Capital adequacy ratio highlights

n      Capital adequacy ratio highlights

Status of Mizuho Financial Group’s consolidated capital adequacy

n     Scope of consolidation

(1)    Scope of consolidation for calculating consolidated capital adequacy ratio

n      Consolidated capital adequacy ratio

(2)    Summary table of consolidated capital adequacy ratio (BIS Standard)

n     Risk-based capital

(3)    Summary of types of capital instruments

(4)    Summary of approach to assessing capital adequacy

(5)    Required capital by portfolio classification

n     Credit risk

(6)    Credit risk management

(7)    Credit risk exposure, etc.

n      Methods for credit risk mitigation

(8)    Risk management regarding credit risk mitigation

(9)    Credit risk mitigation by portfolio classification

n      Counterparty risk in derivatives transactions and long-settlement transactions

(10)  Management of counterparty risk in derivatives transactions and long-settlement transactions

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

n     Securitization exposure

(12)  Summary of securitization exposure and its risk management

(13)  Accounting policies for securitization transactions

(14)  Quantitative disclosure items for securitization exposure

n     Market risk

n     Operational risk

n      Equity exposure in banking book

(15)  Risk management related to equity exposure in banking book

(16)  Status of equity exposure in banking book

Credit Risk Management

Market and Liquidity Risk Management

Operational Risk Management

Mizuho Financial Group (Consolidated)

Consolidated capital adequacy ratio (BIS standard)

Tier 1 capital ratio

Tier 1 capital

Tier 2 capital

Deductions for total risk-based capital

Total risk-based capital

Risk-weighted assets

(Reference)

Mizuho Corporate Bank (Consolidated)

Consolidated capital adequacy ratio (BIS standard)

Tier 1 capital ratio

Tier 1 capital

Tier 2 capital

Deductions for total risk-based capital

Total risk-based capital

Risk-weighted assets

Mizuho Corporate Bank (Non-consolidated)

Non-consolidated capital adequacy ratio (BIS standard)

Tier 1 capital ratio

Tier 1 capital

Tier 2 capital

Deductions for total risk-based capital

Total risk-based capital

Risk-weighted assets

Mizuho Bank (Consolidated)

Consolidated capital adequacy ratio (Domestic standard)

Tier 1 capital ratio

Tier 1 capital

Tier 2 capital

Deductions for total risk-based capital

Total risk-based capital

Risk-weighted assets

(Reference) Consolidated capital adequacy ratio (BIS standard)

Mizuho Bank (Non-Consolidated)

Non-consolidated capital adequacy ratio (Domestic standard)

Tier 1 capital ratio

Tier 1 capital

Tier 2 capital

Deductions for total risk-based capital

Total risk-based capital

Risk-weighted assets

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

Consolidated subsidiaries

Name

Domestic

Mizuho Corporate Bank, Ltd.

Mizuho Bank, Ltd.

Mizuho Trust & Banking Co., Ltd.

Mizuho Securities Co., Ltd.

Mizuho Investors Securities Co., Ltd.

Trust & Custody Services Bank, Ltd.

Mizuho Asset Management Co., Ltd.

Mizuho Research Institute Ltd.

Mizuho Information & Research Institute Inc.

Mizuho Financial Strategy Co., Ltd.

Mizuho Private Wealth Management Co., Ltd.

Mizuho Factors, Limited

Mizuho Credit Guarantee Co., Ltd.

Mizuho Capital Co., Ltd.

Defined Contribution Plan Services Co., Ltd.

Overseas

Mizuho Bank (Switzerland) Ltd

Mizuho Capital Markets Corporation

Mizuho Corporate Bank (China), Ltd.

Mizuho Corporate Bank (USA)

Mizuho Corporate Bank Nederland N.V.

Mizuho International plc

Mizuho Securities USA Inc.

Mizuho Trust & Banking (Luxembourg) S.A.

Mizuho Trust & Banking Co. (USA)

PT. Bank Mizuho Indonesia

Tier 1 capital

Non-cumulative perpetual preferred stock

Preferred securities issued by overseas SPCs

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

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

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

Preferred securities with a step-up interest rate provision

(B

) 

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

Tier 2 capital

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

Debt capital, etc.

Perpetual subordinated debt and other debt capital

Dated subordinated debt and redeemable preferred stock

Tier 2 capital included as qualifying capital

Tier 3 capital

Tier 3 capital included as qualifying capital

Total risk-based capital

Risk-weighted assets

On-balance-sheet items

Off-balance-sheet items

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

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

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 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

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2016. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2018. Dividend rate step-up is applied.

Dividend payments that are suspended are non-cumulative.)

Series A

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. Dividend rate step-up is applied.

Dividend payments that are suspended are non-cumulative.)

