,032.8			53,719.6

Credit risk		51,520.2			50,759.4
Market risk		627.9			921.5
Operational risk		1,884.6			2,038.7


Mizuho Trust & Banking (Consolidated)
	(Billions of yen)
	As of September 30, 2016			As of September 30, 2017
Total capital ratio (International standard)		19.95	%		20.68	%
Tier 1 capital ratio		18.80	%		19.95	%
Common equity Tier 1 capital ratio		18.80	%		19.95	%

Total capital		479.1			504.5

Tier 1 capital		451.6			486.7
Common equity Tier 1 capital		451.6			486.7

Risk weighted assets		2,401.3			2,438.7

Credit risk		2,125.7			2,163.4
Market risk		13.0			9.5
Operational risk		262.5			265.8

Mizuho Trust & Banking (Non-consolidated)
	(Billions of yen)
	As of September 30, 2016			As of September 30, 2017
Total capital ratio (International standard)		20.16	%		20.99	%
Tier 1 capital ratio		19.05	%		20.28	%
Common equity Tier 1 capital ratio		19.05	%		20.28	%

Total capital		488.5			511.3

Tier 1 capital		461.6			494.0
Common equity Tier 1 capital		461.6			494.0

Risk weighted assets		2,422.8			2,435.8

Credit risk		2,184.4			2,201.2
Market risk		11.3			8.1
Operational risk		227.1			226.4

∎ Risk weighted assets

(1) Credit risk weighted assets by asset class and ratings segment

Mizuho Financial Group (Consolidated)


	(Billions of yen)
	As of September 30, 2016						As of September 30, 2017
	EAD		Credit risk weighted assets		Risk Weight(%)		EAD		Credit risk weighted assets		Risk Weight(%)
Internal ratings-based approach		184,252.0		49,590.8		26.91		188,644.2		50,102.5		26.55

Corporate, etc.		159,867.8		31,109.7		19.45		163,110.6		30,839.0		18.90
Corporate (except specialized lending)		74,556.7		28,326.4		37.99		78,267.6		28,172.9		35.99
Ratings A1-B2		52,669.8		14,471.9		27.47		56,939.5		14,611.7		25.66
Ratings C1-D3		19,719.8		11,915.4		60.42		19,491.2		11,691.7		59.98
Ratings E1-E2		1,155.8		1,577.9		136.51		1,242.9		1,659.9		133.55
Ratings E2R-H1		1,011.2		361.1		35.71		593.9		209.5		35.28
Sovereign		78,802.5		1,067.1		1.35		79,046.8		1,097.1		1.38
Ratings A1-B2		78,683.1		991.9		1.26		78,923.2		1,018.9		1.29
Ratings C1-D3		118.9		74.3		62.52		123.2		77.5		62.96
Ratings E1-E2		0.4		0.7		181.13		0.3		0.5		143.05
Ratings E2R-H1		0.0		0.0		62.70		0.0		0.0		40.48
Bank		6,358.3		1,557.8		24.50		5,622.1		1,385.0		24.63
Ratings A1-B2		5,814.0		1,225.7		21.08		5,057.2		1,078.5		21.32
Ratings C1-D3		537.4		320.5		59.63		563.3		306.0		54.32
Ratings E1-E2		4.1		10.7		258.09		0.0		0.0		184.04
Ratings E2R-H1		2.6		0.7		30.20		1.4		0.4		29.54
Specialized lending		150.2		158.1		105.31		173.9		183.9		105.71
Retail		12,530.7		4,726.6		37.72		11,935.7		4,464.1		37.40
Residential mortgage		9,562.8		3,195.3		33.41		9,218.6		3,105.6		33.68
Qualifying revolving loan		588.6		383.2		65.10		654.7		435.1		66.46
Other retail		2,379.3		1,148.0		48.25		2,062.3		923.3		44.76
Equities		4,359.0		7,386.0		169.44		5,337.7		8,973.4		168.11
PD/LGD approach		3,715.4		5,298.7		142.61		4,221.3		5,367.5		127.15
Market-based approach		643.6		2,087.2		324.29		1,116.3		3,605.9		323.01
Regarded-method exposure		1,871.5		4,223.2		225.65		1,839.1		3,574.3		194.35
Securitizations		3,439.9		269.6		7.83		4,247.9		369.2		8.69
Others		2,182.9		1,875.5		85.92		2,173.0		1,882.3		86.62

Standardized approach		13,081.9		3,575.8		27.33		17,523.9		3,544.0		20.22

CVA risk		n.a.		3,188.2		n.a.		n.a.		2,216.1		n.a.

Central counterparty-related		n.a.		221.9		n.a.		n.a.		219.5		n.a.

Total		197,334.0		56,576.9		28.67		206,168.1		56,082.3		27.20


Notes:

1.		“Corporate” does not include specialized lending exposure under supervisory slotting criteria.

2.		“Specialized lending” is specialized lending exposure under supervisory slotting criteria.

Risk weighted assets decreased by 494.6 billion yen from the previous year to 56,082.3 billion yen due to the effects of changes in our methods of measuring derivatives transactions and fund transactions which were offset in part by the effects of the increase in stock prices.

Status of Mizuho Financial Group’s consolidated capital adequacy

∎ Scope of consolidation

(1) Scope of consolidation for calculating consolidated capital adequacy ratio

(A) Difference from the companies included in the scope of consolidation based on consolidation rules for preparation of consolidated financial statements (the “scope of accounting consolidation”)

None as of September 30, 2016 and 2017.

(B) Number of consolidated subsidiaries


	As of September 30, 2016		As of September 30, 2017
Consolidated subsidiaries		142		130

Our major consolidated subsidiaries (and their main businesses) are Mizuho Bank, Ltd. (banking business), Mizuho Trust & Banking Co., Ltd. (trust business and banking business) and Mizuho Securities Co., Ltd. (securities business).

(C) Corporations providing financial services for which Article 9 of the FSA Notice No. 20 is applicable

None as of September 30, 2016 and 2017.

(D) Companies that are in the bank holding company’s corporate group but not included in the scope of accounting consolidation and companies that are not in the bank holding company’s corporate group but included in the scope of accounting consolidation

None as of September 30, 2016 and 2017.

(E) Restrictions on transfer of funds or capital within the bank holding company’s corporate group

None as of September 30, 2016 and 2017.

(F) Names of any other financial institutions, etc., classified as subsidiaries or other members of the bank holding company that are deficient in regulatory capital

None as of September 30, 2016 and 2017.

∎ Composition of capital

(2) Composition of capital, etc.

(A) Composition of capital disclosure

Composition of capital disclosure (International standard)


			(Millions of yen)
			As of September 30, 2016				As of September 30, 2017
Basel III template					Amounts excluded under transitional arrangements					Amounts excluded under transitional arrangements
Common equity Tier 1 capital: instruments and reserves		(1)
1a+2-1c-26	Directly issued qualifying common share capital plus related stock surplus and retained earnings			6,730,792		/		7,126,803			/
1a	of which: capital and stock surplus			3,367,574		/		3,391,317			/
2	of which: retained earnings			3,463,490		/		3,837,147			/
1c	of which: treasury stock (-)			5,098		/		6,475			/
26	of which: national specific regulatory adjustments (earnings to be distributed) (-)			95,173		/		95,186			/
	of which: other than above			—		/		—			/
1b	Subscription rights to common shares			1,754		/		1,173			/
3	Accumulated other comprehensive income and other disclosed reserves			856,425		570,950		1,296,157			324,039
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)			14,954		/		14,173			/
	Total of items included in common equity Tier 1 capital: instruments and reserves subject to phase-out arrangements			33,263		/		23,889			/
	of which: amount allowed in group CET1 capital subject to phase-out arrangements on common share capital issued by subsidiaries and held by third parties			33,263		/		23,889			/
6	Common equity Tier 1 capital: instruments and reserves	(A)		7,637,189		/		8,462,197			/
Common equity Tier 1 capital: regulatory adjustments		(2)
8+9	Total intangible assets (net of related tax liability, excluding those relating to mortgage servicing rights)			383,779		255,853		635,819			158,954
8	of which: goodwill (net of related tax liability, including those equivalent)			30,506		20,337		73,542			18,385
9	of which: other intangibles other than goodwill and mortgage servicing rights (net of related tax liability)			353,273		235,515		562,276			140,569
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability)			35,461		23,641		35,022			8,755
11	Deferred gains or losses on derivatives under hedge accounting			100,246		66,831		(6,171	)		(1,542	)
12	Shortfall of eligible provisions to expected losses			40,278		26,855		31,942			7,990
13	Securitization gain on sale			46		30		45			11
14	Gains and losses due to changes in own credit risk on fair valued liabilities			1,047		698		1,856			464
15	Net defined benefit asset			280,679		187,119		458,030			114,507
16	Investments in own shares (excluding those reported in the net assets section)			1,594		1,062		4,373			1,093


17	Reciprocal cross-holdings in common equity		—		—	—		—
18	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 the issued share capital (amount above the 10% threshold)		24,658		16,438	20,679		5,169
19+20+21	Amount exceeding the 10% threshold on specified items		—		—	—		—
19	of which: significant investments in the common stock of financials		—		—	—		—
20	of which: mortgage servicing rights		—		—	—		—
21	of which: deferred tax assets arising from temporary differences (net of related tax liability)		—		—	—		—
22	Amount exceeding the 15% threshold on specified items		—		—	—		—
23	of which: significant investments in the common stock of financials		—		—	—		—
24	of which: mortgage servicing rights		—		—	—		—
25	of which: deferred tax assets arising from temporary differences (net of related tax liability)		—		—	—		—
27	Regulatory adjustments applied to common equity Tier 1 due to insufficient additional Tier 1 and Tier 2 to cover deductions		—		/	—		/
28	Common equity Tier 1 capital: regulatory adjustments	(B)	867,792		/	1,181,599		/
Common equity Tier 1 capital (CET1)
29	Common equity Tier 1 capital (CET1) ((A)-(B))	(C)	6,769,396		/	7,280,598		/
Additional Tier 1 capital: instruments		(3)
30 31a	Directly issued qualifying additional Tier 1 instruments plus related stock surplus of which: classified as equity under applicable accounting standards and the breakdown		—		/	—		/
30 31b	Subscription rights to additional Tier 1 instruments		—		/	—		/
30 32	Directly issued qualifying additional Tier 1 instruments plus related stock surplus of which: classified as liabilities under applicable accounting standards		760,000		/	1,220,000		/
30	Qualifying additional Tier 1 instruments plus related stock surplus issued by special purpose vehicles and other equivalent entities		—		/	—		/
34-35	Additional Tier 1 instruments issued by subsidiaries and held by third parties (amount allowed in group AT1)		30,890		/	30,283		/
33+35	Eligible Tier 1 capital instruments subject to phase-out arrangements included in additional Tier 1 capital: instruments		577,500		/	577,500		/
33	of which: directly issued capital instruments subject to phase out from additional Tier 1		577,500		/	577,500		/
35	of which: instruments issued by subsidiaries subject to phase out		—		/	—		/
	Total of items included in additional Tier 1 capital: instruments subject to phase-out arrangements		(34,360	)	/	(15,115	)	/
	of which: foreign currency translation adjustments		(34,360	)	/	(15,115	)	/
36	Additional Tier 1 capital: instruments	(D)	1,334,030		/	1,812,667		/
Additional Tier 1 capital: regulatory adjustments
37	Investments in own additional Tier 1 instruments		—		—	—		—
38	Reciprocal cross-holdings in additional Tier 1 instruments		—		—	—		—


39	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 the issued common share capital of the entity (amount above 10% threshold)		66	44	97	24
40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)		88,200	58,800	58,800	14,700
	Total of items included in additional Tier 1 capital: regulatory adjustments subject to phase-out arrangements		32,630	/	29,557	/
	of which: goodwill equivalent		9,078	/	14,508	/
	of which: intangible fixed assets recognized as a result of a merger		10,095	/	11,044	/
	of which: capital increase due to securitization transactions		30	/	11	/
	of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach		13,426	/	3,992	/
42	Regulatory adjustments applied to additional Tier 1 due to insufficient Tier 2 to cover deductions		—	/	—	/
43	Additional Tier 1 capital: regulatory adjustments	(E)	120,897	/	88,455	/
Additional Tier 1 capital (AT1)
44	Additional Tier 1 capital ((D)-(E))	(F)	1,213,132	/	1,724,212	/
Tier 1 capital (T1 = CET1 + AT1)
45	Tier 1 capital (T1 = CET1 + AT1) ((C)+(F))	(G)	7,982,529	/	9,004,810	/
Tier 2 capital: instruments and provisions		(4)
46	Directly issued qualifying Tier 2 instruments plus related stock surplus of which: classified as equity under applicable accounting standards and the breakdown		—	/	—	/
46	Subscription rights to Tier 2 instruments		—	/	—	/
46	Directly issued qualifying Tier 2 instruments plus related stock surplus of which: classified as liabilities under applicable accounting standards		495,840	/	828,555	/
46	Tier 2 instruments plus related stock surplus issued by special purpose vehicles and other equivalent entities		151,680	/	169,110	/
48-49	Tier 2 instruments issued by subsidiaries and held by third parties (amount allowed in group Tier 2)		10,481	/	10,117	/
47+49	Eligible Tier 2 capital instruments subject to phase-out arrangements included in Tier 2: instruments and provisions		884,083	/	768,789	/
47	of which: directly issued capital instruments subject to phase out from Tier 2		151,680	/	162,256	/
49	of which: instruments issued by subsidiaries subject to phase out		732,403	/	606,532	/
50	Total of general allowance for loan losses and eligible provisions included in Tier 2		5,726	/	4,639	/
50a	of which: general allowance for loan losses		5,726	/	4,639	/
50b	of which: eligible provisions		—	/	—	/
	Total of items included in Tier 2 capital: instruments and provisions subject to phase-out arrangements		333,124	/	193,665	/
	of which: 45% of unrealized gains on other securities		294,596	/	174,670	/
	of which: 45% of revaluation reserve for land		38,527	/	18,994	/
51	Tier 2 capital: instruments and provisions	(H)	1,880,935	/	1,974,876	/


