Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd. (“STB”) Consolidated Capital Adequacy Ratio 474 Scope of Consolidation 476 Capital Adequacy 478 Credit Risk 480 Credit Risk Mitigation Techniques 488 Counterparty Risk in Derivative and Long-term Settlement Transactions 488 Securitization Exposures 489 Market Risk 497 Capital Subscriptions or Equity Exposures in the Banking Account 498 Exposures Held in Funds as Credit Risk-Weighted Assets 499 Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the STB Group Regarding Interest Rate Risk in the Banking Account 499 Non-consolidated Capital Adequacy Ratio 500 Capital Adequacy 503 Credit Risk 505 Credit Risk Mitigation Techniques 513 Counterparty Risk in Derivative and Long-term Settlement Transactions 514 Securitization Exposures 515 Market Risk 522 Capital Subscriptions or Equity Exposures in the Banking Account 523 Exposures Held in Funds as Credit Risk-Weighted Assets 524 Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by STB Regarding Interest Rate Risk in the Banking Account 524 473 Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report Financial Data/ Sumitomo Mitsui Trust Holdings, Inc. Financial Data/ The Former Chuo Mitsui Trust and Banking Company, Limited Financial Data/ Former Chuo Mitsui Asset Trust and Banking Company, Limited Financial Data/ The Former Sumitomo Trust and Banking Co., Ltd. Capital Adequacy Ratio Disclosure Data/ Sumitomo Mitsui Trust Holdings, Inc. Capital Adequacy Ratio Disclosure Data/ The Former Chuo Mitsui Trust and Banking Company, Limited Capital Adequacy Ratio Disclosure Data/ Former Chuo Mitsui Asset Trust and Banking Company, Limited Capital Adequacy Ratio Disclosure Data/ The Former Sumitomo Trust and Banking Co., Ltd.
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Capital Adequacy Ratio Quantitative Disclosure DataThe Former Sumitomo Trust and Banking Co., Ltd. (“STB”) Consolidated Capital Adequacy Ratio 474 Scope of Consolidation 476 Capital
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Capital Adequacy Ratio Quantitative Disclosure Data:
The Former Sumitomo Trust and Banking Co., Ltd. (“STB”)
Consolidated
Capital Adequacy Ratio 474
Scope of Consolidation 476
Capital Adequacy 478
Credit Risk 480
Credit Risk Mitigation Techniques 488
Counterparty Risk in Derivative and Long-term Settlement Transactions 488
Securitization Exposures 489
Market Risk 497
Capital Subscriptions or Equity Exposures in the Banking Account 498
Exposures Held in Funds as Credit Risk-Weighted Assets 499
Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the STB Group Regarding Interest Rate Risk in the Banking Account 499
Non-consolidated
Capital Adequacy Ratio 500
Capital Adequacy 503
Credit Risk 505
Credit Risk Mitigation Techniques 513
Counterparty Risk in Derivative and Long-term Settlement Transactions 514
Securitization Exposures 515
Market Risk 522
Capital Subscriptions or Equity Exposures in the Banking Account 523
Exposures Held in Funds as Credit Risk-Weighted Assets 524
Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by STB Regarding Interest Rate Risk in the Banking Account 524
473Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Capital Adequacy Ratio Quantitative Disclosure Data:
The Former Sumitomo Trust and Banking Co., Ltd.
474 Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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We calculate the BIS capital adequacy ratio on both a consolidated and non-consolidated basis in line with provisions of Article 14-2 of theBanking Act and on the basis of calculation formula prescribed under the criteria for judging whether a bank’s capital adequacy ratio is appro-priate in light of assets held (the Financial Services Agency 2006 Notification No. 19, hereinafter referred to as the “Notification”).
Applying uniform international standards, we have adopted the Foundation Internal Ratings-Based (IRB) Approach for the calculation of creditrisk-weighted assets, the Standardized Approach for the calculation of operational risk, and market risk regulations.
Capital Adequacy Ratio Consolidated
*1. As of March 31, 2012, the amount of noncumulative perpetual preferred shares which are included in Tier I was ¥109,000 million. The column for “Capital Stock—Noncumulative PerpetualPreferred Shares” indicates the amount which has been included in capital stock.
*2. As of March 31, 2012, deferred tax assets totaled ¥50,351 million in net terms. The upper limit on the inclusion of deferred tax assets in capital was ¥262,301 million.*3. Listed in the Notification, Article 5, Paragraph 2, i.e. stocks and other securities with high probability of redemptions through such measures as attachment of step-up interest rate clauses
(including noncumulative preferred securities issued by overseas special purpose companies).*4. Debt capital listed in the Notification, Article 6, Paragraph 1, Item 4 that have all of the characteristics listed below:
(1) Paid-up debts unsecured and subordinate to other debts(2) Not redeemable, except for certain cases(3) Used for offsetting of loss while continuing business(4) Allowed to defer interest payment obligations
*5. Listed in the Notification, Article 6, Paragraph 1, Items 5 and 6. However, subordinated term debts are limited to those with an original maturity of over five years.*6. Listed in the Notification, Article 8, Paragraph 1, Items 1 through 6, and include amounts equivalent to intentional holdings of other financial institutions’ capital funding means and amounts
equivalent to investments in those provided for under the Notification, Article 8, Paragraph 1, Item 2.*7. STB received an external audit by KPMG AZSA LLC of the calculation of the consolidated BIS capital adequacy ratio in line with “Agreed Upon Methods for the Implementation of Capital
Adequacy Ratio Audits” (Pronouncement 30 of the Japanese Institute of Certified Public Accountants, Bank Auditing Committee, March 29, 2011). The external audit is not part of the account-ing audit of the consolidated financial statements but was conducted as part of the internal risk management framework concerning the calculation of the consolidated BIS capital adequacyratio under agreed-upon examination procedures and is a report of the results presented to us. It thus does not represent an opinion by the external auditor regarding the consolidated BIS cap-ital adequacy ratio itself or parts of internal control which concern the ratio.
Constituents of Capital (Consolidated BIS Capital Adequacy Ratio)
Tier ICapital Stock
Noncumulative Perpetual Preferred Shares*1
Deposit for Subscriptions to Shares Capital Surplus Retained Earnings Treasury Stock (Deduction) Deposit for Subscriptions to Treasury Stock Expected Distributed Amount (Deduction) Net Unrealized Loss on Available-for-Sale Securities (Deduction) Foreign Currency Translation Adjustments Share Warrants Minority Interests
Noncumulative Preferred Securities Issued by Overseas Special Purpose Companies Business Rights Equivalents (Deduction) Goodwill Equivalents (Deduction) Equivalent to Intangible Fixed Assets Recorded through Business Combination (Deduction) Equivalent to Capital Increase Due to Securitization Transactions (Deduction) Equivalent to 50% of the Excess of Expected Loss over Qualifying Allowance (Deduction) Total Tier I before Deduction of Deferred Tax Assets (Aggregate Sum of Items Above) Deducted Amounts of Deferred Tax Assets (Deduction)*2
Total (A) Noncumulative Preferred Securities Attached with Step-up Interest Rate Clause*3 (a)
Tier II45% of Net Unrealized Gain on Available-for-Sale Securities 45% of Revaluation Reserve for Land General Allowance for Loan Losses Excess of Qualifying Allowance over Expected Loss Debt Capital
Perpetual Subordinated Debt*4
Subordinated Term Debt and Fixed-term Preferred Shares*5
TotalIncluded in Capital (B)
Tier IIISubordinated Short-term Debt Included in Capital (C)
Items for DeductionItems for Deduction*6 (D)
Total Qualifying Capital((A) + (B) + (C) - (D)) (E)
Consolidated BIS Capital Adequacy Ratio = E/M x 100 (%) Tier I Capital Ratio = A/M x 100 (%) Ratio of Noncumulative Preferred Securities with Step-up Interest Rate Clauses to Tier I Capital = a/A x 100 (%)
¥ 342,03754,500
—297,051565,906
482—
15,701—
(12,873)—
303,582280,000
—123,258
3,6045,686
13,0371,333,931
—1,333,931
156,000
3,319448
14,647—
628,236185,307442,928646,651646,651
——
99,692
1,880,889
9,855,9971,290,402
11,146,399139,32611,146
742,31359,385
——
¥ 12,028,03915.6311.0911.69
Millions of Yen
20112012
¥ 342,03754,500
—296,568596,136
——
67,377—
(12,795)—
306,064280,000
—111,886
5,4697,037
24,7331,311,505
—1,311,505
156,000
12,333(217)
12,926—
618,449136,500481,949643,491643,491
——
110,175
1,844,821
9,572,7741,330,382
10,903,157212,941
17,035737,326
58,986——
¥ 11,853,42515.5611.0611.89
As of March 31
475
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Outline of Capital Funding Instruments
An outline of capital funding instruments for the BIS capital adequacy ratio is as follows:
Shareholders’ equity listed in the Notification, Article 5, Paragraph 1, and STB’s standard stock with no limitations on holders’ rights
Preferred securities listed in the Notification, Article 5, Paragraph 3, which meet all of the conditions below:•Noncumulative perpetual preferred capital•Paid-up securities that are unsecured and subordinate to other debts•Used for offsetting of loss within STB while business is continued
Instrument included as debt capital listed in the Notification, Article 6, Paragraph 1, Item 4 that have all of the characteristics below:•Paid-up securities that are unsecured and subordinate to other debts•Not redeemable except for some cases •Used for offsetting of loss within STB while business is continued•Allowed to defer interest payment obligations
Instrument included as debt capital listed in the Notification, Article 6, Paragraph 1, Item 5 but debt is limited to that with an originalmaturity of over five years.
Capital Funding Instruments OutlineCapital
Tier I
Tier II
Common Shares
Shareholders’ equity listed in the Notification, Article 5, Paragraph 1, and is noncumulative perpetual preferred shares which are senior tocommon stock in the payment of dividends and the liquidation distribution of residual assets.Preferred Shares
Preferred Securities
Perpetual Subordinated Debt
Subordinated Term Debt
476
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Details of preferred securities issued by overseas special purpose companies included in the Tier I of capital for consol-
idated BIS capital adequacy ratio calculation are as follows:
1. Issuer STB Preferred Capital 2 (Cayman) Limited STB Preferred Capital 3 (Cayman) Limited STB Preferred Capital 4 (Cayman) Limited STB Preferred Capital 5 (Cayman) Limited
2. Description ofSecurities
Noncumulative Perpetual Preferred Securities Same as on the left Same as on the left Same as on the left
3. RedemptionDate No provisions Same as on the left Same as on the left Same as on the left
5. DividendPayment Date January 25 and July 25 every year Same as on the left Same as on the left Same as on the left
4. VoluntaryRedemption
Redeemable voluntarily in whole or in parton any dividend payment date in January2014 and thereafter by the issuer subject tothe prior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in January2013 and thereafter by the issuer subject tothe prior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in July 2017and thereafter by the issuer subject to theprior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in July 2018and thereafter by the issuer subject to theprior approval of applicable regulatoryauthorities
6. Dividend
<1st year - 5th year >Fixed Rate
<Thereafter>Non Step-up Floating Rate
<1st year - 10th year >Fixed Rate
<Thereafter>Step-up Floating Rate
Series A <1st year - 10th year >
Fixed Rate<Thereafter>
Step-up Floating RateSeries B
<1st year - 10th year >Fixed Rate
<Thereafter>Non Step-up Floating Rate
Same as on the left
7. Issue Amount ¥50 billion ¥50 billion Series A ¥56 billionSeries B ¥54 billion ¥70 billion
8. Issue Date December 18, 2008December 7, 2005 June 24, 2008March 2, 2007
9. Outline ofDividendPayment
Dividends are payable by the issuer withinthe limits of profits at STB available for distri-bution in conformity with the calculation ofpreferred shares of STB. If STB pays divi-dends on its common stock for the prior fis-cal year, then dividends for these preferredshares will, in principle, be paid in entirely forthe applicable fiscal year.
