Form 6-K
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 6-K

REPORT OF FOREIGN PRIVATE ISSUER

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

UNDER THE SECURITIES EXCHANGE ACT OF 1934

For the month of January 2009.

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-                     .

 

 

 


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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 29, 2009
Mizuho Financial Group, Inc.
By:  

/s/ Takashi Tsukamoto

Name:   Takashi Tsukamoto
Title:   Deputy President / CFO


Table of Contents

The following is an English translation of an excerpt regarding Basel II capital adequacy disclosure and relevant information released in our Japanese language disclosure material published in January 2009. The capital adequacy disclosure and other financial information included herein are based on Japanese GAAP pursuant to Japanese regulatory requirements.

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

Status of Capital Adequacy

 

 

Capital adequacy ratio highlights

   2

n    Capital adequacy ratio highlights

  

Status of Mizuho Financial Group’s Consolidated Capital Adequacy

   3

n    Consolidated capital adequacy ratio

   3

(1)    Summary table of consolidated capital adequacy ratios (BIS Standard)

  

n    Risk-based Capital

   11

(2)    Required capital by portfolio classification

  

n    Credit risk

   13

(3)    Credit risk exposure, etc.

  

n    Methods for credit risk mitigation

   25

(4)    Credit risk mitigation by portfolio classification

  

n     Counterparty risk in derivatives transactions and long-settlement transactions

   26

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

  

n    Securitization exposure

   27

(6)    Quantitative disclosure items for securitization exposure

  

n    Market risk

   34

n    Equity exposure in banking book

   34

(7)    Status of equity exposure in banking book

  

The Impact of the Dislocation in Global Financial Markets Stemming from U.S. Subprime Loan Issues

   36

 

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Table of Contents

Capital adequacy ratio highlights

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

 

n Capital adequacy ratio highlights             

Mizuho Financial Group (Consolidated)

 

   (Billions of yen)  
     As of September 30, 2007     As of September 30, 2008  
Consolidated capital adequacy ratio (BIS standard)    11.80 %   11.45 %

Tier 1 capital ratio

   6.97 %   7.36 %
            

Tier 1 capital

   4,918.7     4,747.0  

Tier 2 capital

   3,720.8     2,971.4  

Deductions for total risk-based capital

   316.7     337.3  
            

Total risk-based capital

   8,322.8     7,381.2  
            

Risk-weighted assets

   70,525.1     64,464.8  
            

(Reference)

 

Mizuho Corporate Bank (Consolidated)

 

   (Billions of yen)  
     As of September 30, 2007     As of September 30, 2008  
Consolidated capital adequacy ratio (BIS standard)    13.05 %   11.68 %

Tier 1 capital ratio

   8.55 %   8.43 %
            

Tier 1 capital

   3,284.0     3,011.4  

Tier 2 capital

   2,002.3     1,437.0  

Deductions for total risk-based capital

   276.3     280.2  
            

Total risk-based capital

   5,009.9     4,168.1  
            

Risk-weighted assets

   38,389.4     35,685.7  
            

Mizuho Corporate Bank (Non-consolidated)

 

   (Billions of yen)  
     As of September 30, 2007     As of September 30, 2008  
Non-consolidated capital adequacy ratio (BIS standard)    14.42 %   12.62 %

Tier 1 capital ratio

   8.84 %   7.60 %
            

Tier 1 capital

   3,153.8     2,641.1  

Tier 2 capital

   2,140.1     1,812.0  

Deductions for total risk-based capital

   151.7     67.2  
            

Total risk-based capital

   5,142.3     4,385.8  
            

Risk-weighted assets

   35,644.0     34,750.5  
            

Mizuho Bank (Consolidated)

 

   (Billions of yen)  
     As of September 30, 2007     As of September 30, 2008  
Consolidated capital adequacy ratio (Domestic standard)    12.25 %   11.58 %

Tier 1 capital ratio

   7.60 %   6.79 %
            

Tier 1 capital

   2,122.1     1,865.8  

Tier 2 capital

   1,346.8     1,379.6  

Deductions for total risk-based capital

   48.2     61.5  
            

Total risk-based capital

   3,420.7     3,183.8  
            

Risk-weighted assets

   27,913.5     27,478.9  
            

(Reference) Consolidated capital adequacy ratio (BIS standard)

   11.99 %   11.51 %
            

Mizuho Bank (Non-Consolidated)

 

   (Billions of yen)  
     As of September 30, 2007     As of September 30, 2008  
Non-consolidated capital adequacy ratio (Domestic standard)    12.10 %   11.48 %

Tier 1 capital ratio

   7.46 %   6.75 %
            

Tier 1 capital

   1,984.7     1,796.1  

Tier 2 capital

   1,321.8     1,352.0  

Deductions for total risk-based capital

   89.1     93.0  
            

Total risk-based capital

   3,217.3     3,055.1  
            

Risk-weighted assets

   26,577.8     26,600.2  
            

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

   11.81 %   11.43 %
            

 

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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, 2007     As of September 30, 2008  

Tier 1 capital

 

Common stock and preferred stock

    1,540.9     1,540.9  
               
 

Non-cumulative perpetual preferred stock

    —       —    
               
 

Advance payment for new shares

    —       —    
 

Capital surplus

    411.0     411.2  
 

Retained earnings

    1,490.6     1,290.1  
 

Less: Treasury stock

    2.4     6.2  
 

Advance payment for treasury stock

    —       —    
 

Less: Dividends (estimate), etc.

    —       —    
 

Less: Unrealized losses on other securities

    —       —    
 

Foreign currency translation adjustments

    (36.7 )   (83.5 )
 

Stock acquisition rights

    —       —    
               
 

Minority interest in consolidated subsidiaries

    1,527.7     1,636.4  
               
 

Preferred securities issued by overseas SPCs

    1,314.0     1,461.2  
               
 

Less: Goodwill equivalent

    —       —    
 

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

    —       —    
 

Less: Capital increase due to securitization transactions

    12.5     10.6  
 

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

    —       31.2  
 

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

    4,918.7     4,747.0  
 

Deduction for deferred tax assets

    —       —    
               
 

Total

  (A)   4,918.7     4,747.0  
               
 

Preferred securities with a step-up interest rate provision

  (B)   416.0     524.0  
               
 

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

    8.45 %   11.03 %
               

Tier 2 capital

 

45% of unrealized gains on other securities

    842.3     56.9  
 

45% of revaluation reserve for land

    114.4     113.0  
 

General reserve for possible losses on loans

    6.5     7.0  
 

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

    63.2     —    
               
 

Debt capital, etc.

    2,694.2     2,794.4  
               
 

Perpetual subordinated debt and other debt capital

    691.9     681.8  
 

Dated subordinated debt and redeemable preferred stock

    2,002.2     2,112.5  
               
 

Total

    3,720.8     2,971.4  
               
 

Tier 2 capital included as qualifying capital

  (C)   3,720.8     2,971.4  
               

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)   316.7     337.3  
               

Total risk-based capital

 

(A) + (C) + (D) – (E)

  (F)   8,322.8     7,381.2  
               

Risk-weighted assets

 

Credit risk-weighted assets

  (G)   61,662.8     59,136.6  
               
 

On-balance-sheet items

    49,915.3     48,689.8  
 

Off-balance-sheet items

    11,747.5     10,446.7  
               
 

Market risk equivalent assets [(I)/8%]

  (H)   2,680.2     1,753.0  
 

(Reference) Market risk equivalent

  (I)   214.4     140.2  
 

Operational risk equivalent assets [(K)/8%]

  (J)   3,905.5     3,575.1  
 

(Reference) Operational risk equivalent

  (K)   312.4     286.0  
 

Adjusted floor amount

  (L)   2,276.5     —    
               
 

Total [(G) + (H) + (J) + (L)]

  (M)   70,525.1     64,464.8  
               

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

    11.80 %   11.45 %
               

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

    6.97 %   7.36 %
               

 

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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 the Banking Law Article 52-25” (FSA Notice No. 20 of 2006 (the “Notice”)).

2.

   As it is not possible to break down Mizuho Financial Group’s common stock and preferred stock according to classes of stock, no value for non-cumulative perpetual preferred stock is stated separately from capital.

3.

   In calculating the consolidated capital adequacy ratio, we underwent an examination following the procedures agreed with the certified public accountant, on the basis of “Treatment in implementing examination by agreed-upon procedures for calculating capital adequacy ratio” (Industry Committee Report 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.

4.

   The amounts of net deferred tax assets as of September 30, 2007 and 2008 were ¥311.3 billion and ¥841.0 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, 2007 and 2008 were ¥1,475.6 billion and ¥949.4 billion, respectively.

5.

   The “adjusted floor amount” is the amount obtained by multiplying (i) 12.5 by (ii) the excess, if any, of the required capital under Basel I multiplied by the rate prescribed in the Notice over the required capital under Basel II.

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 137 and 147 as of September 30, 2007 and 2008, respectively. There was no company that was subject to the deductible items set forth in Article 8, Paragraph 1, Item 2, Subitem (a) through (c) of the Notice as of September 30, 2007 and 2008.

