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 January 2012

Commission File Number 001-33098

Mizuho Financial Group, Inc.

(Translation of registrant’s name into English)

5-1, Marunouchi 2-chome

Chiyoda-ku, Tokyo 100-8333

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  x    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  x

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

 

 

 


Table of Contents

SIGNATURES

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

 

Date:   January 30, 2012
Mizuho Financial Group, Inc.
By:  

/s/ Takeo Nakano

Name:   Takeo Nakano
Title:   Managing Director / CFO


Table of Contents

The following is an English translation of excerpt regarding Basel II capital adequacy disclosure and relevant information released in our Japanese language disclosure material published in January 2012. The capital adequacy disclosure and other financial information included herein are based on Japanese GAAP pursuant to Japanese regulatory requirements.

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

Status of Capital Adequacy

 

 

Capital adequacy ratio highlights

     2   

n    Capital adequacy ratio highlights

  

Status of Mizuho Financial Group’s consolidated capital adequacy

     3   

n     Consolidated capital adequacy ratio

     3   

(1)    Summary table of consolidated capital adequacy ratio (BIS standard)

  

n    Risk-based capital

     14   

(2)    Required capital by portfolio classification

  

n    Credit risk

     15   

(3)    Credit risk exposure, etc.

  

n     Methods for credit risk mitigation

     30   

(4)    Credit risk mitigation by portfolio classification

  

n     Counterparty risk in derivatives transactions and long-settlement transactions

     31   

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

  

n    Securitization exposure

     33   

(6)    Quantitative disclosure items for securitization exposure

  

n    Market risk

     39   

n    Equity exposure in banking book

     40   

(7)    Status of equity exposure in banking book

 

  

 

 

1


Table of Contents

Capital adequacy ratio highlights

The Basel II Framework, based on the “International Convergence of Capital Measurement and Capital Standards: A Revised Framework” issued by the Basel Committee on Banking Supervision, requires the disclosure of capital adequacy information to ensure the enhanced effectiveness of market discipline. Our disclosure is made under the “Matters Separately Prescribed by the Commissioner of the Financial Services Agency Regarding Capital Adequacy Conditions, etc. pursuant to Article 19-2, Paragraph 1, Item 5, Subitem (d), etc. of the Ordinance for Enforcement of the Banking Law (Ministry of Finance Ordinance No. 10 of 1982)” (FSA Notice No. 15 of 2007).

As a method to calculate the amount of credit risk-weighted assets under the Basel II Framework, we have adopted the advanced internal ratings-based approach. In addition, as a method to calculate the amount equivalent to the operational risk, we have adopted the advanced measurement approach.

n Capital adequacy ratio highlights

Mizuho Financial Group (Consolidated)

 

     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Consolidated capital adequacy ratio (BIS standard)

     15.40     14.92 % 

Tier 1 capital ratio

     11.78     11.89

Tier 1 capital

     6,260.1        6,069.8   

Tier 2 capital

     2,262.9        1,895.8   

Deductions for total risk-based capital

     342.4        350.4   

Total risk-based capital

     8,180.7        7,615.2   

Risk-weighted assets

     53,121.1        51,037.6   
(Reference)     
Mizuho Corporate Bank (Consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Consolidated capital adequacy ratio (BIS standard)

     17.15     18.11

Tier 1 capital ratio

     14.38     15.80

Tier 1 capital

     4,128.3        4,372.3   

Tier 2 capital

     926.9        745.8   

Deductions for total risk-based capital

     134.1        107.4   

Total risk-based capital

     4,921.1        5,010.8   

Risk-weighted assets

     28,694.0        27,666.8   
Mizuho Corporate Bank (Non-consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Non-consolidated capital adequacy ratio (BIS standard)

     18.87     20.08

Tier 1 capital ratio

     14.15     15.98

Tier 1 capital

     3,624.0        4,018.0   

Tier 2 capital

     1,259.2        1,074.4   

Deductions for total risk-based capital

     49.6        43.9   

Total risk-based capital

     4,833.7        5,048.5   

Risk-weighted assets

     25,608.9        25,134.8   
Mizuho Bank (Consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Consolidated capital adequacy ratio (Domestic standard)

     13.01     15.05

Tier 1 capital ratio

     8.40     10.69

Tier 1 capital

     1,972.8        2,388.6   

Tier 2 capital

     1,174.0        1,075.6   

Deductions for total risk-based capital

     90.5        100.9   

Total risk-based capital

     3,056.4        3,363.3   

Risk-weighted assets

     23,482.6        22,342.6   

(Reference) Consolidated capital adequacy ratio (BIS standard)

     12.91     14.73
Mizuho Bank (Non-Consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Non-consolidated capital adequacy ratio (Domestic standard)

     13.09     15.25

Tier 1 capital ratio

     8.52     10.91

Tier 1 capital

     1,931.5        2,346.3   

Tier 2 capital

     1,173.3        1,075.2   

Deductions for total risk-based capital

     136.2        141.8   

Total risk-based capital

     2,968.6        3,279.8   

Risk-weighted assets

     22,670.0        21,494.3   

(Reference) Non-consolidated capital adequacy ratio (BIS standard)

     12.97     14.90
Mizuho Trust & Banking (Consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Consolidated capital adequacy ratio (BIS standard)

     16.88     16.69

Tier 1 capital ratio

     11.21     12.55

Tier 1 capital

     291.0        311.6   

Tier 2 capital

     155.2        105.8   

Deductions for total risk-based capital

     8.0        3.0   

Total risk-based capital

     438.2        414.4   

Risk-weighted assets

     2,594.9        2,481.7   
Mizuho Trust & Banking (Non-Consolidated)     
     (Billions of yen)  
     As of September 30, 2010     As of September 30, 2011  

Non-consolidated capital adequacy ratio (BIS standard)

     17.12     16.86

Tier 1 capital ratio

     11.36     12.68

Tier 1 capital

     290.0        310.2   

Tier 2 capital

     154.6        105.4   

Deductions for total risk-based capital

     7.7        3.2   

Total risk-based capital

     436.9        412.4   

Risk-weighted assets

     2,551.1        2,445.5   

 

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Table of Contents

Status of Mizuho Financial Group’s consolidated capital adequacy

n Consolidated capital adequacy ratio

(1) Summary table of consolidated capital adequacy ratio (BIS standard)

 

            (Billions of yen)  
            As of September 30, 2010     As of September 30, 2011  
Tier 1 capital   Common stock and preferred stock       2,181.3        2,254.9   
     

 

 

   

 

 

 
 

Non-cumulative perpetual preferred stock

      —          —     
     

 

 

   

 

 

 
  Advance payment for new shares       —          —     
  Capital surplus       937.6        1,109.7   
  Retained earnings       1,060.6        1,249.3   
  Less: Treasury stock       3.1        12.7   
  Advance payment for treasury stock       —          —     
  Less: Dividends (estimate), etc       —          76.4   
  Less: Unrealized losses on other securities       —          143.9   
  Foreign currency translation adjustments       (100.3     (103.2
  Stock acquisition rights       2.7        1.0   
     

 

 

   

 

 

 
  Minority interest in consolidated subsidiaries       2,279.7        1,938.0   
     

 

 

   

 

 

 
 

Preferred securities issued by overseas SPCs

      1,919.1        1,851.6   
     

 

 

   

 

 

 
  Less: Goodwill equivalent       —          60.1   
 

Less: Intangible fixed assets recognized as a result of a merger

      40.4        37.3   
 

Less: Capital increase due to securitization transactions

      5.9        4.8   
 

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

      52.0        44.5   
 

Total of Tier 1 capital before deduction of deferred tax assets (total of the above items)

      6,260.1        6,069.8   
  Deduction for deferred tax assets       —          —     
     

 

 

   

 

 

 
  Total   (A)     6,260.1        6,069.8   
     

 

 

   

 

 

 
 

Preferred securities with a step-up interest rate provision

  (B)     524.0        524.0   
 

Ratio to Tier 1 = (B) / (A) X 100

      8.37     8.63
     

 

 

   

 

 

 
Tier 2 capital   45% of unrealized gains on other securities       48.4        —     
  45% of revaluation reserve for land       106.4        104.2   
  General reserve for possible losses on loans       4.5        4.7   
 

Excess of eligible reserves relative to expected losses by banks adopting internal ratings-based approach

      —          —     
     

 

 

   

 

 

 
  Debt capital, etc.       2,103.4        1,786.8   
     

 

 

   

 

 

 
 

Perpetual subordinated debt and other debt capital

      366.0        300.5   
 

Dated subordinated debt and redeemable preferred stock

      1,737.4        1,486.3   
     

 

 

   

 

 

 
  Total       2,262.9        1,895.8   
     

 

 

   

 

 

 
 

Tier 2 capital included as qualifying capital

  (C)     2,262.9        1,895.8   
     

 

 

   

 

 

 
Tier 3 capital   Short-term subordinated debt       —          —     
     

 

 

   

 

 

 
 

Tier 3 capital included as qualifying capital

  (D)     —          —     
     

 

 

   

 

 

 

Deductions for total

risk-based capital

  Deductions for total risk-based capital   (E)     342.4        350.4   
     

 

 

   

 

 

 
Total risk-based capital   (A) + (C) + (D) – (E)   (F)     8,180.7        7,615.2   
     

 

 

   

 

 

 
Risk-weighted assets   Credit risk-weighted assets   (G)     48,297.1        46,119.9   
     

 

 

   

 

 

 
 

On-balance-sheet items

      39,658.3        38,033.8   
 

Off-balance-sheet items

      8,638.7        8,086.1   
     

 

 

   

 

 

 
  Market risk equivalent assets [(I)/8%]   (H)     1,335.3        1,373.1   
  (Reference) Market risk equivalent   (I)     106.8        109.8   
  Operational risk equivalent assets [(K)/8%]   (J)     3,488.7        3,544.5   
  (Reference) Operational risk equivalent   (K)     279.1        283.5   
 

Adjusted amount for credit risk-weighted assets

  (L)     —          —     
 

Adjusted amount for operational risk equivalent

  (M)     —          —     
     

 

 

   

 

 

 
  Total [(G) + (H) + (J) + (L) + (M)]   (N)     53,121.1        51,037.6   
     

 

 

   

 

 

 

Consolidated capital adequacy ratio (BIS standard) = (F) / (N) X 100

    15.40     14.92
     

 

 

   

 

 

 

Tier 1 capital ratio = (A) / (N) X 100

      11.78     11.89
     

 

 

   

 

 

 

 

Notes:   
1.    The above figures are calculated based on the BIS standard applied on a consolidated basis under the “Standards for Determining the Status of Capital Adequacy in consideration of assets held by a bank holding company and by its subsidiaries, in accordance with Banking Law Article 52-25” (FSA Notice No. 20 of 2006 (the “Notice”)). For the figures as of September 30, 2010 and 2011, we did not apply the exception to the Notice (FSA Notice No. 79 of 2008).
2.    As it is not possible to break down Mizuho Financial Group’s common stock and preferred stock according to classes of stock, non-cumulative perpetual preferred stock is not stated separately from capital.
3.    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.
4.    The amounts of net deferred tax assets as of September 30, 2010 and 2011 were ¥447.0 billion and ¥438.2 billion, respectively, and the maximum amounts of deferred tax assets that can be recorded without diminishing the amount of Tier 1 capital for the purpose of calculating capital adequacy ratio as of September 30, 2010 and 2011 were ¥1,252.0 billion and ¥1,213.9 billion, respectively.
5.    The “adjusted amount for credit risk-weighted assets” is the amount obtained by multiplying (i) 12.5 by (ii) the excess, if any, of the required capital under the foundation internal ratings-based approach multiplied by the rate prescribed in the Notice over the required capital under the advanced internal ratings-based approach; and the “adjusted amount for operational risk equivalent” is the amount obtained by multiplying (i) 12.5 by (ii) the excess, if any, of the required capital under the basic indicator approach multiplied by the rate prescribed in the Notice over the required capital under the advanced measurement approach.
6.    Among our group companies that were subject to the calculation of consolidated capital adequacy ratio pursuant to Article 3 of the Notice, the numbers of consolidated subsidiaries were 163 and 153 as of September 30, 2010 and 2011, respectively. There was no company that was subject to the deductions for total risk-based capital forth in Article 8, Paragraph 1, Item 2, Subitem (a) through (c) of the Notice as of September 30, 2010 and 2011.