Tier 2 capital: regulatory adjustments
52	Investments in own Tier 2 instruments		209		139	1,658		414
53	Reciprocal cross-holdings in Tier 2 instruments		—		—	—		—
54	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 the issued common share capital of the entity (amount above the 10% threshold)		11,541		7,694	8,678		2,169
55	Significant investments in the capital banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions)		—		—	—		—
	Total of items included in Tier 2 capital: regulatory adjustments subject to phase-out arrangements		83,844		/	22,675		/
	of which: investments in the capital banking, financial and insurance entities		70,418		/	18,682		/
	of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach		13,426		/	3,992		/
57	Tier 2 capital: regulatory adjustments	(I)	95,596		/	33,011		/
Tier 2 capital (T2)
58	Tier 2 capital (T2) ((H)-(I))	(J)	1,785,339		/	1,941,864		/
Total capital (TC = T1 + T2)
59	Total capital (TC = T1 + T2) ((G)+(J))	(K)	9,767,868		/	10,946,675		/
Risk weighted assets		(5)
	Total of items included in risk weighted assets subject to phase-out arrangements		473,144		/	262,706		/
	of which: intangible assets (net of related tax liability, excluding those relating to mortgage servicing rights)		225,420		/	129,524		/
	of which: deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability)		23,641		/	8,755		/
	of which: net defined benefit asset		187,119		/	114,507		/
	of which: investments in the capital banking, financial and insurance entities		36,963		/	9,918		/
60	Risk weighted assets	(L)	61,648,482		/	61,695,509		/
Capital ratio (consolidated)
61	Common equity Tier 1 capital ratio (consolidated) ((C)/(L))		10.98	%	/	11.80	%	/
62	Tier 1 capital ratio (consolidated) ((G)/(L))		12.94	%	/	14.59	%	/
63	Total capital ratio (consolidated) ((K)/(L))		15.84	%	/	17.74	%	/
Regulatory adjustments		(6)
72	Non-significant investments in the capital of other financials that are below the thresholds for deduction (before risk weighting)		676,959		/	731,117		/
73	Significant investments in the common stock of financials that are below the thresholds for deduction (before risk weighting)		117,422		/	127,552		/
74	Mortgage servicing rights that are below the thresholds for deduction (before risk weighting)		—		/	—		/
75	Deferred tax assets arising from temporary differences that are below the thresholds for deduction (before risk weighting)		122,634		/	176,254		/
Provisions included in Tier 2 capital: instruments and provisions		(7)


76	Provisions (general allowance for loan losses)		5,726	/	4,639	/
77	Cap on inclusion of provisions (general allowance for loan losses)		46,690	/	46,794	/
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) (if the amount is negative, report as “nil”)		—	/	—	/
79	Cap for inclusion of provisions in Tier 2 under internal ratings-based approach		296,588	/	299,418	/
Capital instruments subject to phase-out arrangements		(8)
82	Current cap on AT1 instruments subject to phase-out arrangements		1,249,883	/	1,041,569	/
83	Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) (if the amount is negative, report as “nil”)		—	/	—	/
84	Current cap on T2 instruments subject to phase-out arrangements		1,012,236	/	843,530	/
85	Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) (if the amount is negative, report as “nil”)		—	/	—	/


Notes:

1.		The above figures are calculated based on International standard applied on a consolidated basis under the FSA Notice No. 20.

2.		In calculating the consolidated capital adequacy ratio, we underwent an examination following the procedures agreed with Ernst & Young ShinNihon LLC, on the basis of “Treatment in implementing examination by agreed-upon procedures for calculating capital adequacy ratio” (Industry Committee Practical Guideline No. 30 of the Japanese Institute of Certified Public Accountants). Note that this is not a part of the accounting audit performed on our consolidated financial statements. This consists of an examination under agreed-upon procedures performed by Ernst & Young ShinNihon LLC on a portion of the internal control structure concerning the calculation of the capital adequacy ratio and a report of the results to us. As such, they do not represent an opinion regarding the capital adequacy ratio itself nor the internal controls related to the calculation of the capital adequacy ratio.

(B) Explanation of (A) Composition of capital disclosure

Reconciliation between “Consolidated balance sheet” and items of consolidated balance sheet and “Composition of capital disclosure”


	(Millions of yen)
Items	Consolidated balance sheet as in published financial statements						Cross- reference to Appended	Reference # of Basel III template under the Composition of capital
	As of September 30, 2016			As of September 30, 2017			template	disclosure
(Assets)
Cash and due from banks		42,715,384			50,982,819
Call loans and bills purchased		899,865			894,076
Receivables under resale agreements		9,258,984			9,408,646
Guarantee deposits paid under securities borrowing transactions		3,195,977			3,585,209
Other debt purchased		2,527,270			2,666,336
Trading assets		12,511,953			12,465,215		6-a
Money held in trust		227,975			269,577
Securities		32,705,104			32,072,076		2-b, 6-b
Loans and bills discounted		73,030,669			79,811,834		6-c
Foreign exchange assets		1,452,483			1,951,926
Derivatives other than for trading assets		2,957,197			1,844,878		6-d
Other assets		4,272,085			5,299,252		6-e
Tangible fixed assets		1,071,524			1,113,753
Intangible fixed assets		869,070			1,083,617		2-a
Net defined benefit asset		673,562			824,534		3
Deferred tax assets		77,011			56,567		4-a
Customers’ liabilities for acceptances and guarantees		4,675,296			5,543,662
Reserves for possible losses on loans		(441,438	)		(364,743	)

Total assets		192,679,978			209,509,243

(Liabilities)
Deposits		110,171,994			124,646,612
Negotiable certificates of deposit		9,568,325			11,992,948
Call money and bills sold		1,791,651			1,602,970
Payables under repurchase agreements		17,739,258			19,521,855
Guarantee deposits received under securities lending transactions		1,314,573			2,640,306
Commercial paper		827,552			339,787
Trading liabilities		9,878,751			7,815,999		6-f
Borrowed money		7,243,394			5,353,682		8-a
Foreign exchange liabilities		582,971			426,712
Short-term bonds		408,033			122,566
Bonds and notes		7,131,121			8,060,465		8-b
Due to trust accounts		4,053,768			4,692,390
Derivatives other than for trading liabilities		2,001,471			1,656,576		6-g
Other liabilities		5,755,737			4,902,561
Reserve for bonus payments		47,174			46,173
Reserve for variable compensation		1,488			1,614
Net defined benefit liability		52,668			56,163
Reserve for director and corporate auditor retirement benefits		1,376			1,284
Reserve for possible losses on sales of loans		3			124
Reserve for contingencies		4,889			5,473
Reserve for reimbursement of deposits		15,828			19,378
Reserve for reimbursement of debentures		35,273			28,132
Reserves under special laws		2,219			2,285
Deferred tax liabilities		337,644			369,526		4-b
Deferred tax liabilities for revaluation reserve for land		67,247			66,237		4-c
Acceptances and guarantees		4,675,296			5,543,662

Total liabilities		183,709,717			199,915,493



(Net assets)
Common stock and preferred stock	2,256,275		2,256,548		1-a
Capital surplus	1,111,299		1,134,768		1-b
Retained earnings	3,464,082		3,837,710		1-c
Treasury stock	(5,098	)	(6,475	)	1-d

Total shareholders’ equity	6,826,558		7,222,552

Net unrealized gains (losses) on other securities	1,134,348		1,409,766
Deferred gains or losses on hedges	167,078		(7,714	)	5
Revaluation reserve for land	146,794		144,817
Foreign currency translation adjustments	(85,900	)	(75,579	)
Remeasurements of defined benefit plans	65,055		148,906

Total accumulated other comprehensive income	1,427,376		1,620,196			3

Stock acquisition rights	1,754		1,173			1b
Non-controlling interests	714,572		749,827		7

Total net assets	8,970,260		9,593,750

Total liabilities and net assets	192,679,978		209,509,243

Note:

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

Appended template

1. Shareholders’ equity

(1) Consolidated balance sheet


		(Millions of yen)
Ref.	Consolidated balance sheet items	As of September 30, 2016			As of September 30, 2017			Remarks
1-a	Common stock and preferred stock		2,256,275			2,256,548
1-b	Capital surplus		1,111,299			1,134,768
1-c	Retained earnings		3,464,082			3,837,710
1-d	Treasury stock		(5,098	)		(6,475	)
	Total shareholders’ equity		6,826,558			7,222,552

(2) Composition of capital

Basel III template		(Millions of yen)
Basel III template	Composition of capital disclosure	As of September 30, 2016			As of September 30, 2017			Remarks
	Directly issued qualifying common share capital plus related stock surplus and retained earnings		6,825,966			7,221,989		Shareholders’ equity attributable to common shares (before adjusting national specific regulatory adjustments (earnings to be distributed))
1a	of which: capital and stock surplus		3,367,574			3,391,317
2	of which: retained earnings		3,463,490			3,837,147
1c	of which: treasury stock (-)		5,098			6,475
	of which: other than above		—			—
31a	Directly issued qualifying additional Tier 1 instruments plus related stock surplus of which: classified as equity under applicable accounting standards and the breakdown		—			—

2. Intangible fixed assets

(1) Consolidated balance sheet

		(Millions of yen)
Ref.	Consolidated balance sheet items	As of September 30, 2016			As of September 30, 2017			Remarks
2-a	Intangible fixed assets		869,070			1,083,617
2-b	Securities		32,705,104			32,072,076
	of which: share of goodwill of companies accounted for using the equity method		28,147			19,383		Share of goodwill of companies accounted for using the equity method
	Income taxes related to above		(257,585	)		(308,227	)


(2) Composition of capital

Basel III template		(Millions of yen)
Basel III template	Composition of capital disclosure	As of September 30, 2016			As of September 30, 2017			Remarks
8	Goodwill (net of related tax liability, including those equivalent)		50,844			91,928
9	Other intangibles other than goodwill and mortgage servicing rights (net of related tax liability)		588,788			702,845		Software and other
	Mortgage servicing rights (net of related tax liability)		—			—
20	Amount exceeding the 10% threshold on specified items		—			—
24	Amount exceeding the 15% threshold on specified items		—			—
74	Mortgage servicing rights that are below the thresholds for deduction (before risk weighting)		—			—
3. Net defined benefit asset
(1) Consolidated balance sheet
		(Millions of yen)
Ref.	Consolidated balance sheet items	As of September 30, 2016			As of September 30, 2017			Remarks
3	Net defined benefit asset		673,562			824,534
	Income taxes related to above		(205,762	)		(251,996	)
(2) Composition of capital
Basel III template		(Millions of yen)
Basel III template	Composition of capital disclosure	As of September 30, 2016			As of September 30, 2017			Remarks
15	Net defined benefit asset		467,799			572,538
4. Deferred tax assets
(1) Consolidated balance sheet
		(Millions of yen)
Ref.	Consolidated balance sheet items	As of September 30, 2016			As of September 30, 2017			Remarks
4-a	Deferred tax assets		77,011			56,567
4-b	Deferred tax liabilities		337,644			369,526
4-c	Deferred tax liabilities for revaluation reserve for land		67,247			66,237
	Tax effects on intangible fixed assets		257,585			308,227
	Tax effects on net defined benefit asset		205,762			251,996

(2) Composition of capital

Basel III

(Millions of yen)

template

Composition of capital disclosure

As of September 30, 2016

As of September 30, 2017

Remarks

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

59,102

43,777

This item does not agree with the amount reported on the consolidated balance sheet due to offsetting of assets and liabilities.

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

122,634

176,254

This item does not agree with the amount reported on the consolidated balance sheet due to offsetting of assets and liabilities.

Amount exceeding the 10% threshold on specified items

—

Amount exceeding the 15% threshold on specified items

—

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

122,634

176,254

5. Deferred gains or losses on derivatives under hedge accounting

(1) Consolidated balance sheet

Ref.

Consolidated balance sheet items

(Millions of yen)

As of September 30, 2016

As of September 30, 2017

Remarks

Deferred gains or losses on hedges

167,078

(7,714

)

(2) Composition of capital

Basel III
template

Composition of capital disclosure

(Millions of yen)

As of September 30, 2016

As of September 30, 2017

Remarks

Deferred gains or losses on derivatives under hedge accounting

167,078

(7,714

)

6. Items associated with investments in the capital of financial institutions

(1) Consolidated balance sheet

(Millions of yen)

Ref.

