Edgar Filing: MIZUHO FINANCIAL GROUP INC

Form 6-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 6-K

REPORT OF FOREIGN PRIVATE ISSUER

PURSUANT TO RULE 13a-16 OR 15d-16

UNDER THE SECURITIES EXCHANGE ACT OF 1934

For the month of January 2013

Commission File Number 001-33098

Mizuho Financial Group, Inc.

(Translation of registrant’s name into English)

5-1, Marunouchi 2-chome

Chiyoda-ku, Tokyo 100-8333

Japan

(Address of principal executive office)

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

Form 20-F x Form 40-F ¨

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

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

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

Yes ¨ No x

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

SIGNATURES

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


Date: January 30, 2013

Mizuho Financial Group, Inc.

By:		/s/ Hideyuki Takahashi
Name:		Hideyuki Takahashi
Title:		Managing Director / CFO

The following is an English translation of excerpt regarding Basel II capital adequacy disclosure and relevant information released in our Japanese language disclosure material published in January 2013. The capital adequacy disclosure and other financial information included herein are based on Japanese GAAP pursuant to Japanese regulatory requirements.

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

Status of Capital Adequacy


Capital adequacy ratio highlights			2

n Capital adequacy ratio highlights			2

Status of Mizuho Financial Group’s consolidated capital adequacy			4

n Consolidated capital adequacy ratio			4
(1) Summary table of consolidated capital adequacy ratio (BIS standard)

n Risk-based capital			14
(2) Required capital by portfolio classification

n Credit risk			16
(3) Credit risk exposure, etc.

n Methods for credit risk mitigation			31
(4) Credit risk mitigation by portfolio classification

n Counterparty risk in derivatives transactions and long-settlement transactions			32
(5) Status of counterparty risk in derivatives transactions and long-settlement transactions

n Securitization exposure			34
(6) Quantitative disclosure items for securitization exposure

n Market risk			50

n Equity exposure in banking book			52
(7) Status of equity exposure in banking book

Capital adequacy ratio highlights

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

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

n Capital adequacy ratio highlights

Mizuho Financial Group (Consolidated)


	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Consolidated capital adequacy ratio (BIS standard)		14.92	%		15.45	%
Tier 1 capital ratio		11.89	%		12.68	%
Tier 1 capital		6,069.8			6,290.6
Tier 2 capital		1,895.8			1,769.9
Deductions for total risk-based capital		350.4			395.4
Total risk-based capital		7,615.2			7,665.1
Risk-weighted assets		51,037.6			49,603.9

(Reference)

Mizuho Corporate Bank (Consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Consolidated capital adequacy ratio (BIS standard)		18.11	%		17.94	%
Tier 1 capital ratio		15.80	%		15.79	%
Tier 1 capital		4,372.3			4,363.4
Tier 2 capital		745.8			732.3
Deductions for total risk-based capital		107.4			139.0
Total risk-based capital		5,010.8			4,956.8
Risk-weighted assets		27,666.8			27,623.6

Mizuho Corporate Bank (Non-consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Non-consolidated capital adequacy ratio (BIS standard)		20.08	%		20.37	%
Tier 1 capital ratio		15.98	%		16.27	%
Tier 1 capital		4,018.0			4,057.0
Tier 2 capital		1,074.4			1,060.2
Deductions for total risk-based capital		43.9			40.5
Total risk-based capital		5,048.5			5,076.6
Risk-weighted assets		25,134.8			24,922.2



Mizuho Bank (Consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Consolidated capital adequacy ratio (Domestic standard)		15.05	%		15.35	%
Tier 1 capital ratio		10.69	%		11.26	%
Tier 1 capital		2,388.6			2,389.6
Tier 2 capital		1,075.6			980.7
Deductions for total risk-based capital		100.9			112.9
Total risk-based capital		3,363.3			3,257.4
Risk-weighted assets		22,342.6			21,208.5
(Reference) Consolidated capital adequacy ratio (BIS standard)		14.73	%		15.43	%

Mizuho Bank (Non-Consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Non-consolidated capital adequacy ratio (Domestic standard)		15.25	%		15.38	%
Tier 1 capital ratio		10.91	%		11.30	%
Tier 1 capital		2,346.3			2,330.6
Tier 2 capital		1,075.2			980.2
Deductions for total risk-based capital		141.8			138.3
Total risk-based capital		3,279.8			3,172.5
Risk-weighted assets		21,494.3			20,621.0
(Reference) Non-consolidated capital adequacy ratio (BIS standard)		14.90	%		15.43	%

Mizuho Trust & Banking (Consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Consolidated capital adequacy ratio (BIS standard)		16.69	%		17.80	%
Tier 1 capital ratio		12.55	%		14.21	%
Tier 1 capital		311.6			331.6
Tier 2 capital		105.8			87.0
Deductions for total risk-based capital		3.0			3.2
Total risk-based capital		414.4			415.5
Risk-weighted assets		2,481.7			2,333.6

Mizuho Trust & Banking (Non-Consolidated)

	(Billions of yen)
	As of September 30, 2011			As of September 30, 2012
Non-consolidated capital adequacy ratio (BIS standard)		16.86	%		18.09	%
Tier 1 capital ratio		12.68	%		14.47	%
Tier 1 capital		310.2			333.7
Tier 2 capital		105.4			86.6
Deductions for total risk-based capital		3.2			3.0
Total risk-based capital		412.4			417.3
Risk-weighted assets		2,445.5			2,306.5

Status of Mizuho Financial Group’s consolidated capital adequacy

n Consolidated capital adequacy ratio

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


			(Billions of yen)
			As of September 30, 2011			As of September 30, 2012
Tier 1 capital	Common stock and preferred stock			2,254.9			2,254.9

	Non-cumulative perpetual preferred stock			—			—

	Advance payment for new shares			—			—
	Capital surplus			1,109.7			1,109.5
	Retained earnings			1,249.3			1,513.8
	Less: Treasury stock			12.7			4.7
	Advance payment for treasury stock			—			—
	Less: Dividends (estimate), etc			76.4			76.3
	Less: Unrealized losses on other securities			143.9			21.8
	Foreign currency translation adjustments			(103.2	)		(103.9	)
	Stock acquisition rights			1.0			2.7

	Minority interest in consolidated subsidiaries			1,938.0			1,760.1

	Preferred securities issued by overseas SPCs			1,851.6			1,682.0

	Less: Goodwill equivalent			60.1			59.0
	Less: Intangible fixed assets recognized as a result of a merger			37.3			36.6
	Less: Capital increase due to securitization transactions			4.8			4.0
	Less: 50% of excess of expected losses relative to eligible reserves by banks adopting internal ratings-based approach			44.5			43.9
	Total of Tier 1 capital before deduction of deferred tax assets (total of the above items)			6,069.8			6,290.6
	Deduction for deferred tax assets			—			—

	Total	(A)		6,069.8			6,290.6

	Preferred securities with a step-up interest rate provision	(B)		524.0			524.0
	Ratio to Tier 1 = (B) / (A) X 100			8.63	%		8.32	%


Tier 2 capital	45% of unrealized gains on other securities			—			—
	45% of revaluation reserve for land			104.2			101.7
	General reserve for possible losses on loans			4.7			4.6
	Excess of eligible reserves relative to expected losses by banks adopting internal ratings-based approach			—			—

	Debt capital, etc.			1,786.8			1,663.5

	Perpetual subordinated debt and other debt capital			300.5			256.6
	Dated subordinated debt and redeemable preferred stock			1,486.3			1,406.9

	Total			1,895.8			1,769.9

	Tier 2 capital included as qualifying capital	(C)		1,895.8			1,769.9

Tier 3 capital	Short-term subordinated debt			—			—

	Tier 3 capital included as qualifying capital	(D)		—			—

Deductions for total risk-based capital	Deductions for total risk-based capital	(E)		350.4			395.4


Total risk-based capital	(A) + (C) + (D) – (E)	(F)		7,615.2			7,665.1


Risk-weighted assets	Credit risk-weighted assets	(G)		46,119.9			44,696.6

	On-balance-sheet items			38,033.8			37,340.3
	Off-balance-sheet items			8,086.1			7,356.3

	Market risk equivalent assets [(I)/8%]	(H)		1,373.1			2,022.3
	(Reference) Market risk equivalent	(I)		109.8			161.7
	Operational risk equivalent assets [(K)/8%]	(J)		3,544.5			2,884.9
	(Reference) Operational risk equivalent	(K)		283.5			230.7
	Adjusted amount for credit risk-weighted assets	(L)		—			—
	Adjusted amount for operational risk equivalent	(M)		—			—

	Total [(G) + (H) + (J) + (L) + (M)]	(N)		51,037.6			49,603.9

Consolidated capital adequacy ratio (BIS standard) = (F) / (N) X 100				14.92	%		15.45	%

Tier 1 capital ratio = (A) / (N) X 100				11.89	%		12.68	%


Notes:

1.		The above figures are calculated based on the BIS standard applied on a consolidated basis under the “Standards for Determining the Status of Capital Adequacy in consideration of assets held by a bank holding company and by its subsidiaries, in accordance with Banking Law Article 52-25” (FSA Notice No. 20 of 2006 (the “Notice”)). For the figures as of September 30, 2011, we did not apply the exception to the Notice (FSA Notice No. 79 of 2008).

2.		As it is not possible to break down Mizuho Financial Group’s common stock and preferred stock according to classes of stock, non-cumulative perpetual preferred stock is not stated separately from capital.

3.		In calculating the consolidated capital adequacy ratio, we underwent an examination following the procedures agreed with Ernst & Young ShinNihon LLC, on the basis of “Treatment in implementing examination by agreed-upon procedures for calculating capital adequacy ratio” (Industry Committee Practical Guideline No. 30 of the Japanese Institute of Certified Public Accountants). Note that this is not a part of the accounting audit performed on our consolidated financial statements. This consists of an examination under agreed-upon procedures performed by Ernst & Young ShinNihon LLC on a portion of the internal control structure concerning the calculation of the capital adequacy ratio and a report of the results to us. As such, they do not represent an opinion regarding the capital adequacy ratio itself nor the internal controls related to the calculation of the capital adequacy ratio.

4.		The amounts of net deferred tax assets as of September 30, 2011 and 2012 were ¥438.2 billion and ¥420.4 billion, respectively, and the maximum amounts of deferred tax assets that can be recorded without diminishing the amount of Tier 1 capital for the purpose of calculating capital adequacy ratio as of September 30, 2011 and 2012 were ¥1,213.9 billion and ¥1,258.1 billion, respectively.