Same as on the left Same as on the left Same as on the left
10. DividendLimitation
Dividends on these preferred securitieswill not be paid if any of certain criteriahave been met. The criteria include thefollowing:When STB did not pay dividends in theprior fiscal year on any class of preferredshares.When STB’s BIS capital adequacy ratio orTier I capital ratio is to decline below theminimum percentages required byJapanese banking regulations.
11. Rights to theResidualAssets
These preferred securities are intendedto provide holders with rights to residualassets that are essentially the same asthose to which holders would be entitledif they had purchased preferred sharesissued by STB.
Same as on the left
Same as on the left
Same as on the left
Same as on the left
Same as on the left
Same as on the left
Scope of Consolidation Consolidated
(1) The difference between companies belonging to the group of companies subject to the consolidated capital adequacy
ratio as prescribed by the Notification, Article 3 (hereinafter referred to as the “STB Group”) and companies included in
the scope of consolidation in line with the Consolidated Financial Statements Rule is as follows:
Subsidiaries under the Banking Act that are not included in the scope of consolidation by applying provisions of the
Consolidated Financial Statements Rule, Article 5, Paragraph 2, are included in the STB Group subject to the calculation of the
capital adequacy ratio.
477
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
Leasing, installment finance, credit card businessInvestment management and advisoryMoney lending businessReal estate brokerage businessFinancial and trust businesses
Principal Business OperationsName
Japan Pension Operation Service, Ltd. Pension benefit computing and clerical agent services
Principal Business OperationsName
(3) There is one affiliated company that undertakes financial services subject to the Notification, Article 9.
Hummingbird Co., Ltd. Rental business through an anonymous partnership
Principal Business OperationsName
(4) There are a total of 42 companies that are subject to deduction items listed in the Notification, Article 8, Paragraph
1, Item 2 (a) through (c). The principal companies are the following.
(5) Of companies listed in the Banking Act, Article 16-2, Paragraph 1, Item 11, those dedicated to auxiliary businesses,
and companies listed in the Banking Act, Article 16-2, Paragraph 1, Item 12, all belong to the STB Group.
(6) There are no particular restrictions on the transfer of funds and capital within the STB Group.
(2) The number of consolidated subsidiaries that belong to the STB Group is 52. The principal companies are the following.
Of companies that are subject to deduction items,companies that failed to meet the regulatory required capital and shortfall amounts Not Applicable
2011
Not Applicable
2012
Companies that are subject to deduction Items listed in the Notification, Article 8, Paragraph 1, Item 2 (a) through (c).
478
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(1) Amounts of required capital against credit risk (excluding equity exposures to which the IRB Approach is applied
and exposures held in funds)
(2) Amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied
Capital Adequacy Consolidated
2011
Portfolios to which the Standardized Approach is Applied Exposures to Business Units Set for Phased Roll-out Application Exposures Excluded from Application
Portfolios to which the IRB Approach is Applied and Breakdown by Portfolio Corporate Exposures Sovereign Exposures Financial Institution Exposures Residential Mortgage Exposures Qualifying Revolving Retail Exposures Other Retail Exposures Other Exposures*1
Securitization Exposures
¥ 120,973
92,210
28,763
800,013
635,784
12,362
27,707
53,690
498
13,308
56,660
28,559
Millions of Yen
2012
¥ 97,351
72,450
24,901
802,910
634,985
11,685
29,749
58,116
367
12,748
55,257
24,801
As of March 31
2011
Equity Exposures PD/LGD Approach Simple Risk-Weight Method of the Market-based Approach Internal Models Method of the Market-based Approach Transitional Measures*1
¥ 72,549
18,975
17,401
—
36,171
Millions of Yen
2012
¥ 65,910
18,614
14,437
—
32,858
As of March 31
Amounts of Required Capital
*1. Other exposures include purchased receivables, unsettled transactions, lease transactions and other assets.*2. The calculation method of the amounts of required capital against credit risk is as follows
Portfolios to which the Standardized Approach is applied: amount of credit risk-weighted assets x 8% + capital deduction amountPortfolios to which the IRB Approach is applied: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amountSecuritization exposures: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount
*1. The amount of credit risk-weighted assets is calculated with a risk-weight of 100%, pursuant to the Notification, Supplementary Rules Article 13.*2. The calculation method of the amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied is as follows
Those applicable to the PD/LGD approach: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount Those applicable to the simple risk-weight method of the market-based approach: (amount of credit risk-weighted assets x 1.06) x 8%Those applicable to the transitional measures: (amount of credit risk-weighted assets x 1.06) x 8%
479
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(4) Amounts of required capital against market risk
(3) Amounts of required capital against credit risk concerning exposures held in funds
2011
Exposures Held in Funds* ¥ 37,459
Millions of Yen
2012
¥ 52,191
As of March 31
2011
Market Risk Amounts of Required Capital by Category under the Standardized Approach
* (Amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount
(5) Amounts of required capital against operational risk
2011
Standardized Approach ¥ 59,385
Millions of Yen
2012
¥ 58,986
As of March 31
(6) Consolidated total required capital
2011
Consolidated Total Required Capital* ¥ 962,243
Millions of Yen
2012
¥ 948,274
As of March 31
* (Total amount of credit risk-weighted assets + market risk equivalents/8% + operational risk equivalents/8%) x 8%
480
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Balance of Exposures Related to Credit Risk and Breakdown by Primary Types
Credit Risk Exposures
Millions of Yen
Other Off-balance Sheet
TransactionsSecuritiesLoans, Call Loans,
Deposits, etc.
Exposures ThreeMonths or
Longer Overdueor Exposures in
Default
2012
Credit Risk Consolidated
Japan Outside Japan Total for Regions
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
One Year or LessOver One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations
Average Balance during the Period
Notes: 1. Exposures subject to the calculation of credit risk-weighted assets exclude funds, securitization, other assets and exposures excluded from application.2. “Others” in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities.3. “Average Balance during the Period” is the average of the balance as of March 31, 2011, September 30, 2011, and March 31, 2012.4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor’s cash on deposit with
STB.
As of March 31
¥ 13,537,610
1,433,426
¥ 14,971,037
1,826,244
2,212
6,508
12,628
94,793
432,391
262,437
734,846
1,009,016
1,688,027
1,756,301
492,475
90,596
2,471,622
4,090,934
¥ 14,971,037
3,918,282
2,957,416
3,362,444
4,732,893
¥ 14,971,037
¥ 14,601,679
¥ 18,547,696
2,395,628
¥ 20,943,325
2,811,877
3,700
6,645
13,809
158,774
487,907
305,838
911,623
1,509,388
2,099,516
2,057,249
547,713
113,745
2,549,486
7,366,049
¥ 20,943,325
5,812,486
4,122,529
4,147,251
6,861,057
¥ 20,943,325
¥ 20,618,701
¥ 3,090,198
422,189
¥ 3,512,387
339,540
1,095
72
—
34,608
29,540
6,166
96,561
141,489
171,676
138,216
8,275
16,872
—
2,528,271
¥ 3,512,387
1,206,275
560,097
438,510
1,307,504
¥ 3,512,387
¥ 3,545,822
¥ 1,700,678
78,352
¥ 1,779,031
621,083
375
—
1,083
28,389
24,501
36,179
62,635
354,621
76,878
154,910
46,032
6,276
77,863
288,199
¥ 1,779,031
628,020
486,362
208,325
456,322
¥ 1,779,031
¥ 1,728,800
DerivativeTransactions
¥ 219,208
461,660
¥ 680,868
25,009
17
65
97
981
1,474
1,055
17,578
4,260
162,934
7,821
928
—
—
458,642
¥ 680,868
59,908
118,652
137,970
364,336
¥ 680,868
¥ 742,398
¥ 179,982
8,642
¥ 188,625
34,177
34
—
—
3,378
—
4,954
950
3,549
77,045
18,307
—
—
13,889
32,338
¥ 188,625
481
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
Sumito
mo
Mitsui
TrustH
old
ings,Inc.
FinancialData/
TheForm
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FinancialData/
FormerChuo
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Company,Lim
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FinancialData/
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CapitalAdequacyRatioDisclosure
Data/Sum
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CapitalAdequacyRatioDisclosure
Data/The
Former
ChuoM
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CapitalAdequacyRatioDisclosure
Data/Form
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BankingCom
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CapitalAdequacyRatioDisclosure
Data/The
FormerSum
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Credit Risk Exposures
Millions of Yen
Other Off-balance Sheet
TransactionsSecuritiesLoans, Call Loans,
Deposits, etc.
Exposures ThreeMonths or
Longer Overdueor Exposures in
Default
2011
Japan Outside Japan Total for Regions
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
One Year or Less Over One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations
Average Balance during the Period
Notes: 1. Exposures subject to the calculation of credit risk-weighted assets exclude funds, securitization, other assets and exposures excluded from application.2. “Others” in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities.3. “Average Balance during the Period” is the average of the balance as of March 31, 2010, September 30, 2010, and March 31, 2011.4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor’s cash on deposit with
STB.
¥ 12,966,120
570,036
¥ 13,536,156
1,847,316
1,855
7,219
12,525
101,538
364,421
215,960
738,151
1,040,121
1,378,167
1,802,219
519,114
98,652
2,248,531
3,160,360
¥ 13,536,156
3,690,622
2,814,297
2,857,842
4,173,393
¥ 13,536,156
¥ 13,426,565
¥ 18,081,152
2,231,794
¥ 20,312,946
2,770,409
3,824
7,340
15,317
169,703
415,542
242,940
901,473
1,456,606
1,910,339
2,181,879
587,691
136,849
2,336,528
7,176,500
¥ 20,312,946
5,092,950
4,041,382
3,792,550
7,386,062
¥ 20,312,946
¥ 19,589,649
¥ 3,208,919
916,385
¥ 4,125,305
346,681
1,564
32
—
35,151
34,683
4,424
86,324
119,476
182,569
208,927
6,791
20,519
—
3,078,159
¥ 4,125,305
696,623
608,325
459,783
2,360,572
¥ 4,125,305
¥ 3,503,106
¥ 1,643,002
64,586
¥ 1,707,589
548,196
375
13
2,738
31,698
14,752
21,094
55,375
290,276
159,897
161,548
60,517
17,678
87,996
255,430
¥ 1,707,589
654,488
412,523
266,213
374,363
¥ 1,707,589
¥ 1,762,914
DerivativeTransactions
¥ 263,109
680,786
¥ 943,895
28,215
28
75
53
1,315
1,685
1,460
21,622
6,731
189,704
9,183
1,267
—
—
682,550
¥ 943,895
51,216
206,236
208,710
477,732
¥ 943,895
¥ 897,062
¥ 189,117
9,511
¥ 198,629
36,370
—
68
—
4,865
—
15,599
256
6,481
86,020
18,244
—
—
12,154
18,568
¥ 198,629
Change fromMar. 31, 2011
2012
General Allowance for Loan Losses ¥ (10,533)
Millions of Yen
Balance
2011
¥ 71,584
Balance
¥ 61,051
(1) General allowance for loan losses
As of March 31
As of March 31
Balance and Changes of General Allowance for Loan Losses, Specific Allowance for Loan Losses, and Allowance for
Loan Losses from Specified Foreign Country Borrowers
482
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
Fina
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Changes2012
Japan Outside Japan Total for Regions
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
¥ 9,642
(95)
¥ 9,547
4,421
(1)
(0)
(0)
36
(702)
(207)
2,114
135
(135)
(11,374)
15
—
(226)
15,471
¥ 9,547
Millions of Yen
Balance
2011
¥ 34,889
6,299
¥ 41,188
6,587
5
1
6
208
710
1,254
695
143
167
14,661
17
—
3,444
13,284
¥ 41,188
Balance
¥ 44,531
6,204
¥ 50,736
11,008
4
0
5
244
8
1,047
2,810
278
32
3,286
33
—
3,218
28,756
¥ 50,736
(2) Specific allowance for loan losses (breakdown by region, industry sector)
(3) Allowance for loan losses from specified foreign country borrowers
Not applicable as of the end of March 2012 and the end of March 2011.
