FORM 6-K
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 July 2018

Commission File Number 001-33098

Mizuho Financial Group, Inc.

(Translation of registrant’s name into English)

5-5, Otemachi 1-chome

Chiyoda-ku, Tokyo 100-8176

Japan

(Address of principal executive office)

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

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

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

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

Yes  ☐    No  ☒

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

 

 

 

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:   July 30, 2018
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 July 2018. The Japanese regulatory disclosure requirements are fulfilled with the Basel Pillar 3 disclosures and Japanese GAAP is applied to the relevant financial information. In this report, “we,” “us,” and “our” refer to Mizuho Financial Group, Inc. and, unless the context indicates otherwise, its consolidated subsidiaries. “Mizuho Financial Group” refers to Mizuho Financial Group, Inc.

 

Key Metrics

      2  

∎   Key Metrics

      2  

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

      3  

∎   Scope of Consolidation

      3  

∎   Risk-based Capital

      4  

∎   Summary of Risk Management and Risk-weighted Assets (RWA)

      14  

∎   Linkages between Financial Statements and Regulatory Exposures

      16  

∎   Credit Risk

      18  

∎   Counterparty Credit Risk

      29  

∎   Securitization Exposures

      32  

∎   Market Risk

      36  

∎   Investment or Equity Exposure

      38  

∎   Operational Risk

      38  

∎   Composition of Leverage Ratio

      39  

∎   Indicators for Assessing Global Systemically Important Banks (G-SIBs)

      40  

∎   Disclosure of Information for the Fiscal Year Ended on March 31, 2017 According to the Relevant Old FSA Notice

      41  

Status of Sound Management of Liquidity Risk

      57  

∎   Liquidity Coverage Ratio

      57  

∎   Status of Major Liquid Assets

      58  

∎   Status of Major Funding

     58  

Compensation of Directors, Corporate Auditors and Employees

      59  

∎   Compensation of Directors, Corporate Auditors and Employees

      59  

Our Internal Control Systems

      63  

Overview of Risk Management

      63  

Credit Risk Management

      64  

Market Risk Management

      67  

Liquidity Risk Management

      70  

Operational Risk Management

      71  

 

1

Table of Contents

Key Metrics

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”)).

∎ Key Metrics

KM1: Key Metrics

 

         (millions of yen, except percentages)  
Basel III Template No.        a      b      c      d      e  
       As of
March 31,
2018		      As of
December 31,
2017		      As of
September 30,
2017		      As of
June 30,
2017		      As of
March 31,
2017		  
                                        

Capital

               
1  

Common Equity Tier 1 capital

      7,437,048        7,597,964        7,280,598        7,157,984        7,001,664  
2   Tier 1 capital      9,192,244        9,321,858        9,004,810        8,423,437        8,211,522  
3   Total capital      10,860,440        11,260,104        10,946,675        10,410,297        10,050,953  

Risk weighted assets

               
4   Risk weighted assets      59,528,983        63,414,867        61,695,509        61,785,213        61,717,158  

Capital ratio

               
5  

Common Equity Tier 1 capital ratio

      12.49 %       11.98 %       11.80 %       11.58 %       11.34 % 
6   Tier 1 capital ratio      15.44 %       14.69 %       14.59 %       13.63 %       13.30 % 
7   Total capital ratio      18.24 %       17.75 %       17.74 %       16.84 %       16.28 % 

Capital buffer

               
8  

Capital conservation buffer requirement

      1.87 %       1.25 %       1.25 %       1.25 %       1.25 % 
9  

Countercyclical buffer requirement

      0.01 %       0.00 %       0.00 %       0.00 %       0.00 % 
10  

Bank G-SIB/D-SIB additional requirements

      0.75 %       0.50 %       0.50 %       0.50 %       0.50 % 
11  

Total of bank CET1 specific buffer requirements

      2.63 %       1.75 %       1.75 %       1.75 %       1.75 % 
12  

CET1 available after meeting the bank’s minimum capital requirements

      7.99 %       7.48 %       7.30 %       7.08 %       6.84 % 

Leverage ratio

               
13   Total exposures      214,277,824        217,478,350        217,304,488        208,006,656        207,401,679  
14   Leverage ratio      4.28 %       4.28 %       4.14 %       4.04 %       3.95 % 

Liquidity coverage ratio (LCR)

               
15  

Total HQLA allowed to be included in the calculation

      60,159,630        63,459,113        60,568,697        61,146,475        59,034,682  
16   Net cash outflows      50,079,075        50,808,181        48,025,220        47,132,781        45,611,601  
17   LCR      120.1 %       124.8 %       126.1 %       129.7 %       129.4 % 

 

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 fiscal year ended March 31, 2018 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 fiscal year ended March 31, 2017 are disclosed in accordance with the relevant FSA Notice issued before the revision (the “Old FSA Notice”) (See pages 41 to 56 for the disclosure items which are different from those disclosed according to the new FSA Notice).

∎ Scope of Consolidation

(1) Scope of Consolidation for Calculating Consolidated Capital Adequacy Ratio

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

None as of March 31, 2017 and 2018

(B) Number of consolidated subsidiaries

 

     As of March 31, 2017      As of March 31, 2018  

Consolidated subsidiaries

      139        124  

Our major consolidated subsidiaries are Mizuho Bank, Ltd., Mizuho Trust & Banking Co., Ltd. and Mizuho Securities Co., Ltd.

The following table sets forth information with respect to our principal consolidated subsidiaries as of March 31, 2018:

 

Name

    Country of
organization		     

Main business

    Proportion of
ownership
interest
(%)		      Proportion of
voting
interest
(%)		  

Domestic

            

Mizuho Bank, Ltd.

      Japan      Banking      100.0        100.0  

Mizuho Trust & Banking Co., Ltd.

      Japan      Trust and banking      100.0        100.0  

Mizuho Securities Co., Ltd.

      Japan      Securities      95.8        95.8  

Mizuho Research Institute Ltd.

      Japan      Research and consulting      98.6        98.6  

Mizuho Information & Research Institute Inc.

      Japan      Information technology      91.5        91.5  

Asset Management One Co., Ltd.

      Japan      Investment management      70.0        51.0  

Trust & Custody Services Bank, Ltd.

      Japan      Trust and banking      54.0        54.0  

Mizuho Private Wealth Management Co., Ltd.

      Japan      Consulting      100.0        100.0  

Mizuho Credit Guarantee Co., Ltd.

      Japan      Credit guarantee      100.0        100.0  

Mizuho Realty Co., Ltd.

      Japan      Real estate agency      100.0        100.0  

Mizuho Factors, Limited

      Japan      Factoring      100.0        100.0  

Mizuho Realty One Co., Ltd.

      Japan      Holding company      100.0        100.0  

Defined Contribution Plan Services Co., Ltd.

      Japan      Pension plan-related business      60.0        60.0  

Mizuho-DL Financial Technology Co., Ltd.

      Japan     

Application and Sophistication

of Financial echnology

      60.0        60.0  

UC Card Co., Ltd.

      Japan      Credit card      51.0        51.0  

J.Score CO., LTD.

      Japan      Lending      50.0        50.0  

Mizuho Trust Systems Company, Limited.

      Japan      Subcontracted calculation services, software development      50.0        50.0  

Mizuho Capital Co., Ltd.

      Japan      Venture capital      50.0        50.0  

Overseas

            

Mizuho Americas LLC

      U.S.A.      Holding company      100.0        100.0  

Mizuho Bank (China), Ltd.

      China      Banking      100.0        100.0  

Mizuho International plc

      U.K.      Securities and banking      100.0        100.0  

Mizuho Securities Asia Limited

      China      Securities      100.0        100.0  

Mizuho Securities USA LLC

      U.S.A.      Securities      100.0        100.0  

Mizuho Bank Europe N.V.

      Netherlands      Banking and securities      100.0        100.0  

Banco Mizuho do Brasil S.A.

      Brazil      Banking      100.0        100.0  

Mizuho Trust & Banking (Luxembourg) S.A.