5.		The “adjusted amount for credit risk-weighted assets” is the amount obtained by multiplying (i) 12.5 by (ii) the excess, if any, of the required capital under the foundation internal ratings-based approach multiplied by the rate prescribed in the Notice over the required capital under the advanced internal ratings-based approach; and the “adjusted amount for operational risk equivalent” is the amount obtained by multiplying (i) 12.5 by (ii) the excess, if any, of the required capital under the basic indicator approach multiplied by the rate prescribed in the Notice over the required capital under the advanced measurement approach.

6.		Among our group companies that were subject to the calculation of consolidated capital adequacy ratio pursuant to Article 3 of the Notice, the numbers of consolidated subsidiaries were 153 and 148 as of September 30, 2011 and 2012, respectively. There was no company that was subject to the deductions for total risk-based capital forth in Article 8, Paragraph 1, Item 2, Subitem (a) through (c) of the Notice as of September 30, 2011 and 2012.

Summary of preferred securities

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

Preferred securities issued by SPCs of Mizuho Financial Group


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

Type of securities		Non-cumulative perpetual preferred securities

Mandatory redemption date		None

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

Dividends		Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2016. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

Dividend payment date		June 30th and December 30th of each year

Total amount issued		US$600 million

Issue date		March 13, 2006

Dividend suspension events		(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽⁵⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced; (Optional dividend suspension or reduction event) (3) when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (USD) 1 Preferred Securities, and Mizuho Financial Group issues a dividend suspension notice to MCI (USD) 1; and (4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (USD) 1.

Mandatory dividend event		If Mizuho Financial Group pays any dividends on its common stock with respect to a fiscal year, dividend payments for the full amount of MCI (USD) 1 Preferred Securities must be made on the dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

Distributable amounts limitation		Dividends for the MCI (USD) 1 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽⁵⁾.

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

Claims on residual assets		Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾


Issuer	Mizuho Capital Investment (JPY) 1 Limited (“MCI (JPY) 1,” and the preferred securities described below are referred to as “MCI (JPY) 1 Preferred Securities.”)	Mizuho Capital Investment (JPY) 2 Limited (“MCI (JPY) 2,” and the preferred securities described below are referred to as “MCI (JPY) 2 Preferred Securities.”)	Mizuho Capital Investment (JPY) 3 Limited (“MCI (JPY) 3,” and the preferred securities described below (Series A and Series B) are collectively referred to as “MCI (JPY) 3 Preferred Securities.”)

Type of securities	Non-cumulative perpetual preferred securities	Non-cumulative perpetual preferred securities	Non-cumulative perpetual preferred securities

Mandatory redemption date	None	None	None

Optional redemption	Starting from the dividend payment date falling in June 2016, optionally redeemable on each dividend payment date in five -year intervals (subject to prior approval from regulatory authorities)	Starting from the dividend payment date falling in June 2018, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)	Starting from the dividend payment date falling in June 2019, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

Dividends	Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2016. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)	Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2018. Dividend rate step-up is applied. Dividend payments that are suspended are non-cumulative.)	Series A Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. Dividend rate step-up is applied. Dividend payments that are suspended are non-cumulative.) Series B Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. No dividend rate step-up. Dividend payments that are suspended are non-cumulative.)

Dividend payment date	June 30th and December 30th of each year	June 30th and December 30th of each year	June 30th and December 30th of each year

Total amount issued	¥400 billion	¥274.5 billion	Series A ¥249.5 billion Series B ¥53.5 billion

Issue date	January 12, 2007	January 11, 2008	July 11, 2008

Dividend suspension events	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽⁷⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽⁸⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽⁹⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;

	(Optional dividend suspension or reduction event)	(Optional dividend suspension or reduction event)	(Optional dividend suspension or reduction event)

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

	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 1	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 2	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 3


Mandatory dividend event	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 1 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 2 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 3 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

Distributable amounts limitation	Dividends for the MCI (JPY) 1 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽⁷⁾.	Dividends for the MCI (JPY) 2 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽⁸⁾.	Dividends for the MCI (JPY) 3 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽⁹⁾.

Dividend limitations	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (JPY) 1 Preferred Securities are also reduced by an equal percentage.	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (JPY) 2 Preferred Securities are also reduced by an equal percentage.	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (JPY) 3 Preferred Securities are also reduced by an equal percentage.

Claims for residual assets	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾


Issuer	Mizuho Capital Investment (JPY) 4 Limited (“MCI (JPY) 4,” and the preferred securities described below are referred to as “MCI (JPY) 4 Preferred Securities.”)	Mizuho Capital Investment (USD) 2 Limited (“MCI (USD) 2,” and the preferred securities described below are referred to as “MCI (USD) 2 Preferred Securities.”)	Mizuho Capital Investment (JPY) 5 Limited (“MCI (JPY) 5,” and the preferred securities described below (Series A, Series B and Series C) are collectively referred to as “MCI (JPY) 5 Preferred Securities.”)

Type of securities	Non-cumulative perpetual preferred securities	Non-cumulative perpetual preferred securities	Non-cumulative perpetual preferred securities

Mandatory redemption date	None	None	None

Optional redemption	Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)	Starting from the dividend payment date falling in June 2014, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)	Series A Starting from the dividend payment date falling in June 2014, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities) Series B Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities) Series C Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

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

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


Total amount issued	¥355 billion	$850 million	Series A ¥139.5 billion Series B ¥72.5 billion Series C ¥25.0 billion

Issue date	December 29, 2008	February 27, 2009	Series A June 30, 2009 Series B August 31, 2009 Series C September 29, 2009

Dividend suspension events	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽¹⁰⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽¹¹⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;	(Mandatory dividend suspension or reduction event) (1) When a Liquidation Event⁽¹⁾, Reorganization Event⁽²⁾, Insolvency Event⁽³⁾ or Governmental Action⁽⁴⁾ has occurred to Mizuho Financial Group; (2) when Mizuho Financial Group’s Available Distributable Amounts⁽¹²⁾ is insufficient, or dividends on its preferred stock⁽⁶⁾ are suspended or reduced;

	(Optional dividend suspension or reduction event)	(Optional dividend suspension or reduction event)	(Optional dividend suspension or reduction event)



	(3) when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 4 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 4; and	(3) when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (USD) 2 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (USD) 2; and	(3) when the capital adequacy ratio of Mizuho Financial Group or its Tier 1 capital ratio fails to meet the minimum requirement, or would fall short as a result of the dividend payments on the MCI (JPY) 5 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 5; and

	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 4	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (USD) 2	(4) when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (JPY) 5

Mandatory dividend event	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 4 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (USD) 2 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.	If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 5 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

Distributable amounts limitation	Dividends for the MCI (JPY) 4 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽¹⁰⁾.	Dividends for the MCI (USD) 2 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽¹¹⁾.	Dividends for the MCI (JPY) 5 Preferred Securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts⁽¹²⁾.

Dividend limitations	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (JPY) 4 Preferred Securities are also reduced by an equal percentage.	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (USD) 2 Preferred Securities are also reduced by an equal percentage.	When dividends on Mizuho Financial Group’s Preferred Stock⁽⁶⁾ are reduced, dividends on MCI (JPY) 5 Preferred Securities are also reduced by an equal percentage.

Claims for residual assets	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾	Same priority as Mizuho Financial Group’s Preferred Stock⁽⁶⁾


Notes:
(1)		Liquidation Event
		Shall be deemed to occur where a liquidation proceeding is commenced by or against Mizuho Financial Group or a competent court in Japan shall have (i) adjudicated Mizuho Financial Group to be subject to bankruptcy proceedings or (ii) approved a preparation of a reorganization plan for abolishment of all business of Mizuho Financial Group.

(2)		Reorganization Event

		Shall be deemed to occur if a competent court in Japan shall have adjudicated (i) the commencement of a corporate reorganization proceeding of Mizuho Financial Group under the Corporate Reorganization Law or (ii) the commencement of a civil rehabilitation proceeding of Mizuho Financial Group under the Civil Rehabilitation Law.

(3)		Insolvency Event

		Shall be deemed to occur if (i) Mizuho Financial Group is not able to pay its debts as they become due or would not be able to do so as a result of a dividend payment on the relevant preferred securities, or (ii) if the liabilities of Mizuho Financial Group exceeds its assets or would exceed its assets as a result of a dividend payment on the relevant preferred securities.

(4)		Governmental Action

		Shall be deemed to occur if the government authority in Japan (i) publicly declares Mizuho Financial Group is not able to pay its debts as they become due, (ii) publicly declares Mizuho Financial Group’s liabilities exceed its assets, (iii) publicly declares Mizuho Financial Group to be under public management or (iv) issues an order that Mizuho Financial Group be transferred to a third party.

(5)		Available Distributable Amounts for MCI (USD) 1 Preferred Securities

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (USD) 1 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (USD) 1 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (USD) 1 Preferred Securities.

		(ii) Amount available in December

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (USD) 1 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date falling in June, pro-rated between full dividends on MCI (USD) 1 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (USD) 1 Preferred Securities falling in June up to the dividend payment date falling in December.

(6)		Preferred Stocks

		Refers to preferred stock of Mizuho Financial Group qualifying as Tier 1 capital and ranking most senior compared to other preferred stock of Mizuho Financial Group as to dividend payments and claims to residual assets.

(7)		Available Distributable Amounts for the MCI (JPY) 1 Preferred Securities

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 1 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 1 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 1 Preferred Securities.

		(ii) Amount available in December

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 1 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 1 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 1 Preferred Securities falling in June up to the dividend payment date falling in December.



(8)		Available Distributable Amounts for the MCI (JPY) 2 Preferred Securities

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 2 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 2 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 2 Preferred Securities.

		(ii) Amount available in December

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 2 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 2 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 2 Preferred Securities falling in June up to the dividend payment date falling in December.

(9)		Available Distributable Amounts for the MCI (JPY) 3 Preferred Securities

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 3 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 3 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 3 Preferred Securities.

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

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 3 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 3 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 3 Preferred Securities falling in June up to the dividend payment date falling in December.

		(iii) Amount available in December 2008

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2008 to June 30, 2008, pro-rated between full dividends on MCI (JPY) 3 Preferred Securities for the dividend payment date falling in December 2008 and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after June 30, 2008 up to the dividend payment date falling in December 2008.

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

		(i) Amount available in March 2009

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the fiscal year ended March 31, 2008, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2008 to December 30, 2008, pro-rated between the full dividend amount on MCI (JPY) 4 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 4 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid from the day after December 30, 2008 up to the dividend payment date falling in March 2009.

		(ii) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 4 Preferred Securities and the full dividend amount on Equivalent Securities to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 4 Preferred Securities.

		(iii) Amount available in December

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 4 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 4 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 4 Preferred Securities falling in June up to the dividend payment date falling in December.