Consolidated balance sheet items

As of September 30, 2016

As of September 30, 2017

Remarks

6-a

Trading assets

12,511,953

12,465,215

Including trading account securities and derivatives for trading assets

6-b

Securities

32,705,104

32,072,076

6-c

Loans and bills discounted

73,030,669

79,811,834

Including subordinated loans

6-d

Derivatives other than for trading assets

2,957,197

1,844,878

6-e

Other assets

4,272,085

5,299,252

Including money invested

6-f

Trading liabilities

9,878,751

7,815,999

Including trading account securities sold

6-g

Derivatives other than for trading liabilities

2,001,471

1,656,576


(2) Composition of capital
Basel III		(Millions of yen)
template	Composition of capital disclosure	As of September 30, 2016		As of September 30, 2017		Remarks
	Investments in own capital instruments		3,006		7,540
16	Common equity Tier 1 capital		2,657		5,467
37	Additional Tier 1 capital		—		—
52	Tier 2 capital		348		2,073
	Reciprocal cross-holdings in the capital of banking, financial and insurance entities		—		—
17	Common equity Tier 1 capital		—		—
38	Additional Tier 1 capital		—		—
53	Tier 2 capital		—		—
	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 the issued share capital (amount above 10% threshold)		737,403		767,936
18	Common equity Tier 1 capital		41,097		25,849
39	Additional Tier 1 capital		110		122
54	Tier 2 capital		19,236		10,848
72	Non-significant investments in the capital of other financials that are below the thresholds for deduction (before risk weighting)		676,959		731,117
	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions		264,422		201,052
19	Amount exceeding the 10% threshold on specified items		—		—
23	Amount exceeding the 15% threshold on specified items		—		—
40	Additional Tier 1 capital		147,000		73,500
55	Tier 2 capital		—		—
73	Significant investments in the common stock of financials that are below the thresholds for deduction (before risk weighting)		117,422		127,552
7. Non-Controlling Interests
(1) Consolidated balance sheet
		(Millions of yen)
Ref.	Consolidated balance sheet items	As of September 30, 2016		As of September 30, 2017		Remarks
7	Non-Controlling Interests		714,572		749,827

(2) Composition of capital

Basel III
template

(Millions of yen)

Composition of capital disclosure

As of September 30, 2016

As of September 30, 2017

Remarks

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

14,954

14,173

After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

30-

31ab-32

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

—

After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

34-35

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

30,890

30,283

After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

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

151,680

169,110

After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

48-49

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

10,481

10,117

After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

8. Other capital instruments

(1) Consolidated balance sheet

(Millions of yen)

Ref.

Consolidated balance sheet items

As of September 30, 2016

As of September 30, 2017

Remarks

8-a

Borrowed money

7,243,394

5,353,682

8-b

Bonds and notes

7,131,121

8,060,465

Total

14,374,515

13,414,148

(2) Composition of capital

Basel III
template

(Millions of yen)

Composition of capital disclosure

As of September 30, 2016

As of September 30, 2017

Remarks

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

760,000

1,220,000

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

495,840

828,555


Note:

		Amounts in the “Composition of capital disclosure” are based on those before considering amounts under transitional arrangements and include “Amounts excluded under transitional arrangements” disclosed in “(A) Composition of capital disclosure” as well as amounts included as regulatory capital. In addition, items for regulatory purposes under transitional arrangements are excluded from this table.

∎ Risk-based capital

(3) Required capital by portfolio classification


	(Billions of yen)
	As of September 30, 2016				As of September 30, 2017
	EAD		Required capital		EAD		Required capital
Credit risk		197,334.0		5,130.6		209,935.3		4,969.2

Internal ratings-based approach		184,252.0		4,571.8		188,644.2		4,490.8
Corporate (except specialized lending)		68,405.7		2,436.8		71,846.4		2,341.2
Corporate (specialized lending)		3,573.4		233.1		3,667.5		207.4
Sovereign		78,539.5		85.1		78,714.9		85.7
Bank		6,345.7		129.7		5,597.9		114.1
Retail		12,530.7		508.5		11,935.7		476.3
Residential mortgage		9,562.8		325.5		9,218.6		311.0
Qualifying revolving loan		588.6		45.1		654.7		51.2
Other retail		2,379.3		137.8		2,062.3		113.9
Equities		4,359.0		590.8		5,337.7		717.8
PD/LGD approach		3,715.4		423.9		4,221.3		429.4
Market-based approach (simple risk weight method)		643.6		166.9		1,116.3		288.4
Market-based approach (internal models approach)		—		—		—		—
Regarded-method exposure		1,871.5		338.8		1,839.1		287.7
Purchase receivables		3,003.3		94.1		3,283.7		96.8
Securitizations		3,439.9		21.5		4,247.9		29.5
Others		2,182.9		132.9		2,173.0		133.7

Standardized approach		13,081.9		286.0		21,291.0		283.5
Sovereign		8,030.9		10.4		16,494.8		9.6
Bank		2,047.8		37.4		1,711.4		34.2
Corporate		2,280.3		173.4		2,487.5		185.9
Residential mortgage		—		—		—		—
Securitizations		19.5		3.6		13.7		2.2
Others		703.2		61.0		583.5		51.4

CVA risk		n.a.		255.0		n.a.		177.2

Central counterparty-related		n.a.		17.7		n.a.		17.5

Market risk		n.a.		153.3		n.a.		179.1

Standardized approach		n.a.		83.2		n.a.		103.5
Interest rate risk		n.a.		45.6		n.a.		45.0
Equities risk		n.a.		27.4		n.a.		36.8
Foreign exchange risk		n.a.		4.4		n.a.		7.2
Commodities risk		n.a.		5.5		n.a.		14.3
Option transactions		n.a.		—		n.a.		—

Internal models approach		n.a.		70.1		n.a.		75.6

Operational risk		n.a.		252.3		n.a.		269.8

Advanced measurement approach		n.a.		211.2		n.a.		222.3
Basic indicator approach		n.a.		41.0		n.a.		47.5

Total required capital (consolidated)		n.a.		4,931.8		n.a.		4,935.6


Notes:

1.		EAD: Exposure at default.

2.		PD: Probability of default.

3.		LGD: Loss given default.

4.		Required capital: For credit risk, the sum of (i) 8% of credit risk-weighted assets, (ii) expected losses and (iii) deductions from capital. For market risk, the market risk equivalent amount. For operational risk, the operational risk equivalent amount.

5.		Total required capital (consolidated): 8% of the denominator of the capital adequacy ratio.

6.		The major exposures included in each portfolio classification of internal ratings-based approach are as follows:


Corporate (except specialized lending)		Credits to corporations and sole proprietors (excluding credits to retail customers)

Corporate (specialized lending)		Credits which limit interest and principal repayment sources to cash flow derived from specific real estate, chattel, businesses, etc, including real estate non-recourse loan, ship finance and project finance, etc.

Sovereign		Credits to central governments, central banks and local governmental entities

Bank		Credits to banks and securities companies, etc.

Retail		Housing loans (residential mortgage), credit card loans (qualifying revolving retail loan) and other individual consumer loans and loans to business enterprises with total credit amount of less than ¥100 million, etc. (other retail).

Equities		Capital stock, preferred securities, perpetual subordinated debt, etc. (excluding trading assets) Either the PD/LGD approach or the market-based approach is applied to equities following the termination of the transitional measurement.

Regarded-method exposure		Investment trusts and funds, etc.

Purchase receivables		Receivables purchased from third parties excluding securities (excluding securitizations)

Securitizations		Transactions in the form of “non-recourse” and having a “senior/subordinated structure,” etc. (excluding specialized lending).




7.		EAD calculated using the standardized approach for credit risk represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs.

∎ Credit risk

(4) Credit risk exposure, etc.

We exclude regarded-method exposure and securitization exposure from the amount of credit risk exposure.

The outstanding balance is based on exposure at default.

No significant difference exists between period-end credit risk position and the average credit risk position during the twelve months ended September 30, 2016 and 2017.

● Status of credit risk exposure

(A) Breakdown by geographical area


	(Billions of yen)
	As of September 30, 2016
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Domestic		68,313.7		19,716.7		1,594.5		34,363.5		123,988.6

Overseas		34,707.5		9,962.2		2,741.8		7,540.4		54,952.0
Asia		8,303.1		1,969.2		399.8		1,445.3		12,117.6
Central and South America		2,879.4		53.8		138.4		442.0		3,513.7
North America		14,036.2		6,115.7		756.6		5,159.4		26,068.1
Eastern Europe		254.8		—		0.3		6.0		261.1
Western Europe		5,988.7		1,374.7		1,246.0		319.4		8,928.9
Other areas		3,244.9		448.6		200.4		168.1		4,062.2

Total		103,021.2		29,678.9		4,336.4		41,903.9		178,940.6

Exempt portion		n.a.		n.a.		n.a.		n.a.		13,062.3


	(Billions of yen)
	As of September 30, 2017
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Domestic		65,345.0		18,158.0		871.9		39,615.7		123,990.8

Overseas		36,878.9		10,739.0		1,641.1		9,307.2		58,566.3
Asia		9,490.6		1,994.1		459.9		2,087.8		14,032.5
Central and South America		2,904.4		52.7		87.2		498.8		3,543.3
North America		13,951.5		6,727.2		296.3		5,338.8		26,313.9
Eastern Europe		265.1		—		0.0		12.8		278.0
Western Europe		6,316.0		1,052.7		642.3		1,139.0		9,150.3
Other areas		3,951.1		911.9		155.1		229.7		5,248.0

Total		102,224.0		28,897.0		2,513.1		48,923.0		182,557.2

Exempt portion		n.a.		n.a.		n.a.		n.a.		21,277.3


Notes:

1.		Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.

2.		Exposure to non-Japanese residents is included in “Overseas.”

3.		“Others” include cash, deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

(B) Breakdown by industry


	(Billions of yen)
	As of September 30, 2016
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Manufacturing		18,941.2		2,189.3		568.9		611.5		22,311.0
Construction		1,335.8		195.4		13.6		42.2		1,587.1
Real estate		8,443.5		561.7		105.3		21.8		9.132.4
Service industries		4,805.7		367.1		97.4		58.9		5,329.2
Wholesale and retail		8,147.0		699.4		190.9		867.5		9,905.0
Finance and insurance		11,058.2		3,035.4		2,046.9		1,708.9		17,849.6
Individuals		11,300.9		—		0.7		9.6		11,311.3
Other industries		25,087.3		8,794.4		1,283.4		8,274.4		43,439.7
Japanese Government; Bank of Japan		13,901.2		13,835.9		28.9		30,308.6		58,074.8

Total		103,021.2		29,678.9		4,336.4		41,903.9		178,940.6

Exempt portion		n.a.		n.a.		n.a.		n.a.		13,062.3


	(Billions of yen)
	As of September 30, 2017
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Manufacturing		20,132.4		2,357.3		376.3		797.0		23,663.1
Construction		1,303.1		235.7		5.6		56.4		1,601.0
Real estate		8,767.7		607.8		86.8		28.3		9,490.7
Service industries		5,120.9		416.0		75.9		66.8		5,679.8
Wholesale and retail		8,342.4		715.6		91.3		1,045.8		10,195.2
Finance and insurance		12,384.9		2,858.2		958.6		1,993.9		18,195.7
Individuals		10,838.8		—		1.1		10.8		10,850.8
Other industries		25,002.2		9,587.2		911.4		9,561.4		45,062.4
Japanese Government; Bank of Japan		10,331.2		12,118.9		5.6		35,362.2		57,818.1

Total		102,224.0		28,897.0		2,513.1		48,923.0		182,557.2

Exempt portion		n.a.		n.a.		n.a.		n.a.		21,277.3


Notes:

1.		Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.

2.		“Others” include cash, deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

(C) Breakdown by residual contractual maturity


	(Billions of yen)
	As of September 30, 2016
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Less than one year		26,916.3		4,998.9		795.3		4,742.9		37,453.6
From one year to less than three years		18,402.2		9,757.2		1,578.6		558.4		30,296.4
From three years to less than five years		18,442.1		2,961.1		678.5		20.9		22,102.7
Five years or more		27,232.4		7,631.2		1,262.5		15.1		36,141.4
Other than above		12,028.0		4,330.3		21.3		36,566.4		52,946.2

Total		103.021.2		29,678.9		4,336.4		41,903.9		178,940.6

Exempt portion		n.a.		n.a.		n.a.		n.a.		13,062.3


	(Billions of yen)
	As of September 30, 2017
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Less than one year		28,314.0		7,894.8		330.2		6,066.0		42,605.2
From one year to less than three years		18,857.1		5,377.3		1,047.1		678.3		25,960.0
From three years to less than five years		18,634.9		2,931.4		454.2		13.6		22,034.4
Five years or more		26,858.1		7,493.5		681.4		18.5		35.051.7
Other than above		9,559.6		5,199.7		—		42,146.3		56,905.7

Total		102,224.0		28,897.0		2,513.1		48,923.0		182,557.2

Exempt portion		n.a.		n.a.		n.a.		n.a.		21,277.3


Notes:

1.		Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.