      Luxembourg      Trust and banking      100.0        100.0  

Mizuho Bank (USA)

      U.S.A.      Banking and trust      100.0        100.0  

Mizuho Bank (Switzerland) Ltd

      Switzerland      Banking and trust      100.0        100.0  

Mizuho Capital Markets LLC

      U.S.A.      Derivatives      100.0        100.0  

PT. Bank Mizuho Indonesia

      Indonesia      Banking      99.0        99.0  

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

None as of March 31, 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 March 31, 2017 and 2018.

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

None as of March 31, 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 March 31, 2017 and 2018.

 

3

Table of Contents

∎ Risk-based Capital

(1) Summary of Approach to Assessing Capital Adequacy

In order to ensure that risk-based capital is sufficiently maintained in light of the risk held by us, we regularly conduct the following assessment of capital adequacy in addition to adopting a suitable and effective capital adequacy monitoring structure.

Maintaining a sufficient BIS capital ratio

We confirm our maintenance of a high level of financial soundness by conducting regular evaluations to examine whether our risk-based capital is adequate in qualitative as well as quantitative terms, in light of our business plans and strategic targets to match the increase in risk-weighted assets acquired for growth, in addition to maintaining our capital above the minimum requirements of common equity Tier 1 capital ratio, Tier 1 capital ratio, total capital ratio and capital buffer ratio.

Balancing risk and capital

On the basis of the framework for allocating risk capital, after obtaining the clearest possible grasp of the group’s overall risk exposure, we endeavor to control risk so as to keep it within the range of our business capacity by means of allocating capital that corresponds to the amount of risk to the principal banking subsidiaries, etc., within the bounds of our capital, and we conduct regular assessments to ensure that a sufficient level of capital is maintained for our risk profile. When making these assessments, we calculate the potential losses arising from assumed stress events and risk volumes, which we assess whether they balance with the group’s capital. Stress events are based on risk scenarios that are formulated based on the current economic condition and the economic outlook, etc. and from scenarios such as the occurrence of historical stress events. In addition, we examine whether an appropriate return on risk is maintained in the assessments.

 

4

Table of Contents

(2) Composition of Capital, etc.

(A) Composition of capital disclosure

Composition of capital disclosure (International standard)

 

 
            (Millions of yen)  
            As of March 31, 2017     As of March 31, 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

       6,905,510          /             7,292,638          /   

1a

  

of which: capital and stock surplus

       3,390,691       /       3,391,471       /  

2

  

of which: retained earnings

       3,614,841       /       4,002,350       /  

1c

  

of which: treasury stock (-)

       4,849       /       5,997       /  

26

  

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

       95,173       /       95,186       /  
 

of which: other than above

       —         /       —         /  

1b

  

Subscription rights to common shares

       1,754       /       1,163       /  

3

  

Accumulated other comprehensive income and other disclosed reserves

       1,216,780       304,195       1,677,534       /  

5

  

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

       14,537       /       14,344       /  
 

Total of items included in common equity Tier 1 capital: instruments and reserves subject to phase-out arrangements

       22,881       /       /       /  
 

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

       22,881       /       /       /  
6  

Common equity Tier 1 capital: instruments and reserves

   (A)     8,161,464       /       8,985,680       /  

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)

       619,806       154,951       794,953       /  

8

  

of which: goodwill (net of related tax liability, including those equivalent)

       79,695       19,923       85,103       /  

9

  

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

       540,111       135,027       709,850       /  
10  

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

       36,601       9,150       42,352       /  

11

  

Deferred gains or losses on derivatives under hedge accounting

       8,137       2,034       (67,578 )      /  

12

  

Shortfall of eligible provisions to expected losses

       9,381       2,352       61,964       /  

13

  

Securitization gain on sale

       52       13       —         /  

14

  

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

       593       148       3,960       /  

15

  

Net defined benefit asset

       443,158       110,789       691,380       /  

16

  

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

       5,473       1,368       1,457       /  

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)

       36,595       9,148       20,140       /  

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)

       —         —         —         /  

 

5

Table of Contents

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)     1,159,800       /       1,548,631       /  

Common equity Tier 1 capital (CET1)

          

29

   Common equity Tier 1 capital (CET1) ((A)-(B))   (C)     7,001,664       /       7,437,048       /  

Additional Tier 1 capital: instruments

   (3)                                                                                                            

30   31a

  

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

       —            /          —            /   

30   31b

   Subscription rights to additional Tier 1 instruments       —         /       —         /  

30   32  

  

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

       760,000       /       1,220,000       /  

30         

  

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

       —         /       —         /  

34-35

  

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

       31,786       /       31,317       /  

33+35

  

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

       577,500       /       577,500       /  

33

  

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

       577,500       /       577,500       /  

35

  

of which: instruments issued by subsidiaries subject to phase out

       —         /       —         /  
 

Total of items included in additional Tier 1 capital: instruments subject to phase-out arrangements

       (13,931 )      /       /       /  
 

of which: foreign currency translation adjustments

       (13,931 )      /       /       /  

36

   Additional Tier 1 capital: instruments   (D)     1,355,354       /       1,828,817       /  

Additional Tier 1 capital: regulatory adjustments

 

    

37

   Investments in own additional Tier 1 instruments       —         —         —         /  

38

   Reciprocal cross-holdings in additional Tier 1 instruments       —         —         —         /  

39

  

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

       38       9       121       /  

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)

       117,600         29,400       73,500       /  
 

Total of items included in additional Tier 1 capital: regulatory adjustments subject to phase-out arrangements

       27,858       /       /       /  

                         

  

of which: goodwill equivalent

       14,954       /       /       /  
 

of which: intangible fixed assets recognized as a result of a merger

       11,717       /       /       /  
 

of which: capital increase due to securitization transactions

       13       /       /       /  
 

of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach

       1,172       /       /       /  

42

  

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

       —         /       —         /  

43

  

Additional Tier 1 capital: regulatory adjustments

   (E)     145,496       /       73,621       /  

Additional Tier 1 capital (AT1)

          

44

  

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

   (F)       1,209,858       /         1,755,195       /  

Tier 1 capital (T1 = CET1 + AT1)

          

     45     

   Tier 1 capital (T1 = CET1 + AT1) ((C)+(F))   (G)     8,211,522       /       9,192,244       /  

 

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Table of Contents

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

       684,150       /       828,702       /  

46

  

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

       168,300       /       159,405       /  

48-49

  

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

       10,574       /       10,378       /  

47+49

  

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

       842,133       /       674,824       /  

47

  

of which: directly issued capital instruments subject to phase out from Tier 2

       168,022       /       135,135       /  

49

  

of which: instruments issued by subsidiaries subject to phase out

       674,110       /       539,688       /  

50

  

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

       6,510       /       4,794       /  

50a

  

of which: general allowance for loan losses

       6,510       /       4,794       /  

50b

  

of which: eligible provisions

       —         /       —         /  
 

Total of items included in Tier 2 capital: instruments and provisions subject to phase-out arrangements

       180,319       /       /       /  

                         

  

of which: 45% of unrealized gains on other securities

       161,221       /       /       /  
 

of which: 45% of revaluation reserve for land

       19,097       /       /       /  

51

   Tier 2 capital: instruments and provisions   (H)       1,891,987       /         1,678,105       /  

Tier 2 capital: regulatory adjustments

                                                                                                              

52

   Investments in own Tier 2 instruments       409       102       1,892       /  

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)

       16,413       4,103       8,016       /  

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

       35,732       /       /       /  
 

of which: investments in the capital banking, financial and insurance entities

       34,559       /       /       /  
 

of which: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach

       1,172       /       /       /  

57

   Tier 2 capital: regulatory adjustments   (I)     52,555       /       9,908       /  

Tier 2 capital (T2)

          

58

   Tier 2 capital (T2) ((H)-(I))   (J)     1,839,431       /       1,668,196       /  

Total capital (TC = T1 + T2)

          

59

   Total capital (TC = T1 + T2) ((G)+(J))   (K)     10,050,953       /       10,860,440       /  

Risk weighted assets

   (5)        
 

