1 Basel II Data (MUFG, Consolidated) Scope of Consolidation 2 Composition of Equity Capital 3 Capital Adequacy 4 Credit Risk 6 Credit Risk Mitigation 20 Derivative Transactions and Long Settlement Transactions 21 Securitization Exposures 22 Market Risk 28 Equity Exposures in Banking Book 30 Exposures Relating to Funds 31 Interest Rate Risk in the Banking Book (IRRBB) 32 Mitsubishi UFJ Financial Group Basel II Disclosure Interim Fiscal 2010
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Mitsubishi UFJ Financial Group Basel II Disclosure · 6 Basel II Disclosure Interim Fiscal 2010 Credit Risk Credit risk exposures and default exposures (By approach) Billions of yen
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1
Basel II Data (MUFG, Consolidated)
Scope of Consolidation 2
Composition of Equity Capital 3
Capital Adequacy 4
Credit Risk 6
Credit Risk Mitigation 20
Derivative Transactions and Long Settlement Transactions 21
Securitization Exposures 22
Market Risk 28
Equity Exposures in Banking Book 30
Exposures Relating to Funds 31
Interest Rate Risk in the Banking Book (IRRBB) 32
Mitsubishi UFJ Financial GroupBasel II DisclosureInterim Fiscal 2010
2
Basel II Disclosure Interim Fiscal 2010
In accordance with the provisions of Article 52-25 of the Banking Law of Japan, Mitsubishi UFJ Financial Group (MUFG) adopts the
“First Standard” to calculate its capital adequacy ratio based on formulas contained in the standards for the consolidated capital
adequacy ratio of bank holding companies (Notification of the Financial Services Agency No. 20, 2006; referred to hereinafter as the
“FSA Consolidated Capital Adequacy Notification”) to assess capital adequacy in light of the assets we own on a consolidated basis.
With regard to the internal controls structure governing calculation of the consolidated capital adequacy ratio, MUFG received a
report from Deloitte Touche Tohmatsu LLC (DTT) which conducted certain procedures as an independent auditing firm. The proce-
dures that were agreed upon between MUFG and DTT were conducted in accordance with the Japanese Institute of Certified Public
Accountants (JICPA) Industry Audit Committee Report No. 30. The procedures were not conducted based on “generally accepted
auditing principles,” and we did not receive any audit opinion with regard to our internal controls structure or the related consoli-
dated capital adequacy ratio.
Scope of Consolidation
Companies that are deficient in regulatory capital and total regulatory capital deficiencies
Names of any companies qualifying for
capital deductions under the provisions
of Paragraph 1.2 (a)–(c) of Article 8, or
Paragraph 1.2 (a)–(c) of Article 20, of the
FSA Consolidated Capital Adequacy
Notification that are deficient in
regulatory capital, and corresponding
total regulatory capital deficiencies
Not applicable as of September 30, 2009 and 2010
3
Basel II Disclosure Interim Fiscal 2010
Composition of Equity Capital
Capital structure Billions of yen
September 30, 2009 September 30, 2010
Tier 1 (core) capital (A) 8,894.3 10,194.1
Capital stock 1,620.8 2,137.4
Stock subscription advances — —
Capital surplus 1,897.9 2,174.2
Retained earnings 4,238.2 4,666.1
Treasury stock (5.9) (6.4)
Treasury stock subscription advances — —
Planned distribution (81.8) (93.8)
Net unrealized losses on securities available for sale — —
Wholesale and retail 9,554.7 786.5 913.2 12,113.6 428.2
Construction 1,780.7 181.0 33.7 2,091.6 104.1
Finance and insurance 22,847.5 1,332.2 3,933.4 32,215.8 76.7
Real estate 11,178.0 473.9 102.3 11,852.6 273.8
Services 6,322.1 476.7 272.0 7,195.6 255.1
Transport 4,336.1 264.0 294.9 5,230.7 124.0
Individuals 24,239.1 — 0.2 24,993.3 887.3
Governments and
local authorities 14,557.0 54,765.7 55.1 71,177.6 0.1
Others 14,770.4 2,425.1 665.1 29,019.9 435.5
Total 125,564.8 62,133.5 7,025.3 216,811.9 2,925.5
Notes: 1. Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any
securitization exposures or exposures relating to funds.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. Figures correspond to exposures as of the period-end where the amount of the credit risk-weighted asset is computed assuming
default in cases subject to the IRB Approaches, and exposures where the amount of the credit risk-weighted asset is computed
assuming past-due loan exposure in cases subject to the Standardized Approach. Exposures applicable to the phased rollout of
the IRB Approach are treated in accordance with the IRB Approach. Figures do not include any securitization exposures or
exposures relating to funds.
