Table of Contents
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 2019
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- .
Table of Contents
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, 2019 | |
| Mizuho Financial Group, Inc. | ||
| By: | /s/ Makoto Umemiya | |
| Name: | Makoto Umemiya | |
| Title: | Managing Executive Officer / Group CFO | |
Table of Contents
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 2019. 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.
| 2 | ||||
| 2 | ||||
| Status of Mizuho Financial Group’s Consolidated Capital Adequacy |
3 | |||
| 3 | ||||
| 4 | ||||
| 16 | ||||
| 18 | ||||
| 24 | ||||
| 28 | ||||
| 31 | ||||
| 33 | ||||
| 34 | ||||
| 58 | ||||
| 58 | ||||
| 59 | ||||
1
Table of Contents
Under the capital adequacy ratio regulations agreed upon by the Basel Committee on Banking Supervision, banks are required to meet certain minimum capital requirements. We calculate our capital adequacy ratio on a consolidated basis based on “the criteria used by a bank holding company for deciding whether or not the adequacy of equity capital of the bank holding company and its subsidiaries is appropriate in light of the assets owned by the bank holding company and its subsidiaries pursuant to Article 52-25 of the Banking Law” (Financial Services Agency, or FSA, Notice No.20 issued in 2006).
We also calculate our leverage ratio on a consolidated basis according to “the leverage ratio on a consolidated basis separately prescribed by the Commissioner of the Financial Services Agency according to Article 1 Paragraph 1 item 7 of the Matters Separately Prescribed by the Commissioner of the Financial Services Agency Regarding Status of the Adequacy of Equity Capital pursuant to Article 19-2 Paragraph 1 Item 5 Sub-item (d) etc. of the Ordinance for the Enforcement of the Banking Law” (FSA Notice No.13 issued in 2015).
Liquidity standards agreed upon by the Basel Committee on Banking Supervision require our liquidity coverage ratio to surpass certain minimum standards. 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”)).
KM1: Key Metrics
| (millions of yen, except percentages) | ||||||||||||||||||||||
| Basel III Template No. | a | b | c | d | e | |||||||||||||||||
| As of September 30, 2018 |
As of June 30, 2018 |
As of March 31, 2018 |
As of December 31, 2017 |
As of September 30, 2017 |
||||||||||||||||||
| Capital |
||||||||||||||||||||||
| 1 | Common Equity Tier 1 capital |
7,607,267 | 7,631,486 | 7,437,048 | 7,597,964 | 7,280,598 | ||||||||||||||||
| 2 | Tier 1 capital | 9,434,893 | 9,112,127 | 9,192,244 | 9,321,858 | 9,004,810 | ||||||||||||||||
| 3 | Total capital | 11,214,088 | 10,859,912 | 10,860,440 | 11,260,104 | 10,946,675 | ||||||||||||||||
| Risk weighted assets |
||||||||||||||||||||||
| 4 | Risk weighted assets | 60,240,051 | 60,157,998 | 59,528,983 | 63,414,867 | 61,695,509 | ||||||||||||||||
| Capital ratio |
||||||||||||||||||||||
| 5 | Common Equity Tier 1 capital ratio |
12.62 | % | 12.68 | % | 12.49 | % | 11.98 | % | 11.80 | % | |||||||||||
| 6 | Tier 1 capital ratio | 15.66 | % | 15.14 | % | 15.44 | % | 14.69 | % | 14.59 | % | |||||||||||
| 7 | Total capital ratio | 18.61 | % | 18.05 | % | 18.24 | % | 17.75 | % | 17.74 | % | |||||||||||
| Capital buffer |
||||||||||||||||||||||
| 8 | Capital conservation buffer requirement |
1.87 | % | 1.87 | % | 1.87 | % | 1.25 | % | 1.25 | % | |||||||||||
| 9 | Countercyclical buffer requirement |
0.02 | % | 0.02 | % | 0.01 | % | 0.00 | % | 0.00 | % | |||||||||||
| 10 | Bank G-SIB/D-SIB additional requirements |
0.75 | % | 0.75 | % | 0.75 | % | 0.50 | % | 0.50 | % | |||||||||||
| 11 | Total of bank CET1 specific buffer requirements |
2.64 | % | 2.64 | % | 2.63 | % | 1.75 | % | 1.75 | % | |||||||||||
| 12 | CET1 available after meeting the bank’s minimum capital requirements |
8.12 | % | 8.18 | % | 7.99 | % | 7.48 | % | 7.30 | % | |||||||||||
| Leverage ratio |
||||||||||||||||||||||
| 13 | Total exposures | 216,920,174 | 217,040,028 | 214,277,824 | 217,478,350 | 217,304,488 | ||||||||||||||||
| 14 | Leverage ratio | 4.34 | % | 4.19 | % | 4.28 | % | 4.28 | % | 4.14 | % | |||||||||||
| Liquidity coverage ratio (LCR) |
||||||||||||||||||||||
| 15 | Total HQLA allowed to be included in the calculation |
62,485,008 | 62,777,196 | 60,159,630 | 63,459,113 | 60,568,697 | ||||||||||||||||
| 16 | Net cash outflows | 48,045,874 | 51,729,447 | 50,079,075 | 50,808,181 | 48,025,220 | ||||||||||||||||
| 17 | LCR | 130.1 | % | 121.3 | % | 120.1 | % | 124.8 | % | 126.1 | % | |||||||||||
Note:
Base III Template No. from 15 to 17 are quarterly averages.
2
Table of Contents
Status of Mizuho Financial Group’s consolidated capital adequacy
Following the partial revision of “Matters Separately Prescribed by the Commissioner of the Financial Services Agency Regarding Status of the Adequacy of Equity Capital Pursuant to Article 19-2, Paragraph 1, Item 5, Sub-item (d), etc. of the Ordinance for the Enforcement of the Banking Law,” the disclosure of any information concerning the second half of the fiscal year ending March 31, 2019 is made in accordance with the relevant FSA Notice issued after the revision (the “New FSA Notice”). The figures relating to our banking activities for the second half of the fiscal year ended March 31, 2018 are disclosed in accordance with the relevant FSA Notice issued before the revision (the “Old FSA Notice”) (See pages 34 to 57 for the disclosure items which are different from those disclosed according to the new FSA Notice).
(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, 2017 and 2018.
(B) Number of consolidated subsidiaries
| As of September 30, 2017 | As of September 30, 2018 | |||||||
| Consolidated subsidiaries |
130 | 125 | ||||||
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, 2017 and 2018.
(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, 2017 and 2018.
(E) Restrictions on transfer of funds or capital within the bank holding company’s corporate group
None as of September 30, 2017 and 2018.
(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, 2017 and 2018.
3
Table of Contents
(1) Composition of Capital, etc.
(A) Composition of capital disclosure
Composition of capital disclosure (International standard)
| (Millions of yen, except percentage) | ||||||||||||||||||||
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| 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 |
7,126,803 | / | 7,559,684 | / | |||||||||||||||
| 1a |
of which: capital and stock surplus |
3,391,317 | / | 3,395,202 | / | |||||||||||||||
| 2 |
of which: retained earnings |
3,837,147 | / | 4,267,569 | / | |||||||||||||||
| 1c |
of which: treasury stock (-) |
6,475 | / | 7,888 | / | |||||||||||||||
| 26 |
of which: national specific regulatory adjustments (earnings to be distributed) (-) |
95,186 | / | 95,197 | / | |||||||||||||||
| of which: other than above |
— | / | — | / | ||||||||||||||||
| 1b |
Subscription rights to common shares |
1,173 | / | 714 | / | |||||||||||||||
| 3 |
Accumulated other comprehensive income and other disclosed reserves |
1,296,157 | 324,039 | 1,542,038 | / | |||||||||||||||
| 5 |
Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) |
14,173 | / | 11,788 | / | |||||||||||||||
| Total of items included in common equity Tier 1 capital: instruments and reserves subject to phase-out arrangements |
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 |
23,889 | / | / | / | ||||||||||||||||
| 6 | Common equity Tier 1 capital: instruments and reserves |
(A) | 8,462,197 | / | 9,114,225 | / | ||||||||||||||
| 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) |
635,819 | 158,954 | 776,925 | / | |||||||||||||||
| 8 |
of which: goodwill (net of related tax liability, including those equivalent) |
73,542 | 18,385 | 76,910 | / | |||||||||||||||
| 9 |
of which: other intangibles other than goodwill and mortgage servicing rights (net of related tax liability) |
562,276 | 140,569 | 700,015 | / | |||||||||||||||
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) |
35,022 | 8,755 | 43,383 | / | |||||||||||||||
| 11 |
Deferred gains or losses on derivatives under hedge accounting |
(6,171 | ) | (1,542 | ) | (123,418 | ) | / | ||||||||||||
| 12 |
Shortfall of eligible provisions to expected losses |
31,942 | 7,990 | 95,020 | / | |||||||||||||||
| 13 |
Securitization gain on sale |
45 | 11 | 6 | / | |||||||||||||||
| 14 |
Gains and losses due to changes in own credit risk on fair valued liabilities |
1,856 | 464 | 3,382 | / | |||||||||||||||
| 15 |
Net defined benefit asset |
458,030 | 114,507 | 682,547 | / | |||||||||||||||
| 16 |
Investments in own shares (excluding those reported in the net assets section) |
4,373 | 1,093 | 2,990 | / | |||||||||||||||
4
Table of Contents
| (Millions of yen, except percentage) | ||||||||||||||||||||
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| Basel III template |
Amounts excluded under transitional arrangements |
Amounts excluded under transitional arrangements |
||||||||||||||||||
| 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) |
20,679 | 5,169 | 26,120 | / | |||||||||||||||
| 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) | 1,181,599 | / | 1,506,958 | / | ||||||||||||||
| Common equity Tier 1 capital (CET1) |
||||||||||||||||||||
| 29 |
Common equity Tier 1 capital (CET1) ((A)-(B)) |
(C) | 7,280,598 | / | 7,607,267 | / | ||||||||||||||
| 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 |
1,220,000 | / | 1,570,000 | / | |||||||||||||||
| 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) |
30,283 | / | 30,891 | / | |||||||||||||||
| 33+35 |
Eligible Tier 1 capital instruments subject to phase-out arrangements included in additional Tier 1 capital: instruments |
577,500 | / | 303,000 | / | |||||||||||||||
| 33 |
of which: directly issued capital instruments subject to phase out from additional Tier 1 |
577,500 | / | 303,000 | / | |||||||||||||||
| 35 |
of which: instruments issued by subsidiaries subject to phase out |
— | / | — | / | |||||||||||||||
5
Table of Contents
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| Basel III template |
Amounts excluded under transitional arrangements |
Amounts excluded under transitional arrangements |
||||||||||||||||||
| Total of items included in additional Tier 1 capital: instruments subject to phase-out arrangements |
(15,115 | ) | / | / | / | |||||||||||||||
| of which: foreign currency translation adjustments |
(15,115 | ) | / | / | / | |||||||||||||||
| 36 |
Additional Tier 1 capital: instruments | (D) | 1,812,667 | / | 1,903,891 | / | ||||||||||||||
| Additional Tier 1 capital: regulatory adjustments |
|
|||||||||||||||||||
| 37 |
Investments in own additional Tier 1 instruments | — | — | 2,600 | / | |||||||||||||||
| 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) |
97 | 24 | 164 | / | |||||||||||||||
| 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) |
58,800 | 14,700 | 73,500 | / | |||||||||||||||
| Total of items included in additional Tier 1 capital: regulatory adjustments subject to phase-out arrangements |
29,557 | / | / | / | ||||||||||||||||
|
|
of which: goodwill equivalent |
14,508 | / | / | / | |||||||||||||||
| of which: intangible fixed assets recognized as a result of a merger |
11,044 | / | / | / | ||||||||||||||||
| of which: capital increase due to securitization transactions |
11 | / | / | / | ||||||||||||||||
| of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach |
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) | 88,455 | / | 76,264 | / | ||||||||||||||
| Additional Tier 1 capital (AT1) |
||||||||||||||||||||
| 44 |
Additional Tier 1 capital ((D)-(E)) |
(F) | 1,724,212 | / | 1,827,626 | / | ||||||||||||||
| Tier 1 capital (T1 = CET1 + AT1) |
||||||||||||||||||||
|
45 |
Tier 1 capital (T1 = CET1 + AT1) ((C)+(F)) | (G) | 9,004,810 | / | 9,434,893 | / | ||||||||||||||
| 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 |
828,555 | / | 994,185 | / | |||||||||||||||
| 46 |
Tier 2 instruments plus related stock surplus issued by special purpose vehicles and other equivalent entities |
169,110 | / | 170,370 | / | |||||||||||||||
| 48-49 |
Tier 2 instruments issued by subsidiaries and held by third parties (amount allowed in group Tier 2) |
10,117 | / | 9,681 | / | |||||||||||||||
6
Table of Contents
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| Basel III template |
Amounts excluded under transitional arrangements |
Amounts excluded under transitional arrangements |
||||||||||||||||||
| 47+49 |
Eligible Tier 2 capital instruments subject to phase-out arrangements included in Tier 2: instruments and provisions |
768,789 | / | 613,542 | / | |||||||||||||||
| 47 |
of which: directly issued capital instruments subject to phase out from Tier 2 |
162,256 | / | 129,106 | / | |||||||||||||||
| 49 |
of which: instruments issued by subsidiaries subject to phase out |
606,532 | / | 484,436 | / | |||||||||||||||
| 50 |
Total of general allowance for loan losses and eligible provisions included in Tier 2 |
4,639 | / | 4,457 | / | |||||||||||||||
| 50a |
of which: general allowance for loan losses |
4,639 | / | 4,457 | / | |||||||||||||||
| 50b |
of which: eligible provisions |
— | / | — | / | |||||||||||||||
| Total of items included in Tier 2 capital: instruments and provisions subject to phase-out arrangements |
193,665 | / | / | / | ||||||||||||||||
|
|
of which: 45% of unrealized gains on other securities |
174,670 | / | / | / | |||||||||||||||
| of which: 45% of revaluation reserve for land |
18,994 | / | / | / | ||||||||||||||||
| 51 |
Tier 2 capital: instruments and provisions | (H) | 1,974,876 | / | 1,792,236 | / | ||||||||||||||
| Tier 2 capital: regulatory adjustments |
||||||||||||||||||||
|
52 |
Investments in own Tier 2 instruments | 1,658 | 414 | 2,631 | / | |||||||||||||||
| 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) |
8,678 | 2,169 | 10,410 | / | |||||||||||||||
| 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 |
22,675 | / | / | / | ||||||||||||||||
| of which: investments in the capital banking, financial and insurance entities |
18,682 | / | / | / | ||||||||||||||||
| of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach |
3,992 | / | / | / | ||||||||||||||||
| 57 |
Tier 2 capital: regulatory adjustments | (I) | 33,011 | / | 13,041 | / | ||||||||||||||
| Tier 2 capital (T2) |
||||||||||||||||||||
| 58 |
Tier 2 capital (T2) ((H)-(I)) | (J) | 1,941,864 | / | 1,779,194 | / | ||||||||||||||
| Total capital (TC = T1 + T2) |
||||||||||||||||||||
| 59 |
Total capital (TC = T1 + T2) ((G)+(J)) | (K) | 10,946,675 | / | 11,214,088 | / | ||||||||||||||
7
Table of Contents
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| Basel III template |
Amounts excluded under transitional arrangements |
Amounts excluded under transitional arrangements |
||||||||||||||||||
| Risk weighted assets |
(5) | |||||||||||||||||||
| Total of items included in risk weighted assets subject to phase-out arrangements |
262,706 | / | / | / | ||||||||||||||||
| of which: intangible assets (net of related tax liability, excluding those relating to mortgage servicing rights) |
|
129,524 |
|
/ | / | / | ||||||||||||||
| of which: deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) |
8,755 | / | / | / | ||||||||||||||||
| of which: net defined benefit asset |
114,507 | / | / | / | ||||||||||||||||
| of which: investments in the capital banking, financial and insurance entities |
9,918 | / | / | / | ||||||||||||||||
| 60 |
Risk weighted assets |
(L) | 61,695,509 | / | 60,240,051 | / | ||||||||||||||
| Capital ratio (consolidated) |
||||||||||||||||||||
| 61 |
Common equity Tier 1 capital ratio (consolidated) ((C)/(L)) |
11.80 | % | / | 12.62 | % | / | |||||||||||||
| 62 |
Tier 1 capital ratio (consolidated) ((G)/(L)) |
14.59 | % | / | 15.66 | % | / | |||||||||||||
| 63 |
Total capital ratio (consolidated) ((K)/(L)) |
17.74 | % | / | 18.61 | % | / | |||||||||||||
| Regulatory adjustments |
