Capital Adequacy Ratio Quantitative Disclosure Data:

Transcription

1 Capital Adequacy Ratio Quantitative Disclosure Data: ( SMTH ) Capital Adequacy Ratio 280 Scope of Consolidation 280 Composition of Capital (Consolidated BIS capital adequacy ratio) 281 Outline and Details of Agreements Concerning Capital Funding Instruments 285 Explanation on Reconciliation between Balance Sheet Items and Regulatory Capital Elements 285 Capital Adequacy 290 Credit Risk 292 Credit Risk Mitigation Techniques 300 Counterparty Risk in Derivative and Long-term Settlement 300 Securitization Exposures 301 Market Risk 309 Capital Subscriptions or Equity Exposures in the Banking Account 311 Exposures Held in Funds as Credit Risk- Assets 312 Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the SMTH Group Regarding Interest Rate Risk in the Banking Account 312 Annual Report 279

2 Capital Adequacy Ratio Quantitative Disclosure Data: Capital Adequacy Ratio Consolidated We calculate the consolidated BIS capital adequacy ratio in line with provisions of Article of the Banking Act and on the basis of calculation formula prescribed under the criteria for judging whether a bank holding company and its subsidiaries capital adequacy ratios are appropriate in light of assets held (the Financial Services Agency 2006 Notification No. 20, hereinafter referred to as the Notification ). Since the end of March, we have adopted the Foundation Internal Ratings-Based (IRB) Approach for the calculation of credit risk-weighted assets, the Standardized Approach for the calculation of operational risk, and market risk regulations. Scope of Consolidation Consolidated (1) There is no difference between companies belonging to the group of companies subject to the consolidated BIS capital adequacy ratio as prescribed by the Basel Notification, Article 3 (hereinafter referred to as the SMTH Group ) and the companies included in the scope of accounting consolidation. (2) The number of consolidated subsidiaries that belong to the SMTH Group is 74. The principal company is the following. Name Trust and Banking Businesses Principal Business Operations (3) There is no affiliated company that undertakes financial services subject to the Basel Notification, Article 9. (4) There are no particular restrictions on the transfer of funds and capital within the SMTH Group. (5) Of the subsidiaries which are banking, financial and insurance entities that are outside the scope of regulatory consolidation, none failed to meet the regulatory required capital. 280 Annual Report

3 Capital Adequacy Ratio Quantitative Disclosure Data: Composition of Capital (Consolidated BIS capital adequacy ratio) Fiscal Year Basel III Common Equity Tier 1 Capital: Instruments and Reserves Directly Issued Qualifying Common Share Capital Plus Related Capital Surplus and Retained Earnings of Which: Capital Stock and Capital Surplus of Which: Retained Earnings of Which: Treasury Stock (Deduction) of Which: Earnings to be Distributed (Deduction) of Which: Others Subscription Rights to Common Shares Accumulated Other Comprehensive Income Common Share Capital Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Common Equity Tier 1) Amount Allowed in Group Common Equity Tier 1 Subject to Transitional Arrangements of Which: Common Share Capital Issued by Subsidiaries and Held by Third Parties Common Equity Tier 1 Capital: Instruments and Reserves Items (A) Common Equity Tier 1 Capital: Regulatory Adjustments Intangible Assets Other than Mortgage Servicing Rights (Net of Related Deferred Tax Liabilities) of Which: Goodwill (Including Those Equivalent) of Which: Other Intangible Assets Deferred Tax Assets That Rely on Future Profitability Excluding Those Arising from Temporary Differences (Net of Related Deferred Tax Liabilities) Deferred Gains or Losses on Derivatives under Hedge Accounting Shortfall of Eligible Provisions to Expected Losses Securitization Gain on Sale Gains and Losses Due to Changes in Own Credit Risk on Fair Valued Liabilities Defined-Benefit Pension Fund Net Assets (Net of Related Deferred Tax Liabilities) Investments in Own Shares (Excluding Those Reported in the Net Assets Section) Reciprocal Cross-Holdings in Common Equity Investments in the Common Stock of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions, Where the Bank Does Not Own More than 10% of the Issued Share Capital (Amount above 10% Threshold) Amount above the 10% Threshold on the Specified Items of Which: Significant Investments in the Common Stock of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions of Which: Mortgage Servicing Rights of Which: Deferred Tax Assets Arising from Temporary Differences (Net of Related Deferred Tax Liabilities) Amount Exceeding the 15% Threshold on the Specified Items of Which: Significant Investments in the Common Stock of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions of Which: Mortgage Servicing Rights of Which: Deferred Tax Assets Arising from Temporary Differences (Net of Related Deferred Tax Liabilities) Regulatory Adjustments Applied to Common Equity Tier 1 Due to Insufficient Additional Tier 1 and Tier 2 to Cover Deductions Common Equity Tier 1 Capital: Regulatory Adjustments (B) Common Equity Tier 1 Capital (CETI) Common Equity Tier 1 Capital (C) = (A) (B) 1,582, , ,139 93,164 19, ,861 29,164 29,164 1,613,792 1,613,792, % Amounts Excluded under Transitional Arrangements 134, , ,649 65,688 23,768 (3,542) 107,278 13, , ,835 14,275 14,275 Consolidated Basel III Template No. 1a+2 1c 26 1a 2 1c 26 1b Annual Report 281