Amounts of Written-off Loans by Industry Sector
2011
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
¥ 14,917
11
0
0
1,127
3
0
589
223
7
(1)
0
—
(699)
425
¥ 16,604
Millions of Yen
2012
¥ 202
2
2
—
142
5
5
32
354
71
62
—
9
216
284
¥ 1,393
Years Ended March 31
As of March 31
483
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
Sumito
mo
Mitsui
TrustH
old
ings,Inc.
FinancialData/
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Data/The
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2011
Balance of Exposures to which the Standardized Approach is Applied after Allowing for the Credit Risk Mitigation Effect by Risk-Weight Category
0% 10% 20% 35% 50% 75%
100% 150%
Capital Deduction
¥ 1,404,460
38,839
15,814
119,497
—
54,876
—
1,170,575
4,855
—
¥ 83,425
—
—
5,998
—
46,891
—
30,438
96
¥ 2,104,069
321,149
3,329
260,252
—
88,509
—
1,426,662
4,166
—
¥ 121,102
—
—
7,653
—
63,199
—
50,248
0
Millions of Yen
Subject to Rating
2012
Subject to Rating
Balance of Exposures to which the Standardized Approach is Applied by Risk-Weight Category
Exposures to which the IRB Approach is Applied
2011
Specialized Lending under the Slotting Criteria High-Volatility Commercial Real Estate Exposures
Maturities of 2.5 Years or Longer Strong 95% Good 120% Satisfactory 140% Weak 250% Default 0%
Maturities of Less than 2.5 Years Strong 70% Good 95% Satisfactory 140% Weak 250% Default 0%
Other Exposures Maturities of 2.5 Years or Longer
Strong 70% Good 90% Satisfactory 115% Weak 250% Default 0%
Maturities of Less than 2.5 Years Strong 50% Good 70% Satisfactory 115% Weak 250% Default 0%
Equity Exposures to which the Simple Risk-Weight Method of the Market-based Approach is Applied 300% 400%
¥ 1,275,372
181,130
117,240
30,688
28,695
57,855
—
—
63,889
5,004
1,208
44,477
—
13,200
¥ 1,094,242
793,987
319,240
233,069
192,369
45,054
4,252
300,255
65,888
124,952
103,435
4,756
1,223
¥ 56,559
21,030
35,528
Millions of Yen
2012
¥ 1,276,477
144,774
120,335
16,926
36,260
60,790
—
6,358
24,439
—
10,437
14,002
—
—
¥ 1,131,702
887,368
297,490
383,215
150,235
42,629
13,797
244,333
40,955
101,914
89,121
7,043
5,298
¥ 44,672
8,436
36,235
As of March 31
As of March 31
484
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
Fina
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Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
(1) Corporate exposures
(2) Sovereign exposures
Portfolios to which the IRB Approach is Applied
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.82%
45.09%
43.66%
44.81%
0.37%
11.13%
100.00%
2.66%
48.15%
194.46%
53.85%
¥ 7,129,941
364,748
163,000
¥ 7,657,689
¥ 1,443,453
46,032
2,832
¥ 1,492,318
Millions of Yen
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
44.98%
44.15%
41.77%
44.89%
0.45%
13.14%
100.00%
2.85%
50.91%
194.89%
54.73%
¥ 7,184,463
277,364
176,428
¥ 7,638,257
¥ 1,336,132
24,495
1,742
¥ 1,362,370
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.95%
45.00%
—
44.95%
0.02%
9.68%
—
0.02%
3.68%
184.46%
3.71%
¥ 3,828,074
502
—
¥ 3,828,576
¥ 10,075
156
—
¥ 10,231
Millions of Yen
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.99%
45.00%
—
44.99%
0.01%
9.68%
—
0.01%
4.29%
183.78%
4.31%
¥ 3,511,530
310
—
¥ 3,511,840
¥ 21,133
—
—
¥ 21,133
Millions of Yen
As of March 31
2011
Millions of Yen
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
As of March 31
As of March 31
As of March 31
485
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
Sumito
mo
Mitsui
TrustH
old
ings,Inc.
FinancialData/
TheForm
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Data/The
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(3) Financial Institution exposures
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
45.46%
45.00%
—
45.46%
0.08%
7.64%
—
0.08%
20.23%
169.36%
20.26%
¥1,201,682
301
—
¥1,201,983
¥ 591,906
50
—
¥ 591,956
Millions of Yen
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
45.93%
45.00%
—
45.92%
0.08%
7.64%
—
0.08%
21.40%
255.78%
21.50%
¥ 650,335
314
—
¥ 650,650
¥ 925,652
312
—
¥ 925,964
Millions of Yen
(4) Equity exposures under the PD/LGD Approach
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
0.17%
9.30%
100.00%
0.24%
123.24%
459.60%
124.45%
¥ 182,192
685
74
¥ 182,952
Millions of Yen
BalanceWeightedAverage of PD Value
Risk-WeightWeightedAverage
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
0.17%
12.65%
100.00%
0.54%
125.11%
473.69%
125.36%
¥ 179,489
352
624
¥ 180,466
Millions of Yen
BalanceWeightedAverage of PD Value
Risk-WeightWeightedAverage
As of March 31
As of March 31
As of March 31
As of March 31
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage of LGD Value
WeightedAverage of PD Value
486
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(5) Residential mortgage exposures, qualifying revolving retail exposures, and other retail exposures
2012
Residential MortgageCurrent Overdue Default
Qualifying Revolving RetailCurrent Overdue Default
Other Retail (consumer)Current Overdue Default
Other Retail (commercial)Current Overdue Default
Total
¥ 2,332,153
11,800
11,906
4,845
—
—
81,768
788
1,117
136,598
1,362
3,082
¥ 2,585,423
23.02%
337.63%
—
55.57%
—
—
52.48%
151.28%
—
43.12%
81.26%
—
26.47%
42.35%
54.60%
46.21%
100.00%
—
—
50.73%
54.03%
48.18%
46.96%
46.96%
49.82%
43.09%
0.31%
26.87%
100.00%
1.52%
—
—
1.07%
37.48%
100.00%
0.71%
9.12%
100.00%
1.15%
¥ 68,375
74
53
1,322
—
—
7,035
190
812
4,332
203
473
¥ 82,873
¥ 199
—
—
23,820
—
—
97,339
264
188
108
—
—
¥ 121,920
75.00%
—
—
5.55%
—
—
6.53%
61.04%
56.94%
75.00%
—
—
71.73%
Millions of Yen
CCFUndrawnCommitment
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
Risk-WeightWeightedAverage
WeightedAverage of LGD Value
WeightedAverage of PD Value
2011
Residential MortgageCurrent Overdue Default
Qualifying Revolving RetailCurrent Overdue Default
Other Retail (consumer)Current Overdue Default
Other Retail (commercial)Current Overdue Default
Total
¥ 2,067,309
11,577
10,237
5,403
—
—
99,606
1,026
1,115
130,747
1,700
1,880
¥ 2,330,606
23.84%
337.63%
—
55.57%
—
—
55.67%
149.34%
—
43.11%
81.26%
—
27.93%
42.62%
54.60%
46.44%
100.00%
—
—
51.05%
53.30%
48.60%
46.96%
46.96%
49.80%
43.53%
0.32%
26.87%
100.00%
1.52%
—
—
1.21%
37.58%
100.00%
0.71%
9.12%
100.00%
1.14%
¥ 75,611
87
52
2,963
—
—
8,221
311
748
5,450
160
382
¥ 93,990
¥ 211
—
—
58,909
—
—
99,775
254
201
49
—
—
¥ 159,402
75.00%
—
—
5.03%
—
—
7.35%
69.23%
53.92%
75.00%
—
—
70.92%
Millions of Yen
As of March 31
As of March 31CCFUndrawn
Commitment
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
Risk-WeightWeightedAverage
WeightedAverage of LGD Value
WeightedAverage of PD Value
487
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Actual Credit Losses in the Current Period and Year-on-Year Change for Portfolios to which the IRB Approach is Applied
Note: Of total credit costs, only those that can be identified as stemming from specified asset classes are shown in the table. Accordingly, the reversals resulting from the unifi-cation of calculating method of reserves based on the management integration are not included in the above table.
2012 2011
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
¥ (25,590)
(16)
—
(976)
¥11,810
(16)
2
903
¥10,978
(30)
9
1,527
¥ (11,440)
(30)
—
(456)
¥ 831
13
(7)
(623)
Millions of Yen
Change in Actual Credit
LossesActual Credit
Losses ReversalsReversalsActual CreditLosses
Factor Analysis
Actual credit losses in fiscal year 2011 increased by ¥0.2 billion year on year.
This was mainly due to additional posting of allowance for loan losses for some large borrowers in combination with
net reversals of allowances for loan losses etc with regard to the improved credit status of obligors, and so on.
Estimated Credit Losses for Portfolios to which the IRB Approach is Applied
Actual CreditLosses
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
¥ 11,810
(16)
2
903
Millions of Yen
20112012
Estimated CreditLosses
¥ 137,381
188
594
13,322
Years Ended March 31
Years Ended March 31
Notes: 1. Estimated credit losses for fiscal 2010 are the expected loss amount as of March 31, 2011.2. Actual credit losses for fiscal 2011 are the sum of losses for one year ended March 31, 2012.
Actual CreditLosses
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
Millions of Yen
20102011
Estimated CreditLosses
¥ 145,600
156
547
14,197
¥ 18,013
(13)
(158)
907
Six Months Ended September 30
Notes: 1. Estimated credit losses for the first half of fiscal 2010 are the expected loss amount as of September 30, 2010.2. Actual credit losses for the first half of fiscal 2011 are the sum of losses for one year ended September 30, 2011.
488
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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2011
Portfolios to which the Standardized Approach is Applied Portfolios to which the IRB Approach is Applied
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
Counterparty Risk in Derivative and Long-term Settlement Transactions Consolidated
Note: Credit equivalents are calculated with the current exposure approach.
2011
Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero) Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique
Foreign Exchange Related Interest Rate Related Credit Derivatives OthersEffect of Mitigating Credit Equivalents Due to Close-out Netting Contracts (Deduction)
Amounts of Collateral Deposits Securities
Credit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique Notional Principal Amounts of Credit Derivatives Subject to the Calculation of Credit Equivalents
Purchase of Protection by Credit Default Swaps Providing Protection by Credit Default Swaps
Notional Principal Amounts of Credit Derivatives Used to Allow for the Effect of Credit Risk Mitigation Technique
¥ 2,508,545
1,159,422
774,273
3,475,094
500
—
3,090,446
215,526
142,536
72,990
943,896
4,701
4,701
—
¥ —
Millions of Yen
2012
¥ 2,765,402
859,831
535,885
3,456,066
—
—
3,132,120
178,962
50,007
128,954
680,869
—
—
—
¥ —
As of March 31
As of March 31
Credit Risk Mitigation Techniques Consolidated
Amounts of Exposures to which Credit Risk Mitigation Techniques are Applied
2012
Portfolios to which the Standardized Approach is Applied Portfolios to which the IRB Approach is Applied
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Long-term Settlement Transactions
2011
Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero)Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation TechniqueAmounts of CollateralCredit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique
¥ —47—47
Millions of Yen
2012
¥ ————
As of March 31
Note: Credit equivalents are calculated with the current exposure approach.
