1 Mitsubishi UFJ Financial Group Basel II Disclosure Interim Fiscal 2011 Basel II Data (MUFG, Consolidated) Scope of Consolidation 2 Composition of Equity Capital 3 Capital Adequacy 4 Credit Risk 6 Credit Risk Mitigation 19 Derivative Transactions and Long Settlement Transactions 20 Securitization Exposures 21 Market Risk 27 Equity Exposures in Banking Book 29 Exposures Relating to Funds 30 Interest Rate Risk in the Banking Book (IRRBB) 31
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Mitsubishi UFJ Financial Group Basel II Disclosure...Planned distribution (93.8) (93.8) Net unrealized losses on securities available for sale — — Foreign currency translation
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Mitsubishi UFJ Financial Group Basel II DisclosureInterim Fiscal 2011
Basel II Data (MUFG, Consolidated)
Scope of Consolidation 2
Composition of Equity Capital 3
Capital Adequacy 4
Credit Risk 6
Credit Risk Mitigation 19
Derivative Transactions and Long Settlement Transactions 20
Securitization Exposures 21
Market Risk 27
Equity Exposures in Banking Book 29
Exposures Relating to Funds 30
Interest Rate Risk in the Banking Book (IRRBB) 31
2
Basel II Disclosure Interim Fiscal 2011
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 Practical Guideline 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
consolidated 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, 2010 and 2011
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Basel II Disclosure Interim Fiscal 2011
Composition of Equity Capital
Capital structure Billions of yen
September 30, 2010 September 30, 2011
Tier 1 (core) capital (A) 10,194.1 10,471.0
Capital stock 2,137.4 2,138.4
Stock subscription advances — —
Capital surplus 2,174.2 2,175.2
Retained earnings 4,666.1 5,406.9
Treasury stock (6.4) (6.5)
Treasury stock subscription advances — —
Planned distribution (93.8) (93.8)
Net unrealized losses on securities available for sale — —
Wholesale and retail 9,810.2 667.8 755.6 12,198.0 410.7
Construction 1,529.3 152.0 24.0 1,807.3 101.2
Finance and insurance 26,700.9 1,657.9 4,145.8 36,542.8 37.0
Real estate 10,755.9 372.6 89.1 11,304.1 216.8
Services 6,201.0 390.4 253.3 6,926.9 237.0
Transport 4,199.7 245.1 303.8 5,060.3 63.1
Individuals 22,653.1 — 0.1 23,434.5 916.5
Governments and
local authorities 21,266.7 60,904.6 57.0 84,640.2 10.4
Others 19,516.2 1,913.4 735.4 34,820.4 366.9
Total 139,165.6 67,740.9 7,057.6 237,838.1 2,692.4
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. 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 2011
(By residual contractual maturity) 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
Billions of yen
September 30, 2011
Credit risk exposures (Note 1)
Loans, etc. (Note 2) Debt securities OTC derivatives Total
Due in 1 year or less 41,556.2 19,458.8 1,020.5 69,031.7
Due over 1 year to 3 years 16,083.8 14,826.4 1,621.2 33,354.5
Due over 3 years to 5 years 11,887.8 18,203.1 994.8 31,100.8
Due over 5 years to 7 years 5,150.6 2,120.5 420.1 7,691.5
Due over 7 years 14,649.8 10,997.9 318.3 25,966.2
Others (Note 3) 49,837.2 2,133.9 2,682.3 70,693.1
Total 139,165.6 67,740.9 7,057.6 237,838.1
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 2011
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, 2010 Against March 31, 2010 September 30, 2011 Against March 31, 2011
General allowance for
credit losses 763,299 (66,723) 728,731 (76,511)
Specific allowance for
credit losses 464,747 (42,339) 329,662 (8,366)
Domestic 368,567 (47,574) 299,343 (10,074)
Foreign 96,179 5,234 30,318 1,707
Allowance for loans to
specific foreign borrowers 755 (56) 697 (27)
Total 1,228,802 (109,119) 1,059,090 (84,906)
(Balances by type of industry) Millions of yen
September 30, 2010 Against March 31, 2010 September 30, 2011 Against March 31, 2011
General allowance for
credit losses 763,299 (66,723) 728,731 (76,511)
Specific allowance for
credit losses 464,747 (42,339) 329,662 (8,366)
Manufacturing 44,246 1,909 43,157 (5,559)
Wholesale and retail 50,699 10,267 64,167 6,058
Construction 10,828 5,173 9,332 (2,312)
Finance and insurance 20,553 7,550 11,557 (2,720)
Real estate 22,891 (3,176) 25,404 (265)
Services 30,949 (5,324) 22,035 (1,268)
Transport 16,861 (48,241) 8,283 3,686
Individuals 61,906 (11,267) 43,487 (5,082)
Governments and local
authorities 5 (0) 5 (0)
Others 205,805 769 102,230 (901)
Allowance for loans to
specific foreign borrowers 755 (56) 697 (27)
Total 1,228,802 (109,119) 1,059,090 (84,906)
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 2011
Loan charge-offs
(By type of industry) Millions of yen
FY2010 H1 FY2011 H1
Manufacturing 11,816 4,437
Wholesale and retail 18,057 14,699
Construction 3,605 3,334
Finance and insurance 66 (19)
Real estate 6,110 1,434
Services 8,451 3,721
Transport 3,698 322
Individuals 30,823 15,120
Governments and local authorities — —
Others 23,461 18,278
Total 106,090 61,328
Note: Figures do not include loan charge-offs related to securitization exposures or exposures relating to funds.