 

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Summary of preferred securities

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

Preferred securities issued by SPCs of Mizuho Financial Group

 

Issuer   Mizuho Preferred Capital (Cayman) Limited (“MPC,” and the preferred securities described below are referred to as the “MPC Preferred Securities.”)   Mizuho Preferred Capital (Cayman) 1 Limited (as “MPC1,” and the preferred securities described below are referred to as the “MPC1 Preferred Securities.”)
Type of securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities
Mandatory redemption date   None   None
Optional redemption   Optionally redeemable on each dividend payment date falling in or after June 2009 (subject to prior approval from regulatory authorities)   Optionally redeemable on each dividend payment date falling in or after June 2012 (subject to prior approval from regulatory authorities)
Dividends   Floating dividend rate (No dividend rate step-up. As stated in “Dividend suspension events” below, dividend payments that are suspended are non-cumulative.)   Floating dividend rate (No dividend rate step-up. As stated in “Dividend suspension events” below, dividend payments that are suspended are non-cumulative.)
Dividend payment date   Last business day of June in each year   Last business day of June in each year
Total amount issued   ¥176.0 billion   ¥171.0 billion
Issue date   March 15, 1999   February 14, 2002
Dividend suspension events  

If any of the following events arise, dividend payments are suspended on a non-cumulative basis:

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

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

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

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

 

If any of the following events arise, dividend payments are suspended on a non-cumulative basis:

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

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

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

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

Mandatory dividend event   If Mizuho Financial Group pays any dividends on its common stock with respect to a fiscal year, full dividends must be paid on Parity Preferred Securities(6) in June of the calendar year in which such fiscal year ends. However, it is subject to the following conditions: (1) no Loss Absorption Certificate(1) has been issued; (2) no preferred stock dividend limitation has arisen with respect thereto (partial dividend payments are made to the extent applicable); and (3) no Distributable Amounts Limitation Certificate(4) has been issued with respect thereto (partial dividends are paid to the extent applicable).   If Mizuho Financial Group pays any dividends on its common stock with respect to a fiscal year, full dividends must be paid on Parity Preferred Securities(6) in June of the calendar year in which such fiscal year ends. However, it is subject to the following conditions: (1) no Loss Absorption Certificate(1) has been issued; (2) no preferred stock dividend limitation has arisen with respect thereto (partial dividend payments are made to the extent applicable); and (3) no Distributable Amounts Limitation Certificate(4) has been issued with respect thereto (partial dividends are paid to the extent applicable).
Distributable amounts limitation   When Mizuho Financial Group issues a Distributable Amounts Limitation Certificate(4) to MPC, dividends are limited to the Available Distributable Amounts(3).   When Mizuho Financial Group issues a Distributable Amounts Limitation Certificate(4) to MPC1, dividends are limited to the Available Distributable Amounts(3).
Dividend limitations   When dividends on Mizuho Financial Group’s Preferred Stock(2) are reduced, dividends on Parity Preferred Securities(6) are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(2) are reduced, dividends on Parity Preferred Securities(6) are also reduced by an equal percentage.
Claims on residual assets   Same priority as Mizuho Financial Group’s Preferred Stock(2)   Same priority as Mizuho Financial Group’s Preferred Stock(2)

 

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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.”)   Mizuho Capital Investment (EUR) 1 Limited (“MCI (EUR) 1,” and the preferred securities described below are referred to as “MCI (EUR) 1 Preferred Securities.”)
Type of securities   Non-cumulative perpetual preferred securities   Non-cumulative perpetual preferred securities
Mandatory redemption date   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 2011, 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.)   Fixed dividend rate for the first five years (although a floating dividend rate is applied with respect to dividend payment dates after June 2011. 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 of each year until June 2011, and June 30th and December 30th of each year thereafter
Total amount issued   US$600 million   €500 million
Issue date   March 13, 2006   March 13, 2006
Dividend suspension events  

(Mandatory dividend suspension or reduction event)

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

(2)    when Mizuho Financial Group’s Available Distributable Amounts(11) is insufficient, or dividends on its Preferred Stock(13) 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 suspension or reduction event)

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

(2)    when Mizuho Financial Group’s Available Distributable Amounts(12) is insufficient, or dividends on its Preferred Stock(13 ) 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 (EUR) 1 Preferred Securities, and Mizuho Financial Group issues a dividend suspension notice to MCI (EUR) 1; and

(4)    when Mizuho Financial Group fails to pay dividends on its common stock and issues a dividend suspension notice to MCI (EUR) 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.   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 (EUR) 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.
Distributable amounts limitation   Dividends for the MCI (USD) 1 preferred securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(11).   Dividends for the MCI (EUR) 1 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(13) are reduced, dividends on MCI (USD) 1 Preferred Securities are also reduced by an equal percentage.   When dividends on Mizuho Financial Group’s Preferred Stock(13) are reduced, dividends on MCI (EUR) 1 Preferred Securities are also reduced by an equal percentage.
Claims for residual assets   Same priority as Mizuho Financial Group’s Preferred Stock(13)   Same priority as Mizuho Financial Group’s Preferred Stock(13)

 

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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 as 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 and a step up dividend is paid with respect to dividend payment dates after June 2018. 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 and a step up dividend is paid with respect to dividend payment dates after June 2019. Dividend payments that are suspended are non-cumulative.)

 

Series B

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

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

Series A: ¥249.5 billion

Series B: ¥53.5 billion

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

(Mandatory dividend suspension or reduction event)

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

 

(Mandatory dividend suspension or reduction event)

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

 

(Mandatory dividend suspension or reduction event)

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

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(14) is insufficient, or dividends on its Preferred Stock(13) are suspended or reduced;

(Optional dividend suspension or reduction event)

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(15) is insufficient, or dividends on its Preferred Stock(13) are suspended or reduced;

(Optional dividend suspension or reduction event)

 

(2)    when Mizuho Financial Group’s Available Distributable Amounts(16) is insufficient, or dividends on its Preferred Stock(13) 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 (JPY) 1 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 1; and

 

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

 

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

 

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

 

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

 

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

 

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Mandatory dividend event  

If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 1 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that

no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

 

If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 2 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that

no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

 

If Mizuho Financial Group pays any dividends on its common stock to holders of record as of a prescribed record date in the immediately preceding fiscal year, dividend payments for the full amount of MCI (JPY) 3 Preferred Securities must be made on dividend payment dates during the subsequent fiscal year; provided that

no event for the mandatory suspension or reduction of dividends has occurred and that no dividend suspension notice has been issued in conjunction with the occurrence of an optional dividend suspension or reduction event.

Distributable amounts limitation   Dividends for the MCI (JPY) 1 preferred securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(14).   Dividends for the MCI (JPY) 2 preferred securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(15).   Dividends for the MCI (JPY) 3 preferred securities are paid to the extent of Mizuho Financial Group’s Available Distributable Amounts(16).
Dividend limitations   When dividends on Mizuho Financial Group’s Preferred Stock(13) 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(13) 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(13) 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(13)   Same priority as Mizuho Financial Group’s Preferred Stock(13)   Same priority as Mizuho Financial Group’s Preferred Stock(13)

 

 

Notes:

 

  

(1)

  

Loss Absorption Certificate

 

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

(2)

  

Preferred Stock

 

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

(3)

  

Available Distributable Amounts

 

  

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

 

  

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

 

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(4)

  

Distributable Amounts Limitation Certificate

 

   Refers to a certificate issued by Mizuho Financial Group on or before the annual general meeting of shareholders to issuers if Available Distributable Amounts falls short of total dividends to be paid on the dividend payment date, which shall set forth the Available Distributable Amounts of such fiscal year.

(5)

  

Mandatory Dividend Payment Date

 

   Refers to a dividend payment date in June of a calendar year when a fiscal year of Mizuho Financial Group ends with respect to which it paid dividends on its common stock.

(6)

  

Parity Preferred Securities

 

   Refers to the collective designation for preferred securities and MPC Preferred Securities issued by MPC (with respect to the columns for MPC1, “MPC” refers to MPC1) which are perpetual and the dividend payment dates and the use of proceeds are the same as that of the relevant MPC Preferred Securities (or MPC1 Preferred Securities). (In the case of MPC1, for example, Parity Preferred Securities are the collective designation that includes MPC1 Preferred Securities as well as other preferred securities that satisfy the above conditions if newly issued in the future.)

(7)

  

Liquidation Event

 

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

(8)

  

Reorganization Event

 

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

(9)

  

Insolvency Event

 

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

    (10)

  

Governmental Action

 

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

    (11)

  

Available Distributable Amounts for MCI (USD) 1 Preferred Securities

 

  

(i)     Amount available in June

   Refers to Distributable Amounts of Mizuho Financial Group calculated based on the financial statements for the immediately preceding fiscal year, less the amount of dividend payments on Preferred Stock(13) (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(13) (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.

    (12)

   Available Distributable Amounts for MCI (EUR) 1 Preferred Securities
   (Up to the dividend payment date falling in June 2011)
   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(13) (excluding interim dividend payments), pro-rated between the full dividend payment amount on MCI (EUR) 1 Preferred Securities and the full dividend payment amount on preferred securities for the then current fiscal year that are equivalently subordinated in nature with MCI (EUR) 1 Preferred Securities (“Equivalent Securities”).
   (From the dividend payment date falling in December 2011)
  

(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(13) (excluding interim dividend payments), pro-rated between the full dividend payment amount on MCI (EUR) 1 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 (EUR) 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 Sock(13) (excluding interim dividend payments), (B) the amount of dividend payments on MCI (EUR) 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 (EUR) 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 (EUR) 1 Preferred Securities falling in June up to the dividend payment date falling in December.