(6) | |||||||||||||||||||
| 72 |
Non-significant investments in the capital of other financials that are below the thresholds for deduction (before risk weighting) |
731,117 | / | 763,336 | / | |||||||||||||||
| 73 |
Significant investments in the common stock of financials that are below the thresholds for deduction (before risk weighting) |
127,552 | / | 159,464 | / | |||||||||||||||
| 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) |
176,254 | / | 219,310 | / | |||||||||||||||
| Provisions included in Tier 2 capital: instruments and provisions |
(7) | |||||||||||||||||||
| 76 |
Provisions (general allowance for loan losses) |
4,639 | / | 4,457 | / | |||||||||||||||
| 77 |
Cap on inclusion of provisions (general allowance for loan losses) |
46,794 | / | 43,176 | / | |||||||||||||||
| 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 |
299,418 | / | 288,806 | / | |||||||||||||||
| Capital instruments subject to phase-out arrangements |
(8) | |||||||||||||||||||
| 82 |
Current cap on AT1 instruments subject to phase-out arrangements |
1,041,569 | / | 833,255 | / | |||||||||||||||
| 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 |
843,530 | / | 674,824 | / | |||||||||||||||
8
Table of Contents
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||
| Basel III template |
Amounts excluded under transitional arrangements |
Amounts excluded under transitional arrangements |
||||||||||||||||||
| 85 |
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) (if the amount is negative, report as “nil”) |
— | / | — | / | |||||||||||||||
| Notes: |
||
| 1. |
The above figures are calculated based on the international standard applied on a consolidated basis under the FSA Notice No. 20. | |
| 2. |
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. | |
9
Table of Contents
(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 template |
Reference # of Basel III template under the Composition of capital disclosure |
|||||||||||||
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||
| (Assets) |
||||||||||||||||
| Cash and due from banks |
50,982,819 | 46,579,445 | ||||||||||||||
| Call loans and bills purchased |
894,076 | 336,548 | ||||||||||||||
| Receivables under resale agreements |
9,408,646 | 10,275,017 | ||||||||||||||
| Guarantee deposits paid under securities borrowing transactions |
3,585,209 | 2,709,640 | ||||||||||||||
| Other debt purchased |
2,666,336 | 2,577,593 | ||||||||||||||
| Trading assets |
12,465,215 | 12,274,307 | 6-a | |||||||||||||
| Money held in trust |
269,577 | 409,725 | ||||||||||||||
| Securities |
32,072,076 | 34,975,299 | 2-b, 6-b | |||||||||||||
| Loans and bills discounted |
79,811,834 | 80,516,017 | 6-c | |||||||||||||
| Foreign exchange assets |
1,951,926 | 2,229,807 | ||||||||||||||
| Derivatives other than for trading assets |
1,844,878 | 1,428,605 | 6-d | |||||||||||||
| Other assets |
5,299,252 | 4,342,091 | 6-e | |||||||||||||
| Tangible fixed assets |
1,113,753 | 1,093,635 | ||||||||||||||
| Intangible fixed assets |
1,083,617 | 1,074,255 | 2-a | |||||||||||||
| Net defined benefit asset |
824,534 | 983,445 | 3 | |||||||||||||
| Deferred tax assets |
56,567 | 42,924 | 4-a | |||||||||||||
| Customers’ liabilities for acceptances and guarantees |
5,543,662 | 5,964,576 | ||||||||||||||
| Reserves for possible losses on loans |
(364,743 | ) | (252,177 | ) | ||||||||||||
|
|
|
|
|
|||||||||||||
| Total assets |
209,509,243 | 207,560,759 | ||||||||||||||
|
|
|
|
|
|||||||||||||
| (Liabilities) |
||||||||||||||||
| Deposits |
124,646,612 | 120,819,088 | ||||||||||||||
| Negotiable certificates of deposit |
11,992,948 | 12,500,325 | ||||||||||||||
| Call money and bills sold |
1,602,970 | 5,736,053 | ||||||||||||||
| Payables under repurchase agreements |
19,521,855 | 17,488,448 | ||||||||||||||
| Guarantee deposits received under securities lending transactions |
2,640,306 | 1,838,150 | ||||||||||||||
| Commercial paper |
339,787 | 683,390 | ||||||||||||||
| Trading liabilities |
7,815,999 | 7,682,367 | 6-f | |||||||||||||
| Borrowed money |
5,353,682 | 4,817,339 | 8-a | |||||||||||||
| Foreign exchange liabilities |
426,712 | 473,194 | ||||||||||||||
| Short-term bonds |
122,566 | 303,302 | ||||||||||||||
| Bonds and notes |
8,060,465 | 8,696,783 | 8-b | |||||||||||||
| Due to trust accounts |
4,692,390 | 4,725,740 | ||||||||||||||
| Derivatives other than for trading liabilities |
1,656,576 | 1,397,924 | 6-g | |||||||||||||
| Other liabilities |
4,902,561 | 4,174,229 | ||||||||||||||
| Reserve for bonus payments |
46,173 | 49,284 | ||||||||||||||
| Reserve for variable compensation |
1,614 | 1,500 | ||||||||||||||
| Net defined benefit liability |
56,163 | 59,466 | ||||||||||||||
| Reserve for director and corporate auditor retirement benefits |
1,284 | 1,308 | ||||||||||||||
| Reserve for possible losses on sales of loans |
124 | 1,153 | ||||||||||||||
| Reserve for contingencies |
5,473 | 4,750 | ||||||||||||||
| Reserve for reimbursement of deposits |
19,378 | 19,802 | ||||||||||||||
| Reserve for reimbursement of debentures |
28,132 | 28,197 | ||||||||||||||
| Reserves under special laws |
2,285 | 2,358 | ||||||||||||||
10
Table of Contents
| Items |
Consolidated balance sheet as in published financial statements |
Cross- reference to Appended template |
Reference # of Basel III template under the Composition of capital disclosure |
|||||||||||||
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||
| Deferred tax liabilities |
369,526 | 353,680 | 4-b | |||||||||||||
| Deferred tax liabilities for revaluation reserve for land |
66,237 | 65,732 | 4-c | |||||||||||||
| Acceptances and guarantees |
5,543,662 | 5,964,576 | ||||||||||||||
|
|
|
|
|
|||||||||||||
| Total liabilities |
199,915,493 | 197,888,149 | ||||||||||||||
|
|
|
|
|
|||||||||||||
|
(Net assets) |
||||||||||||||||
| Common stock and preferred stock |
2,256,548 | 2,256,767 | 1-a | |||||||||||||
| Capital surplus |
1,134,768 | 1,138,434 | 1-b | |||||||||||||
| Retained earnings |
3,837,710 | 4,268,037 | 1-c | |||||||||||||
| Treasury stock |
(6,475 | ) | (7,888 | ) | 1-d | |||||||||||
|
|
|
|
|
|||||||||||||
| Total shareholders’ equity |
7,222,552 | 7,655,351 | ||||||||||||||
|
|
|
|
|
|||||||||||||
| Net unrealized gains (losses) on other securities |
1,409,766 | 1,335,533 | ||||||||||||||
| Deferred gains or losses on hedges |
(7,714 | ) | (123,418 | ) | 5 | |||||||||||
| Revaluation reserve for land |
144,817 | 143,248 | ||||||||||||||
| Foreign currency translation adjustments |
(75,579 | ) | (90,790 | ) | ||||||||||||
| Remeasurements of defined benefit plans |
148,906 | 277,466 | ||||||||||||||
|
|
|
|
|
|||||||||||||
| Total accumulated other comprehensive income |
1,620,196 | 1,542,038 | 3 | |||||||||||||
|
|
|
|
|
|||||||||||||
| Stock acquisition rights |
1,173 | 714 | 1b | |||||||||||||
| Non-controlling interests |
749,827 | 474,506 | 7 | |||||||||||||
|
|
|
|
|
|||||||||||||
| Total net assets |
9,593,750 | 9,672,610 | ||||||||||||||
|
|
|
|
|
|||||||||||||
| Total liabilities and net assets |
209,509,243 | 207,560,759 | ||||||||||||||
|
|
|
|
|
|||||||||||||
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, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 1-a |
Common stock and preferred stock | 2,256,548 | 2,256,767 | |||||||||
| 1-b |
Capital surplus | 1,134,768 | 1,138,434 | |||||||||
| 1-c |
Retained earnings | 3,837,710 | 4,268,037 | |||||||||
| 1-d |
Treasury stock | (6,475 | ) | (7,888 | ) | |||||||
| Total shareholders’ equity | 7,222,552 | 7,655,351 | ||||||||||
| (2) Composition of capital |
||||||||||||
| Basel III |
(Millions of yen) | |||||||||||
| Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | |||||||||
| Directly issued qualifying common share capital plus related stock surplus and retained earnings |
7,221,989 | 7,654,882 | Shareholders’ equity attributable to common shares (before adjusting national specific regulatory adjustments (earnings to be distributed)) | |||||||||
| 1a |
of which: capital and stock surplus |
3,391,317 | 3,395,202 | |||||||||
| 2 |
of which: retained earnings |
3,837,147 | 4,267,569 | |||||||||
| 1c |
of which: treasury stock (-) |
6,475 | 7,888 | |||||||||
| 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 |
— | — | |||||||||
11
Table of Contents
| 2. Intangible fixed assets |
||||||||||||
| (1) Consolidated balance sheet |
||||||||||||
| (Millions of yen) |
||||||||||||
| Ref. |
Consolidated balance sheet items |
As of September 30, 2017 |
As of September 30, 2018 |
Remarks | ||||||||
| 2-a |
Intangible fixed assets | 1,083,617 | 1,074,255 | |||||||||
| 2-b |
Securities | 32,072,076 | 34,975,299 | |||||||||
| of which: share of goodwill of companies accounted for using the equity method |
19,383 | 9,381 | Share of goodwill of companies accounted for using the equity method | |||||||||
| Income taxes related to above | (308,227 | ) | (306,710 | ) | ||||||||
| (2) Composition of capital |
||||||||||||
| Basel III template |
(Millions of yen) |
|||||||||||
| Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | |||||||||
| 8 | Goodwill (net of related tax liability, including those equivalent) |
91,928 | 76,910 |
| ||||||||
| 9 | Other intangibles other than goodwill and mortgage servicing rights (net of related tax liability) |
702,845 | 700,015 | 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, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 3 |
Net defined benefit asset |
824,534 | 983,445 | |||||||||
| Income taxes related to above |
(251,996 | ) | (300,898 | ) | ||||||||
|
(2) Composition of capital
|
||||||||||||
| Basel III |
Composition of capital disclosure |
(Millions of yen) | ||||||||||
| As of September 30, 2017 |
As of September 30, 2018 |
Remarks | ||||||||||
| 15 | Net defined benefit asset |
572,538 | 682,547 | |||||||||
|
4. Deferred tax assets
|
||||||||||||
| (1) Consolidated balance sheet | ||||||||||||
| (Millions of yen) |
||||||||||||
| Ref. |
Consolidated balance sheet items |
As of September 30, 2017 |
As of September 30, 2018 |
Remarks | ||||||||
| 4-a | Deferred tax assets |
56,567 | 42,924 | |||||||||
| 4-b | Deferred tax liabilities |
369,526 | 353,680 | |||||||||
| 4-c | Deferred tax liabilities for revaluation reserve for land |
66,237 | 65,732 | |||||||||
| Tax effects on intangible fixed assets |
308,227 | 306,710 | ||||||||||
| Tax effects on net defined benefit asset |
251,996 | 300,898 | ||||||||||
12
Table of Contents
| (2) Composition of capital
|
||||||||||||
| Basel III template |
(Millions of yen) | |||||||||||
| Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | |||||||||
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) |
43,777 | 43,383 | 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) |
176,254 | 219,310 | This item does not agree with the amount reported on the consolidated balance sheet due to offsetting of assets and liabilities. | |||||||||
| 21 | Amount exceeding the 10% threshold on specified items |
— | — | |||||||||
| 25 | Amount exceeding the 15% threshold on specified items |
— | — | |||||||||
| 75 | Deferred tax assets arising from temporary differences that are below the thresholds for deduction (before risk weighting) |
176,254 | 219,310 | |||||||||
5. Deferred gains or losses on derivatives under hedge accounting
| (1) Consolidated balance sheet |
| (Millions of yen) | ||||||||||||
| Ref. |
Consolidated balance sheet items |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 5 | Deferred gains or losses on hedges |
(7,714 | ) | (123,418 | ) | |||||||
| (2) Composition of capital |
|
|||||||||||
| Basel III | (Millions of yen) | |||||||||||
| template |
Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 11 | Deferred gains or losses on derivatives under hedge accounting |
(7,714 | ) | (123,418) | ||||||||
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, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 6-a |
Trading assets | 12,465,215 | 12,274,307 | Including trading account securities and derivatives for trading assets | ||||||||
| 6-b |
Securities |
32,072,076 | 34,975,299 | |||||||||
| 6-c |
Loans and bills discounted |
79,811,834 | 80,516,017 | Including subordinated loans | ||||||||
| 6-d |
Derivatives other than for trading assets |
1,844,878 | 1,428,605 | |||||||||
| 6-e |
Other assets |
5,299,252 | 4,342,091 | Including money invested | ||||||||
| 6-f |
Trading liabilities | 7,815,999 | 7,682,367 | Including trading account securities sold | ||||||||
| 6-g |
Derivatives other than for trading liabilities |
1,656,576 | 1,397,924 | |||||||||
13
Table of Contents
| (2) Composition of capital |
| Basel III | (Millions of yen) | |||||||||||
| template |
Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| Investments in own capital instruments |
7,540 | 8,221 | ||||||||||
| 16 |
Common equity Tier 1 capital |
5,467 | 2,990 | |||||||||
| 37 |
Additional Tier 1 capital |
— | 2,600 | |||||||||
| 52 |
Tier 2 capital |
2,073 | 2,631 | |||||||||
| 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) |
767,936 | 800,032 | ||||||||||
| 18 |
Common equity Tier 1 capital |
25,849 | 26,120 | |||||||||
| 39 |
Additional Tier 1 capital |
122 | 164 | |||||||||
| 54 |
Tier 2 capital |
10,848 | 10,410 | |||||||||
| 72 |
Non-significant investments in the capital of other financials that are below the thresholds for deduction (before risk weighting) |
731,117 | 763,336 | |||||||||
| Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions |
201,052 | 232,964 | ||||||||||
| 19 |
Amount exceeding the 10% threshold on specified items |
— | — | |||||||||
| 23 |
Amount exceeding the 15% threshold on specified items |
— | — | |||||||||
| 40 |
Additional Tier 1 capital |
73,500 | 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) |
127,552 | 159,464 | |||||||||
|
7. Non-Controlling Interests
|
||||||||||||
| (1) Consolidated balance sheet
|
||||||||||||
| (Millions of yen) | ||||||||||||
| Ref. |
Consolidated balance sheet items |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 7 |
Non-Controlling Interests |
749,827 | 474,506 | |||||||||
|
(2) Composition of capital
|
||||||||||||
| Basel III | (Millions of yen) | |||||||||||
| template |
Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 5 |
Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1) |
14,173 | 11,788 | 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) |
30,283 | 30,891 | After reflecting amounts eligible for inclusion (non-controlling interest after adjustments) | ||||||||
| 46 |
Tier 2 instruments plus related stock surplus issued by special purpose vehicles and other equivalent entities |
169,110 | 170,370 | 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) |
10,117 | 9,681 | After reflecting amounts eligible for inclusion (non-controlling interest after adjustments) | ||||||||
14
Table of Contents
| 8. Other capital instruments
|
||||||||||||
| (1) Consolidated balance sheet
|
||||||||||||
| (Millions of yen) | ||||||||||||
| Ref. |
Consolidated balance sheet items |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 8-a |
Borrowed money |
5,353,682 | 4,817,339 | |||||||||
| 8-b |
Bonds and notes |
8,060,465 | 8,696,783 | |||||||||
| Total |
13,414,148 | 13,514,122 | ||||||||||
|
(2) Composition of capital
|
||||||||||||
| Basel III | (Millions of yen) | |||||||||||
| template |
Composition of capital disclosure |
As of September 30, 2017 | As of September 30, 2018 | Remarks | ||||||||
| 32 |
Directly issued qualifying additional Tier 1 instruments plus related stock surplus of which: classified as liabilities under applicable accounting standards |
1,220,000 | 1,570,000 | |||||||||
| 46 |
Directly issued qualifying Tier 2 instruments plus related stock surplus of which: classified as liabilities under applicable accounting standards |
828,555 | 994,185 | |||||||||
Note:
Amounts in the “Composition of capital disclosure” as of September 30, 2017 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.