Balances by risk weight category of exposures under the Standardized Approach Billions of yen
September 30, 2010 September 30, 2011
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% 1,579.6 833.7 2,131.7 905.6
Risk weight: 10% 180.6 — 161.8 —
Risk weight: 20% 5,215.8 3,460.3 4,782.8 4,647.0
Risk weight: 35% 1,425.5 — 1,489.0 —
Risk weight: 50% 318.4 317.1 171.6 171.3
Risk weight: 75% 1,367.5 — 1,131.2 —
Risk weight: 100% 8,500.1 19.3 8,348.3 105.6
Risk weight: 150% 94.0 0.0 64.8 0.0
Capital deductions 6.1 — 7.2 —
Others (Note 3) 7.8 — 7.3 —
Total 18,695.9 4,630.6 18,296.2 5,829.6
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 244% as of
September 30, 2010 and 238% as of September 30, 2011.
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Basel II Disclosure Interim Fiscal 2011
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, 2010 September 30, 2011
Specialized lending exposures subject to
supervisory slotting criteria 612.8 610.6
Risk weight: 50% 55.7 50.9
Risk weight: 70% 211.9 232.0
Risk weight: 90% 128.8 145.9
Risk weight: 95% 24.5 45.1
Risk weight: 115% 68.6 40.3
Risk weight: 120% 8.6 —
Risk weight: 140% — 5.5
Risk weight: 250% 112.6 90.6
Risk weight: 0% 1.9 0.0
Equity exposures subject to the Market-Based Approach
(simple risk weight method) 285.9 253.9
Risk weight: 300% 54.7 51.1
Risk weight: 400% 231.1 202.8
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Basel II Disclosure Interim Fiscal 2011
Exposures subject to the IRB Approach: corporate exposures Billions of yen
average PD 4.42% 0.12% 0.84% 0.55% 2.29% 4.74% 6.87%
Estimated weighted
average LGD 38.14% 40.86% 40.48% 90.00% 43.13% 82.68% 44.89%
FY2010:
Discussion of the factors
Actual losses on exposures were lower than initial estimated losses, reflecting repayments on defaulted
exposures and other factors such as loan normalization.
Notes: 1. Actual losses include the following amounts related to defaulted exposures: write-offs against allowances, losses on the disposal of claims, debt forgiveness or loan waivers, and impairment losses on securities. Actual losses incurred by Mitsubishi UFJ Trust and Banking Corporation equal the aggregate figures for the banking account and for trust accounts for which repayment of the principal to the customers is guaranteed.
2. The initial EAD under FY2006 estimated losses was used for a preliminary calculation under the FIRB Approach at the end of March 2006, and was not used to calculate an official figure of capital adequacy ratio.
3. Estimates for PD and LGD under FY2006 estimated losses were used for preliminary calculations under the FIRB Approach at the end of September 2006, and were not used to calculate official figures of the capital adequacy ratio. Estimates for PD and LGD that were used for preliminary calculations under the FIRB Approach at the end of March 2006 were not used, because such estimates included temporary factors due to the merger of Mitsubishi Tokyo Financial Group, Inc. with UFJ Holdings, Inc.
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Basel II Disclosure Interim Fiscal 2011
Credit Risk Mitigation
Exposures subject to application of credit risk mitigation techniques Billions of yen
September 30, 2010
Eligible financial collateral Guarantees
Credit derivatives
Portfolios under the AIRB Approach / 4,716.3 620.9
Corporate exposures / 2,969.2 583.5
Sovereign exposures / 552.8 5.4
Bank exposures / 637.6 32.0
Residential mortgage exposures / — —
Qualifying revolving retail exposures / — —
Other retail exposures / 556.5 —
Portfolios under the Standardized Approach 6,581.3 137.7 —
Billions of yen
September 30, 2011
Eligible financial collateral Guarantees
Credit derivatives
Portfolios under the AIRB Approach / 5,138.0 312.7
Corporate exposures / 3,321.2 304.0
Sovereign exposures / 569.9 7.4
Bank exposures / 750.0 1.2
Residential mortgage exposures / — —
Qualifying revolving retail exposures / — —
Other retail exposures / 496.8 —
Portfolios under the Standardized Approach 9,135.0 361.6 —
Note: Eligible financial collateral includes collateral for repo transactions but does not include deposits in our banks subject to on balance
sheet netting.