4 Capital Adequacy Ratio Quantitative Disclosure Data: Additional Tier 1 Capital: Instruments Directly Issued Qualifying Additional Tier 1 Instruments Plus Related Capital Surplus of Which Classified as Equity under Applicable Accounting Standards Subscription Rights to Additional Tier 1 Instruments Directly Issued Qualifying Additional Tier 1 Instruments Plus Related Capital Surplus of Which Classified as Liabilities under Applicable Accounting Standards Qualifying Additional Tier 1 Instruments Issued by Special Purpose Vehicles Additional Tier 1 Instruments Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Additional Tier 1) Eligible Tier 1 Capital Instruments Subject to Phase out from Additional Tier 1 Capital of Which: Directly Issued and Issued by Special Purpose Vehicles of Which: Issued by Subsidiaries Amount Allowed in Group Additional Tier 1 Subject to Transitional Arrangements of Which: Accumulated Other Comprehensive Income Additional Tier 1 Capital: Instruments (D) Additional Tier 1 Capital: Regulatory Adjustments Investments in Own Additional Tier 1 Instruments Reciprocal Cross-Holdings in Additional Tier 1 Instruments Investments in the Additional Tier 1 Instruments of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions, Where the Bank Does not Own More than 10% of the Issued Common Share Capital of the Entity (Amount above 10% Threshold) Significant Investments in the Additional Tier 1 Instruments of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions Regulatory Adjustments Applied to Additional Tier 1 Subject to Transitional Arrangements of Which: Tier 1 Subject to Pre-Basel III Treatment Regulatory Adjustments Applied to Additional Tier 1 Due to Insufficient Tier 2 to Cover Deductions Additional Tier 1 Capital: Regulatory Adjustments Additional Tier 1 Capital Tier 1 Capital Items (E) Additional Tier 1 Capital (ATI) (F)=(D) (E) Tier 1 Capital (TI = CETI + ATI) (G) =(C)+(F) Tier 2 Capital: Instruments and Provisions Directly Issued Qualifying Tier 2 Instruments Plus Related Capital Surplus of Which Classified as Equity under Applicable Accounting Standards Subscription Rights to Tier 2 Instruments Directly Issued Qualifying Tier 2 Instruments Plus Related Capital Surplus of Which Classified as Liabilities under Applicable Accounting Standards Qualifying Tier 2 Instruments Issued by Special Purpose Vehicles Tier 2 Instruments Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Tier 2) Eligible Tier 2 Capital Instruments Subject to Phase out from Tier 2 of Which: Directly Issued and Issued by Special Purpose Vehicles of Which: Issued by Subsidiaries Provisions Allowed in Group Tier 2 of Which: General Allowance for Credit Losses of Which: Excess Amount of Eligible Provisions to Expected Losses Amount Allowed in Group Tier 2 Subject to Transitional Arrangements of Which: Accumulated Other Comprehensive Income Tier 2 Capital: Instruments and Provisions (H) 13, , , ,000 (4,427) (4,427) 499, , , , ,242 1,934,034 2, , ,118 10,663 10,663 99,886 99, ,329, % Amounts Excluded under Transitional Arrangements 22,701 7,222 Basel III Template No. 31a 31b a 50b Annual Report

5 Capital Adequacy Ratio Quantitative Disclosure Data: Tier 2 Capital: Regulatory Adjustments Investments in Own Tier 2 Instruments Reciprocal Cross-Holdings in Tier 2 Instruments Investments in the Tier 2 Instruments of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions, Where the Bank Does not Own More than 10% of the Issued Common Share Capital of the Entity (Amount above 10% Threshold) Significant Investments in the Tier 2 Instruments of Banking, Financial and Insurance Entities That are Outside of the Scope of Regulatory Consolidation, Net of Eligible Short Positions Regulatory Adjustments Applied to Tier 2 Subject to Transitional Arrangements of Which: Tier 2 and Deductions Subject to Pre-Basel III Treatment Tier 2 Capital: Regulatory Adjustments (I) Tier 2 Capital (TII) Tier 2 Capital (J)=(H) (I) Capital Capital (TC = T1 + TII) (K)=(G)+(J) Risk Assets Risk Assets Subject to Transitional Arrangements of Which: Amount not Included in Tier 1 or Tier 2 or Deductions Subject to Pre-Basel III Treatment Risk Assets Capital Ratios (Consolidated) Common Equity Tier 1 Capital Ratio (C)/(L) 8.30% Tier 1 Capital Ratio (G)/(L) 9.95% Capital Ratio (K)/(L) 14.10% Regulatory Adjustments (before Risk Weighting) Investments in the Instruments of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Where the Bank Does not Own More than 10% of the Issued Share Capital (Amount below the Threshold for Deduction) 129,177 Significant Investments in the Common Stock of Banking, Financial and Insurance Entities (Amount below the Thresholds for Deduction) 37,044 Mortgage Servicing Rights (Amount below the Thresholds for Deduction) Deferred Tax Assets Arising from Temporary Differences (Amount below the Thresholds for Deduction) 124,394 Provisions Included in Tier 2 Capital: Instruments and Provisions Provisions Eligible for Inclusion in Tier 2 in Respect of Exposures Subject to Standardized Approach (Prior to Applicable of Cap) Cap on Inclusion of Provisions in Tier 2 under Standardized Approach Provisions Eligible for Inclusion in Tier 2 in Respect of Exposures Subject to Internal Ratings-Based Approach (Prior to Applicable of Cap) Cap on Inclusion of Provisions in Tier 2 under Internal Ratings-Based Approach 93,950 Capital Instruments Subject to Phase out Arrangements 490,500 Current Cap on Additional Tier 1 Instruments Subject to Phase out Arrangements Amount Excluded from Additional Tier 1 Due to Cap (Excess over Cap after Redemptions and Maturities) Current Cap on Tier 2 Instruments Subject to Phase out Arrangements Amount Excluded from Tier 2 Due to Cap (Excess over Cap after Redemptions and Maturities) Items (L) 80,788 80,788 80, ,540 2,738, , ,476 19,421,569 10,663 15,673 54, ,118 85,790, % Amounts Excluded under Transitional Arrangements 113,257 5,450 Basel III Template No. Note: SMTH received an external audit by KPMG AZSA LLC of the calculation of the consolidated BIS capital adequacy ratio as of March 31, in line with Agreed Upon Methods for the Implementation of Capital Adequacy Ratio Audits (Pronouncement 30 of the Japanese Institute of Certified Public Accountants, Bank Auditing Committee, March 21, ). The external audit is not part of the accounting audit of the consolidated financial statements but was conducted by the external auditor as part of the internal risk management framework concerning the calculation of the consolidated BIS capital adequacy ratio under agreed-upon examination procedures, which we considered it necessary, and is a report of the results presented to us. It thus does not represent an opinion by the external auditor regarding the consolidated BIS capital adequacy ratio itself or parts of internal risk management framework which concern the ratio Annual Report 283