 

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    (13)

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

    (14)

   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(13) (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(13) (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.

    (15)

   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(13) (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(13) (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.

    (16)

   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(13) (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(13) (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(13) (excluding interim dividend payments) and (B) the dividends on Equivalent Securities paid or declared to be paid from the beginning of the current fiscal year to June 30, 2008, pro-rated between full dividends on MCI (JPY) 3 Preferred Securities for the dividend payment date falling in December 2008 and full dividends on Equivalent Securities paid in whole or in part or declared to be paid from the day after June 30, 2008 up to the dividend payment date falling in December 2008.

 

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n Risk-based Capital

(2) Required capital by portfolio classification

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008
     EAD    Required capital    EAD    Required capital

Credit risk

   149,832.0    6,318.3    149,367.7    5,979.7
                   

Internal ratings-based approach

   140,917.0    5,993.2    140,764.7    5,652.0

Corporate (except specialized lending)

   55,261.3    3,374.9    54,967.3    3,312.7

Corporate (specialized lending)

   2,666.1    256.3    2,969.4    281.0

Sovereign

   42,376.1    79.2    44,925.5    67.5

Bank

   8,310.1    208.3    8,118.1    157.3

Retail

   12,934.4    542.9    12,996.7    564.5

Residential mortgage

   10,267.3    373.9    10,388.6    394.9

Qualifying revolving loans

   337.0    22.2    327.6    23.1

Other retail

   2,330.1    146.7    2,280.4    146.3

Equities, etc.

   6,293.1    722.1    4,797.7    539.2

PD/LGD approach

   1,023.7    220.2    1,097.1    175.0

Market-based approach (simple risk weight method)

   295.3    80.0    264.6    72.8

Market-based approach (internal models approach)

   —      —      —      —  

Transitional measure applied

   4,974.0    421.7    3,435.9    291.3

Regarded-method exposure

   1,451.9    365.0    1,302.0    336.3

Purchased receivables

   2,704.0    138.7    2,595.4    104.9

Securitizations

   6,927.6    145.9    5,635.4    91.5

Others

   1,992.0    159.5    2,456.8    196.7
                   

Standardized approach

   8,914.9    325.0    8,603.0    327.6

Sovereign

   3,082.0    2.9    2,433.1    2.2

Bank

   2,545.4    44.0    2,934.3    52.5

Corporate

   2,614.8    203.9    2,503.0    187.4

Residential mortgage

   0.0    0.0    0.0    0.0

Securitizations

   25.7    23.7    47.0    31.4

Others

   646.8    50.3    685.4    54.0
                   

Market risk

   n.a.    214.4    n.a.    140.2
                   

Standardized approach

   n.a.    171.5    n.a.    93.8

Interest rate risk

   n.a.    125.0    n.a.    66.7

Equities risk

   n.a.    29.9    n.a.    18.6

Foreign exchange risk

   n.a.    9.7    n.a.    2.0

Commodities risk

   n.a.    6.7    n.a.    6.4

Option transactions

   n.a.    —      n.a.    —  
                   

Internal models approach

   n.a.    42.9    n.a.    46.4
                   

Operational risk (standardized approach)

   n.a.    312.4    n.a.    286.0
                   

Total required capital (consolidated)

   n.a.    5,642.0    n.a.    5,157.1
                   

 

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) deduction 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.

 

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6.

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

 

Corporate (excluding

specialized lending)

   Credit to corporations and sole proprietors (excluding credit to retail customers)

Corporate

(specialized lending)

   Credit that limits interest and principal repayment sources to cash flow derived from specific real estate, chattel, businesses, etc.
Sovereign    Credit 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 loans) and other individual consumer loans and loans to business enterprises with total credit amount of less than ¥100 million (other retail), etc.
Equities, etc.   

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” or having a “senior/subordinated structure” (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.

 

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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 positions and the average credit risk positions during the twelve months ended September 30, 2007 and 2008.

Status of credit risk exposure

(A) Breakdown by geographical area

 

     (Billions of yen)
     As of September 30, 2007
     Loans,
commitments and other
non-OTC derivative

off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Domestic

   70,492.2    25,411.2    1,759.1    4,932.1    102,594.7
                        

Overseas

   18,167.5    7,236.1    3,152.5    1,386.4    29,942.6
                        

Asia

   3,216.5    477.5    86.9    363.6    4,144.7

Central and South America

   1,768.4    8.9    122.0    7.7    1,907.2

North America

   6,235.3    4,190.8    1,172.0    367.4    11,965.7

Eastern Europe

   70.9    —      0.0    3.6    74.6

Western Europe

   5,095.1    2,319.9    1,720.4    449.4    9,584.9

Others

   1,781.0    238.9    51.0    194.3    2,265.3
                        

Exempt portion

   n.a.    n.a.    n.a.    8,889.2    8,889.2
                        

Total

   88,659.7    32,647.4    4,911.7    15,207.8    141,426.7
                        

 

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.

 

     (Billions of yen)
     As of September 30, 2008
     Loans,
commitments and other
non-OTC derivative

off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Domestic

   72,759.2    24,517.0    2,228.6    6,082.7    105,587.6
                        

Overseas

   18,283.5    5,283.5    3,389.8    1,282.7    28,239.6
                        

Asia

   3,332.7    452.9    146.8    449.0    4,381.6

Central and South America

   2,032.5    107.5    161.0    6.7    2,307.8

North America

   6,321.2    2,870.4    1,055.6    156.3    10,403.6

Eastern Europe

   89.7    —      0.1    2.7    92.6

Western Europe

   5,016.4    1,673.8    1,938.3    495.6    9,124.2

Others

   1,490.7    178.8    87.7    172.3    1,929.6
                        

Exempt portion

   n.a.    n.a.    n.a.    8,556.0    8,556.0
                        

Total

   91,042.7    29,800.5    5,618.4    15,921.5    142,383.3
                        

 

Notes:

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

 

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(B) Breakdown by industry

 

     (Billions of yen)
     As of September 30, 2007
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Manufacturing

   14,596.1    3,834.6    506.4    200.8    19,138.1

Construction

   1,919.0    245.7    20.3    6.8    2,192.1

Real estate

   7,643.7    499.9    32.7    92.9    8,269.3

Service industries

   8,029.0    473.3    157.2    60.8    8,720.5

Wholesale and retail

   8,257.3    961.8    553.6    455.5    10,228.3

Finance and insurance

   10,684.2    3,229.9    3,349.0    1,846.5    19,109.7

Individuals

   12,840.3    —      0.3    20.3    12,861.0

Others

   11,839.3    6,634.4    288.4    2,409.9    21,172.2

Japanese Government; Bank of Japan

   12,850.3    16,767.2    3.4    1,224.7    30,845.8
                        

Exempt portion

   n.a.    n.a.    n.a.    8,889.2    8,889.2
                        

Total

   88,659.7    32,647.4    4,911.7    15,207.8    141,426.7
                        

 

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.

 

     (Billions of yen)
     As of September 30, 2008
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Manufacturing

   14,964.4    2,817.1    607.4    254.7    18,643.7

Construction

   1,884.4    189.7    19.3    7.7    2,101.3

Real estate

   7,316.7    604.5    39.6    69.3    8,030.2

Service industries

   7,751.0    537.7    216.0    73.7    8,578.6

Wholesale and retail

   8,374.9    720.1    737.3    440.9    10,273.3

Finance and insurance

   9,674.8    1,834.2    3,514.6    2,050.9    17,074.7

Individuals

   12,709.9    —      0.2    17.4    12,727.6

Others

   12,495.0    5,566.0    479.8    3,167.5    21,708.5

Japanese Government; Bank of Japan

   15,871.2    17,530.9    3.8    1,282.9    34,688.9
                        

Exempt portion

   n.a.    n.a.    n.a.    8,556.0    8,556.0
                        

Total

   91,042.7    29,800.5    5,618.4    15,921.5    142,383.3
                        

 

 

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.

 

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Table of Contents

(C) Breakdown by residual contractual maturity

 

     (Billions of yen)
     As of September 30, 2007
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Less than one year

   30,183.2    9,362.4    328.5    2,038.7    41,913.0

From one year to less than three years

   11,865.6    6,198.1    2,728.0    85.9    20,877.7

From three years to less than five years

   13,565.3    3,430.9    978.3    47.2    18,021.8

Five years or more

   26,734.5    12,204.6    772.4    1,026.6    40,738.2

Others

   6,310.9    1,451.2    104.4    3,119.9    10,986.6
                        

Exempt portion

   n.a.    n.a.    n.a.    8,889.2    8,889.2
                        

Total

   88,659.7    32,647.4    4,911.7    15,207.8    141,426.7
                        

 

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

 

     (Billions of yen)
     As of September 30, 2008
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Less than one year

   31,872.3    9,599.8    526.6    2,645.6    44,644.4

From one year to less than three years

   13,277.4    5,804.1    2,479.1    47.0    21,607.7

From three years to less than five years

   12,641.9    4,188.6    1,552.3    12.7    18,395.7

Five years or more

   22,009.4    5,395.4    960.2    25.3    28,390.5

Others

   11,241.4    4,812.5    100.1    4,634.7    20,788.7
                        

Exempt portion

   n.a.    n.a.    n.a.    8,556.0    8,556.0
                        

Total

   91,042.7    29,800.5    5,618.4    15,921.5    142,383.3
                        

 

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.