Total of items included in risk weighted assets subject to phase-out arrangements

       260,992       /       /       /  
 

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

       123,310       /       /       /  
 

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

       9,150       /       /       /  
 

of which: net defined benefit asset

       110,789       /       /       /  
 

of which: investments in the capital banking, financial and insurance entities

       17,742       /       /       /  

60

   Risk weighted assets   (L)     61,717,158       /       59,528,983       /  

Capital ratio (consolidated)

          

61

   Common equity Tier 1 capital ratio (consolidated) ((C)/(L))       11.34 %      /       12.49 %      /  

 

7

Table of Contents

62

  

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

       13.30 %      /       15.44 %      /  

63

  

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

       16.28 %      /       18.24 %      /  

Regulatory adjustments

   (6)        

72

  

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

       703,872       /       745,717       /  

73

  

Significant investments in the common stock of financials that are below the thresholds for deduction (before risk weighting)

       118,358       /          142,407       /   

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)

       182,672       /       185,172       /  

Provisions included in Tier 2 capital: instruments and provisions

   (7)                                                                                                            

76

  

Provisions (general allowance for loan losses)

       6,510       /       4,794       /  

77

  

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

       46,343       /       43,678       /  

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

       299,309       /       284,521       /  

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       /  

85

  

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

       —         /       7,304       /  

                         

            

 

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.

 

8

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 March 31, 2017     As of March 31, 2018      

(Assets)

                                                                        

Cash and due from banks

     47,129,583       47,725,360      

Call loans and bills purchased

     1,035,746       715,149                                                         

Receivables under resale agreements

     8,967,777       8,080,873      

Guarantee deposits paid under securities borrowing transactions

     3,350,051       4,350,527      

Other debt purchased

     2,745,204       2,713,742      

Trading assets

     10,361,787       10,507,133     6-a  

Money held in trust

     247,583       337,429      

Securities

     32,353,158       34,183,033     2-b, 6-b  

Loans and bills discounted

     78,337,793       79,421,473     6-c  

Foreign exchange assets

     1,828,782       1,941,677      

Derivatives other than for trading assets

     2,170,750       1,807,999     6-d  

Other assets

     4,180,339       4,588,484     6-e  

Tangible fixed assets

     1,136,329       1,111,128      

Intangible fixed assets

     1,045,486       1,092,708     2-a  

Net defined benefit asset

     797,762       996,173     3  

Deferred tax assets

     56,066       47,839     4-a  

Customers’ liabilities for acceptances and guarantees

     5,273,581       5,723,186      

Reserves for possible losses on loans

     (509,175 )      (315,621 )     
 

 

 

    

 

 

      

Total assets

     200,508,610       205,028,300      
 

 

 

    

 

 

      

(Liabilities)

        

Deposits

     120,045,217       125,081,233      

Negotiable certificates of deposit

     10,631,277       11,382,590      

Call money and bills sold

     1,255,172       2,105,293      

Payables under repurchase agreements

     17,969,753       16,656,828      

Guarantee deposits received under securities lending transactions

     1,679,300       1,566,833      

Commercial paper

     789,705       710,391      

Trading liabilities

     7,923,285       8,121,543     6-f  

Borrowed money

     6,307,230       4,896,218     8-a  

Foreign exchange liabilities

     526,053       445,804      

Short-term bonds

     226,348       362,185      

Bonds and notes

     7,564,535       7,544,256     8-b  

Due to trust accounts

     4,784,077       4,733,131      

Derivatives other than for trading liabilities

     1,784,857       1,514,483     6-g  

Other liabilities

     3,883,168       3,685,585      

Reserve for bonus payments

     67,633       66,872      

Reserve for variable compensation

     3,018       3,242      

Net defined benefit liability

     55,236       58,890      

Reserve for director and corporate auditor retirement benefits

     1,327       1,460      

Reserve for possible losses on sales of loans

     298       1,075      

Reserve for contingencies

     5,680       5,622      

Reserve for reimbursement of deposits

     19,072       20,011      

Reserve for reimbursement of debentures

     32,720       30,760      

Reserves under special laws

     2,309       2,361      

Deferred tax liabilities

     337,800       421,002     4-b  

Deferred tax liabilities for revaluation reserve for land

     66,585       66,186     4-c  

Acceptances and guarantees

     5,273,581       5,723,186      
 

 

 

    

 

 

      

Total liabilities

     191,235,249       195,207,054      
 

 

 

    

 

 

      

 

9

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(Net assets)

                                                                                                                          

Common stock and preferred stock

     2,256,275       2,256,548     1-a  

Capital surplus

     1,134,416       1,134,922     1-b  

Retained earnings

     3,615,449       4,002,835     1-c  

Treasury stock

     (4,849 )      (5,997 )    1-d  
 

 

 

    

 

 

      

Total shareholders’ equity

     7,001,291       7,388,309      
 

 

 

    

 

 

      

Net unrealized gains (losses) on other securities

     1,289,985       1,392,392      

Deferred gains or losses on hedges

     10,172       (67,578 )    5  

Revaluation reserve for land

     145,609       144,277      

Foreign currency translation adjustments

     (69,657 )      (85,094 )     

Remeasurements of defined benefit plans

     144,866       293,536      
 

 

 

    

 

 

      

Total accumulated other comprehensive income

     1,520,976       1,677,534       3
 

 

 

    

 

 

      

Stock acquisition rights

     1,754       1,163       1b

Non-Controlling interests

     749,339       754,239     7  
 

 

 

    

 

 

      

Total net assets

     9,273,361       9,821,246      
 

 

 

    

 

 

      

Total liabilities and net assets

     200,508,610       205,028,300      
 

 

 

    

 

 

      

 

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 March 31, 2017     As of March 31, 2018    

Remarks

1-a

   Common stock and preferred stock      2,256,275       2,256,548    

1-b

   Capital surplus      1,134,416       1,134,922    

1-c

   Retained earnings      3,615,449       4,002,835    

1-d

   Treasury stock      (4,849 )      (5,997 )   
  Total shareholders’ equity      7,001,291       7,388,309    

(2) Composition of capital

       

Basel III
template

       

(Millions of yen)

      
 

Composition of capital disclosure

    As of March 31, 2017     As of March 31, 2018    

Remarks

 

Directly issued qualifying common share capital plus related stock surplus and retained earnings

      7,000,683       7,387,824     Shareholders’ equity attributable to common shares (before adjusting national specific regulatory adjustments (earnings to be distributed))

1a

  

of which: capital and stock surplus

      3,390,691       3,391,471    

2

  

of which: retained earnings

      3,614,841       4,002,350    

1c

  

of which: treasury stock (-)

      4,849       5,997    
 

of which: other than above

      —         —      

31a

  

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

      —         —      

 

2. Intangible fixed assets

       

(1) Consolidated balance sheet

       
         (Millions of yen)      

Ref.

  

Consolidated balance sheet items

    As of March 31, 2017     As of March 31, 2018    

Remarks

                      

2-a

   Intangible fixed assets      1,045,486       1,092,708    

2-b

   Securities      32,353,158       34,183,033    
 

of which: share of goodwill of companies accounted for using the equity method

      24,846       14,588     Share of goodwill of companies accounted for using the equity method
  Income taxes related to above      (295,574 )      (312,342 )   

 

10

Table of Contents

(2) Composition of capital

       

Basel III

       

(Millions of yen)

      

template

  

Composition of capital disclosure  

   

As of March 31, 2017

    

As of March 31, 2018

    

Remarks

                      
8  

Goodwill (net of related tax liability, including those equivalent)

      99,619       85,103    

 

9  

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

            675,139            709,850     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 March 31, 2017

    

As of March 31, 2018

    

Remarks

                      

3

  

Net defined benefit asset

      797,762       996,173    
 

Income taxes related to above

      (243,814 )      (304,793 )   

 

(2) Composition of capital

 

       

Basel III
template

  

Composition of capital disclosure  

   

(Millions of yen)

      
    

As of March 31, 2017

    

As of March 31, 2018

    

Remarks

                      
15  

Net defined benefit asset

      553,947       691,380    

 

4. Deferred tax assets

 

       

(1) Consolidated balance sheet

 

       
        

(Millions of yen)

      

Ref.