 

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Summary of preferred securities

We have included each of the following preferred securities issued by our overseas special purpose companies as Tier 1 capital for the purposes of our consolidated capital adequacy ratios.

Preferred securities issued by SPCs of Mizuho Financial Group

 

Issuer

  Mizuho Preferred Capital (Cayman) 1 Limited (as “MPC1,” and the preferred securities described below are referred to as the “MPC1 Preferred Securities.”)   Mizuho Capital Investment (USD) 1 Limited (“MCI (USD) 1,” and the preferred securities described below are referred to as “MCI (USD) 1 Preferred Securities.”)

Type of securities

  Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities

Mandatory redemption date

  None   None

Optional redemption

  Optionally redeemable on each dividend payment date falling in or after June 2012 (subject to prior approval from regulatory authorities)   Starting from the dividend payment date falling in June 2016, optionally redeemable on each dividend payment date in five-year intervals (subject to prior approval from regulatory authorities)

Dividends

  Floating dividend rate (No dividend rate step-up. As stated in “Dividend suspension events” below, dividend payments that are suspended are non-cumulative.)   Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2016. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

Dividend payment date

  Last business day of June in each year   June 30th and December 30th of each year

Total amount issued

  ¥171.0 billion   US$600 million

Issue date

  February 14, 2002   March 13, 2006

Dividend suspension events

  If any of the following events arise, dividend payments are suspended on a non-cumulative basis:   (Mandatory dividend suspension or reduction event)
 

(1)    when Mizuho Financial Group issues to MPC 1 a Loss Absorption Certificate(1);

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when dividends on Mizuho Financial Group’s Preferred Stock(2) are suspended;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(11) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Optional dividend suspension or reduction event)

 

(3)    when Mizuho Financial Group issues to MPC 1 a Distributable Amounts Limitation Certificate(4) stating that there are no Available Distributable Amounts(3); and

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (USD) 1 Preferred Securities, and Mizuho Financial Group issues a dividend suspension notice to MCI (USD) 1; and

 

(4)    when the dividend payment date is not a Mandatory Dividend Payment  Date(5), and Mizuho Financial Group issues to MPC 1 a dividend instruction instructing it not to pay any dividends on such dividend payment date.

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (USD) 1.

Mandatory dividend event

  If Mizuho Financial Group pays any dividends on its common stock with respect to a fiscal year, full dividends must be paid on Parity Preferred securities(6) in June of the calendar year in which such fiscal year ends. However, it is subject to the following conditions: (1) no Loss Absorption Certificate(1) has been issued; (2) no preferred stock dividend limitation has arisen with respect thereto (partial dividend payments are made to the extent applicable); and (3) no Distributable Amounts Limitation Certificate(4) has been issued with respect thereto (partial dividends are paid to the extent applicable).   If Mizuho Financial Group pays any dividends on its common stock with respect to a fiscal year, dividend payments for the full amount of MCI (USD) 1 Preferred Securities must be made on the dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

Distributable amounts limitation

  When Mizuho Financial Group issues a Distributable Amounts Limitation Certificate(4) to MPC1, dividends are limited to the Available Distributable Amounts(3).   Dividends for the MCI (USD) 1 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(11).

Dividend limitations

  When dividends on Mizuho Financial Group’s Preferred Stock(2) are reduced, dividends on Parity Preferred Securities(6) are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (USD) 1 Preferred Securities are also reduced by an equal percentage.

Claims on residual assets

  Same priority as Mizuho Financial Group’s Preferred Stock(2)   Same priority as Mizuho Financial Group’s Preferred Stock(12)

 

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Table of Contents

 

Issuer   Mizuho Capital Investment (JPY) 1 Limited (“MCI (JPY) 1,” and the preferred securities described below are referred to as “MCI (JPY) 1 Preferred Securities.”)   Mizuho Capital Investment (JPY) 2 Limited (“MCI (JPY) 2,” and the preferred securities described below are referred to as “MCI (JPY) 2 Preferred Securities.”)   Mizuho Capital Investment (JPY) 3 Limited (“MCI (JPY) 3,” and the preferred securities described below (Series A and Series B) are collectively referred to as “MCI (JPY) 3 Preferred Securities.”)
Type of securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities
Mandatory redemption date   None   None   None
Optional redemption   Starting from the dividend payment date falling in June 2016, optionally redeemable on each dividend payment date in five-year intervals (subject to prior approval from regulatory authorities)   Starting from the dividend payment date falling in June 2018, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)   Starting from the dividend payment date falling in June 2019, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)
Dividends   Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2016. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)   Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2018. Dividend rate step-up is applied. Dividend payments that are suspended are non-cumulative.)  

Series A

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. Dividend rate step-up is applied. Dividend payments that are suspended are non-cumulative.)

 

Series B

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

Dividend payment date   June 30th and December 30th of each year   June 30th and December 30th of each year   June 30th and December 30th of each year
Total amount issued   ¥400 billion   ¥274.5 billion  

Series A ¥249.5 billion

Series B ¥53.5 billion

Issue date   January 12, 2007   January 11, 2008   July 11, 2008
Dividend suspension events  

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(13) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(14) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(15) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Optional dividend suspension or reduction event)

 

(Optional dividend suspension or reduction event)

 

(Optional dividend suspension or reduction event)

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 1 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 1; and

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 2 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 2; and

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 3 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 3; and

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 1

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 2

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 3

 

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Mandatory dividend event   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 1 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 2 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 3 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.
Distributable amounts limitation   Dividends for the MCI (JPY) 1 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(13).   Dividends for the MCI (JPY) 2 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(14).   Dividends for the MCI (JPY) 3 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(15).
Dividend limitations   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (JPY) 1 Preferred Securities are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (JPY) 2 Preferred Securities are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (JPY) 3 Preferred Securities are also reduced by an equal percentage.
Claims for residual assets   Same priority as Mizuho Financial Group’s Preferred Stock(12)   Same priority as Mizuho Financial Group’s Preferred Stock(12)   Same priority as Mizuho Financial Group’s Preferred Stock(12)

 

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Issuer   Mizuho Capital Investment
(JPY) 4 Limited (“MCI (JPY)
4,” and the preferred securities
described below are referred to
as “MCI (JPY) 4 Preferred
Securities.”)
  Mizuho Capital Investment
(USD) 2 Limited (“MCI (USD)
2,” and the preferred securities
described below are referred to
as “MCI (USD) 2 Preferred
Securities.”)
  Mizuho Capital Investment
(JPY) 5 Limited (“MCI (JPY)
5,” and the preferred securities
described below (Series A,
Series B and Series C) are
collectively referred to as “MCI
(JPY) 5 Preferred Securities.”)
Type of securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities
Mandatory redemption date   None   None   None
Optional redemption   Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)   Starting from the dividend payment date falling in June 2014, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)  

Series A

Starting from the dividend payment date falling in June 2014, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

 

Series B

Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

 

Series C

Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

Dividends   Fixed dividend rate for the first seven years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)   Fixed dividend rate for the first five years (although a floating dividend rate is applied with respect to dividend payment dates after June 2014. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)  

Series A

Fixed dividend rate for the first five years (although a floating dividend rate is applied with respect to dividend payment dates after June 2014. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

 

Series B

Fixed dividend rate for the first six years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

 

Series C

Fixed dividend rate for the first six years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

Dividend payment date   March 31, 2009 and June 30th and December 30th of each year   June 30th and December 30th of each year   June 30th and December 30th of each year

 

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Total amount issued   ¥355 billion   $850 million  

Series A ¥139.5 billion

Series B ¥72.5 billion

Series C ¥25.0 billion

Issue date   December 29, 2008   February 27, 2009  

Series A June 30, 2009

Series B August 31, 2009

Series C September 29, 2009

Dividend suspension events  

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(16) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(17) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Mandatory dividend suspension or reduction event)

 

(1)    When a Liquidation Event(7), Reorganization Event(8), Insolvency Event(9) or Governmental Action(10) has occurred to Mizuho Financial Group;

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(18) is insufficient, or dividends on its preferred stock(12) are suspended or reduced;

 

(Optional dividend suspension or reduction event)

 

(Optional dividend suspension or reduction event)

 

(Optional dividend suspension or reduction event)

 

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 4 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 4; and

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (USD) 2 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (USD) 2; and

 

(3)    when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 5 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 5; and

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 4

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (USD) 2

 

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 5

Mandatory dividend event   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 4 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (USD) 2 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.   If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 5 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.
Distributable amounts limitation   Dividends for the MCI (JPY) 4 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(16).   Dividends for the MCI (USD) 2 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(17).   Dividends for the MCI (JPY) 5 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(18).
Dividend limitations   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (JPY) 4 Preferred Securities are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (USD) 2 Preferred Securities are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(12) are reduced, dividends on MCI (JPY) 5 Preferred Securities are also reduced by an equal percentage.
Claims for residual assets   Same priority as Mizuho Financial Group’s Preferred Stock(12)   Same priority as Mizuho Financial Group’s Preferred Stock(12)   Same priority as Mizuho Financial Group’s Preferred Stock(12)

 

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Notes:

 

  

(1)

   Loss Absorption Certificate
  

 