6 Capital Adequacy Ratio Quantitative Disclosure Data: Fiscal Year 2011 We calculate the consolidated BIS capital adequacy ratio as of March 31,, in line with provisions of Article of the Banking Act and on the basis of the calculation formula prescribed under the criteria for judging whether a bank holding company and its subsidiaries capital adequacy ratios are appropriate in light of assets held (the Financial Services Agency 2006 Notification No. 20, hereinafter referred to as the former Basel Notification, ) (also known as Basel II ), which was applied as of March 31,. Applying No. 1 standard (international standard for bank holding company), we have adopted the Foundation Internal Ratings-Based (IRB) Approach for the calculation of credit risk-weighted assets, the Standardized Approach for the calculation of operational risk, and market risk regulations. Basel II Tier 1 Capital Stock Noncumulative Perpetual Preferred Shares * 1 Deposit for Subscriptions to Shares Capital Surplus Retained Earnings Treasury Stock (Deduction) Deposit for Subscriptions to Treasury Stock Expected Distributed Amount (Deduction) Net Unrealized Loss on Available-for-Sale Securities (Deduction) Foreign Currency Translation Adjustments Share Warrants Minority Interests Noncumulative Preferred Securities Issued by Overseas Special Purpose Companies Business Rights Equivalents (Deduction) Goodwill Equivalents (Deduction) Equivalent to Intangible Fixed Assets Recorded through Business Combination (Deduction) Equivalent to Capital Increase Due to Securitization (Deduction) Equivalent to 50% of the Excess of Expected Loss over Qualifying Allowance (Deduction) Tier 1 before Deduction of Deferred Tax Assets (Aggregate Sum of Items Above) Deducted Amounts of Deferred Tax Assets (Deduction) * 2 Noncumulative Preferred Securities Attached with Step-up Interest Rate Clause * 3 Tier 2 45% of Net Unrealized Gain on Available-for-Sale Securities 45% of Revaluation Reserve for Land General Allowance for Loan Losses Excess of Qualifying Allowance over Expected Loss Debt Capital Perpetual Subordinated Debt * 4 Subordinated Term Debt and Fixed-term Preferred Shares * 5 Included in Capital Tier 3 Subordinated Short-term Debt Included in Capital Items for Deduction Items for Deduction * 6 Qualifying Capital ((A)+(B)+(C) (D)) Risk- Assets Asset (On-balance Sheet) Items Off-balance Sheet Transaction Items Amount of Credit Risk- Assets Amount of Market Risk Equivalents ((H)/8%) (Reference) Market Risk Equivalents Amount of Operational Risk Equivalents ((J)/8%) (Reference) Operational Risk Equivalents Credit Risk- Assets Adjustments Operational Risk Equivalents Adjustments ((F)+(G)+( I ) +(K)+(L)) Consolidated BIS Capital Adequacy Ratio (No. 1 standard) = E/M x 100 (%) Tier 1 Capital Ratio = A/M x 100 (%) Ratio of Noncumulative Preferred Securities with Step-up Interest Rate Clauses to Tier 1 Capital = a/a x 100 (%) *1. The amount of noncumulative perpetual preferred shares which are included in Tier 1 was 109,000 million. The column for Capital StockNoncumulative Perpetual Preferred Shares indicates the amount which has been included in capital stock. *2. Deferred tax assets totaled 189,615 million in net terms. The upper limit on the inclusion of deferred tax assets in capital was 425,110 million. *3. Listed in the former Basel Notification, Article 5, Paragraph 2, i.e. stocks and other securities with high probability of redemptions through such measures as attachment of step-up interest rate clauses (including noncumulative preferred securities issued by overseas special purpose companies). *4. Debt capital listed in the former Basel Notification, Article 6, Paragraph 1, Item 4 that have all of the characteristics listed below: (1) Paid-up debts unsecured and subordinate to other debts (2) Not redeemable, except for certain cases (3) Used for offsetting of loss while continuing business (4) Allowed to defer interest payment obligations *5. Listed in the former Basel Notification, Article 6, Paragraph 1, Items 5 and 6. However, subordinated term debts are limited to those with an original maturity of over five years. *6. Listed in the former Basel Notification, Article 8, Paragraph 1, Items 1 through 6, and include amounts equivalent to intentional holdings of other financial institutions capital funding means and the amounts equivalent to investments in those provided for under the former Basel Notification, Article 8, Paragraph 1, Item 2. *7. SMTH received an external audit by Deloitte Touche Tohmatsu LLC and KPMG AZSA LLC of the calculation of the consolidated BIS capital adequacy ratio as of March 31, in line with Agreed Upon Methods for the Implementation of Capital Adequacy Ratio Audits (Pronouncement 30 of the Japanese Institute of Certified Public Accountants, Bank Auditing Committee, March 29, 2011). The external audit is not part of the accounting audit of the consolidated financial statements but was conducted as part of the internal risk management framework concerning the calculation of the consolidated BIS capital adequacy ratio under agreed-upon examination procedures and is a report of the results presented to us. It thus does not represent an opinion by the external auditor regarding the consolidated BIS capital adequacy ratio itself or parts of internal control which concern the ratio. (A) (a) (B) (C) (D) (E) (F) (G) (H) (I) (J) (K) (L) (M) 261,608 54, , , ,992 (12,907) 6 510, , ,886 5,469 18,194 32,954 2,125,552 2,125, ,000 15,028 (217) 12, , , , , , ,455 2,985,776 14,674,107 1,786,447 16,460, ,539 17,563 1,214,361 97,148 17,894, Annual Report