Fiscal Year 2011
Subject to the Calculation of Credit Risk-Weighted Assets
(1) Outline of securitization exposures during fiscal year 2011, type and status of principal underlying assets
(2) Amounts of securitization exposures held and breakdown of principal underlying assets by type
Securitization Exposures Consolidated
The STB Group holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(11)
below include data related to these securitization transactions.
Date of Securitization:
Type of Underlying Assets:
Type of Transaction:
Aggregate Sum of Underlying Assets:
as of March 31, 2012
Initial Issue Amount:
Preferred Beneficiary Notes
Mezzanine Notes
Subordinated Beneficiary Notes
Date of Redemption:
September 2011
Residential Mortgage Loans
Asset transfer-type securitization transaction
¥ 60,135 million
¥ 56,831 million
¥ 60,135 million
¥ 55,200 million (Aaa(sf)/Moody’s)
¥ 1,920 million (Aa2(sf)/Moody’s)
¥ 540 million (A2(sf)/Moody’s)
¥ 600 million (Ba2(sf)/Moody’s)
¥ 1,875 million (no rating)
March 2048
March 2012
Residential Mortgage Loans
Asset transfer-type securitization transaction
¥ 29,679 million
¥ 29,387 million
¥ 29,679 million
¥ 27,380 million (Aaa(sf)/Moody’s)
¥ 920 million (Aa2(sf)/Moody’s)
¥ 260 million (A2(sf)/Moody’s)
¥ 260 million (Ba2(sf)/Moody’s)
¥ 859 million (no rating)
October 2048
Securitization Exposures Originated by the STB Group
¥ 34,433
34,433
—
—
¥ 34,433
¥ —
—
—
—
¥ —
¥ 255,997
255,997
—
—
¥ 255,997
¥ 255,997
255,997
—
—
¥ 255,997
¥ —
—
—
—
¥ —
Aggregate Sum of Underlying AssetsExposure Amounts
Millions of Yen
SyntheticSecuritizationTransactions
AssetTransfer-TypeSecuritizationTransactions
Off-balanceSheet
Transactions
On-balanceSheet
Transactions
2012
As of March 31
490
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization
exposures held, cumulative total of losses, and breakdown by type of principal underlying assets
2012
Residential Mortgage Loans OthersTotal
¥ 171
—
¥ 171
¥ 21
—
¥ 21
Millions of Yen
Cumulative Total LossesCumulative Total of Underlying
Assets Overdue for Three Months or Longer or in DefaultYear Ended March 31
(6) Amounts equivalent to the increase in capital following securitization and breakdown by type of principal underlying assets
2012
Residential Mortgage Loans OthersTotal
¥ 7,037
—
¥ 7,037
Millions of Yen
As of March 31
(4) Amounts of assets held for the purpose of securitization transactions and breakdown of principal assets by type
Not applicable.
(5) Balance and amounts of required capital of securitization exposures held by risk-weight category
Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
Millions of Yen
Required CapitalBalance
On-balance SheetTransactions
Off-balance SheetTransactions
On-balance SheetTransactions
Off-balance SheetTransactionsAs of March 31
¥ 10,462
—
—
—
3,564
—
6,897
—
—
—
—
—
—
—
¥ 10,462
¥ 34,433
—
—
—
27,535
—
6,897
—
—
—
—
—
—
¥ 34,433
¥ —
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ —
¥ —
—
—
—
—
—
—
—
—
—
—
—
—
—
¥ —
491
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(7) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
(8) Items by type of principal underlying assets of securitization exposures with early redemption clauses
Not applicable.
(9) Application of credit risk mitigation techniques to resecuritization exposures held
Not applicable.
(10) Amounts of gains/losses on sale following securitization transactions recognized during fiscal year 2011 and break-
down by type of principal underlying assets
2012
Residential Mortgage Loans OthersTotal
¥ 6,897
—
¥ 6,897
Millions of Yen
As of March 31
(11) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
Subject to the Calculation of Market Risk Assets
Not applicable.
2012
Residential Mortgage Loans OthersTotal
¥ 3,706
—
¥ 3,706
Millions of Yen
Year Ended March 31
492
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(2) Amounts of securitization exposures held and breakdown of principal underlying assets by type
Aggregate Sum of Underlying Assets
Millions of Yen
SyntheticSecuritizationTransactions
AssetTransfer-TypeSecuritizationTransactions
ExposureAmounts
2011
Residential Mortgage LoansOthers Total
¥ 29,508
—
¥ 29,508
¥ 197,293
—
¥ 197,293
¥ 197,293
—
¥ 197,293
¥ —
—
¥ —
As of March 31
(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization
exposures held, cumulative total of losses, and breakdown by type of principal underlying assets
2011
Residential Mortgage Loans Others Total
¥ 233
—
¥ 233
¥ 158
—
¥ 158
Millions of Yen
Cumulative Total LossesCumulative Total of Underlying
Assets Overdue for Three Months or Longer or in DefaultYear Ended March 31
Fiscal Year 2010
(1) Outline of securitization exposures during fiscal year 2010, type and status of underlying assets
The STB Group holds part of the exposures related to this securitization transaction, and quantitative data in (2)–(9)
below include data related to this securitization transaction.
Date of Securitization:
Type of Underlying Assets:
Aggregate Sum of Underlying Assets: at the time of securitization
as of March 31, 2011
Type of Transaction:
Initial Issue Amount:
Preferred Beneficiary Notes
Subordinated Beneficiary Notes
Date of Redemption:
March 2011
Residential Mortgage Loans
¥ 46,059 million
¥ 44,571 million
Asset transfer-type securitization transaction
¥ 46,059 million
¥ 42,600 million (AAA/S&P, Aaa/Moody’s)
¥ 3,459 million (no rating)
December 2051
September 2010
Residential Mortgage Loans
¥ 11,163 million
¥ 10,693 million
Asset transfer-type securitization transaction
¥ 11,163 million
¥ 10,000 million (AAA/S&P)
¥ 1,163 million (no rating)
January 2046
June 2010
Residential Mortgage Loans
¥ 32,620 million
¥ 29,547 million
Asset transfer-type securitization transaction
¥ 32,620 million
¥ 30,000 million (AAA/S&P, Aaa/Moody’s)
¥ 2,620 million (no rating)
April 2051
493
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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ings,Inc.
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2011
Risk-Weight Category (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
¥ —
—
—
29,220
—
288
¥ 29,508
¥ —
—
—
3,680
—
288
¥ 3,968
Millions of Yen
Balance Required Capital
(4) Balance and amounts of required capital of securitization exposures held by risk-weight category
(5) Amounts equivalent to the increase in capital following securitization and breakdown by type of principal underlying assets
2011
Residential Mortgage Loans OthersTotal
¥ 5,686
—
¥ 5,686
Millions of Yen
As of March 31
As of March 31
(6) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
(7) Items by type of principal underlying assets of securitization exposures with early redemption clauses
Not applicable.
2011
Residential Mortgage Loans OthersTotal
¥ 288
—
¥ 288
Millions of Yen
(9) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
(8) Amounts of gains/losses on sale following securitization transactions recognized during fiscal year 2010 and break-
down by type of principal underlying assets
2011
Residential Mortgage Loans OthersTotal
¥ 5,177
—
¥ 5,177
Millions of Yen
As of March 31
Year Ended March 31
494
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Securitization Exposures Purchased by the STB Group
Fiscal Year 2011
Subject to the Calculation of Credit Risk-Weighted Assets
(1) Amounts of securitization exposures held and breakdown of principal underlying assets by type
(2) Balance and amounts of required capital of securitization exposures held by risk-weight category
2012
Securitization Exposures except Resecuritization ExposuresResidential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on Corporates
Resecuritization ExposuresSecuritization Exposures to Residential Mortgage Loans and
Residential Mortgage Loans as Underlying AssetsSecuritization Exposures to Commercial Real Estate Secured Loans and
Commercial Real Estate Secured Loans as Underlying AssetsSecuritization Exposures for Other Claims on Corporates and
Other Claims on Corporates as Underlying AssetsTotal
¥ 296,706 165,274
24,924 16,552
6,98382,97079,514
19,970
1,061
58,482¥ 376,220
¥ 13,227 749
—10,394
—2,083
—
—
—
—¥ 13,227
Millions of Yen
Exposure Amounts
On-balance SheetTransactions
Off-balance SheetTransactions
Securitization Exposures except Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
¥ 12,409 1,554
451 2,026
505307
7,5634,035
—1,513
—102
—2,420
¥ 16,444
¥ 96 74 22 ———————————
¥ 96
¥ 296,706 230,860
20,041 32,693
4,695852
7,56379,514
—76,093
—999
—2,420
¥ 376,220
¥ 13,227 12,477
749 ———————————
¥ 13,227
Millions of Yen
Required Capital
2012
Balance
On-balance SheetTransactions
Off-balance SheetTransactions
On-balance SheetTransactions
Off-balance SheetTransactions
As of March 31
As of March 31
495
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(3) Amounts of securitization exposures by type of underlying assets deducted from capital under provisions of the
Notification, Article 247
(4) Application of credit risk mitigation techniques to resecuritization exposures held
Not applicable.
(5) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
Subject to the Calculation of Market Risk Assets
Not applicable.
Fiscal Year 2010
(1) Amounts of securitization exposures held and breakdown of principal underlying assets by type
2012
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
Millions of Yen
¥ —
—
—
—
9,983
¥ 9,983
As of March 31
2011
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
¥ 258,361
35,132
45,414
12,206
176,606
¥ 527,721
Millions of Yen
Exposure AmountsAs of March 31
496
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(2) Balance and amounts of required capital of securitization exposures held by risk-weight category
Risk-Weight Category (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
¥ 417,133
41,869
40,828
3,237
12,186
12,464
¥ 527,721
¥ 2,842
930
2,512
418
5,422
12,464
¥ 24,591
Millions of Yen
2011
Balance Required CapitalAs of March 31
(3) Amounts of securitization exposures by type of underlying assets deducted from capital under provisions of the
Notification, Article 247
2011
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
Millions of Yen
¥ —
—
53
—
12,411
¥ 12,464
As of March 31
(4) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
497
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Market Risk Consolidated
As of March 31, 2012Maximum Minimum Mean
(1) Value at Risk (VaR) as of the end of period and maximum, minimum, and mean VaR for the period
• Market risk in fiscal year 2011
¥ 0.7 billion
1.4 billion
0.4 billion
0.7 billion
Trading Account
¥ 152.7 billion
215.5 billion
150.6 billion
169.0 billion
Banking Account
(For the April 2011 - March 2012 period)
As of March 31, 2011Maximum Minimum Mean
• Market risk in fiscal year 2010
¥ 1.0 billion
1.4 billion
0.4 billion
0.8 billion
Trading Account
¥ 223.9 billion
248.3 billion
186.3 billion
215.3 billion
Banking Account
(For the April 2010 - March 2011 period)
(2) Results of back testing and reasons for large downward deviations between actual losses and VaR
• Back testing of the trading account
Fiscal Year 2011 Fiscal Year 2010
VaR Measurement StandardsBanking account Confidence interval: one-tailed 99% Holding period: 21 business days Observation period: 1 yearTrading account Confidence interval: one-tailed 99% Holding period: 1 business day Observation period: 1 year
Pro
fit/L
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Pre
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(Billi
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-1.0
-0.5
1.0
0.5
0.0
1.5
-1.5
Profit/Loss and VaR Scatter Diagram
VaR(Billions of Yen)
(The latest 250 business days including the calculation reference date.)