4. Exposures held by certain subsidiaries whose credit risk weighted assets are considered minor relative to the overall total are
included in the “Others” category.
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Basel II Disclosure Interim Fiscal 2010
(By residual contractual maturity) Billions of yen
September 30, 2009
Credit risk exposures (Note 1)
Loans, etc. (Note 2) Debt securities OTC derivatives Total
Due in 1 year or less 42,200.9 14,597.4 840.4 63,430.4
Due over 1 year to 3 years 19,758.0 9,634.5 1,729.2 31,190.4
Due over 3 years to 5 years 12,446.4 13,283.7 1,362.3 27,096.0
Due over 5 years to 7 years 4,561.1 1,325.2 335.7 6,228.1
Due over 7 years 15,854.2 8,418.5 712.7 24,985.5
Others (Note 3) 41,512.1 1,724.2 1,774.5 63,049.3
Total 136,332.8 48,983.6 6,755.1 215,979.9
Billions of yen
September 30, 2010
Credit risk exposures (Note 1)
Loans, etc. (Note 2) Debt securities OTC derivatives Total
Due in 1 year or less 36,872.0 12,426.3 869.1 56,023.2
Due over 1 year to 3 years 17,990.0 14,702.6 1,758.6 34,506.2
Due over 3 years to 5 years 10,416.2 21,415.6 1,203.0 33,038.4
Due over 5 years to 7 years 4,351.3 1,938.1 394.6 6,684.5
Due over 7 years 14,157.6 8,930.6 470.7 23,559.1
Others (Note 3) 41,777.5 2,720.2 2,329.1 63,000.1
Total 125,564.8 62,133.5 7,025.3 216,811.9
Notes: 1. Figures are without taking into account the effects of credit risk mitigation techniques. Furthermore, figures do not include any
securitization exposures or exposures relating to funds.
2. Loans, etc., include loans, commitments and other non-derivative off balance sheet exposures.
3. The “Others” category includes exposures of indeterminate maturity, etc. Exposures held by certain subsidiaries whose credit risk
weighted assets are considered minor relative to the overall total are included in the “Others” category.
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Basel II Disclosure Interim Fiscal 2010
General allowance for credit losses, specific allowance for credit losses and allowance for loans to specific foreign borrowers
(Balances by geographic area) Millions of yen
September 30, 2009 Against March 31, 2009 September 30, 2010 Against March 31, 2010
General allowance for
credit losses 819,312 (18,888) 763,299 (66,723)
Specific allowance for
credit losses 434,143 88,214 464,747 (42,339)
Domestic 388,696 79,321 368,567 (47,574)
Foreign 45,447 8,892 96,179 5,234
Allowance for loans to
specific foreign borrowers 955 (180) 755 (56)
Total 1,254,412 69,145 1,228,802 (109,119)
(Balances by type of industry) Millions of yen
September 30, 2009 Against March 31, 2009 September 30, 2010 Against March 31, 2010
General allowance for
credit losses 819,312 (18,888) 763,299 (66,723)
Specific allowance for
credit losses 434,143 88,214 464,747 (42,339)
Manufacturing 23,695 (1,329) 44,246 1,909
Wholesale and retail 34,829 377 50,699 10,267
Construction 6,577 (11,697) 10,828 5,173
Finance and insurance 11,410 (5,972) 20,553 7,550
Real estate 39,135 (2,073) 22,891 (3,176)
Services 36,365 (5,189) 30,949 (5,324)
Transport 59,198 56,555 16,861 (48,241)
Individuals 9,022 (749) 61,906 (11,267)
Governments and local
authorities 5 (0) 5 (0)
Others 213,904 58,295 205,805 769
Allowance for loans to
specific foreign borrowers 955 (180) 755 (56)
Total 1,254,412 69,145 1,228,802 (109,119)
Notes: 1. Although the specific allowance for credit losses does not include the allowance relating to any securitization exposures and
exposures relating to funds, the allowance relating to these exposures is not excluded from both the general allowance for credit
losses and the allowance for loans to specific foreign borrowers, owing to the fact that MUFG does not manage provisioning with
respect to each asset class based on Basel II.
2. Industry classifications apply primarily to allowances related to exposures held by the Bank of Tokyo-Mitsubishi UFJ and Mitsubishi
UFJ Trust and Banking (both on a non-consolidated basis). The bulk of provisions relating to exposures held by other subsidiaries
are included in the “Others” category.