Refers to a certificate that Mizuho Financial Group delivers to the issuer (in case of the loss absorption event set forth in clause (iv) below, the issuance thereof is at our discretion) upon any of the following events with respect to Mizuho Financial Group: (i) liquidation event that shall be deemed to occur where a liquidation proceeding is commenced by or against Mizuho Financial Group or a competent court in Japan shall have (a) adjudicated Mizuho Financial Group to be subject to bankruptcy proceedings or (b) approved a preparation of a reorganization plan for abolishment of all business of Mizuho Financial Group; (ii) reorganization event that shall be deemed to occur if a competent court in Japan shall have adjudicated (a) the commencement of a corporate reorganization proceeding of Mizuho Financial Group under the Corporate Reorganization Law or (b) the commencement of a civil rehabilitation proceeding of Mizuho Financial Group under the Civil Rehabilitation Law; (iii) governmental action that shall be deemed to occur if the government authority in Japan (a) publicly declares Mizuho Financial Group is not able to pay its debts as they become due, (b) publicly declares Mizuho Financial Group’s liabilities exceed its assets, (c) publicly declares Mizuho Financial Group to be under public management or (d) issues an order that Mizuho Financial Group be transferred to a third party; (iv) inadequate ratio event that shall be deemed to occur if capital adequacy ratio or Tier 1 capital ratio fails to meet the minimum requirement or would fall short as a result of a dividend payment on the relevant preferred securities; (v) default event that shall be deemed to occur if Mizuho Financial Group is not able to pay its debts as they become due or would not be able to do so as a result of a dividend payment on the relevant preferred securities; or (vi) insolvency event shall be deemed to occur if the liabilities of Mizuho Financial Group exceeds its assets or would exceed its assets as a result of a dividend payment on the relevant preferred securities.

(2)

   Preferred Stock
   Refers to preferred stock of Mizuho Financial Group qualifying as Tier 1 capital and ranking most senior compared to other preferred stock of Mizuho Financial Group as to dividend payments. It includes such preferred stocks that are issued in the future.

(3)

   Available Distributable Amounts
  

Refers to the maximum amount available for dividends (“Distributable Amounts”) calculated based on the immediately preceding fiscal year’s financial statements, less the aggregate amount of dividends paid previously during the current fiscal year and scheduled to be paid thereafter in respect of such fiscal year in respect of any Preferred Stock (provided that each interim dividend payment on Preferred Stock to be paid during such current Fiscal Year shall be excluded in calculating Available Distributable Amounts). Notwithstanding the foregoing, if there are securities issued by a company other than Mizuho Financial Group of which the rights to dividends and the rights at the time of liquidation, etc., are determined by reference to the financial condition and results of operation of Mizuho Financial Group and which rank, in relation to MPC1, equal in point of subordination as the Parity Preferred Securities(6) (“Parallel Preferred Securities”), the Available Distributable Amounts are adjusted as follows:

 

  

Available Distributable Amounts after the adjustment = Available Distributable Amounts x (Total of full dividend payment amount for Parity Preferred Securities(6) in such fiscal year) / (Total of full dividend payment amount for Parity Preferred Securities(6) in such fiscal year + Total amount of full dividend payment amount for Parallel Securities in such fiscal year)

 

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(4)    Distributable Amounts Limitation Certificate
   Refers to a certificate issued by Mizuho Financial Group on or before the annual general meeting of shareholders to issuers if Available Distributable Amounts falls short of total dividends to be paid on the dividend payment date, which shall set forth the Available Distributable Amounts of such fiscal year.
(5)    Mandatory Dividend Payment Date
   Refers to a dividend payment date in June of a calendar year when a fiscal year of Mizuho Financial Group ends with respect to which it paid dividends on its common stock.
(6)    Parity Preferred Securities
   Refers to the collective designation for preferred securities and MPC1 Preferred Securities issued by MPC1 which are perpetual and the dividend payment dates and the use of proceeds are the same as that of the relevant MPC1 Preferred Securities. (As to MPC1, for example, Parity Preferred Securities are the collective designation of MPC1 Preferred Securities as well as other preferred securities that satisfy the above conditions if newly issued in the future.)
(7)    Liquidation Event
   Shall be deemed to occur where a liquidation proceeding is commenced by or against Mizuho Financial Group or a competent court in Japan shall have (i) adjudicated Mizuho Financial Group to be subject to bankruptcy proceedings or (ii) approved a preparation of a reorganization plan for abolishment of all business of Mizuho Financial Group.
(8)    Reorganization Event
   Shall be deemed to occur if a competent court in Japan shall have adjudicated (i) the commencement of a corporate reorganization proceeding of Mizuho Financial Group under the Corporate Reorganization Law or (ii) the commencement of a civil rehabilitation proceeding of Mizuho Financial Group under the Civil Rehabilitation Law.
(9)    Insolvency Event
   Shall be deemed to occur if (i) Mizuho Financial Group is not able to pay its debts as they become due or would not be able to do so as a result of a dividend payment on the relevant preferred securities, or (ii) if the liabilities of Mizuho Financial Group exceeds its assets or would exceed its assets as a result of a dividend payment on the relevant preferred securities.
    (10)    Governmental Action
   Shall be deemed to occur if the government authority in Japan (i) publicly declares Mizuho Financial Group is not able to pay its debts as they become due, (ii) publicly declares Mizuho Financial Group’s liabilities exceed its assets, (iii) publicly declares Mizuho Financial Group to be under public management or (iv) issues an order that Mizuho Financial Group be transferred to a third party.
    (11)    Available Distributable Amounts for MCI (USD) 1 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (USD) 1 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (USD) 1 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (USD) 1 Preferred Securities.
  

(ii)    Amount available in December

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (USD) 1 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date falling in June, pro-rated between full dividends on MCI (USD) 1 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (USD) 1 Preferred Securities falling in June up to the dividend payment date falling in December.

 

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    (12)    Preferred Stocks
   Refers to preferred stock of Mizuho Financial Group qualifying as Tier 1 capital and ranking most senior compared to other preferred stock of Mizuho Financial Group as to dividend payments and claims to residual assets.
    (13)    Available Distributable Amounts for the MCI (JPY) 1 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 1 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 1 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 1 Preferred Securities.
  

(ii)    Amount available in December

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 1 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 1 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 1 Preferred Securities falling in June up to the dividend payment date falling in December.
    (14)    Available Distributable Amounts for the MCI (JPY) 2 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 2 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 2 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 2 Preferred Securities.
  

(ii)    Amount available in December

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 2 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 2 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 2 Preferred Securities falling in June up to the dividend payment date falling in December.
    (15)    Available Distributable Amounts for the MCI (JPY) 3 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 3 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 3 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 3 Preferred Securities.
  

(ii)    Amount available in December (except for the amount available in December 2008)

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 3 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 3 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 3 Preferred Securities falling in June up to the dividend payment date falling in December.
  

(iii)  Amount available in December 2008

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2008 to June 30, 2008, pro-rated between full dividends on MCI (JPY) 3 Preferred Securities for the dividend payment date falling in December 2008 and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after June 30, 2008 up to the dividend payment date falling in December 2008.

 

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    (16)    Available Distributable Amounts for the MCI (JPY) 4 Preferred Securities
  

(i)     Amount available in March 2009

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the fiscal year ended March 31, 2008, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2008 to December 30, 2008, pro-rated between the full dividend amount on MCI (JPY) 4 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 4 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid from the day after December 30, 2008 up to the dividend payment date falling in March 2009.
  

(ii)    Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 4 Preferred Securities and the full dividend amount on Equivalent Securities to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 4 Preferred Securities.
  

(iii)  Amount available in December

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 4 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 4 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 4 Preferred Securities falling in June up to the dividend payment date falling in December.
    (17)    Available Distributable Amounts for the MCI (USD) 2 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (USD) 2 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (USD) 2 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (USD) 2 Preferred Securities.
  

(ii)    Amount available in December

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (USD) 2 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (USD) 2 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (USD) 2 Preferred Securities falling in June up to the dividend payment date falling in December.

 

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    (18)    Available Distributable Amounts for the MCI (JPY) 5 Preferred Securities
  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 5 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 5 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 5 Preferred Securities.
  

(ii)    Amount available in December (except for the amount available in December 2009)

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 5 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 5 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 5 Preferred Securities falling in June up to the dividend payment date falling in December.
  

(iii)  Amount available in December 2009

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the fiscal year ended March 31, 2009, less (A) the amount of dividend payments on Preferred Stock(12) (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2009 to June 30, 2009, pro-rated between full dividends on MCI (JPY) 5 Preferred Securities for the dividend payment date falling in December 2009 and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after June 30, 2009 up to the dividend payment date falling in December 2009.

 

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n Risk-based capital

(2) Required capital by portfolio classification

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  
     EAD      Required capital      EAD      Required capital  

Credit risk

     154,714.2         5,347.8         162,844.0         4,953.8   
  

 

 

    

 

 

    

 

 

    

 

 

 

Internal ratings-based approach

     146,497.4         5,080.6         155,064.7         4,704.2   

Corporate (except specialized lending)

     48,548.0         2,940.0         49,342.9         2,658.2   

Corporate (specialized lending)

     2,707.1         316.9         2,452.6         305.2   

Sovereign

     62,418.9         57.5         71,557.3         52.1   

Bank

     4,934.9         144.7         5,230.8         139.6   

Retail

     13,835.1         649.8         13,712.5         657.4   

Residential mortgage

     10,743.4         425.4         10,621.4         443.3   

Qualifying revolving loan

     345.5         30.7         347.5         30.3   

Other retail

     2,746.1         193.6         2,743.5         183.7   

Equities

     3,461.6         365.6         3,113.4         335.8   

PD/LGD approach

     941.5         99.4         883.5         95.9   

Market-based approach (simple risk weight method)

     274.6         75.8         265.1         73.3   

Market-based approach (internal models approach)

     —           —           —           —     

Transitional measure applied

     2,245.4         190.4         1,964.7         166.6   

Regarded-method exposure

     1,114.9         287.8         1,052.9         257.2   

Purchase receivables

     1,959.9         65.4         1,778.3         56.0   

Securitizations

     4,503.0         79.5         4,070.2         73.7   

Others

     3,013.4         172.9         2,753.3         168.5   
  

 

 

    

 

 

    

 

 

    

 

 

 

Standardized approach

     8,216.8         267.1         7,779.3         249.5   

Sovereign

     3,817.9         3.7         3,841.4         4.4   

Bank

     1,587.1         27.7         1,226.0         24.2   

Corporate

     2,208.8         167.3         2,135.7         161.2   

Residential mortgage

     0.0         0.0         0.0         0.0   

Securitizations

     40.9         35.4         37.7         27.3   

Others

     562.0         32.9         538.2         32.3   
  

 

 

    

 

 

    

 

 

    

 

 

 

Market risk

     n.a.         106.8         n.a.         109.8   
  

 

 

    

 

 

    

 

 

    

 

 

 

Standardized approach

     n.a.         79.1         n.a.         75.0   

Interest rate risk

     n.a.         55.9         n.a.         53.0   

Equities risk

     n.a.         14.2         n.a.         15.8   

Foreign exchange risk

     n.a.         2.9         n.a.         2.3   

Commodities risk

     n.a.         6.0         n.a.         3.7   

Option transactions

     n.a.         —           n.a.         —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Internal models approach

     n.a.         27.6         n.a.         34.8   
  

 

 

    

 

 

    

 

 

    

 

 

 

Operational risk

     n.a.         279.1         n.a.         283.5   
  

 

 

    

 

 

    

 

 

    

 

 

 

Advanced measurement approach

     n.a.         230.0         n.a.         237.4   
  

 

 

    

 

 

    

 

 

    

 

 

 

Basic indicator approach

     n.a.         49.0         n.a.         46.1   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total required capital (consolidated)

     n.a.         4,249.6         n.a.         4,083.0   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:

  

1.