Pro
fit/L
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Co
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with
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Pre
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Day
(Billi
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-1.0
-0.5
1.0
0.5
0.0
1.5
-1.5
Profit/Loss and VaR Scatter Diagram
VaR(Billions of Yen)
(The latest 250 business days including the calculation reference date.)
0.50.0 1.0 1.5 0.50.0 1.0 1.5
Note: As shown above, for fiscal year 2011 back testing of the trading accounts shows zero instances of losses in excess of VaR.
As of March 31, 2012Maximum Minimum Mean
• Market risk in fiscal year 2011
¥ 1.3 billion
1.3 billion
0.7 billion
0.9 billion
Banking Account
(For the October 2011 - March 2012 period)
(3) End of period Stressed Value at Risk and maximum, minimum and mean of Stressed Value at Risk for the period
498
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Capital Subscriptions or Equity Exposures in the Banking Account Consolidated
*1. Figures for available-for-sale securities include only Japanese and foreign stocks.*2. Consolidated statements of income show gains/losses on stock holdings and related write-offs.
Note: Amounts by portfolio category show exposures subject to the calculation of credit risk-weighted assets.
2011
Consolidated Book and Fair Values*1
Listed Shares Exposures Capital Subscriptions or Equity Exposures Other than Above
Amounts of Gains/Losses on Sales and Write-offs of Capital Subscriptions or Equity Exposures*2
Amounts of Unrealized Gains/Losses Recognizedin the Consolidated Balance Sheets and not Recognizedin the Consolidated Statements of Income
Amounts of Unrealized Gains/Losses not Recognizedin the Consolidated Balance Sheets and Statements of Income
Amounts by Portfolio CategoryStockholdings Portfolios Adopting the Market-based Approach Portfolios Adopting the PD/LGD Approach
¥ 663,532
426,506
56,559
180,466
Millions of Yen
2012
¥ 615,059
387,434
44,672
182,952
As of March 31
As of March 31
499
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Exposures Held in Funds as Credit Risk-Weighted Assets Consolidated
Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the STB Group Regarding Interest Rate Risk in the Banking Account Consolidated
Overall Amounts of Interest Rate Risk Japanese Yen Interest Rates U.S. Dollar Interest Rates Other Interest Rates
Outlier Ratios
• Outlier ratios
20112012
Millions of Yen
¥ 65,591
—
63,187
2,403
3.3%
¥ 7,321
52
4,995
2,273
0.4%
Notes: 1. STB’s interest rate fluctuation scenario assumes an interest rate shock consisting of the 1st and 99th percentile of the fluctuation range measured for a one year hold-ing period and a minimum observation period of five years.
2. Our risk measurement method uses the interest rate sensitivity approach. Core deposits are defined as the lowest of the following three items, as an upper limit, fora five-year maturity (an average remaining term of 2.5 years): 1) the lowest balance of deposits in the past five years, 2) the balance after deducting the maximumannual outflow of deposits in the past five years from the current balance of deposits, or 3) the amount equivalent to 50% of the current balance of deposits.
As of March 31
Note: Exposures subject to the calculation of credit risk-weighted assets are shown.
2011
Aggregate Sum of Exposures Held in Funds Look-through Approach Simple Majority Formula Investment Criteria Formula Internal Model Approach Probability Approach Others
¥ 170,739
118,329
36,638
—
—
13,086
2,685
Millions of Yen
2012
¥ 217,140
162,307
38,136
—
—
14,950
1,746
As of March 31
500
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Capital Adequacy Ratio Non-consolidated
*1. As of March 31, 2012, the amount of noncumulative perpetual preferred shares which are included in Tier I was ¥109,000 million. The column for “Capital Stock—Noncumulative PerpetualPreferred Shares” indicates the amount which has been included in capital stock.
*2. As of March 31, 2012, deferred tax assets totaled ¥32,583 million in net terms. The upper limit on the inclusion of deferred tax assets in capital was ¥268,768 million.*3. Listed in the Notification, Article 17, Paragraph 2, i.e. stocks and other securities with high probability of redemptions through such measures as attachment of step-up interest rate clauses
(including noncumulative preferred securities issued by overseas special purpose companies).*4. Debt capital listed in the Notification, Article 18, Paragraph 1, Item 4 that have all of the characteristics listed below:
(1) Paid-up debts unsecured and subordinate to other debts(2) Not redeemable except for certain cases(3) Used for offsetting of loss while continuing business(4) Allowed to defer interest payment obligations
*5. Listed in the Notification, Article 18, Paragraph 1, Items 5 and 6. However, subordinated term debts are limited to those with an original maturity of over five years.*6. Listed in the Notification, Article 20, Paragraph 1, Items 1 through 5, and include amounts equivalent to intentional holdings of other financial institutions’ capital funding means.*7. STB received an external audit by KPMG AZSA LLC of the calculation of the non-consolidated BIS capital adequacy ratio in line with “Agreed Upon Methods for the Implementation of Capital
Adequacy Ratio Audits” (Pronouncement 30 of the Japanese Institute of Certified Public Accountants, Bank Auditing Committee, March 29, 2011). The external audit is not part of the accountingaudit of the non-consolidated financial statements but was conducted as part of the internal risk management framework concerning the calculation of the non-consolidated BIS capital adequacyratio under agreed-upon examination procedures and is a report of the results to STB. It thus does not represent the opinion of the external auditor regarding the non-consolidated BIS capitaladequacy ratio itself or parts of internal control which concern the ratio.
Constituents of Capital (Non-consolidated BIS Capital Adequacy Ratio)
2011
Tier ICapital Stock
Noncumulative Perpetual Preferred Shares*1
Deposit for Subscriptions to Shares Legal Capital Surplus Other Capital Surplus Legal Retained Earnings Other Retained Earnings Others Treasury Stock (Deduction) Deposit for Subscriptions to Treasury Stock Expected Distributed Amount (Deduction) Net Unrealized Loss on Available-for-Sale Securities (Deduction) Subscription Rights to Shares Business Rights Equivalents (Deduction) Goodwill Equivalents (Deduction) Equivalent to Intangible Fixed Assets Recorded through Business Combination (Deduction) Equivalent to Capital Increase Due to Securitization Transactions (Deduction) Equivalent to 50% of the Excess of Expected Loss over Qualifying Allowance (Deduction) Total Tier I before Deduction of Deferred Tax Assets (Aggregate Sum of Items Above) Deducted Amount of Deferred Tax Assets (Deduction)*2
Total (A) Noncumulative Preferred Securities Attached with Step-up Interest Rate Clause*3 (a) Noncumulative Preferred Securities Issued by Overseas Special Purpose Companies
Tier II45% of Net Unrealized Gain on Available-for-Sale Securities 45% of Revaluation Reserve for Land General Allowance for Loan Losses Excess of Qualifying Allowance over Expected Loss Debt Capital
Perpetual Subordinated Debt*4
Subordinated Term Debt and Fixed-term Preferred Shares*5
Total Included in Capital (B)
Tier IIISubordinated Short-term Debt Included in Capital (C)
Items for DeductionItems for Deduction*6 (D)
Total Qualifying Capital((A) + (B) + (C) - (D)) (E)
Non-consolidated BIS Capital Adequacy Ratio = E/M x 100 (%) Tier I Capital Ratio = A/M x 100 (%) Ratio of Noncumulative Preferred Securities with
Step-up Interest Rate Clauses to Tier I Capital = a/A x 100 (%)
¥ 342,03754,500
—242,55554,49552,929
446,186279,999
482—
15,701—————
4,96613,439
1,383,614—
1,383,614156,000280,000
2,016448
——
628,236185,307442,928630,700630,700
——
89,143
1,925,171
9,326,0731,365,075
10,691,148116,449
9,315470,44637,635
——
¥ 11,278,04417.0712.26
11.27
Millions of Yen
2012
¥ 342,03754,500
—242,555
54,01358,872
465,244279,999
——
67,377—————
6,40625,093
1,343,843—
1,343,843156,000280,000
11,454(217)
——
618,449136,500481,949629,686629,686
——
92,836
1,880,693
9,104,0141,385,874
10,489,889205,715
16,457484,370
38,749——
¥ 11,179,97516.8212.02
11.6
As of March 31
501
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Outline of Capital Funding Instruments
An outline of capital funding instruments for the BIS capital adequacy ratio (non-consolidated) is as follows:
Shareholders’ equity listed in the Notification, Article 17, Paragraph 1, and STB’s standard stock with no limitations on holders’ rights
Preferred securities listed in the Notification, Article 17, Paragraph 4, which meet all of the conditions below:•Noncumulative perpetual preferred capital•Paid-up securities that are unsecured and subordinate to other debts•Issuance proceeds are made available to STB immediately with no limitations and can be used for offsetting of loss within STB while busi-ness is continued
Instrument included as the debt capital listed in the Notification, Article 18, Paragraph 1, Item 4 that have all of the characteristics below:•Paid-up securities that are unsecured and subordinate to other debts•Not redeemable except for some cases •Used for offsetting of loss within STB while business is continued•Allowed to defer interest payment obligations
Instrument included as debt capital listed in the Notification, Article 18, Paragraph 1, Item 5, but debt is limited to that with an originalmaturity of over five years.
Capital Funding Instruments OutlineCapital
Tier I
Tier II
Common Shares
Shareholders’ equity listed in the Notification, Article 17, Paragraph 1, and is noncumulative perpetual preferred shares which are senior tocommon stock in the payment of dividends and the liquidation distribution of residual assets.Preferred Shares
Preferred Securities
Perpetual Subordinated Debt
Subordinated Term Debt
502
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Details of preferred securities issued by overseas special purpose companies included in “Others” of the Tier I of capital
for non-consolidated BIS capital adequacy ratio calculation are as follows:
1. Issuer STB Preferred Capital 2 (Cayman) Limited STB Preferred Capital 3 (Cayman) Limited STB Preferred Capital 4 (Cayman) Limited STB Preferred Capital 5 (Cayman) Limited
2. Description ofSecurities
Noncumulative Perpetual Preferred Securities Same as on the left Same as on the left Same as on the left
3. RedemptionDate No provisions Same as on the left Same as on the left Same as on the left
5. DividendPayment Date January 25 and July 25 every year Same as on the left Same as on the left Same as on the left
4. VoluntaryRedemption
Redeemable voluntarily in whole or in parton any dividend payment date in January2014 and thereafter by the issuer subject tothe prior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in January2013 and thereafter by the issuer subject tothe prior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in July 2017and thereafter by the issuer subject to theprior approval of applicable regulatoryauthorities
Redeemable voluntarily in whole or in parton any dividend payment date in July 2018and thereafter by the issuer subject to theprior approval of applicable regulatoryauthorities
6. Dividend
<1st year - 5th year >Fixed Rate
<Thereafter>Non Step-up Floating Rate
<1st year - 10th year >Fixed Rate
<Thereafter>Step-up Floating Rate
Series A <1st year - 10th year >
Fixed Rate<Thereafter>
Step-up Floating RateSeries B
<1st year - 10th year >Fixed Rate
<Thereafter>Non Step-up Floating Rate
Same as on the left
7. Issue Amount ¥50 billion ¥50 billion Series A ¥56 billionSeries B ¥54 billion ¥70 billion
8. Issue Date December 18, 2008December 7, 2005 June 24, 2008March 2, 2007
9. Outline ofDividendPayment
Dividends are payable by the issuer withinthe limits of profits at STB available for distri-bution in conformity with the calculation ofpreferred shares of STB. If STB pays divi-dends on its common stock for the prior fis-cal year, then dividends for these preferredshares will, in principle, be paid in entirely forthe applicable fiscal year.