  

Consolidated balance sheet items  

   

As of March 31, 2017

    

As of March 31, 2018

    

Remarks

                      
4-a  

Deferred tax assets

      56,066       47,839    
4-b  

Deferred tax liabilities

      337,800       421,002    
4-c  

Deferred tax liabilities for revaluation reserve for land

      66,585       66,186    
 

Tax effects on intangible fixed assets

      295,574       312,342    
 

Tax effects on net defined benefit asset

      243,814       304,793    

 

(2) Composition of capital

 

       
Basel III       

(Millions of yen)

      

template

  

Composition of capital disclosure  

    As of March 31, 2017     As of March 31, 2018    

Remarks

                      
10  

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

      45,751       42,352     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)

      182,672            185,172     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)

      182,672       185,172    

 

11

Table of Contents

5. Deferred gains or losses on derivatives under hedge accounting

 

(1) Consolidated balance sheet

   

 

         (Millions of yen)      

  Ref.  

  

Consolidated balance sheet items  

    As of March 31, 2017      As of March 31, 2018    

Remarks

                       
5  

Deferred gains or losses on hedges

      10,172        (67,578 )    

(2) Composition of capital

 

  

Basel III
template

        (Millions of yen)      
 

Composition of capital disclosure  

   

As of March 31, 2017

     

As of March 31, 2018

    

Remarks

11  

Deferred gains or losses on derivatives under hedge accounting

             10,172                (67,578 )    

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 March 31, 2017     As of March 31, 2018    

Remarks

                      

6-a

   Trading assets      10,361,787        10,507,133     Including trading account securities and derivatives for trading assets            

6-b

  

Securities

      32,353,158       34,183,033    

6-c

  

Loans and bills discounted

      78,337,793       79,421,473    

Including subordinated loans

6-d

  

Derivatives other than for trading assets

      2,170,750       1,807,999    

6-e

  

Other assets

      4,180,339       4,588,484    

Including money invested

6-f

   Trading liabilities      7,923,285       8,121,543     Including trading account securities sold

6-g

  

Derivatives other than for trading liabilities

      1,784,857       1,514,483    

 

(2) Composition of capital

 

  

Basel III
template

        (Millions of yen)      
 

Composition of capital disclosure  

   

As of March 31, 2017

    

As of March 31, 2018

    

Remarks

 

Investments in own capital instruments

      7,353         3,349      

16

  

Common equity Tier 1 capital

      6,842       1,457    

37

  

Additional Tier 1 capital

      —         —      

52

  

Tier 2 capital

      511       1,892    
 

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)

           770,182            773,996    

18

  

Common equity Tier 1 capital

      45,743       20,140    

39

  

Additional Tier 1 capital

      48       121    

54

  

Tier 2 capital

      20,517       8,016    

72

  

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

      703,872       745,717    
 

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

      265,358       215,907    

19

  

Amount exceeding the 10% threshold on specified items

      —         —      

23

  

Amount exceeding the 15% threshold on specified items

      —         —      

40

  

Additional Tier 1 capital

      147,000       73,500    

55

  

Tier 2 capital

      —         —      

73

  

Significant investments in the common stock of financials that are below the thresholds for deduction (before risk weighting)

      118,358       142,407    

 

12

Table of Contents

7. Non-Controlling interests

 

         

(1) Consolidated balance sheet

 

         
         (Millions of yen)       

Ref.

  

Consolidated balance sheet items  

   

As of March 31, 2017

     

As of March 31, 2018

     

Remarks

                        

7

  

Non-Controlling interests

      749,339        754,239     

 

(2) Composition of capital

 

         

Basel III

        (Millions of yen)       

template

  

Composition of capital disclosure  

    As of March 31, 2017      As of March 31, 2018     

Remarks

                        

5

  

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

      14,537         14,344       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)

      31,786        31,317      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

      168,300        159,405      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)

      10,574        10,378      After reflecting amounts eligible for inclusion (non-controlling interest after adjustments)

 

8. Other capital instruments

 

         

(1) Consolidated balance sheet

 

                   
         (Millions of yen)       

Ref.

  

Consolidated balance sheet items  

    As of March 31, 2017      As of March 31, 2018     

Remarks

                        

8-a

  

Borrowed money

      6,307,230        4,896,218     

8-b

  

Bonds and notes

      7,564,535        7,544,256     
 

Total

      13,871,765        12,440,475     

 

(2) Composition of capital

 

         

Basel III

        (Millions of yen)       

template

  

Composition of capital disclosure  

    As of March 31, 2017      As of March 31, 2018     

Remarks

                        

32

  

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

      760,000        1,220,000     

46

  

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

      684,150        828,702     

 

Note:

Amounts as of March 31, 2017 in the “Composition of capital disclosure” are based on those before considering amounts under transitional arrangements and include “Amounts excluded under transitional arrangements” disclosed in “(A) Composition of Capital Disclosure” as well as amounts included as regulatory capital. In addition, items for regulatory purposes under transitional arrangements are excluded from this table.

 

13

Table of Contents

∎ Summary of Risk Management and Risk-weighted Assets (RWA)

(1) Summary of Our Group’s Risk Profile, Risk Management Policies/ Procedures and Structure

See page 63 for a summary of our group’s risk profile and risk management policies, etc.

(2) 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
March 31,
2018		      As of
March 31,
2017		      As of
March 31,
2018		      As of
March 31,
2017		  
                                  
1   

Credit risk (excluding counterparty credit risk)

      38,823,030        /        3,275,858        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
2   

Of which: standardized approach (SA)

      1,820,063        /        145,605        /  
3   

Of which: internal rating-based (IRB) approach

      35,420,038        /        3,003,619        /  
  

Of which: significant investments

      —          /        —          /  
  

Of which: estimated residual value of lease transaction

      —          /        —          /  
  

Others

      1,582,929        /        126,634        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
4   

Counterparty credit risk (CCR)

      4,531,171        /        366,994        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
5   

Of which: SA-CCR

      —          /        —          /  
  

Of which: current exposure method

      216,424        /        17,723        /  
6   

Of which: expected positive exposure (EPE) method

      887,843        /        74,632        /  
  

Of which: credit valuation adjustment (CVA) risk

      2,539,780        /        203,182        /  
  

Of which: central counterparty-related

      193,088        /        15,447        /  
  

Others

      694,035        /        56,009        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
7   

Equity positions in banking book under market-based approach

      2,972,073        /        252,031        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Fund exposures–standardized approach

      —          /        —          /  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Fund exposures–regarded method

      3,515,582        /        297,289        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
11   

Settlement risk

      4,574        /        386        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
12   

Securitization exposures in banking book

      379,016        /        32,003        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
13   

Of which: IRB ratings-based approach (RBA) or IRB internal assessment approach (IAA)

      110,551        /        9,374        /  
14   

Of which: IRB supervisory formula approach (SFA)

      231,492        /        19,630        /  
15   

Of which: SA/simplified supervisory formula approach (SSFA)

      25,711        /        2,056        /  
  

Of which: 1250% risk weight is applied

      11,261        /        941        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
16   

Market risk

      2,470,321        /        197,625        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
17   

Of which: standardized approach (SA)

      1,406,398        /        112,511        /  
18   

Of which: internal model approaches (IMM)

      1,063,922        /        85,113        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
19   

Operational risk

      3,411,289        /        272,903        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
20   

Of which: basic indicator approach

      591,083        /        47,286        /  
21   

Of which: standardized approach

      —          /        —          /  
22   

Of which: advanced measurement approach

      2,820,206        /        225,616        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
23   

Exposures of specified items not subject to regulatory adjustments

      818,950        /        67,224        /  
     

 

 

     

 

 

     

 

 

     

 

 

  
  

Amounts included in RWA subject to phase-out arrangements

      —          /        —          /  
     

 

 

     

 

 

     

 

 

     

 

 

  
24   

Floor adjustment

      —          /        —          /  
     

 

 

     

 

 

     

 

 

     

 

 

  
25   

Total (after applying the scaling factor)

      59,528,983        /        4,762,318        /  
     

 

 

     

 

 

     

 

 

     

 

 

  

 

Note:  
   We disclose the data for the fiscal year ended March 31, 2018 according to the New FSA Notice.