   EAD: Exposure at default.

2.

   PD: Probability of default.

3.

   LGD: Loss given default.

4.

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

5.

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

6.

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

 

Corporate (excluding specialized lending)    Credits to corporations and sole proprietors (excluding credits to retail customers)
Corporate (specialized lending)    Credits which limit interest and principal repayment sources to cash flow derived from specific real estate, chattel, businesses, etc., including real estate non-recourse lone, ship finance and project finance, etc.

Sovereign

   Credits to central governments, central banks and local governmental entities

Bank

   Credits to banks and securities companies, etc.

Retail

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

Equities

  

Capital stock, preferred securities, perpetual subordinated debt, etc. (excluding trading assets)

 

* The transitional measure applies to those held from September 30, 2004 or earlier, and others are applied either the PD/LGD approach or the market-based approach.

Regarded-method exposure

   Investment trusts and funds, etc.

Purchase receivables

   Receivables purchased from third parties excluding securities (excluding securitizations)

Securitizations

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

 

7.

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

 

14


Table of Contents

n Credit risk

(3) Credit risk exposure, etc.

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

The outstanding balance is based on exposure at default.

No significant difference exists between period-end credit risk position and the average credit risk position during the twelve months ended September 30, 2010 and 2011.

Status of credit risk exposure

(A) Breakdown by geographical area

 

     (Billions of yen)  
     As of September 30, 2010  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Domestic

     73,774.3         34,547.9         2,385.9         5,176.1         115,884.3   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Overseas

     13,594.2         7,171.9         2,157.4         2,071.0         24,994.7   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asia

     3,024.6         554.2         125.7         577.8         4,282.5   

Central and South America

     1,870.9         165.5         248.5         2.8         2,287.9   

North America

     4,343.7         4,331.5         648.3         1,067.7         10,391.3   

Eastern Europe

     60.5         —           0.1         1.6         62.2   

Western Europe

     3,199.9         1,977.6         1,022.7         326.1         6,526.5   

Other areas

     1,094.4         142.9         111.9         94.8         1,444.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     87,368.6         41,719.8         4,543.4         7,247.2         140,879.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         8,175.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Domestic

     75,849.7         38,294.4         2,144.4         6,369.4         122,658.0   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Overseas

     15,100.0         6,678.2         2,163.7         3,341.3         27,283.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asia

     3,845.8         735.1         140.5         989.2         5,710.8   

Central and South America

     2,082.3         147.4         250.0         5.1         2,484.9   

North America

     5,167.4         4,888.8         624.9         2,042.8         12,724.1   

Eastern Europe

     44.1         —           0.2         8.6         53.0   

Western Europe

     2,886.3         761.6         1,021.6         194.5         4,864.1   

Other areas

     1,073.9         145.1         126.3         100.9         1,446.3   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     90,949.8         44,972.6         4,308.2         9,710.7         149,941.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         7,741.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:   
1.    Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.
2.    Exposure to non-Japanese residents is included in “Overseas.”
3.    “Others” include cash, deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

 

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Table of Contents

(B) Breakdown by industry

 

     (Billions of yen)  
     As of September 30, 2010  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Manufacturing

     13,248.3         2,146.0         683.9         215.2         16,293.5   

Construction

     1,475.5         186.1         24.7         3.5         1,689.9   

Real estate

     6,943.9         521.3         64.2         45.0         7,574.6   

Service industries

     4,004.9         1,872.4         188.0         88.2         6,153.7   

Wholesale and retail

     7,056.3         586.3         736.6         426.9         8,806.3   

Finance and insurance

     9,634.0         1,808.1         2,075.0         889.9         14,407.1   

Individuals

     12,092.8         —           0.3         14.4         12,107.5   

Other industries

     13,400.7         5,809.2         761.0         4,629.0         24,600.0   

Japanese Government; Bank of Japan

     19,511.7         28,790.2         9.2         934.7         49,246.0   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     87,368.6         41,719.8         4,543.4         7,247.2         140,879.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         8,175.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Manufacturing

     13,388.3         1,968.9         623.9         225.8         16,207.0   

Construction

     1,351.2         194.6         21.7         3.3         1,571.0   

Real estate

     6,542.8         511.3         53.7         34.6         7,142.5   

Service industries

     3,701.1         1,808.9         165.7         43.8         5,719.8   

Wholesale and retail

     7,179.0         560.0         650.7         479.7         8,869.5   

Finance and insurance

     9,607.5         2,283.7         2,001.0         1,028.8         14,921.1   

Individuals

     11,961.2         —           0.1         13.2         11,974.7   

Other industries

     14,835.5         4,891.0         777.5         5,442.6         25,946.7   

Japanese Government; Bank of Japan

     22,382.8         32,753.9         13.4         2,438.5         57,588.7   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     90,949.8         44,972.6         4,308.2         9,710.7         149,941.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         7,741.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:

 

  

1.

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

2.

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

 

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Table of Contents

(C) Breakdown by residual contractual maturity

 

     (Billions of yen)  
     As of September 30, 2010  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Less than one year

     29,157.4         15,044.1         498.0         1,358.5         46,058.1   

From one year to less than three years

     14,570.6         9,091.1         1,787.2         15.6         25,464.7   

From three years to less than five years

     8,668.2         7,720.8         1,147.3         24.9         17,561.4   

Five years or more

     23,625.0         6,495.6         1,026.8         0.1         31,147.6   

Other than above

     11,347.2         3,368.1         83.8         5,847.8         20,647.0   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     87,368.6         41,719.8         4,543.4         7,247.2         140,879.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         8,175.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Less than one year

     29,422.3         14,181.2         539.9         1,693.3         45,836.9   

From one year to less than three years

     12,733.3         11,810.4         1,585.4         14.6         26,143.8   

From three years to less than five years

     10,067.7         9,323.2         1,197.3         28.2         20,616.5   

Five years or more

     26,916.8         6,637.7         899.1         0.8         34,454.6   

Other than above

     11,809.5         3,019.8         86.3         7,973.7         22,889.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     90,949.8         44,972.6         4,308.2         9,710.7         149,941.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         7,741.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:  
1.   Exempt portion represents the amount before the deduction of specific reserve for possible losses on loans, reserve for possible losses on loans to restructuring countries and partial direct write-offs, calculated using the standardized approach for business units and asset classes that are immaterial for the purpose of calculating credit risk-weighted assets.
2.   “Others” include cash, deposits, call loans, other debt purchased, money held in trust, foreign exchange assets, other assets, etc.

 

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Table of Contents

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

(D) Breakdown by geographical area

 

     (Billions of yen)  
     As of September 30, 2010  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Domestic

     1,719.5         38.4         52.5         80.6         1,891.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Overseas

     191.2         2.0         1.2         21.2         215.7   

Asia

     34.0         0.0         0.1         3.9         38.2   

Central and South America

     12.3         1.5         0.7         0.0         14.5   

North America

     25.3         0.5         0.0         15.1         41.0   

Eastern Europe

     10.8         —           —           0.0         10.8   

Western Europe

     63.3         —           0.2         1.7         65.3   

Other areas

     45.2         —           0.0         0.3         45.6   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     1,910.8         40.4         53.7         101.8         2,106.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         3.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

     (Billions of yen)  
     As of September 30, 2011  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Domestic

     1,531.4         25.3         100.3         68.3         1,725.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Overseas

     173.3         1.9         7.8         19.5         202.6   

Asia

     25.7         0.0         0.2         3.8         29.8   

Central and South America

     53.3         1.5         6.2         0.0         61.2   

North America

     19.2         0.4         —           13.8         33.5   

Eastern Europe

     6.6         —           —           0.0         6.6   

Western Europe

     49.8         —           1.3         1.5         52.6   

Other areas

     18.4         —           —           0.3         18.7   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     1,704.7         27.3         108.2         87.9         1,928.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         1.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:

  

1.

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

2.

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

3.

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

 

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Table of Contents

(E) Breakdown by industry

 

     (Billions of yen)  
     As of September 30, 2010  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Manufacturing

     414.9         9.2         14.1         17.0         455.4   

Construction

     96.5         10.3         0.4         1.4         108.7   

Real estate

     323.2         7.9         0.4         5.2         336.8   

Service industries

     239.9         3.3         5.2         7.0         255.5   

Wholesale and retail

     264.5         3.0         26.8         37.7         332.1   

Finance and insurance

     46.8         1.8         0.5         17.5         66.6   

Individuals

     241.8         —           —           1.6         243.4   

Other industries

     282.9         4.6         6.1         14.1         307.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     1,910.8         40.4         53.7         101.8         2,106.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         3.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
     Securities      OTC
derivatives
     Others      Total  

Manufacturing

     386.2         7.3         48.2         18.3         460.1   

Construction

     68.6         2.9         0.5         1.2         73.4   

Real estate

     265.8         5.3         0.1         1.9         273.2   

Service industries

     207.0         4.5         3.5         6.1         221.1   

Wholesale and retail

     281.3         1.8         44.5         36.6         364.3   

Finance and insurance

     28.4         1.8         0.1         16.2         46.7   

Individuals

     250.1         —           0.0         1.4         251.6   

Other industries

     217.0         3.5         10.9         5.8         237.3   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     1,704.7         27.3         108.2         87.9         1,928.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exempt portion

     n.a.         n.a.         n.a.         n.a.         1.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:

  

1.

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

2.