 

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Table of Contents

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

(D) Breakdown by geographical area

 

     (Billions of yen)
     As of September 30, 2007
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Domestic

   1,887.5    190.8    14.9    36.6    2,129.9
                        

Overseas

   95.8    0.1    0.0    9.0    105.0
                        

Asia

   23.8    0.0    0.0    5.2    29.0

Central and South America

   0.6    0.0    —      0.0    0.6

North America

   31.9    —      —      0.0    31.9

Eastern Europe

   0.5    —      —      —      0.5

Western Europe

   33.0    —      0.0    3.8    36.8

Others

   5.8    0.1    —      —      5.9
                        

Exempt portion

   n.a.    n.a.    n.a.    3.2    3.2
                        

Total

   1,983.4    190.9    14.9    48.9    2,238.2
                        

 

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.

 

     (Billions of yen)
     As of September 30, 2008
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Domestic

   1,478.8    66.5    25.3    42.7    1,613.5
                        

Overseas

   176.3    0.0    1.6    23.5    201.5
                        

Asia

   37.2    0.0    0.0    4.2    41.5

Central and South America

   0.4    0.0    —      0.0    0.4

North America

   50.0    0.0    0.0    18.4    68.4

Eastern Europe

   0.5    —      —      —      0.5

Western Europe

   73.7    —      1.3    0.7    75.8

Others

   14.3    —      0.2    0.0    14.6
                        

Exempt portion

   n.a.    n.a.    n.a.    4.5    4.5
                        

Total

   1,655.2    66.5    26.9    70.8    1,819.6
                        

 

Notes:

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

 

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Table of Contents

(E) Breakdown by industry

 

     (Billions of yen)
     As of September 30, 2007
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Manufacturing

   199.6    11.2    1.8    11.9    224.6

Construction

   70.6    12.0    0.9    0.7    84.3

Real estate

   315.1    0.3    0.2    0.4    316.1

Service industries

   293.0    5.0    0.9    6.4    305.5

Wholesale and retail

   312.7    29.5    4.4    14.1    360.9

Finance and insurance

   223.2    117.9    2.5    5.8    349.5

Individuals

   333.0    —      0.0    1.3    334.4

Others

   235.8    14.8    4.0    4.6    259.3
                        

Exempt portion

   n.a.    n.a.    n.a.    3.2    3.2
                        

Total

   1,983.4    190.9    14.9    48.9    2,238.2
                        

 

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.

 

     (Billions of yen)
     As of September 30, 2008
     Loans,
commitments and other
non-OTC derivative
off-balance-sheet
exposures
   Securities    OTC
derivatives
   Others    Total

Manufacturing

   284.0    6.2    4.3    12.2    306.9

Construction

   105.7    13.2    0.5    1.6    121.1

Real estate

   283.9    1.5    1.5    3.4    290.5

Service industries

   283.8    4.4    0.7    6.7    295.8

Wholesale and retail

   265.4    9.2    12.9    16.0    303.7

Finance and insurance

   55.9    0.0    0.3    19.4    75.8

Individuals

   167.6    —      —      1.4    169.0

Others

   208.5    31.8    6.4    5.1    252.0
                        

Exempt portion

   n.a.    n.a.    n.a.    4.5    4.5
                        

Total

   1,655.2    66.5    26.9    70.8    1,819.6
                        

 

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.

 

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Table of Contents

Status of reserves for possible losses on loans

(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, 2007
   As of, or for
the six months ended,
September 30, 2008

General reserve for possible losses on loans

     

Beginning balance

   500.8    510.9

Increase during the six-month period

   447.1    483.9

Decrease during the six-month period

   500.8    510.9

Ending balance

   447.1    483.9
         

Specific reserve for possible losses on loans

     

Beginning balance

   352.3    173.4

Increase during the six-month period

   335.3    203.7

Decrease during the six-month period

   352.3    173.4

Ending balance

   335.3    203.7
         

Reserve for possible losses on loans to restructuring countries

     

Beginning balance

   3.1    0.0

Increase during the six-month period

   0.1    0.0

Decrease during the six-month period

   3.1    0.0

Ending balance

   0.1    0.0
         

Total

     

Beginning balance

   856.3    684.4

Increase during the six-month period

   782.6    687.7

Decrease during the six-month period

   856.3    684.4

Ending balance

   782.6    687.7
         

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

 

     (Billions of yen)  
     As of March 31, 2007    As of September 30, 2007    Change  

Domestic

   332.8    305.5    (27.2 )

Manufacturing

   15.4    15.1    (0.3 )

Construction

   3.2    3.8    0.5  

Real estate

   11.3    11.6    0.2  

Service industries

   16.8    79.2    62.3  

Wholesale and retail

   21.6    27.2    5.6  

Finance and insurance

   178.5    20.5    (158.0 )

Individuals

   64.6    54.9    (9.6 )

Others

   20.9    92.9    72.0  
                

Overseas

   15.9    25.7    9.8  
                

Exempt portion

   3.5    3.9    0.3  
                

Total

   352.3    335.3    (17.0 )
                

 

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.

 

     (Billions of yen)  
     As of March 31, 2008    As of September 30, 2008    Change  

Domestic

   144.6    154.9    10.2  

Manufacturing

   12.0    16.1    4.0  

Construction

   5.3    4.2    (1.0 )

Real estate

   10.3    17.3    6.9  

Service industries

   24.7    22.7    (1.9 )

Wholesale and retail

   24.9    25.0    0.1  

Finance and insurance

   4.3    3.2    (1.0 )

Individuals

   56.8    59.4    2.6  

Others

   5.9    6.5    0.5  
                

Overseas

   24.7    42.6    17.8  
                

Exempt portion

   3.9    6.1    2.1  
                

Total

   173.4    203.7    30.3  
                

 

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.

 

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Table of Contents

(H) Write-offs of loans by industry

 

     (Billions of yen)
     For the six months ended
September 30, 2007
   For the six months ended
September 30, 2008

Manufacturing

   12.4    6.6

Construction

   4.2    12.9

Real estate

   0.5    19.9

Service industries

   6.4    5.8

Wholesale and retail

   22.3    12.2

Finance and insurance

   0.2    16.9

Individuals

   0.8    1.2

Others

   14.1    33.9
         

Exempt portion

   0.2    0.2
         

Total

   61.7    110.0
         

 

Notes:   
1.    The above table shows the breakdown of losses on write-offs of loans in our consolidated statement of income.
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.    “Others” 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, 2007
     On-balance
sheet
   Off-balance
sheet
   Total          
                 With external
rating

Risk weight

              

0%

   624.9    2,353.9    2,978.9       166.6

10%

   0.1    0.0    0.1       —  

20%

   569.3    1,947.4    2,516.8       0.0

35%

   0.0    0.0    0.0       —  

50%

   109.3    2.1    111.4       0.4

100%

   2,551.5    730.0    3,281.5       18.6

150%

   0.1    —      0.1       —  

350%

   —      —      —         —  
                      

Total

   3,855.5    5,033.6    8,889.2       185.8
                      

 

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.

 

     (Billions of yen)
     As of September 30, 2008
     On-balance
sheet
   Off-balance
sheet
   Total          
                 With external
rating

Risk weight

              

0%

   456.3    1,865.9    2,322.3       70.0

10%

   39.3    —      39.3       —  

20%

   621.6    2,242.8    2,864.5       3.2

35%

   0.0    —      0.0       —  

50%

   55.7    4.7    60.5       0.0

100%

   2,487.6    781.2    3,268.8       16.6

150%

   0.3    —      0.3       —  

350%

   —      —      —         —  

625%

   —      —      —         —  

937.5%

   —      —      —         —  

1,250%

   —      —      —         —  
                      

Total

   3,661.2    4,894.7    8,556.0       90.0
                      

 

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, 2007    As of September 30, 2008

Deduction from capital

   23.7    30.6

 

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Table of Contents

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

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

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008
Risk weight      

50%

   155.0    283.8

70%

   637.5    843.8

90%

   267.0    121.5

95%

   86.9    112.7

115%

   89.2    352.5

120%

   5.0    7.1

140%

   3.6    12.2

250%

   352.2    256.4

Default

   —      11.4
         

Total

   1,596.7    2,002.0
         

(L) Equity exposure under simple risk weight method by risk weight category

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008
Risk weight      

300%

   237.3    199.6

400%

   57.9    65.0
         

Total

   295.3    264.6
         

 

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

 

20


Table of Contents

(M) Portfolio by asset class and ratings segment (Corporate)

 

     (Billions of yen, except percentages)
     As of September 30, 2007
               Risk                    
     PD    LGD    weight                    
     (EAD    (EAD    (EAD                    
     weighted    weighted    weighted                    
     average)    average)    average)              On-balance    Off-balance
     (%)    (%)    (%)    EAD         sheet    sheet

Corporate

   3.86    42.91    53.31    58,666.5       43,944.0    14,722.5

Investment grade zone

   0.13    42.67    32.66    31,142.0       20,303.8    10,838.2

Non-investment grade zone

   1.82    42.98    81.89    25,770.0       21,957.9    3,812.1

Default

   100.00    46.22    —      1,754.4       1,682.2    72.1
                                

Sovereign

   0.01    44.99    2.34    42,485.2       33,742.1    8,743.0

Investment grade zone

   0.01    44.99    2.09    42,347.7       33,618.5    8,729.2

Non-investment grade zone

   1.14    44.98    78.95    137.3       123.5    13.7

Default

   100.00    45.00    —      0.1       0.1    —  
                                

Bank

   0.23    42.53    30.45    8,569.2       3,503.0    5,066.2

Investment grade zone

   0.13    42.51    28.26    8,183.8       3,289.3    4,894.4

Non-investment grade zone

   1.25    42.91    77.93    381.1       209.3    171.7

Default

   100.00    45.00    —      4.2       4.2    —  
                                

Equity exposure under PD/LGD approach

   13.29    90.00    119.46    1,023.7       1,023.7    —  

Investment grade zone

   0.12    90.00    132.86    866.7       866.7    —  

Non-investment grade zone

   5.55    90.00    306.26    23.3       23.3    —  

Default

   100.00    90.00    —      133.7       133.7    —  
                                

Total

   2.19    44.12    32.60    110,744.8       82,213.0    28,531.8

Investment grade zone

   0.07    44.34    17.59    82,540.4       58,078.4    24,461.9

Non-investment grade zone

   1.81    43.03    82.02    26,311.8       22,314.1    3,997.7

Default

   100.00    49.31    —      1,892.5       1,820.3    72.1
                                

 

Notes:   

1.