 

14

Table of Contents

(B) Credit Risk-weighted Assets by Asset Class and Ratings Segment

 

     (Billions of yen)  
     As of March 31, 2017      As of March 31, 2018  
     EAD      RWA      Risk
Weight
(%)		      EAD      RWA      Risk
Weight
(%)		  

Internal ratings-based approach

      189,852.0        50,084.2        26.38        188,162.7        47,619.7        25.30  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Corporate, etc.

      164,623.5        31,312.3        19.02        162,853.7        29,536.1        18.13  

Corporate (except specialized lending)

      78,222.1        28,727.3        36.72        79,917.9        27,232.1        34.07  

Ratings A1-B2

      55,538.0        14,486.4        26.08        58,776.0        13,840.5        23.54  

Ratings C1-D3

      20,306.6        12,002.9        59.10        19,376.2        11,569.6        59.71  

Ratings E1-E2

      1,373.3        1,885.3        137.27        1,182.2        1,625.0        137.45  

Ratings E2R-H1

      1,004.0        352.5        35.11        583.3        196.7        33.73  

Sovereign

      80,314.2        1,023.3        1.27        76,803.1        833.9        1.08  

Ratings A1-B2

      80,165.1        928.3        1.15        76,674.5        758.3        0.98  

Ratings C1-D3

      148.6        94.3        63.49        128.2        75.2        58.70  

Ratings E1-E2

      0.3        0.6        164.61        0.3        0.2        82.31  

Ratings E2R-H1

      0.0        0.0        40.50        0.0        0.0        39.56  

Bank

      5,921.5        1,375.8        23.23        5,986.3        1,313.1        21.93  

Ratings A1-B2

      5,337.6        1,036.1        19.41        5,447.4        1,002.1        18.39  

Ratings C1-D3

      582.4        339.2        58.25        537.5        310.5        57.77  

Ratings E1-E2

      0.0        0.0        184.04        0.0        0.0        129.81  

Ratings E2R-H1

      1.4        0.4        29.54        1.2        0.3        29.94  

Specialized lending

      165.6        185.8        112.16        146.3        156.9        107.22  

Retail

      12,235.5        4,541.9        37.12        11,629.8        3,818.0        32.83  

Residential mortgage

      9,388.0        3,096.3        32.98        9,046.0        2,508.1        27.72  

Qualifying revolving loan

      629.2        415.6        66.05        673.7        513.0        76.14  

Other retail

      2,218.2        1,029.9        46.42        1,910.0        796.8        41.72  

Equities

      4,973.3        8,642.9        173.78        5,136.2        8,436.2        164.25  

PD/LGD approach

      4,180.1        6,068.0        145.16        4,162.6        5,279.2        126.82  

Market-based approach

      793.1        2,574.9        324.64        973.5        3,157.0        324.26  

Regarded-method exposure

      1,744.0        3,341.4        191.58        2,102.9        3,716.1        176.70  

Securitizations

      4,009.5        328.9        8.20        4,169.4        371.5        8.91  

Others

      2,265.9        1,916.6        84.58        2,270.5        1,741.5        76.70  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Standardized approach

      17,523.9        3,508.0        20.01        18,603.6        3,294.7        17.71  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

CVA risk

      /        2,272.3        /        /        2,539.7        /  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Central counterparty-related

      /        195.4        /        /        193.0        /  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total

      207,375.9        56,060.0        27.03        206,766.4        53,647.3        25.94  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

 

Note:

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

 

15

Table of Contents

∎ Linkages between Financial Statements and Regulatory Exposures

(A) LI1: Differences between Accounting and Regulatory Scopes of Consolidation and Mapping of Financial Statement Categories with Regulatory Risk Categories

 

    (Millions of yen)  
 

 

  
    As of March 31, 2018  
 

 

  
    a   b         c     d     e     f     g  
 

 

  

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
                  Carrying values of items:  
  Carrying
values as
reported in
published
financial
statements/		   Carrying
values under
scope of
regulatory
consolidation		         Subject to
credit
risk
framework		     Subject to
counterparty
credit risk
framework		     Subject to
the
securitization
framework		     Subject to
the market
risk
framework		     Not subject to
capital
requirements
or subject to
deduction
from capital		  

Assets

              

Cash and Due from Banks

   47,725,360                47,725,360       —         —         —         —    

Call Loans and Bills Purchased

   715,149                715,149       —         —         —         —    

Receivables under Resale Agreements

   8,080,873                —         8,080,873       —         —         —    

Guarantee Deposits Paid under Securities Borrowing Transactions

   4,350,527                —         4,350,527       —         —         —    

Other Debt Purchased

   2,713,742                2,127,247       —         551,092       —         35,402  

Trading Assets

   10,507,133                —         5,318,732       —         10,507,133       2,249  

Money Held in Trust

   337,429                337,429       —         —         —         —    

Securities

   34,183,033                32,788,339       —         1,287,391       —         107,303  

Loans and Bills Discounted

   79,421,473                77,937,924       1,305       1,475,430       —         6,812  

Foreign Exchange Assets

   1,941,677                1,941,677       —         —         —         —    

Derivatives Other than for Trading Assets

   1,807,999                —         1,807,999       —         —         —    

Other Assets

   4,588,484                1,549,959       1,936,112       4,161       —         1,098,251  

Tangible Fixed Assets

   1,111,128                1,111,128       —         —         —         —    

Intangible Fixed Assets

   1,092,708                312,342       —         —         —         780,365  

Net Defined Benefit Asset

   996,173                304,793       —         —         —         691,380  

Deferred Tax Assets

   47,839                5,487       —         —         —         42,352  

Customers’ Liabilities for Acceptances and Guarantees

   5,723,186                5,722,952       234       —         —         —    

Reserves for Possible Losses on Loans

   (315,621)               (314,330 )      —         —         —         (1,291 ) 
 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   205,028,300                172,265,461       21,495,785       3,318,075       10,507,133       2,762,827  
 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Liabilities

              

Deposits

   125,081,233                —         —         —         —         125,081,233  

Negotiable Certificates of Deposit

   11,382,590                —         —         —         —         11,382,590  

Call Money and Bills Sold

   2,105,293                —         —         —         —         2,105,293  

Payables under Repurchase Agreements

   16,656,828                —         16,656,828       —         —         —    

Guarantee Deposits Received under Securities Lending Transactions

   1,566,833                —         1,566,833       —         —         —    

Commercial Paper

   710,391                —         —         —         —         710,391  

Trading Liabilities

   8,121,543                —         4,936,441       —         8,121,543       —    

Borrowed Money

   4,896,218                —         —         —         —         4,896,218  

Foreign Exchange Liabilities

   445,804                —         —         —         —         445,804  

Short-term Bonds

   362,185                —         —         —         —         362,185  

Bonds and Notes

   7,544,256                —         —         —         —         7,544,256  

Due to Trust Accounts

   4,733,131                —         —         —         —         4,733,131  

Derivatives other than for trading liabilities

   1,514,483                —         1,514,483       —         —         —    

Other Liabilities

   3,685,585                —         76,599       —         —         3,608,986  

Reserve for Bonus Payments

   66,872                —         —         —         —         66,872  

Reserve for variable compensation

   3,242                —         —         —         —         3,242  

Net Defined Benefit Liability

   58,890                —         —         —         —         58,890  

Reserve for Director and Corporate Auditor Retirement Benefits

   1,460                —         —         —         —         1,460  

Reserve for possible losses on sales of loans

   1,075                —         —         —         —         1,075  

Reserve for contingencies

   5,622                56       —         —         —         5,566  

Reserve for reimbursement of deposits

   20,011               —         —         —         —         20,011  

Reserve for reimbursement of debentures

   30,760                —         —         —         —         30,760  

Reserves under Special Laws

   2,361                —         —         —         —         2,361  

Deferred Tax Liabilities

   421,002                —         —         —         —         421,002  

Deferred Tax Liabilities for Revaluation Reserve for Land

   66,186                —         —         —         —         66,186  

Acceptances and Guarantees

   5,723,186                —         —         —         —         5,723,186  
 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

   195,207,054                56       24,751,187       —         8,121,543       167,270,708  
 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Notes:   
1.    Since the scope of accounting consolidation and that of regulatory consolidation are the same, the column (a) and (b) have been combined.
2.    Market risk includes foreign exchange risk and commodities risk in the banking book, but only those items in the trading book are recorded.