(11)		Available Distributable Amounts for the MCI (USD) 2 Preferred Securities

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (USD) 2 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (USD) 2 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (USD) 2 Preferred Securities.

		(ii) Amount available in December

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (USD) 2 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (USD) 2 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (USD) 2 Preferred Securities falling in June up to the dividend payment date falling in December.

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

		(i) Amount available in June

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), pro-rated between the full dividend amount on MCI (JPY) 5 Preferred Securities and the full dividend amount on preferred securities that are equivalently subordinated in nature with MCI (JPY) 5 Preferred Securities (“Equivalent Securities”) to which dividends are paid in whole or in part or declared to be paid on or prior to the relevant dividend payment date of MCI (JPY) 5 Preferred Securities.

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

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments), (B) the amount of dividend payments on MCI (JPY) 5 Preferred Securities made or declared to be made on or prior to the dividend payment date falling in June and (C) the dividends on Equivalent Securities paid or declared to be paid on or prior to the dividend payment date in June, pro-rated between full dividends on MCI (JPY) 5 Preferred Securities for the dividend payment date falling in December and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after the dividend payment date of MCI (JPY) 5 Preferred Securities falling in June up to the dividend payment date falling in December.

		(iii) Amount available in December 2009

		Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the fiscal year ended March 31, 2009, less (A) the amount of dividend payments on Preferred Stock⁽⁶⁾ (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from April 1, 2009 to June 30, 2009, pro-rated between full dividends on MCI (JPY) 5 Preferred Securities for the dividend payment date falling in December 2009 and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after June 30, 2009 up to the dividend payment date falling in December 2009.

n Risk-based capital

(2) Required capital by portfolio classification


	(Billions of yen)
	As of September 30, 2011				As of September 30, 2012
	EAD		Required capital		EAD		Required capital
Credit risk		162,844.0		4,953.8		166,822.4		4,652.9

Internal ratings-based approach		155,064.7		4,704.2		158,854.6		4,388.3
Corporate (except specialized lending)		49,342.9		2,658.2		51,567.2		2,485.8
Corporate (specialized lending)		2,452.6		305.2		2,431.3		234.6
Sovereign		71,557.3		52.1		73,138.6		57.5
Bank		5,230.8		139.6		5,741.5		112.8
Retail		13,712.5		657.4		13,626.9		631.2
Residential mortgage		10,621.4		443.3		10,474.4		421.2
Qualifying revolving loan		347.5		30.3		351.1		31.5
Other retail		2,743.5		183.7		2,801.2		178.3
Equities		3,113.4		335.8		2,887.5		305.8
PD/LGD approach		883.5		95.9		856.6		86.5
Market-based approach (simple risk weight method)		265.1		73.3		244.2		67.8
Market-based approach (internal models approach)		—		—		—		—
Transitional measure applied		1,964.7		166.6		1,786.7		151.5
Regarded-method exposure		1,052.9		257.2		1,279.6		271.1
Purchase receivables		1,778.3		56.0		1,711.8		55.5
Securitizations		4,070.2		73.7		3,582.5		68.4
Others		2,753.3		168.5		2,887.3		165.1

Standardized approach		7,779.3		249.5		7,967.7		264.5
Sovereign		3,841.4		4.4		4,009.3		3.4
Bank		1,226.0		24.2		1,152.2		24.7
Corporate		2,135.7		161.2		2,188.3		172.9
Residential mortgage		0.0		0.0		—		—
Securitizations		37.7		27.3		43.2		29.0
Others		538.2		32.3		574.5		34.2

Market risk		n.a.		109.8		n.a.		161.7

Standardized approach		n.a.		75.0		n.a.		62.9
Interest rate risk		n.a.		53.0		n.a.		36.1
Equities risk		n.a.		15.8		n.a.		14.9
Foreign exchange risk		n.a.		2.3		n.a.		7.2
Commodities risk		n.a.		3.7		n.a.		4.5
Option transactions		n.a.		—		n.a.		—

Internal models approach		n.a.		34.8		n.a.		98.8

Operational risk		n.a.		283.5		n.a.		230.7

Advanced measurement approach		n.a.		237.4		n.a.		190.8

Basic indicator approach		n.a.		46.1		n.a.		39.9

Total required capital (consolidated)		n.a.		4,083.0		n.a.		3,968.3


Notes:

1.		EAD: Exposure at default.

2.		PD: Probability of default.

3.		LGD: Loss given default.

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

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

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


Corporate (excluding specialized lending)		Credits to corporations and sole proprietors (excluding credits to retail customers)

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

Sovereign		Credits to central governments, central banks and local governmental entities

Bank		Credits to banks and securities companies, etc.

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

Equities		Capital stock, preferred securities, perpetual subordinated debt, etc. (excluding trading assets) * The transitional measure applies to those held from September 30, 2004 or earlier, and others are applied either the PD/LGD approach or the market-based approach.

Regarded-method exposure		Investment trusts and funds, etc.

Purchase receivables		Receivables purchased from third parties excluding securities (excluding securitizations)

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


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

n Credit risk

(3) Credit risk exposure, etc.

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

The outstanding balance is based on exposure at default.

No significant difference exists between period-end credit risk position and the average credit risk position during the twelve months ended September 30, 2011 and 2012.

— Status of credit risk exposure

(A) Breakdown by geographical area


	(Billions of yen)
	As of September 30, 2011
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Domestic		75,849.7		38,294.4		2,144.4		6,369.4		122,658.0

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

Asia		3,845.8		735.1		140.5		989.2		5,710.8
Central and South America		2,082.3		147.4		250.0		5.1		2,484.9
North America		5,167.4		4,888.8		624.9		2,042.8		12,724.1
Eastern Europe		44.1		—		0.2		8.6		53.0
Western Europe		2,886.3		761.6		1,021.6		194.5		4,864.1
Other areas		1,073.9		145.1		126.3		100.9		1,446.3

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

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,741.5


	(Billions of yen)
	As of September 30, 2012
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Domestic		75,531.2		36,449.4		1,733.8		8,261.7		121,976.3

Overseas		17,350.0		9,277.3		2,052.3		3,336.4		32,016.0

Asia		4,596.7		1,120.2		141.1		852.4		6,710.6
Central and South America		2,239.0		149.0		217.0		6.3		2,611.5
North America		5,914.4		6,786.7		578.4		1,868.4		15,148.0
Eastern Europe		26.0		—		0.7		15.7		42.6
Western Europe		3,147.1		1,088.2		985.9		463.7		5,685.0
Other areas		1,426.6		133.0		128.9		129.5		1,818.1

Total		92,881.3		45,726.7		3,786.1		11,598.1		153,992.4

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,924.5


Notes:

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

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

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

(B) Breakdown by industry


	(Billions of yen)
	As of September 30, 2011
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Manufacturing		13,388.3		1,968.9		623.9		225.8		16,207.0
Construction		1,351.2		194.6		21.7		3.3		1,571.0
Real estate		6,542.8		511.3		53.7		34.6		7,142.5
Service industries		3,701.1		1,808.9		165.7		43.8		5,719.8
Wholesale and retail		7,179.0		560.0		650.7		479.7		8,869.5
Finance and insurance		9,607.5		2,283.7		2,001.0		1,028.8		14,921.1
Individuals		11,961.2		—		0.1		13.2		11,974.7
Other industries		14,835.5		4,891.0		777.5		5,442.6		25,946.7
Japanese Government; Bank of Japan		22,382.8		32,753.9		13.4		2,438.5		57,588.7

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

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,741.5


	(Billions of yen)
	As of September 30, 2012
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Manufacturing		14,092.6		1,801.4		472.8		241.5		16,608.4
Construction		1,331.2		176.0		17.5		3.3		1,528.0
Real estate		6,831.7		426.9		57.5		33.0		7,349.2
Service industries		3,626.0		2,825.7		123.3		46.6		6,621.7
Wholesale and retail		7,476.9		567.2		414.0		503.2		8,961.5
Finance and insurance		9,885.3		2,506.1		1,918.6		1,182.7		15,492.9
Individuals		11,907.8		—		0.1		14.4		11,922.4
Other industries		15,994.7		6,002.3		736.3		5,478.9		28,212.4
Japanese Government; Bank of Japan		21,734.8		31,420.7		45.6		4,094.2		57,295.5

Total		92,881.3		45,726.7		3,786.1		11,598.1		153,992.4

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,924.5


Notes:

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

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

(C) Breakdown by residual contractual maturity


	(Billions of yen)
	As of September 30, 2011
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Less than one year		29,422.3		14,181.2		539.9		1,693.3		45,836.9
From one year to less than three years		12,733.3		11,810.4		1,585.4		14.6		26,143.8
From three years to less than five years		10,067.7		9,323.2		1,197.3		28.2		20,616.5
Five years or more		26,916.8		6,637.7		899.1		0.8		34,454.6
Other than above		11,809.5		3,019.8		86.3		7,973.7		22,889.4

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

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,741.5


	(Billions of yen)
	As of September 30, 2012
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Less than one year		28,438.1		11,400.3		477.5		2,195.6		42,511.7
From one year to less than three years		13,030.5		11,010.2		1,607.0		48.5		25,696.3
From three years to less than five years		11,707.1		12,627.1		845.3		4.3		25,183.9
Five years or more		28,273.8		7,782.1		782.6		0.0		36,838.6
Other than above		11,431.5		2,907.0		73.5		9,349.6		23,761.7

Total		92,881.3		45,726.7		3,786.1		11,598.1		153,992.4

Exempt portion		n.a.		n.a.		n.a.		n.a.		7,924.5


Notes:

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

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

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

(D) Breakdown by geographical area


	(Billions of yen)
	As of September 30, 2011
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Domestic		1,531.4		25.3		100.3		68.3		1,725.5

Overseas		173.3		1.9		7.8		19.5		202.6
Asia		25.7		0.0		0.2		3.8		29.8
Central and South America		53.3		1.5		6.2		0.0		61.2
North America		19.2		0.4		—		13.8		33.5
Eastern Europe		6.6		—		—		0.0		6.6
Western Europe		49.8		—		1.3		1.5		52.6
Other areas		18.4		—		—		0.3		18.7

Total		1,704.7		27.3		108.2		87.9		1,928.1

Exempt portion		n.a.		n.a.		n.a.		n.a.		1.1


	(Billions of yen)
	As of September 30, 2012
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Domestic		1,340.1		17.5		78.6		53.6		1,489.9

Overseas		241.0		0.5		24.7		10.6		277.0
Asia		44.5		0.0		0.7		3.1		48.4
Central and South America		103.7		0.0		15.1		0.0		118.9
North America		7.0		0.5		0.2		5.1		13.0
Eastern Europe		0.3		—		—		—		0.3
Western Europe		62.7		—		8.3		1.5		72.6
Other areas		22.5		—		0.2		0.7		23.4