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

2.

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

3.

   Each asset class includes purchased receivables.

 

 

     (Billions of yen, except percentages)
     As of September 30, 2008
               Risk                    
     PD    LGD    weight                    
     (EAD    (EAD    (EAD                    
     weighted    weighted    weighted                    
     average)    average)    average)              On-balance    Off-balance
     (%)    (%)    (%)    EAD         sheet    sheet

Corporate

   3.83    43.02    53.52    58,293.0       43,424.0    14,868.9

Investment grade zone

   0.11    43.00    26.25    33,001.0       22,074.7    10,926.2

Non-investment grade zone

   2.83    43.02    94.83    23,767.7       19,886.8    3,880.9

Default

   100.00    43.31    —      1,524.2       1,462.4    61.7
                                

Sovereign

   0.01    44.77    1.86    44,984.3       34,031.4    10,952.9

Investment grade zone

   0.00    44.77    1.58    44,854.0       33,903.7    10,950.3

Non-investment grade zone

   1.46    44.93    98.56    130.0       127.4    2.6

Default

   100.00    45.00    —      0.2       0.2    —  
                                

Bank

   0.52    42.61    21.76    8,296.4       3,333.6    4,962.8

Investment grade zone

   0.07    42.63    18.64    7,848.5       3,187.2    4,661.3

Non-investment grade zone

   1.72    42.03    82.07    417.3       122.4    294.9

Default

   100.00    45.00    —      30.5       23.9    6.6
                                

Equity exposure under PD/LGD approach

   3.08    90.00    164.79    1,097.1       1,097.1    —  

Investment grade zone

   0.05    90.00    114.67    769.4       769.4    —  

Non-investment grade zone

   4.34    90.00    300.84    307.6       307.6    —  

Default

   100.00    90.00    —      20.0       20.0    —  
                                

Total

   2.05    44.14    31.64    112,670.9       81,886.2    30,784.6

Investment grade zone

   0.05    44.30    13.55    86,473.0       59,935.1    26,537.8

Non-investment grade zone

   2.82    43.60    97.21    24,622.9       20,444.4    4,178.4

Default

   100.00    43.94    —      1,575.0       1,506.6    68.3
                                

 

Notes:   
1.    Investment grade zone includes obligor ratings A1 to B2, non-investment grade zone includes C1 to E2 (excluding E2R), and default includes E2R to H1.
2.    “Corporate” does not include specialized lending exposure under supervisory slotting criteria.
3.    Each asset class includes purchased receivables.

 

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Table of Contents

(Reference) Obligor Ratings

 

Obligor ratings

(major category)

         Definition of ratings         Classification
A1–A3             Obligors whose certainty of debt fulfillment is very high, hence their level of credit risk is excellent.       Investment grade zone
B1–B2             Obligors whose certainty of debt fulfillment poses no problems for the foreseeable future, hence their level of credit risk is sufficient.        
C1–C3             Obligors whose certainty of debt fulfillment and their level of credit risk pose no problems for the foreseeable future.      
D1–D3             Obligors whose current certainty of debt fulfillment poses no problems, however, their resistance to future changes in business environment is low.       Non-investment grade zone
  E1             Obligors who require close watching going forward because there are problems with their borrowings, such as reduced or suspended interest payments, problems with fulfillment such as de facto postponements of principal or interest payments, or problems with their financial positions as a result of their poor or unstable business conditions.      
  E2                
   R *           
  F1             Obligors who are not yet bankrupt but are in financial difficulties and are deemed to be very likely to go bankrupt in the future because they are finding it difficult to make progress in implementing their management improvement plans (including obligors who are receiving ongoing support from financial institutions).       Default
  G1             Obligors who have not yet gone legally or formally bankrupt but who are substantially bankrupt because they are in serious financial difficulties and are not deemed to be capable of restructuring.      
  H1             Obligors who have already gone bankrupt, from both a legal and/or formal perspective.        

 

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

 

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Table of Contents

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

 

     (Billions of yen, except percentages)
     As of September 30, 2007
               EL    Risk                              
     PD    LGD    default    weight                             Weighted
     (EAD    (EAD    (EAD    (EAD                             average of
    

weighted

average)

  

weighted

average)

  

weighted

average)

  

weighted

average)

  

EAD

(Billions of

                  Amount of
undrawn
   credit
conversion
                         On-balance    Off-balance      
     (%)    (%)    (%)    (%)    yen)         sheet    sheet    commitments    factor (%)

Residential mortgage

   1.63    47.89    0.44    35.07    10,267.3       9,744.6    522.6    7.0    100.00

Non-default

   0.84    47.81    —      35.02    10,185.4       9,668.4    516.9    7.0    100.00

Default

   100.00    58.10    54.94    41.88    81.8       76.1    5.7    —      —  
                                               

Qualifying revolving loans (retail)

   3.00    73.36    0.30    54.86    337.0       240.0    96.9    1,379.8    7.00

Non-default

   2.62    73.33    —      54.89    335.7       238.9    96.7    1,378.1    7.00

Default

   100.00    81.54    78.00    46.91    1.3       1.1    0.1    1.6    11.65
                                               

Other retail

   3.81    49.96    1.30    51.83    2,330.1       2,273.6    56.5    62.2    75.80

Non-default

   1.57    49.72    —      51.99    2,277.1       2,220.9    56.1    61.7    75.83

Default

   100.00    60.43    57.02    45.15    53.0       52.7    0.3    0.4    71.26
                                               

Total

   2.06    48.93    0.59    38.61    12,934.5       12,258.3    676.1    1,449.1    10.41

Non-default

   1.02    48.82    —      38.56    12,798.2       12,128.4    669.8    1,446.9    10.39

Default

   100.00    59.23    55.97    43.20    136.2       129.9    6.3    2.1    25.28
                                               

 

Note: Each asset class includes purchased receivables.

 

     (Billions of yen, except percentages)
     As of September 30, 2008
               EL    Risk                              
     PD    LGD    default    weight                             Weighted
     (EAD    (EAD    (EAD    (EAD                             average of
    

weighted

average)

  

weighted

average)

  

weighted

average)

  

weighted

average)

  

EAD

(Billions of

                  Amount of
undrawn
   credit
conversion
                         On-balance    Off-balance      
     (%)    (%)    (%)    (%)    yen)         sheet    sheet    commitments    factor (%)

Residential mortgage

   1.89    46.38    0.55    38.08    10,388.6       9,920.2    468.4    9.4    100.00

Non-default

   0.83    46.29    —      38.12    10,277.9       9,814.7    463.2    9.4    100.00

Default

   100.00    54.75    51.22    34.20    110.7       105.5    5.1    —      —  
                                               

Qualifying revolving loans (retail)

   3.49    69.87    0.37    61.16    327.6       231.1    96.5    1,411.5    6.82

Non-default

   3.00    69.83    —      61.16    326.0       229.7    96.2    1,409.2    6.81

Default

   100.00    77.94    73.65    60.21    1.6       1.3    0.2    2.3    11.10
                                               

Other retail

   4.37    49.77    1.37    54.10    2,280.4       2,233.5    46.9    55.3    77.27

Non-default

   1.78    49.62    —      54.38    2,220.2       2,177.9    42.3    50.4    75.63

Default

   100.00    55.42    51.67    43.61    60.2       55.6    4.6    4.9    94.19
                                               

Total

   2.37    47.57    0.69    41.47    12,996.8       12,384.8    611.9    1,476.3    10.05

Non-default

   1.05    47.47    —      41.52    12,824.2       12,222.3    601.8    1,469.0    9.77

Default

   100.00    55.20    51.59    37.73    172.5       162.5    10.0    7.2    67.41
                                               

 

Note: Each asset class includes purchased receivables.