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

 

19


Table of Contents

Status of reserves for possible losses on loans

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

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

  (after partial direct write-offs)

 

     (Billions of yen)  
     As of, or for
the six months ended,
September 30, 2010
     As of, or for
the six months ended,
September 30, 2011
 

General reserve for possible losses on loans

     

Beginning balance

     563.8         501.4   

Increase during the six-month period

     533.2         492.2   

Decrease during the six-month period

     563.8         501.4   

Ending balance

     533.2         492.2   
  

 

 

    

 

 

 

Specific reserve for possible losses on loans

     

Beginning balance

     317.7         259.1   

Increase during the six-month period

     306.0         227.4   

Decrease during the six-month period

     317.7         259.1   

Ending balance

     306.0         227.4   
  

 

 

    

 

 

 

Reserve for possible losses on loans to restructuring countries

     

Beginning balance

     0.1         0.0   

Increase during the six-month period

     0.0         0.0   

Decrease during the six-month period

     0.1         0.0   

Ending balance

     0.0         0.0   
  

 

 

    

 

 

 

Total

     

Beginning balance

     881.8         760.5   

Increase during the six-month period

     839.3         719.7   

Decrease during the six-month period

     881.8         760.5   

Ending balance

     839.3         719.7   
  

 

 

    

 

 

 

 

Note:   

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

 

20


Table of Contents

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

 

     (Billions of yen)   
     As of March 31, 2010      As of September 30, 2010      Change  

Domestic

     274.8         272.8         (2.0

Manufacturing

     24.7         25.5         0.8   

Construction

     6.4         6.8         0.4   

Real estate

     30.2         27.1         (3.0

Service industries

     22.5         16.4         (6.1

Wholesale and retail

     29.0         31.8         2.8   

Finance and insurance

     9.4         6.5         (2.8

Individuals

     71.1         78.7         7.5   

Others

     81.2         79.6         (1.6
  

 

 

    

 

 

    

 

 

 

Overseas

     36.2         27.7         (8.5
  

 

 

    

 

 

    

 

 

 

Exempt portion

     6.7         5.4         (1.2
  

 

 

    

 

 

    

 

 

 

Total

     317.7         306.0         (11.7
  

 

 

    

 

 

    

 

 

 

 

     (Billions of yen)  
     As of March 31, 2011      As of September 30, 2011      Change  

Domestic

     220.0         187.0         (32.9

Manufacturing

     27.0         17.9         (9.1

Construction

     18.6         7.1         (11.5

Real estate

     19.7         21.2         1.5   

Service industries

     17.0         15.0         (2.0

Wholesale and retail

     39.0         39.6         0.5   

Finance and insurance

     0.5         0.4         (0.1

Individuals

     84.2         75.4         (8.8

Others

     13.5         10.2         (3.2
  

 

 

    

 

 

    

 

 

 

Overseas

     34.2         35.3         1.0   
  

 

 

    

 

 

    

 

 

 

Exempt portion

     4.8         5.0         0.1   
  

 

 

    

 

 

    

 

 

 

Total

     259.1         227.4         (31.6
  

 

 

    

 

 

    

 

 

 

 

Note:

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

(H) Write-offs of loans by industry

 

     (Billions of yen)  
     For the six months ended
September 30, 2010
     For the six months ended
September 30, 2011
 

Manufacturing

     5.7         2.6   

Construction

     1.2         0.4   

Real estate

     2.3         1.3   

Service industries

     4.6         2.2   

Wholesale and retail

     9.5         5.1   

Finance and insurance

     0.3         0.3   

Individuals

     0.5         6.1   

Other industries

     4.7         0.8   
  

 

 

    

 

 

 

Exempt portion

     0.0         0.0   
  

 

 

    

 

 

 

Total

     29.4         19.3   
  

 

 

    

 

 

 

 

Notes:   
1.    The above table represents the breakdown of losses on write-offs of loans recorded in our consolidated statement of income after excluding the amounts associated with regarded-method exposure and securitization exposure.
2.    Exempt portion represents the amount calculated using the standardized approach for business units and asset classes that are immaterial for purposes of calculating credit risk-weighted assets.
3.    “Other industries” include overseas and non-Japanese resident portions.

 

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Table of Contents

Status of exposure to which the standardized approach is applied

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

 

     (Billions of yen)  
     As of September 30, 2010  
     On-balance
sheet
     Off-balance
sheet
     Total              
                    With external
rating
 

Risk weight

              

0%

     459.9         3,285.4         3,745.3              73.3   

10%

     0.7         —           0.7              —     

20%

     351.5         1,217.9         1,569.4              2.8   

35%

     0.0         —           0.0              —     

50%

     17.2         5.4         22.7              8.5   

100%

     1,970.3         866.8         2,837.2              35.3   

150%

     0.4         —           0.4              —     

350%

     —           —           —                —     

625%

     —           0.0         0.0              —     

937.5%

     —           —           —                —     

1,250%

     —           0.0         0.0              —     
  

 

 

    

 

 

    

 

 

         

 

 

 

Total

     2,800.2         5,375.6         8,175.9              120.0   
  

 

 

    

 

 

    

 

 

         

 

 

 

 

     (Billions of yen)  
     As of September 30, 2011  
     On-balance
sheet
     Off-balance
sheet
     Total              
                    With external
rating
 

Risk weight

                

0%

     555.5         3,227.4         3,783.0              112.8   

10%

     0.8         0.1         1.0              —     

20%

     311.6         846.2         1,157.8              5.1   

35%

     0.0         —           0.0              —     

50%

     8.3         0.4         8.7              1.7   

100%

     1,992.9         797.8         2,790.7              51.7   

150%

     0.0         —           0.0              —     

350%

     —           —           —                —     

625%

     —           0.0         0.0              —     

937.5%

     —           0.0         0.0              —     

1,250%

     —           0.0         0.0              —     
  

 

 

    

 

 

    

 

 

         

 

 

 

Total

     2,869.3         4,872.1         7,741.5              171.5   
  

 

 

    

 

 

    

 

 

         

 

 

 

 

Notes:

  

    1.

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

    2.

   Off-balance-sheet exposure shows credit equivalent amount.

(J) Deduction from capital

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Deduction from capital

     34.9         24.8   

 

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Table of Contents

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

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

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Risk weight

     

50%

     191.7         287.6   

70%

     704.0         556.2   

90%

     266.8         123.2   

95%

     0.2         4.1   

115%

     156.6         152.4   

120%

     15.6         —     

140%

     15.0         3.7   

250%

     425.0         378.4   

Default

     48.2         86.7   
  

 

 

    

 

 

 

Total

     1,823.6         1,592.7   
  

 

 

    

 

 

 

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

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Risk weight

     

300%

     204.4         196.1   

400%

     70.1         69.0   
  

 

 

    

 

 

 

Total

     274.6         265.1   
  

 

 

    

 

 

 

 

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

 

23


Table of Contents

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

 

    (Billions of yen, except percentages)  
    As of September 30, 2010  
                EL     Risk                                    
    PD     LGD     default     weight                                 Weighted  
    (EAD     (EAD     (EAD     (EAD                                 average of  
    weighted     weighted     weighted     weighted     EAD                     Amount of     credit  
    average)
(%)
    average)
(%)
    average)
(%)
    average)
(%)
    (Billions of
yen)
        On-balance
sheet
    Off-balance
sheet
    undrawn
commitments
    conversion
factor (%)
 

Corporate

    4.68        35.64        n.a.        48.33        50,979.5          37,185.9        13,793.5        10,023.8        75.11   

Investment grade zone

    0.12        36.77        n.a.        24.41        28,839.6          18,689.7        10,149.8        8,176.6        75.13   

Non-investment grade zone

    3.61        32.52        n.a.        82.58        20,528.9          16,992.8        3,536.1        1,805.5        75.02   

Default

    100.00        55.31        52.28        40.26        1,610.9          1,503.3        107.5        41.6        75.53   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Sovereign

    0.01        38.78        n.a.        1.14        62,716.8          48,197.1        14,519.6        113.4        79.82   

Investment grade zone

    0.00        38.78        n.a.        1.02        62,637.9          48,120.1        14,517.7        113.1        79.83   

Non-investment grade zone

    2.24        38.77        n.a.        93.43        78.7          76.9        1.8        0.3        75.00   

Default

    100.00        68.75        64.06        62.13        0.0          0.0        —          —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Bank

    0.80        37.67        n.a.        28.40        5,049.1          1,946.2        3,102.9        248.6        78.22   

Investment grade zone

    0.11        37.17        n.a.        24.66        4,643.6          1,806.8        2,836.7        187.1        79.28   

Non-investment grade zone

    1.59        39.19        n.a.        74.64        376.4          110.7        265.7        61.4        75.00   

Default

    100.00        98.89        96.78        27.92        29.0          28.5        0.4        —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Equity exposure under PD/LGD approach

    0.60        90.00        n.a.        125.33        941.5          941.5        —          —          —     

Investment grade zone

    0.08        90.00        n.a.        108.55        831.0          831.0        —          —          —     

Non-investment grade zone

    1.79        90.00        n.a.        258.61        107.5          107.5        —          —          —     

Default

    100.00        90.00        90.00        —          3.0          3.0        —          —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Total

    2.04        37.80        n.a.        23.37        119,687.0          88,270.9        31,416.1        10,385.9        75.24   

Investment grade zone

    0.04        38.54        n.a.        10.03        96,952.3          69,447.8        27,504.4        8,476.9        75.29   

Non-investment grade zone

    3.56        32.95        n.a.        83.38        21,091.7          17,288.0        3,803.6        1,867.3        75.02   

Default

    100.00        56.15        53.13        39.97        1,643.0          1,534.9        108.0        41.6        75.53   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

24


Table of Contents
    (Billions of yen, except percentages)  
    As of September 30, 2011  
                EL     Risk                                    
    PD     LGD     default     weight                                 Weighted  
    (EAD     (EAD     (EAD     (EAD                                 average of  
   

weighted

average)

   

weighted

average)

   

weighted

average)

   

weighted

average)

   

EAD

(Billions of

                   

Amount of

undrawn

   

credit

conversion

 
                  On-balance     Off-balance      
    (%)     (%)     (%)     (%)     yen)         sheet     sheet     commitments     factor (%)  

Corporate

    3.98        35.38        n.a.        46.31        51,611.9          37.806.1        13,805.8        10,349.5        75.07   

Investment grade zone

    0.11        36.73        n.a.        23.85        29,759.5          19,440.5        10,318.9        8,508.5        75.06   

Non-investment grade zone

    3.09        32.44        n.a.        79.49        20,464.4          17,122.7        3,341.6        1,815.2        75.13   

Default

    100.00        49.75        46.84        38.57        1,388.0          1,242.8        145.2        25.6        75.00   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Sovereign

    0.00        38.73        n.a.        0.89        71,842.9          53,458.3        18,384.5        122.1        75.11   

Investment grade zone

    0.00        38.73        n.a.        0.81        71,772.3          53,389.5        18,382.8        121.9        75.11   

Non-investment grade zone

    2.18        38.72        n.a.        88.78        70.4          68.7        1.7        0.2        75.00   

Default

    100.00        62.14        57.33        63.77        0.1          0.1        —          —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Bank

    0.87        36.64        n.a.        25.34        5,314.3          2,500.2        2,814.1        291.7        75.48   

Investment grade zone

    0.11        36.30        n.a.        21.20        4,803.5          2,280.1        2,523.3        234.7        75.59   

Non-investment grade zone

    1.51        36.56        n.a.        66.67        476.6          186.0        290.5        56.9        75.00   

Default

    100.00        86.52        84.19        30.93        34.1          33.9        0.1        —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Equity exposure under PD/LGD approach

    0.64        90.00        n.a.        128.50        883.5          883.5        —          —          —     

Investment grade zone

    0.07        90.00        n.a.        108.49        787.6          787.6        —          —          —     

Non-investment grade zone

    2.53        90.00        n.a.        301.53        93.1          93.1        —          —          —     

Default

    100.00        90.00        90.00        —          2.7          2.7        —          —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

Total

    1.63        37.66        n.a.        20.84        129,652.8          94,648.3        35,004.5        10,763.4        75.08   

Investment grade zone

    0.04        38.44        n.a.        8.91        107,123.1          75,897.9        31,225.2        8,865.2        75.07   

Non-investment grade zone

    3.05        32.81        n.a.        80.21        21,104.6          17,470.7        3,633.9        1,872.4        75.13   

Default

    100.00        50.71        47.82        38.31        1,425.0          1,279.6        145.4        25.6        75.00   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

 

   

 

 

 

 

Notes:  

1.