Same as on the left Same as on the left Same as on the left
10. DividendLimitation
Dividends on these preferred securitieswill not be paid if any of certain criteriahave been met. The criteria include thefollowing:When STB did not pay dividends in theprior fiscal year on any class of preferredshares.When STB’s BIS capital adequacy ratio orTier I capital ratio is to decline below theminimum percentages required byJapanese banking regulations.
11. Rights to theResidualAssets
These preferred securities are intendedto provide holders with rights to residualassets that are essentially the same asthose to which holders would be entitledif they had purchased noncumulativenonvoting perpetual preferred sharesissued directly by STB.
Same as on the left
Same as on the left
Same as on the left
Same as on the left
Same as on the left
Same as on the left
503
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(1) Amounts of required capital against credit risk (excluding equity exposures to which the IRB Approach is applied
and exposures held in funds)
(2) Amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is Applied
Capital Adequacy Non-consolidated
2011
Portfolios to which the Standardized Approach is Applied Exposures to Business Units Set for Phased Roll-out Application Exposures Excluded from Application
Portfolios to which the IRB Approach is Applied and Breakdown by Portfolio Corporate Exposures Sovereign Exposures Financial Institution Exposures Residential Mortgage Exposures Qualifying Revolving Retail Exposures Other Retail Exposures Other Exposures*1
Securitization Exposures
¥ 20,544
—
20,544
864,191
634,910
12,362
27,693
46,063
498
10,818
131,844
25,861
Millions of Yen
2012
¥ 19,931
—
19,931
845,479
634,131
11,685
29,734
49,645
367
9,916
109,998
21,795
As of March 31
2011
Equity Exposures PD/LGD Approach Simple Risk-Weight Method of the Market-based Approach Internal Models Method of the Market-based Approach Transitional Measures*1
¥ 70,241
18,975
15,298
—
35,967
Millions of Yen
2012
¥ 64,662
18,614
13,325
—
32,722
As of March 31
Amounts of Required Capital
*1. Other exposures include purchased receivables, unsettled transactions, lease transactions and other assets.*2. The calculation method of the amounts of required capital against credit risk is as follows
Portfolios to which the Standardized Approach is applied: amount of credit risk-weighted assets x 8% + capital deduction amountPortfolios to which the IRB Approach is applied: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amountSecuritization exposures: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount
*1. The amount of credit risk-weighted assets is calculated with a risk-weight of 100%, pursuant to the Notification, Supplementary Rules Article 13.*2. The calculation method of the amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied is as follows
Those applicable to the PD/LGD approach: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount Those applicable to the simple risk-weight method of the market-based approach: (amount of credit risk-weighted assets x 1.06) x 8%Those applicable to the transitional measures: (amount of credit risk-weighted assets x 1.06) x 8%
504
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(4) Amounts of required capital against market risk
(3) Amounts of required capital against credit risk concerning exposures held in funds
2011
Exposures Held in Funds* ¥ 37,459
Millions of Yen
2012
¥ 52,191
As of March 31
2011
Market Risk Amounts of Required Capital by Category under the Standardized Approach
* (Amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount
(5) Amounts of required capital against operational risk
2011
Standardized Approach ¥ 37,635
Millions of Yen
2012
¥ 38,749
As of March 31
(6) Total required capital
2011
Total Required Capital* ¥ 902,243
Millions of Yen
2012
¥ 894,398
As of March 31
* (Total amount of credit risk-weighted assets + market risk equivalents/8% + operational risk equivalents/8%) x 8%
505
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Balance of Exposures Related to Credit Risk and Breakdown by Primary Types
Credit Risk Non-consolidated
Credit Risk Exposures
Millions of Yen
Other Off-balance Sheet
TransactionsSecuritiesLoans, Call Loans,
Deposits, etc.
Exposures ThreeMonths or
Longer Overdueor Exposures in
Default
2012
Japan Outside Japan Total for Regions
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
One Year or Less Over One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations
Average Balance during the Period
Notes: 1. Exposures subject to the calculation of credit risk-weighted assets exclude funds, securitization, other assets and exposures excluded from application.2. “Others” in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities.3. “Average Balance during the Period” is the average of the balance as of March 31, 2011, September 30, 2011, and March 31, 2012.4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor’s cash on deposit with
STB.
As of March 31
¥ 12,233,875
1,352,320
¥ 13,586,196
1,789,394
2,195
6,508
12,620
90,837
432,323
228,483
704,285
930,775
1,651,069
1,662,506
491,544
90,596
2,313,486
3,179,568
¥ 13,586,196
3,599,183
2,773,372
3,030,552
4,183,088
¥ 13,586,196
¥ 13,114,816
¥ 17,219,856
2,313,025
¥ 19,532,881
2,775,023
3,682
6,645
13,802
154,817
487,839
271,885
881,061
1,431,132
2,061,951
1,963,455
546,781
113,745
2,383,412
6,437,645
¥ 19,532,881
5,493,080
3,938,136
3,804,872
6,296,793
¥ 19,532,881
¥ 19,107,774
¥ 3,086,696
420,692
¥ 3,507,389
339,536
1,095
72
—
34,608
29,540
6,166
96,561
141,475
171,559
138,216
8,275
16,872
—
2,523,410
¥ 3,507,389
1,206,275
560,097
438,510
1,302,506
¥ 3,507,389
¥ 3,541,696
¥ 1,680,565
78,352
¥ 1,758,917
621,083
375
—
1,083
28,389
24,501
36,179
62,635
354,621
76,878
154,910
46,032
6,276
69,926
276,023
¥ 1,758,917
627,713
486,355
197,986
446,862
¥ 1,758,917
¥ 1,709,432
DerivativeTransactions
¥ 218,718
461,660
¥ 680,378
25,009
17
65
97
981
1,474
1,055
17,578
4,260
162,444
7,821
928
—
—
458,642
¥ 680,378
59,908
118,311
137,822
364,336
¥ 680,378
¥ 741,828
¥ 172,374
7,050
¥ 179,425
34,175
34
—
—
3,372
—
4,954
950
3,052
77,045
17,769
—
—
10,500
27,570
¥ 179,425
506
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Credit Risk Exposures
Millions of Yen
Other Off-balance Sheet
TransactionsSecuritiesLoans, Call Loans,
Deposits, etc.
Exposures ThreeMonths or
Longer Overdueor Exposures in
Default
2011
Japan Outside Japan Total for Regions
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
One Year or Less Over One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations
Average Balance during the Period
Notes: 1. Exposures subject to the calculation of credit risk-weighted assets exclude funds, securitization, other assets and exposures excluded from application.2. “Others” in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities.3. “Average Balance during the Period” is the average of the balance as of March 31, 2010, September 30, 2010, and March 31, 2011.4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor’s cash on deposit with
STB.
¥ 11,434,291
520,570
¥ 11,954,861
1,793,358
1,841
7,185
12,514
98,650
364,362
206,379
705,041
977,555
1,346,908
1,710,667
516,651
98,652
2,075,679
2,039,414
¥ 11,954,861
3,165,254
2,594,167
2,574,730
3,620,709
¥ 11,954,861
¥ 11,857,516
¥ 16,523,803
2,178,555
¥ 18,702,359
2,716,450
3,810
7,306
15,307
166,815
415,484
233,359
868,363
1,394,040
1,878,332
2,090,326
585,228
136,849
2,155,211
6,035,474
¥ 18,702,359
4,566,957
3,820,982
3,499,876
6,814,543
¥ 18,702,359
¥ 17,985,918
¥ 3,202,108
912,923
¥ 4,115,032
346,681
1,564
32
—
35,151
34,683
4,424
86,324
119,476
182,510
208,927
6,791
20,519
—
3,067,944
¥ 4,115,032
696,623
608,325
459,783
2,350,299
¥ 4,115,032
¥ 3,488,098
¥ 1,624,983
64,275
¥ 1,689,258
548,196
375
13
2,738
31,698
14,752
21,094
55,375
290,276
159,897
161,548
60,517
17,678
79,532
245,563
¥ 1,689,258
653,863
412,523
257,069
365,802
¥ 1,689,258
¥ 1,743,855
DerivativeTransactions
¥ 262,420
680,786
¥ 943,206
28,215
28
75
53
1,315
1,685
1,460
21,622
6,731
189,015
9,183
1,267
—
—
682,550
¥ 943,206
51,216
205,965
208,292
477,732
¥ 943,206
¥ 896,446
¥ 182,841
9,511
¥ 192,353
36,369
—
68
—
4,859
—
15,599
256
6,481
86,020
17,748
—
—
9,411
15,539
¥ 192,353
As of March 31
Balance and Changes of General Allowance for Loan Losses, Specific Allowance for Loan Losses, and Allowance for
Loan Losses from Specified Foreign Country Borrowers
Change2012
General Allowance for Loan Losses ¥ (9,797)
Millions of Yen
Balance
2011
¥ 54,000
Balance
¥ 44,202
(1) General allowance for loan losses
As of March 31
507
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Changes2012
JapanOutside Japan Total for Regions
ManufacturingAgriculture and Forestry FisheriesMining and Quarrying of Stones and Gravel ConstructionElectricity, Gas, Heat Supply and WaterInformation and CommunicationTransport and Postal ActivitiesWholesale and Retail TradeFinance and InsuranceReal EstateGoods Rental and LeasingLocal Public BodiesIndividualsOthers Total for Industry Sectors
¥ 11,098
(75)
11,022
4,466
—
—
—
(10)
(702)
(178)
(4)
135
26
(6,712)
—
—
(27)
14,030
¥ 11,022
Millions of Yen
Balance
2011
¥ 25,279
6,279
31,558
5,768
—
—
—
10
702
1,199
580
—
—
9,404
—
—
1,669
12,223
¥ 31,558
Balance
¥ 36,377
6,204
42,581
10,235
—
—
—
—
—
1,021
575
135
26
2,691
—
—
1,641
26,254
¥ 42,581
(2) Specific allowance for loan losses (breakdown by region, industry sector)
(3) Allowance for loan losses from specified foreign country borrowers
Not applicable as of the end of March 2012 and the end of March 2011.