Total		1,581.2		18.1		103.3		64.2		1,766.9

Exempt portion		n.a.		n.a.		n.a.		n.a.		1.1


Notes:

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

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

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

(E) Breakdown by industry


	(Billions of yen)
	As of September 30, 2011
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Manufacturing		386.2		7.3		48.2		18.3		460.1
Construction		68.6		2.9		0.5		1.2		73.4
Real estate		265.8		5.3		0.1		1.9		273.2
Service industries		207.0		4.5		3.5		6.1		221.1
Wholesale and retail		281.3		1.8		44.5		36.6		364.3
Finance and insurance		28.4		1.8		0.1		16.2		46.7
Individuals		250.1		—		0.0		1.4		251.6
Other industries		217.0		3.5		10.9		5.8		237.3

Total		1,704.7		27.3		108.2		87.9		1,928.1

Exempt portion		n.a.		n.a.		n.a.		n.a.		1.1



	(Billions of yen)
	As of September 30, 2012
	Loans, commitments and other non-OTC derivative off-balance-sheet exposures		Securities		OTC derivatives		Others		Total
Manufacturing		330.6		4.7		33.6		16.4		385.5
Construction		51.3		2.7		0.2		1.0		55.3
Real estate		260.0		7.3		0.0		0.6		268.0
Service industries		173.7		1.3		5.8		5.3		186.3
Wholesale and retail		237.3		1.0		39.4		27.0		304.9
Finance and insurance		28.8		0.2		2.9		6.9		39.0
Individuals		225.2		—		0.0		1.3		226.6
Other industries		273.9		0.5		21.1		5.4		301.1

Total		1581.2		18.1		103.3		64.2		1766.9

Exempt portion		n.a.		n.a.		n.a.		n.a.		1.1


Notes:

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

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

— Status of reserves for possible losses on loans

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

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

(after partial direct write-offs)


	(Billions of yen)
	As of, or for the six months ended, September 30, 2011		As of, or for the six months ended, September 30, 2012
General reserve for possible losses on loans
Beginning balance		501.4		447.5
Increase during the six-month period		492.2		440.5
Decrease during the six-month period		501.4		447.5
Ending balance		492.2		440.5

Specific reserve for possible losses on loans
Beginning balance		259.1		243.9
Increase during the six-month period		227.4		210.5
Decrease during the six-month period		259.1		243.9
Ending balance		227.4		210.5

Reserve for possible losses on loans to restructuring countries
Beginning balance		0.0		0.0
Increase during the six-month period		0.0		0.0
Decrease during the six-month period		0.0		0.0
Ending balance		0.0		0.0

Total
Beginning balance		760.5		691.5
Increase during the six-month period		719.7		651.0
Decrease during the six-month period		760.5		691.5
Ending balance		719.7		651.0


Note:

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

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


		(Billions of yen)
	As of March 31, 2011		As of September 30, 2011		Change
Domestic		220.0		187.0		(32.9	)
Manufacturing		27.0		17.9		(9.1	)
Construction		18.6		7.1		(11.5	)
Real estate		19.7		21.2		1.5
Service industries		17.0		15.0		(2.0	)
Wholesale and retail		39.0		39.6		0.5
Finance and insurance		0.5		0.4		(0.1	)
Individuals		84.2		75.4		(8.8	)
Others		13.5		10.2		(3.2	)

Overseas		34.2		35.3		1.0

Exempt portion		4.8		5.0		0.1

Total		259.1		227.4		(31.6	)


	(Billions of yen)
	As of March 31, 2012		As of September 30, 2012		Change
Domestic		187.4		172.0		(15.3	)
Manufacturing		26.8		34.9		8.1
Construction		6.0		6.1		0.0
Real estate		20.3		20.8		0.4
Service industries		14.1		13.7		(0.3	)
Wholesale and retail		39.7		38.8		(0.9	)
Finance and insurance		0.8		0.1		(0.6	)
Individuals		67.3		45.7		(21.5	)
Others		12.0		11.6		(0.3	)

Overseas		50.4		34.1		(16.3	)

Exempt portion		6.0		4.3		(1.7	)

Total		243.9		210.5		(33.4	)

Note:

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

(H) Write-offs of loans by industry


	(Billions of yen)
	For the six months ended September 30, 2011		For the six months ended September 30, 2012
Manufacturing		2.6		5.0
Construction		0.4		0.4
Real estate		1.3		0.4
Service industries		2.2		1.6
Wholesale and retail		5.1		2.2
Finance and insurance		0.3		0.0
Individuals		6.1		5.5
Other industries		0.8		3.9

Exempt portion		0.0		0.2

Total		19.3		19.6


Notes:

1.		The above table represents the breakdown of losses on write-offs of loans recorded in our consolidated statement of income after excluding the amounts associated with regarded-method exposure and securitization exposure.

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

3.		“Other industries” include overseas and non-Japanese resident portions.

— Status of exposure to which the standardized approach is applied

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


	(Billions of yen)
	As of September 30, 2011
	On-balance sheet		Off-balance sheet		Total
	On-balance sheet		Off-balance sheet		Total		With external rating
Risk weight
0%		555.5		3,227.4		3,783.0		112.8
10%		0.8		0.1		1.0		—
20%		311.6		846.2		1,157.8		5.1
35%		0.0		—		0.0		—
50%		8.3		0.4		8.7		1.7
100%		1,992.9		797.8		2,790.7		51.7
150%		0.0		—		0.0		—
350%		—		—		—		—
625%		—		0.0		0.0		—
937.5%		—		0.0		0.0		—
1,250%		—		0.0		0.0		—

Total		2,869.3		4,872.1		7,741.5		171.5


	(Billions of yen)
	As of September 30, 2012
	On-balance sheet		Off-balance sheet		Total
	On-balance sheet		Off-balance sheet		Total		With external rating
Risk weight
0%		477.7		3,416.1		3,893.8		138.1
10%		74.0		0.9		75.0		—
20%		298.6		775.1		1,073.8		10.5
35%		—		—		—		—
50%		9.4		1.2		10.6		2.8
100%		2,073.2		797.8		2,871.1		28.8
150%		0.0		—		0.0		—
350%		—		—		—		—
625%		—		0.0		0.0		—
937.5%		—		0.0		0.0		—
1,250%		—		0.0		0.0		—

Total		2,933.1		4,991.3		7,924.5		180.4


Notes:

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

2.		Off-balance-sheet exposure shows credit equivalent amount.

(J) Deduction from capital


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Deduction from capital		24.8		26.3

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

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


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Risk weight
50%		287.6		—
70%		556.2		9.0
90%		123.2		—
95%		4.1		115.2
115%		152.4		21.7
120%		—		18.1
140%		3.7		11.0
250%		378.4		153.5
Default		86.7		6.9

Total		1,592.7		335.6

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


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Risk weight
300%		196.1		177.2
400%		69.0		67.0

Total		265.1		244.2


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

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


	(Billions of yen, except percentages)
	As of September 30, 2011
					EL		Risk
	PD		LGD		default		weight										Weighted
	(EAD		(EAD		(EAD		(EAD										average of
	weighted		weighted		weighted		weighted		EAD						Amount of		credit
	average) (%)		average) (%)		average) (%)		average) (%)		(Billions of yen)		On-balance sheet		Off-balance sheet		undrawn commitments		conversion factor (%)
Corporate		3.98		35.38		n.a.		46.31		51,611.9		37,806.1		13,805.8		10,349.5		75.07
Investment grade zone		0.11		36.73		n.a.		23.85		29,759.5		19,440.5		10,318.9		8,508.5		75.06
Non-investment grade zone		3.09		32.44		n.a.		79.49		20,464.4		17,122.7		3,341.6		1,815.2		75.13
Default		100.00		49.75		46.84		38.57		1,388.0		1,242.8		145.2		25.6		75.00

Sovereign		0.00		38.73		n.a.		0.89		71,842.9		53,458.3		18,384.5		122.1		75.11
Investment grade zone		0.00		38.73		n.a.		0.81		71,772.3		53,389.5		18,382.8		121.9		75.11
Non-investment grade zone		2.18		38.72		n.a.		88.78		70.4		68.7		1.7		0.2		75.00
Default		100.00		62.14		57.33		63.77		0.1		0.1		—		—		—

Bank		0.87		36.64		n.a.		25.34		5,314.3		2,500.2		2,814.1		291.7		75.48
Investment grade zone		0.11		36.30		n.a.		21.20		4,803.5		2,280.1		2,523.3		234.7		75.59
Non-investment grade zone		1.51		36.56		n.a.		66.67		476.6		186.0		290.5		56.9		75.00
Default		100.00		86.52		84.19		30.93		34.1		33.9		0.1		—		—

Equity exposure under PD/LGD approach		0.64		90.00		n.a.		128.50		883.5		883.5		—		—		—
Investment grade zone		0.07		90.00		n.a.		108.49		787.6		787.6		—		—		—
Non-investment grade zone		2.53		90.00		n.a.		301.53		93.1		93.1		—		—		—
Default		100.00		90.00		90.00		—		2.7		2.7		—		—		—

Total		1.63		37.66		n.a.		20.84		129,652.8		94,648.3		35,004.5		10,763.4		75.08
Investment grade zone		0.04		38.44		n.a.		8.91		107,123.1		75,897.9		31,225.2		8,865.2		75.07
Non-investment grade zone		3.05		32.81		n.a.		80.21		21,104.6		17,470.7		3,633.9		1,872.4		75.13
Default		100.00		50.71		47.82		38.31		1,425.0		1,279.6		145.4		25.6		75.00


	(Billions of yen, except percentages)
	As of September 30, 2012
					EL		Risk
	PD		LGD		default		weight										Weighted
	(EAD		(EAD		(EAD		(EAD										average of
	weighted average)		weighted average)		weighted average)		weighted average)		EAD (Billions of						Amount of undrawn		credit conversion
	weighted average)		weighted average)		weighted average)		weighted average)		EAD (Billions of		On-balance		Off-balance		Amount of undrawn		credit conversion
	(%)		(%)		(%)		(%)		yen)		sheet		sheet		commitments		factor (%)
Corporate		3.45		36.57		n.a.		43.73		55,061.6		41,467.5		13,594.0		10,760.8		75.10
Investment grade zone		0.09		38.20		n.a.		23.30		33,256.3		22,577.6		10,678.7		9,121.9		75.08
Non-investment grade zone		2.67		33.26		n.a.		77.40		20,482.4		17,689.2		2,793.2		1,630.5		75.21
Default		100.00		46.58		43.87		35.84		1,322.7		1,200.6		122.0		8.4		75.00