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Basel II Disclosure Interim Fiscal 2011
Derivative Transactions and Long Settlement Transactions
Matters relating to counterparty credit risk Billions of yen
Total as an originator 20,748.3 — 353.6 383.8 379.3
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 2011
Information on underlying assets (continued) Billions of yen
FY2010 H1 FY2011 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) — — — —
Residential mortgage — — — —
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 47,280.1 / 49,585.4 /
Residential mortgage — / — /
Apartment loan — / — /
Credit card receivables 16,410.7 / 12,857.3 /
Account receivables 30,223.0 / 36,086.9 /
Leasing receivables 79.5 / 123.0 /
Other assets 566.7 / 518.1 /
Total as an originator 47,280.1 — 49,585.4 —
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Basel II Disclosure Interim Fiscal 2011
Information on securitization exposures retained (By type of underlying asset) 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.
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Basel II Disclosure Interim Fiscal 2011
Information on securitization exposures retained (By type of underlying asset) (continued) Billions of yen
September 30, 2011
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 3,742.5 14.0 19.9
Traditional securitizations (asset transfer type) 664.5 14.0 11.9
Residential mortgage 498.1 14.0 4.9
Apartment loan 133.8 — —
Credit card receivables — — —
Other assets 32.5 — 6.9
Synthetic securitizations — — —
Residential mortgage — — —
Apartment loan — — —
Credit card receivables — — —
Other assets — — —
Sponsor of asset-backed commercial paper (ABCP) program 3,078.0 — 8.0
Residential mortgage — — —
Apartment loan — — —
Credit card receivables 617.0 — —
Account receivables 1,109.9 — 8.0
Leasing receivables 402.5 — —
Other assets 948.5 — —
As an investor 2,486.2 / 24.3
Residential mortgage 813.1 / 3.9
Apartment loan 70.9 / —
Credit card receivables 30.7 / —
Corporate loans 1,309.4 / 6.4
Other assets 262.0 / 14.0
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, 2010
and 2011, 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 2011
(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, 2010 September 30, 2011
Amount of securitization
exposuresCapital
requirement
Amount of securitization
exposuresCapital
requirement
Total as an originator 4,149.3 186.6 3,742.5 168.3
Traditional securitizations
(asset transfer type) 750.6 113.6 664.5 97.2
Risk weight: to 20% — — — —
Risk weight: over 20% to 50% 26.2 0.5 18.9 0.4
Risk weight: over 50% to 100% 140.8 10.8 151.2 12.0
Risk weight: over 100% to 250% 517.3 67.2 442.4 57.1
Risk weight: over 250% under 1,250% 50.2 19.0 39.9 15.8
Risk weight: 1,250% 15.9 15.9 11.9 11.9
Synthetic securitizations 332.6 2.5 — —
Risk weight: to 20% 315.6 1.8 — —
Risk weight: over 20% to 50% 17.0 0.7 — —
Risk weight: over 50% to 100% — — — —
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 3,065.9 70.3 3,078.0 71.0
Risk weight: to 20% 2,231.8 16.0 2,289.5 16.6
Risk weight: over 20% to 50% 398.6 12.6 355.7 9.4
Risk weight: over 50% to 100% 292.7 16.0 325.4 18.3
Risk weight: over 100% to 250% 105.2 13.9 67.8 8.4
Risk weight: over 250% under 1,250% 37.5 11.7 31.4 10.1
Risk weight: 1,250% — — 8.0 8.0
As an investor 2,365.4 87.1 2,486.6 66.4
Risk weight: to 20% 1,964.0 14.6 2,127.4 15.7
Risk weight: over 20% to 50% 175.2 5.5 183.2 5.4
Risk weight: over 50% to 100% 88.1 6.1 88.1 6.7
Risk weight: over 100% to 250% 65.7 9.5 31.1 3.9
Risk weight: over 250% under 1,250% 34.1 12.3 32.3 10.1
Risk weight: 1,250% 38.1 38.9 24.3 24.3
(Credit risk-weighted asset amount calculated using transitional arrangements for securitization exposures) Billions of yen
September 30, 2010 September 30, 2011
As an originator 14.4 4.8
As an investor 70.7 41.6
Total 85.2 46.4
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.
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Basel II Disclosure Interim Fiscal 2011
Market Risk
Value-at-risk (VaR): maximum, minimum and average values by disclosure period and period-end
• VaR for trading activities Billions of yen
FY2010 H1 FY2011 H1
Average Maximum Minimum Sep 30, 2010 Average Maximum Minimum Sep 30, 2011