2.		“Others” include cash, deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

● Status of exposure past due three months or more or in default

(D) Breakdown by geographical area


	(Billions of yen)
	As of September 30, 2016
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Domestic		1,004.0		76.2		3.4		13.0		1,096.8

Overseas		200.7		2.8		7.7		2.5		213.8
Asia		49.9		0.0		0.5		0.4		50.9
Central and South America		54.8		0.0		3.0		0.0		57.8
North America		20.2		2.8		—		1.3		24.4
Eastern Europe		1.4		—		0.0		—		1.5
Western Europe		53.0		0.0		4.2		0.5		57.7
Other areas		21.2		—		—		0.1		21.3

Total		1,204.7		79.1		11.2		15.5		1,310.7

Exempt portion		n.a.		n.a.		n.a.		n.a.		3.6


	(Billions of yen)
	As of September 30, 2017
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Domestic		582.5		6.6		1.4		9.5		600.1

Overseas		200.6		2.8		7.3		3.2		214.1
Asia		41.7		0.0		1.5		1.1		44.4
Central and South America		90.6		0.0		2.9		0.0		93.6
North America		23.1		2.8		0.0		1.4		27.5
Eastern Europe		0.5		—		0.0		—		0.5
Western Europe		33.1		0.0		2.7		0.5		36.4
Other areas		11.4		—		0.0		0.1		11.5

Total		783.2		9.5		8.7		12.7		814.2

Exempt portion		n.a.		n.a.		n.a.		n.a.		3.6


Notes:

1.		Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.

2.		Exposure to non-Japanese residents is included in “Overseas.”

3.		“Others” include deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

(E) Breakdown by industry


	(Billions of yen)
	As of September 30, 2016
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Manufacturing		529.9		72.9		1.8		4.1		608.9
Construction		15.1		0.0		—		0.4		15.6
Real estate		67.5		0.5		0.1		0.2		68.4
Service industries		83.5		0.4		0.7		1.6		86.4
Wholesale and retail		187.9		2.1		0.7		5.1		195.9
Finance and insurance		10.1		2.5		1.0		1.8		15.5
Individuals		103.1		—		—		1.1		104.2
Other industries		207.4		0.3		6.7		0.8		215.4

Total		1,204.7		79.1		11.2		15.5		1,310.7

Exempt portion		n.a.		n.a.		n.a.		n.a.		3.6


	(Billions of yen)
	As of September 30, 2017
	Loans, commitments and other non-derivative off-balance-sheet exposures		Securities		Derivatives		Others		Total
Manufacturing		174.9		3.4		1.4		4.4		184.2
Construction		9.1		0.0		—		0.0		9.1
Real estate		56.0		0.3		0.3		0.1		56.7
Service industries		73.3		0.5		0.4		0.7		75.0
Wholesale and retail		171.0		2.1		0.2		3.3		176.7
Finance and insurance		11.4		2.7		0.0		1.7		15.9
Individuals		87.6		—		—		0.9		88.5
Other industries		199.7		0.4		6.3		1.2		207.7

Total		783.2		9.5		8.7		12.7		814.2

Exempt portion		n.a.		n.a.		n.a.		n.a.		3.6


Notes:

1.		Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.

2.		“Others” include deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

● Status of reserves for possible losses on loans

The amounts associated with regarded-method exposure and securitization exposure are excluded.

(F) Period-end balances of reserves for possible losses on loans and changes during the six-month period

(after partial direct write-offs)


	(Billions of yen)
	As of, or for the six months ended, September 30, 2016		As of, or for the six months ended, September 30, 2017
General reserve for possible losses on loans
Beginning balance		304.8		344.7
Increase during the six-month period		287.8		218.3
Decrease during the six-month period		304.8		344.7
Ending balance		287.8		218.3

Specific reserve for possible losses on loans
Beginning balance		154.6		164.4
Increase during the six-month period		153.5		146.4
Decrease during the six-month period		154.6		164.4
Ending balance		153.5		146.4

Reserve for possible losses on loans to restructuring countries
Beginning balance		0.0		0.0
Increase during the six-month period		0.0		0.0
Decrease during the six-month period		0.0		0.0
Ending balance		0.0		0.0

Total
Beginning balance		459.5		509.1
Increase during the six-month period		441.4		364.7
Decrease during the six-month period		459.5		509.1
Ending balance		441.4		364.7


Note:

		General reserve for possible losses on loans in the above table represents the amount recorded in our consolidated balance sheet, and the amounts associated with regarded-method exposure and securitization exposure are not excluded.

(G) Specific reserve for possible losses on loans by geographical area and industry


	(Billions of yen)
	As of March 31, 2016		As of September 30, 2016		Change
Domestic		96.2		97.3		1.1
Manufacturing		27.2		31.4		4.1
Construction		3.1		2.0		(1.0	)
Real estate		2.3		1.9		(0.3	)
Service industries		11.5		11.2		(0.2	)
Wholesale and retail		28.8		29.9		1.0
Finance and insurance		0.6		0.6		(0.0	)
Individuals		17.3		16.2		(1.1	)
Other industries		5.0		3.8		(1.2	)

Overseas		49.1		46.9		(2.1	)

Exempt portion		9.3		9.2		(0.0	)

Total		154.6		153.5		(1.1	)

	(Billions of yen)
	As of March 31, 2017		As of September 30, 2017		Change
Domestic		105.0		92.1		(12.8	)
Manufacturing		36.4		32.9		(3.5	)
Construction		0.8		0.7		(0.1	)
Real estate		1.9		1.9		(0.0	)
Service industries		12.6		7.1		(5.5	)
Wholesale and retail		33.4		32.3		(1.1	)
Finance and insurance		0.5		1.1		0.5
Individuals		14.1		11.1		(2.9	)
Other industries		4.8		4.9		0.0

Overseas		49.2		44.0		(5.1	)

Exempt portion		10.1		10.2		0.0

Total		164.4		146.4		(18.0	)


Note:

		Exempt portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for purposes of calculating credit risk-weighted assets.

(H) Write-offs of loans by industry


	(Billions of yen)
	For the six months ended September 30, 2016		For the six months ended September 30, 2017
Manufacturing		0.4		0.1
Construction		0.2		0.0
Real estate		0.4		0.1
Service industries		1.7		1.1
Wholesale and retail		1.4		4.2
Finance and insurance		—		0.0
Individuals		2.2		1.8
Other industries		3.7		1.9

Exempt portion		0.0		0.1

Total		10.4		9.7


Notes:

1.		The above table represents the breakdown of losses on write-offs of loans recorded in our consolidated statement of income after excluding the amounts associated with regarded-method exposure and securitization exposure.

2.		Exempt portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for purposes of calculating credit risk-weighted assets.

3.		“Other industries” include overseas and non-Japanese resident portions.

● Status of exposure to which the standardized approach is applied

(I) Exposure by risk weight category after applying credit risk mitigation


	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Off-balance sheet		Total		With external rating
0%		6,564.1		1,132.7		7,696.8		68.5
10%		174.3		—		174.3		—
20%		1,194.4		790.3		1,984.7		48.6
35%		—		—		—		—
50%		27.0		42.1		69.1		29.1
100%		1,958.2		1,129.8		3,088.0		101.2
150%		0.0		—		0.0		—
250%		49.0		—		49.0		—
350%		—		—		—		—
625%		—		0.0		0.0		—
937.5%		—		0.0		0.0		—
1,250%		—		0.0		0.0		—

Total		9,967.3		3,095.0		13,062.3		247.6

	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Off-balance sheet		Total		With external rating
0%		14,418.3		1,423.6		15,841.9		79.8
10%		497.0		—		497.0		—
20%		970.9		631.1		1,602.1		45.2
35%		—		—		—		—
50%		92.4		33.5		126.0		53.5
100%		1,766.7		1,394.5		3,161.2		61.3
150%		0.0		—		0.0		—
250%		48.8		—		48.8		—
350%		—		—		—		—
625%		—		0.0		0.0		—
937.5%		—		0.0		0.0		—
1,250%		—		0.0		0.0		—

Total		17,794.4		3,482.9		21,277.3		239.9


Notes:

1.		The amounts in the above table are before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs.

2.		Off-balance-sheet exposure shows credit equivalent amount.

(J) Amount of exposure to which a risk weight of 1,250% is applied


	(Billions of yen)
	As of September 30, 2016		As of September 30, 2017
Amount of exposure to which a risk weight of 1,250% is applied		0.2		0.3

● Status of exposure to which the internal ratings-based approach is applied

(K) Specialized lending exposure under supervisory slotting criteria by risk weight category


	(Billions of yen)
Risk weight	As of September 30, 2016		As of September 30, 2017
50%		0.4		—
70%		39.3		50.4
90%		—		—
95%		59.0		59.5
115%		4.7		11.8
120%		9.8		13.2
140%		4.2		14.4
250%		16.8		12.6
Default		15.6		11.5

Total		150.2		173.9

(L) Equity exposure under simple risk weight method of market-based approach by risk weight category


	(Billions of yen)
Risk weight	As of September 30, 2016		As of September 30, 2017
300%		575.3		1,057.4
400%		68.2		58.9

Total		643.6		1,116.3


Note:		Of the equity exposure under the simple risk weight method, a risk weight of 300% is applied for listed equities and 400% for unlisted equities.

(M) Portfolio by asset class and ratings segment (Corporate, etc.)


	(Billions of yen, except percentages)
	As of September 30, 2016
	PD (EAD weighted average) (%)		LGD (EAD weighted average) (%)		EL default (EAD weighted average) (%)		Risk weight (EAD weighted average) (%)		EAD (Billions of yen)						Amount of undrawn commitments		Weighted average of credit conversion factor (%)

											On-balance sheet		Off-balance sheet
Corporate		1.86		36.42		n.a.		37.99		74,556.7		54,207.8		20,348.9		20,409.1		74.99
Investment grade zone		0.10		38.15		n.a.		27.48		52,669.8		36,091.8		16,578.0		16.889.4		74.99
Non-investment grade zone		1.53		32.06		n.a.		64.64		20,875.6		17,250.2		3,625.4		3,362.5		75.00
Default		100.00		36.08		33.39		35.72		1,011.2		865.7		145.5		157.1		75.00

Sovereign		0.01		38.29		n.a.		1.35		78,802.5		65,732.1		13,070.4		669.1		75.00
Investment grade zone		0.00		38.29		n.a.		1.26		78,683.1		65,616.9		13,066.2		666.7		75.00
Non-investment grade zone		0.82		38.11		n.a.		62.93		119.3		115.1		4.2		2.4		75.00
Default		100.00		56.91		52.18		62.70		0.0		0.0		—		—		—

Bank		0.18		35.11		n.a.		24.50		6,358.3		3,497.2		2,861.0		636.4		75.00
Investment grade zone		0.09		34.91		n.a.		21.08		5,814.0		3,065.4		2,748.6		552.3		75.00
Non-investment grade zone		0.70		36.92		n.a.		61.17		541.6		430.2		111.3		84.0		75.00
Default		100.00		97.07		94.79		30.21		2.6		1.5		1.0		—		—

Equity exposure under PD/LGD approach		2.14		90.00		n.a.		142.62		3,715.4		3,700.0		15.3		—		—
Investment grade zone		0.07		90.00		n.a.		111.89		3,382.7		3,367.4		15.3		—		—
Non-investment grade zone		1.10		90.00		n.a.		242.04		258.1		258.1		—		—		—
Default		100.00		90.00		n.a.		1,192.50		74.5		74.5		—		—		—

Total		0.91		38.49		n.a.		22.18		163,433.0		127,137.2		36,295.7		21,714.8		74.99
Investment grade zone		0.05		39.34		n.a.		14.57		140,549.8		108,141.6		32,408.1		18,108.5		74.99
Non-investment grade zone		1.50		32.90		n.a.		66.64		21,794.8		18,053.8		3,741.0		3,449.0		75.00
Default		100.00		39.92		33.54		114.93		1,088.4		941.8		146.5		157.1		75.00


	(Billions of yen, except percentages)
	As of September 30, 2017
	PD (EAD weighted average) (%)		LGD (EAD weighted average) (%)		EL default (EAD weighted average) (%)		Risk weight (EAD weighted average) (%)		EAD (Billions of yen)						Amount of undrawn commitments		Weighted average of credit conversion factor (%)

											On-balance sheet		Off-balance sheet
Corporate		1.23		36.23		n.a.		36.00		78,267.6		56,901.7		21,365.8		21,817.0		74.99
Investment grade zone		0.09		37.88		n.a.		25.66		56,939.5		39,183.7		17,755.7		18,351.4		74.99
Non-investment grade zone		1.53		31.54		n.a.		64.39		20,734.1		17,148.4		3,585.7		3,458.7		75.00
Default		100.00		41.68		39.02		35.28		593.9		569.6		24.2		6.8		75.00

Sovereign		0.01		37.97		n.a.		1.39		79,046.8		68,569.3		10,477.5		727.9		75.00
Investment grade zone		0.00		37.97		n.a.		1.29		78,923.2		68,447.2		10,475.9		726.7		75.00
Non-investment grade zone		0.97		37.80		n.a.		63.21		123.6		122.0		1.5		1.2		75.00
Default		100.00		28.64		25.59		40.49		0.0		0.0		—		—		—

Bank		0.16		37.65		n.a.		24.64		5,622.1		3,894.1		1,727.9		736.2		75.00
Investment grade zone		0.08		37.72		n.a.		21.33		5,057.2		3,416.1		1,641.1		696.3		75.00
Non-investment grade zone		0.61		36.87		n.a.		54.33		563.3		476.5		86.8		39.9		75.00
Default		100.00		96.75		94.52		29.55		1.4		1.4		—		—		—

Equity exposure under PD/LGD approach		0.32		90.00		n.a.		127.15		4,221.3		4,171.0		50.3		—		—
Investment grade zone		0.07		90.00		n.a.		112.61		3,886.2		3,835.8		50.3		—		—
Non-investment grade zone		1.84		90.00		n.a.		283.03		330.4		330.4		—		—		—
Default		100.00		90.00		n.a.		1,192.50		4.6		4.6		—		—		—

Total		0.59		38.64		n.a.		21.55		167,158.0		133,536.3		33,621.6		23,281.2		74.99
Investment grade zone		0.04		39.32		n.a.		14.56		144,806.2		114,883.0		29,923.2		19,774.5		74.99
Non-investment grade zone		1.51		32.61		n.a.		67.45		21,751.6		18,077.5		3,674.1		3,499.8		75.00
Default		100.00		42.19		39.15		44.28		600.0		575.7		24.2		6.8		75.00


Notes:

1.		Investment grade zone includes obligor ratings A1 through B2, non-investment grade zone includes C1 through E2 (excluding E2R), and default includes E2R through H1.