Sovereign		0.01		39.89		n.a.		0.95		73,404.0		55,405.4		17,998.5		302.8		75.11
Investment grade zone		0.00		39.89		n.a.		0.83		73,300.2		55,306.5		17,993.6		301.9		75.11
Non-investment grade zone		1.64		39.66		n.a.		84.65		101.6		96.8		4.7		0.8		75.00
Default		100.00		59.05		54.11		65.48		2.1		2.0		0.0		0.1		75.00

Bank		0.42		37.67		n.a.		21.75		5,789.2		3,022.7		2,766.5		332.6		75.29
Investment grade zone		0.08		37.55		n.a.		18.29		5,269.6		2,770.0		2,499.6		276.0		75.35
Non-investment grade zone		0.82		38.05		n.a.		57.30		503.6		239.7		263.9		56.5		75.00
Default		100.00		65.20		62.03		41.99		15.9		12.9		2.9		—		—

Equity exposure under PD/LGD approach		0.33		90.00		n.a.		122.59		856.6		856.6		—		—		—
Investment grade zone		0.06		90.00		n.a.		107.44		763.8		763.8		—		—		—
Non-investment grade zone		1.29		90.00		n.a.		250.35		91.6		91.6		—		—		—
Default		100.00		90.00		90.00		—		1.1		1.1		—		—		—

Total		1.43		38.76		n.a.		20.05		135,111.5		100,752.3		34,359.1		11,396.3		75.10
Investment grade zone		0.03		39.62		n.a.		9.01		112,590.0		81,418.0		31,172.0		9,699.8		75.09
Non-investment grade zone		2.62		33.65		n.a.		77.70		21,179.5		18,117.5		3,061.9		1,687.9		75.20
Default		100.00		46.86		44.15		35.93		1,341.9		1,216.8		125.1		8.5		75.00


Notes:

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

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

3.		Each asset class includes purchased receivables.

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

(Reference) Obligor ratings

Obligor ratings

(major category)

Definition of ratings

Classification

A1–A3

Obligors whose certainty of debt fulfillment is very high, hence their level of credit risk is excellent.

Investment grade zone

B1–B2

Obligors whose certainty of debt fulfillment poses no problems for the foreseeable future, hence their level of credit risk is sufficient.

C1–C3

Obligors whose certainty of debt fulfillment and their level of credit risk pose no problems for the foreseeable future.

D1–D3

Obligors whose current certainty of debt fulfillment poses no problems, however, their resistance to future changes in business environment is low.

Non-investment grade zone

Obligors who require close watching going forward because there are problems with their borrowing conditions, such as reduced or suspended interest payments, problems with fulfillment such as de facto postponements of principal or interest payments, or problems with their financial positions as a result of their poor or unstable business conditions.

Obligors who are not yet bankrupt but are in financial difficulties and are deemed to be very likely to go bankrupt in the future because they are finding it difficult to make progress in implementing their management improvement plans (including obligors who are receiving ongoing support from financial institutions).

Default

Obligors who have not yet gone legally or formally bankrupt but who are substantially bankrupt because they are in serious financial difficulties and are not deemed to be capable of restructuring.

Obligors who have already gone bankrupt, from both a legal and/or formal perspective.

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

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


	(Billions of yen, except percentages)
	As of September 30, 2011
					EL		Risk
	PD		LGD		default		weight										Weighted
	(EAD		(EAD		(EAD		(EAD										average of
	weighted		weighted		weighted		weighted		EAD						Amount of		credit
	average)		average)		average)		average)		(Billions of		On-balance		Off-balance		undrawn		conversion
	(%)		(%)		(%)		(%)		yen)		sheet		sheet		commitments		factor (%)
Residential mortgage		3.06		41.66		n.a.		34.99		10,621.4		10,315.4		306.0		6.7		75.00
Non-default		0.90		41.51		n.a.		35.16		10,389.2		10,089.6		299.6		6.7		75.00
Default		100.00		48.28		46.22		27.28		232.2		225.7		6.4		—		—

Qualifying revolving loan (retail)		3.90		79.63		n.a.		70.44		347.5		239.3		108.2		1,430.5		7.56
Non-default		3.37		79.63		n.a.		70.60		345.6		237.7		107.8		1,428.1		7.55
Default		100.00		78.84		75.69		41.62		1.9		1.6		0.3		2.3		14.29

Other retail		5.88		51.53		n.a.		49.53		2,743.5		2,715.3		28.2		24.2		73.85
Non-default		1.90		51.63		n.a.		50.23		2,632.1		2,608.1		24.0		19.8		69.57
Default		100.00		49.15		46.66		33.01		111.3		107.1		4.2		4.3		93.55

Total		3.65		44.60		n.a.		38.80		13,712.6		13,270.1		442.5		1,461.4		8.97
Non-default		1.16		44.49		n.a.		39.04		13,367.0		12,935.5		431.5		1,454.8		8.71
Default		100.00		48.73		46.53		29.21		345.5		334.5		10.9		6.6		65.74


	(Billions of yen, except percentages)
	As of September 30, 2012
					EL		Risk
	PD		LGD		default		weight										Weighted
	(EAD		(EAD		(EAD		(EAD										average of
	weighted		weighted		weighted		weighted		EAD						Amount of		credit
	average)		average)		average)		average)		(Billions of		On-balance		Off-balance		undrawn		conversion
	(%)		(%)		(%)		(%)		yen)		sheet		sheet		commitments		factor (%)
Residential mortgage		2.81		42.10		n.a.		34.28		10,474.4		10,209.5		264.9		7.3		75.00
Non-default		0.82		41.96		n.a.		34.43		10,264.6		10,005.2		259.4		7.3		75.00
Default		100.00		49.00		46.95		27.09		209.8		204.2		5.5		—		—

Qualifying revolving loan (retail)		3.99		79.23		n.a.		73.11		351.1		239.2		111.8		1,413.6		7.91
Non-default		3.61		79.23		n.a.		73.24		349.7		238.1		111.6		1,411.7		7.91
Default		100.00		78.00		74.97		40.12		1.3		1.1		0.2		1.9		11.87

Other retail		5.60		52.59		n.a.		47.40		2,801.2		2,779.0		22.2		21.0		72.99
Non-default		1.77		52.77		n.a.		47.99		2,691.9		2,673.5		18.3		17.1		67.79
Default		100.00		48.14		45.66		32.81		109.3		105.4		3.8		3.9		95.75

Total		3.41		45.21		n.a.		37.98		13,626.9		13,227.8		399.0		1,442.1		9.21
Non-default		1.09		45.13		n.a.		38.19		13,306.4		12,917.0		389.4		1,436.2		8.97
Default		100.00		48.83		46.63		29.09		320.4		310.8		9.6		5.8		68.13


Notes:

1.		Each asset class includes purchased receivables.

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

(O) Actual losses by asset class


	(Billions of yen)
	For the period from October 1, 2010 through September 30, 2011		For the period from October 1, 2011 through September 30, 2012
	Actual losses		Actual losses
Corporate		41.1		28.0
Sovereign		0.2		0.1
Bank		0.0		(4.7	)
Residential mortgage		13.3		(12.0	)
Qualifying revolving loan (retail)		0.2		0.3
Other retail		4.6		1.5

Total		59.5		13.2


Note:

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

<Analysis>

Actual losses for the period from October 1, 2011 through September 30, 2012 decreased by ¥46.3billion from the period from October 1, 2010 through September 30, 2011 to ¥13.2 billion. The decrease was due mainly to decrease in losses from corporate exposure and retail exposure.

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


	(Billions of yen)
	For the period from October 1, 2007 through September 30, 2008							For the period from October 1, 2008 through September 30, 2009
	Estimated losses (expected losses as of September 30, 2007)							Estimated losses (expected losses as of September 30, 2008)
			After deduction of reserves			Actual losses				After deduction of reserves			Actual losses
Corporate		1,060.5		202.0			28.2		998.6		390.4			433.9
Sovereign		2.2		(9.3	)		0.7		1.6		(10.7	)		0.0
Bank		8.0		4.2			34.4		18.9		(18.4	)		0.0
Residential mortgage		85.8		18.6			16.9		96.4		22.9			21.3
Qualifying revolving loan (retail)		7.4		2.5			0.0		8.0		3.1			2.2
Other retail		50.1		12.6			4.3		53.2		16.0			6.2

Total		1,214.3		230.7			84.8		1,176.9		403.3			463.9


	(Billions of yen)
	For the period from October 1, 2009 through September 30, 2010								For the period from October 1, 2010 through September 30, 2011
	Estimated losses (expected losses as of September 30, 2009)								Estimated losses (expected losses as of September 30, 2010)
			After deduction of reserves			Actual losses					After deduction of reserves			Actual losses
Corporate		1,377.8		503.2			45.2			1,151.1		406.3			41.1
Sovereign		4.1		(8.3	)		0.3			1.4		(11.5	)		0.2
Bank		42.7		5.6			(3.1	)		32.0		3.9			0.0
Residential mortgage		107.8		26.5			36.6			143.2		38.8			13.3
Qualifying revolving loan (retail)		10.4		3.6			0.2			10.7		3.8			0.2
Other retail		54.6		15.8			22.4			78.6		25.1			4.6

Total		1,597.7		546.6			101.8			1,417.2		466.5			59.5


									(Billions of yen)
									For the period from October 1, 2011 through September 30, 2012
									Estimated losses (expected losses as of September 30, 2011)
											After deduction of reserves			Actual losses
Corporate										937.7		349.2			28.0
Sovereign										1.3		(11.8	)		0.1
Bank										33.0		5.1			(4.7	)
Residential mortgage										146.0		42.8			(12.0	)
Qualifying revolving loan (retail)										10.7		3.6			0.3
Other retail										75.0		24.1			1.5

Total										1,203.9		413.3			13.2


Notes:

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

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

n Methods for credit risk mitigation

(4) Credit risk mitigation by portfolio classification

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


	(Billions of yen)
	As of September 30, 2011
	Financial collateral		Other collateral		Guarantees		Credit derivatives		Total
Internal ratings-based approach		2,388.3		4,750.4		5,422.5		39.1		12,600.6
Corporate		1,991.2		4,527.1		3,405.4		39.1		9,963.0
Sovereign		0.1		21.9		611.5		—		633.7
Bank		368.7		28.3		384.4		—		781.4
Retail		28.2		172.9		1,021.1		—		1,222.3
Residential mortgage		—		—		239.3		—		239.3
Qualifying revolving loan		—		—		0.4		—		0.4
Other retail		28.2		172.9		781.3		—		982.6
Others		—		—		—		—		—