(O) Actual losses by asset class

 

     (Billions of yen)
     For the period from October 1, 2006
through September 30, 2007
   For the period from October 1, 2007
through September 30, 2008
     Actual losses    Actual losses

Corporate

   1,022.4    786.9

Sovereign

   0.0    0.0

Bank

   3.7    28.9

Residential mortgage

   95.3    83.2

Qualifying revolving loans (retail)

   5.1    4.9

Other retail

   52.5    42.2
         

Total

   1,179.5    946.3
         
     

 

Notes:  
1.   Actual losses are the sum of tax-qualified direct write-offs, losses from sales of non-performing loans, losses from debt forgiveness, losses from debt-equity swaps, partial direct write-offs during the period, as well as specific reserves for possible losses on loans and general reserves for possible losses on loans (for claims for special attention and lower) as of the end of each period.
2.   The data of actual losses by asset class has been accumulated since the fiscal year ended March 31, 2007.
3.   Equity exposure under the PD/LGD approach is not included within the amount of actual losses because losses related thereto are not recorded as a credit-related cost and it is difficult to determine whether the losses are due to credit risk.

<Analysis>

Actual losses decreased by ¥233.2 billion from the period from October 1, 2006 through September 30, 2007, to ¥946.3 billion in the period from October 1, 2007 through September 30, 2008. The decrease was due mainly to the improvement of credit ratings of customers and reversals of provisions related to problem loans at Mizuho Corporate Bank, Ltd.

 

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Table of Contents

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

 

     (Billions of yen)
     For the period from October 1, 2006
through September 30, 2007
   For the period from October 1, 2007
through September 30, 2008
     Estimated losses    Actual losses    Estimated losses    Actual losses

Corporate

   n.a.    1,022.4    1,060.5    786.9

Sovereign

   n.a.    0.0    2.2    0.0

Bank

   n.a.    3.7    8.0    28.9

Residential mortgage

   n.a.    95.3    85.8    83.2

Qualifying revolving loans (retail)

   n.a.    5.1    7.4    4.9

Other retail

   n.a.    52.5    50.1    42.2
                   

Total

   n.a.    1,179.5    1,214.3    946.3
                   

 

Notes:   

1.

   Estimated losses are expected losses as of September 30, 2007.

2.

   We began estimating expected losses by asset class from March 31, 2007.

3.

   Actual losses are the sum of tax-qualified direct write-offs, losses from sales of non-performing loans, losses from debt forgiveness, losses from debt-equity swaps, partial direct write-offs during the period, as well as specific reserves for possible losses on loans and general reserves for possible losses on loans (for claims for special attention and lower) as of the end of the each period.

4.

   The data of actual losses by asset class has been accumulated since the fiscal year ended March 31, 2007.

5.

   Equity exposure under the PD/LGD approach is not included within the amount of actual losses because losses related thereto are not recorded as a credit-related cost and it is difficult to determine whether the losses are due to credit risk.

 

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Table of Contents

n Methods for credit risk mitigation

(4) Credit risk mitigation by portfolio classification

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

 

     (Billions of yen)
     As of September 30, 2007
     Eligible
financial
collateral
   Other
eligible
IRB
collateral
   Guarantees    Credit
derivatives
   Total

Internal ratings-based approach

   2,766.8    4,431.8    3,118.1    613.8    10,930.7

Corporate

   2,239.0    4,317.0    1,499.2    613.8    8,669.1

Sovereign

   0.2    28.9    562.8    —      591.9

Bank

   493.8    4.6    206.2    —      704.7

Retail

   33.7    81.2    849.9    —      964.8

Residential mortgage

   —      —      343.6    —      343.6

Qualifying revolving loans

   —      —      1.1    —      1.1

Other retail

   33.7    81.2    505.1    —      620.1

Others

   —      —      —      —      —  
                        

Standardized approach

   1,861.0    n.a.    68.0    8.0    1,937.1

Sovereign

   1,845.8    n.a.    —      —      1,845.8

Bank

   —      n.a.    3.1    5.7    8.8

Corporate

   15.0    n.a.    64.9    0.3    80.3

Residential mortgage

   —      n.a.    —      —      —  

Securitizations

   —      n.a.    —      1.9    1.9

Others

   0.0    n.a.    —      —      0.0
                        

Total

   4,627.8    4,431.8    3,186.2    621.8    12,867.8
                        

 

     (Billions of yen)
     As of September 30, 2008
     Eligible
financial
collateral
   Other
eligible
IRB
collateral
   Guarantees    Credit
derivatives
   Total

Internal ratings-based approach

   2,634.0    4,405.3    3,792.0    509.0    11,340.5

Corporate

   2,073.1    4,309.2    1,950.0    482.7    8,815.2

Sovereign

   0.3    26.3    812.9    —      839.7

Bank

   535.8    5.4    241.7    26.3    809.3

Retail

   24.7    64.2    787.2    —      876.2

Residential mortgage

   —      —      314.0    —      314.0

Qualifying revolving loans

   —      —      0.9    —      0.9

Other retail

   24.7    64.2    472.2    —      561.2

Others

   —      —      —      —      —  
                        

Standardized approach

   1,420.9    n.a.    149.6    14.2    1,584.8

Sovereign

   1,354.0    n.a.    39.1    —      1,393.2

Bank

   5.2    n.a.    2.6    —      7.8

Corporate

   60.9    n.a.    107.7    14.2    183.0

Residential mortgage

   —      n.a.    —      —      —  

Securitizations

   0.6    n.a.    —      —      0.6

Others

   0.0    n.a.    —      —      0.0
                        

Total

   4,055.0    4,405.3    3,941.6    523.3    12,925.4
                        

 

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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, 2007    As of September 30, 2008
         Gross
replacement
cost
   Gross
add-on
   Credit
equivalent
amount
   Gross
replacement
cost
   Gross
add-on
   Credit
equivalent
amount

Foreign exchange-related transactions

     1,772.7    2,313.6    4,086.4    2,570.0    2,372.0    4,942.0

Interest rate-related transactions

     7,151.0    5,231.0    12,382.1    6,986.0    4,955.0    11,941.0

old-related transactions

     0.1    0.0    0.2    0.1    0.0    0.1

Equity-related transactions

     101.3    97.2    198.6    147.5    94.7    242.2

Transactions related to precious metals (other than gold)

     0.0    0.2    0.2    0.5    0.2    0.7

Other commodity-related transactions

     182.6    125.1    307.8    221.0    132.6    353.7

Credit derivatives transactions

     169.2    1,568.7    1,737.9    296.6    1,502.9    1,799.6

Subtotal

  (A)    9,377.2    9,336.2    18,713.4    10,221.9    9,057.7    19,279.6

Effect of credit equivalent amounts mitigation by close-out netting settlement contracts

  (B)    n.a.    n.a.    12,150.4    n.a.    n.a.    11,610.0

Subtotal

  (C)=(A)+(B)    n.a.    n.a.    6,562.9    n.a.    n.a.    7,669.6

Effect of credit risk mitigation by collateral

  (D)    n.a.    n.a.    331.4    n.a.    n.a.    515.3
                               

Total

  (C)+(D)    n.a.    n.a.    6,231.5    n.a.    n.a.    7,154.3
                               

 

Note: The current exposure method is used as the method of calculating credit equivalent amounts.

Long-settlement transactions

 

     (Billions of yen)
     As of September 30, 2008
     Gross replacement cost    Gross add-on    Credit equivalent amount

Long-settlement transactions

   13.2    0.2    13.5

 

 

Notes:

 
1.   The current exposure method is used as the method to calculate credit equivalent amounts.
2.   Neither the “effect of credit equivalent amounts mitigation 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, 2007    As of September 30, 2008

Eligible financial collateralbe

   44.9    44.5

Other eligible IRB collateral

   46.1    59.2

Guarantees, others

   0.3    5.5
         

Total

   91.4    109.3
         

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

 

          (Billions of yen)
          As of September 30, 2007    As of September 30, 2008
          Notional amount    Notional amount

Credit derivatives type:

        

Credit default swap

   Bought    10,136.4    10,322.9
   Sold    9,328.7    9,166.0
            

Total return swap

   Bought    —      —  
   Sold    —      —  
            

Total

   Bought    10,136.4    10,322.9
   Sold    9,328.7    9,166.0
            

 

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

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008

Credit derivatives used for credit risk mitigation

   1,034.2    648.2

 

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Table of Contents

n Securitization exposure

See pages 36 to 41 for the status of our group’s securitization products including those held in our trading accounts (based on a definition thereof pursuant to our managerial accounting which differs from the definition set forth in the Consolidated Capital Adequacy Ratio Notice, etc.) and the status of our overseas ABCP programs, etc.

(6) Quantitative disclosure items for securitization exposure

We reclassified the disclosed figures for the six months ended September 30, 2007, such as “classification based on type of underlying assets,” etc., to conform to the classification used for the six months ended September 30, 2008.

Securitization exposure as originator

(A) Information by type of underlying assets

 

     (Billions of yen)
     As of, or for the six months ended, September 30, 2007
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Corporate    Real
estate
   Securitization
products
   Total

Traditional securitizations

                       

Amount of underlying assets

   —      336.1    —      —      42.3    22.1    —      400.6

Default exposure

   —      2.8    —      —      1.4    —      —      4.2

Losses during the six-month period

   —      0.3    —      —      0.2    —      —      0.5

Amount of exposures securitized during the six-month period

   —      —      —      —      —      —      —      —  

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

   —      —      —      —      —      —      —      —  

Securitization subject to early amortization treatment

   —      —      —      —      —      —      —      —  

Exposure related to synthetic securitizations

                       

Amount of underlying assets

   —      —      —      —      716.0    —      312.5    1,028.5

Default exposure

   —      —      —      —      —      —      —      —  

Losses during the six-month period

   —      —      —      —      —      —      —      —  

Amount of exposures securitized during the six-month period

   —      —      —      —      244.7    —      5.8    250.6

 

 

Notes:   
    1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2007.
    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 risk mitigating effects, 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.”