 

 

16

Table of Contents

(B) LI2: Main Sources of Differences between Regulatory Exposure Amounts and Carrying Values in Financial Statements

 

         (Millions of yen)  
         As of March 31, 2018  
         a            b     c     d      e  
         Total            Items subject to:  
              Credit risk
framework		     Counterparty
credit risk
framework		     Securitization
framework		      Market risk
framework		  
1  

Asset carrying value amount under scope of regulatory consolidation (as per template LI1)

      202,265,473          172,265,461       21,495,785       3,318,075        10,507,133  
2  

Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1)

      27,936,345          56       24,751,187       —          8,121,543  
3  

Total net amount under regulatory scope of consolidation

      174,329,127          172,265,405       (3,255,401 )      3,318,075        2,385,589  
4  

Off-balance sheet amounts

      17,311,153          16,446,822       —         864,331        —    
5  

Differences due to consideration of provision for loan losses and write-offs

      401,252          401,252       —         —          —    
6  

Differences due to derivative transactions, etc.

      1,887,980          —         1,887,980       —          —    
7  

Differences due to repurchase transactions

      17,310,011          —         17,310,011       —          —    
8  

Other differences

      (523,103 )         (907,644 )      —         —          —    
9  

Exposure amounts considered for regulatory purposes

      210,716,420          188,205,836       15,942,589       4,182,406        2,385,589  

 

Notes:  
1.   Column (a) is not necessarily equal to the sum of columns (b) to (e) due to assets being riskweighted more than once.
2.   Differences between regulatory exposure amounts and carrying values in consolidated financial statements and the main sources of the differences are as follows.
 

 

•   Off-balance sheet amounts correspond to the differences produced mainly by adding exposures to undrawn commitments and by multiplying customer liabilities for acceptances and guarantees by the credit conversion factor (CCF) assigned to off-balance sheet items under the regulatory capital requirements.

 

•   Differences due to consideration of provision for loan losses, and write-offs are produced mainly by adding general provisions for loan losses, specific provisions for loan losses and partial direct bad debt write-offs to those assets subject to the advanced internal ratings-based approach.

 

•   Differences due to derivative transactions, etc. are produced mainly by incorporating future market value fluctuations and the effect of netting into regulatory exposure amounts. Derivative transactions, etc. include long-settlement transactions.

 

•   Differences due to repurchase transactions are mainly produced by adding the exposure amounts related to assets pledged as collateral and considering the effect of netting and collateral.

 

•   Other differences are produced mainly by considering the offsetting of deferred tax assets against deferred tax liabilities and the regulatory recognized effectiveness of hedging and making regulatory prudential adjustments.

 

17

Table of Contents

∎ Credit Risk

(1) Summary of Risk Profile, Risk Management Policies/ Procedures and Structure

See pages 64 to 66 for a summary of our credit risk profile and credit risk management policies, etc.

(2) Summary of Provision for Loan Losses and Charge-offs

See page 65 for a summary of provision for loan losses and charge-offs.

(3) 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 March 31, 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

      645,060        77,305,616        271,369        77,679,307  
2   

Debt securities

      5,946        26,116,905        —          26,122,851  
3   

Other on-balance sheet debt exposures

      2,652        51,697,897        2,526        51,698,023  
     

 

 

     

 

 

     

 

 

     

 

 

  
4   

Total on-balance sheet exposures (1+2+3)

      653,659        155,120,419        273,896        155,500,182  
     

 

 

     

 

 

     

 

 

     

 

 

  
   Off-balance sheet exposures            
5   

Guarantees

      13,776        5,709,421        30,819        5,692,378  
6   

Commitments

      15,249        25,189,759        —          25,205,009  
     

 

 

     

 

 

     

 

 

     

 

 

  
7   

Total off-balance sheet exposures (5+6)

      29,026        30,899,180        30,819        30,897,388  
     

 

 

     

 

 

     

 

 

     

 

 

  
   Total            
     

 

 

     

 

 

     

 

 

     

 

 

  
8   

Total assets (4+7)

      682,685        186,019,600        304,715        186,397,570  
     

 

 

     

 

 

     

 

 

     

 

 

  

 

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

 

18

Table of Contents

(B) Breakdown of Credit Risk Exposures

(a) Breakdown by Geographical Area

 

     (Billions of yen)  
     As of March 31, 2018  
     Loans, commitments and
other non-derivative
off-balance-sheet exposures		      Securities      Others      Total  

Domestic

      62,042.2        21,449.0        37,376.2        120,867.5  
  

 

 

     

 

 

     

 

 

     

 

 

  

Overseas

      39,785.8        9,122.3        10,527.5        59,435.7  

Asia

      10,263.4        1,961.2        1,947.9        14,172.7  

Central and South America

      2,947.5        52.0        1,136.3        4,135.9  

North America

      14,172.5        5,074.6        5,917.4        25,164.6  

Eastern Europe

      346.0        —          10.0        356.1  

Western Europe

      7,876.3        1,313.7        844.5        10,034.6  

Other areas

      4,179.8        720.5        671.1        5,571.5  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      101,828.0        30,571.3        47,903.8        180,303.2  
  

 

 

     

 

 

     

 

 

     

 

 

  

Standardized approach portion

      /        /        /        16,604.4  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Notes:

 

  1. Standardized approach portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit RWA

 

  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 and other assets, etc.

(b) Breakdown by Industry

 

     (Billions of yen)  
     As of March 31, 2018  
     Loans, commitments and
other  non-derivative
off-balance-sheet exposures		      Securities      Others      Total  

Manufacturing

      22,348.0        2,335.3        551.1        25,234.5  

Construction

      1,834.4        235.7        65.5        2,135.6  

Real estate

      9,576.2        814.1        18.0        10,408.5  

Service industries

      5,455.8        440.1        714.2        6,610.2  

Wholesale and retail

      9,536.2        755.6        744.0        11,036.0  

Finance and insurance

      13,028.8        2,395.8        3,706.3        19,131.0  

Individuals

      12,145.6        9.9        114.1        12,269.6  

Other industries

      25,827.4        8,314.1        9,790.1        43,931.7  

Japanese Government; Bank of Japan

      2,075.1        15,270.3        32,200.0        49,545.6  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      101,828.0        30,571.3        47,903.8        180,303.2  
  

 

 

     

 

 

     

 

 

     

 

 

  

Standardized approach portion

      /        /        /        16,604.4  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Notes:

 

  1. Standardized approach portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit RWA.

 

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

(c) Breakdown by Residual Contractual Maturity

 

     (Billions of yen)  
     As of March 31, 2018  
     Loans, commitments and
other non-derivative
off-balance-sheet exposures		      Securities      Others      Total  

Less than one year

      30,139.5        10,117.3        6,135.9        46,392.7  

From one year to less than three years

      22,692.1        4,828.9        789.9        28,311.0  

From three years to less than five years

      20,637.6        3,738.5        14.5        24,390.7  

Five years or more

      27,872.8        7,042.5        165.4        35,080.9  

Other than above

      485.8        4,843.9        40,798.0        46,127.8  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      101,828.0        30,571.3        47,903.8        180,303.2  
  

 

 

     

 

 

     

 

 

     

 

 

  

Standardized approach portion

      /        /        /        16,604.4  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

Notes:

 

  1. Standardized approach portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit RWA

 

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

 

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Table of Contents

(C) Exposure to Obligors Claims of Whom Meet the Stipulations in the Article 4 Paragraph 2, 3 or 4 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions Enacted in Japan