2.		“Corporate” does not include specialized lending exposure under supervisory slotting criteria.

3.		Each asset class includes purchased receivables.

4.		The commitments that can be terminated at any time without condition or terminated automatically are not included in the amount of undrawn commitments and weighted average of credit conversion factor.

5.		Regarding equity exposure under the PD/LGD approach, we recognized the risk-weighted assets by multiplying 1,250% by the expected loss (“EL”).

(Reference)Obligor ratings

Obligor ratings

(major category)

Definition of ratings

Classification

A1–A3

Obligors whose certainty of debt fulfillment is very high, hence their level of credit risk is excellent.

Investment grade zone

B1–B2

Obligors whose certainty of debt fulfillment poses no problems for the foreseeable future, hence their level of credit risk is sufficient.

C1–C3

Obligors whose certainty of debt fulfillment and their level of credit risk pose no problems for the foreseeable future.

Non-investment grade zone

D1–D3

Obligors whose current certainty of debt fulfillment poses no problems, however, their resistance to future changes in business environment is low.

Obligors who require close watching going forward because there are problems with their borrowing conditions, such as reduced or suspended interest payments, problems with fulfillment such as de facto postponements of principal or interest payments, or problems with their financial positions as a result of their poor or unstable business conditions.

Obligors who are not yet bankrupt but are in financial difficulties and are deemed to be very likely to go bankrupt in the future because they are finding it difficult to make progress in implementing their management improvement plans (including obligors who are receiving ongoing support from financial institutions).

Default

Obligors who have not yet gone legally or formally bankrupt but who are substantially bankrupt because they are in serious financial difficulties and are not deemed to be capable of restructuring.

Obligors who have already gone bankrupt, from both a legal and/or formal perspective.

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

(N) Portfolio by asset class and ratings segment (Retail)


	(Billions of yen, except percentages)
	As of September 30, 2016
	PD (EAD weighted average) (%)		LGD (EAD weighted average) (%)		EL default (EAD weighted average) (%)		Risk weight (EAD weighted average) (%)		EAD (Billions of yen)						Amount of undrawn commitments		Weighted average of credit conversion factor (%)
											On-balance sheet		Off-balance sheet
											On-balance sheet		Off-balance sheet
Residential mortgage		1.69		41.05		n.a.		33.41		9,562.8		9,424.3		138.5		5.5		75.00
Non-default		0.78		40.99		n.a.		33.42		9,475.2		9,338.5		136.6		5.5		75.00
Default		100.00		47.63		45.14		32.96		87.6		85.8		1.8		—		—

Qualifying revolving loan (retail)		3.22		76.66		n.a.		65.11		588.6		392.8		195.7		1,638.8		11.94
Non-default		3.09		76.67		n.a.		65.12		587.7		392.2		195.5		1,673.3		11.94
Default		100.00		71.93		67.75		55.34		0.8		0.6		0.1		1.5		12.54

Other retail		4.44		50.62		n.a.		48.25		2,379.3		2,364.1		15.1		17.2		63.98
Non-default		1.70		50.77		n.a.		48.55		2,312.8		2,301.1		11.6		13.5		55.52
Default		100.00		45.65		42.78		37.93		66.4		62.9		3.5		3.7		94.52

Total		2.29		44.54		n.a.		37.72		12,530.7		12,181.3		349.4		1,661.6		12.69
Non-default		1.06		44.51		n.a.		37.75		12,375.8		12,031.9		343.8		1,656.3		12.51
Default		100.00		46.91		44.25		35.21		154.9		149.3		5.5		5.2		70.65


	(Billions of yen, except percentages)
	As of September 30, 2017
	PD (EAD weighted average) (%)		LGD (EAD weighted average) (%)		EL default (EAD weighted average) (%)		Risk weight (EAD weighted average) (%)		EAD (Billions of yen)						Amount of undrawn commitments		Weighted average of credit conversion factor (%)
											On-balance sheet		Off-balance sheet
											On-balance sheet		Off-balance sheet
Residential mortgage		1.58		41.29		n.a.		33.69		9,218.6		9,100.6		118.0		7.9		75.00
Non-default		0.76		41.24		n.a.		33.64		9,142.5		9,026.0		116.5		7.9		75.00
Default		100.00		47.76		44.76		39.70		76.1		74.5		1.5		—		—

Qualifying revolving loan (retail)		3.29		76.82		n.a.		66.46		654.7		434.1		220.5		1,762.5		12.51
Non-default		3.19		76.83		n.a.		66.46		654.0		433.6		220.4		1,761.1		12.52
Default		100.00		71.49		66.38		67.69		0.6		0.5		0.1		1.4		11.61

Other retail		4.61		47.46		n.a.		44.77		2,062.3		2,048.0		14.3		15.8		64.92
Non-default		1.68		47.52		n.a.		44.85		2,001.0		1,989.9		11.0		12.4		56.74
Default		100.00		45.66		42.29		42.12		61.3		58.1		3.2		3.3		95.30

Total		2.19		44.31		n.a.		37.40		11,935.7		11,582.8		352.9		1,786.3		13.26
Non-default		1.05		44.28		n.a.		37.36		11,797.6		11,449.6		347.9		1,781.4		13.10
Default		100.00		46.95		43.86		40.91		138.1		133.1		4.9		4.8		69.88


Notes:

1.		Each asset class includes purchased receivables.

2.		The commitments that can be terminated at any time without condition or terminated automatically are not included in the amount of undrawn commitments and weighted average of credit conversion factor.

(O) Actual losses by asset class


	(Billions of yen)
	For the period from October 1, 2015 through September 30, 2016			For the period from October 1, 2016 through September 30, 2017
	Actual losses			Actual losses
Corporate		11.7			(81.2	)
Sovereign		0.0			0.0
Bank		(0.8	)		0.0
Residential mortgage		(0.9	)		(11.6	)
Qualifying revolving loan (retail)		0.0			0.0
Other retail		(2.0	)		(5.7	)

Total		7.9			(98.6	)


Note:

		Actual losses are the sum of the net increase (decrease) in the amount of partial direct write-offs, specific reserve for possible losses on loans and general reserve for possible losses on loans (for claims against special attention obligors or below), etc., as well as tax-qualified direct write-offs, losses from sales of non-performing loans, losses from debt forgiveness and losses from debt-equity swaps during the relevant period. Equity exposure under the PD/LGD approach is not included in the amount of actual losses.

		<Analysis>

		The total amount of actual losses was decreased by ¥106.5 billion from the previous period to negative ¥98.6 billion due to significant decrease of losses from corporate exposure.

(P) Comparison of estimated and actual losses by asset class


	(Billions of yen)
	For the period from October 1, 2007 through September 30, 2008								For the period from October 1, 2008 through September 30, 2009
	Estimated losses (expected losses as of September 30, 2007)					Actual losses			Estimated losses (expected losses as of September 30, 2008)					Actual losses
			After deduction of reserves			Actual losses					After deduction of reserves			Actual losses
Corporate		1,060.5		202.0			28.2			998.6		390.4			433.9
Sovereign		2.2		(9.3	)		0.7			1.6		(10.7	)		0.0
Bank		8.0		4.2			34.4			18.9		(18.4	)		0.0
Residential mortgage		85.8		18.6			16.9			96.4		22.9			21.3
Qualifying revolving loan (retail)		7.4		2.5			0.0			8.0		3.1			2.2
Other retail		50.1		12.6			4.3			53.2		16.0			6.2

Total		1,214.3		230.7			84.8			1,176.9		403.3			463.9


	(Billions of yen)
	For the period from October 1, 2009 through September 30, 2010								For the period from October 1, 2010 through September 30, 2011
	Estimated losses (expected losses as of September 30, 2009)					Actual losses			Estimated losses (expected losses as of September 30, 2010)					Actual losses
			After deduction of reserves			Actual losses					After deduction of reserves			Actual losses
Corporate		1,377.8		503.2			45.2			1,151.1		406.3			41.1
Sovereign		4.1		(8.3	)		0.3			1.4		(11.5	)		0.2
Bank		42.7		5.6			(3.1	)		32.0		3.9			0.0
Residential mortgage		107.8		26.5			36.6			143.2		38.8			13.3
Qualifying revolving loan (retail)		10.4		3.6			0.2			10.7		3.8			0.2
Other retail		54.6		15.8			22.4			78.6		25.1			4.6

Total		1,597.7		546.6			101.8			1,417.2		466.5			59.5


	(Billions of yen)
	For the period from October 1, 2011 through September 30, 2012								For the period from October 1, 2012 through September 30, 2013
	Estimated losses (expected losses as of September 30, 2011)					Actual losses			Estimated losses (expected losses as of September 30, 2012)					Actual losses
			After deduction of reserves			Actual losses					After deduction of reserves			Actual losses
Corporate		937.7		349.2			28.0			782.6		271.7			22.4
Sovereign		1.3		(11.8	)		0.1			2.5		(10.8	)		0.1
Bank		33.0		5.1			(4.7	)		12.9		5.3			(2.7	)
Residential mortgage		146.0		42.8			(12.0	)		134.0		53.6			(0.1	)
Qualifying revolving loan (retail)		10.7		3.6			0.3			11.0		3.7			0.6
Other retail		75.0		24.1			1.5			72.1		26.8			2.1

Total		1,203.9		413.3			13.2			1,015.2		350.5			22.5


	(Billions of yen)
	For the period from October 1, 2013 through September 30, 2014								For the period from October 1, 2014 through September 30, 2015
	Estimated losses (expected losses as of September 30, 2013)					Actual losses			Estimated losses (expected losses as of September 30, 2014)				Actual losses
			After deduction of reserves			Actual losses					After deduction of reserves		Actual losses
Corporate		654.9		213.9			(35.6	)		488.9		171.8		180.1
Sovereign		1.4		(12.0	)		(13.4	)		1.5		1.4		0.0
Bank		13.5		8.2			(1.6	)		7.3		3.8		(0.2	)
Residential mortgage		117.8		48.5			(4.6	)		100.0		47.4		(2.8	)
Qualifying revolving loan (retail)		11.6		3.8			0.0			11.9		4.2		2.5
Other retail		66.3		24.6			0.1			59.6		24.4		5.5

Total		865.8		287.2			(55.2	)		669.4		253.3		185.2


	(Billions of yen)
	For the period from October 1, 2015 through September 30, 2016								For the period from October 1, 2016 through September 30, 2017
	Estimated losses (expected losses as of September 30, 2015)					Actual losses			Estimated losses (expected losses as of September 30, 2016)				Actual losses
			After deduction of reserves			Actual losses					After deduction of reserves		Actual losses
Corporate		536.0		124.6			11.7			463.0		136.6		(81.2	)
Sovereign		1.7		1.6			0.0			1.5		1.5		0.0
Bank		6.9		3.5			(0.8	)		5.5		3.9		0.0
Residential mortgage		79.2		36.9			(0.9	)		69.9		33.8		(11.6	)
Qualifying revolving loan (retail)		13.1		2.9			0.0			14.4		4.2		0.0
Other retail		52.8		17.0			(2.0	)		45.9		17.3		(5.7	)

Total		689.8		186.8			7.9			600.5		197.7		(98.6	)


Notes:

1.		Estimated losses after deduction of reserves are the amount after deductions of partial direct write-offs, specific reserves for possible losses on loans and general reserves for possible losses on loans (for claims against special attention obligors or below), etc., as of the beginning of each period. Equity exposure under the PD/LGD approach is not included in the amount of estimated losses.

2.		Actual losses are the sum of the net increase (decrease) in the amount of partial direct write-offs, specific reserves for possible losses on loans and general reserves for possible losses on loans (for claims against special attention obligors or below), etc., as well as tax-qualified direct write-offs, losses from sales of non-performing loans, losses from debt forgiveness and losses from debt-equity swaps during the relevant period. Equity exposure under the PD/LGD approach is not included in the amount of actual losses.