 

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Table of Contents
     (Billions of yen)
     As of, or for the six months ended, September 30, 2008
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Corporate    Real
estate
   Securitization
products
   Total

Traditional securitizations

                       

Amount of underlying assets

   —      291.7    —      —      22.0    12.4    —      326.2

Default exposure

   —      2.7    —      —      0.9    —      —      3.6

Losses during the six-month period

   —      0.1    —      —      0.1    —      —      0.2

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

   —      —      —      —      —      —      —      —  

Exposure related to synthetic securitizations

                       

Amount of underlying assets

   —      —      —      —      524.5    —      224.6    749.1

Default exposure

   —      —      —      —      —      —      —      —  

Losses during the six-month period

   —      —      —      —      —      —      —      —  

Amount of exposures securitized during the six-month period

   —      —      —      —      255.0    —      19.6    274.6

 

 

Notes:   
    1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2008.
    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 risk mitigating effects, 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 ¥224.6 billion in synthetic securitization transactions with underlying assets classified as “Securitization products,” the underlying assets of such securitization products that are subject to transfers (hedges) of risk consist mainly of “residential mortgage loans” and also include “real estate” and “corporate loans,” etc.

 

Of the securitization schemes (with CDS and other means), described in Note 2 of “Foreign Currency denominated Securitization Products (Banking Subsidiaries)” on page 37, certain securitization schemes that do not fall within the definition of securitization exposure set forth in the Consolidated Capital Adequacy Ratio Notice are not included in “Securitization exposure as originator.”

(B) Information of securitization exposure retained or purchased

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

 

     (Billions of yen)
     As of September 30, 2007
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Corporate    Real
estate
   Securitization
products
   Total    Required
capital

Risk weight

                          

Up to 20%

   —      —      —      —      594.4    3.1    299.6    897.2    5.7

Up to 50%

   —      —      —      —      —      —      —      —      —  

Up to 100%

   —      —      —      —      —      —      —      —      —  

Up to 250%

   —      44.0    —      —      102.5    —      —      146.5    12.5

Up to 650%

   —      —      —      —      —      —      —      —      —  

Over 650%

   —      —      —      —      9.6    —      12.2    21.8    0.3
                                            

Deduction from capital

   —      0.0    —      —      12.7    —      0.6    13.4    10.3
                                            

Total

   —      44.0    —      —      719.2    3.1    312.5    1,079.0    29.0
                                            

 

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Table of Contents

 

         (Billions of yen)
         As of September 30, 2008
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Corporate    Real
estate
   Securitization
products
   Total    Required
capital

Risk weight

                          

Up to 20%

   —      —      —      —      487.2    3.0    212.8    703.1    4.5

Up to 50%

   —      —      —      —      13.4    —      —      13.4    0.3

Up to 100%

   —      —      —      —      —      —      —      —      —  

Up to 250%

   —      42.1    —      —      —      —      —      42.1    4.8

Up to 650%

   —      —      —      —      18.0    —      11.1    29.1    0.1

Over 650%

   —      —      —      —      5.9    —      —      5.9    —  
                                              

Deduction from capital

   —      0.0    —      —      2.9    —      0.6    3.6    1.4
                                              

Total

     —      42.1    —      —      527.4    3.0    224.6    797.3    11.4
                                              

–Capital increase due to securitization transactions–

 

    (Billions of yen)
    As of September 30, 2007
    Credit
cards
  Residential
mortgage
loans
  Auto
loans
  Lease
payment
receivables
  Corporate   Real
estate
  Securitization
products
  Total

Capital increase due to securitization transactions

  —     10.1   —     —     —     —     —     10.1
    (Billions of yen)
    As of September 30, 2008
    Credit
cards
  Residential
mortgage
loans
  Auto
loans
  Lease
payment
receivables
  Corporate   Real
estate
  Securitization
products
  Total

Capital increase due to securitization transactions

  —     8.8   —     —     —     —     —     8.8

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

 

      (Billions of yen)
     As of September 30, 2007    As of September 30, 2008

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

   —      —  

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

(C) Information by type of underlying assets

 

     (Billions of yen)
     As of, or for the six months ended, September 30, 2007
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Account
and note
receivables
   Real
estate
   Others    Total

Amount of underlying assets

   226.5    —      97.8    290.0    669.2    —      47.3    1,331.1

Default exposure

   —      —      —      6.3    23.3    —      —      29.7

Estimated loss amount related to underlying assets

   9.2    —      0.1    2.1    7.3    —      0.3    19.1

Amount of exposures securitized during the six-month period

   210.1    —      275.7    1,254.2    1,646.5    —      137.1    3,523.9

 

 

Notes:   
1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2007.
2.    Securitization exposure that is acquired in securitization of customer’s claims other than as sponsor (in the form of asset-backed securities, trust beneficiary rights and other transferable instruments) is categorized as securitization exposure as investor.
3.    The amount of default exposure is the amount of the underlying assets recognized as default in the calculation of capital adequacy ratio.
4.   

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

 

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

 

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

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

 

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Table of Contents
      (Billions of yen)
     As of, or for the six months ended, September 30, 2008
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Account
and note
receivables
   Real
estate
   Others    Total

Amount of underlying assets

   148.9    —      131.5    242.2    676.3    —      49.5    1,248.6

Default exposure

   —      —      —      2.6    9.4    —      —      12.1

Estimated loss amount related to underlying assets

   1.3    —      1.1    1.2    5.7    —      0.1    9.6

Amount of exposures securitized during the six-month period

   417.1    —      454.5    1,005.7    1,946.3    —      250.5    4,074.4

 

 

Notes:   
1.    Items that refer to “during the six-month period” show amounts accumulated during the six months ended September 30, 2008.
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 risk weight category and underlying asset type and amount of required capital–

 

     (Billions of yen)
     As of September 30, 2007
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Account
and note
receivables
   Real
estate
   Others    Total    Required
capital

Risk weight

                          

Up to 20%

   32.1    152.3    3.1    194.5    421.9    —      1.4    805.7    5.6

Up to 50%

   —      —      17.3    60.0    31.6    —      47.0    156.0    4.2

Up to 100%

   101.8    —      86.0    —      48.2    —      —      236.1    14.4

Up to 250%

   150.0    —      —      5.7    77.7    —      —      233.5    25.6

Up to 650%

   3.7    —      —      —      —      —      —      3.7    1.7

Over 650%

   1.2    —      —      —      —      —      —      1.2    0.8
                                            
Deduction from capital    —      —      —      —      —      —      —      —      —  
                                            
Total    288.9    152.3    106.5    260.3    579.5    —      48.4    1,436.3    52.6
                                            

Exposure whose underlying assets are foreign assets

   282.9    152.3    —      48.5    75.7    —      48.4    608.0    n.a.

 

 

Notes:   
1.    Securitization exposure retained or purchased includes unused portions of securitization programs that are subject to allocation of required capital.
2.    The classification of transactions of which the underlying assets are foreign assets is conducted according to the principal underlying assets of each transaction.

 

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Table of Contents
     (Billions of yen)
     As of September 30, 2008
     Credit
cards
   Residential
mortgage
loans
   Auto
loans
   Lease
payment
receivables
   Account
and note
receivables
   Real
estate
   Others    Total    Required
capital

Risk weight

                          

Up to 20%

   112.8    —      21.4    108.3    435.0    —      47.4    725.1    5.0

Up to 50%

   60.0    —      36.7    96.1    22.8    —      4.1    219.9    5.0

Up to 100%

   12.1    —      63.3    24.1    128.5    —      1.6    229.8    12.3

Up to 250%

   1.6    —      —      —      21.3    —      —      22.9    2.7

Up to 650%

   —      —      —      —      22.8    —      —      22.8    7.8

Over 650%

   —      —      —      —      —      —      —      —      —  
                                            

Deduction from capital

   —      —      —      —      —      —      —      —      —  
                                            

Total

   186.6    —      121.5    228.7    630.6    —      53.2    1,220.6    33.0
                                            

Exposure whose underlying assets are foreign assets

   83.1    —      —      51.6    97.4    —      51.5    283.7    n.a.

 

 

Notes:   
1.    Securitization exposure retained or purchased includes unused portions of securitization programs that are subject to allocation of required capital.
2.    The classification of transactions of which the underlying assets are foreign assets is conducted according to the principal underlying assets of each transaction.

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

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008

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

   —      —  

 

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Table of Contents

Securitization exposure as investor

(E) Information of securitization exposure retained or purchased

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

 

         (Billions of yen)
        As of September 30, 2007
    Credit
cards
  Residential
mortgage
loans
  Auto
loans
  Lease
payment
receivables
  Corporate   Real
estate
  Others   Total   Required
capital

Risk weight

                 

Up to 20%

  159.6   1,672.5   376.2   523.7   566.5   519.0   182.7   4,0006   38.1

Up to 50%

  2.2   19.9   —     3.8   50.2   151.7   11.5   239.6   6.5

Up to 100%

  75.5   25.4   0.6   5.0   5.5   27.1   2.3   141.6   9.1

Up to 250%

  —     —     —     —     —     —     —     —     —  

Up to 650%

  —     —     —     —     —     —     —     —     —  

Over 650%

  —     —     —     —     —     —     —     —     —  
                                     

Deduction from capital

  4.2   11.4   —     —     18.2   18.2   3.8   56.0   34.1
                                     

Total

  241.7   1,729.4   376.8   532.6   640.5   716.2   200.4   4,437.9   88.0
                                     

Exposure whose underlying assets are foreign assets

  139.8   213.8   111.2   33.0   478.9   64.1   25.6   1,066.7   n.a.