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Basel II Disclosure Interim Fiscal 2010
Loan charge-offs
(By type of industry) Millions of yen
FY2009 H1 FY2010 H1
Manufacturing 22,542 11,816
Wholesale and retail 30,919 18,057
Construction 9,604 3,605
Finance and insurance 20,218 66
Real estate 23,395 6,110
Services 15,166 8,451
Transport 6,317 3,698
Individuals 2,563 30,823
Governments and local authorities — —
Others 9,958 23,461
Total 140,684 106,090
Note: Figures do not include loan charge-offs related to securitization exposures or exposures relating to funds.
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Basel II Disclosure Interim Fiscal 2010
Balances by risk weight category of exposures under the Standardized Approach Billions of yen
September 30, 2009 September 30, 2010
Including: Balances for which risk weights
are determined by external rating
Including: Balances for which risk weights
are determined by external rating
Risk weight: 0% 1,882.3 498.9 1,579.6 833.7
Risk weight: 10% 286.4 — 180.6 —
Risk weight: 20% 2,320.8 1,057.0 5,215.8 3,460.3
Risk weight: 35% 814.0 — 1,425.5 —
Risk weight: 50% 215.5 211.6 318.4 317.1
Risk weight: 75% 1,961.3 — 1,367.5 —
Risk weight: 100% 4,929.5 13.2 8,500.1 19.3
Risk weight: 150% 81.7 0.0 94.0 0.0
Capital deductions 7.0 — 6.1 —
Others (Note 3) 6.7 — 7.8 —
Total 12,505.7 1,780.9 18,695.9 4,630.6
Notes: 1. Figures are taking into account the effects of credit risk mitigation techniques.
2. Figures do not contain any securitization exposures.
3. “Others” includes investment funds leveraged by debt loans, etc., for which the weighted average risk weight was 262% as of
September 30, 2009 and 244% as of September 30, 2010.
(Reference: Balances by risk weight category of exposures which are applicable to the Former Notification) Billions of yen
September 30, 2009 September 30, 2010
Risk weight: 0% 878.2 —
Risk weight: 10% — —
Risk weight: 20% 1,017.1 —
Risk weight: 50% 2,403.2 —
Risk weight: 100% 7,353.5 —
Total 11,652.1 —
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Basel II Disclosure Interim Fiscal 2010
Exposures subject to the IRB Approach: specialized lending exposures subject to supervisory slotting criteria and equity exposures subject to the Market-Based Approach (simple risk weight method) Billions of yen
September 30, 2009 September 30, 2010
Specialized lending exposures subject to
supervisory slotting criteria 2,128.0 612.8
Risk weight: 50% 71.1 55.7
Risk weight: 70% 550.6 211.9
Risk weight: 90% 810.0 128.8
Risk weight: 95% 17.0 24.5
Risk weight: 115% 407.5 68.6
Risk weight: 120% 11.4 8.6
Risk weight: 140% 10.4 —
Risk weight: 250% 209.9 112.6
Risk weight: 0% 39.7 1.9
Equity exposures subject to the Market-Based Approach
(simple risk weight method) 346.7 285.9
Risk weight: 300% 94.9 54.7
Risk weight: 400% 251.8 231.1
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Basel II Disclosure Interim Fiscal 2010
Exposures subject to the IRB Approach: corporate exposures Billions of yen
Total as an originator 23,592.9 — 516.7 594.1 763.0
Notes: 1. The amount of underlying assets relating to the sponsor of ABCP programs includes underlying assets related to ABCP programs
sponsored by multiple financial institutions, including certain consolidated subsidiaries of MUFG.
2. The amount of underlying assets refers only to those cases in which the securitization exposures associated with a securitization
conducted during this period was wholly transferred to third parties.
3. Figures show cumulative totals for this period of underlying assets either in default or contractually past due 3 months or more
arising from securitization transactions in cases where the securitization exposures associated with a transaction conducted
during this period was wholly transferred to third parties, or where no exposure was retained at the end of this period from a
securitization conducted during this period due to related maturity.
4. Losses with traditional or synthetic securitizations are based on the projected accounting losses for holding the underlying assets
without conducting the relevant securitization. With the sponsor of ABCP programs, since it is extremely rare for such schemes to
result in losses on any retained securitization exposure, it is difficult to obtain generally relevant information relating to losses as
based on certain definitions. These figures therefore aggregate cases where actual economic losses have been recognized with
cases where the loss has been valued on the same basis as the underlying defaulted assets. Losses on underlying assets relating to
the sponsor of ABCP programs differ from losses incurred by MUFG.