 

(a) Breakdown by Geographical Area   

 

     (Billions of yen)  
     As of March 31, 2018  
     Exposure      Reserve      Write-Offs  

Domestic

      598.8                  121.9                    13.7  
  

 

 

     

 

 

     

 

 

  

Overseas

                193.0        35.9        1.4  

Asia

      28.6        2.4        0.0  

Central and South America

      63.1        4.3        —    

North America

      19.9        0.3        —    

Eastern Europe

      0.4        0.4        —    

Western Europe

      71.4        24.8        1.3  

Other areas

      9.2        3.4        —    
  

 

 

     

 

 

     

 

 

  

Total

      791.8        157.8        15.2  
  

 

 

     

 

 

     

 

 

  

Standardized approach portion

      14.1        6.9        0.3  
  

 

 

     

 

 

     

 

 

  

 

Note:

Standardized approach portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit RWA

 

(b) Breakdown by Industry   

 

     (Billions of yen)  
     As of March 31, 2018  
     Exposure      Reserve      Write-Offs  

Manufacturing

                190.9                    50.4                      2.8  

Construction

      7.8        0.8        0.1  

Real estate

      43.5        1.8        0.2  

Service industries

      73.6        12.9        1.9  

Wholesale and retail

      198.2        55.0        5.7  

Finance and insurance

      21.5        1.9        —    

Individuals

      103.3        12.3        3.3  

Other industries

      152.6        22.4        0.8  
  

 

 

     

 

 

     

 

 

  

Total

      791.8        157.8        15.2  
  

 

 

     

 

 

     

 

 

  

Standardized approach portion

      14.1        6.9        0.3  
  

 

 

     

 

 

     

 

 

  

 

Note:

Standardized approach portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit RWA.

(D) Exposure by Past Due Period

 

(Billions of yen)

  

As of March 31, 2018

  

Less than one month

    From one month to
less
than two months		      From two months to
less
than three months		      Three months or
more		      Total  

 

                    100.7                  

      46.1        15.1        29.4        191.5  

 

Note:

Excluding claims under bankruptcy or substantial bankruptcy stipulated in the Article 4 paragraph 2 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions as well as high risk claims stipulated in the Article 4 paragraph 3.

(E) Exposure to Obligors Claims of Whom have been Restructured for the Purpose of Corporate Restructuring or Supporting the Customer

 

(Billions of yen)

As of March 31, 2018

           
             

Exposure

   

 

    Amount of exposure for which loss    

reserve has increased as a result of

restructuring of lending terms

   

                             Others                            

 

 

    322.7                                                                      

    280.6    42.0

 

Notes:

Excluding claims under bankruptcy or substantial bankruptcy stipulated in the Article 4 paragraph 2 of the Ordinance for Enforcement of the Act on Emergency Measures for the Revitalization of the Financial Functions, high risk claims stipulated in the Article 4 paragraph 3 or claims overdue for more than three months stipulated in the Article 4 paragraph 4.

 

20

Table of Contents

(4) Credit Risk under Internal Ratings-Based (IRB) Approach

(i) Summary of Internal Ratings-Based (IRB) Approach

We have adopted Advanced Internal Ratings-Based (AIRB) Approach as a method to calculate credit risk weighted assets (RWA) since March 31, 2009. The following business units have adopted AIRB approach:

Mizuho Financial Group, Inc., Mizuho Bank, Ltd., Mizuho Trust & Banking Co., Ltd., Mizuho Credit Guarantee Co., Ltd., Mizuho Trust Realty Company Limited, Mizuho Bank (China), Mizuho Bank (USA), Ltd., Mizuho Bank Europe N.V., and Mizuho Capital Markets LLC.

Note: Special purpose companies (SPCs) controlled by the above companies have also adopted the AIRB approach due to their business operations integrated with their parent companies.

The application scope of AIRB is determined through taking into account the importance for each business unit, such as the ratio of its credit RWA to that of the entire group. AIRB is generally applied to those assets held by the business units that have adopted AIRB except for some asset classes considered immaterial for the purpose of calculating credit RWA. In addition, AIRB is used for all equity exposures and credit RWA exposures under Regarded-Method regardless of what approach the business unit has adopted. The standardized approach will be applied to any of those business units and asset classes that do not meet the above conditions.

(ii) Summary of Our Internal Rating System

See page 65 for a summary of our internal rating system and rating assignment procedures.

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

 

Estimation of parameters and validation

We use our own estimates for the parameters indicated below in the calculation of credit RWA under the Basel Framework. We generally validate the parameters by backtesting or other methods on an annual basis. Methods of estimation and validation as well as results are approved by the Chief Risk Officer.

 

PD

    Probability of default (likelihood of default of an obligor over a period of one year)

LGD

    Loss given default

EAD

    Exposure at default

The definition of default conforms to the Notice issued by Japan’s Financial Services Agency.

Details of Estimates:

We estimate PD of corporate, sovereign and bank exposures per obligor rating, and that of retail exposures per pool allocations. In making estimations, we make conservative adjustments such as accounting for estimation error on the long-term average of internal default records. We supplement estimations for low default portfolios with external data. We apply the regulatory floor PD (0.03%) to A1-rated obligors in the measurement of credit RWA, except for sovereign exposures. The estimated parameters in almost all the PD categories such as obligor rating or pool allocations exceeded actual defaults in the last three years. The differences stemmed from such reasons as: actual defaults in the last few years were lower than the long-term average of the defaults over the entire period, which was the basis for our estimation; conservative adjustments have been made to estimated parameters.

We estimate LGD based on obligor classifications in our self-assessments or pool allocations, and protection coverage. For LGD per obligor classifications, we estimate LGD under normal economic circumstances based on prior defaulted obligor data, making adjustments in consideration of periods of economic downturn using stochastic methods. Our estimation is based on validation of the time between the default event and the closure of the exposure as well as LGD for low default portfolios etc. With regard to protection, we estimate LGD per type of collateral using some external data.

We estimate EAD based on prior defaulted obligor data.

(iii) Asset Class-based EAD Ratios to the Total EAD by Credit RWA Calculation Approach

 

     As of March 31, 2018  

Internal Ratings-based Approach

      91.18 % 

Corporate

      79.20 % 

Retail

      6.24 % 

Equities

      2.75 % 

Purchase Receivables

      1.75 % 

Others

      1.21 % 
  

 

 

  

Standardized Approach

      8.81 % 
  

 

 

  

Total

      100.00 % 
  

 

 

  

 

Notes:

  

1.

   Counterparty credit risk exposures, securitization exposures, and regarded-method exposures are excluded from the amount of credit risk exposures above.

2.

   As for any portfolio to which the standardized approach is applied, exposure instead of EAD is used for calculation.

 

21

Table of Contents

(iv) 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)  
         As of March 31, 2018  
         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  
                                                                              
  

Sovereign

 

1   

0.00 to <0.15

     65,282,123       493,305       78.14       67,094,685       0.00       0.3       37.99       1.6       633,434       0.94       828       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     30,742       3,142       75.00       9,343       0.27       0.0       37.97       3.5       4,931       52.77       9       /  
4   

0.50 to <0.75

     76,127       14,762       75.00       76,646       0.50       0.0       37.97       1.1       35,076       45.76       146       /  
5   

0.75 to <2.50

     80,202       163       75.00       28,798       1.46       0.0       37.44       1.6       22,058       76.59       158       /  
6   

2.50 to <10.00

     62,602       9,186       75.00       947       3.30       0.0       37.97       2.6       1,068       112.71       11       /  
7   

10.00 to <100.00

     16,952       26       75.00       217       15.16       0.0       8.17       1.1       83       38.66       2       /  
8   

100.00 (Default)

     1,819       —         —         19       100.00       0.0       28.17       1.2       7       37.33       4       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     65,550,571       520,586       77.97       67,210,657       0.00       0.3       37.99       1.6       696,660       1.03       1,163       792  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

Banks

 