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

2.

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

3.

  Each asset class includes purchased receivables.

4.

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

 

25


Table of Contents

(Reference) Obligor ratings

 

Obligor ratings

(major category)

         Definition of ratings         Classification
  A1–A3               Obligors whose certainty of debt fulfillment is very high, hence their level of credit risk is excellent.       Investment grade zone
  B1–B2               Obligors whose certainty of debt fulfillment poses no problems for the foreseeable future, hence their level of credit risk is sufficient.        
  C1–C3               Obligors whose certainty of debt fulfillment and their level of credit risk pose no problems for the foreseeable future.      
  D1–D3               Obligors whose current certainty of debt fulfillment poses no problems, however, their resistance to future changes in business environment is low.       Non-investment grade zone
  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.        

 

* Including restructured loans and loans past due for three months of more

 

26


Table of Contents

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

 

     (Billions of yen, except percentages)  
     As of September 30, 2010  
                   EL      Risk                                          
     PD      LGD      default      weight                                       Weighted  
     (EAD      (EAD      (EAD      (EAD                                       average of  
     weighted      weighted      weighted      weighted      EAD                         Amount of      credit  
     average)      average)      average)      average)      (Billions of           On-balance      Off-balance      undrawn      conversion  
     (%)      (%)      (%)      (%)      yen)           sheet      sheet      commitments      factor (%)  

Residential mortgage

     2.95         41.93         n.a.         32.83         10,743.4            10,387.8         355.5         8.7         75.00   

Non-default

     0.82         41.78         n.a.         32.83         10,512.4            10,164.4         348.0         8.7         75.00   

Default

     100.00         48.96         46.44         33.17         230.9            223.4         7.5         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Qualifying revolving loan (retail)

     3.72         83.85         n.a.         72.38         345.5            239.6         105.8         1,426.8         7.42   

Non-default

     3.26         83.85         n.a.         72.48         343.8            238.3         105.5         1,424.5         7.41   

Default

     100.00         83.37         79.53         50.43         1.6            1.3         0.2         2.2         12.86   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Other retail

     5.81         52.64         n.a.         52.34         2,746.1            2,716.3         29.8         25.6         72.13   

Non-default

     2.28         52.61         n.a.         52.92         2,647.1            2,620.5         26.5         22.6         69.12   

Default

     100.00         53.59         50.80         36.92         99.0            95.7         3.2         3.0         94.39   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Total

     3.54         45.11         n.a.         37.69         13,835.1            13,343.8         491.2         1,461.3         8.96   

Non-default

     1.17         44.97         n.a.         37.78         13,503.5            13,023.3         480.2         1,455.9         8.78   

Default

     100.00         50.51         47.91         34.38         331.6            320.5         11.0         5.3         59.66   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

 

     (Billions of yen, except percentages)  
     As of September 30, 2011  
                   EL      Risk                                          
     PD      LGD      default      weight                                       Weighted  
     (EAD      (EAD      (EAD      (EAD                                       average of  
     weighted      weighted      weighted      weighted      EAD                         Amount of      credit  
     average)      average)      average)      average)      (Billions of           On-balance      Off-balance      undrawn      conversion  
     (%)      (%)      (%)      (%)      yen)           sheet      sheet      commitments      factor (%)  

Residential mortgage

     3.06         41.66         n.a.         34.99         10,621.4            10,315.4         306.0         6.7         75.00   

Non-default

     0.90         41.51         n.a.         35.16         10,389.2            10,089.6         299.6         6.7         75.00   

Default

     100.00         48.28         46.22         27.28         232.2            225.7         6.4         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Qualifying revolving loan (retail)

     3.90         79.63         n.a.         70.44         347.5            239.3         108.2         1,430.5         7.56   

Non-default

     3.37         79.63         n.a.         70.60         345.6            237.7         107.8         1,428.1         7.55   

Default

     100.00         78.84         75.69         41.62         1.9            1.6         0.3         2.3         14.29   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Other retail

     5.88         51.53         n.a.         49.53         2,743.5            2,715.3         28.2         24.2         73.85   

Non-default

     1.90         51.63         n.a.         50.23         2,632.1            2,608.1         24.0         19.8         69.57   

Default

     100.00         49.15         46.66         33.01         111.3            107.1         4.2         4.3         93.55   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

Total

     3.65         44.60         n.a.         38.80         13,712.6            13,270.1         442.5         1,461.4         8.97   

Non-default

     1.16         44.49         n.a.         39.04         13,367.0            12,935.5         431.5         1,454.8         8.71   

Default

     100.00         48.73         46.53         29.21         345.5            334.5         10.9         6.6         65.74   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

       

 

 

    

 

 

    

 

 

    

 

 

 

 

Notes:

 
1.   Each asset class includes purchased receivables.

2.

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

 

27


Table of Contents

(O) Actual losses by asset class

 

     (Billions of yen)  
     For the period from
October 1, 2009 through
September 30, 2010
    For the period from
October 1, 2010 through
September 30, 2011
 
     Actual losses     Actual losses  

Corporate

     45.2        41.1   

Sovereign

     0.3        0.2   

Bank

     (3.1     0.0   

Residential mortgage

     36.6        13.3   

Qualifying revolving loan (retail)

     0.2        0.2   

Other retail

     22.4        4.6   
  

 

 

   

 

 

 

Total

     101.8        59.5   
  

 

 

   

 

 

 

 

Notes:

 

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

<Analysis>

Actual losses for the period from October 1, 2010 through September 30, 2011 decreased by ¥42.3 billion from the period from October 1, 2009 through September 30, 2010 to ¥59.5 billion. The decrease was due mainly to improved obligor classifications through our business revitalization support to corporate customers, decrease in losses from residential mortgage exposure and other factors.

 

28


Table of Contents

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

 

     (Billions of yen)  
     For the period from
October 1, 2007 through
September 30, 2008
     For the period from
October 1, 2008 through
September 30, 2009
 
     Estimated losses
(expected losses as of
September 30, 2007)
           Estimated losses
(expected losses as of
September 30, 2008)
       
                After
deduction of
reserves
    Actual
losses
                After
deduction of
reserves
    Actual
losses
 

Corporate

     1,060.5           202.0        28.2         998.6           390.4        433.9   

Sovereign

     2.2           (9.3     0.7         1.6           (10.7     0.0   

Bank

     8.0           4.2        34.4         18.9           (18.4     0.0   

Residential mortgage

     85.8           18.6        16.9         96.4           22.9        21.3   

Qualifying revolving loan (retail)

     7.4           2.5        0.0         8.0           3.1        2.2   

Other retail

     50.1           12.6        4.3         53.2           16.0        6.2   
  

 

 

      

 

 

   

 

 

    

 

 

      

 

 

   

 

 

 

Total

     1,214.3           230.7        84.8         1,176.9           403.3        463.9   
  

 

 

      

 

 

   

 

 

    

 

 

      

 

 

   

 

 

 

 

     (Billions of yen)  
     For the period from
October 1, 2009 through
September 30, 2010
    For the period from
October 1, 2010 through
September 30, 2011
 
     Estimated losses
(expected losses as of
September 30, 2009)
          Estimated losses
(expected losses as of
September 30, 2010)
       
                After
deduction of
reserves
    Actual
losses
               After
deduction of
reserves
    Actual
losses
 

Corporate

     1,377.8           503.2        45.2        1,151.1           406.3        41.1   

Sovereign

     4.1           (8.3     0.3        1.4           (11.5     0.2   

Bank

     42.7           5.6        (3.1     32.0           3.9        0.0   

Residential mortgage

     107.8           26.5        36.6        143.2           38.8        13.3   

Qualifying revolving loan (retail)

     10.4           3.6        0.2        10.7           3.8        0.2   

Other retail

     54.6           15.8        22.4        78.6           25.1        4.6   
  

 

 

      

 

 

   

 

 

   

 

 

      

 

 

   

 

 

 

Total

     1,597.7           546.6        101.8        1,417.2           466.5        59.5   
  

 

 

      

 

 

   

 

 

   

 

 

      

 

 

   

 

 

 

 

Notes:

 

1.

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

2.