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Basel II Disclosure Interim Fiscal 2010
Information on underlying assets (continued) Billions of yen
FY2009 H1 FY2010 H1
Cumulative amount of underlying assets
securitized during the period
Recognized gains or losses
in this period arising from securitization
transactions
Cumulative amount of underlying assets
securitized during the period
Recognized gains or losses
in this period arising from securitization
transactions
Traditional securitizations
(asset transfer type) 54.9 2.7 — —
Residential mortgage 54.9 2.7 — —
Apartment loan — — — —
Credit card receivables — — — —
Other assets — — — —
Synthetic securitizations — / — /
Residential mortgage — / — /
Apartment loan — / — /
Credit card receivables — / — /
Other assets — / — /
Sponsor of asset-backed
commercial paper (ABCP)
program 50,683.8 / 47,280.1 /
Residential mortgage — / — /
Apartment loan — / — /
Credit card receivables 21,638.2 / 16,410.7 /
Account receivables 28,577.7 / 30,223.0 /
Leasing receivables 200.2 / 79.5 /
Other assets 267.6 / 566.7 /
Total as an originator 50,738.8 2.7 47,280.1 —
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Basel II Disclosure Interim Fiscal 2010
Information on securitization exposures retained (By type of underlying asset) Billions of yen
September 30, 2009
Amount of securitization
exposures
Amount of securitization exposures that have been
deducted from Tier 1 capital
(Amount equivalent to increase in capital) (Note 1)
Capital deductions related to
securitization exposures (Note 2)
Total as an originator 4,797.3 22.3 20.9
Traditional securitizations (asset transfer type) 830.5 22.3 16.3
Residential mortgage 504.5 22.3 0.0
Apartment loan 209.6 — —
Credit card receivables — — —
Other assets 116.2 — 16.2
Synthetic securitizations 404.4 — —
Residential mortgage — — —
Apartment loan — — —
Credit card receivables — — —
Other assets 404.4 — —
Sponsor of asset-backed commercial paper (ABCP) program 3,562.4 — 4.5
Residential mortgage — — —
Apartment loan — — —
Credit card receivables 710.4 — 4.5
Account receivables 1,348.8 — —
Leasing receivables 942.4 — —
Other assets 560.6 — —
As an investor 2,666.7 / 31.2
Residential mortgage 808.6 / 12.9
Apartment loan 3.3 / —
Credit card receivables 215.9 / —
Corporate loans 1,272.0 / 5.4
Other assets 366.7 / 12.8
Notes: 1. The amount of securitization exposures that have been deducted from Tier 1 capital counts as Tier 1 capital deductions in line
with Article 5 of the FSA Consolidated Capital Adequacy Notification, and includes any gains on disposal of the underlying assets
relating to the securitization.
2. Figures listed refer to capital deductions as stipulated in Article 225 of the FSA Consolidated Capital Adequacy Notification.
Securitization exposures qualifying as capital deductions include cases where the credit risk-weighted assets computed using the
Supervisory Formula exceed 1,250% or where a rating is lower than a certain threshold when calculating credit risk-weighted
assets under the Ratings-Based Approach.
26
Basel II Disclosure Interim Fiscal 2010
Information on securitization exposures retained (By type of underlying asset) (continued) Billions of yen
September 30, 2010
Amount of securitization
exposures
Amount of securitization exposures that have been
deducted from Tier 1 capital
(Amount equivalent to increase in capital) (Note 1)
Capital deductions related to
securitization exposures (Note 2)
Total as an originator 4,149.3 17.7 15.9
Traditional securitizations (asset transfer type) 750.6 17.7 15.9
Residential mortgage 504.1 17.7 5.0
Apartment loan 194.8 — —
Credit card receivables — — —
Other assets 51.6 — 10.9
Synthetic securitizations 332.6 — —
Residential mortgage — — —
Apartment loan — — —
Credit card receivables — — —
Other assets 332.6 — —
Sponsor of asset-backed commercial paper (ABCP) program 3,065.9 — —
Residential mortgage — — —
Apartment loan — — —
Credit card receivables 577.8 — —
Account receivables 1,053.5 — —
Leasing receivables 639.8 — —
Other assets 794.7 — —
As an investor 2,365.4 / 38.9
Residential mortgage 778.1 / 14.8
Apartment loan 32.7 / —
Credit card receivables 26.1 / —
Corporate loans 1,194.6 / 10.7
Other assets 333.6 / 13.2
Notes: 1. The amount of securitization exposures that have been deducted from Tier 1 capital counts as Tier 1 capital deductions in line
with Article 5 of the FSA Consolidated Capital Adequacy Notification, and includes any gains on disposal of the underlying assets
relating to the securitization.