Standardized approach		2,963.0		n.a.		—		—		2,963.0
Sovereign		2,845.6		n.a.		—		—		2,845.6
Bank		0.9		n.a.		—		—		0.9
Corporate		116.5		n.a.		—		—		116.5
Residential mortgage		—		n.a.		—		—		—
Securitizations		—		n.a.		—		—		—
Others		—		n.a.		—		—		—

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


	(Billions of yen)
	As of September 30, 2012
	Financial collateral		Other collateral		Guarantees		Credit derivatives		Total
Internal ratings-based approach		2,324.7		4,758.1		5,109.5		41.2		12,233.6
Corporate		1,931.6		4,521.8		3,394.7		41.2		9,889.5
Sovereign		0.0		19.3		723.7		—		743.1
Bank		364.8		32.9		20.6		—		418.5
Retail		28.1		183.9		970.4		—		1,182.4
Residential mortgage		—		—		214.7		—		214.7
Qualifying revolving loan		—		—		0.3		—		0.3
Other retail		28.1		183.9		755.2		—		967.2
Others		—		—		—		—		—

Standardized approach		2,914.9		n.a.		—		—		2,914.9
Sovereign		2,891.9		n.a.		—		—		2,891.9
Bank		—		n.a.		—		—		—
Corporate		23.0		n.a.		—		—		23.0
Residential mortgage		—		n.a.		—		—		—
Securitizations		—		n.a.		—		—		—
Others		—		n.a.		—		—		—

Total		5,239.7		4,758.1		5,109.5		41.2		15,148.6

n Counterparty risk in derivatives transactions and long-settlement transactions

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

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

Derivative transactions


			(Billions of yen)
			As of September 30, 2011						As of September 30, 2012
Current exposure method			Gross replacement cost		Gross add-on		Credit equivalent amount		Gross replacement cost		Gross add-on		Credit equivalent amount
Foreign exchange-related transactions				2,710.6		1,686.4		4,397.1		1,807.1		1,817.5		3,624.7
Interest rate-related transactions				6,647.7		2,695.9		9,343.6		6,194.1		2,667.0		8,861.1
Gold-related transactions				0.0		0.0		0.0		—		—		—
Equity-related transactions				73.6		75.1		148.8		62.0		95.6		157.7
Transactions related to precious metals (other than gold)				0.0		0.0		0.1		—		—		—
Other commodity-related transactions				63.5		55.9		119.5		42.6		40.6		83.3
Credit derivatives transactions				86.8		469.4		556.2		93.2		313.0		406.2
Subtotal	(A	)		9,582.6		4,982.9		14,565.6		8,199.2		4,933.9		13,133.1
Less: Netting benefits by close-out netting settlement contracts	(B	)		n.a.		n.a.		9,488.8		n.a.		n.a.		8,476.6
Subtotal	(C	)=(A)+(B)		n.a.		n.a.		5,076.7		n.a.		n.a.		4,656.5
Less: Effect of credit risk mitigation by collateral	(D	)		n.a.		n.a.		349.2		n.a.		n.a.		449.1

Total	(C	)+(D)		n.a.		n.a.		4,727.5		n.a.		n.a.		4,207.3


Standardized method							Credit equivalent amount						Credit equivalent amount
Total								215.6						182.7

Note:

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

Long-settlement transactions

(Billions of yen)

As of September 30, 2011

As of September 30, 2012

Gross
replacement
cost

Gross
add-on

Credit
equivalent
amount

Gross
replacement
cost

Gross
add-on

Credit
equivalent
amount

Long-settlement transactions

28.3

1.1

29.4

0.5

0.8

1.4


Notes:

1.		The current exposure method is used as the method to calculate credit equivalent amounts.

2.		Neither the “netting benefits by close-out netting settlement contracts” nor the “effect of credit risk mitigation by collateral” applies to long-settlement transactions.

(B) Amounts of credit risk mitigation by type


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Financial collateral		54.7		39.0
Other collateral		129.9		83.6
Guarantees, others		18.1		18.1

Total		202.8		140.8

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


		(Billions of yen)
		As of September 30, 2011		As of September 30, 2012
		Notional amount		Notional amount
Credit derivatives type:
Credit default swap	Protection bought		3,488.7		2,652.4
	Protection sold		3,574.0		2,539.1

Total return swap	Protection bought		—		—
	Protection sold		—		—

Total	Protection bought		3,488.7		2,652.4
	Protection sold		3,574.0		2,539.1

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


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Credit derivatives used for credit risk mitigation		92.9		120.4

n Securitization exposure

(6) Quantitative disclosure items for securitization exposure

— Securitization exposure as originator (for calculation of credit risk-weighted assets)

(A) Information by type of underlying assets


	(Billions of yen)
	As of, or for the six months ended, September 30, 2011
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Traditional securitizations
Amount of underlying assets (a)		—		183.1		—		—		—		—		—		183.1
Default exposure		—		2.6		—		—		—		—		—		2.6
Losses during the six-month period		—		0.4		—		—		—		—		—		0.4
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Securitization subject to early amortization treatment		—		—		—		—		—		—		—		—
Synthetic securitizations
Amount of underlying assets (b)		—		—		—		—		763.7		34.4		—		798.2
Default exposure		—		—		—		—		—		—		—		—
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		63.6		—		—		63.6
Total amount of underlying assets (a)+(b)		—		183.1		—		—		763.7		34.4		—		981.4


	(Billions of yen)
	As of, or for the six months ended, September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Traditional securitizations
Amount of underlying assets (a)		—		155.1		—		—		—		—		—		155.1
Default exposure		—		2.0		—		—		—		—		—		2.0
Losses during the six-month period		—		0.1		—		—		—		—		—		0.1
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Securitization subject to early amortization treatment		—		—		—		—		—		—		—		—
Synthetic securitizations
Amount of underlying assets (b)		—		—		—		—		562.3		10.0		—		572.3
Default exposure		—		—		—		—		—		—		—		—
Losses during the six-month period		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Total amount of underlying assets (a)+(b)		—		155.1		—		—		562.3		10.0		—		727.4


Notes:

1.		Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2011 and 2012.

2.		“Amount of underlying assets” and “Losses during the six-month period” include those related to, in addition to exposure originated by us, exposure to assets originated by other financial institutions if they are contained in the same securitization program.

3.		“Default exposure” and “Losses during the six-month period” with respect to synthetic securitization transactions are based on the definition of default as set forth in the respective transactions.

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

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

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

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

–Exposure intended to be securitized–

(Billions of yen)

As of September 30, 2011

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Exposure intended to be securitized

—

(Billions of yen)

As of September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Exposure intended to be securitized

—

(B) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2011
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
On-balance sheet		—		36.9		—		—		763.7		34.4		—		835.2
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		36.9		—		—		763.7		34.4		—		835.2
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations deducted from capital		—		—		—		—		3.2		4.5		—		7.7
Exposure whose underlying assets are overseas assets		—		—		—		—		—		—		—		—

	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
On-balance sheet		—		35.7		—		—		562.3		10.0		—		608.1
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		35.7		—		—		562.3		10.0		—		608.1
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations deducted from capital		—		—		—		—		1.5		—		—		1.5
Exposure whose underlying assets are overseas assets		—		—		—		—		—		—		—		—


Notes:

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

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

3.		“Exposure whose underlying assets are overseas assets” is classified based on the principal underlying asset type for each transaction.

4.		“Exposure on resecuritizations” as of both September 30, 2011 and 2012 are classified following Article 1, Paragraph 2-2 of the Consolidated Capital Adequacy Ratio Notice (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		704.7		—		—		—		704.7		—
Up to 50%		36.8		—		—		—		36.8		—
Up to 100%		41.0		—		—		—		41.0		—
Up to 250%		—		—		—		—		—		—
Up to 650%		34.4		—		—		—		34.4		—
Over 650%		10.4		—		—		—		10.4		—

Deduction from capital		7.7		—		—		—		7.7		—

Total		835.2		—		—		—		835.2		—


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		514.5		—		—		—		514.5		—
Up to 50%		20.1		—		—		—		20.1		—
Up to 100%		36.7		—		—		—		36.7		—
Up to 250%		—		—		—		—		—		—
Up to 650%		26.1		—		—		—		26.1		—
Over 650%		9.1		—		—		—		9.1		—

Deduction from capital		1.5		—		—		—		1.5		—

Total		608.1		—		—		—		608.1		—


Note:		“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Amount of required capital by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		4.2		—		—		—		4.2		—
Up to 50%		0.9		—		—		—		0.9		—
Up to 100%		2.6		—		—		—		2.6		—
Up to 250%		—		—		—		—		—		—
Up to 650%		0.2		—		—		—		0.2		—
Over 650%		0.1		—		—		—		0.1		—

Deduction from capital		—		—		—		—		—		—

Total		8.2		—		—		—		8.2		—


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		3.1		—		—		—		3.1		—
Up to 50%		0.5		—		—		—		0.5		—
Up to 100%		1.9		—		—		—		1.9		—
Up to 250%		—		—		—		—		—		—
Up to 650%		0.3		—		—		—		0.3		—
Over 650%		0.0		—		—		—		0.0		—

Deduction from capital		—		—		—		—		—		—

Total		5.9		—		—		—		5.9		—


Note:		“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Credit risk mitigation against exposure on resecuritizations


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Risk weight
Up to 20%		—		—
Up to 50%		—		—
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		—		—


Note:		The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

–Capital increase due to securitization transactions–


	(Billions of yen)
	As of September 30, 2011
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Capital increase due to securitization transactions		—		3.8		—		—		—		—		—		3.8


	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securitization products		Total
Capital increase due to securitization transactions		—		2.9		—		—		—		—		—		2.9

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


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the Consolidated Capital Adequacy Ratio Notice		—		—

— Securitization exposure as sponsor of securitization programs (ABCP/ABL) (for calculation of credit risk-weighted assets)

(C) Information by type of underlying assets

(Billions of yen)

As of, or for the six months ended, September 30, 2011

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

Amount of underlying assets

84.4

—

107.2

146.5

389.3

—

12.0

739.6

Default exposure

—

0.1

7.8

—

0.0

8.0

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

0.3

—

0.8

0.6

4.0

—

0.0

5.9

Amount of exposures securitized during the
six-month period

293.4

—

263.5

943.8

1,298.6

—

42.0

2,841.4

(Billions of yen)

As of, or for the six months ended, September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

Amount of underlying assets

75.9

—

88.2

83.4

408.0

—

15.5

671.3

Default exposure

—

9.3

—

9.3

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

0.2

—

0.6

0.1

5.5

—

0.0

6.6

Amount of exposures securitized during the
six-month period

236.2

—

229.4

516.5

1361.0

—

31.3

2,374.4


Notes:

1.		Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2011 and 2012.