7 Capital Adequacy Ratio Quantitative Disclosure Data: Outline and Details of Agreements Concerning Capital Funding Instruments Consolidated Outline and Details of Agreements Concerning Capital Funding Instruments are available on our website ( Explanation on Reconciliation between Balance Sheet Items and Regulatory Capital Elements Consolidated Fiscal Year Items (Assets) Cash and Due from Banks Call Loans and Bills Bought Receivables under Resale Agreements Receivables under Securities Borrowing Monetary Claims Bought Trading Assets Money Held in Trust Securities Loans and Bills Discounted Foreign Exchanges Lease Receivables and Investment Assets Other Assets Tangible Fixed Assets Buildings Land Lease Assets Construction in Progress Other Intangible Fixed Assets Software Goodwill Lease Assets Other Deferred Tax Assets Customers Liabilities for Acceptances and Guarantees Allowance for Loan Losses Assets Consolidated Balance Sheet ( * ) Amount () 3,902, ,228 91, , , ,594 19,014 6,346,001 22,391,660 59, ,532 1,446, ,595 74, , , ,775 88, , ,515 75, ,945 (132,970) 37,704,031 Ref. No. of Appendix 6 a 2 b, 6 b 6 c 3, 6 d 2 a 4 a Basel III Template No. under the Composition of Capital Disclosure Annual Report 285

8 Capital Adequacy Ratio Quantitative Disclosure Data: Items (Liabilities) Deposits Negotiable Certificates of Deposit Call Money and Bills Sold Payables under Repurchase Agreements Trading Liabilities Borrowed Money Foreign Exchanges Short-term Bonds Payable Bonds Payable Borrowed Money from Trust Account Other Liabilities Provision for Bonuses Provision for Director s Bonuses Provision for Retirement Benefits Provision for Reimbursement of Deposits Provision for Contingent Loss Deferred Tax Liabilities Deferred Tax Liabilities for Land Revaluation Acceptances and Guarantees Liabilities (Net Assets) Capital Stock Capital Surplus Retained Earnings Treasury Stock Shareholders Equity Valuation Difference on Available-for-Sale Securities Deferred Gains or Losses on Hedges Revaluation Reserve for Land Foreign Currency Translation Adjustment Accumulated Other Comprehensive Income Subscription Rights to Shares Minority Interests Net Assets Liabilities and Net Assets ( * ) The regulatory scope of consolidation is the same as the accounting scope of consolidation. Consolidated Balance Sheet ( * ) Amount () 23,023,897 4,103, , , ,133 1,169, , ,363 2,483,248 1,023,319 14, ,132 6,207 9,720 1,825 4, ,945 35,373, , , ,139 (93,164) 1,711, ,522 (17,154) (5,457) (4,427) 134, ,415 2,330,474 37,704,031 Ref. No. of Appendix 6 e 4 b 4 c 1 a 1 b 1 c 1 d 5 7 Basel III Template No. under the Composition of Capital Disclosure 3 1b 286 Annual Report

9 Capital Adequacy Ratio Quantitative Disclosure Data: (Appendix) Note: Amounts in the Composition of capital are based on those before considering under transitional arrangements. Therefore, they include Amounts excluded under transitional arrangements disclosed in Composition of capital disclosure and exclude items for regulatory purpose under transitional arrangement from these tables. 1. Shareholders equity (1) Consolidated balance sheet Consolidated Balance Sheet Items Capital Stock Capital Surplus Retained Earnings Treasury Stock Shareholders Equity (2) Composition of capital Items in the Composition of Capital Disclosure Directly Issued Qualifying Common Share Capital Plus Related Capital Surplus and Retained Earnings of Which: Capital Stock and Capital Surplus of Which: Retained Earnings of Which: Treasury Stock (Deduction) of Which: Others Directly Issued Qualifying Additional Tier 1 Instruments Plus Related Capital Surplus of Which Classified as Equity under Applicable Accounting Standards 2. Intangible fixed assets (1) Consolidated balance sheet Consolidated Balance Sheet Items Intangible Fixed Assets Securities of Which: Goodwill Arising on the Application of the Equity Method Associated Deferred Tax Liabilities Amount () 261, , ,139 (93,164) 1,711,556 Amount () 1,602, , ,139 93,164 Amount () 205,775 6,346,001 6,857 33,295 Remarks Remarks Shareholders Equity Attributable to Common Shares (before Adjusting National Specific Regulatory Adjustments (Earnings to be Distributed)) Shareholders Equity Attributable to Preferred Shares with a Loss Absorbency at the Point of Non-Viability Remarks Ref. No. 1 a 1 b 1 c 1 d Basel III Template No. 1a 2 1c 31a Ref. No. 2 a 2 b Annual Report 287