Series B

Fixed dividend rate for the first ten years (although a floating dividend rate is applied with respect to dividend payment dates after June 2019. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Series A ¥249.5 billion

Series B ¥53.5 billion

(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)

(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^{( 15)} is insufficient, or dividends on its preferred stock^{( 13)} are suspended or reduced;

(Optional dividend suspension or reduction event)

(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^{( 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

Series A

Starting from the dividend payment date falling in June 2014, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

Series B

Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

Series C

Starting from the dividend payment date falling in June 2015, optionally redeemable on each dividend payment date (subject to prior approval from regulatory authorities)

Fixed dividend rate for the first seven years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Fixed dividend rate for the first five years (although a floating dividend rate is applied with respect to dividend payment dates after June 2014. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Series A

Fixed dividend rate for the first five years (although a floating dividend rate is applied with respect to dividend payment dates after June 2014. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Series B

Fixed dividend rate for the first six years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Series C

Fixed dividend rate for the first six years (although a floating dividend rate is applied with respect to dividend payment dates after June 2015. No dividend rate step-up.

Dividend payments that are suspended are non-cumulative.)

Series A ¥139.5 billion

Series B ¥72.5 billion

Series C ¥25.0 billion

Series A June 30, 2009

Series B August 31, 2009

Series C September 29, 2009

(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^{( 17)} 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^{( 18)} 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^{( 19)} 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) 4 Preferred Securities and when Mizuho Financial Group issues a dividend suspension notice to MCI (JPY) 4; and

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

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

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

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

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

Notes:

(1)

Loss Absorption Certificate

(2)

Preferred Stock

(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 MPC1, equal in point of subordination as the Parity Preferred Securities⁽⁶⁾ (“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⁽⁶⁾ in such fiscal year) / (Total of full dividend payment amount for Parity Preferred Securities⁽⁶⁾ in such fiscal year + Total amount of full dividend payment amount for Parallel Securities in such fiscal year)

(4)

Distributable Amounts Limitation Certificate

(5)

Mandatory Dividend Payment Date

(6)

Parity Preferred Securities

(7)

Liquidation Event

(8)

Reorganization Event

(9)

Insolvency Event

(10)

Governmental Action

(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

(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

(13)

Preferred Stocks

    (14)

(i)     Amount available in June

(ii)    Amount available in December

    (15)

(i)     Amount available in June

(ii)    Amount available in December

    (16)

(i)     Amount available in June

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

(iii)  Amount available in December 2008

(i)     Amount available in March 2009

(ii)    Amount available in June

(iii)  Amount available in December

(i)     Amount available in June

(ii)    Amount available in December

(i)     Amount available in June

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

(iii)  Amount available in December 2009

Eleventh Series Class XI

Preferred Stock

Thirteenth Series Class XIII

Preferred Stock

Conversion⁽¹⁾

request

Conversion

period

From July 1, 2008 to June 30, 2016.

n.a.

Conversion price

¥303.50 (As of July 1, 2010)

n.a.

Reset of

conversion price

On July 1 of each year from July 1, 2009 to July 1, 2015 (hereafter, “Conversion Price Reset Date”), in the event the market price of common stock on such date is below the effective conversion price on the day before the relevant Conversion Price Reset Date, the reset price is to be adjusted as of the relevant Conversion Price Reset Date to such market price (minimum: ¥303.50), where market price is defined as the average of the daily closing prices of common stock as reported by the Tokyo Stock Exchange for the 30 consecutive trading days commencing on the 45th trading day prior to the Conversion Price Reset Date.

n.a.

Adjustment of
the conversion
price

Adjustments to the conversion price are to be made upon the issuance or disposition of common stock at a price lower than the market price and in other specified circumstances.

n.a.

Number of
shares of
common stock to
be provided upon
conversion

The number obtained by dividing (i) the total issue price of the preferred stock submitted in connection with the conversion request by the holders of such preferred stock by (ii) the conversion price.

n.a.

Mizuho Financial Group shall acquire on July 1, 2016 any preferred stock in respect of which a request for conversion has not been made by June 30, 2016 and deliver common stock to the holder of such preferred stock. The number of shares of common stock to be delivered is obtained by dividing ¥1,000 by the average of the daily closing prices of common stock as reported by the Tokyo Stock Exchange for the 30 consecutive trading days commencing on the 45th trading day prior to July 1, 2016 (minimum: ¥303.50).

n.a.

On or after April 1, 2013, as determined by a resolution of the general meeting of shareholders, all or a portion of the preferred stock can be repurchased at the conversion price set forth below.

The conversion price per share will be the sum of ¥1,000 and the preferred dividend pro-rated for the number of days from the first day of the fiscal year during which the conversion date falls; provided, however, that if preferred interim dividends are paid, the conversion price per share is to be reduced by the amount of such interim dividend.

Perpetual subordinated debt;

Dated subordinated debt; and

Dated preferred stock.

Credit risk

Internal ratings-based approach

Corporate (except specialized lending)

Corporate (specialized lending)

Sovereign

Bank

Retail

Residential mortgage

Qualifying revolving loans

Other retail

Equities, etc.

PD/LGD approach

Market-based approach (simple risk weight method)

Market-based approach (internal models approach)

Transitional measure applied

Regarded-method exposure

Purchase receivables

Securitizations

Others

Standardized approach

Sovereign

Bank

Corporate

Residential mortgage

Securitizations

Others

Market risk

Standardized approach

Interest rate risk

Equities risk

Foreign exchange risk

Commodities risk

Option transactions

Internal models approach

Operational risk

Advanced measurement approach

Gross profit allocation approach

Basic indicator approach

Total required capital (consolidated)

1.

2.

3.

4.

5.

6.

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.