∎ Methods for credit risk mitigation

(5) Credit risk mitigation by portfolio classification

The amounts of exposure to which the method of credit risk mitigation through collateral and guarantees is applied are as follows:


	(Billions of yen)
	As of September 30, 2016
	Financial collateral		Other collateral		Guarantees		Credit derivatives		Total
Internal ratings-based approach		1,215.4		4,962.1		7,164.1		12.2		13,354.0
Corporate		711.2		4,619.9		6,180.5		12.2		11,524.0
Sovereign		9.6		8.9		324.9		—		343.4
Bank		470.0		73.6		60.6		—		604.4
Retail		24.5		259.5		597.9		—		882.1
Residential mortgage		—		—		135.7		—		135.7
Qualifying revolving loan		—		—		0.2		—		0.2
Other retail		24.5		259.5		461.9		—		746.1
Others		—		—		—		—		—

Standardized approach		54.8		n.a.		154.7		—		209.6
Sovereign		50.0		n.a.		154.7		—		204.7
Bank		—		n.a.		—		—		—
Corporate		4.8		n.a.		—		—		4.8
Residential mortgage		—		n.a.		—		—		—
Securitizations		—		n.a.		—		—		—
Others		—		n.a.		—		—		—

Total		1,270.3		4,962.1		7,318.8		12.2		13,563.6


	(Billions of yen)
	As of September 30, 2017
	Financial collateral		Other collateral		Guarantees		Credit derivatives		Total
Internal ratings-based approach		843.1		4,891.1		8,348.3		12.8		14,095.4
Corporate		802.9		4,559.8		7,380.5		12.8		12,756.1
Sovereign		0.0		6.7		380.4		—		387.2
Bank		17.0		48.5		48.7		—		114.4
Retail		23.1		275.9		538.5		—		837.6
Residential mortgage		—		—		123.8		—		123.8
Qualifying revolving loan		—		—		0.1		—		0.1
Other retail		23.1		275.9		414.5		—		713.6
Others		—		—		—		—		—

Standardized approach		111.2		n.a.		316.7		—		428.0
Sovereign		90.0		n.a.		316.7		—		406.7
Bank		13.2		n.a.		—		—		13.2
Corporate		7.9		n.a.		—		—		7.9
Residential mortgage		—		n.a.		—		—		—
Securitizations		—		n.a.		—		—		—
Others		—		n.a.		—		—		—

Total		954.4		4,891.1		8,665.0		12.8		14,523.4

∎ Counterparty risk in derivatives transactions and long-settlement transactions

(6) Status of counterparty risk in derivatives transactions and long-settlement transactions

(A) Status of derivatives transactions and long-settlement transactions

Derivative transactions


	(Billions of yen)
	As of September 30, 2016						As of September 30, 2017
	Gross replacement cost		Gross add-on		Credit equivalent amount		Gross replacement cost		Gross add-on		Credit equivalent amount
Current exposure method
Foreign exchange-related transactions		2,333.8		2,839.3		5,173.1		94.3		103.4		197.7
Interest rate-related transactions		3,375.8		854.7		4,230.5		143.2		26.7		170.0
Gold-related transactions		—		—		—		—		—		—
Equity-related transactions		111.2		164.9		276.2		79.7		158.2		238.0
Transactions related to precious metals (other than gold)		64.2		86.8		151.0		35.3		55.4		90.7
Other commodity-related transactions		604.5		976.2		1,580.7		698.1		1,160.4		1,858.6
Credit derivatives transactions		32.5		199.1		231.6		0.6		7.1		7.7
Subtotal (A)		6,522.2		5,121.2		11,643.4		1,051.4		1,511.5		2,562.9
Netting benefits by close-out netting settlement contracts (B)		n.a.		n.a.		5,947.7		n.a.		n.a.		1,158.3
Subtotal (C)=(A)+(B)		n.a.		n.a.		5,695.7		n.a.		n.a.		1,404.6
Effect of credit risk mitigation by collateral (D)		n.a.		n.a.		657.4		n.a.		n.a.		436.6

Total (C)+(D)		n.a.		n.a.		5,038.3		n.a.		n.a.		968.0


Standardized method					Credit equivalent amount						Credit equivalent amount
Total						397.2						15.1

Expected positive exposure method

Total						n.a.						2,435.3


Note:		The current exposure method and standardized method are used as the method to calculate credit equivalent amounts.

Long-settlement transactions

(Billions of yen)

As of September 30, 2016

As of September 30, 2017

Gross
replacement
cost

Gross
add-on

Credit
equivalent
amount

Gross
replacement
cost

Gross
add-on

Credit
equivalent
amount

Long-settlement transactions

1.4

35.4

36.8

0.3

2.7

3.1


Notes:

1.		The current exposure method is used as the method to calculate credit equivalent amounts.

2.		Neither the “netting benefits by close-out netting settlement contracts” nor the “effect of credit risk mitigation by collateral” applies to long-settlement transactions.

(B) Amounts of credit risk mitigation by type


	(Billions of yen)
	As of September 30, 2016		As of September 30, 2017
Financial collateral		469.6		3.0
Other collateral		42.0		33.3
Guarantees, others		9.9		12.5

Total		521.6		48.8

(C) Notional amount of credit derivatives subject to credit equivalent amount calculations


		(Billions of yen)
		As of September 30, 2016		As of September 30, 2017
		Notional amount		Notional amount
Credit derivatives type:
Credit default swap	Protection bought		1,698.6		1,389.8
	Protection sold		1,802.5		1,453.1

Total return swap	Protection bought		—		—
	Protection sold		—		—

Total	Protection bought		1,698.6		1,389.8
	Protection sold		1,802.5		1,453.1

Note: Credit derivatives used for credit risk mitigation are as follows:


	(Billions of yen)
	As of September 30, 2016		As of September 30, 2017
Credit derivatives used for credit risk mitigation		23.1		26.8

∎ Securitization exposure

(7) Quantitative disclosure items for securitization exposure

● Securitization exposure as originator (for calculation of credit risk-weighted assets)

(A) Information by type of underlying assets


	(Billions of yen)
	As of, or for the six months ended, September 30, 2016
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Traditional securitizations
Amount of underlying assets (a)		—		52.9		—		—		—		—		—		52.9
Default exposure		—		0.4		—		—		—		—		—		0.4
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Securitization subject to early amortization treatment		—		—		—		—		—		—		—		—
Synthetic securitizations
Amount of underlying assets (b)		—		—		—		—		29.0		—		—		29.0
Default exposure		—		—		—		—		—		—		—		—
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Total amount of underlying assets (a)+(b)		—		52.9		—		—		29.0		—		—		81.9

	(Billions of yen)
	As of, or for the six months ended, September 30, 2017
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Traditional securitizations
Amount of underlying assets (a)		—		43.6		—		—		—		—		—		43.6
Default exposure		—		0.3		—		—		—		—		—		0.3
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Securitization subject to early amortization treatment		—		—		—		—		—		—		—		—
Synthetic securitizations
Amount of underlying assets (b)		—		—		—		—		373.9		—		—		373.9
Default exposure		—		—		—		—		0.0		—		—		0.0
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		92.6		—		—		92.6
Total amount of underlying assets (a)+(b)		—		43.6		—		—		373.9		—		—		417.5


Notes:

1.		Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2016 and 2017.

2.		“Default exposure” and “Losses during the six-month period” with respect to synthetic securitization transactions are based on the definition of default as set forth in the respective transactions.

3.		Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction.

4.		“Credit cards” include shopping credit receivables, card loans, etc.

5.		The effects of risk mitigation, in the context of calculating capital adequacy ratio, of transfers (hedges) of risk through synthetic securitization transactions are reflected in “Required capital” of “(B) Information of securitization exposure retained or purchased.”

–Exposure intended to be securitized–

(Billions of yen)

As of September 30, 2016

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Exposure intended to be securitized

—

(Billions of yen)

As of September 30, 2017

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Exposure intended to be securitized

—


(B) Information of securitization exposure retained or purchased –Exposure by type of underlying asset–
	(Billions of yen)
	As of September 30, 2016
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
On-balance sheet		—		0.0		—		—		29.0		—		—		29.0
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		0.0		—		—		29.0		—		—		29.0
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations to which a risk weight of 1,250% is applied		—		0.0		—		—		—		—		—		0.0
Exposure whose underlying assets are overseas assets		—		—		—		—		23.4		—		—		23.4

	(Billions of yen)
	As of September 30, 2017
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
On-balance sheet		—		0.0		—		—		371.8		—		—		371.8
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		—		—		—		—		2.0		—		—		2.0
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		0.0		—		—		373.9		—		—		373.9
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations to which a risk weight of 1,250% is applied		—		0.0		—		—		0.6		—		—		0.6
Exposure whose underlying assets are overseas assets		—		—		—		—		92.6		—		—		92.6


Notes:

1.		Classification based on type of underlying asset is conducted according to the principal underlying asset type for each transaction.

2.		“Credit cards” include shopping credit receivables, card loans, etc.

3.		“Exposure whose underlying assets are overseas assets” is classified based on the principal underlying asset type for each transaction.

4.		“Exposure on resecuritizations” as of both September 30, 2016 and 2017 are classified following Article 1, Paragraph 2-2 of the FSA Notice No. 20 (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		24.8		—		—		—		24.8		—
Up to 50%		—		—		—		—		—		—
Up to 100%		—		—		—		—		—		—
Up to 250%		1.7		—		—		—		1.7		—
Up to 650%		2.5		—		—		—		2.5		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.0		—		—		—		0.0		—

Total		29.0		—		—		—		29.0		—


	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		351.5		—		1.9		—		353.4		—
Up to 50%		—		—		—		—		—		—
Up to 100%		1.7		—		—		—		1.7		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		17.9		—		0.1		—		18.0		—
1,250%		0.6		—		—		—		0.6		—

Total		371.8		—		2.0		—		373.9		—


–Amount of required capital by risk weight category–

	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		0.1		—		—		—		0.1		—
Up to 50%		—		—		—		—		—		—
Up to 100%		—		—		—		—		—		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.0		—		—		—		0.0		—

Total		0.1		—		—		—		0.1		—


	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		2.1		—		0.0		—		2.1		—
Up to 50%		—		—		—		—		—		—
Up to 100%		—		—		—		—		—		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		0.2		—		—		—		0.2		—
1,250%		0.7		—		—		—		0.7		—

Total		3.1		—		0.0		—		3.1		—

–Credit risk mitigation against exposure on resecuritizations–


	(Billions of yen)
Risk weight	As of September 30, 2016		As of September 30, 2017
Up to 20%		—		—
Up to 50%		—		—
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		—		—

Note:

The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

–Capital increase due to securitization transactions–

(Billions of yen)

As of September 30, 2016

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Capital increase due to securitization transactions

—

(Billions of yen)

As of September 30, 2017

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Capital increase due to securitization transactions

—

● Securitization exposure as sponsor of securitization programs (ABCP/ABL) (for calculation of credit risk-weighted assets)

(C) Information by type of underlying assets

(Billions of yen)

As of, or for the six months ended, September 30, 2016

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

Amount of underlying assets

61.8

—

72.1

73.4

272.5

—

44.8

524.8

Default exposure

—

5.3

—

5.3

Estimated loss amount related to underlying assets during the six-month period

0.7

—

0.3

0.5

2.7

—

0.4

4.8

Amount of exposures securitized during the six-month period

253.5

—

485.4

485.3

1,292.7

—

276.8

2,793.9

(Billions of yen)

As of, or for the six months ended, September 30, 2017

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

Amount of underlying assets

58.8

—

61.6

14.1

249.2

—

72.2

456.2

Default exposure

—

6.0

—

6.0

Estimated loss amount related to underlying assets during the six-month period

1.9

—

0.3

0.0

2.8

—

0.7

5.8

Amount of exposures securitized during the six-month period

170.6

—

336.3

97.1

1,123.3

—

317.1

2,044.6


Notes:

1.		Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2016 and 2017.

2.		Securitization exposure that is acquired in securitization of customer’s claims other than as sponsor (in the form of asset-backed securities, trust beneficiary rights and other transferable instruments) is categorized as securitization exposure as investor.

3.		The amount of default exposure is the amount of the underlying assets recognized as default in the calculation of capital adequacy ratio.

4.		Estimated loss amount related to underlying assets is based on the amount of the underlying assets as of the relevant date and the following parameters that are used in the calculation of capital adequacy ratio:

		• parameters used in the calculation of required capital for an underlying asset when applying the supervisory formula (e.g., PD); and

		• with respect to underlying assets classified as securitization exposure, the conservative application of risk weights used in the ratings-based approach.

5.		Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”

6.		“Credit cards” include shopping credit receivables, card loans, etc.

(D) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2016
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Account and note receivables		Real estate		Others		Total
On-balance sheet		34.6		—		63.8		69.1		263.7		—		44.8		476.2
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		123.3		—		21.4		0.0		59.8		—		6.8		211.4
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		157.9		—		85.3		69.1		323.5		—		51.6		687.7
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations to which a risk weight of 1,250% is applied		—		—		—		—		—		—		—		—
Exposure whose underlying assets are overseas assets		100.1		—		30.3		33.7		157.2		—		31.8		353.4

	(Billions of yen)
	As of September 30, 2017
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Account and note receivables		Real estate		Others		Total
On-balance sheet		9.5		—		50.3		14.1		252.8		—		30.1		357.0
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		134.5		—		0.0		—		54.2		—		10.4		199.3
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		144.0		—		50.3		14.1		307.0		—		40.6		556.3
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations to which a risk weight of 1,250% is applied		—		—		—		—		—		—		—		—
Exposure whose underlying assets are overseas assets		84.5		—		—		7.7		153.8		—		35.5		281.6


Notes:
1.		Securitization exposure retained or purchased includes unused portions of securitization programs that are subject to allocation of required capital.