10 Capital Adequacy Ratio Quantitative Disclosure Data: (2) Composition of capital Items in the Composition of Capital Disclosure Goodwill (Net of Related Deferred Tax Liabilities, Including Those Equivalent) Other Intangible Assets (Net of Related Deferred Tax Liabilities) Mortgage Servicing Rights (Net of Related Deferred Tax Liabilities) Amount above the 10% Threshold on the Specified Items Amount exceeding the 15% Threshold on the Specified Items Amount below the Thresholds for Deduction (before Risk Weighting) Consolidated Balance Sheet Items Other Assets of Which: Prepaid Pension Cost Associated Deferred Tax Liabilities Amount () 113,649 65, Defined-benefit pension fund net assets (prepaid pension cost) (1) Consolidated balance sheet Amount () 1,446, ,606 59,379 Remarks Excluding Goodwill, Mortgage Servicing Rights (Software, etc.) Remarks Basel III Template No Ref. No. 3 (2) Composition of capital Items in the Composition of Capital Disclosure Defined-Benefit Pension Fund Net Assets (Net of Related Deferred Tax Liabilities) 107, Deferred tax assets (1) Consolidated balance sheet Consolidated Balance Sheet Items Deferred Tax Assets Deferred Tax Liabilities Deferred Tax Liabilities for Land Revaluation Amount () Amount () 75,685 1,825 4,122 Remarks Remarks Basel III Template No. Ref. No. 4 a 4 b 4 c Associated Intangible Fixed Assets Associated Prepaid Pension Cost 33,295 59,379 (2) Composition of capital Items in the Composition of Capital Disclosure Deferred Tax Assets That Rely on Future Profitability excluding Those Arising from Temporary Differences (Net of Related Deferred Tax Liabilities) Deferred Tax Assets Arising from Temporary Differences (Net of Related Deferred Tax Liabilities) Amount above the 10% Threshold on the Specified Items Amount exceeding the 15% Threshold on the Specified Items Amount below the Thresholds for Deduction (before Risk Weighting) Amount () 23, ,670 14, ,394 Remarks This Item Does not Agree with the Amount Reported on the Balance Sheet Due to Offsetting of Assets and Liabilities. This Item Does not Agree with the Amount Reported on the Balance Sheet Due to Offsetting of Assets and Liabilities. Basel III Template No Annual Report

11 Capital Adequacy Ratio Quantitative Disclosure Data: 5. Deferred gains or losses on hedges (1) Consolidated balance sheet Consolidated Balance Sheet Items Amount () Remarks Deferred Gains or Losses on Hedges (17,154) 5 Ref. No. (2) Composition of capital Items in the Composition of Capital Disclosure Deferred Gains or Losses on Derivatives under Hedge Accounting 6. Investments in the capital of financial entities (1) Consolidated balance sheet Consolidated Balance Sheet Items Money Held in Trust Securities Loans and Bills Discounted Other Assets Other Liabilities Amount () (3,542) Amount () 19,014 6,346,001 22,391,660 1,446,809 1,023,319 Remarks Basel III Template No. Excluding those items whose valuation differences arising from hedged items are recognized as Accumulated other comprehensive income 11 Remarks Including subordinated loans Including derivatives Including derivatives Ref. No. 6 a 6 b 6 c 6 d 6 e (2) Composition of capital Items in the Composition of Capital Disclosure Investments in Own Capital Instruments Common Equity Tier 1 Capital Additional Tier 1 Capital Tier 2 Capital Reciprocal Cross-Holdings in Capital Instruments Common Equity Tier 1 Capital Additional Tier 1 Capital Tier 2 Capital Investments in the Instruments of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Where the Bank Does not Own More than10% of the Issued Share Capital Common Equity Tier 1 Capital Additional Tier 1 Capital Tier 2 Capital Amount below the Thresholds for Deduction (before Risk Weighting) Significant Investments in the Common Stock of Banking, Financial and Insurance Entities That are Outside the Scope of Regulatory Consolidation, Net of Eligible Short Positions Amount above the 10% Threshold on the Specified Items Amount exceeding the 15% Threshold on the Specified Items Additional Tier 1 Capital Tier 2 Capital Amount below the Thresholds for Deduction (before Risk Weighting) Amount () ,971 47,835 22, , ,177 49,716 7,222 5,450 37,044 Remarks Basel III Template No Annual Report

12 Capital Adequacy Ratio Quantitative Disclosure Data: 7. Minority interests (1) Consolidated balance sheet Consolidated Balance Sheet Items Amount () Remarks Ref. No. Minority Interests 484,415 7 (2) Composition of capital Items in the Composition of Capital Disclosure Common Share Capital Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Common Equity Tier 1) Qualifying Additional Tier 1 Instruments Issued by Special Purpose Vehicles Additional Tier 1 Instruments Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Additional Tier 1) Qualifying Tier 2 Instruments Issued by Special Purpose Vehicles Tier 2 Instruments Issued by Subsidiaries and Held by Third Parties (Amount Allowed in Group Tier 2) Amount () 1,861 13,526 2,660 Remarks Basel III Template No ab Capital Adequacy Amounts of Required Capital (1) Amounts of required capital against credit risk (excluding equity exposures to which the IRB Approach is applied and exposures held in funds) Portfolios to Which the Standardized Approach Is Applied Exposures to Business Units Set for Phased Roll-out Application Exposures Excluded from Application Portfolios to Which the IRB Approach Is Applied and Breakdown by Portfolio Corporate Exposures Sovereign Exposures Financial Institution Exposures Residential Mortgage Exposures Qualifying Revolving Retail Exposures Other Retail Exposures Other Exposures* 1 Securitization Exposures Consolidated 110, ,547 71,299 72,450 39,217 33,097 1,237,144 1,192, , ,928 16,729 14,341 47,773 33,544 93, ,541 1,050 1,687 19,673 22, ,634 81,709 29,891 36,405 *1. Other exposures refer to the exposures below. Purchased receivables, unsettled transactions, lease transactions and other assets,, following Basel III application, exposures include CVA risk, central settlement institutions, and equities, etc. with 250% risk-weight applied. *2. The calculation method of the amounts of required capital against credit risk is as follows Portfolios to which the Standardized Approach is applied: amount of credit risk-weighted assets x 8% + capital deduction amount Portfolios to which the IRB Approach is applied: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount Securitization exposures: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount 290 Annual Report