Amounts of Written-off Loans by Industry Sector
2011
Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others Total for Industry Sectors
¥ 14,818
—
—
—
858
—
—
557
100
—
(32)
—
—
(974)
295
¥ 15,624
Millions of Yen
2012
¥ —
—
—
—
—
—
—
—
219
—
—
—
—
—
67
¥ 286
Years Ended March 31
As of March 31
508
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Balance of Exposures to which the Standardized Approach is Applied after Allowing for the Credit Risk Mitigation Effect by Risk-Weight Category
0% 10% 20% 35% 50% 75%
100% 150%
Capital Deduction
¥ 267,736
—
—
23,243
—
—
—
244,492
—
—
¥ —
—
—
—
—
—
—
—
—
¥ 284,288
—
—
34,472
—
—
—
249,816
—
—
¥ —
—
—
—
—
—
—
—
—
Millions of Yen
Subject to Rating
2012
Subject to Rating
Balance of Exposures to which the Standardized Approach is Applied by Risk-Weight Category
Exposures to which the IRB Approach is Applied
2011
Specialized Lending under the Slotting Criteria High-Volatility Commercial Real Estate Exposures
Maturities of 2.5 Years or Longer Strong 95% Good 120% Satisfactory 140% Weak 250% Default 0%
Maturities of Less than 2.5 Years Strong 70% Good 95% Satisfactory 140% Weak 250% Default 0%
Other Exposures Maturities of 2.5 Years or Longer
Strong 70% Good 90% Satisfactory 115% Weak 250% Default 0%
Maturities of Less than 2.5 Years Strong 50% Good 70% Satisfactory 115% Weak 250% Default 0%
Equity Exposures to which the Simple Risk-Weight Method of the Market-based Approach is Applied 300% 400%
¥ 1,275,372
181,130
117,240
30,688
28,695
57,855
—
—
63,889
5,004
1,208
44,477
—
13,200
¥ 1,094,242
793,987
319,240
233,069
192,369
45,054
4,252
300,255
65,888
124,952
103,435
4,756
1,223
48,700
14,394
¥ 34,306
Millions of Yen
2012
¥ 1,276,477
144,774
120,335
16,926
36,260
60,790
—
6,358
24,439
—
10,437
14,002
—
—
¥ 1,131,702
887,368
297,490
383,215
150,235
42,629
13,797
244,333
40,955
101,914
89,121
7,043
5,298
41,273
7,960
¥ 33,313
As of March 31
As of March 31
509
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Portfolios to which the IRB Approach is Applied
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
(1) Corporate exposures
(2) Sovereign exposures
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.82%
45.09%
43.66%
44.81%
0.37%
11.13%
100.00%
2.66%
48.08%
194.46%
53.78%
¥ 7,122,506
364,748
163,000
¥ 7,650,255
¥ 1,443,453
46,032
2,832
¥ 1,492,318
Millions of Yen
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
44.98%
44.15%
41.77%
44.89%
0.45%
13.14%
100.00%
2.85%
50.85%
194.89%
54.67%
¥ 7,175,462
277,364
176,428
¥ 7,629,255
¥ 1,336,132
24,495
1,742
¥ 1,362,370
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.95%
45.00%
—
44.95%
0.02%
9.68%
—
0.02%
3.68%
184.46%
3.71%
¥ 3,828,074
502
—
¥ 3,828,576
¥ 10,075
156
—
¥ 10,231
Millions of Yen
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
44.99%
45.00%
—
44.99%
0.01%
9.68%
—
0.01%
4.29%
183.78%
4.31%
¥ 3,511,530
310
—
¥ 3,511,840
¥ 21,133
—
—
¥ 21,133
Millions of Yen
As of March 31
2011
Millions of Yen
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
As of March 31
As of March 31
As of March 31
510
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
45.46%
45.00%
—
45.46%
0.08%
7.64%
—
0.08%
20.25%
169.36%
20.28%
¥ 1,199,423
301
—
¥ 1,199,725
¥ 591,906
50
—
¥ 591,956
Millions of Yen
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
45.93%
45.00%
—
45.93%
0.08%
7.64%
—
0.08%
21.42%
255.78%
21.51%
¥ 648,168
314
—
¥ 648,482
¥ 925,652
312
—
¥ 925,964
Millions of Yen
(4) Equity exposures under the PD/LGD Approach
2012
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
0.17%
9.30%
100.00%
0.24%
123.24%
459.60%
124.45%
¥ 182,192
685
74
¥ 182,952
Millions of Yen
BalanceWeightedAverage of PD Value
Risk-WeightWeightedAverage
2011
Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)
(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal
0.17%
12.65%
100.00%
0.54%
125.11%
473.69%
125.36%
¥ 179,489
352
624
¥ 180,466
Millions of Yen
BalanceWeightedAverage of PD Value
Risk-WeightWeightedAverage
As of March 31
As of March 31
As of March 31
As of March 31
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
Risk-WeightWeightedAverage
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
WeightedAverage ofLGD Value
WeightedAverage of PD Value
511
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(5) Residential mortgage exposures, qualifying revolving retail exposures, and other retail exposures
2012
Residential MortgageCurrent Overdue Default
Qualifying Revolving RetailCurrent Overdue Default
Other Retail (consumer)Current Overdue Default
Other Retail (commercial)Current Overdue Default
Total
¥ 2,211,591
11,800
8,724
4,845
—
—
74,826
787
910
78,064
1,362
2,543
¥ 2,395,456
20.80%
337.63%
—
55.57%
—
—
56.87%
151.29%
—
43.16%
81.26%
—
24.26%
42.11%
54.60%
48.74%
100.00%
—
—
50.86%
54.04%
46.73%
46.96%
46.96%
49.85%
42.79%
0.25%
26.87%
100.00%
1.52%
—
—
1.20%
37.48%
100.00%
0.71%
9.12%
100.00%
0.99%
¥ 65,022
74
53
1,322
—
—
2,451
189
812
4,332
203
473
¥ 74,936
¥ 199
—
—
23,820
—
—
5,297
259
188
108
—
—
¥ 29,872
75.00%
—
—
5.55%
—
—
33.40%
61.73%
56.94%
75.00%
—
—
72.74%
Millions of Yen
CCFUndrawnCommitment
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
Risk-WeightWeightedAverage
WeightedAverage ofLGD Value
WeightedAverage of PD Value
2011
Residential MortgageCurrent Overdue Default
Qualifying Revolving RetailCurrent Overdue Default
Other Retail (consumer)Current Overdue Default
Other Retail (commercial)Current Overdue Default
Total
¥ 1,955,742
11,577
7,730
5,403
—
—
93,319
1,026
879
80,770
1,700
1,384
¥ 2,159,533
21.59%
337.63%
—
55.57%
—
—
59.30%
149.35%
—
43.16%
81.26%
—
25.84%
42.38%
54.60%
48.74%
100.00%
—
—
51.19%
53.30%
46.71%
46.96%
46.96%
49.85%
43.26%
0.26%
26.87%
100.00%
1.52%
—
—
1.32%
37.58%
100.00%
0.71%
9.12%
100.00%
0.99%
¥ 71,663
87
52
2,963
—
—
3,705
311
748
5,450
160
382
¥ 85,526
¥ 211
—
—
58,909
—
—
9,282
253
201
49
—
—
¥ 68,908
75.00%
—
—
5.03%
—
—
30.35%
69.48%
53.92%
75.00%
—
—
72.02%
Millions of Yen
As of March 31
As of March 31CCFUndrawn
Commitment
EAD Value
Off-balance SheetAsset Items
On-balance SheetAsset Items
Risk-WeightWeightedAverage
WeightedAverage ofLGD Value
WeightedAverage of PD Value
512
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Actual Credit Losses in the Current Period and Year-on-Year Change for Portfolios to which the IRB Approach is Applied
Note: Of total credit costs, only those that can be identified as stemming from specified asset classes are shown in the table. Accordingly, the reversal resulting from the unifi-cation of calculating method of reserves based on the management integration are not included in the above table.
2012 2011
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
¥ (25,590)
(16)
—
(855)
¥11,810
(16)
2
543
¥10,978
(30)
9
536
¥ (11,440)
(30)
—
(433)
¥ 831
13
(7)
6
Millions of Yen
Change in Actual Credit
LossesActual Credit
Losses ReversalsReversalsActual CreditLosses
Factor Analysis
Actual credit losses in fiscal year 2011 increased by ¥0.8 billion year on year.
This was mainly due to additional posting of allowance for loan losses for some large borrowers in combination with
net reversals of allowances for loan losses etc with regard to the improved credit status of obligors, and so on.
Estimated Credit Losses for Portfolios to which the IRB Approach is Applied
Actual CreditLosses
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
¥ 11,810
(16)
2
543
Millions of Yen
20112012
Estimated CreditLosses
¥ 137,326
188
594
10,973
Years Ended March 31
Years Ended March 31
Notes: 1. Estimated credit losses for fiscal 2010 are the expected loss amount as of March 31, 2011.2. Actual credit losses for fiscal 2011 are the sum of losses for one year ended March 31, 2012.
Actual CreditLosses
Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures
¥ 18,013
(13)
(158)
373
Millions of Yen
20112012
Estimated CreditLosses
¥ 145,543
156
546
11,879
Six Months Ended September 30
Notes: 1. Estimated credit losses for the first half of fiscal 2010 are the expected loss amount as of September 30, 2010.2. Actual credit losses for the first half of fiscal 2011 are the sum of losses for one year ended September 30, 2011.
513
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Derivative Transactions
Counterparty Risk in Derivative and Long-term Settlement Transactions Non-consolidated
Note: Credit equivalents are calculated with the current exposure approach.
2011
Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero) Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique
Foreign Exchange Related Interest Rate Related Credit Derivatives OthersEffect of Mitigating Credit Equivalents Due to Close-out Netting Contracts (Deduction)
Amounts of Collateral Deposits Securities
Credit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique Notional Principal Amounts of Credit Derivatives Subject to the Calculation of Credit Equivalents
Purchase of Protection by Credit Default Swaps Providing Protection by Credit Default Swaps
Notional Principal Amounts of Credit Derivatives Used to Allow for the Effect of Credit Risk Mitigation Technique
¥ 2,515,104
1,168,486
783,021
3,475,411
500
—
3,090,446
215,526
142,536
72,990
952,960
4,701
4,701
—
—
Millions of Yen
2012
¥ 2,778,552
876,486
552,219
3,456,386
—
—
3,132,120
178,962
50,007
128,954
697,524
—
—
—
—
As of March 31
Long-term Settlement Transactions
2011
Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero)Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation TechniqueAmounts of CollateralCredit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique
¥ —47—47
Millions of Yen
2012
¥ ————
As of March 31
Note: Credit equivalents are calculated with the current exposure approach.
515
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
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Fiscal Year 2011
Subject to the Calculation of Credit Risk-Weighted Assets
(1) Outline of securitizations during fiscal year 2011, type and status of principal underlying assets
(2) Amounts of securitization exposures held and breakdown of principal underlying assets by type
Securitization Exposures Non-consolidated
STB holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(11) below
include data related to these securitization transactions.
Securitization Exposures Originated by STB
Date of Securitization:
Type of Underlying Assets:
Type of Transaction:
Aggregate Sum of Underlying Assets:
as of March 31, 2012
Initial Issue Amount:
Preferred Beneficiary Notes
Mezzanine Notes
Subordinated Beneficiary Notes
Date of Redemption:
September 2011
Residential Mortgage Loans
Asset transfer-type securitization transaction
¥ 60,135 million
¥ 56,831 million
¥ 60,135 million
¥ 55,200 million (Aaa(sf)/Moody’s)
¥ 1,920 million (Aa2(sf)/Moody’s)
¥ 540 million (A2(sf)/Moody’s)
¥ 600 million (Ba2(sf)/Moody’s)
¥ 1,875 million (no rating)
March 2048
March 2012
Residential Mortgage Loans
Asset transfer-type securitization transaction
¥ 29,679 million
¥ 29,387 million
¥ 29,679 million
¥ 27,380 million (Aaa(sf)/Moody’s)
¥ 920 million (Aa2(sf)/Moody’s)
¥ 260 million (A2(sf)/Moody’s)
¥ 260 million (Ba2(sf)/Moody’s)
¥ 859 million (no rating)
October 2048
(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization
exposures held, cumulative total of losses, and breakdown by type of principal underlying assets
2012
Residential Mortgage Loans OthersTotal
¥ 171
—
¥ 171
¥ 12
—
¥ 12
Millions of Yen
Cumulative Total LossesCumulative Total of Underlying
Assets Overdue for Three Months or Longer or in DefaultYear Ended March 31
Aggregate Sum of Underlying AssetsExposure Amounts
Millions of Yen
SyntheticSecuritizationTransactions
AssetTransfer-TypeSecuritizationTransactions
Off-balanceSheet
Transactions
On-balanceSheet
Transactions
2012
As of March 31
¥ 29,557
29,557
—
—
¥ 29,557
¥ —
—
—
—
¥ —
¥ 231,441
231,441
—
—
231,441
¥ 231,441
231,441
—
—
231,441
¥ —
—
—
—
¥ —
Securitization Exposures except Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
516
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(4) Amounts of assets held for the purpose of securitization transaction and breakdown of principal assets by type
Not applicable.