2.		Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”

3.		“Credit cards” include shopping credit receivables, card loans, etc.

4.		The classification of transactions of which the underlying assets are overseas assets is conducted according to the principal underlying assets of each transaction.

5.		“Exposure on resecuritizations” as of both September 30, 2016 and 2017 are classified following Article 1, Paragraph 2-2 of the FSA Notice No. 20 (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		469.6		—		211.4		—		681.0		—
Up to 50%		4.5		—		—		—		4.5		—
Up to 100%		2.0		—		—		—		2.0		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		—		—		—		—		—		—
1,250%		—		—		—		—		—		—

Total		476.2		—		211.4		—		687.7		—


	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		354.5		—		184.3		—		538.9		—
Up to 50%		2.4		—		—		—		2.4		—
Up to 100%		—		—		15.0		—		15.0		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		—		—		—		—		—		—
1,250%		—		—		—		—		—		—

Total		357.0		—		199.3		—		556.3		—

–Amount of required capital by risk weight category–


	(Billions of yen)
	As of September 30, 2016
	On-balance sheet				Off-balance sheet				Total
Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		2.9		—		1.3		—		4.2		—
Up to 50%		0.1		—		—		—		0.1		—
Up to 100%		0.1		—		—		—		0.1		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		—		—		—		—		—		—
1,250%		—		—		—		—		—		—

Total		3.1		—		1.3		—		4.4		—


	(Billions of yen)
	As of September 30, 2017
	On-balance sheet				Off-balance sheet				Total
Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		2.2		—		1.1		—		3.4		—
Up to 50%		0.0		—		—		—		0.0		—
Up to 100%		—		—		0.8		—		0.8		—
Up to 250%		—		—		—		—		—		—
Up to 650%		—		—		—		—		—		—
Less than 1,250%		—		—		—		—		—		—
1,250%		—		—		—		—		—		—

Total		2.3		—		2.0		—		4.3		—

–Credit risk mitigation against exposure on resecuritizations–


	(Billions of yen)
Risk weight	As of September 30, 2016		As of September 30, 2017
Up to 20%		—		—
Up to 50%		—		—
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		—		—


Note:

		The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

● Securitization exposure as investor(for calculation of credit risk-weighted assets)

(E) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2016
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		122.0		874.8		407.9		102.2		440.2		10.4		222.5		2,180.4
Exposure on resecuritizations		—		2.3		—		—		1.3		—		—		3.7
Off-balance sheet		12.8		—		257.8		72.4		216.3		0.1		2.5		562.2
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		134.9		874.8		665.8		174.6		656.5		10.6		225.1		2,742.6
Exposure on resecuritizations		—		2.3		—		—		1.3		—		—		3.7
Exposure on securitizations to which a risk weight of 1,250% is applied		—		0.0		—		—		—		0.2		—		0.2
Exposure whose underlying assets are overseas assets		133.4		0.0		634.4		172.5		656.5		0.1		185.8		1,783.0

	(Billions of yen)
	As of September 30, 2017
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		128.0		838.1		711.4		304.3		584.1		5.0		161.4		2,732.7
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		44.6		—		229.9		156.8		164.8		0.1		2.1		598.6
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		172.7		838.1		941.4		461.1		748.9		5.2		163.6		3,331.3
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations to which a risk weight of 1,250% is applied		—		0.0		—		—		—		0.3		—		0.3
Exposure whose underlying assets are overseas assets		166.5		0.0		929.8		460.9		748.9		0.3		134.6		2,441.2


Notes:

1.		Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”

2.		“Credit cards” include shopping credit receivables, card loans, etc.

3.		The classification of transactions of which the underlying assets are overseas assets is conducted according to the principal underlying assets of each transaction.

4.		“Exposure on resecuritizations” as of both September 30, 2016 and 2017 are classified following Article 1, Paragraph 2-2 of the FSA Notice No. 20 (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		2,107.0		2.3		559.5		—		2,666.5		2.3
Up to 50%		57.1		1.3		—		—		57.1		1.3
Up to 100%		7.6		—		1.5		—		9.1		—
Up to 250%		—		—		—		—		—		—
Up to 650%		8.5		—		1.0		—		9.6		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.0		—		0.1		—		0.2		—

Total		2,180.4		3.7		562.2		—		2,742.6		3.7


	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		2,665.8		—		564.8		—		3,230.6		—
Up to 50%		38.8		—		20.0		—		58.8		—
Up to 100%		24.1		—		13.2		—		37.3		—
Up to 250%		—		—		—		—		—		—
Up to 650%		3.7		—		0.3		—		4.1		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.1		—		0.1		—		0.3		—

Total		2,732.7		—		598.6		—		3,331.3		—


–Amount of required capital by risk weight category–

	(Billions of yen)
	As of September 30, 2016

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		11.9		0.0		3.4		—		15.3		0.0
Up to 50%		1.5		0.0		—		—		1.5		0.0
Up to 100%		0.6		—		0.1		—		0.7		—
Up to 250%		—		—		—		—		—		—
Up to 650%		2.3		—		0.3		—		2.6		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.0		—		0.1		—		0.2		—

Total		16.5		0.0		4.0		—		20.6		0.0


	(Billions of yen)
	As of September 30, 2017

Risk weight	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 20%		15.1		—		3.4		—		18.6		—
Up to 50%		1.0		—		0.6		—		1.6		—
Up to 100%		1.6		—		0.8		—		2.5		—
Up to 250%		—		—		—		—		—		—
Up to 650%		1.0		—		0.1		—		1.1		—
Less than 1,250%		—		—		—		—		—		—
1,250%		0.1		—		0.1		—		0.3		—

Total		19.0		—		5.2		—		24.2		—

–Credit risk mitigation against exposure on resecuritizations–


	(Billions of yen)
Risk weight	As of September 30, 2016		As of September 30, 2017
Up to 20%		—		—
Up to 50%		1.0		—
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		1.0		—


Note:

		The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

● Securitization exposure as originator (for calculation of market risk equivalent amounts)

(F) Information by type of underlying assets

None as of September 30, 2016 and 2017

(G) Information of securitization exposure retained or purchased

None as of September 30, 2016 and 2017

● Securitization exposure as sponsor of securitization programs (ABCP/ABL) (for calculation of market risk equivalent amounts)

(H) Information by type of underlying assets

None as of September 30, 2016 and 2017

(I) Information of securitization exposure retained or purchased

None as of September 30, 2016 and 2017

● Securitization exposure as investor (for calculation of market risk equivalent amounts)

(J) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2016
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		—		0.7		—		—		2.7		4.2		0.0		7.6
Exposure on resecuritizations		—		—		—		—		—		—		0.0		0.0
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		0.7		—		—		2.7		4.2		0.0		7.6
Exposure on resecuritizations		—		—		—		—		—		—		0.0		0.0
Exposure on securitizations to which a risk weight of 100% is applied		—		0.7		—		—		0.7		2.8		0.0		4.2
Exposure whose underlying assets are overseas assets		—		0.6		—		—		2.7		4.2		0.0		7.5

	(Billions of yen)
	As of September 30, 2017
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		0.0		7.6		5.2		—		0.0		—		2.6		15.5
Exposure on resecuritizations		—		—		—		—		—		—		0.0		0.0
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		0.0		7.6		5.2		—		0.0		—		2.6		15.5
Exposure on resecuritizations		—		—		—		—		—				0.0		0.0
Exposure on securitizations to which a risk weight of 100% is applied		—		6.9		0.0		—		0.0		—		0.7		7.7
Exposure whose underlying assets are overseas assets		—		7.5		5.2		—		0.0		—		2.6		15.5


Notes:

1.		Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”

2.		“Credit cards” include shopping credit receivables, card loans, etc.

3.		The classification of transactions of which the underlying assets are overseas assets is conducted according to the principal underlying assets of each transaction.

4.		“Exposure on resecuritizations” are classified following Article 1, Paragraph 2-2 of the FSA Notice No. 20 (hereinafter the same).

–Exposure by risk capital charge category–


	(Billions of yen)
	As of September 30, 2016

Risk capital charge	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 1.6%		1.5		—		—		—		1.5		—
Up to 4%		0.4		—		—		—		0.4		—
Up to 8%		1.4		—		—		—		1.4		—
Up to 20%		—		—		—		—		—		—
Up to 52%		—		—		—		—		—		—
Less than 100%		—		—		—		—		—		—
100%		4.2		0.0		—		—		4.2		0.0

Total		7.6		0.0		—		—		7.6		0.0


	(Billions of yen)
	As of September 30, 2017

Risk capital charge	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 1.6%		6.2		—		—		—		6.2		—
Up to 4%		0.3		—		—		—		0.3		—
Up to 8%		0.6		—		—		—		0.6		—
Up to 20%		—		—		—		—		—		—
Up to 52%		0.6		—		—		—		0.6		—
Less than100%		—		—		—		—		—		—
100%		7.7		0.0		—		—		7.7		0.0

Total		15.5		0.0		—		—		15.5		0.0


–Amount of required capital by risk capital charge category–

	(Billions of yen)
	As of September 30, 2016

Risk capital charge	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 1.6%		0.0		—		—		—		0.0		—
Up to 4%		0.0		—		—		—		0.0		—
Up to 8%		0.1		—		—		—		0.1		—
Up to 20%		—		—		—		—		—		—
Up to 52%		—		—		—		—		—		—
Less than 100%		—		—		—		—		—		—
100%		4.2		0.0		—		—		4.2		0.0

Total		4.4		0.0		—		—		4.4		0.0


	(Billions of yen)
	As of September 30, 2017

Risk capital charge	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Up to 1.6%		0.0		—		—		—		0.0		—
Up to 4%		0.0		—		—		—		0.0		—
Up to 8%		0.0		—		—		—		0.0		—
Up to 20%		—		—		—		—		—		—
Up to 52%		0.1		—		—		—		0.1		—
Less than 100%		—		—		—		—		—		—
100%		7.7		0.0		—		—		7.7		0.0

Total		8.0		0.0		—		—		8.0		0.0

–Subject to Comprehensive Risk Measure–


	(Billions of yen)
	As of September 30, 2016
	Securitization		Resecuritiation
Total amount of securitization exposure		—		—
Total amount of required capital		—		—


	(Billions of yen)
	As of September 30, 2017
	Securitization		Resecuritiation
Total amount of securitization exposure		—		—
Total amount of required capital		—		—

∎ Market risk

● Trading activities

The following table shows VaR (Value at Risk) figures of our trading activities:


	(Billions of yen)
	For the six months ended September 30, 2016		For the fiscal year ended March 31, 2017		For the six months ended September 30, 2017
End of period		2.7		1.9		2.7
Maximum		4.8		4.8		4.1
Minimum		1.7		1.7		1.5
Average		2.5		2.7		2.3
The number of cases where assumptive losses exceeded VaR during the period		4		0		0


Notes:

1.		Amount of market risk (VaR) is calculated based on the internal model.

2.		The multiplication factor for the calculation of market risk equivalent is determined by the number of cases where assumptive losses exceeded VaR before 250 business days prior to the end of period.

3.		Our group companies which conduct trading activities are Mizuho Bank, Mizuho Trust & Banking and Mizuho Securities, etc.

VaR method:


VaR		historical simulation method
Quantitative standard:		1. confidence interval: one-tailed 99.0%;
		2. holding period: 1 day; and
		3. historical observation period of 3 years (801 business days)

VaR (Value at Risk)

The VaR method measures the maximum possible loss that could be incurred due to market movements within a certain time period (or holding period) and degree of probability (or confidence interval).

Back testing

The Back testing is one of the methods to evaluate the effectiveness of market risk measurements calculated using the VaR method that compares VaR and amount of losses (we compare VaR with assumptive profits and losses). The number of cases where assumptive losses exceeded VaR is the number of times in which losses exceeded VaR during the corresponding period.

The following table shows stressed VaR figures of our trading activities:


	(Billions of yen)
	For the six months ended September 30, 2016		For the fiscal year ended March 31, 2017		For the six months ended September 30, 2017
End of period		4.8		5.3		4.6
Maximum		7.2		8.9		7.0
Minimum		2.8		2.8		4.1
Average		5.0		5.2		5.5

Stressed VaR method:


Stressed VaR		historical simulation method
Quantitative standard:		1. confidence interval: one-tailed 99.0%;
		2. holding period: 1 day; and
		3. historical observation period of 1 year of significant financial stress (265 business days)

Stressed VaR

The stressed VaR measurement is based on a continuous 12-month period of significant financial stress.

● Outlier criteria

The following table shows results of calculations under the outlier framework:


	(Billions of yen)
	Amount of loss		Broadly-defined capital		Loss ratio to capital
As of September 30, 2016		436.1		9,767.8		4.4%
As of March 31, 2017		361.2		10,050.9		3.5%
As of September 30, 2017		413.3		10,946.6		3.7%
Effect of yen interest rate		93.7
Effect of dollar interest rate		252.0
Effect of euro interest rate		28.5

Outlier criteria

As part of the capital adequacy requirements under Basel III, the losses arising from a banking book in hypothetical interest rate shock scenarios under certain stress conditions are calculated and compared with the sum of Tier 1 and Tier 2 capital. If the interest rate risk of the banking book leads to an economic value decline of more than 20% of the sum of Tier 1 and Tier 2 capital, we will be deemed an “outlier” and may be required to reduce the banking book risk or adopt other responses.