15
Table of Contents
∎ Summary of Risk-weighted Assets (RWA)
(1) Summary of RWA
(A) OV1: Overview of Risk-weighted Assets (RWA)
| (Millions of yen) | ||||||||||||||||||
| a | b | c | d | |||||||||||||||
| RWA | capital requirements | |||||||||||||||||
| Basel III Template No. |
As of September 30, 2018 |
As of September 30, 2017 |
As of September 30, 2018 |
As of September 30, 2017 |
||||||||||||||
| 1 | Credit risk (excluding counterparty credit risk) |
39,321,500 | / | 3,318,738 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 2 | Of which: standardized approach (SA) |
1,746,997 | / | 139,759 | / | |||||||||||||
| 3 | Of which: internal rating-based (IRB) approach |
36,045,504 | / | 3,056,658 | / | |||||||||||||
| Of which: significant investments |
— | / | — | / | ||||||||||||||
| Of which: estimated residual value of lease transaction |
— | / | — | / | ||||||||||||||
| Others |
1,528,998 | / | 122,319 | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 4 | Counterparty credit risk (CCR) |
4,224,033 | / | 342,012 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 5 | Of which: SA-CCR |
— | / | — | / | |||||||||||||
| Of which: current exposure method |
191,124 | / | 15,676 | / | ||||||||||||||
| 6 | Of which: expected positive exposure (EPE) method |
785,753 | / | 65,991 | / | |||||||||||||
| Of which: credit valuation adjustment (CVA) risk |
2,217,316 | / | 177,385 | / | ||||||||||||||
| Of which: central counterparty-related |
209,223 | / | 16,737 | / | ||||||||||||||
| Others |
820,615 | / | 66,221 | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 7 | Equity positions in banking book under market-based approach |
2,933,478 | / | 248,758 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Fund exposures–standardized approach |
— | / | — | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Fund exposures–regarded method |
3,502,698 | / | 296,200 | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 11 | Settlement risk |
6,530 | / | 552 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 12 | Securitization exposures in banking book |
441,369 | / | 37,270 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 13 | Of which: IRB ratings-based approach (RBA) or IRB internal assessment approach (IAA) |
116,430 | / | 9,873 | / | |||||||||||||
| 14 | Of which: IRB supervisory formula approach (SFA) |
283,679 | / | 24,056 | / | |||||||||||||
| 15 | Of which: SA/simplified supervisory formula approach (SSFA) |
30,262 | / | 2,421 | / | |||||||||||||
| Of which: 1250% risk weight is applied |
10,996 | / | 920 | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 16 | Market risk |
2,939,149 | / | 235,131 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 17 | Of which: standardized approach (SA) |
1,567,039 | / | 125,363 | / | |||||||||||||
| 18 | Of which: internal model approaches (IMM) |
1,372,110 | / | 109,768 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 19 | Operational risk |
3,285,870 | / | 262,869 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 20 | Of which: basic indicator approach |
608,277 | / | 48,662 | / | |||||||||||||
| 21 | Of which: standardized approach |
— | / | — | / | |||||||||||||
| 22 | Of which: advanced measurement approach |
2,677,592 | / | 214,207 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 23 | Exposures of specified items not subject to regulatory adjustments |
946,938 | / | 77,668 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Amounts included in RWA subject to phase-out arrangements |
— | / | — | / | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 24 | Floor adjustment |
— | / | — | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 25 | Total (after applying the scaling factor) |
60,240,051 | / | 4,819,204 | / | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Note: | ||
| We disclose the data for the second half of the fiscal year ending March 31, 2019 according to the New FSA Notice. | ||
16
Table of Contents
(B) Credit Risk-weighted Assets by Asset Class and Ratings Segment
| (Billions of yen) | ||||||||||||||||||||||||
| As of September 30, 2017 | As of September 30, 2018 | |||||||||||||||||||||||
| EAD | RWA | Risk Weight (%) |
EAD | RWA | Risk Weight (%) |
|||||||||||||||||||
| Internal ratings-based approach |
188,644.2 | 50,102.5 | 26.55 | 193,945.7 | 48,333.8 | 24.92 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Corporate, etc. |
163,110.6 | 30,839.0 | 18.90 | 168,638.0 | 30,272.7 | 17.95 | ||||||||||||||||||
| Corporate (except specialized lending) |
78,267.6 | 28,172.9 | 35.99 | 84,490.1 | 27,747.6 | 32.84 | ||||||||||||||||||
| Ratings A1-B2 |
56,939.5 | 14,611.7 | 25.66 | 63,327.7 | 14,669.1 | 23.16 | ||||||||||||||||||
| Ratings C1-D3 |
19,491.2 | 11,691.7 | 59.98 | 19,822.4 | 11,831.0 | 59.68 | ||||||||||||||||||
| Ratings E1-E2 |
1,242.9 | 1,659.9 | 133.55 | 827.7 | 1,073.1 | 129.65 | ||||||||||||||||||
| Ratings E2R-H1 |
593.9 | 209.5 | 35.28 | 512.2 | 174.2 | 34.01 | ||||||||||||||||||
| Sovereign |
79,046.8 | 1,097.1 | 1.38 | 77,614.4 | 896.5 | 1.15 | ||||||||||||||||||
| Ratings A1-B2 |
78,923.2 | 1,018.9 | 1.29 | 77,500.9 | 813.1 | 1.04 | ||||||||||||||||||
| Ratings C1-D3 |
123.2 | 77.5 | 62.96 | 113.3 | 83.2 | 73.47 | ||||||||||||||||||
| Ratings E1-E2 |
0.3 | 0.5 | 143.05 | 0.2 | 0.1 | 56.74 | ||||||||||||||||||
| Ratings E2R-H1 |
0.0 | 0.0 | 40.48 | 0.0 | 0.0 | 39.19 | ||||||||||||||||||
| Bank |
5,622.1 | 1,385.0 | 24.63 | 6,374.1 | 1,460.3 | 22.91 | ||||||||||||||||||
| Ratings A1-B2 |
5,057.2 | 1,078.5 | 21.32 | 5,839.3 | 1,128.3 | 19.32 | ||||||||||||||||||
| Ratings C1-D3 |
563.3 | 306.0 | 54.32 | 534.4 | 331.8 | 62.09 | ||||||||||||||||||
| Ratings E1-E2 |
0.0 | 0.0 | 184.04 | 0.1 | 0.0 | 72.69 | ||||||||||||||||||
| Ratings E2R-H1 |
1.4 | 0.4 | 29.54 | 0.2 | 0.0 | 29.94 | ||||||||||||||||||
| Specialized lending |
173.9 | 183.9 | 105.71 | 159.2 | 168.1 | 105.59 | ||||||||||||||||||
| Retail |
11,935.7 | 4,464.1 | 37.4 | 11,304.0 | 3,735.1 | 33.04 | ||||||||||||||||||
| Residential mortgage |
9,218.6 | 3,105.6 | 33.68 | 8,858.9 | 2,505.9 | 28.28 | ||||||||||||||||||
| Qualifying revolving loan |
654.7 | 435.1 | 66.46 | 657.6 | 508.5 | 77.32 | ||||||||||||||||||
| Other retail |
2,062.3 | 923.3 | 44.76 | 1,787.4 | 720.5 | 40.31 | ||||||||||||||||||
| Equities |
5,337.7 | 8,973.4 | 168.11 | 5,174.5 | 8,383.9 | 162.02 | ||||||||||||||||||
| PD/LGD approach |
4,221.3 | 5,367.5 | 127.15 | 4,213.9 | 5,266.7 | 124.98 | ||||||||||||||||||
| Market-based approach |
1,116.3 | 3,605.9 | 323.01 | 960.5 | 3,117.2 | 324.51 | ||||||||||||||||||
| Regarded-method exposure |
1,839.1 | 3,574.3 | 194.35 | 2,058.6 | 3,702.6 | 179.85 | ||||||||||||||||||
| Securitizations |
4,247.9 | 369.2 | 8.69 | 4,525.3 | 433.1 | 9.57 | ||||||||||||||||||
| Others |
2,173.0 | 1,882.3 | 86.62 | 2,245.0 | 1,806.3 | 80.45 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Standardized approach |
17,523.9 | 3,544.0 | 20.22 | 13,805.2 | 3,254.6 | 23.57 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| CVA risk |
/ | 2,216.1 | / | / | 2,217.3 | / | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Central counterparty-related |
/ | 219.5 | / | / | 209.2 | / | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total |
206,168.1 | 56,082.3 | 27.2 | 207,750.9 | 54,015.0 | 25.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Note:
“Specialized lending” is specialized lending exposure under supervisory slotting criteria.
<Reference> The following table sets forth information with respect to the definition of 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. | |||||||||||||||
|
E1 |
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.
|
|||||||||||||||
| E2 | ||||||||||||||||
| R | * | |||||||||||||||
| F1 | 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
| ||||||||||||||
| G1 | 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. | |||||||||||||||
| H1 | 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 |
17
Table of Contents
(1) Quantitative Disclosure on Credit Risk
Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures below.
(A) CR1: Credit Quality of Assets
| (Millions of yen) | ||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||
| a | b | c | d | |||||||||||||||
| Gross carrying values of | ||||||||||||||||||
| Defaulted exposures |
Non-defaulted exposures |
Reserve | Net values (a+b-c) |
|||||||||||||||
| On-balance sheet exposures | ||||||||||||||||||
| 1 | Loans |
560,796 | 78,277,208 | 215,070 | 78,622,934 | |||||||||||||
| 2 | Debt securities |
4,698 | 26,834,507 | — | 26,839,206 | |||||||||||||
| 3 | Other on-balance sheet debt exposures |
5,275 | 50,244,030 | 2,810 | 50,246,495 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 4 | Total on-balance sheet exposures (1+2+3) |
570,771 | 155,355,746 | 217,880 | 155,708,636 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Off-balance sheet exposures | ||||||||||||||||||
| 5 | Guarantees |
18,376 | 5,945,316 | 23,767 | 5,939,925 | |||||||||||||
| 6 | Commitments |
15,616 | 26,434,835 | — | 26,450,452 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 7 | Total off-balance sheet exposures (5+6) |
33,993 | 32,380,151 | 23,767 | 32,390,377 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| 8 | Total assets (4+7) |
604,764 | 187,735,898 | 241,648 | 188,099,014 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Notes: |
||
| 1. |
Other on-balance sheet debt exposures include deposits, call loans, bills purchased, other debt purchased, money held in trust and foreign exchange assets, etc. | |
| 2. |
Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on. | |
| 3. |
Reserve corresponds to the amount of reserves for possible loan losses | |
(B) CR2: Changes in Defaulted Loans and Debt Securities
| (Millions of yen) | ||||||||
| No. |
Exposure | |||||||
| 1 |
Defaulted loans and debt securities as of March 31, 2018 | 653,659 | ||||||
| 2 |
Breakdown of changes in loans and debt securities during this reporting period |
Defaulted | 72,124 | |||||
| 3 |
Returned to non-defaulted status | 46,073 | ||||||
| 4 |
Amounts written off | 22,596 | ||||||
| 5 |
Other changes | (86,342 | ) | |||||
| 6 |
Defaulted loans and debt securities as of September 30, 2018 (1+2-3-4+5) | 570,771 | ||||||
Note:
Other changes corresponds to the amount of variation in defaulted exposures arising from debt recovery and additional credit to defaulted obligors, etc.
18
Table of Contents
(2) Credit Risk under Internal Ratings-Based (IRB) Approach
(i) Quantitative Disclosure on Credit Risk under Internal Ratings-based Approach
(A) CR6: IRB–Credit Risk Exposures by Portfolio and PD Range
| (Millions of yen, %, number in the thousands, year) | ||||||||||||||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | j | k | l | |||||||||||||||||||||||||||||||||||||||
| PD scale |
Original on-balance sheet gross exposure |
Off- balance sheet exposures pre CCF |
Average CCF |
EAD post CRM and post-CCF |
Average PD |
Number of obligors |
Average LGD |
Average maturity |
RWA | RWA density |
EL | Provisions | ||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Sovereign |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
66,102,098 | 467,936 | 78.11 | 67,863,464 | 0.00 | 0.3 | 38.00 | 1.5 | 664,156 | 0.97 | 900 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
26,107 | 1,474 | 75.00 | 7,940 | 0.27 | 0.0 | 37.97 | 3.8 | 4,439 | 55.91 | 8 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
6,284 | — | — | 5,833 | 0.50 | 0.0 | 35.49 | 3.4 | 3,664 | 62.81 | 10 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
128,826 | 5,111 | 75.00 | 85,064 | 1.24 | 0.0 | 37.97 | 1.3 | 60,186 | 70.75 | 402 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
69,790 | 6,574 | 75.00 | 1,877 | 3.21 | 0.0 | 37.97 | 3.2 | 2,210 | 117.76 | 22 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
18,114 | — | — | 191 | 15.16 | 0.0 | 5.30 | 3.9 | 53 | 27.88 | 1 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
1,802 | — | — | 2 | 100.00 | 0.0 | 30.82 | 1.0 | 0 | 36.97 | 0 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
66,353,025 | 481,096 | 78.02 | 67,964,374 | 0.00 | 0.3 | 38.00 | 1.5 | 734,712 | 1.08 | 1,347 | 787 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Banks |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
3,606,369 | 843,108 | 68.47 | 4,618,831 | 0.06 | 0.3 | 37.47 | 1.5 | 788,903 | 17.08 | 1,098 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
140,336 | 38,272 | 71.62 | 167,096 | 0.27 | 0.0 | 34.76 | 1.5 | 55,296 | 33.09 | 149 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
92,297 | 22,242 | 54.12 | 99,739 | 0.50 | 0.0 | 36.64 | 1.7 | 52,737 | 52.87 | 179 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
227,774 | 42,464 | 69.49 | 240,074 | 1.12 | 0.0 | 37.07 | 1.1 | 175,765 | 73.21 | 999 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
23,274 | 13,728 | 72.61 | 14,083 | 3.16 | 0.0 | 42.03 | 1.7 | 16,730 | 118.78 | 186 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
265 | — | — | 265 | 100.00 | 0.0 | 96.57 | 5.0 | 75 | 28.24 | 250 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
4,090,317 | 959,816 | 68.37 | 5,140,091 | 0.14 | 0.5 | 37.36 | 1.5 | 1,089,508 | 21.19 | 2,864 | 1,673 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Corporate (except SME and specialized lending) |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
39,465,542 | 23,308,850 | 73.71 | 57,563,759 | 0.07 | 7.0 | 38.03 | 2.4 | 12,329,342 | 21.41 | 16,945 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
4,373,841 | 1,325,306 | 75.19 | 5,057,722 | 0.27 | 5.3 | 33.54 | 2.7 | 2,074,548 | 41.01 | 4,695 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
3,499,199 | 943,452 | 74.03 | 4,072,508 | 0.50 | 3.8 | 33.90 | 2.8 | 2,289,355 | 56.21 | 6,948 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
4,616,743 | 1,147,157 | 75.92 | 4,948,057 | 1.19 | 5.0 | 31.92 | 2.8 | 3,556,995 | 71.88 | 18,898 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
1,470,179 | 335,920 | 69.61 | 1,253,154 | 3.66 | 6.0 | 30.29 | 2.7 | 1,157,675 | 92.38 | 14,126 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
473,095 | 160,093 | 77.38 | 400,862 | 15.16 | 0.7 | 28.29 | 2.3 | 551,975 | 137.69 | 17,203 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
346,619 | 27,415 | 73.89 | 345,218 | 100.00 | 0.5 | 40.03 | 2.2 | 107,016 | 30.99 | 129,650 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
54,245,221 | 27,248,196 | 73.85 | 73,641,283 | 0.80 | 28.5 | 36.91 | 2.5 | 22,066,910 | 29.96 | 208,468 | 121,792 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| SME |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
86,027 | 53,668 | 73.10 | 122,125 | 0.10 | 0.0 | 32.19 | 3.1 | 24,804 | 20.31 | 38 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
601,492 | 29,485 | 71.95 | 612,641 | 0.27 | 3.1 | 25.19 | 2.8 | 163,263 | 26.64 | 427 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
643,451 | 16,959 | 71.32 | 636,153 | 0.50 | 3.4 | 22.87 | 3.1 | 201,174 | 31.62 | 732 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
1,310,885 | 45,293 | 74.58 | 1,301,707 | 1.20 | 5.9 | 21.50 | 3.4 | 540,949 | 41.55 | 3,466 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
449,935 | 18,866 | 79.68 | 442,031 | 3.30 | 2.7 | 20.65 | 3.8 | 234,136 | 52.96 | 3,078 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
157,157 | 5,157 | 74.51 | 153,317 | 15.16 | 0.7 | 18.78 | 3.1 | 121,803 | 79.44 | 4,369 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
145,333 | 775 | 61.86 | 136,457 | 100.00 | 0.6 | 42.62 | 2.3 | 42,442 | 31.10 | 54,763 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
3,394,284 | 170,206 | 73.84 | 3,404,435 | 5.72 | 16.7 | 23.42 | 3.2 | 1,328,574 | 39.02 | 66,876 | 39,070 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Specialized Lending |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
2,600,569 | 305,192 | 76.56 | 2,414,041 | 0.09 | 0.4 | 35.28 | 4.3 | 756,824 | 31.35 | 819 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
400,392 | 185,609 | 78.26 | 432,729 | 0.27 | 0.0 | 39.64 | 4.2 | 265,989 | 61.46 | 474 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
222,812 | 99,798 | 74.62 | 242,831 | 0.50 | 0.0 | 38.78 | 4.0 | 185,663 | 76.45 | 473 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
400,411 | 92,648 | 75.08 | 321,920 | 0.97 | 0.0 | 38.15 | 4.5 | 316,881 | 98.43 | 1,191 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
79,164 | 7,794 | 76.51 | 39,764 | 4.16 | 0.0 | 36.76 | 4.6 | 54,069 | 135.97 | 615 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
42,410 | 1,400 | 93.96 | 9,800 | 15.16 | 0.0 | 37.97 | 3.9 | 19,729 | 201.31 | 564 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
27,688 | 418 | 99.99 | 24,576 | 100.00 | 0.0 | 64.54 | 4.3 | 12,093 | 49.20 | 14,896 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
3,773,450 | 692,861 | 76.59 | 3,485,664 | 1.01 | 0.6 | 36.56 | 4.3 | 1,611,251 | 46.22 | 19,035 | 11,121 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Equities (PD/LGD approach) |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