(5) Balance and amounts of required capital of securitization exposures held by risk-weight category
¥ 9,158———
2,260—
6,897———————
¥ 9,158
¥ 29,557———
22,659—
6,897———————
¥ 29,557
¥ ——————————————
¥ —
¥ ——————————————
¥ —
(6) Amounts equivalent to the increase in capital following securitization and breakdown by type of principal underlying assets
2012
Residential Mortgage Loans OthersTotal
¥ 6,406
—
¥ 6,406
Millions of Yen
As of March 31
(7) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
2012
Residential Mortgage LoansOthersTotal
¥ 6,897
—
¥ 6,897
Millions of Yen
As of March 31
Millions of Yen
Required Capital
2012
Balance
On-balance SheetTransactions
Off-balance SheetTransactions
On-balance SheetTransactions
Off-balance SheetTransactionsAs of March 31
517
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(8) Items by type of principal underlying assets of securitization exposures with early redemption clauses
Not applicable.
(9) Application of credit risk mitigation techniques to resecuritization exposure held
Not applicable.
(10) Amounts of gains/losses on sale following securitization transactions recognized during fiscal year 2011 and break-
down by type of principal underlying assets
(11) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
Subject to the Calculation of Market Risk Assets
Not applicable.
Fiscal Year 2010
(1) Outline of securitizations during fiscal year 2010, type and status of principal underlying assets
STB holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(9) below
include data related to these securitization transactions.
Date of Securitization:
Type of Underlying Assets:
Aggregate Sum of Underlying Assets: at the time of securitization
as of March 31, 2011
Type of Transaction:
Initial Issue Amount:
Preferred Beneficiary Notes
Subordinated Beneficiary Notes
Date of Redemption:
June 2010
Residential Mortgage Loans
¥ 32,620 million
¥ 29,547 million
Asset transfer-type securitization transaction
¥ 32,620 million
¥ 30,000 million (AAA/S&P, Aaa/Moody’s)
¥ 2,620 million (no rating)
April 2051
March 2011
Residential Mortgage Loans
¥ 46,059 million
¥ 44,571 million
Asset transfer-type securitization transaction
¥ 46,059 million
¥ 42,600 million (AAA/S&P, Aaa/Moody’s)
¥ 3,459 million (no rating)
December 2051
2012
Residential Mortgage Loans OthersTotal
¥ 3,706
—
¥ 3,706
Millions of Yen
Year Ended March 31
518
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(2) Amounts of securitization exposures held and breakdown of principal underlying assets by type
Aggregate Sum of Underlying Assets
Millions of Yen
SyntheticSecuritizationTransactions
AssetTransfer-TypeSecuritizationTransactions
ExposureAmounts
2011
Residential Mortgage Loans OthersTotal
¥ 24,285
—
¥ 24,285
¥ 169,399
—
¥ 169,399
¥ 169,399
—
¥ 169,399
¥ —
—
¥ —
As of March 31
(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization expo-
sures held, cumulative total of losses, and breakdown by type of principal underlying assets
2011
Residential Mortgage Loans OthersTotal
¥ 183
—
¥ 183
¥ 55
—
¥ 55
Millions of Yen
Cumulative Total LossesCumulative Total of Underlying
Assets Overdue for Three Months or Longer or in DefaultYear Ended March 31
2011
Risk-Weight Category (IRB Approach) Less than 20% 20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
¥ —
—
—
23,997
—
288
¥ 24,285
¥ —
—
—
2,273
—
288
¥ 2,561
Millions of Yen
Balance Required Capital
(4) Balance and amounts of required capital of securitization exposures held by risk-weight category
(5) Amounts equivalent to the increase in capital following securitization and breakdown by type of principal underlying assets
2011
Residential Mortgage Loans OthersTotal
¥ 4,966
—
¥ 4,966
Millions of Yen
As of March 31
As of March 31
Securitization Exposures except Resecuritization ExposuresResidential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on Corporates
Resecuritization ExposuresSecuritization Exposures to Residential Mortgage Loans and
Residential Mortgage Loans as Underlying AssetsSecuritization Exposures to Commercial Real Estate Secured Loans and
Commercial Real Estate Secured Loans as Underlying AssetsSecuritization Exposures for Other Claims on Corporates and
Other Claims on Corporates as Underlying AssetsTotal
519
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
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(6) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
(7) Items by type of principal underlying assets of securitization exposures with early redemption clauses
Not applicable.
2011
Residential Mortgage Loans OthersTotal
¥ 288
—
¥ 288
Millions of Yen
(9) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
Securitization Exposures Purchased by STB
Fiscal Year 2011
Subject to the Calculation of Credit Risk-Weighted Assets
(1) Amounts of securitization exposures held and breakdown of principal underlying assets by type
(8) Amounts of gains/losses on sale following securitization transactions recognized during fiscal year 2010 and break-
down by type of principal underlying assets
2011
Residential Mortgage Loans OthersTotal
¥ 4,805
—
¥ 4,805
Millions of Yen
As of March 31
Year Ended March 31
¥ 295,004165,274
24,92416,552
6,98381,26879,514
19,970
1,061
58,482¥ 374,518
¥ 13,227749
—10,394
—2,083
—
—
—
—¥ 13,227
2012
Millions of Yen
Exposure Amounts
On-balance SheetTransactions
Off-balance SheetTransactionsAs of March 31
520
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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(2) Balance and amounts of required capital of securitization exposures held by risk-weight category
(3) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
(4) Application of credit risk mitigation techniques to resecuritization exposures held
Not applicable.
(5) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to secu-
ritization exposures
Not applicable.
Subject to the Calculation of Market Risk Assets
Not applicable.
2012
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
Millions of Yen
¥ —
—
—
—
8,280
¥ 8,280
As of March 31
Securitization Exposures except Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
Millions of Yen
Required Capital
2012
Balance
On-balance SheetTransactions
Off-balance SheetTransactions
On-balance SheetTransactions
Off-balance SheetTransactionsAs of March 31
¥ 10,7061,554
4512,026
505307
5,8604,035
—1,513
—102
—2,420
¥ 14,742
¥ 967422———————————
¥ 96
¥ 295,004230,860
20,04132,693
4,695852
5,86079,514
—76,093
—999
—2,420
¥ 374,518
¥ 13,22712,477
749———————————
¥ 13,227
521
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
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Fiscal Year 2010
(1) Amounts of securitization exposures held and breakdown of principal underlying assets by type
2011
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
¥ 258,361
35,132
45,414
12,206
175,315
¥ 526,429
Millions of Yen
Exposure AmountsAs of March 31
(2) Balance and amounts of required capital of securitization exposures held by risk-weight category
Risk-Weight Category (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction
Total
¥ 417,133
41,869
40,828
3,237
12,186
11,173
¥ 526,429
¥ 2,842
930
2,512
418
5,422
11,173
¥ 23,299
Millions of Yen
2011
Balance Required CapitalAs of March 31
(3) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions
of the Notification, Article 247
2011
Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal
Millions of Yen
¥ —
—
53
—
11,119
¥ 11,172
As of March 31
(4) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to
securitization exposures
Not applicable.
522
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Market Risk Non-consolidated
As of March 31, 2012Maximum Minimum Mean
(1) Value at Risk (VaR) as of the end of period and maximum, minimum, and mean VaR for the period
• Market risk in fiscal year 2011
¥ 0.7 billion
1.4 billion
0.4 billion
0.7 billion
Trading Account
¥ 151.2 billion
212.8 billion
148.6 billion
167.0 billion
Banking Account
(For the April 2011 - March 2012 period)
As of March 31, 2011Maximum Minimum Mean
• Market risk in fiscal year 2010
¥ 1.0 billion
1.4 billion
0.4 billion
0.8 billion
Trading Account
¥ 221.2 billion
246.2 billion
184.6 billion
213.2 billion
Banking Account
(For the April 2010 - March 2011 period)
(2) Results of back testing and reasons for large downward deviations between actual losses and VaR
• Back testing of the trading account
Fiscal Year 2011 Fiscal Year 2010
VaR Measurement StandardsBanking account Confidence interval: one-tailed 99% Holding period: 21 business days Observation period: 1 yearTrading account Confidence interval: one-tailed 99% Holding period: 1 business day Observation period: 1 year
Pro
fit/L
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Co
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with
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Pre
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Day
(Billi
ons
of Y
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-1.0
-0.5
1.0
0.5
0.0
1.5
-1.5
Profit/Loss and VaR Scatter Diagram
VaR(Billions of Yen)
(The latest 250 business days including the calculation reference date.)
Pro
fit/L
oss
Co
mp
ared
with
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Pre
ced
ing
Day
(Billi
ons
of Y
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-1.0
-0.5
1.0
0.5
0.0
1.5
-1.5
Profit/Loss and VaR Scatter Diagram
VaR(Billions of Yen)
(The latest 250 business days including the calculation reference date.)
0.50.0 1.0 1.5 0.50.0 1.0 1.5
Note: As shown above, for fiscal year 2011 back testing of the trading accounts shows zero instances of losses in excess of VaR.
As of March 31, 2012Maximum Minimum Mean
• Market risk in fiscal year 2011
¥ 1.3 billion
1.3 billion
0.7 billion
0.9 billion
Banking Account
(For the October 2011 - March 2012 period)
(3) End of period Stressed Value at Risk and maximum, minimum and mean of Stressed Value at Risk for the period
523
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
FinancialData/
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Capital Subscriptions or Equity Exposures in the Banking Account Non-consolidated
*1. Figures for available-for-sale securities include only Japanese and foreign stocks.*2. Non-consolidated statements of income show gains/losses on stockholdings and related write-offs.
Note: Amounts by portfolio category show exposures subject to the calculation of credit risk-weighted assets.
2011
Non-consolidated Book and Fair Values*1
Listed Shares Exposures Capital Subscription or Equity Exposures Other than Above
Amounts of Gains/Losses on Sales and Write-offs of Capital Subscriptions or Equity Exposures*2
Amounts of Unrealized Gains/Losses Recognized in the Non-consolidated Balance Sheets and not Recognized in the Non-consolidated Statements of Income
Amounts of Unrealized Gains/Losses not Recognizedin the Non-consolidated Balance Sheets and Statements of Income
Amounts by Portfolio CategoryStockholdingsPortfolios Adopting the Market-based Approach Portfolios Adopting the PD/LGD Approach
¥ 653,259
424,091
48,700
180,466
Millions of Yen
2012
¥ 610,061
385,835
41,273
182,952
As of March 31
As of March 31
524
Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.
Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report
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Exposures Held in Funds as Credit Risk-Weighted Assets Non-consolidated
Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by STB Regarding Interest Rate Risk in the Banking Account Non-consolidated
Overall Amounts of Interest Rate Risk Japanese Yen Interest Rates U.S. Dollar Interest Rates Other Interest Rates
Outlier Ratios
• Outlier ratios
20112012
Millions of Yen
¥ 65,508
—
63,104
2,403
3.3%
¥ 15,675
8,569
4,832
2,273
0.8%
Notes: 1. STB’s interest rate fluctuation scenario assumes an interest rate shock consisting of the 1st and 99th percentile of the fluctuation range measured for a one year hold-ing period and a minimum observation period of five years.
2. Our risk measurement method uses the interest rate sensitivity approach. Core deposits are defined as the lowest of the following three items, as an upper limit, fora five-year maturity (an average remaining term of 2.5 years): 1) the lowest balance of deposits in the past five years, 2) the balance after deducting the maximumannual outflow of deposits in the past five years from the current balance of deposits, or 3) the amount equivalent to 50% of the current balance of deposits.
As of March 31
Note: Exposures subject to the calculation of credit risk-weighted assets are shown.
2011
Aggregate Sum of Exposures Held in Funds Look-through Approach Simple Majority Formula Investment Criteria Formula Internal Model Approach Probability Approach Others