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

 

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Table of Contents

n Methods for credit risk mitigation

(4) Credit risk mitigation by portfolio classification

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

 

     (Billions of yen)  
     As of September 30, 2010  
     Financial
collateral
     Other
collateral
     Guarantees      Credit
derivatives
     Total  

Internal ratings-based approach

     2,355.6         4,728.7         5,247.2         44.1         12,375.7   

Corporate

     1,981.9         4,508.6         3,281.5         34.4         9,806.5   

Sovereign

     0.2         23.1         669.3         —           692.6   

Bank

     343.0         21.8         295.6         9.6         670.2   

Retail

     30.5         175.1         1,000.7         —           1,206.3   

Residential mortgage

     —           —           262.6         —           262.6   

Qualifying revolving loan

     —           —           0.6         —           0.6   

Other retail

     30.5         175.1         737.4         —           943.0   

Others

     —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Standardized approach

     2,864.7         n.a.         —           —           2,864.7   

Sovereign

     2,747.7         n.a.         —           —           2,747.7   

Bank

     4.1         n.a.         —           —           4.1   

Corporate

     112.9         n.a.         —           —           112.9   

Residential mortgage

     —           n.a.         —           —           —     

Securitizations

     —           n.a.         —           —           —     

Others

     —           n.a.         —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     5,220.4         4,728.7         5,247.2         44.1         15,240.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Financial
collateral
     Other
collateral
     Guarantees      Credit
derivatives
     Total  

Internal ratings-based approach

     2,388.3         4,750.4         5,422.5         39.1         12,600.6   

Corporate

     1,991.2         4,527.1         3,405.4         39.1         9,963.0   

Sovereign

     0.1         21.9         611.5         —           633.7   

Bank

     368.7         28.3         384.4         —           781.4   

Retail

     28.2         172.9         1,021.1         —           1,222.3   

Residential mortgage

     —           —           239.3         —           239.3   

Qualifying revolving loan

     —           —           0.4         —           0.4   

Other retail

     28.2         172.9         781.3         —           982.6   

Others

     —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Standardized approach

     2,963.0         n.a.         —           —           2,963.0   

Sovereign

     2,845.6         n.a.         —           —           2,845.6   

Bank

     0.9         n.a.         —           —           0.9   

Corporate

     116.5         n.a.         —           —           116.5   

Residential mortgage

     —           n.a.         —           —           —     

Securitizations

     —           n.a.         —           —           —     

Others

     —           n.a.         —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     5,351.4         4,750.4         5,422.5         39.1         15,563.6   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

30


Table of Contents

n Counterparty risk in derivatives transactions and long-settlement transactions

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

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

Derivative transactions

 

          (Billions of yen)  
          As of September 30, 2010     As of September 30, 2011  

Current exposure method

        Gross
replacement
cost
    Gross
add-on
    Credit
equivalent
amount
    Gross
replacement
cost
    Gross
add-on
    Credit
equivalent
amount
 

Foreign exchange-related transactions

      2,887.5        1,760.1        4,647.7        2,710.6        1,686.4        4,397.1   

Interest rate-related transactions

      8,231.7        2,363.4        10,595.1        6,647.7        2,695.9        9,343.6   

Gold-related transactions

      0.0        —          0.0        0.0        0.0        0.0   

Equity-related transactions

      100.7        101.2        201.9        73.6        75.1        148.8   

Transactions related to precious metals (other than gold)

      0.0        0.0        0.0        0.0        0.0        0.1   

Other commodity-related transactions

      92.1        75.8        168.0        63.5        55.9        119.5   

Credit derivatives transactions

      104.7        607.7        712.5        86.8        469.4        556.2   

Subtotal

    (A     11,417.0        4,908.5        16,325.5        9,582.6        4,982.9        14,565.6   

Less: Netting benefits by close-out netting settlement contracts

    (B     n.a.        n.a.        10,923.9        n.a.        n.a.        9,488.8   

Subtotal

    (C )=(A)+(B)      n.a.        n.a.        5,401.6        n.a.        n.a.        5,076.7   

Less: Effect of credit risk mitigation by collateral

    (D     n.a.        n.a.        463.5        n.a.        n.a.        349.2   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

    (C )+(D)      n.a.        n.a.        4,938.0        n.a.        n.a.        4,727.5   
   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Standardized method

                    Credit
equivalent
amount
                Credit
equivalent
amount
 

Total

          260.4            215.6   
       

 

 

       

 

 

 

 

Note:

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

Long-settlement transactions

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  
     Gross
replacement
cost
     Gross
add-on
     Credit
equivalent
amount
     Gross
replacement
cost
     Gross
add-on
     Credit
equivalent
amount
 

Long-settlement transactions

     6.9         0.3         7.3         28.3         1.1         29.4   

 

Notes:  
1.   The current exposure method is used as the method to calculate credit equivalent amounts.
2.   Neither the “netting benefits by close-out netting settlement contracts” nor the “effect of credit risk mitigation by collateral” applies to long-settlement transactions.

(B) Amounts of credit risk mitigation by type

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Financial collateral

     60.9         54.7   

Other collateral

     67.8         129.9   

Guarantees, others

     17.2         18.1   
  

 

 

    

 

 

 

Total

     146.0         202.8   
  

 

 

    

 

 

 

 

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Table of Contents

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

 

          (Billions of yen)  
          As of September 30, 2010      As of September 30, 2011  
          Notional amount      Notional amount  

Credit derivatives type:

        

Credit default swap

   Protection bought      4,529.4         3,488.7   
   Protection sold      4,310.6         3,574.0   
     

 

 

    

 

 

 

Total return swap

   Protection bought      —           —     
   Protection sold      —           —     
     

 

 

    

 

 

 

Total

   Protection bought      4,529.4         3,488.7   
   Protection sold      4,310.6         3,574.0   
     

 

 

    

 

 

 

 

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

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Credit derivatives used for credit risk mitigation

     93.4         92.9   

 

32


Table of Contents

n Securitization exposure

(6) Quantitative disclosure items for securitization exposure

Securitization exposure as originator

(A) Information by type of underlying assets

 

     (Billions of yen)  
     As of, or for the six months ended, September 30, 2010  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Securitization
products
     Total  

Conventional securitizations

                       

Amount of underlying assets (a)

     —           214.9         —           —           —           —           —           214.9   

Default exposure

     —           4.1         —           —           —           —           —           4.1   

Losses during the six-month period

     —           0.5         —           —           —           —           —           0.5   

Amount of exposures securitized during the six-month period

     —           —           —           —           —           —           —           —     

Gains and losses recognized on sales during the six-month period

     —           —           —           —           —           —           —           —     

Securitization subject to early amortization treatment

     —           —           —           —           —           —           —           —     

Synthetic securitizations

                       

Amount of underlying assets (b)

     —           —           —           —           870.3         46.4         —           916.8   

Default exposure

     —           —           —           —           —           —           —           —     

Losses during the six-month period

     —           —           —           —           —           —           —           —     

Amount of exposures securitized during the six-month period

     —           —           —           —           50.0         12.8         —           62.8   

Total amount of underlying assets (a)+(b)

     —           214.9         —           —           870.3         46.4         —           1,131.7   

 

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Table of Contents
     (Billions of yen)  
     As of, or for the six months ended, September 30, 2011  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Securitization
products
     Total  

Conventional securitizations

                       

Amount of underlying assets (a)

     —           183.1         —           —           —           —           —           183.1   

Default exposure

     —           2.6         —           —           —           —           —           2.6   

Losses during the six-month period

     —           0.4         —           —           —           —           —           0.4   

Amount of exposures securitized during the six-month period

     —           —           —           —           —           —           —           —     

Gains and losses recognized on sales during the six-month period

     —           —           —           —           —           —           —           —     

Securitization subject to early amortization treatment

     —           —           —           —           —           —           —           —     

Synthetic securitizations

                       

Amount of underlying assets (b)

     —           —           —           —           763.7         34.4         —           798.2   

Default exposure

     —           —           —           —           —           —           —           —     

Losses during the six-month period

     —           —           —           —           —           —           —           —     

Amount of exposures securitized during the six-month period

     —           —           —           —           63.6         —           —           63.6   

Total amount of underlying assets (a)+(b)

     —           183.1         —           —           763.7         34.4         —           981.4   

 

Notes:   
    1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2010 and 2011.
    2.    “Amount of underlying assets” and “Losses during the six-month period” include those related to, in addition to exposure originated by us, exposure to assets originated by other financial institutions if they are contained in the same securitization program.
    3.    “Default exposure” and “Losses during the six-month period” with respect to synthetic securitization transactions are based on the definition of default as set forth in the respective transactions.
    4.    Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction.
    5.    “Credit cards” include shopping credit receivables, card loans, etc.

    6.

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

    7.

   Of the securitization exposure retained or purchased whose risk has been transferred (hedged) through securitization schemes, we have categorized securitization exposure as investor if the risk transfer (hedge) effects are not reflected in the calculation of capital adequacy ratio, following the definition for classification of securitization exposure set forth in the Consolidated Capital Adequacy Ratio Notice, etc.

 

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Table of Contents

(B) Information of securitization exposure retained or purchased

–Exposure by risk weight category and underlying asset type and amount of required capital–

 

     (Billions of yen)  
     As of September 30, 2010  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Securitization
products
     Total      Required
capital
 

Risk weight

                          

Up to 20%

     —           —           —           —           824.0         —           —           824.0         5.0   

Up to 50%

     —           —           —           —           —           36.3         —           36.3         0.9   

Up to 100%

     —           —           —           —           —           3.0         —           3.0         0.1   

Up to 250%

     —           38.1         —           —           —           —           —           38.1         3.0   

Up to 650%

     —           —           —           —           24.7         —           —           24.7         0.2   

Over 650%

     —           —           —           —           21.6         1.5         —           23.1         0.6   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Deduction from capital

     —           —           —           —           0.6         5.5         —           6.1         0.6   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     —           38.1         —           —           871.0         46.4         —           955.6         10.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
     (Billions of yen)  
     As of September 30, 2011  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Securitization
products
     Total      Required
capital
 

Risk weight

                          

Up to 20%

     —           —           —           —           704.7         —           —           704.7         4.2   

Up to 50%

     —           —           —           —           12.4         24.3         —           36.8         0.9   

Up to 100%

     —           36.9         —           —           1.0         3.0         —           41.0         2.6   

Up to 250%

     —           —           —           —           —           —           —           —           —     

Up to 650%

     —           —           —           —           34.4         —           —           34.4         0.2   

Over 650%

     —           —           —           —           7.9         2.5         —           10.4         0.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Deduction from capital

     —           —           —           —           3.2         4.5         —           7.7         —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     —           36.9         —           —           763.7         34.4         —           835.2         8.2   

–Capital increase due to securitization transactions–

 

    (Billions of yen)  
    As of September 30, 2010  
    Credit
cards
    Residential
mortgage
loans
    Auto
loans
    Lease
payment
receivables
    Corporate     Real
estate
    Securitization
products
    Total  

Capital increase due to securitization transactions

    —          4.7        —          —          —          —          —          4.7   

 

    (Billions of yen)  
    As of September 30, 2011  
    Credit
cards
    Residential
mortgage
loans
    Auto
loans
    Lease
payment
receivables
    Corporate     Real
estate
    Securitization
products
    Total  

Capital increase due to securitization transactions

    —          3.8        —          —          —          —          —          3.8   

 

Notes:

 

1.

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

2.

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

–Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice–

 

      (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice

     —           —     

 

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Table of Contents

Securitization exposure as sponsor of securitization programs (ABCP/ABL)

(C) Information by type of underlying assets

 

     (Billions of yen)  
     As of, or for the six months ended, September 30, 2010  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Account
and note
receivables
     Real
estate
     Others      Total  

Amount of underlying assets

     93.1         —           92.0         234.1         390.2         —           12.0         821.7   

Default exposure

     —           —           —           0.3         6.8         —           0.2         7.4   

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

     0.2         —           0.6         1.1         3.9         —           0.1         6.0   

Amount of exposures securitized during the six-month period

     601.1         —           376.6         1,388.6         1,181.9         —           106.8         3,655.1   

 

     (Billions of yen)  
     As of, or for the six months ended, September 30, 2011  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Account
and note
receivables
     Real
estate
     Others      Total  

Amount of underlying assets

     84.4         —           107.2         146.5         389.3         —           12.0         739.6   

Default exposure

     —           —           —           0.1         7.8         —           0.0         8.0   

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

     0.3         —           0.8         0.6         4.0         —           0.0         5.9   

Amount of exposures securitized during the six-month period

     293.4         —           263.5         943.8         1,298.6         —           42.0         2,841.4   

 

Notes:   
1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2010 and 2011.
2.    Securitization exposure that is acquired in securitization of customer’s claims other than as sponsor (in the form of asset-backed securities, trust beneficiary rights and other transferable instruments) is categorized as securitization exposure as investor.
3.    The amount of default exposure is the amount of the underlying assets recognized as default in the calculation of capital adequacy ratio.
4.   