3,682,099 | 115,548 | 100.00 | 3,797,647 | 0.05 | 1.0 | 90.00 | 5.0 | 3,956,333 | 104.17 | / | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | / | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
95,148 | — | — | 95,148 | 0.27 | 0.4 | 90.00 | 5.0 | 150,572 | 158.25 | / | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
39,354 | — | — | 39,354 | 0.50 | 0.3 | 90.00 | 5.0 | 80,497 | 204.54 | / | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
105,586 | — | — | 105,586 | 1.25 | 0.2 | 90.00 | 5.0 | 291,781 | 276.34 | / | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
12,058 | — | — | 12,058 | 4.06 | 0.0 | 90.00 | 5.0 | 46,523 | 385.81 | / | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
943 | — | — | 943 | 15.16 | 0.0 | 90.00 | 5.0 | 6,318 | 669.85 | / | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
4,030 | — | — | 4,030 | 100.00 | 0.1 | 90.00 | 5.0 | 45,341 | 1,125.00 | / | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
3,939,221 | 115,548 | 100.00 | 4,054,769 | 0.21 | 2.3 | 90.00 | 5.0 | 4,577,368 | 112.88 | / | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
19
Table of Contents
(-Continued)
| (Millions of yen, %, number in the thousands, year) | ||||||||||||||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | j | k | l | |||||||||||||||||||||||||||||||||||||||
| PD scale |
Original on-balance sheet gross exposure |
Off- balance sheet exposures pre CCF |
Average CCF |
EAD post CRM and post-CCF |
Average PD |
Number of obligors |
Average LGD |
Average maturity |
RWA | RWA density |
EL | Provisions | ||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||
| Purchased receivables (Corporate, etc.)–Default Risk Equivalent |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
1,900,286 | 635,299 | 75.19 | 2,371,285 | 0.07 | 0.6 | 38.29 | 2.1 | 431,196 | 18.18 | 720 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
128,441 | 61,875 | 76.44 | 175,739 | 0.27 | 0.1 | 37.93 | 2.0 | 70,720 | 40.24 | 184 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
146,916 | 20,555 | 81.80 | 163,730 | 0.50 | 0.1 | 37.86 | 1.8 | 85,199 | 52.03 | 311 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
84,293 | 40,154 | 78.62 | 115,867 | 1.13 | 0.0 | 37.97 | 1.9 | 84,432 | 72.87 | 499 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
13,609 | — | — | 13,047 | 3.40 | 0.0 | 37.96 | 2.5 | 14,622 | 112.07 | 168 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
436 | 19,048 | 75.73 | 14,862 | 15.16 | 0.0 | 37.97 | 1.0 | 25,939 | 174.53 | 855 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
1,905 | — | — | 1,905 | 100.00 | 0.0 | 55.41 | 1.0 | 1,067 | 56.00 | 970 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
2,275,890 | 776,933 | 75.65 | 2,856,439 | 0.31 | 1.1 | 38.24 | 2.0 | 713,178 | 24.96 | 3,711 | 2,168 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Purchased receivables (Retail)–Default Risk Equivalent |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
87 | — | — | 87 | 2.12 | 0.0 | 42.69 | 1.0 | 49 | 55.82 | 0 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
87 | — | — | 87 | 2.12 | 0.0 | 42.69 | 1.0 | 49 | 55.82 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Purchased receivables (Dilution Risk Equivalent) |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
922,426 | 12,592 | 100.00 | 935,019 | 0.08 | 0.1 | 6.14 | — | 139,131 | 14.88 | 312 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | — | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
49,619 | — | — | 49,619 | 0.27 | 0.0 | 13.12 | — | 15,467 | 31.17 | 52 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
45,740 | — | — | 45,740 | 0.50 | 0.0 | 19.96 | — | 23,057 | 50.40 | 87 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
71,032 | — | — | 71,032 | 1.66 | 0.0 | 26.50 | — | 54,315 | 76.46 | 449 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
6,166 | — | — | 6,166 | 3.74 | 0.0 | 37.97 | — | 6,136 | 99.51 | 87 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
1,119 | — | — | 1,119 | 15.16 | 0.0 | 37.97 | — | 1,882 | 168.13 | 64 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
4,940 | — | — | 4,940 | 100.00 | 0.0 | 49.24 | — | 2,560 | 51.83 | 2,227 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
1,101,045 | 12,592 | 100.00 | 1,113,638 | 0.69 | 0.1 | 8.72 | — | 242,552 | 21.78 | 3,280 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Retail–qualifying revolving retail exposures (QRRE) |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
— | — | — | — | — | — | — | / | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | 31 | 0.18 | 0.4 | 77.41 | / | 2 | 7.82 | 0 | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
— | — | — | 70 | 0.35 | 2.0 | 78.04 | / | 9 | 13.14 | 0 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
— | — | — | — | — | — | — | / | — | — | — | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
241,806 | 873,575 | 14.80 | 371,125 | 2.31 | 479.3 | 78.03 | / | 207,006 | 55.77 | 6,708 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
171,763 | 895,589 | 8.24 | 245,510 | 4.08 | 1,841.3 | 78.04 | / | 200,242 | 81.56 | 7,825 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
33,971 | 16,943 | 37.26 | 40,284 | 18.45 | 118.8 | 78.04 | / | 72,007 | 178.74 | 5,800 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
521 | 1,337 | 11.36 | 670 | 100.00 | 2.0 | 71.84 | / | 533 | 79.54 | 438 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
448,063 | 1,787,445 | 11.72 | 657,693 | 4.06 | 2,444.0 | 78.03 | / | 479,801 | 72.95 | 20,773 | 12,136 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Retail–Residential mortgage |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
1,587,493 | — | — | 1,621,320 | 0.07 | 123.8 | 29.13 | / | 89,974 | 5.54 | 361 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
1,403,767 | — | — | 1,405,418 | 0.19 | 90.5 | 31.43 | / | 176,710 | 12.57 | 883 | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
2,073,588 | — | — | 2,078,207 | 0.35 | 145.1 | 33.14 | / | 420,958 | 20.25 | 2,460 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
1,921,100 | 94,608 | 97.90 | 1,971,708 | 0.67 | 178.3 | 36.00 | / | 673,648 | 34.16 | 4,718 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
1,595,251 | 743 | 100.00 | 1,597,278 | 1.12 | 122.3 | 36.04 | / | 768,886 | 48.13 | 6,385 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
80,452 | 3,072 | 100.00 | 84,070 | 9.60 | 7.2 | 37.36 | / | 140,223 | 166.79 | 3,015 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
29,884 | 2,332 | 100.00 | 32,229 | 48.13 | 3.1 | 39.78 | / | 61,705 | 191.45 | 6,179 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
67,292 | 1,345 | 100.00 | 68,718 | 100.00 | 4.3 | 45.29 | / | 31,999 | 46.56 | 28,565 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
8,758,831 | 102,101 | 98.06 | 8,858,952 | 1.52 | 674.9 | 33.45 | / | 2,364,108 | 26.68 | 52,570 | 30,712 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Other retail |
| |||||||||||||||||||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
21 | — | — | 280,380 | 0.05 | 38.8 | 43.49 | / | 18,105 | 6.45 | 71 | / | |||||||||||||||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
8 | — | — | 54,272 | 0.17 | 4.3 | 43.08 | / | 8,740 | 16.10 | 41 | / | |||||||||||||||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
119,038 | 27 | 100.00 | 135,414 | 0.34 | 4.5 | 46.57 | / | 36,665 | 27.07 | 220 | / | |||||||||||||||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
185,818 | 572 | 75.15 | 184,617 | 0.69 | 70.0 | 26.63 | / | 40,919 | 22.16 | 322 | / | |||||||||||||||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
932,959 | 3,515 | 79.07 | 864,854 | 1.39 | 24.7 | 51.23 | / | 471,471 | 54.51 | 5,437 | / | |||||||||||||||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
375,436 | 1,936 | 66.77 | 164,544 | 6.32 | 10.4 | 19.74 | / | 48,416 | 29.42 | 1,781 | / | |||||||||||||||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
92,135 | 9,564 | 53.10 | 47,419 | 18.26 | 11.4 | 31.50 | / | 30,984 | 65.34 | 3,012 | / | |||||||||||||||||||||||||||||||||||||
| 8 | 100.00 (Default) |
69,080 | 2,701 | 90.54 | 55,052 | 100.00 | 2.8 | 43.88 | / | 24,155 | 43.87 | 22,226 | / | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 9 | Sub-total |
1,774,499 | 18,317 | 65.81 | 1,786,555 | 4.93 | 167.2 | 43.22 | / | 679,460 | 38.03 | 33,114 | 19,346 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Total (all portfolios) |
150,153,939 | 32,365,116 | 70.60 | 172,963,985 | 0.64 | 3,336.7 | 38.16 | 2.10 | 35,887,475 | 20.67 | 412,043 | 238,808 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Notes: |
||
| 1. |
Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above. | |
| 2. |
On-balance sheet exposures, pre-CCF and pre- CRM off-balance sheet exposures, and the average CCF are allocated to the PD ranges based on pre- CRM PD estimates. | |
| 3. |
The number of credits is disclosed as the number of data of obligors for QRRE, residential mortgage and other retail excluding credit for business purpose. | |
20
Table of Contents
(B) CR10: IRB -Specialized Lending under the Slotting Criteria Approach and Equity Exposures under the Market-based Approach etc.
| (Millions of yen, %) |
| As of September 30, 2018 |
||||||||||||||||||||||||||||||||||||||||||
| a |
b |
c | d | e | f | g | h | i | j | k | l | |||||||||||||||||||||||||||||||
| Specialized lending under slotting criteria approach |
||||||||||||||||||||||||||||||||||||||||||
| Other than HVCRE |
||||||||||||||||||||||||||||||||||||||||||
| Remaining maturity |
On- balance sheet amount |
Off- balance sheet amount |
RW | Exposure amount | RWA | Expected losses |
||||||||||||||||||||||||||||||||||||
| Regulatory categories |
P F | O F | C F | I P R E | Total | |||||||||||||||||||||||||||||||||||||
| Strong |
Less than 2.5 years |
— | — | 50 | % | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| Equal to or more than 2.5 years |
24,962 | — | 70 | % | — | 24,962 | — | — | 24,962 | 17,473 | 99 | |||||||||||||||||||||||||||||||
| Good |
Less than 2.5 years | — | — | 70 | % | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
| Equal to or more than 2.5 years |
— | — | 90 | % | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
| Satisfactory |
3,255 | — | 115 | % | — | 3,260 | — | — | 3,260 | 3,749 | 91 | |||||||||||||||||||||||||||||||
| Weak |
10,884 | — | 250 | % | — | 11,045 | — | — | 11,045 | 27,614 | 883 | |||||||||||||||||||||||||||||||
| Default |
3,081 | — | — | — | 9,312 | — | — | 9,312 | — | 4,656 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total |
42,183 | — | — | — | 48,581 | — | — | 48,581 | 48,837 | 5,731 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| HVCRE |
||||||||||||||||||||||||||||||||||||||||||
| Regulatory categories |
Remaining maturity |
On- balance sheet amount |
Off- balance sheet amount |
RW | Exposure amount |
RWA | Expected losses |
|||||||||||||||||||||||||||||||||||
| Strong |
Less than 2.5 years |
6,299 | — | 70 | % | 6,299 | 4,409 | 25 | ||||||||||||||||||||||||||||||||||
| Equal to or more than 2.5 years |
59,337 | 26,856 | 95 | % | 79,483 | 75,509 | 317 | |||||||||||||||||||||||||||||||||||
| Good |
Less than 2.5 years | 9 | — | 95 | % | 9 | 9 | 0 | ||||||||||||||||||||||||||||||||||
| Equal to or more than 2.5 years |
21,384 | 3,970 | 120 | % | 24,385 | 29,263 | 97 | |||||||||||||||||||||||||||||||||||
| Satisfactory |
— | — | 140 | % | — | — | — | |||||||||||||||||||||||||||||||||||
| Weak |
— | — | 250 | % | — | — | — | |||||||||||||||||||||||||||||||||||
| Default |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Total |
87,031 | 30,826 | — | 110,178 | 109,191 | 440 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Equity exposures under the market-based approach etc. |
||||||||||||||||||||||||||||||||||||||||||
| Equity exposures under the market-based approach |
||||||||||||||||||||||||||||||||||||||||||
| Categories |
On- balance sheet amount |
Off- balance sheet amount |
RW | Exposure amount |
RWA | |||||||||||||||||||||||||||||||||||||
| Exchange-traded equity exposures |
872,252 | 22,143 | 300 | % | 894,395 | 2,683,187 | ||||||||||||||||||||||||||||||||||||
| Private equity exposures |
60,140 | 1,733 | 400 | % | 61,440 | 245,761 | ||||||||||||||||||||||||||||||||||||
| Other equity exposures |
— | — | — | — | — | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Total |
932,392 | 23,877 | — | 955,836 | 2,928,949 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| Equity exposures to which a risk weight of 100% is applied |
||||||||||||||||||||||||||||||||||||||||||
| Equity exposures to which a risk weight of 100% is applied |
4,528 | — | 100 | % | 4,528 | 4,528 | ||||||||||||||||||||||||||||||||||||
| Notes: |
||
| 1. |
Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above. | |
| 2. |
PF, OF, CF and IPRE respectively stand for project finance, object finance, commodity finance and income-producing real estate. | |
(C) Credit RWA Exposures under Regarded-method
| (Millions of yen) | ||||
| As of September 30, 2018 | ||||
| Ending balance |
2,058,655 | |||
21
Table of Contents
(3) Credit Risk under Standardized Approach
(i) Quantitative disclosure on credit risk under standardized approach
(A) CR5: Standardized Approach–Exposures by Asset Classes and Risk Weights
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | j | k | ||||||||||||||||||||||||||||||||||||||||||
| Credit exposures amount (post CCF and post-CRM) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Asset classes |
Risk weight | 0% | 10% | 20% | 35% | 50% | 75% | 100% | 150% | 250% | 1,250% | Total | ||||||||||||||||||||||||||||||||||||||||
| 1 | Cash | 10,201 | — | — | — | — | — | — | — | — | — | 10,201 | ||||||||||||||||||||||||||||||||||||||||
| 2 | Japanese sovereigns and Bank of Japan |
8,487,594 | — | — | — | — | — | — | — | — | — | 8,487,594 | ||||||||||||||||||||||||||||||||||||||||
| 3 | Foreign central sovereigns and central banks |
59,051 | — | 38,912 | — | 108,388 | — | 41,517 | — | — | — | 247,870 | ||||||||||||||||||||||||||||||||||||||||
| 4 | Bank for International Settlements, etc. |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 5 | Japanese non-central governmental PSEs |
45,808 | — | — | — | — | — | — | — | — | — | 45,808 | ||||||||||||||||||||||||||||||||||||||||
| 6 | Non-central governmental PSEs other than foreign central sovereigns, etc. |
— | — | 8,767 | — | 0 | — | 15 | — | — | — | 8,783 | ||||||||||||||||||||||||||||||||||||||||
| 7 | International development banks |
2,821 | — | — | — | — | — | — | — | — | — | 2,821 | ||||||||||||||||||||||||||||||||||||||||
| 8 | Japan Finance Organization for Municipalities |
— | 36,000 | — | — | — | — | — | — | — | — | 36,000 | ||||||||||||||||||||||||||||||||||||||||
| 9 | Japanese government institutions |
— | 566,186 | — | — | — | — | — | — | — | — | 566,186 | ||||||||||||||||||||||||||||||||||||||||
| 10 | Three regional public sectors of Japan |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 11 | Financial institutions and business operators conducting the type I financial instruments business |
— | — | 463,086 | — | 33,647 | — | 90,703 | — | — | — | 587,438 | ||||||||||||||||||||||||||||||||||||||||
| 12 | Corporates, etc. |
— | — | — | — | — | — | 1,416,382 | — | — | — | 1,416,382 | ||||||||||||||||||||||||||||||||||||||||
| 13 | Regulatory retail portfolios and individuals |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 14 | Mortgage housing loan |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 15 | Real estate acquisition business, etc. |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 16 | Claims past due for 3 months or more (excluding mortgage housing loan) |
— | — | — | — | 85 | — | 12 | 25 | — | — | 123 | ||||||||||||||||||||||||||||||||||||||||
| 17 | Claims past due for 3 months or more regarding mortgage housing loan |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 18 | Bills in process of collection |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 19 | With guarantee of Credit Guarantee Corporations, etc. |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 20 | With guarantee of Regional Economy Vitalization Corporation of Japan |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
| 21 | Investments, etc. (excluding significant investments) |
— | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| 22 | Total |
|
8,605,476 | 602,186 | 510,767 | — | 142,122 | — | 1,548,631 | 25 | — | — | 11,409,210 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| Note: |
||
| Counterparty credit risk exposures, credit risk related to securitization transactions, and exposures which are underlaid with the plural number of assets and transactions are excluded from the amount of credit risk exposures above. | ||
(B) Exposures which are underlaid with the plural number of assets and transactions and cannot be judged the risk weights directly in the institutions that adopt The Standardized Approach
| (Millions of yen) | ||||
| As of September 30, 2018 | ||||
| Ending balance |
— | |||
22
Table of Contents
(4) Credit Risk Mitigation Techniques
(i) Quantitative Disclosure on Credit Risk Mitigation Techniques
Counterparty risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures below.