2.		Securitization exposure that is acquired in securitization of customer’s claims other than as sponsor (in the form of asset-backed securities, trust beneficiary rights and other transferable instruments) is categorized as securitization exposure as investor.

3.		The amount of default exposure is the amount of the underlying assets recognized as default in the calculation of capital adequacy ratio.

4.		Estimated loss amount related to underlying assets is based on the amount of the underlying assets as of the relevant date and the following parameters that are used in the calculation of capital adequacy ratio: • parameters used in the calculation of required capital for an underlying asset when applying the supervisory formula (e.g., PD); and • with respect to underlying assets classified as securitization exposure, the conservative application of risk weights used in the ratings-based approach.

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

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

(D) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2011
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Account and note receivables		Real estate		Others		Total
On-balance sheet		70.6		—		103.1		104.9		283.8		—		5.9		568.5
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		58.7		—		19.6		43.5		120.2		—		21.0		263.2
Exposure on resecuritizations		—		—		—		—		—		—		—		—

Total		129.4		—		122.8		148.4		404.1		—		27.0		831.8

Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations deducted from capital		—		—		—		—		—		—		—		—
Exposure whose underlying assets are overseas assets		44.0		—		57.4		15.3		87.2		—		21.0		225.1


	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Account and note receivables		Real estate		Others		Total
On-balance sheet		62.2		—		71.3		41.3		282.4		—		3.7		461.1
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		75.4		—		56.9		33.9		183.9		—		21.3		371.6
Exposure on resecuritizations		—		—		—		—		—		—		—		—

Total		137.7		—		128.3		75.2		466.3		—		25.0		832.7

Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations deducted from capital		—		—		—		—		—		—		—		—
Exposure whose underlying assets are overseas assets		56.2		—		69.8		—		154.4		—		21.3		301.9


Notes:

1.		Securitization exposure retained or purchased includes unused portions of securitization programs that are subject to allocation of required capital.

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

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

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

5.		“Exposure on resecuritizations” as of both September 30, 2011 and 2012 are classified following Article 1, Paragraph 2-2 of the Consolidated Capital Adequacy Ratio Notice (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		549.1		—		256.0		—		805.2		—
Up to 50%		17.4		—		7.2		—		24.6		—
Up to 100%		0.0		—		—		—		0.0		—
Up to 250%		1.9		—		—		—		1.9		—
Up to 650%		—		—		—		—		—		—
Over 650%		—		—		—		—		—		—

Deduction from capital		—		—		—		—		—		—

Total		568.5		—		263.2		—		831.8		—


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		428.1		—		353.9		—		782.1		—
Up to 50%		30.2		—		17.4		—		47.7		—
Up to 100%		0.2		—		0.1		—		0.3		—
Up to 250%		2.4		—		—		—		2.4		—
Up to 650%		—		—		—		—		—		—
Over 650%		—		—		—		—		—		—

Deduction from capital		—		—		—		—		—		—

Total		461.1		—		371.6		—		832.7		—

Note:

“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Amount of required capital by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		3.6		—		1.6		—		5.2		—
Up to 50%		0.3		—		0.2		—		0.5		—
Up to 100%		0.0		—		—		—		0.0		—
Up to 250%		0.1		—		—		—		0.1		—
Up to 650%		—		—		—		—		—		—
Over 650%		—		—		—		—		—		—

Deduction from capital		—		—		—		—		—		—

Total		4.1		—		1.8		—		5.9		—


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		3.1		—		2.1		—		5.3		—
Up to 50%		0.6		—		0.3		—		1.0		—
Up to 100%		0.0		—		0.0		—		0.0		—
Up to 250%		0.2		—		—		—		0.2		—
Up to 650%		—		—		—		—		—		—
Over 650%		—		—		—		—		—		—

Deduction from capital		—		—		—		—		—		—

Total		4.0		—		2.6		—		6.6		—

Note:

“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Credit risk mitigation against exposure on resecuritizations–


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Risk weight
Up to 20%		—		—
Up to 50%		—		—
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		—		—

Note:

The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

–Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the Consolidated

Capital Adequacy Ratio Notice–


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the Consolidated Capital Adequacy Ratio Notice		—		—

— Securitization exposure as investor (for calculation of credit risk-weighted assets)

(E) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2011
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		26.8		1,535.1		124.8		67.7		193.4		356.9		111.2		2,416.3
Exposure on resecuritizations		—		36.3		100.5		—		101.0		0.0		3.0		240.9
Off-balance sheet		—		—		8.8		8.5		1.6		0.6		4.9		24.7
Exposure on resecuritizations		—		—		7.8		—		—		—		—		7.8

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

Exposure on resecuritizations		—		36.3		108.4		—		101.0		0.0		3.0		248.8
Exposure on securitizations deducted from capital		—		8.8		0.0		0.3		7.3		41.1		3.9		61.6
Exposure whose underlying assets are overseas assets		16.5		79.7		12.7		26.5		159.4		22.2		13.5		330.7


	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		67.2		1,466.3		112.5		52.9		146.1		210.7		103.3		2,159.4
Exposure on resecuritizations		—		32.7		0.5		—		97.0		0.0		3.0		133.3
Off-balance sheet		—		—		9.3		10.9		—		0.6		4.5		25.4
Exposure on resecuritizations		—		—		—		—		—		—		—		—

Total		67.2		1,466.3		121.8		63.9		146.1		211.3		107.8		2,184.8

Exposure on resecuritizations		—		32.7		0.5		—		97.0		0.0		3.0		133.3
Exposure on securitizations deducted from capital		—		14.6		0.1		0.2		7.7		38.8		4.1		65.8
Exposure whose underlying assets are overseas assets		55.1		65.6		9.7		34.2		143.1		24.4		12.5		344.9


Notes:

1.		Subordinated contributions for managed collateralized loan obligations (“CLO”), etc., are included in the above table as exposure as investor even when the assets underlying those CLOs, etc., include exposures that were originated by us. Our subordinated contributions for those managed CLOs, etc., as of September 30, 2011 and 2012 were ¥0.6 billion and ¥0.6 billion, respectively (treated as deduction from capital for purpose of capital adequacy ratio calculation).

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

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

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

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

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

7.		“Exposure on resecuritizations” as of both September 30, 2011 and 2012 are classified following Article 1, Paragraph 2-2 of the Consolidated Capital Adequacy Ratio Notice (hereinafter the same).

–Exposure by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		2,065.8		230.3		19.0		7.8		2,084.9		238.2
Up to 50%		211.7		0.5		—		—		211.7		0.5
Up to 100%		59.4		—		—		—		59.4		—
Up to 250%		4.9		—		—		—		4.9		—
Up to 650%		13.7		—		4.5		—		18.3		—
Over 650%		—		—		—		—		—		—

Deduction from capital		60.6		10.0		1.0		—		61.6		10.0

Total		2,416.3		240.9		24.7		7.8		2,441.0		248.8


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		1,804.9		48.9		9.3		—		1,814.2		48.9
Up to 50%		229.4		73.4		10.9		—		240.4		73.4
Up to 100%		43.5		0.5		—		—		43.5		0.5
Up to 250%		2.8		—		—		—		2.8		—
Up to 650%		13.8		0.2		4.0		—		17.8		0.2
Over 650%		—		—		—		—		—		—

Deduction from capital		64.6		10.2		1.1		—		65.8		10.2

Total		2,159.4		133.3		25.4		—		2,184.8		133.3

Note:

“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Amount of required capital by risk weight category–


	(Billions of yen)
	As of September 30, 2011

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		15.7		2.5		0.2		0.0		16.0		2.5
Up to 50%		6.0		0.0		—		—		6.0		0.0
Up to 100%		4.1		—		—		—		4.1		—
Up to 250%		1.0		—		—		—		1.0		—
Up to 650%		6.1		—		1.2		—		7.4		—
Over 650%		—		—		—		—		—		—

Deduction from capital		51.1		0.6		1.0		—		52.1		0.6

Total		84.3		3.2		2.5		0.0		86.9		3.2


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk weight
Up to 20%		12.3		0.8		0.0		—		12.4		0.8
Up to 50%		5.8		1.6		0.2		—		6.0		1.6
Up to 100%		3.2		0.0		—		—		3.2		0.0
Up to 250%		0.6		—		—		—		0.6		—
Up to 650%		5.1		0.1		1.1		—		6.2		0.1
Over 650%		—		—		—		—		—		—

Deduction from capital		55.0		0.8		1.1		—		56.2		0.8

Total		82.3		3.4		2.5		—		84.8		3.4

Note:

“Exposure on resecuritizations” as of September 30, 2011 is based on the risk weight in the Basel II text.

–Credit risk mitigation against exposure on resecuritizations–


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Risk weight
Up to 20%		—		—
Up to 50%		—		35.4
Up to 100%		—		—
Up to 250%		—		—
Up to 650%		—		—
Over 650%		—		—

Total		—		35.4

Note:

The above table shows the exposure on resecuritizations based on the risk weight after taking into consideration the effect of method to mitigate credit risk.

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


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
Credit risk-weighted assets calculated pursuant to Article 15 of Supplementary Provisions of the Consolidated Capital Adequacy Ratio Notice		—		—

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

The balances of such portion as of September 30, 2011 and 2012 were ¥62.7 billion and ¥87.0 billion, respectively.

— Securitization exposure as originator (for calculation of market risk equivalent amounts)

(F) Information by type of underlying assets


	(Billions of yen)
	As of, or for the six months ended, September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securiti- zation products		Total
Traditional securitizations
Amount of underlying assets (a)		—		—		—		—		—		—		—		—
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Securitization subject to early amortization treatment		—		—		—		—		—		—		—		—
Synthetic securitizations
Amount of underlying assets (b)		—		—		—		—		1,040.0		—		—		1,040.0
Amount of exposures securitized during the six-month period		—		—		—		—		—		—		—		—
Gains and losses recognized on sales during the six-month period		—		—		—		—		—		—		—		—
Total amount of underlying assets (a)+(b)		—		—		—		—		1,040.0		—		—		1,040.0

Note:

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

—Exposure intended to be securitized—

(Billions of yen)

As of September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securiti-
zation
products

Total

Exposure intended to be securitized

—

(G) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Securiti- zation products		Total
On-balance sheet		—		—		—		—		5.8		—		—		5.8
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Off-balance sheet		—		—		—		—		17.9		—		—		17.9
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		—		—		—		—		23.8		—		—		23.8
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Exposure on securitizations deducted from capital		—		—		—		—		0.0		—		—		0.0
Exposure whose underlying assets are overseas assets		—		—		—		—		0.0		—		—		0.0


Notes:

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

2.		“Exposure whose underlying assets are overseas assets” is classified based on the principal underlying asset type for each transaction.