13 Capital Adequacy Ratio Quantitative Disclosure Data: (2) Amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied Equity Exposures PD/LGD Approach Simple Risk-Weight Method of the Market-based Approach Internal Model Method of the Market-based Approach Transitional Measures* 1 140, ,992 41,234 44,663 21,007 18,074 78,618 70,254 *1. The amount of credit risk-weighted assets is calculated with a risk-weight of 100%, pursuant to the Notification, Supplementary Rules Article 13. *2. The calculation method of the amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied is as follows Those applicable to the PD/LGD approach: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount Those applicable to the simple risk-weight method of the market-based approach: (amount of credit risk-weighted assets x 1.06) x 8% Those applicable to the transitional measures: (amount of credit risk-weighted assets x 1.06) x 8% (3) Amounts of required capital against credit risk concerning exposures held in funds Exposures Held in Funds* 143, ,538 * (Amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount (4) Amounts of required capital against market risk Market Risk Amounts of Required Capital by Category under the Standardized Approach Interest Rate Risk Equity Position Risk Foreign Exchange Risk Commodities Risk Options Internal Model Approach (5) Amounts of required capital against operational risk 42,264 17,563 1,573 1, , ,690 15,783 Standardized Approach 94,155 97,148 (6) Consolidated total required capital Consolidated Required Capital* 1,553,725 1,431,556 * ( amount of credit risk-weighted assets + market risk equivalents/8% + operational risk equivalents/8%) x 8% Annual Report 291

14 Capital Adequacy Ratio Quantitative Disclosure Data: Credit Risk Balance of Exposures Related to Credit Risk and Breakdown by Primary Types Consolidated Loans, Call Loans, Deposits, etc. Credit Risk Exposures Securities Derivative Exposures Three Months or Other Longer Overdue Off-balance Sheet or Exposures in Default Japan Outside Japan for Regions Manufacturing 4,434,435 Agriculture and Forestry 3,806 Fisheries 66 Mining and Quarrying of Stones and Gravel 13,821 Construction 299,053 Electricity, Gas, Heat Supply and Water 922,880 Information and Communication 376,279 Transport and Postal Activities 1,564,445 Wholesale and Retail Trade 1,982,360 Finance and Insurance 2,745,186 Real Estate 3,071,986 Goods Rental and Leasing 656,467 Local Public Bodies 111,231 Individuals 6,909,962 Others 11,738,845 for Industry Sectors 34,830,829 One Year or Less Over One Year to Three Years Over Three Years to Five Years Over Five Years for All Durations 30,906,112 3,924,717 34,830,829 8,944,593 5,886,316 6,945,893 13,054,025 34,830,829 23,736,808 2,252,183 25,988,992 2,796,055 3, , , , ,961 1,233,098 1,369,213 2,179,875 2,558, ,185 75,773 6,771,537 7,117,566 25,988,992 5,690,281 4,030,909 6,014,832 10,252,969 25,988,992 4,445,251 1,065,270 5,510, , ,809 30,918 13, , , , ,534 13,991 20,925 3,740,280 5,510,522 2,146, , ,975 1,955,879 5,510, , , ,606 32, ,298 1,151 14,731 4, ,938 11,314 1, , , ,983 93, , , ,606 2,468, ,036 2,663, , ,050 51,925 60,191 73, , , ,918 67,286 14, , ,079 2,663, , , , ,774 2,663, ,800 7, ,900 73, , ,754 1,195 4, ,034 57,186 56,108 39, ,900 Average Balance during the Period 33,572,861 24,415,751 5,749, ,816 2,681,512 Notes: 1. Of exposures subject to the calculation of credit risk-weighted assets, the above lists corporate, retail, equities, etc., purchased receivables and phased roll-out application exposures. 2. Others in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities. 3. Average Balance during the Period is the average of the balance as of March 31,, September 30, and March 31,. 4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor s cash on deposit. 292 Annual Report

15 Capital Adequacy Ratio Quantitative Disclosure Data: Loans, Call Loans, Deposits, etc. Credit Risk Exposures Securities Derivative Exposures Three Months or Other Longer Overdue Off-balance Sheet or Exposures in Default Japan Outside Japan for Regions 29,823,559 3,228,151 33,051,711 22,022,444 1,630,364 23,652,809 4,667, ,903 5,616, , , ,578 2,903,558 80,556 2,984, ,411 8, ,061 Manufacturing 4,256,518 Agriculture and Forestry 3,915 Fisheries 6,645 Mining and Quarrying of Stones and Gravel 19,275 Construction 299,446 Electricity, Gas, Heat Supply and Water 813,395 Information and Communication 344,674 Transport and Postal Activities 1,612,073 Wholesale and Retail Trade 2,036,285 Finance and Insurance 4,080,668 Real Estate 3,399,020 Goods Rental and Leasing 700,827 Local Public Bodies 787,584 Individuals 6,326,387 Others 8,364,991 for Industry Sectors 33,051,711 One Year or Less Over One Year to Three Years Over Three Years to Five Years Over Five Years for All Durations Average Balance during the Period 9,150,292 5,942,142 5,525,946 12,433,329 33,051,711 34,176,593 2,739,865 2,428 6,508 17, , , ,044 1,290,124 1,402,136 2,987,181 2,759, , ,959 6,139,563 4,388,448 23,652,809 6,177,008 4,057,371 4,377,213 9,041,214 23,652,809 23,657, ,388 Notes: 1. Of exposures subject to the calculation of credit risk-weighted assets, the above lists corporate, retail, equities, etc., purchased receivables and phased roll-out application exposures. 2. Others in the industry sectors include non-residents and state public services. Exposures for durations of over five years include those with no fixed maturities. 3. Average Balance during the Period is the average of the balance as of March 31, 2011, September 30, 2011 and March 31,. 4. The above data represents amounts after credit risk mitigation effects of netting contracts allowed under the law and netting against the obligor s cash on deposit. 1, ,759 37,957 12, , , , ,151 16, ,097 3,121,234 5,616,208 1,531,529 1,019, ,956 2,325,054 5,616,208 6,287,284 28, ,474 1,130 20,458 5, ,293 10, , ,578 68, , , , , , , ,099 57,782 36,935 39, , , , ,677 65,276 30, , ,512 2,984,114 1,373, , , ,335 2,984,114 3,356,920 37, , ,617 1,939 7,272 83,051 54, ,733 39, ,061 Balance and Changes of General Allowance for Loan Losses, Specific Allowance for Loan Losses, and Allowance for Loan Losses from Specified Foreign Country Borrowers (1) General allowance for loan losses Change Balance Balance General Allowance for Loan Losses 72,892 82,700 (9,807) Annual Report 293