(A) CR3: Credit Risk Mitigation Techniques–Overview
| (Millions of yen) | ||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||
| a | b | c | d | e | ||||||||||||||||||||
| Exposures unsecured |
Exposures secured |
Exposures secured by collateral |
Exposures secured by financial guarantees |
Exposures secured by credit derivatives |
||||||||||||||||||||
| 1 | Loans | 61,823,877 | 16,799,056 | 6,081,367 | 7,390,764 | 5,162 | ||||||||||||||||||
| 2 | Debt securities | 26,303,832 | 535,373 | 198,610 | 267,613 | — | ||||||||||||||||||
| 3 | Other on balance debt assets | 50,137,483 | 109,012 | 2,843 | 105,593 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| 4 | Total (1+2+3) | 138,265,193 | 17,443,443 | 6,282,820 | 7,763,971 | 5,162 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| 5 | Of which defaulted | 174,020 | 278,197 | 117,123 | 52,746 | — | ||||||||||||||||||
| Notes: | ||
| 1. | Other on-balance debt assets include deposits, call loans, bills purchased, monetary claims bought, money held in trust, and foreign exchange assets, etc. | |
| 2. | Defaulted exposures include restructured loans, loans past due for three months or more, loans to bankrupt borrowers and so on. | |
(B) CR4: Standardized Approach–Credit Risk Exposure and Credit Risk Mitigation (CRM) Effects
| (Millions of yen, except percentages) | ||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||
| a | b | c | d | e | f | |||||||||||||||||||||||
| Exposures before CCF and CRM |
Exposures post-CCF and |
|||||||||||||||||||||||||||
| Asset classes |
On-balance sheet amount |
Off-balance sheet amount |
On-balance sheet amount |
Off-balance sheet amount |
RWA | RWA density |
||||||||||||||||||||||
| 1 | Cash |
10,201 | — | 10,201 | — | — | 0.00 | |||||||||||||||||||||
| 2 | Japanese sovereigns and Bank of Japan |
8,487,594 | — | 8,487,594 | — | — | 0.00 | |||||||||||||||||||||
| 3 | Foreign central sovereigns and central banks |
247,870 | — | 247,870 | — | 103,494 | 41.75 | |||||||||||||||||||||
| 4 | Bank for International Settlements, etc. |
— | — | — | — | — | — | |||||||||||||||||||||
| 5 | Japanese non-central governmental PSEs |
45,808 | — | 45,808 | — | — | 0.00 | |||||||||||||||||||||
| 6 | Non-central governmental PSEs other than foreign central sovereigns, etc. |
8,783 | — | 8,783 | — | 1,769 | 20.14 | |||||||||||||||||||||
| 7 | International development banks |
2,821 | — | 2,821 | — | — | 0.00 | |||||||||||||||||||||
| 8 | Japan finance organization for municipalities |
36,000 | — | 36,000 | — | 3,600 | 10.00 | |||||||||||||||||||||
| 9 | Japanese government institutions |
566,186 | — | 566,186 | — | 21,569 | 3.80 | |||||||||||||||||||||
| 10 | Three regional public sectors of Japan |
— | — | — | — | — | — | |||||||||||||||||||||
| 11 | Financial institutions and business operators conducting the type I financial instruments business |
593,045 | 759 | 587,058 | 379 | 200,144 | 34.07 | |||||||||||||||||||||
| 12 | Corporates, etc. |
1,208,648 | 263,808 | 1,208,634 | 207,748 | 1,416,326 | 99.99 | |||||||||||||||||||||
| 13 | Regulatory retail portfolios and individuals |
— | — | — | — | — | — | |||||||||||||||||||||
| 14 | Mortgage housing loan |
— | — | — | — | — | — | |||||||||||||||||||||
| 15 | Real estate acquisition business, etc. |
— | — | — | — | — | — | |||||||||||||||||||||
| 16 | Loans past due for 3 months or more (excluding mortgage housing loan) |
123 | — | 123 | — | 93 | 75.72 | |||||||||||||||||||||
| 17 | Loans past due for 3 months or more regarding mortgage housing loan |
— | — | — | — | — | — | |||||||||||||||||||||
| 18 | Bills in process of collection |
— | — | — | — | — | — | |||||||||||||||||||||
| 19 | With guarantee of Credit Guarantee Corporation, etc. |
— | — | — | — | — | — | |||||||||||||||||||||
| 20 | With guarantee of Regional Economy Vitalization Corporation of Japan |
— | — | — | — | — | — | |||||||||||||||||||||
| 21 | Investments, etc. (excluding significant investments) |
— | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 22 | Total |
11,207,083 | 264,567 | 11,201,082 | 208,128 | 1,746,997 | 15.31 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
23
Table of Contents
(C) CR7: IRB–Effect on RWA of Credit Derivatives Used as CRM Techniques
| (Millions of yen) | ||||||||||||
| As of September 30, 2018 | ||||||||||||
| a | b | |||||||||||
| Portfolios |
Pre-credit derivatives RWA |
Actual RWA | ||||||||||
| 1 | Sovereign–FIRB |
— | — | |||||||||
| 2 | Sovereign–AIRB |
611,652 | 611,652 | |||||||||
| 3 | Banks–FIRB |
— | — | |||||||||
| 4 | Banks–AIRB |
1,028,501 | 1,028,501 | |||||||||
| 5 | Corporate (except Specialized lending)–FIRB |
— | — | |||||||||
| 6 | Corporate (except Specialized lending)–AIRB |
23,483,705 | 23,481,461 | |||||||||
| 7 | Specialized lending–FIRB |
— | — | |||||||||
| 8 | Specialized lending–AIRB |
1,867,370 | 1,867,370 | |||||||||
| 9 | Retail–qualifying revolving retail exposures (QRRE) |
479,801 | 479,801 | |||||||||
| 10 | Retail–residential mortgage exposures |
2,364,108 | 2,364,108 | |||||||||
| 11 | Other retail exposures |
679,460 | 679,460 | |||||||||
| 12 | Equity–FIRB |
— | — | |||||||||
| 13 | Equity–AIRB |
4,586,769 | 4,586,769 | |||||||||
| 14 | Purchased receivables–FIRB |
— | — | |||||||||
| 15 | Purchased receivables–AIRB |
955,779 | 955,779 | |||||||||
|
|
|
|
|
|||||||||
| 16 | Total |
36,057,149 | 36,054,905 | |||||||||
|
|
|
|
|
|||||||||
(1) Quantitative Disclosure on Counterparty Credit Risk
(A) CCR1: Analysis of Counterparty Credit risk (CCR) Exposure by Approach
| (Millions of yen) | ||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||
| a | b | c | d | e | f | |||||||||||||||||||||||
| Replacement cost |
Potential future exposure |
EEPE | Alpha used for computing regulatory EAD |
EAD post-CRM |
RWA | |||||||||||||||||||||||
| 1 | SA-CCR |
— | — | / | 1.4 | — | — | |||||||||||||||||||||
| Current Exposure Method |
279,700 | 256,537 | / | / | 506,701 | 191,124 | ||||||||||||||||||||||
| 2 | Internal Model Method |
/ | / | 1,739,752 | 1.4 | 2,435,654 | 785,753 | |||||||||||||||||||||
| 3 | Simple Approach for credit risk mitigation |
/ | / | / | / | 337,612 | 41,269 | |||||||||||||||||||||
| 4 | Comprehensive Approach for credit risk mitigation |
/ | / | / | / | 10,489,748 | 779,346 | |||||||||||||||||||||
| 5 | VAR for SFTs |
/ | / | / | / | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 6 | Total |
/ | / | / | / | / | 1,797,493 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
(B) CCR2: Credit Valuation Adjustment (CVA) Capital Charge
| (Millions of yen) | ||||||||||||
| As of September 30, 2018 | ||||||||||||
| a | b | |||||||||||
| EAD post-CRM | RWA | |||||||||||
| 1 | Total portfolios subject to the Advanced CVA capital charge |
— | — | |||||||||
| 2 | (i) VAR component (including the 3×multiplier) |
/ | — | |||||||||
| 3 | (ii) Stressed VAR component (including the 3×multiplier) |
/ | — | |||||||||
|
|
|
|
|
|||||||||
| 4 | All portfolios subject to the Standardized CVA capital charge |
3,298,716 | 2,217,316 | |||||||||
|
|
|
|
|
|||||||||
| 5 | Total subject to the CVA capital charge |
3,298,716 | 2,217,316 | |||||||||
|
|
|
|
|
|||||||||
24
Table of Contents
(C) CCR3: Standardized Approach–CCR Exposures by Regulatory Portfolio and Risk Weights
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | ||||||||||||||||||||||||||||||||||||
| Credit exposures amount (post CCF and post-CRM) | ||||||||||||||||||||||||||||||||||||||||||||
| Regulatory portfolio |
Risk weight | 0% | 10% | 20% | 50% | 75% | 100% | 150% | Other | Total | ||||||||||||||||||||||||||||||||||
| 1 | Japanese sovereigns and Bank of Japan |
314,775 | — | — | — | — | — | — | — | 314,775 | ||||||||||||||||||||||||||||||||||
| 2 | Foreign central sovereigns and central banks |
1,879 | — | 1,513 | 752 | — | 328 | — | — | 4,473 | ||||||||||||||||||||||||||||||||||
| 3 | Bank for International Settlements, etc. |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| 4 | Japanese non-central governmental PSEs |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| 5 | Non-central governmental PSEs other than foreign central sovereigns, etc. |
— | — | 22,178 | 767 | — | 24 | — | — | 22,970 | ||||||||||||||||||||||||||||||||||
| 6 | International development banks |
7,246 | — | — | — | — | — | — | — | 7,246 | ||||||||||||||||||||||||||||||||||
| 7 | Japan Finance Organization for Municipalities |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| 8 | Japanese government institutions |
— | 944 | — | — | — | — | — | — | 944 | ||||||||||||||||||||||||||||||||||
| 9 | Three regional public sectors of Japan |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| 10 | Financial institutions and business operators conducting the type I financial instruments business |
— | — | 601,343 | 22,187 | — | 42,919 | — | — | 666,450 | ||||||||||||||||||||||||||||||||||
| 11 | Corporates, etc. |
— | — | — | — | — | 770,037 | — | — | 770,037 | ||||||||||||||||||||||||||||||||||
| 12 | Regulatory retail portfolios and individuals |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| 13 | Other assets |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 14 | Total | 323,901 | 944 | 625,036 | 23,706 | — | 813,310 | — | — | 1,786,899 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
(D) CCR4: IRB–CCR Exposures by Portfolio and PD Scale
| (Millions of yen, %, number in the thousands, year) | ||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | ||||||||||||||||||||||||||
| PD scale |
EAD post-CRM |
Average PD |
Number of counterparty |
Average LGD |
Average maturity |
RWA | RWA density |
|||||||||||||||||||||||||
| Sovereign |
||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
9,264,162 | 0.00 | 0.0 | 37.97 | 4.6 | 53,572 | 0.57 | ||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
349 | 0.27 | 0.0 | 37.97 | 2.9 | 167 | 47.98 | ||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
18 | 0.50 | 0.0 | 37.97 | 4.7 | 14 | 81.23 | ||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
3,617 | 0.92 | 0.0 | 37.97 | 4.7 | 3,576 | 98.88 | ||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
83 | 3.13 | 0.0 | 37.97 | 1.4 | 82 | 98.45 | ||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
| 8 | 100.00 (Default) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 9 | Sub-total |
9,268,230 | 0.00 | 0.0 | 37.97 | 4.6 | 57,414 | 0.61 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Banks |
||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
1,195,225 | 0.06 | 0.3 | 37.97 | 2.2 | 269,621 | 22.55 | ||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
19,141 | 0.27 | 0.0 | 37.97 | 1.1 | 8,239 | 43.04 | ||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
2,901 | 0.50 | 0.0 | 37.90 | 3.8 | 2,650 | 91.33 | ||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
99 | 1.08 | 0.0 | 36.74 | 1.0 | 65 | 66.06 | ||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
4,462 | 3.13 | 0.0 | 37.97 | 0.8 | 4,116 | 92.25 | ||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
| 8 | 100.00 (Default) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 9 | Sub-total |
1,221,830 | 0.07 | 0.4 | 37.96 | 2.2 | 284,692 | 23.30 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Corporate |
||||||||||||||||||||||||||||||||
| 1 | 0.00 to <0.15 |
1,056,522 | 0.07 | 2.4 | 37.85 | 3.2 | 274,198 | 25.95 | ||||||||||||||||||||||||
| 2 | 0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||||
| 3 | 0.25 to <0.50 |
60,313 | 0.27 | 1.2 | 34.63 | 2.6 | 24,751 | 41.03 | ||||||||||||||||||||||||
| 4 | 0.50 to <0.75 |
29,267 | 0.50 | 1.0 | 34.34 | 2.3 | 15,157 | 51.79 | ||||||||||||||||||||||||
| 5 | 0.75 to <2.50 |
39,562 | 1.19 | 1.2 | 33.82 | 2.9 | 30,049 | 75.95 | ||||||||||||||||||||||||
| 6 | 2.50 to <10.00 |
12,772 | 3.66 | 0.4 | 33.24 | 2.6 | 12,916 | 101.12 | ||||||||||||||||||||||||
| 7 | 10.00 to <100.00 |
2,449 | 15.16 | 0.1 | 32.49 | 2.1 | 3,852 | 157.27 | ||||||||||||||||||||||||
| 8 | 100.00 (Default) |
1,174 | 100.00 | 0.1 | 41.51 | 3.2 | 289 | 24.67 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 9 | Sub-total |
1,202,062 | 0.29 | 6.6 | 37.41 | 3.2 | 361,216 | 30.04 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
25
Table of Contents
(-Continued)
| As of September 30, 2018 | ||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | ||||||||||||||||||||||||
| PD scale |
EAD post-CRM |
Average PD |
Number of counterparty |
Average LGD |
Average maturity |
RWA | RWA density |
|||||||||||||||||||||||
| SME |
||||||||||||||||||||||||||||||
| 1 |
0.00 to <0.15 |
699 | 0.10 | 0.0 | 24.09 | 2.7 | 72 | 10.40 | ||||||||||||||||||||||
| 2 |
0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 3 |
0.25 to <0.50 |
5,571 | 0.27 | 0.6 | 20.94 | 3.2 | 1,292 | 23.19 | ||||||||||||||||||||||
| 4 |
0.50 to <0.75 |
3,684 | 0.50 | 0.6 | 23.38 | 3.2 | 1,294 | 35.12 | ||||||||||||||||||||||
| 5 |
0.75 to <2.50 |
8,010 | 1.16 | 1.0 | 22.54 | 3.4 | 3,629 | 45.31 | ||||||||||||||||||||||
| 6 |
2.50 to <10.00 |
3,737 | 3.18 | 0.3 | 22.17 | 3.9 | 2,135 | 57.12 | ||||||||||||||||||||||
| 7 |
10.00 to <100.00 |
643 | 15.16 | 0.0 | 27.25 | 3.0 | 762 | 118.50 | ||||||||||||||||||||||
| 8 |
100.00 (Default) |
441 | 100.00 | 0.0 | 40.44 | 3.5 | 91 | 20.70 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 9 |
Sub-total |
22,788 | 3.44 | 2.7 | 22.75 | 3.4 | 9,278 | 40.71 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Specialized Lending |
||||||||||||||||||||||||||||||
| 1 |
0.00 to <0.15 |
184,823 | 0.11 | 0.2 | 39.90 | 4.5 | 75,328 | 40.75 | ||||||||||||||||||||||
| 2 |
0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 3 |
0.25 to <0.50 |
35,721 | 0.27 | 0.0 | 38.53 | 4.6 | 22,589 | 63.23 | ||||||||||||||||||||||
| 4 |
0.50 to <0.75 |
15,134 | 0.50 | 0.0 | 37.97 | 4.0 | 11,205 | 74.03 | ||||||||||||||||||||||
| 5 |
0.75 to <2.50 |
27,293 | 1.03 | 0.0 | 37.97 | 4.2 | 26,187 | 95.94 | ||||||||||||||||||||||
| 6 |
2.50 to <10.00 |
649 | 4.41 | 0.0 | 37.97 | 3.4 | 848 | 130.76 | ||||||||||||||||||||||
| 7 |
10.00 to <100.00 |
493 | 15.16 | 0.0 | 37.97 | 5.0 | 1,039 | 210.61 | ||||||||||||||||||||||
| 8 |
100.00 (Default) |
2,489 | 100.00 | 0.0 | 55.78 | 4.9 | 1,387 | 55.74 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 9 |