–Exposure by risk capital charge category–


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk capital charge
Up to 1.6%		—		—		—		—		—		—
Up to 4%		3.5		—		4.8		—		8.4		—
Up to 8%		2.3		—		9.7		—		12.0		—
Up to 20%		—		—		3.3		—		3.3		—
Up to 52%		—		—		—		—		—		—
Over 52%		—		—		—		—		—		—

Deduction from capital		0.0		—		—		—		0.0		—

Total		5.8		—		17.9		—		23.8		—


–Amount of required capital by risk capital charge category–

	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk capital charge
Up to 1.6%		—		—		—		—		—		—
Up to 4%		0.1		—		0.1		—		0.3		—
Up to 8%		0.1		—		0.5		—		0.7		—
Up to 20%		—		—		0.3		—		0.3		—
Up to 52%		—		—		—		—		—		—
Over 52%		—		—		—		—		—		—

Deduction from capital		0.0		—		—		—		0.0		—

Total		0.3		—		1.1		—		1.4		—

–Subject to Comprehensive Risk Measure–


	(Billions of yen)
	As of September 30, 2012
	Securitizations		Resecuritizations
Total amount of securitization exposure		—		—
Total amount of required capital		—		—

–Capital increase due to securitization transactions–

(Billions of yen)

As of September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Corporate

Real
estate

Securitization
products

Total

Capital increase due to securitization transactions

—

— Securitization exposure as sponsor of securitization programs (ABCP/ABL) (for calculation of market risk equivalent amounts)

(H) Information by type of underlying assets

(Billions of yen)

As of, or for the six months ended, September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

Amount of underlying assets

—

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

—

Amount of exposures securitized during the six-month period

—

(I) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–

(Billions of yen)

As of September 30, 2012

Credit
cards

Residential
mortgage
loans

Auto
loans

Lease
payment
receivables

Account
and note
receivables

Real
estate

Others

Total

On-balance sheet

—

Exposure on resecuritizations

—

Off-balance sheet

—

Exposure on resecuritizations

—

Total

—

Exposure on resecuritizations

—

Exposure on securitizations deducted from capital

—

Exposure whose underlying assets are overseas assets

—

–Exposure by risk capital charge category–

(Billions of yen)

As of September 30, 2012

On-balance
sheet

Off-balance
sheet

Exposure on
resecuritizations

Total

Exposure on
resecuritizations

Risk capital charge

—

Up to 1.6%

—

Up to 4%

—

Up to 8%

—

Up to 20%

—

Up to 52%

—

Over 52%

—

Deduction from capital

—

Total

—

–Amount of required capital by risk capital charge category–

(Billions of yen)

As of September 30, 2012

On-balance
sheet

Exposure on
resecuritizations

Off-balance
sheet

Exposure on
resecuritizations

Total

Exposure on
resecuritizations

Risk capital charge

Up to 1.6%

—

Up to 4%

—

Up to 8%

—

Up to 20%

—

Up to 52%

—

Over 52%

—

Deduction from capital

—

Total

—

— Securitization exposure as investor (for calculation of market risk equivalent amounts)

(J) Information of securitization exposure retained or purchased

–Exposure by type of underlying asset–


	(Billions of yen)
	As of September 30, 2012
	Credit cards		Residential mortgage loans		Auto loans		Lease payment receivables		Corporate		Real estate		Others		Total
On-balance sheet		0.1		2.8		8.1		0.0		16.0		6.2		2.8		36.4

Exposure on resecuritizations		—		—		—		—		—		—		0.2		0.2
Off-balance sheet		—		—		—		—		—		—		—		—
Exposure on resecuritizations		—		—		—		—		—		—		—		—
Total		0.1		2.8		8.1		0.0		16.0		6.2		2.8		36.4
Exposure on resecuritizations		—		—		—		—		—		—		0.2		0.2
Exposure on securitizations deducted from capital		0.0		1.3		—		0.0		8.2		1.1		0.2		11.1
Exposure whose underlying assets are overseas assets		0.1		2.5		8.1		—		0.0		0.0		0.6		11.5


Notes:

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

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

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

4.		“Exposure on resecuritizations” are classified following Article 1, Paragraph 2-2 of the Consolidated Capital Adequacy Ratio Notice (hereinafter the same).

–Exposure by risk capital charge category–


	(Billions of yen)
	As of September 30, 2012

	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk capital charge
Up to 1.6%		12.0		—		—		—		12.0		—
Up to 4%		2.1		—		—		—		2.1		—
Up to 8%		5.5		—		—		—		5.5		—
Up to 20%		—		—		—		—		—		—
Up to 52%		5.5		—		—		—		5.5		—
Over 52%		—		—		—		—		—		—

Deduction from capital		11.1		0.2		—		—		11.1		0.2

Total		36.4		0.2		—		—		36.4		0.2

–Amount of required capital by risk capital charge category–


	(Billions of yen)
	As of September 30, 2012
	On-balance sheet				Off-balance sheet
	On-balance sheet		Exposure on resecuritizations		Off-balance sheet		Exposure on resecuritizations		Total		Exposure on resecuritizations
Risk capital charge
Up to 1.6%		0.1		—		—		—		0.1		—
Up to 4%		0.0		—		—		—		0.0		—
Up to 8%		0.4		—		—		—		0.4		—
Up to 20%		—		—		—		—		—		—
Up to 52%		1.5		—		—		—		1.5		—
Over 52%		—		—		—		—		—		—

Deduction from capital		11.1		0.2		—		—		11.1		0.2

Total		13.4		0.2		—		—		13.4		0.2

–Subject to Comprehensive Risk Measure–


	(Billions of yen)
	As of September 30, 2012
	Securitization		Resecuritiation
Total amount of securitization exposure		—		—
Total amount of required capital		—		—

n Market risk

— Trading activities

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


	(Billions of yen)
	For the six months ended September 30, 2011		For the fiscal year ended March 31, 2012		For the six months ended September 30, 2012
End of period		3.9		3.0		3.3
Maximum		4.5		4.8		4.3
Minimum		3.1		2.8		2.6
Average		3.8		3.8		2.8
The number of cases where assumptive losses exceeded VaR during the period		1		2		1


Notes:

1.		Amount of market risk (VaR) is calculated based on the internal model.

2.		The multiplication factor for the calculation of market risk equivalent (internal models approach) is determined by the number of cases where assumptive losses exceeded VaR during the period.

3.		Our group companies which conduct trading activities are Mizuho Bank, Mizuho Corporate Bank, Mizuho Trust & Banking and Mizuho Securities, etc.


VaR method:
Linear risk:		variance co-variance model
Non-linear risk:		Monte-Carlo simulation
VaR:		Simple aggregation of linear risk and non-linear risk
Quantitative standard:		1. confidence interval: one-tailed 99.0%;
		2. holding period: 1 day; and
		3. historical observation period of one year (265 business days)

VaR (Value at Risk)

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

Back testing

The Back testing is one of the methods to evaluate the effectiveness of market risk measurements calculated using the VaR method that compares VaR and amount of losses (we compare VaR with assumptive profits and losses). The number of cases where assumptive losses exceeded VaR is the number of times in which losses exceeded VaR during the corresponding period.

The following table shows stressed VaR figures of our trading activities:


	(Billions of yen)
	For the fiscal year ended March 31, 2012		For the six months ended September 30, 2012
End of period		6.8		6.2
Maximum		10.5		8.2
Minimum		5.0		4.0
Average		7.4		5.2


Notes:

1.		The disclosure of Stressed VaR figures started as of, or for the fiscal year ended, March 31, 2012.

2.		Maximum, minimum and average for the fiscal year ended March 31, 2012 were calculated for the period between October 1, 2011 to March 31, 2012.


Stressed VaR method:
Linear risk:		variance co-variance model
Non-linear risk:		Monte-Carlo simulation
Stressed VaR:		Simple aggregation of linear risk and non-linear risk
Quantitative standard:		1. confidence interval: one-tailed 99.0%;
		2. holding period: 1 day; and
		3. historical observation period of one year of significant financial stress (265 business days)

Stressed VaR

The stressed VaR measurement is based on a continuous 12-month period of significant financial stress.

— Outlier criteria

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


	(Billions of yen)
	Amount of loss		Broadly-defined capital		Loss ratio to capital
As of September 30, 2011		568.6		7,615.2		7.4	%
As of March 31, 2012		483.2		7,775.0		6.2	%
As of September 30, 2012		427.4		7,665.1		5.5	%
Effect of yen interest rate		119.4		n.a.		n.a.
Effect of dollar interest rate		258.9		n.a.		n.a.
Effect of euro interest rate		29.1		n.a.		n.a.

Outlier criteria

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

Interest rate shock scenario under stress conditions in outlier criteria

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

n Equity exposure in banking book

(7) Status of equity exposure in banking book

(A) Amounts stated in consolidated balance sheet

(Billions of yen)

As of September 30, 2011

As of September 30, 2012

Consolidated
balance sheet
amount

Fair value

Consolidated
balance sheet
amount

Fair value

Exposure of listed stock, etc.

2,373.3

2,171.9

Other equity exposure

263.6

n.a.

246.2

n.a.

Total

2,637.0

n.a.

2,418.1

n.a.

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

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

(Billions of yen)

For the six months ended September 30, 2011

For the six months ended September 30, 2012

Gains and losses
on sales

Gains on sales

Losses on sales

Gains on sales

Losses on sales

Sale of equity exposure

10.0

38.1

28.0

20.5

26.3

5.8

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

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


	(Billions of yen)
	For the six months ended September 30, 2011			For the six months ended September 30, 2012
	Gains and losses from write-offs			Gains and losses from write-offs
Write-offs of equity exposure		(69.3	)		(247.2	)

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

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

(Billions of yen)

As of September 30, 2011

As of September 30, 2012

Net
unrealized
losses

Net
unrealized
gains

Unrealized
gains

Unrealized
losses

Unrealized
gains

Unrealized
losses

Equity exposure

(53.2

)

330.2

383.5

17.9

332.6

314.6

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

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

None as of September 30, 2011 and 2012.

(F) Equities exposure by portfolio classification


	(Billions of yen)
	As of September 30, 2011		As of September 30, 2012
PD/LGD approach		883.5		856.6
Market-based approach (simple risk weight method)		265.1		244.2
Market-based approach (internal models approach)		—		—
Transitional measure applied		1,964.7		1,786.7

Total		3,113.4		2,887.5