Exposure on resecuritizations

  —     15.5   —     —     9.4   4.8   4.5   34.2   n.a.

 

 

Notes:   
1.    Subordinated contributions for managed collateralized loan obligations (“CLO”), etc., are included in the above table as exposure as investor even when the assets underlying those CLOs, etc., include exposures that were originated by us. Our subordinated contributions for those managed CLOs, etc., were ¥7.4 billion (treated as deduction from capital for purpose of capital adequacy ratio calculation), and our sale of assets to such managed CLOs, etc., during the six-month period was ¥11.7 billion.
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 foreign 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.    We classify securitization products whose underlying assets are securitization products such as ABS, etc. (e.g., ABS CDO) as “resecuritizations.”

 

 

    (Billions of yen)
    As of September 30, 2008
    Credit
cards
  Residential
mortgage
loans
  Auto
loans
  Lease
payment
receivables
  Corporate   Real
estate
  Others   Total   Required
capital

Risk weight

                   

Up to 20%

  94.8   1,492.2   316.7   321.8   334.0   597.6   150.4   3,307.8   31.3

Up to 50%

  —     14.3   —     2.0   36.4   157.0   11.2   221.1   5.8

Up to 100%

  29.6   14.0   0.2   1.3   8.0   19.2   1.6   74.2   4.8

Up to 250%

  —     —     —     —     0.2   —     —     0.2   0.0

Up to 650%

  —     1.4   —     —     —     —     —     1.4   0.3

Over 650%

  —     —     —     —     —     —     —     —     —  
                                     

Deduction from capital

  —     4.3   —     —     26.0   21.2   7.8   59.4   36.0
                                     

Total

  124.5   1,526.3   316.9   325.2   404.8   795.2   171.1   3,664.4   78.5
                                     

Exposure whose underlying assets are foreign assets

  53.5   122.5   82.1   16.2   261.4   38.3   17.1   591.3   n.a.

Exposure on resecuritizations

  —     2.3   —     —     8.6   0.0   3.4   14.5   n.a.

 

 

Notes:   
1.    Subordinated contributions for managed collateralized loan obligations (“CLO”), etc., are included in the above table as exposure as investor even when the assets underlying those CLOs, etc., include exposures that were originated by us. Our subordinated contributions for those managed CLOs, etc., were ¥7.4 billion (treated as deduction from capital for purpose of capital adequacy ratio calculation), and our sale of assets to such managed CLOs, etc., during the six-month period was ¥1.1 billion.
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 foreign 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 includes ¥70.7 billion liquidity facilities that we provide to ABCP programs sponsored by third parties. Note that such transactions are not included in the amounts disclosed in pages 36 to 41.
7.    We classify securitization products whose underlying assets are securitization products such as ABS, etc. (e.g., ABS CDO) as “resecuritizations.”

 

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Table of Contents

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

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008

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

   —      —  

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

The balances of such portion as of September 30, 2007 and 2008 were ¥81.4 billion and ¥77.3 billion, respectively.

 

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Table of Contents

n Market Risk

Trading Activities

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

 

     (Billions of yen)
     For the six months ended
September 30, 2007
   For the fiscal year ended
March 31, 2008
   For the six months ended
September 30, 2008

End of period

   4.2    6.7    4.2

Maximum

   5.5    7.9    7.7

Minimum

   3.0    3.0    3.5

Average

   4.2    4.4    5.1

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

   no case    no case    no case

 

Notes:  

1.

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

VaR (Value at Risk)

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

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

 

   

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

 

   

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

 

   

confidence interval: one-tailed 99.0%;

 

   

holding period of one day; and

 

   

historical observation period of one year.

Outlier Criteria

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

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

 

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

As of September 30, 2007

   566.4    8,322.8    6.8 %

As of March 31, 2008

   679.3    7,708.3    8.8 %

As of September 30, 2008

   461.5    7,381.2    6.2 %

Effect of yen interest rate

   283.8      

Effect of dollar interest rate

   131.2      

Effect of euro interest rate

   34.9      

 

Notes:   

1.

   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.

(7) Status of equity exposure in banking book

(A) Amounts stated in consolidated balance sheet

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008
     Consolidated
balance sheet
amount
   Fair value    Consolidated
balance sheet
amount
   Fair value

Exposure of listed stock, etc.

   5,494.9    5,494.9    3,901.7    3,901.7

Other equity exposure

   416.3    416.3    556.6    556.6
                   

Total

   5,911.3    5,911.3    4,458.4    4,458.4
                   

 

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

 

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Table of Contents

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

 

     (Billions of yen)
     For the six months ended March 31, 2007    For the six months ended March 31, 2008
     Gains and losses
on sales
                  Gains and losses
on sales
              
             Gains on sales    Losses on sales            Gains on sales    Losses on sales

Sale of equity exposure

   118.8       122.0    3.1    68.6       72.3    3.6

 

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, 2007     For the six months ended September 30, 2008  
     Gains and losses from write-offs     Gains and losses from write-offs  

Write-offs of equity exposure

   (40.0 )   (96.8 )

 

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, 2007    As of September 30, 2008
     Net unrealized
gains
                  Net unrealized
gains
              
         Unrealized
gains
   Unrealized
losses
         Unrealized
gains
   Unrealized
losses

Equity exposure

   2,203.5       2,312.3    108.7    770.5       987.8    217.3

 

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, 2007 and 2008.

(F) Equity exposure by portfolio classification

 

     (Billions of yen)
     As of September 30, 2007    As of September 30, 2008

PD/LGD approach

   1,023.7    1,097.1

Market-based method (simple risk weight method)

   295.3    264.6

Market-based method (internal models approach)

   —      —  

Transitional measure applied

   4,974.0    3,435.9
         

Total

   6,293.1    4,797.7
         

 

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Table of Contents

The Impact of the Dislocation in Global Financial Markets Stemming from U.S. Subprime Loan Issues

The following is an excerpt from information (managerial accounting basis) that we disclosed in presentation materials used in our IR presentation regarding our financial results for the first half of fiscal 2008 ended September 30, 2008 that we held on November 26, 2008 regarding the detailed status of our holdings of securitization products, etc., following the recommendations in “Report of the Financial Stability Forum (“FSF”) on Enhancing Market and Institutional Resilience” announced on April 11, 2008. The presentation materials can be found under “IR Presentations” on our website.

Summary

Income statement impact of the dislocation in global financial markets

 

      (JPY Bn, round figures)  
   1H FY08  

Total realized gains/losses in 1H FY2008 (A) + (B)

   (72 )

3 Banks (incl. overseas subsidiaries)

  

(1) Losses on sales of securitization products, etc. (incl. devaluation and provision of reserves for Possible Losses on Investments)

   (59 )

(2) Net losses on provision of Reserve for Possible Losses on Sales of Loans *1

   (7 )

(3) Profits from hedging by CDS (related to securitization products)

   +7  

Subtotal (A)

   (59 )

Mizuho Securities (incl. overseas subsidiaries) *2

  

(4) Trading losses on securitization products, net of hedges
       of which foreign currency denominated

   (13

(9

)

)

Subtotal (B)

   (13 )

Supplemental Information (Sep. 30, 2008)

< 3 Banks (incl. overseas subsidiaries) >

(1)    Total balance of foreign currency denominated securitization products: JPY 693Bn (-JPY 196Bn from Mar. 08)

   g P 37

•        Devaluation and losses on sales (except for hedged portion) relating to credit investments in Europe*: -JPY 35Bn

  

•        Net losses on provision of Reserve for Possible Losses on Investments related to credit investments in Europe*: -JPY 4Bn (Reserve as of Sep. 08: JPY 49.7Bn)

  

*:      Credit investments mainly related to the discontinuation of business primary in Europe

  

         (Reserve for Possible Losses on Investments has been provided against unrealized losses on securitization products related to the investments except for the hedged portion)

  

•        Devaluation on RMBS CDOs which were acquired from our overseas ABCP conduit as a substitution payment of loans in FY07: -JPY 20Bn

 

         The total balance of assets acquired by our overseas ABCP conduits was JPY 206Bn

   g P 37

(2)    Balance of loans held for sale (overseas LBO transactions and others) *3: JPY 618Bn (-JPY 188Bn from Mar. 08)

   g P 38

•        Reserve for Possible Losses on Sales of Loans: JPY 54.2Bn (Reserve ratio: 8.7%)

  

(3)    Hedging activities related to foreign currency denominated securitization products

   g P 37

< Mizuho Securities (incl. overseas subsidiaries) >*2

  

(4)    Total balance of foreign currency denominated securitization products: JPY 40Bn (-JPY 65Bn from Mar. 08)

   g P 39

•        CDS related to securitization products (including those with US financial guarantors (monolines))

   g P 39
< Other relevant information>   

(3 Banks + securities companies incl. overseas subsidiaries)

  

(i)     Investments and loans associated with SIVs

  

•        Written-off in FY2007

  

•        There was no “SIVs” established and provided liquidity support and other assistance by Mizuho

  

(ii)    Warehousing loan business*4 related to US subprime mortgage loans