16 Capital Adequacy Ratio Quantitative Disclosure Data: (2) Specific allowance for loan losses (breakdown by region, industry sector) Balance Balance Change Japan Outside Japan for Regions 56,204 3,873 60,077 63,755 6,349 70,104 (7,550) (2,476) (10,027) Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others for Industry Sectors Note: Others in the industry sectors include non-residents and state public services. (3) Allowance for loan losses from specified foreign country borrowers Not applicable as of the end of March, and the end of March. Amounts of Written-off Loans by Industry Sector Years Ended March 31 Manufacturing Agriculture and Forestry Fisheries Mining and Quarrying of Stones and Gravel Construction Electricity, Gas, Heat Supply and Water Information and Communication Transport and Postal Activities Wholesale and Retail Trade Finance and Insurance Real Estate Goods Rental and Leasing Local Public Bodies Individuals Others for Industry Sectors 10, ,344 1,167 4,152 5, ,747 27,332 60,077 11, ,068 3,034 1,592 11,104 4, ,841 30,067 70,104 (388) 1 (0) (5) 297 (1) (251) (689) (424) (6,951) 226 (9) 906 (2,735) (10,027) ,207 1, ,205 4,131 Note: Others in the industry sectors include non-residents and state public services. 294 Annual Report

17 Capital Adequacy Ratio Quantitative Disclosure Data: Balance of Exposures to which the Standardized Approach is Applied by Risk-Weight Category Balance of Exposures to which the Standardized Approach is Applied after Allowing for the Credit Risk Mitigation Effect by Risk-Weight Category 0% 10% 20% 35% 50% 75% 100% 150% Amounts of exposures with 1,250% risk-weight applied * *,, listed the capital deduction amount. Exposures to which the IRB Approach is Applied 2,990,559 1,252,217 9, ,588 62,822 1,281,142 2,070 Subject to Rating 90,214 5,031 55,502 29, Specialized Lending under the Slotting Criteria High-Volatility Commercial Real Estate Exposures Maturities of 2.5 Years or Longer Strong 95% Good 120% Satisfactory 140% Weak 250% Default 0% Maturities of Less than 2.5 Years Strong 70% Good 95% Satisfactory 140% Weak 250% Default 0% Other Exposures Maturities of 2.5 Years or Longer Strong 70% Good 90% Satisfactory 115% Weak 250% Default 0% Maturities of Less than 2.5 Years Strong 50% Good 70% Satisfactory 115% Weak 250% Default 0% Equity Exposures to which the Simple Risk-Weight Method of the Market-based Approach is Applied 300% 400% 2,243, ,928 15, ,251 54, ,269,477 4,865 Subject to Rating 85, ,809 46,891 30, ,960,959 1,825, , , , ,599 22,409 40,488 76,150 44,730 26,464 73, ,308 6,358 76,422 24,439 15,403 10,437 57,135 14,002 3,882 1,752,203 1,636,903 1,523,190 1,134, , , , , , ,711 58,727 49,434 19,121 23, , ,948 45, , , ,878 52, , , ,298 67,144 55,404 20,845 8,471 46,298 46,933 Annual Report 295

18 Capital Adequacy Ratio Quantitative Disclosure Data: Portfolios to which the IRB Approach is Applied (1) Corporate exposures PD Value LGD Value Risk-Weight Average On-balance Sheet Asset Items EAD Value Off-balance Sheet Asset Items Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse 0.32% 8.44% 2.72% PD Value 44.76% 44.62% 43.05% 44.72% LGD Value 46.95% % 51.07% Risk-Weight Average 11,230, , ,859 11,963,007 On-balance Sheet Asset Items EAD Value 2,063,668 63,692 23,213 2,150,575 Off-balance Sheet Asset Items Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse (2) Sovereign exposures Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse 0.38% 10.44% 2.46% PD Value 0.02% 8.39% 0.02% 44.61% 43.61% 43.03% 44.54% LGD Value 44.90% 45.00% 44.90% 48.33% % 53.45% Risk-Weight Average 3.05% % 3.07% 11,173, , ,298 11,927,451 On-balance Sheet Asset Items 6,592, ,592,587 EAD Value 1,964,591 59,761 22,439 2,046,792 Off-balance Sheet Asset Items 36,297 36,297 Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse PD Value 0.01% 9.68% 0.01% LGD Value 44.96% 45.00% 45.00% 44.96% Risk-Weight Average 2.84% % 2.86% On-balance Sheet Asset Items 5,600, ,600,728 EAD Value Off-balance Sheet Asset Items 537, , Annual Report

19 Capital Adequacy Ratio Quantitative Disclosure Data: (3) Financial Institution exposures PD Value LGD Value Risk-Weight Average On-balance Sheet Asset Items EAD Value Off-balance Sheet Asset Items Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse 0.08% 8.39% 0.09% PD Value 0.08% 8.99% 0.09% 45.36% 45.00% 45.36% LGD Value 45.15% 45.00% 45.15% 26.95% % 27.06% Risk-Weight Average 21.81% % 21.98% 1,499, ,500,582 On-balance Sheet Asset Items 1,167,713 1,001 1,168,715 EAD Value 665, ,861 Off-balance Sheet Asset Items 699,285 1, ,311 (4) Equity exposures under the PD/LGD Approach Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse PD Value 0.28% 8.27% 0.32% Risk-Weight Average % % 1,192.50% % Balance 348, ,666 Note: Following Basel III application, risk-weight weighted averages include the amounts obtained by multiplying the expected loss amounts by 1,250% risk-weight. Ordinary Assets (Seijo-Saki) Assets to Special Mention Debtors (Yo-Chui-Saki) (Not Including Assets to Substandard Debtors) Substandard Debtors (Yo-Kanri-Saki) or Worse PD Value 0.47% 7.82% 0.53% Risk-Weight Average % % % Balance 342,827 1, ,808 Annual Report 297