Sub-total |
266,605 | 1.22 | 0.3 | 39.55 | 4.5 | 138,587 | 51.98 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Purchased receivables |
||||||||||||||||||||||||||||||
| 1 |
0.00 to <0.15 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 2 |
0.15 to <0.25 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 3 |
0.25 to <0.50 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 4 |
0.50 to <0.75 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 5 |
0.75 to <2.50 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 6 |
2.50 to <10.00 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 7 |
10.00 to <100.00 |
— | — | — | — | — | — | — | ||||||||||||||||||||||
| 8 |
100.00 (Default) |
— | — | — | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 9 |
Sub-total |
— | — | — | — | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Retails |
||||||||||||||||||||||||||||||
| 1 |
0.00 to <0.15 |
— | — | — | — | / | — | — | ||||||||||||||||||||||
| 2 |
0.15 to <0.25 |
— | — | — | — | / | — | — | ||||||||||||||||||||||
| 3 |
0.25 to <0.50 |
— | — | — | — | / | — | — | ||||||||||||||||||||||
| 4 |
0.50 to <0.75 |
— | — | — | — | / | — | — | ||||||||||||||||||||||
| 5 |
0.75 to <2.50 |
732 | 1.92 | 0.8 | 27.68 | / | 259 | 35.43 | ||||||||||||||||||||||
| 6 |
2.50 to <10.00 |
8 | 4.03 | 0.0 | 4.41 | / | 0 | 6.37 | ||||||||||||||||||||||
| 7 |
10.00 to <100.00 |
30 | 16.20 | 0.0 | 16.59 | / | 9 | 31.42 | ||||||||||||||||||||||
| 8 |
100.00 (Default) |
2 | 100.00 | 0.0 | 39.11 | / | 1 | 41.47 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 9 |
Sub-total |
774 | 2.87 | 0.9 | 27.03 | / | 270 | 34.97 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total (all portfolios) |
11,982,292 | 0.07 | 11.1 | 37.92 | 4.2 | 851,459 | 7.10 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
(E) CCR5: Composition of Collateral for CCR Exposure
| (Millions of yen) | ||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||
| a | b | c | d | e | f | |||||||||||||||||||||||
| Collateral used in derivative transactions | Collateral used in SFTs | |||||||||||||||||||||||||||
| Fair value of collateral received |
Fair value of posted collateral |
Fair value of collateral |
Fair value of posted |
|||||||||||||||||||||||||
| Segregated | Unsegregated | Segregated | Unsegregated | received | collateral | |||||||||||||||||||||||
| 1 | Cash–domestic currency | 2,909 | 625,510 | 4,150 | 789,785 | 2,189,898 | 2,695,496 | |||||||||||||||||||||
| 2 | Cash–other currencies | 323,427 | 364,363 | 225,453 | 460,906 | 17,140,277 | 10,008,014 | |||||||||||||||||||||
| 3 | Domestic sovereign debt | 43,261 | 364,529 | 153,714 | 339,703 | 2,228,480 | 3,041,321 | |||||||||||||||||||||
| 4 | Other sovereign debt | 108,945 | 80,510 | 275,280 | 125,062 | 8,074,718 | 13,967,205 | |||||||||||||||||||||
| 5 | Government agency debt | 1,182 | — | 464 | — | 107,959 | 88,128 | |||||||||||||||||||||
| 6 | Corporate bonds | 2,248 | 17,621 | 2,137 | 12,379 | 1,161,719 | 1,766,822 | |||||||||||||||||||||
| 7 | Equity securities | — | 402,080 | — | 137,116 | 1,592,626 | 1,502,763 | |||||||||||||||||||||
| 8 | Other collateral | — | 3,105 | — | — | 21,869 | 363,831 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 9 | Total | 481,975 | 1,857,721 | 661,201 | 1,864,955 | 32,517,551 | 33,433,583 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
26
Table of Contents
(F) CCR6: Credit Derivatives Exposures
| (Millions of yen) | ||||||||||||
| As of September 30, 2018 | ||||||||||||
| a | b | |||||||||||
| Protection bought | Protection sold | |||||||||||
| Notionals | ||||||||||||
| 1 | Single-name credit default swaps |
1,157,568 | 1,183,797 | |||||||||
| 2 | Index credit default swaps |
309,609 | 236,353 | |||||||||
| 3 | Total return swaps |
4,543 | 11,358 | |||||||||
| 4 | Credit options |
— | — | |||||||||
| 5 | Other credit derivatives |
1,100 | — | |||||||||
| 6 | Total notionals |
1,472,821 | 1,431,508 | |||||||||
|
|
|
|
|
|||||||||
| Fair values |
||||||||||||
| 7 | Positive fair value (asset) |
2,769 | 17,589 | |||||||||
| 8 | Negative fair value (liability) |
(16,171 | ) | (1,936 | ) | |||||||
|
|
(G) CCR8: Exposures to Central Counterparties
|
|||||||||||
| (Millions of yen) | ||||||||||||
| As of September 30, 2018 | ||||||||||||
| a | b | |||||||||||
| EAD (post-CRM) | RWA | |||||||||||
| 1 | Exposures to QCCPs (total) | / | 209,223 | |||||||||
| 2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which |
882,138 | 4,146 | |||||||||
| 3 | (i) OTC derivatives |
467,271 | 473 | |||||||||
| 4 | (ii) Exchange-traded derivatives |
110,113 | 2,509 | |||||||||
| 5 | (iii) Securities financing transactions |
304,753 | 1,163 | |||||||||
| 6 | (iv) Netting sets where cross-product netting has been approved |
— | — | |||||||||
| 7 | Segregated initial margin |
111,076 | / | |||||||||
| 8 | Non-segregated initial margin |
523,405 | 10,913 | |||||||||
| 9 | Pre-funded default fund contributions |
332,180 | 176,936 | |||||||||
| 10 | Unfunded default fund contributions |
36,459 | 17,226 | |||||||||
| 11 | Exposures to non-QCCPs (total) | / | — | |||||||||
| 12 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which |
— | — | |||||||||
| 13 | (i) OTC derivatives |
— | — | |||||||||
| 14 | (ii) Exchange-traded derivatives |
— | — | |||||||||
| 15 | (iii) Securities financing transactions |
— | — | |||||||||
| 16 | (iv) Netting sets where cross-product netting has been approved |
— | — | |||||||||
| 17 | Segregated initial margin |
— | / | |||||||||
| 18 | Non-segregated initial margin |
— | — | |||||||||
| 19 | Pre-funded default fund contributions |
— | — | |||||||||
| 20 | Unfunded default fund contributions |
— | — | |||||||||
27
Table of Contents
(1) Quantitative Disclosure on Securitization Exposures
(A) SEC1: Securitization Exposures in the Banking Book by Type of Underlying Assets
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | ||||||||||||||||||||||||||||||
| Bank acts as originator | Bank acts as sponsor | Banks acts as investor | ||||||||||||||||||||||||||||||||||||
| type of underlying assets |
Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | |||||||||||||||||||||||||||||
| 1 | Retail (total)–of which | 0 | — | 0 | 993,792 | — | 993,792 | 1,684,784 | — | 1,684,784 | ||||||||||||||||||||||||||||
| 2 | residential mortgage |
0 | — | 0 | — | — | — | 823,311 | — | 823,311 | ||||||||||||||||||||||||||||
| 3 | credit card |
— | — | — | 295,700 | — | 295,700 | 86,699 | — | 86,699 | ||||||||||||||||||||||||||||
| 4 | other retail exposures |
— | — | — | 698,091 | — | 698,091 | 774,772 | — | 774,772 | ||||||||||||||||||||||||||||
| 5 | re-securitization |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 6 | Wholesale (total)–of which |
25,767 | 538,309 | 564,077 | 160,855 | — | 160,855 | 1,138,283 | — | 1,138,283 | ||||||||||||||||||||||||||||
| 7 | loans to corporates |
25,767 | 538,309 | 564,077 | — | — | — | 549,630 | — | 549,630 | ||||||||||||||||||||||||||||
| 8 | commercial mortgage |
— | — | — | — | — | — | 189 | — | 189 | ||||||||||||||||||||||||||||
| 9 | lease and receivables |
— | — | — | 160,855 | — | 160,855 | 480,277 | — | 480,277 | ||||||||||||||||||||||||||||
| 10 | other wholesale |
— | — | — | — | — | — | 108,186 | — | 108,186 | ||||||||||||||||||||||||||||
| 11 | re-securitization |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| (B) SEC2: Securitization Exposures in the Trading Book by Type of Underlying Assets |
||||||||||||||||||||||||||||||||||||||
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | i | ||||||||||||||||||||||||||||||
| Bank acts as originator | Bank acts as sponsor | Banks acts as investor | ||||||||||||||||||||||||||||||||||||
| type of underlying assets |
Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | Traditional | Synthetic | Sub-total | |||||||||||||||||||||||||||||
| 1 | Retail (total)–of which | — | — | — | — | — | — | 10,115 | — | 10,115 | ||||||||||||||||||||||||||||
| 2 | residential mortgage |
— | — | — | — | — | — | 8,401 | — | 8,401 | ||||||||||||||||||||||||||||
| 3 | credit card |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 4 | other retail exposures |
— | — | — | — | — | — | 1,713 | — | 1,713 | ||||||||||||||||||||||||||||
| 5 | re-securitization |
— | — | — | — | — | — | 0 | — | 0 | ||||||||||||||||||||||||||||
| 6 | Wholesale (total)–of which |
— | — | — | — | — | — | 10,506 | — | 10,506 | ||||||||||||||||||||||||||||
| 7 | loans to corporates |
— | — | — | — | — | — | 9,534 | — | 9,534 | ||||||||||||||||||||||||||||
| 8 | commercial mortgage |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 9 | lease and receivables |
— | — | — | — | — | — | 971 | — | 971 | ||||||||||||||||||||||||||||
| 10 | other wholesale |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 11 | re-securitization |
— | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
28
Table of Contents
(C) SEC3: Securitization Exposures in the Banking Book and Associated Regulatory Capital Requirements–Bank Acting as Originator or as Sponsor
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | |||||||||||||||||||||||||||||
| Total exposures |
Traditional securitization |
Of which securitization |
Of which retail underlying |
Of which wholesale |
Of which re-securitization |
Of which senior |
Of which non-senior |
|||||||||||||||||||||||||||||
| Exposure values (by RW bands) |
| |||||||||||||||||||||||||||||||||||
| 1 | £20% RW |
1,612,396 | 1,098,459 | 1,098,459 | 951,670 | 146,788 | — | — | — | |||||||||||||||||||||||||||
| 2 | >20% to 50% RW |
39,962 | 39,962 | 39,962 | 1,428 | 38,534 | — | — | — | |||||||||||||||||||||||||||
| 3 | >50% to 100% RW |
41,258 | 41,258 | 41,258 | 40,692 | 565 | — | — | — | |||||||||||||||||||||||||||
| 4 | >100% to <1250% RW |
24,427 | 734 | 734 | — | 734 | — | — | — | |||||||||||||||||||||||||||
| 5 | 1250% RW |
680 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| Exposure values (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 6 | IRB RBA (including IAA) |
139,336 | 139,336 | 139,336 | 138,640 | 696 | — | — | — | |||||||||||||||||||||||||||
| 7 | IRB SFA |
1,578,708 | 1,041,078 | 1,041,078 | 855,151 | 185,927 | — | — | — | |||||||||||||||||||||||||||
| 8 | SA/SSFA |
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 9 | 1250% |
680 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| RWA (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 10 | IRB RBA (including IAA) |
11,558 | 11,558 | 11,558 | 11,474 | 83 | — | — | — | |||||||||||||||||||||||||||
| 11 | IRB SFA |
170,859 | 124,361 | 124,361 | 97,851 | 26,510 | — | — | — | |||||||||||||||||||||||||||
| 12 | SA/SSFA |
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 13 | 1250% |
8,500 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| Capital charge after cap |
| |||||||||||||||||||||||||||||||||||
| 14 | IRB RBA (including IAA) |
980 | 980 | 980 | 973 | 7 | — | — | — | |||||||||||||||||||||||||||
| 15 | IRB SFA |
14,488 | 10,545 | 10,545 | 8,297 | 2,248 | — | — | — | |||||||||||||||||||||||||||
| 16 | SA/SSFA |
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| 17 | 1250% |
720 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||
| i | j | k | l | m | n | o | ||||||||||||||||||||||||||||||
| Synthetic securitization |
Of which securitization |
Of which retail underlying |
Of which wholesale |
Of which re-securitization |
Of which senior |
Of which non-senior |
||||||||||||||||||||||||||||||
| Exposure values (by RW bands) |
| |||||||||||||||||||||||||||||||||||
| 1 | £20% RW |
513,936 | 513,936 | — | 513,936 | — | — | — | ||||||||||||||||||||||||||||
| 2 | >20% to 50% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 3 | >50% to 100% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 4 | >100% to <1250% RW |
23,692 | 23,692 | — | 23,692 | — | — | — | ||||||||||||||||||||||||||||
| 5 | 1250% RW |
680 | 680 | — | 680 | — | — | — | ||||||||||||||||||||||||||||
| Exposure values (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 6 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 7 | IRB SFA |
537,629 | 537,629 | — | 537,629 | — | — | — | ||||||||||||||||||||||||||||
| 8 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 9 | 1250% |
680 | 680 | — | 680 | — | — | — | ||||||||||||||||||||||||||||
| RWA (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 10 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 11 | IRB SFA |
46,498 | 46,498 | — | 46,498 | — | — | — | ||||||||||||||||||||||||||||
| 12 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 13 | 1250% |
8,500 | 8,500 | — | 8,500 | — | — | — | ||||||||||||||||||||||||||||
| Capital charge after cap |
| |||||||||||||||||||||||||||||||||||
| 14 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 15 | IRB SFA |
3,943 | 3,943 | — | 3,943 | — | — | — | ||||||||||||||||||||||||||||
| 16 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 17 | 1250% |
720 | 720 | — | 720 | — | — | — | ||||||||||||||||||||||||||||
29
Table of Contents
(D) SEC4: Securitization Exposures in the Banking Book and Associated Regulatory Capital Requirements–Bank Acting as Investor
| (Millions of yen) | ||||||||||||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||
| a | b | c | d | e | f | g | h | |||||||||||||||||||||||||||||
| Total exposures |
Traditional securitization |
Of which securitization |
Of which retail underlying |
Of which wholesale |
Of which re-securitization |
Of which senior |
Of which non-senior |
|||||||||||||||||||||||||||||
| Exposure values (by RW bands) |
| |||||||||||||||||||||||||||||||||||
| 1 | £20% RW |
2,756,702 | 2,756,702 | 2,756,702 | 1,663,190 | 1,093,512 | — | — | — | |||||||||||||||||||||||||||
| 2 | >20% to 50% RW |
46,328 | 46,328 | 46,328 | 21,594 | 24,734 | — | — | — | |||||||||||||||||||||||||||
| 3 | >50% to 100% RW |
10,499 | 10,499 | 10,499 | — | 10,499 | — | — | — | |||||||||||||||||||||||||||
| 4 | >100% to <1250% RW |
9,337 | 9,337 | 9,337 | — | 9,337 | — | — | — | |||||||||||||||||||||||||||
| 5 | 1250% RW |
199 | 199 | 199 | 0 | 199 | — | — | — | |||||||||||||||||||||||||||
| Exposure values (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 6 | IRB RBA (including IAA) |