Interest rate shock scenario under stress conditions in outlier criteria

For the interest rate shock scenario used in connection with the calculations under the outlier framework, we generate annual rate fluctuation data for five years derived from daily raw historical interest rate data of the past six years and then apply the actual fluctuation data at a 99.0% confidence level to the shock scenario.

∎ Equity exposure in banking book

(8) Status of equity exposure in banking book

(A) Amounts stated in consolidated balance sheet

(Billions of yen)

As of September 30, 2016

As of September 30, 2017

Consolidated
balance sheet
amount

Fair value

Consolidated
balance sheet
amount

Fair value

Exposure of listed stock, etc.

3,541.0

3,691.6

3,969.7

4,119.3

Other equity exposure

412.0

n.a.

327.4

n.a.

Total

3,953.0

n.a.

4,297.1

n.a.

Note: The above figures include only Japanese and foreign stocks.

(B) Gains and losses on sales related to equity exposure

(Billions of yen)

For the six months ended September 30, 2016

For the six months ended September 30, 2017

Gains and losses
on sales

Gains on sales

Losses on sales

Gains on sales

Losses on sales

Sale of equity exposure

70.8

76.7

5.9

116.9

123.3

6.4

Note: The above figures represent gains and losses on sales of stocks in our consolidated statement of income.

(C) Gains and losses from write-offs related to equity exposure


	(Billions of yen)
	For the six months ended September 30, 2016			For the six months ended September 30, 2017
	Gains and losses from write-offs			Gains and losses from write-offs
Write-offs of equity exposure		(5.0	)		(0.5	)

Note: The above figures represent gains and losses on devaluation of stocks in our consolidated statement of income.

(D) Unrealized gains and losses recognized in the consolidated balance sheet and not recognized in the consolidated statement of income

(Billions of yen)

As of September 30, 2016

As of September 30, 2017

Net unrealized

gains

Net unrealized

gains

Unrealized
gains

Unrealized
losses

Unrealized
gains

Unrealized
losses

Equity exposure

1,563.6

1,649.9

86.2

2,135.3

2,170.3

34.9

Note: The above figures include only Japanese and foreign stocks.

(E) Unrealized gains and losses not recognized in the consolidated balance sheet or in the consolidated statement of income

(Billions of yen)

As of September 30, 2016

As of September 30, 2017

Net

Unrealized
gains

Unrealized
losses

Unrealized
gains

Unrealized
losses

Equity exposure

150.6

160.7

10.1

149.6

159.3

9.6

Note: The above figures include only Japanese and foreign stocks.

(F) Equities exposure by portfolio classification


	(Billions of yen)
	As of September 30, 2016		As of September 30, 2017
PD/LGD approach		3,715.4		4,221.3
Market-based approach (simple risk weight method)		643.6		1,116.3
Market-based approach (internal models approach)		—		—

Total		4,359.0		5,337.7

∎ Composition of Leverage Ratio


									(Millions of yen)
Corresponding line # on Basel III disclosure template (Table 2)		Corresponding line # on Basel III disclosure template (Table 1)	Item			As of September 30, 2016			As of September 30, 2017
On-balance sheet exposures				(1	)
1			On-balance sheet exposures before deducting adjustment items				164,242,241			182,640,998
	1a	1	Total assets reported in the consolidated balance sheet				192,679,978			209,509,243
	1b	2	The amount of assets of subsidiaries that are not included in the scope of the leverage ratio on a consolidated basis (-)				—			—
	1c	7	The amount of assets of subsidiaries that are included in the scope of the leverage ratio on a consolidated basis (except those included in the total assets reported in the consolidated balance sheet)				—			—
	1d	3	The amount of assets that are deducted from the total assets reported in the consolidated balance sheet (except adjustment items) (-)				28,437,737			26,868,245
2		7	The amount of adjustment items pertaining to Tier1 capital (-)				887,319			1,274,312
3			Total on-balance sheet exposures	(a	)		163,354,922			181,366,686
Exposures related to derivative transactions				(2	)
4			Replacement cost associated with derivatives transactions, etc.				2,835,092			2,354,979
5			Add-on amount associated with derivatives transactions, etc.				5,272,277			6,312,801
			The amount of receivables arising from providing cash margin in relation to derivatives transactions, etc.				1,053,499			1,247,364
6			The amount of receivables arising from providing cash margin, provided where deducted from the consolidated balance sheet pursuant to the operative accounting framework				183,926			210,650
7			The amount of deductions of receivables (out of those arising from providing cash variation margin) (-)				—			—
8			The amount of client-cleared trade exposures for which a bank holding company acting as a clearing member is not obliged to make any indemnification (-)				/			/
9			Adjusted effective notional amount of written credit derivatives				2,127,459			1,689,443
10			The amount of deductions from effective notional amount of written credit derivatives (-)				1,951,393			1,565,307
11		4	Total exposures related to derivative transactions	(b	)		9,520,861			10,249,931
Exposures related to repo transactions				(3	)
12			The amount of assets related to repo transactions, etc				12,454,962			12,993,856
13			The amount of deductions from the assets above (line 12) (-)				4,804,918			5,397,442
14			The exposures for counterparty credit risk for repo transactions, etc				310,824			438,438
15			The exposures for agent repo transactions				/			/
16		5	Total exposures related to repo transactions, etc.	(c	)		7,960,869			8,034,852
Exposures related to off-balance sheet transactions				(4	)
17			Notional amount of off-balance sheet transactions				45,790,795			49,524,666
18			The amount of adjustments for conversion in relation to off-balance sheet transactions (-)				29,777,895			31,871,648
19		6	Total exposures related to off-balance sheet transactions	(d	)		16,012,899			17,653,017
Leverage ratio on a consolidated basis				(5	)
20			The amount of capital (Tier1 capital)	(e	)		7,982,529			9,004,810
21		8	Total exposures ((a)+(b)+(c)+(d))	(f	)		196,849,553			217,304,488
22			Leverage ratio on a consolidated basis ((e)/(f))				4.05	%		4.14	%

∎ Liquidity Coverage Ratio

Liquidity standards agreed upon by the Basel Committee on Banking Supervision require our liquidity coverage ratio to surpass the minimum standard starting March 31, 2015.

We calculate our consolidated liquidity coverage ratio (the “Consolidated LCR”) in accordance with the regulation “The Evaluation Criterion on the Sound Management of Liquidity Risk Defined, Based on Banking Law Article 52-25, as One of Criteria for Bank Holding Companies to Evaluate the Soundness of Their Management and the Ones of Their Subsidiaries and Others, which is also One of Evaluation Criteria on the Soundness of the Banks’ Management” (the FSA Notice No. 62 of 2015 (the “Notice No. 62”)).

The information disclosed herein is in accordance with “Matters Separately Prescribed by the Commissioner of the Financial Services Agency Regarding Status of Sound Management of Liquidity Risk , etc. pursuant to Article 19-2, Paragraph 1, Item 5, Sub-item (e) , etc. of the Ordinance for Enforcement of the Banking Law (Ministry of Finance Ordinance No. 7 of 2015)” (the FSA Notice No. 7 of 2015(the “Notice No. 7”)).

The status of our sound management of liquidity risk is as follows:


			(In million yen, %, the number of data)
Item			For the three months ended June 30, 2017				For the three months ended September 30, 2017
High-Quality Liquid Assets		(1)		/				/
1	Total high-quality liquid assets (HQLA)			61,146,475				60,568,697
Cash Outflows		(2)		TOTAL UNWEIGHTED VALUE	TOTAL WEIGHTED VALUE			TOTAL UNWEIGHTED VALUE	TOTAL WEIGHTED VALUE
2	Cash outflows related to unsecured retail funding			44,734,796	3,579,091			45,352,729	3,617,498
3	of which, Stable deposits			12,811,636	384,349			13,147,142	394,414
4	of which, Less stable deposits			31,923,159	3,194,742			32,205,587	3,223,083
5	Cash outflows related to unsecured wholesale funding			73,882,199	45,017,588			74,050,226	46,467,835
6	of which, Qualifying operational deposits			0	0			0	0
7	of which, Cash outflows related to unsecured wholesale funding other than qualifying operational deposits and debt securities			68,335,972	39,471,361			68,370,243	40,787,851
8	of which, Debt securities			5,546,226	5,546,226			5,679,983	5,679,983
9	Cash outflows related to secured funding, etc			/	989,105			/	1,087,302
10	Cash outflows related to derivatives transactions, etc. funding programs, credit and liquidity facilities			24,700,939	6,836,365			24,130,414	6,846,066
11	of which, Cash outflows related to derivative transactions, etc			2,287,284	2,287,284			2,344,100	2,344,100
12	of which, Cash outflows related to funding programs			32,246	32,246			27,355	27,355
13	of which, Cash outflows related to credit and liquidity facilities			22,381,409	4,516,834			21,758,959	4,474,610
14	Cash outflows related to contractual funding obligations, etc.			6,137,396	1,675,699			6,136,568	1,806,914
15	Cash outflows related to contingencies			76,053,208	688,697			77,660,713	685,275
16	Total cash outflows			/	58,786,548			/	60,510,891
Cash Inflows		(3)		TOTAL UNWEIGHTED VALUE	TOTAL WEIGHTED VALUE			TOTAL UNWEIGHTED VALUE	TOTAL WEIGHTED VALUE
17	Cash inflows related to secured lending, etc.			9,978,655	705,231			10,217,742	703,285
18	Cash inflows related to collections of loans, etc			12,104,053	9,060,932			13,084,757	9,717,925
19	Other cash inflows			7,121,687	1,887,602			6,906,394	2,064,460
20	Total cash inflows			29,204,395	11,653,766			30,208,894	12,485,671
Consolidated liquidity coverage ratio		(4)		/				/
21	Total HQLA allowed to be included in the calculation			/	61,146,475			/	60,568,697
22	Net cash outflows			/	47,132,781			/	48,025,220
23	Consolidated liquidity coverage ratio (LCR)			/	129.7	%		/	126.1	%
24	The number of data used to calculate the average value			62				62

Notes:

Item from 1 to 23 are quarterly average using data points as shown in item 24. From the fourth quarter of the fiscal year ended March 31, 2017, the average daily value is disclosed based on the Notice No. 7.

We do not apply the “exception regarding qualifying operational deposits” in Article 28 of the Notice No. 62 with respect to item 6.

The numbers in item 11 include the amount of additional collateral required due to market valuation changes on derivatives transactions estimated by the “historical look-back approach” instead of “scenario approach” in Article 37 of the Notice No. 62.

There are no material components that necessitate detailed explanation of “cash outflows from other contracts” in Article 59 of the Notice No. 62 within item 14, “cash outflows from other contingent funding obligations” in Article 52 of the Notice No. 62 within item 15, “cash inflows from other contracts” in Article 72 of the Notice No. 62 within item 19.

Monthly data or quarterly data is used for some of the data, etc., concerning our consolidated subsidiaries.


	2015			2016												2017
	Oct-Dec			Jan-Mar			Apr-Jun			Jul-Sep			Oct-Dec			Jan-Mar			Apr-Jun			Jul-Sep
Consolidated LCR (quartely average)		133.4	%		128.2	%		135.1	%		137.4	%		135.3	%		129.4	%		129.7	%		126.1	%

Our Consolidated LCR does not lead to any issues since it surpasses not only the minimum standard required under the liquidity regulation, but also the final regulatory standard (100%), with no significant change.

LCR disclosed herein does not differ much from the level we expected beforehand, and we do not expect our Consolidated LCR in the future to deviate significantly from the current level.

There are no significant changes in the composition, such as currency composition or type composition, and geographic distribution of the HQLA allowed to be included in the calculation.

In addition, there is no significant currency mismatch which might affect our funding conditions between total amount of the HQLA allowed to be included in the calculation and net cash outflow regarding significant currencies.

∎ Status of Major Liquid Assets


(Billions of yen)
Item	As of Mar. 2017			As of Sep. 2017
Cash and Due from Banks (including Due from Central Banks)		47,129.5			50,982.8
Trading Securities		4,800.4			7,226.7
Securities		31,761.8			31,544.9
Bonds Held to Maturity		3,815.6			3,125.7
Other Securities		27,946.2			28,419.2
Japanese Stocks		3,542.0			3,640.9
Japanese Bonds		13,245.1			12,611.9
Japanese Government Bonds		10,264.3			9,658.2
Japanese Local Government Bonds		284.4			253.5
Japanese Corporate Bonds		2,696.3			2,700.1
Other		11,159.0			12,166.3
Foreign Bonds		8,955.4			9,610.3
Other		2,203.5			2,555.9

Total		83,691.8			89,754.4

Portion pledged as collateral		(14,398.5	)		(14,504.0	)

Total after the deduction above		69,293.3			75,250.4


Note:

1.		All securities included in the above table have fair value.

2.		Portion pledged as collateral mainly consists of securities and others collateralized for borrowed money, foreign and domestic exchange transactions or derivatives transactions, or substituted for margins for futures transactions.

3.		Figures in the above table do not represent high quality liquid assets under the Basel III regulatory regime.