20 Capital Adequacy Ratio Quantitative Disclosure Data: (5) Residential mortgage exposures, qualifying revolving retail exposures, and other retail exposures Residential Mortgage Current Overdue Default Qualifying Revolving Retail Current Overdue Default Other Retail (consumer) Current Overdue Default Other Retail (commercial) Current Overdue Default PD Value 0.21% 22.74% 0.69% 27.79% 1.05% 28.03% 0.64% 25.17% 1.30% LGD Value 29.63% 30.23% 32.01% 70.06% 69.87% 79.37% 47.36% 37.09% 41.00% 30.26% 31.00% 42.57% 30.28% Risk-Weight Average 11.75% % 53.09% 17.38% % 28.76% 46.23% 93.09% 58.46% 23.47% 71.48% 29.10% 14.63% EAD Value On-balance Sheet Asset Items 6,292,607 55,707 43,136 9, , , ,878 3,115 11,056 6,758,432 Off-balance Sheet Asset Items 55, , , , ,527 Undrawn Commitment 5, , , ,417 CCF 29.20% 29.22% 29.22% 30.53% 34.38% 34.05% 31.68% Residential Mortgage Current Overdue Default Qualifying Revolving Retail Current Overdue Default Other Retail (consumer) Current Overdue Default Other Retail (commercial) Current Overdue Default PD Value 0.26% 26.52% 0.80% 28.16% 1.07% 32.06% 0.73% 14.03% 1.40% LGD Value 34.41% 37.92% 33.15% 85.94% 77.57% 87.12% 44.07% 48.02% 46.23% 39.14% 41.99% 51.13% 35.16% Risk-Weight Average 17.04% % 24.57% 27.71% % 3.69% 44.60% % 13.91% 34.65% 79.12% 0.20% 19.65% On-balance Sheet Asset Items 5,689,465 34,513 41,462 13, ,656 1,520 4, ,185 1,932 11,980 6,155,641 EAD Value Off-balance Sheet Asset Items 129, , , , ,450 Undrawn Commitment 6, , , ,647 CCF 99.24% 17.39% 25.09% 25.11% 17.88% 57.83% 57.49% 88.33% 48.86% 298 Annual Report

21 Capital Adequacy Ratio Quantitative Disclosure Data: Actual Credit Losses in the Current Period and Year-on-Year Change for Portfolios to which the IRB Approach is Applied Years Ended March 31 Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures Actual Credit Losses Reversals Actual Credit Losses Reversals (2,417) (20,857) 16,832 (32,246) (10) (10) 4,749 (16) (1) (12) (135) (138) 1,244 (1,166) 2,576 (7,067) Change in Actual Credit Losses (19,250) (4,760) 134 (1,332) Note: Of total credit costs, only those that can be identified as stemming from specified asset classes are shown in the table. Accordingly, the reversals resulting from the unification of the calculating method for reserves due to the management integration are not included in the above table. Factor Analysis Actual credit losses in 1H FY decreased by 25.2 billion year on year. This was mainly due to the posting of reversals of allowances for loan losses caused by the improved credit status of obligors and their repayments in addition to a limited amount of new non-performing loans. Estimated Credit Losses and Comparable Actual Credit Losses for Portfolios to which the IRB Approach is Applied Years Ended March 31 Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures Notes: 1. Estimated credit losses for fiscal year 2011 are the expected loss amount as of March 31,. 2. Actual credit losses for fiscal year are the sum of losses for the year ended March 31,. Years Ended March 31 Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures Actual Credit Losses (2,417) (10) (1) 1,244 Actual Credit Losses 16,832 4,749 (135) 2,576 Estimated Credit Losses 189, , Estimated Credit Losses 195,988 Notes: 1. Estimated credit losses for fiscal year 2010 are the sum of the expected loss amount of the Chuo Mitsui Trust Holdings (consolidated) and The Sumitomo Trust and Banking (consolidated) for March 31, Actual credit losses for fiscal year 2011 are the sum of losses for the year ended March 31, ,395 35,841 Annual Report 299

22 Capital Adequacy Ratio Quantitative Disclosure Data: Credit Risk Mitigation Techniques Amounts of Exposures to which Credit Risk Mitigation Techniques are Applied Portfolios to which the Standardized Approach is Applied Portfolios to which the IRB Approach is Applied Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures Portfolios to which the Standardized Approach is Applied Portfolios to which the IRB Approach is Applied Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures Eligible Financial Collateral 614,240 1,218, ,000 14, ,348 Eligible Financial Collateral 276, , ,879 3, ,339 Counterparty Risk in Derivative and Long-term Settlement Derivative Note: Credit equivalents are calculated with the current exposure approach. Other Eligible Collateral Guarantees 512, , , ,017 10, ,543 Other Eligible Collateral Guarantees 729, , , ,187 13, ,862 Consolidated Credit Derivatives Credit Derivatives Consolidated Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero) 2,749,474 3,004,625 Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique Foreign Exchange Related Interest Rate Related Credit Derivatives Others Effect of Mitigating Credit Equivalents Due to Close-out Netting Contracts (Deduction) Amounts of Collateral Deposits Securities Credit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique Notional Principal Amounts of Credit Derivatives Subject to the Calculation of Credit Equivalents Purchasing Protection by Credit Default Swaps Providing Protection by Credit Default Swaps Notional Principal Amounts of Credit Derivatives Used to Allow for the Effect of Credit Risk Mitigation Technique 830, ,031 3,300, ,014, ,320 45, , ,606 4,000 2,000 2, , ,770 3,784,923 3,359, ,395 52, , ,416 5,000 5, Annual Report