1,468,602 | 1,468,602 | 1,468,602 | 875,596 | 593,005 | — | — | — | |||||||||||||||||||||||||||
| 7 | IRB SFA |
1,338,025 | 1,338,025 | 1,338,025 | 809,088 | 528,937 | — | — | — | |||||||||||||||||||||||||||
| 8 | SA/SSFA |
16,240 | 16,240 | 16,240 | 100 | 16,140 | — | — | — | |||||||||||||||||||||||||||
| 9 | 1250% |
199 | 199 | 199 | 0 | 199 | — | — | — | |||||||||||||||||||||||||||
| RWA (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 10 | IRB RBA (including IAA) |
104,871 | 104,871 | 104,871 | 63,281 | 41,590 | — | — | — | |||||||||||||||||||||||||||
| 11 | IRB SFA |
112,819 | 112,819 | 112,819 | 59,556 | 53,262 | — | — | — | |||||||||||||||||||||||||||
| 12 | SA/SSFA |
30,262 | 30,262 | 30,262 | 20 | 30,242 | — | — | — | |||||||||||||||||||||||||||
| 13 | 1250% |
2,496 | 2,496 | 2,496 | 0 | 2,496 | — | — | — | |||||||||||||||||||||||||||
| Capital charge after cap |
| |||||||||||||||||||||||||||||||||||
| 14 | IRB RBA (including IAA) |
8,893 | 8,893 | 8,893 | 5,366 | 3,526 | — | — | — | |||||||||||||||||||||||||||
| 15 | IRB SFA |
9,567 | 9,567 | 9,567 | 5,050 | 4,516 | — | — | — | |||||||||||||||||||||||||||
| 16 | SA/SSFA |
2,421 | 2,421 | 2,421 | 1 | 2,419 | — | — | — | |||||||||||||||||||||||||||
| 17 | 1250% |
199 | 199 | 199 | 0 | 199 | — | — | — | |||||||||||||||||||||||||||
| As of September 30, 2018 | ||||||||||||||||||||||||||||||||||||
| i | j | k | l | m | n | o | ||||||||||||||||||||||||||||||
| Synthetic securitization |
Of which securitization |
Of which retail underlying |
Of which wholesale |
Of which re-securitization |
Of which senior |
Of which non-senior |
||||||||||||||||||||||||||||||
| Exposure values (by RW bands) |
| |||||||||||||||||||||||||||||||||||
| 1 | £20% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 2 | >20% to 50% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 3 | >50% to 100% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 4 | >100% to <1250% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 5 | 1250% RW |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| Exposure values (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 6 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 7 | IRB SFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 8 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 9 | 1250% |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| RWA (by regulatory approach) |
| |||||||||||||||||||||||||||||||||||
| 10 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 11 | IRB SFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 12 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 13 | 1250% |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| Capital charge after cap |
| |||||||||||||||||||||||||||||||||||
| 14 | IRB RBA (including IAA) |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 15 | IRB SFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 16 | SA/SSFA |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| 17 | 1250% |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
30
Table of Contents
(1) Trading Activities
(A) MR1 : Market risk under standardized approach
| (Millions of yen) | ||||||
| As of September 30, 2018 | ||||||
| No. |
RWA (Risk equivalent / 8%) |
|||||
| 1 | Interest rate risk (general and specific) | 472,357 | ||||
| 2 | Equity risk (general and specific) | 600,674 | ||||
| 3 | Foreign exchange risk | 112,048 | ||||
| 4 | Commodity risk | 203,056 | ||||
| Options | ||||||
| 5 | Simplified approach |
— | ||||
| 6 | Delta-plus method |
58,424 | ||||
| 7 | Scenario approach |
— | ||||
| 8 | Securitization | 120,477 | ||||
|
|
|
|||||
| 9 | Total | 1,567,039 | ||||
|
|
|
|||||
|
(B) MR3 : IMA values for trading portfolios
|
| |||||
| (Millions of yen) | ||||||
| No. |
As of September 30, 2018 | |||||
| VAR (10 day 99%) | ||||||
| 1 | Maximum value |
13,771 | ||||
| 2 | Average value |
7,465 | ||||
| 3 | Minimum value |
4,800 | ||||
| 4 | Period end |
9,783 | ||||
| Stressed VAR (10 day 99%) | ||||||
| 5 | Maximum value |
40,186 | ||||
| 6 | Average value |
22,684 | ||||
| 7 | Minimum value |
15,557 | ||||
| 8 | Period end |
28,024 | ||||
| Incremental Risk Charge (99.9%) | ||||||
| 9 | Maximum value |
— | ||||
| 10 | Average value |
— | ||||
| 11 | Minimum value |
— | ||||
| 12 | Period end |
— | ||||
| Comprehensive Risk Capital Charge (99.9%) | ||||||
| 13 | Maximum value |
— | ||||
| 14 | Average value |
— | ||||
| 15 | Minimum value |
— | ||||
| 16 | Period end |
— | ||||
| 17 | Floor (standardized measurement method) |
— | ||||
| Notes: | ||
| 1. |
The historical simulation method is used for the calculation of VAR and stressed VAR under the Internal Models Approach. | |
| 2. |
VAR is measured based on the observation period of 3 years (801 business days), a 99% confidence interval and a 1-day holding period. This 1-day VAR is scaled up to 10-business day VAR using the square-root-of-time (ÖT) rule. We update historical data on a daily basis, in principle, and do not weight such data. When re-pricing instruments, we use the full revaluation method, a sensitivity-based approach and the like. We consider change width or rate as market volatility of risk factors according to product attributes. | |
| 3. |
When measuring stressed VAR, the same measurement approach as VAR is used except for the observation period of 1 year (265 business days). As a stressed period, we select a period which has an adequate length of time and is considered the most stressful under a certain set of criteria established based on the most recent portfolio. | |
| 4. |
When applying the internal model, we regularly verify the preconditions used for VAR measurement. | |
31
Table of Contents
(C) MR4 : Back testing results of IMA
Note:
| In the past 250 business days, the number of times loss exceeded VAR was 0, and the VAR model (one-tailed confidence level of 99%) is considered to have sufficient accuracy. |
(2) Banking Activities
(D) IRRBB1 : Interest rate risk
| (Millions of yen) | ||||||||||||||||||
| a | b | c | d | |||||||||||||||
| D EVE | D NII | |||||||||||||||||
| No. |
As of September 30, 2018 |
As of September 30, 2017 |
As of September 30, 2018 |
As of September 30, 2017 |
||||||||||||||
| 1 | Parallel up | 807,937 | / | (274,294 | ) | / | ||||||||||||
| 2 | Parallel down | 0 | / | 376,514 | / | |||||||||||||
| 3 | Steepener | 401,997 | / | / | / | |||||||||||||
| 4 | Flattener | 99,613 | / | / | / | |||||||||||||
| 5 | Short rate up | 331,967 | / | / | / | |||||||||||||
| 6 | Short rate down | 82,399 | / | / | / | |||||||||||||
| 7 | Maximum | 807,937 | / | 376,514 | / | |||||||||||||
| e | f | |||||||||||||||||
| As of September 30, 2018 | As of September 30, 2017 | |||||||||||||||||
| 8 | Tier1 capital | 9,434,893 | / | |||||||||||||||
| Notes: | ||
| 1. |
Decreased economic values and interest income are shown as positive values. | |
| 2. |
As for some of those current deposits and ordinary deposits whose interest rates are not changed at predetermined intervals and from which depositors can withdraw money as desired on demand, we measure the interest rate risk associated with such deposits by applying an appropriate method after recognizing them as core deposits. The average repricing maturities are 0.8 years for yen deposits and 0.2 years for dollar deposits respectively. The longest repricing maturities are 10.0 years for yen deposits and 5.0 years for dollar deposits respectively. We measure interest rate risk associated with term deposits and loans in an appropriate manner by estimating their early redemption rates based on their historical prepayment and cancellation data. | |
| 3. |
When aggregating the respective D EVE of multiple currencies, we use the internal model that estimates the correlations between the key currencies based on historical data. When aggregating the respective D NII of multiple currencies, we simply add their respective D NII. | |
| 4. |
For the calculation of D EVE and D NII, we set an appropriate interest rate and spread according to a certain discount rate and reference rate. | |
| 5. |
When making the calculations above, we use regulatory defined preconditions including an interest rate shock scenario. | |
32
Table of Contents
⬛ Composition of Leverage Ratio
| (Millions of yen, except percentage) | ||||||||||||||||||
|
Corresponding disclosure template (Table 2) |
Corresponding Basel III disclosure template (Table 1) |
Item |
As of September 30, 2017 | As of September 30, 2018 | ||||||||||||||
| On-balance sheet exposures | (1 | ) | ||||||||||||||||
| 1 | On-balance sheet exposures before deducting adjustment items |
182,640,998 | 180,859,345 | |||||||||||||||
| 1a | 1 | Total assets reported in the consolidated balance sheet |
209,509,243 | 207,560,759 | ||||||||||||||
| 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) (-) |
26,868,245 | 26,701,414 | ||||||||||||||
| 2 | 7 | The amount of adjustment items pertaining to Tier1 capital (-) |
1,274,312 | 1,703,252 | ||||||||||||||
| 3 | Total on-balance sheet exposures |
(a | ) | 181,366,686 | 179,156,092 | |||||||||||||
| Exposures related to derivative transactions |
(2 | ) | ||||||||||||||||
| 4 | Replacement cost associated with derivatives transactions, etc. |
2,354,979 | 2,598,990 | |||||||||||||||
| 5 | Add-on amount associated with derivatives transactions, etc. |
6,312,801 | 7,139,889 | |||||||||||||||
| The amount of receivables arising from providing cash margin in relation to derivatives transactions, etc. |
1,247,364 | 901,979 | ||||||||||||||||
| 6 | The amount of receivables arising from providing cash margin, provided where deducted from the consolidated balance sheet pursuant to the operative accounting framework |
210,650 | 129,496 | |||||||||||||||
| 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 |
1,689,443 | 1,437,266 | |||||||||||||||
| 10 | The amount of deductions from effective notional amount of written credit derivatives (-) |
1,565,307 | 1,304,158 | |||||||||||||||
| 11 | 4 | Total exposures related to derivative transactions |
(b | ) | 10,249,931 | 10,903,464 | ||||||||||||
| Exposures related to repo transactions |
(3 | ) | ||||||||||||||||
| 12 | The amount of assets related to repo transactions, etc |
12,993,856 | 12,984,658 | |||||||||||||||
| 13 | The amount of deductions from the assets above (line 12) (-) |
5,397,442 | 4,791,151 | |||||||||||||||
| 14 | The exposures for counterparty credit risk for repo transactions, etc |
438,438 | 462,064 | |||||||||||||||
| 15 | The exposures for agent repo transactions |
/ | / | |||||||||||||||
| 16 | 5 | Total exposures related to repo transactions, etc. |
(c | ) | 8,034,852 | 8,655,570 | ||||||||||||
| Exposures related to off-balance sheet transactions |
(4 | ) | ||||||||||||||||
| 17 | Notional amount of off-balance sheet transactions |
49,524,666 | 46,062,358 | |||||||||||||||
| 18 | The amount of adjustments for conversion in relation to off-balance sheet transactions (-) |
31,871,648 | 27,857,310 | |||||||||||||||
| 19 | 6 | Total exposures related to off-balance sheet transactions |
(d | ) | 17,653,017 | 18,205,047 | ||||||||||||
| Leverage ratio on a consolidated basis |
(5 | ) | ||||||||||||||||
| 20 | The amount of capital (Tier1 capital) |
(e | ) | 9,004,810 | 9,434,893 | |||||||||||||
| 21 | 8 | Total exposures ((a)+(b)+(c)+(d)) |
(f | ) | 217,304,488 | 216,920,174 | ||||||||||||
| 22 | Leverage ratio on a consolidated basis ((e)/(f)) |
4.14 | % | 4.34 | % | |||||||||||||
33
Table of Contents
Disclosure of Information for the Second Half of Fiscal Year Ended on March 31, 2018 According to the Relevant Old FSA Notice
Among the information disclosed for the second half of the fiscal year ended March 31, 2018, according to the relevant Old FSA Notice, see the following for the items which are different from those disclosed according to the New FSA Notice.
∎ Risk-based Capital
(1) Required capital by portfolio classification
| (Billions of yen) | ||||||||
| As of September 30, 2017 | ||||||||
| EAD | Required capital | |||||||
| Credit risk |
209,935.3 | 4,969.2 | ||||||
|
|
|
|
|
|||||
| Internal ratings-based approach |
188,644.2 | 4,490.8 | ||||||
| Corporate (except specialized lending) |
71,846.4 | 2,341.2 | ||||||
| Corporate (specialized lending) |
3,667.5 | 207.4 | ||||||
| Sovereign |
78,714.9 | 85.7 | ||||||
| Bank |
5,597.9 | 114.1 | ||||||
| Retail |
11,935.7 | 476.3 | ||||||
| Residential mortgage |
9,218.6 | 311.0 | ||||||
| Qualifying revolving loan |
654.7 | 51.2 | ||||||
| Other retail |
2,062.3 | 113.9 | ||||||
| Equities |
5,337.7 | 717.8 | ||||||
| PD/LGD approach |
4,221.3 | 429.4 | ||||||
| Market-based approach (simple risk weight method) |
1,116.3 | 288.4 | ||||||
| Market-based approach (internal models approach) |
— | — | ||||||
| Regarded-method exposure |
1,839.1 | 287.7 | ||||||
| Purchase receivables |
3,283.7 | 96.8 | ||||||
| Securitizations |
4,247.9 | 29.5 | ||||||
| Others |
2,173.0 | 133.7 | ||||||
|
|
|
|
|
|||||
| Standardized approach |
21,291.0 | 283.5 | ||||||
| Sovereign |
16,494.8 | 9.6 | ||||||
| Bank |
1,711.4 | 34.2 | ||||||
| Corporate |
2,487.5 | 185.9 | ||||||
| Residential mortgage |
— | — | ||||||
| Securitizations |
13.7 | 2.2 | ||||||
| Others |
583.5 | 51.4 | ||||||
|
|
|
|
|
|||||
| CVA risk |
n.a. | 177.2 | ||||||
|
|
|
|
|
|||||
| Central counterparty-related |
n.a. | 17.5 | ||||||
|
|
|
|
|
|||||
| Market risk |
n.a. | 179.1 | ||||||
|
|
|
|
|
|||||
| Standardized approach |
n.a. | 103.5 | ||||||
| Interest rate risk |
n.a. | 45.0 | ||||||
| Equities risk |
n.a. | 36.8 | ||||||
| Foreign exchange risk |
n.a. | 7.2 | ||||||
| Commodities risk |
n.a. | 14.3 | ||||||
| Option transactions |
n.a. | — | ||||||
|
|
|
|
|
|||||
| Internal models approach |
n.a. | 75.6 | ||||||
|
|
|
|
|
|||||
| Operational risk |
n.a. | 269.8 | ||||||
| Advanced measurement approach |
n.a. | 222.3 | ||||||
| Basic indicator approach |
n.a. | 47.5 | ||||||
|
|
|
|
|
|||||
| Total required capital (consolidated) |
n.a. | 4,935.6 | ||||||
|
|
|
|
|
|||||
| Note: | ||
|
|
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. | |
34
Table of Contents
∎ Credit risk
(2) 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.