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

 

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

 

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

5.    Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”
6.    “Credit cards” include shopping credit receivables, card loans, etc.

 

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Table of Contents

(D) Information of securitization exposure retained or purchased

–Exposure by risk weight category and underlying asset type and amount of required capital–

 

     (Billions of yen)  
     As of September 30, 2010  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Account
and note
receivables
     Real
estate
     Others      Total      Required
capital
 

Risk weight

                          

Up to 20%

     120.1         —           100.3         228.0         338.6         —           32.6         819.7         5.2   

Up to 50%

     —           —           —           7.7         34.0         —           —           41.8         0.9   

Up to 100%

     —           —           —           —           0.1         —           —           0.1         0.0   

Up to 250%

     —           —           —           —           0.6         —           —           0.6         0.0   

Up to 650%

     —           —           —           —           1.8         —           —           1.8         0.4   

Over 650%

     —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Deduction from capital

     —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     120.1         —           100.3         235.7         375.2         —           32.6         864.1         6.6   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exposure whose underlying assets are overseas assets

     14.6         —           —           8.3         32.0         —           23.0         78.1         n.a.   

 

     (Billions of yen)  
     As of September 30, 2011  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Account
and note
receivables
     Real
estate
     Others      Total      Required
capital
 

Risk weight

                          

Up to 20%

     129.4         —           122.8         148.4         377.5         —           27.0         805.2         5.2   

Up to 50%

     —           —           —           —           24.6         —           —           24.6         0.5   

Up to 100%

     —           —           —           —           0.0         —           —           0.0         0.0   

Up to 250%

     —           —           —           —           1.9         —           —           1.9         0.1   

Up to 650%

     —           —           —           —           —           —           —           —           —     

Over 650%

     —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Deduction from capital      —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Total      129.4         —           122.8         148.4         404.1         —           27.0         831.8         5.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exposure whose underlying assets are overseas assets

     44.0         —           57.4         15.3         87.2         —           21.0         225.1         n.a.   

 

Notes:   
1.    Securitization exposure retained or purchased includes unused portions of securitization programs that are subject to allocation of required capital.
2.    Classification based on type of underlying assets is conducted according to the principal underlying asset type for each transaction. Transactions that are difficult to classify are included under “Others.”
3.    “Credit cards” include shopping credit receivables, card loans, etc.
4.    The classification of transactions of which the underlying assets are overseas assets is conducted according to the principal underlying assets of each transaction.

–Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice–

 

     (Billions of yen)  
     As of September 30, 2010      As September 30, 2011  

Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice

     —           —     

 

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Table of Contents

Securitization exposure as investor

(E) Information of securitization exposure retained or purchased

–Exposure by risk weight category and underlying asset type and amount of required capital–

 

     (Billions of yen)  
     As of September 30, 2010  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Others      Total      Required
capital
 

Risk weight

                          

Up to 20%

     36.8         1,442.3         187.9         140.9         215.1         137.3         108.2         2,268.9         19.0   

Up to 50%

     —           7.2         —           2.6         40.7         234.2         9.2         294.1         7.5   

Up to 100%

     4.2         14.7         0.2         0.9         8.5         32.9         3.3         65.0         4.4   

Up to 250%

     —           1.8         —           —           1.1         3.2         —           6.2         1.3   

Up to 650%

     —           1.5         0.6         0.7         1.2         13.7         —           17.8         7.4   

Over 650%

     —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Deduction from capital

     —           7.6         —           0.3         14.1         41.2         8.3         71.8         57.5   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     41.1         1,475.5         188.7         145.6         280.9         462.8         129.2         2,724.1         97.4   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exposure whose underlying assets are overseas assets

     28.5         154.0         7.4         21.6         202.7         40.6         10.6         465.7         n.a.   

Exposure on resecuritizations

     —           0.4         —           —           6.9         0.0         3.2         10.6         n.a.   

 

     (Billions of yen)  
     As of September 30, 2011  
     Credit
cards
     Residential
mortgage
loans
     Auto
loans
     Lease
payment
receivables
     Corporate      Real
estate
     Others      Total      Required
capital
 

Risk weight

                          

Up to 20%

     26.8         1,511.7         132.7         72.7         152.7         87.9         100.0         2,084.9         16.0   

Up to 50%

     —           7.3         0.5         0.3         26.3         175.3         1.7         211.7         6.0   

Up to 100%

     —           6.3         —           2.0         7.5         40.5         3.0         59.4         4.1   

Up to 250%

     —           0.1         0.3         0.8         0.9         2.6         —           4.9         1.0   

Up to 650%

     —           0.7         —           —           0.0         9.9         7.5         18.3         7.4   

Over 650%

     —           —           —           —           —           —           —           —           —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Deduction from capital

     —           8.8         0.0         0.3         7.3         41.1         3.9         61.6         52.1   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

     26.8         1,535.1         133.7         76.3         195.0         357.5         116.2         2,441.0         86.9   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Exposure whose underlying assets are overseas assets

     16.5         79.7         12.7         26.5         159.4         22.2         13.5         330.7         n.a.   

Exposure on resecuritizations

     —           0.3         —           —           6.5         1.0         3.0         10.9         n.a.   

 

Notes:  

1.

  Subordinated contributions for managed collateralized loan obligations (“CLO”), etc., are included in the above table as exposure as investor even when the assets underlying those CLOs, etc., include exposures that were originated by us. Our subordinated contributions for those managed CLOs, etc., as of September 30, 2010 and 2011 were ¥5.7 billion and ¥0.6 billion, respectively (treated as deduction from capital for purpose of capital adequacy ratio calculation).

2.

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

3.

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

4.

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

5.

  Securitization exposure retained or purchased whose risk transfer (hedge) effects are reflected in the calculation of capital adequacy ratio is categorized as securitization exposure as originator.

6.

  Securitization exposure as investor as of September 30, 2010 and 2011 includes ¥2.1 billion and ¥1.6 billion liquidity facilities, respectively, that we provide to ABCP programs sponsored by other companies.

7.

  We classify securitization products whose principal underlying assets are securitization products such as ABS, etc. (e.g., ABS CDO) as “resecuritizations.”

–Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice–

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the FSA Capital Adequacy Ratio Notice

     —           —     

Note that, in addition to the above, within the provision of credit in the form of eligible servicer cash advance, set forth in Article 246 of the Notice, there was an undrawn portion to which no required capital is allocated.

The balances of such portion as of September 30, 2010 and 2011 were ¥40.9 billion and ¥62.7 billion, respectively.

 

38


Table of Contents

n Market risk

Trading activities

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

 

    (Billions of yen)  
    For the six months ended
September 30, 2010
    For the fiscal year ended
March 31, 2011
    For the six months ended
September 30, 2011
 

End of period

    2.6        3.6        3.9   

Maximum

    3.4        3.8        4.5   

Minimum

    2.2        2.2        3.1   

Average

    2.9        2.9        3.8   

The number of cases where assumptive losses exceeded VaR during the period

    no case        no case        1   

 

Notes:   

1.

   The multiplication factor for the calculation of market risk equivalent (internal models approach) is determined by the number of cases where assumptive losses exceeded VaR during the period.
2.    Our group companies which conduct trading activities are Mizuho Bank, Mizuho Corporate Bank, Mizuho Trust & Banking and Mizuho Securities, etc.

VaR (Value at Risk)

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

VaR related to our trading activities is based on the following:

 

 

variance co-variance model for linear risk and monte-carlo simulation for non-linear risk;

 

 

VaR: simple aggregation of linear risk and non-linear risk;

 

 

confidence interval: one-tailed 99.0%;

 

 

holding period of one day; and

 

 

historical observation period of one year (265 business days).

Outlier criteria

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

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

 

     (Billions of yen)  
     Amount of loss      Broadly-defined capital      Loss ratio to capital  

As of September 30, 2010

     936.1         8,180.7         11.4

As of March 31, 2011

     784.9         7,910.9         9.9

As of September 30, 2011

     568.6         7,615.2         7.4

Effect of yen interest rate

     372.2         n.a.         n.a.   

Effect of dollar interest rate

     170.8         n.a.         n.a.   

Effect of euro interest rate

     15.9         n.a.         n.a.   

 

Note:   

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

 

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Table of Contents

n Equity exposure in banking book

(7) Status of equity exposure in banking book

(A) Amounts stated in consolidated balance sheet

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  
     Consolidated
balance sheet
amount
     Fair value      Consolidated
balance sheet
amount
     Fair value  

Exposure of listed stock, etc.

     2,647.0         2,647.0         2,373.3         2,373.3   

Other equity exposure

     317.5         n.a.         263.6         n.a.   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

     2,964.6         n.a.         2,637.0         n.a.   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

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

 

    (Billions of yen)  
    For the six months ended September 30, 2010     For the six months ended September 30, 2011  
    Gains and losses
on sales
                    Gains and losses
on sales
                 
      Gains on sales     Losses on sales         Gains on sales     Losses on sales  

Sale of equity exposure

    17.3          36.2        18.8        10.0          38.1        28.0   

 

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

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

 

    (Billions of yen)  
    For the six months ended September 30, 2010     For the six months ended September 30, 2011  
    Gains and losses from write-offs     Gains and losses from write-offs  

Write-offs of equity exposure

    (28.6     (69.3

 

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

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

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  
     Net
unrealized
gains
                        Net
unrealized
losses
                   
         Unrealized
gains
     Unrealized
losses
          Unrealized
gains
     Unrealized
losses
 

Equity exposure

     103.8            393.8         290.0         (53.2        330.2         383.5   

 

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

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

None as of September 30, 2010 and 2011.

(F) Equities exposure by portfolio classification

 

     (Billions of yen)  
     As of September 30, 2010      As of September 30, 2011  

PD/LGD approach

     941.5         883.5   

Market-based approach (simple risk weight method)

     274.6         265.1   

Market-based approach (internal models approach)

     —           —     

Transitional measure applied

     2,245.4         1,964.7   
  

 

 

    

 

 

 

Total

     3,461.6         3,113.4   
  

 

 

    

 

 

 

 

40