2. Figures listed refer to capital deductions as stipulated in Article 225 of the FSA Consolidated Capital Adequacy Notification.
Securitization exposures qualifying as capital deductions include cases where the credit risk-weighted assets computed using the
Supervisory Formula exceed 1,250% or where a rating is lower than a certain threshold when calculating credit risk-weighted
assets under the Ratings-Based Approach.
(Securitization exposures subject to early amortization provisions retained)
In line with the provisions of Articles 230 & 248 of the FSA Consolidated Capital Adequacy Notification, as of September 30, 2009
and 2010, there were no securitization exposures subject to early amortization treatment that are retained by external investors and
are used to calculate credit risk-weighted assets.
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Basel II Disclosure Interim Fiscal 2010
(Amount of securitization exposures retained and the associated capital requirement for these exposures broken down into a number of risk weight bands) Billions of yen
September 30, 2009 September 30, 2010
Amount of securitization
exposuresCapital
requirement
Amount of securitization
exposuresCapital
requirement
Total as an originator 4,797.3 229.4 4,149.3 186.6
Traditional securitizations
(asset transfer type) 830.5 120.0 750.6 113.6
Risk weight: to 20% 20.1 0.2 — —
Risk weight: over 20% to 50% 44.2 1.0 26.2 0.5
Risk weight: over 50% to 100% 91.3 7.2 140.8 10.8
Risk weight: over 100% to 250% 609.2 77.4 517.3 67.2
Risk weight: over 250% under 1,250% 49.0 17.7 50.2 19.0
Risk weight: 1,250% 16.3 16.3 15.9 15.9
Synthetic securitizations 404.4 3.5 332.6 2.5
Risk weight: to 20% 385.0 2.2 315.6 1.8
Risk weight: over 20% to 50% — — 17.0 0.7
Risk weight: over 50% to 100% 19.3 1.2 — —
Risk weight: over 100% to 250% — — — —
Risk weight: over 250% under 1,250% — — — —
Risk weight: 1,250% — — — —
Sponsor of asset-backed
commercial paper (ABCP) program 3,562.4 105.7 3,065.9 70.3
Risk weight: to 20% 2,831.1 21.6 2,231.8 16.0
Risk weight: over 20% to 50% 161.2 4.3 398.6 12.6
Risk weight: over 50% to 100% 305.0 16.4 292.7 16.0
Risk weight: over 100% to 250% 157.0 20.7 105.2 13.9
Risk weight: over 250% under 1,250% 103.3 37.9 37.5 11.7
Risk weight: 1,250% 4.5 4.5 — —
As an investor 2,666.7 62.4 2,365.4 87.1
Risk weight: to 20% 2,443.0 17.8 1,964.0 14.6
Risk weight: over 20% to 50% 103.5 3.2 175.2 5.5
Risk weight: over 50% to 100% 66.8 4.3 88.1 6.1
Risk weight: over 100% to 250% 14.9 2.3 65.7 9.5
Risk weight: over 250% under 1,250% 7.1 3.4 34.1 12.3
Risk weight: 1,250% 31.2 31.2 38.1 38.9
(Credit risk-weighted asset amount calculated using transitional arrangements for securitization exposures) Billions of yen
September 30, 2009 September 30, 2010
As an originator 19.2 14.4
As an investor 10.6 70.7
Total 29.8 85.2
Note: Figures refer to credit risk-weighted assets calculated using transitional arrangements as stipulated in Article 15 of the
Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification. Specifically, in those cases where the standardized
approach is applied as an exception that include securitization exposures, figures refer to credit risk-weighted assets calculated using
a transitional arrangement whereby such assets’ values are capped at the greater of the value based on the Former Notification as
stipulated in the Supplementary Provisions to the FSA Consolidated Capital Adequacy Notification or the value if the underlying
assets were retained.
28
Basel II Disclosure Interim Fiscal 2010
Market Risk
Value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end
• VaR for trading activities Billions of yen
FY2009 H1 FY2010 H1
Average Maximum Minimum Sep 30, 2009 Average Maximum Minimum Sep 30, 2010