Status of credit risk exposure
(A) Breakdown by geographical area
| (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, 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. | |
35
Table of Contents
(C) Breakdown by residual contractual maturity
| (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, 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. | |
36
Table of Contents
(E) Breakdown by industry
| (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, 2017 |
||||
| General reserve for possible losses on loans |
||||
| Beginning balance |
344.7 | |||
| Increase during the six-month period |
218.3 | |||
| Decrease during the six-month period |
344.7 | |||
| Ending balance |
218.3 | |||
|
|
|
|||
| Specific reserve for possible losses on loans |
||||
| Beginning balance |
164.4 | |||
| Increase during the six-month period |
146.4 | |||
| Decrease during the six-month period |
164.4 | |||
| Ending balance |
146.4 | |||
|
|
|
|||
| Reserve for possible losses on loans to restructuring countries |
||||
| Beginning balance |
0.0 | |||
| Increase during the six-month period |
0.0 | |||
| Decrease during the six-month period |
0.0 | |||
| Ending balance |
0.0 | |||
|
|
|
|||
| Total |
||||
| Beginning balance |
509.1 | |||
| Increase during the six-month period |
364.7 | |||
| Decrease during the six-month period |
509.1 | |||
| Ending balance |
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. | |
37
Table of Contents
(G) Specific reserve for possible losses on loans by geographical area and industry
| (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, 2017 |
||||
| Manufacturing |
0.1 | |||
| Construction |
0.0 | |||
| Real estate |
0.1 | |||
| Service industries |
1.1 | |||
| Wholesale and retail |
4.2 | |||
| Finance and insurance |
0.0 | |||
| Individuals |
1.8 | |||
| Other industries |
1.9 | |||
|
|
|
|||
| Exempt portion |
0.1 | |||
|
|
|
|||
| Total |
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. | |
38
Table of Contents
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, 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, 2017 | ||||
| Amount of exposure to which a risk weight of 1,250% is applied |
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, 2017 | |||
| 50% |
— | |||
| 70% |
50.4 | |||
| 90% |
— | |||
| 95% |
59.5 | |||
| 115% |
11.8 | |||
| 120% |
13.2 | |||
| 140% |
14.4 | |||
| 250% |
12.6 | |||
| Default |
11.5 | |||
|
|
|
|||
| Total |
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, 2017 | |||
| 300% |
1,057.4 | |||
| 400% |
58.9 | |||
|
|
|
|||
| Total |
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. |
39
Table of Contents
(M) Portfolio by asset class and ratings segment (Corporate, etc.)
| (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 | 38.46 | 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”). | |
40
Table of Contents
(N) Portfolio by asset class and ratings segment (Retail)
| (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 |
Weighted average of credit conversion |
||||||||||||||||||||||||||||||||||
| On-balance | Off-balance | |||||||||||||||||||||||||||||||||||||||
| (%) | (%) | (%) | (%) | sheet | sheet | commitments | factor (%) | |||||||||||||||||||||||||||||||||
| 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 | 42.49 | 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, 2016 through September 30, 2017 |
||||
| Actual losses | ||||
| Corporate |
(81.2 | ) | ||
| Sovereign |
0.0 | |||
| Bank |
0.0 | |||
| Residential mortgage |
(11.6 | ) | ||
| Qualifying revolving loan (retail) |
0.0 | |||
| Other retail |
(5.7 | ) | ||
|
|
|
|||
| Total |
(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. | ||
41
Table of Contents
(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 |
After deduction of reserves |
|||||||||||||||||||||||||||
| 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 |
After deduction of reserves |
|||||||||||||||||||||||||||
| 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 |
After deduction of reserves |
|||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
42
Table of Contents
| (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 |
After deduction of reserves |
|||||||||||||||||||||||||||
| 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 |
After deduction of reserves |
|||||||||||||||||||||||||||
| 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. | |
43
Table of Contents
∎ Methods for credit risk mitigation
(3) 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, 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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
44
Table of Contents
∎ Counterparty risk in derivatives transactions and long-settlement transactions
(4) 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, 2017 | ||||||||||||||
| Gross replacement cost |
Gross add-on |
Credit equivalent amount |
||||||||||||
| Current exposure method |
||||||||||||||
| Foreign exchange-related transactions |
94.3 | 103.4 | 197.7 | |||||||||||
| Interest rate-related transactions |
143.2 | 26.7 | 170.0 | |||||||||||
| Gold-related transactions |
— | — | — | |||||||||||
| Equity-related transactions |
79.7 | 158.2 | 238.0 | |||||||||||
| Transactions related to precious metals (other than gold) |
35.3 | 55.4 | 90.7 | |||||||||||
| Other commodity-related transactions |
698.1 | 1,160.4 | 1,858.6 | |||||||||||
| Credit derivatives transactions |
0.6 | 7.1 | 7.7 | |||||||||||
| Subtotal |
(A) |
1,051.4 | 1,511.5 | 2,562.9 | ||||||||||
| Netting benefits by close-out netting settlement contracts |
(B) |
n.a. | n.a. | 1,158.3 | ||||||||||
| Subtotal |
(C)=(A)+(B) |
n.a. | n.a. | 1,404.6 | ||||||||||
| Effect of credit risk mitigation by collateral |
(D) |
n.a. | n.a. | 436.6 | ||||||||||
|
|
|
|
|
|
|
|||||||||
| Total |
(C)+(D) |
n.a. | n.a. | 968.0 | ||||||||||
|
|
|
|
|
|
|
|||||||||
| Standardized method | Credit equivalent amount |
|||||||||||||
| Total |
15.1 | |||||||||||||
|
|
|
|||||||||||||
| Expected positive exposure method |
||||||||||||||
|
|
|
|||||||||||||
| Total |
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, 2017 | ||||||||||||
| Gross replacement cost |
Gross add-on |
Credit equivalent amount |
||||||||||
| Long-settlement transactions |
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. | |
45
Table of Contents
(B) Amounts of credit risk mitigation by type
| (Billions of yen) | ||||
| As of September 30, 2017 | ||||
| Financial collateral |
3.0 | |||
| Other collateral |
33.3 | |||
| Guarantees, others |
12.5 | |||
|
|
|
|||
| Total |
48.8 | |||
|
|
|
|||
(C) Notional amount of credit derivatives subject to credit equivalent amount calculations
| (Billions of yen) | ||||||
| As of September 30, 2017 | ||||||
| Notional amount | ||||||
| Credit derivatives type: |
||||||
| Credit default swap |
Protection bought | 1,389.8 | ||||
| Protection sold | 1,453.1 | |||||
|
|
|
|||||
| Total return swap |
Protection bought | — | ||||
| Protection sold | — | |||||
|
|
|
|||||
| Total |
Protection bought | 1,389.8 | ||||
| Protection sold | 1,453.1 | |||||
|
|
|
|||||
Note:
| Credit | derivatives used for credit risk mitigation are as follows: |
| (Billions of yen) | ||||
| As of September 30, 2017 | ||||
| Credit derivatives used for credit risk mitigation |
26.8 | |||
46
Table of Contents
∎ Securitization exposure
(5) 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, 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, 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, 2017 | ||||||||||||||||||||||||||||||||
| Credit cards |
Residential mortgage loans |
Auto loans |
Lease payment receivables |
Corporate | Real estate |
Securitization products |
Total | |||||||||||||||||||||||||
| Exposure intended to be securitized |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
47
Table of Contents
(B) Information of securitization exposure retained or purchased
–Exposure by type of underlying asset–
| (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 September 30, 2017 is 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, 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, 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 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
48
Table of Contents
–Credit risk mitigation against exposure on resecuritizations–
| (Billions of yen) | ||||
| Risk weight |
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, 2017 | ||||||||||||||||||||||||||||||||
| Credit cards |
Residential mortgage loans |
Auto loans |
Lease payment receivables |
Corporate | Real estate |
Securitization products |
Total | |||||||||||||||||||||||||
| Capital increase due to securitization |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
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, 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, 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. | |
49
Table of Contents
(D) Information of securitization exposure retained or purchased
–Exposure by type of underlying asset–
| (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 September 30, 2017 is 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, 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 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
50
Table of Contents
| –Amount of required capital by risk weight category– | ||||||||||||||||||||||||||||||||||||
| (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% |
2.2 | — | 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, 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, 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 September 30, 2017 is classified following Article 1, Paragraph 2-2 of the FSA Notice No. 20 (hereinafter the same). | |
51
Table of Contents
–Exposure by risk weight category–
| (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, 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, 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. | ||
52
Table of Contents
¡ Securitization exposure as originator (for calculation of market risk equivalent amounts)
(F) Information by type of underlying assets
None as of September 30, 2017
(G) Information of securitization exposure retained or purchased
None as of September 30, 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, 2017
(I) Information of securitization exposure retained or purchased
None as of September 30, 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, 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). | |
53
Table of Contents
–Exposure by risk capital charge category–
| (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 than 100% |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||
| 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, 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, 2017 | ||||||||
| Securitization | Resecuritiation | |||||||
| Total amount of securitization exposure |
— | — | ||||||
| Total amount of required capital |
— | — | ||||||
54
Table of Contents
∎ 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, 2017 |
||||
| End of period |
2.7 | |||
| Maximum |
4.1 | |||
| Minimum |
1.5 | |||
| Average |
2.3 | |||
| The number of cases where assumptive losses exceeded VaR during the period |
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) |
The following table shows stressed VaR figures of our trading activities:
| (Billions of yen) | ||||
| For the six months ended September 30, 2017 |
||||
| End of period |
4.6 | |||
| Maximum |
7.0 | |||
| Minimum |
4.1 | |||
| Average |
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.
55
Table of Contents
¡ 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, 2017 |
413.3 | 10,946.6 | 3.7% | |||||||||
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.
56
Table of Contents
∎ Equity exposures in banking book
(6) Status of equity exposures in banking book
(A) Amounts stated in consolidated balance sheet
| (Billions of yen) | ||||||||
| As of September 30, 2017 | ||||||||
| Consolidated balance sheet amount |
Fair value | |||||||
| Exposure of listed stock, etc. |
3,969.7 | 4,119.3 | ||||||
| Other equity exposure |
327.4 | n.a. | ||||||
|
|
|
|
|
|||||
| Total |
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, 2017 | ||||||||
| Gains and losses on sales |
||||||||
|
Gains on sales |
Losses on sales | |||||||
| Sale of equity exposure |
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, 2017 | ||||
| Gains and losses from write-offs | ||||
| Write-offs of equity exposure |
(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, 2017 | ||||||||
| Net unrealized |
||||||||
| Unrealized |
Unrealized | |||||||
| Equity exposure |
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, 2017 | ||||||||
| Net |
||||||||
| Unrealized |
Unrealized | |||||||
| Equity exposure |
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, 2017 | ||||
| PD/LGD approach |
4,221.3 | |||
| Market-based approach (simple risk weight method) |
1,116.3 | |||
| Market-based approach (internal models approach) |
— | |||
|
|
|
|||
| Total |
5,337.7 | |||
|
|
|
|||
57
Table of Contents
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 (the FSA Notice No. 7 of 2015).
| (In million yen, %, the number of data) | ||||||||||||||||||||
| Item | For the three months ended June 30, 2018 |
For the three months ended September 30, 2018 |
||||||||||||||||||
| High-Quality Liquid Assets |
(1) | / | / | |||||||||||||||||
| 1 | Total high-quality liquid assets (HQLA) |
62,777,196 | 62,485,008 | |||||||||||||||||
| Cash Outflows |
(2) | |
TOTAL UNWEIGHTED VALUE |
|
|
TOTAL WEIGHTED VALUE |
|
|
TOTAL UNWEIGHTED VALUE |
|
|
TOTAL WEIGHTED VALUE |
| |||||||
| 2 | Cash outflows related to unsecured retail funding |
46,301,263 | 3,694,175 | 46,824,345 | 3,722,399 | |||||||||||||||
| 3 | of which, Stable deposits |
13,408,103 | 402,243 | 13,752,373 | 412,571 | |||||||||||||||
| 4 | of which, Less stable deposits |
32,893,160 | 3,291,932 | 33,071,972 | 3,309,828 | |||||||||||||||
| 5 | Cash outflows related to unsecured wholesale funding |
78,726,832 | 48,969,567 | 73,473,798 | 44,567,686 | |||||||||||||||
| 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 |
72,639,956 | 42,882,691 | 68,211,601 | 39,305,489 | |||||||||||||||
| 8 | of which, Debt securities |
6,086,876 | 6,086,876 | 5,262,197 | 5,262,197 | |||||||||||||||
| 9 | Cash outflows related to secured funding, etc |
/ | 1,200,096 | / | 1,195,936 | |||||||||||||||
| 10 | Cash outflows related to derivatives transactions, etc. funding programs, credit and liquidity facilities |
24,961,664 | 7,142,351 | 25,301,834 | 7,424,344 | |||||||||||||||
| 11 | of which, Cash outflows related to derivative transactions, etc |
2,275,532 | 2,275,532 | 2,433,467 | 2,433,467 | |||||||||||||||
| 12 | of which, Cash outflows related to funding programs |
21,333 | 21,333 | 18,309 | 18,309 | |||||||||||||||
| 13 | of which, Cash outflows related to credit and liquidity facilities |
22,664,798 | 4,845,486 | 22,850,056 | 4,972,566 | |||||||||||||||
| 14 | Cash outflows related to contractual funding obligations, etc. |
6,555,426 | 2,087,556 | 5,467,311 | 1,852,383 | |||||||||||||||
| 15 | Cash outflows related to contingencies |
79,448,537 | 707,761 | 79,860,228 | 719,083 | |||||||||||||||
| 16 | Total cash outflows |
/ | 63,801,509 | / | 59,481,833 | |||||||||||||||
| Cash Inflows |
(3) | |
TOTAL UNWEIGHTED VALUE |
|
|
TOTAL VALUE |
|
|
TOTAL UNWEIGHTED VALUE |
|
|
TOTAL WEIGHTED VALUE |
| |||||||
| 17 | Cash inflows related to secured lending, etc. |
10,682,156 | 972,627 | 10,846,526 | 931,159 | |||||||||||||||
| 18 | Cash inflows related to collections of loans, etc |
12,798,750 | 9,221,808 | 12,189,523 | 8,402,594 | |||||||||||||||
| 19 | Other cash inflows |
7,548,122 | 1,877,626 | 6,616,777 | 2,102,205 | |||||||||||||||
| 20 | Total cash inflows |
31,029,028 | 12,072,062 | 29,652,827 | 11,435,958 | |||||||||||||||
| Consolidated liquidity coverage ratio |
(4) | / | / | |||||||||||||||||
| 21 | Total HQLA allowed to be included in the calculation |
/ | 62,777,196 | / | 62,485,008 | |||||||||||||||
| 22 | Net cash outflows |
/ | 51,729,447 | / | 48,045,874 | |||||||||||||||
| 23 | Consolidated liquidity coverage ratio (LCR) |
/ | 121.3 | % | / | 130.1 | % | |||||||||||||
| 24 | The number of data used to calculate the average value |
62 | 62 | |||||||||||||||||
Notes:
| 1. | 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. |
| 2. | We do not apply the “exception regarding qualifying operational deposits” in Article 28 of the Notice No. 62 with respect to item 6. |
| 3. | 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. |
| 4. | 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. |
| 5. | Monthly data or quarterly data is used for some of the data, etc., concerning our consolidated subsidiaries. |
| 2016 | 2017 | 2018 | ||||||||||||||||||||||||||||||
| Oct-Dec | Jan-Mar | Apr-Jun | Jul-Sep | Oct-Dec | Jan-Mar | Apr-Jun | Jul-Sep | |||||||||||||||||||||||||
| Consolidated LCR (quarterly average) |
135.3 | % | 129.4 | % | 129.7 | % | 126.1 | % | 124.8 | % | 120.1 | % | 121.3 | % | 130.1 | % | ||||||||||||||||
Our Consolidated LCR surpasses the final regulatory standard (100%) and remains stable, with no change affecting funding conditions.
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.
58
Table of Contents
∎ Status of Major Liquid Assets
| (Billions of yen) |
||||||||
| Item |
As of Mar. 2018 | As of Sep. 2018 | ||||||
| Cash and Due from Banks (including Due from Central Banks) |
47,725.3 | 46,579.4 | ||||||
| Trading Securities |
5,188.4 | 6,852.7 | ||||||
| Securities |
33,618.9 | 34,392.2 | ||||||
| Bonds Held to Maturity |
2,515.8 | 2,135.1 | ||||||
| Other Securities |
31,103.1 | 32,257.1 | ||||||
| Japanese Stocks |
3,582.2 | 3,517.2 | ||||||
| Japanese Bonds |
16,535.6 | 16,704.7 | ||||||
| Japanese Government Bonds |
13,332.0 | 13,450.4 | ||||||
| Japanese Local Government Bonds |
239.3 | 240.4 | ||||||
| Japanese Corporate Bonds |
2,964.1 | 3,013.9 | ||||||
| Other |
10,985.2 | 12,035.1 | ||||||
| Foreign Bonds |
8,329.1 | 9,402.5 | ||||||
| Other |
2,656.1 | 2,632.6 | ||||||
|
|
|
|
|
|||||
| Total |
86,532.7 | 87,824.4 | ||||||
|
|
|
|
|
|||||
| Portion pledged as collateral |
(11,660.9 | ) | (13,111.1 | ) | ||||
|
|
|
|
|
|||||
| Total after the deduction above |
74,871.7 | 74,713.3 | ||||||
|
|
|
|
|
|||||
| Notes: | ||
| 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. | |
59