1   

0.00 to <0.15

     3,444,364       704,050       72.47       4,274,768       0.06       0.3       37.38       1.4       693,677       16.22       1,011       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     106,079       34,292       83.00       157,228       0.27       0.0       34.08       1.5       45,560       28.97       123       /  
4   

0.50 to <0.75

     197,750       55,035       72.89       211,024       0.50       0.0       36.75       1.4       103,707       49.14       378       /  
5   

0.75 to <2.50

     130,564       9,911       75.32       138,643       1.00       0.0       36.73       1.4       102,512       73.93       504       /  
6   

2.50 to <10.00

     20,652       18,128       67.96       24,045       3.13       0.0       40.38       2.2       28,335       117.84       304       /  
7   

10.00 to <100.00

     —         —         —         —         —         —         —         —         —         —         —         /  
8   

100.00 (Default)

     1,287       —         —         1,287       100.00       0.0       96.57       4.9       363       28.25       1,214       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     3,900,699       821,418       72.87       4,806,998       0.16       0.5       37.26       1.4       974,158       20.26       3,536       2,408  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

Corporate (except SME and specialized lending)

 

1   

0.00 to <0.15

     35,728,142       21,717,226       73.81       52,701,719       0.07       6.5       37.97       2.4       11,485,859       21.79       15,786       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     4,154,221       1,464,926       75.16       4,954,125       0.27       5.3       33.22       2.6       1,978,399       39.93       4,556       /  
4   

0.50 to <0.75

     3,335,203       874,325       74.03       3,808,160       0.50       3.8       33.57       2.7       2,073,698       54.45       6,434       /  
5   

0.75 to <2.50

     4,212,757       926,478       75.97       4,518,372       1.18       5.2       31.97       2.6       3,145,660       69.61       17,169       /  
6   

2.50 to <10.00

     1,967,931       684,281       70.34       1,912,682       3.86       1.9       32.58       3.0       2,026,392       105.94       24,920       /  
7   

10.00 to <100.00

     478,359       172,021       77.99       418,948       15.16       0.7       28.23       2.2       574,489       137.12       17,943       /  
8   

100.00 (Default)

     420,603       22,230       80.22       414,611       100.00       0.7       38.96       2.1       127,172       30.67       151,385       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     50,297,219       25,861,490       73.92       68,728,619       0.99       24.3       36.78       2.5       21,411,672       31.15       238,196       162,210  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

SME

 

1   

0.00 to <0.15

     82,869       20,926       74.99       98,562       0.07       0.0       31.64       2.3       14,696       14.91       24       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     552,499       29,152       73.71       562,058       0.27       3.0       24.31       2.8       142,029       25.26       378       /  
4   

0.50 to <0.75

     688,348       26,430       74.25       690,992       0.50       3.3       23.91       3.0       229,938       33.27       831       /  
5   

0.75 to <2.50

     1,243,471       29,192       75.43       1,226,916       1.19       5.9       20.75       3.4       491,630       40.07       3,124       /  
6   

2.50 to <10.00

     454,790       12,354       76.30       446,427       3.25       1.7       19.05       3.7       214,824       48.12       2,802       /  
7   

10.00 to <100.00

     147,430       5,173       92.75       140,309       15.16       0.7       17.98       3.1       106,804       76.12       3,828       /  
8   

100.00 (Default)

     146,588       623       66.96       137,093       100.00       0.6       42.41       2.2       43,356       31.62       54,678       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     3,315,998       123,853       75.47       3,302,360       5.83       15.4       22.89       3.2       1,243,280       37.64       65,667       44,718  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

Specialized Lending

 

1   

0.00 to <0.15

     2,375,330       262,272       77.84       2,206,165       0.09       0.4       36.49       4.3       707,374       32.06       759       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     386,629       139,797       77.89       373,281       0.27       0.0       38.49       4.1       219,941       58.92       397       /  
4   

0.50 to <0.75

     230,853       74,918       77.70       215,900       0.50       0.0       43.42       4.1       185,680       86.00       471       /  
5   

0.75 to <2.50

     413,034       107,078       75.36       331,811       1.02       0.0       38.49       4.5       335,100       100.99       1,312       /  
6   

2.50 to <10.00

     76,132       14,241       76.45       51,744       4.38       0.0       38.19       3.5       68,274       131.94       867       /  
7   

10.00 to <100.00

     40,737       1,342       94.02       9,364       15.16       0.0       37.97       3.9       18,836       201.13       539       /  
8   

100.00 (Default)

     29,001       389       100.00       25,293       100.00       0.0       64.04       4.2       12,473       49.31       15,201       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     3,551,720       600,039       77.41       3,213,563       1.13       0.6       37.64       4.2       1,547,680       48.16       19,549       13,313  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

Equities (PD/LGD approach)

 

1   

0.00 to <0.15

     3,704,926       21,305       100.00       3,726,232       0.05       1.0       90.00       5.0       3,795,623       101.86       /       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         /       /  
3   

0.25 to <0.50

     90,067       —         —         90,067       0.27       0.5       90.00       5.0       142,515       158.23       /       /  
4   

0.50 to <0.75

     43,662       —         —         43,662       0.50       0.3       90.00       5.0       89,021       203.88       /       /  
5   

0.75 to <2.50

     40,387       —         —         40,387       1.15       0.2       90.00       5.0       107,668       266.58       /       /  
6   

2.50 to <10.00

     113,095       —         —         113,095       3.76       0.0       90.00       5.0       425,736       376.44       /       /  
7   

10.00 to <100.00

     915       —         —         915       15.16       0.0       90.00       5.0       5,851       638.79       /       /  
8   

100.00 (Default)

     5,710       —         —         5,710       100.00       0.1       90.00       5.0       64,245       1,125.00       /       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

         3,998,766              21,305       100.00           4,020,072       0.33              2.3       90.00       5.0       4,630,663       115.18       /       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

22

Table of Contents

(-Continued)

 

         (Millions of yen, %, number in the thousands, year)  
         As of March 31, 2018  
         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  
                                                                              
  

Purchased receivables (Corporate, etc.)–Default Risk Equivalent

 

1   

0.00 to <0.15

     2,148,219       701,913       75.14       2,671,876       0.08       0.9       38.23       1.9       472,908       17.69       818       /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     129,026       94,175       77.74       202,240       0.27       0.2       37.89       2.0       80,622       39.86       212       /  
4   

0.50 to <0.75

     102,644       31,136       79.27       127,326       0.50       0.1       37.89       1.8       66,997       52.61       242       /  
5   

0.75 to <2.50

     83,546       28,528       77.42       105,635       1.04       0.1       37.88       2.3       80,956       76.63       419       /  
6   

2.50 to <10.00

     122,256       30,434       75.58       144,774       5.78       0.0       37.97       1.4       177,211       122.40       3,180       /  
7   

10.00 to <100.00

     1,163       18,484       75.71       15,159       15.16       0.0       37.97       1.6       27,179          179.28       873       /  
8   

100.00 (Default)

     1,720       —         —         1,720       100.00       0.0       93.53       1.0       521       30.29       1,567       /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     2,588,578       904,673       75.65       3,268,735       0.51       1.6       38.20       1.9       906,398       27.72       7,314       4,980  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  

Purchased receivables (Retail)–Default Risk Equivalent

 

1   

0.00 to <0.15

     —         —         —         —         —         —         —         —         —         —         —         /  
2   

0.15 to <0.25

     —         —         —         —         —         —         —         —         —         —         —         /  
3   

0.25 to <0.50

     —         —         —         —         —         —         —         —         —         —         —         /  
4   

0.50 to <0.75

     —         —         —         —         —         —         —         —         —         —         —         /  
5   

0.75 to <2.50

     —         —         —         —         —         —         —         —         —         —         —         /  
6   

2.50 to <10.00

     —         —         —         —         —         —         —         —         —         —         —         /  
7   

10.00 to <100.00

     —         —         —         —         —         —         —         —         —         —         —         /  
8   

100.00 (Default)

     —         —         —         —         —         —         —         —         —         —         —         /  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
9   

Sub-total

     —         —         —         —         —         —         —         —         —         —         —         —