Capital Adequacy Ratio Quantitative Disclosure DataThe Former Sumitomo Trust and Banking Co., Ltd....

Capital Adequacy Ratio Quantitative Disclosure Data:

The Former Sumitomo Trust and Banking Co., Ltd. (“STB”)

Consolidated

Capital Adequacy Ratio 474

Scope of Consolidation 476

Capital Adequacy 478

Credit Risk 480

Credit Risk Mitigation Techniques 488

Counterparty Risk in Derivative and Long-term Settlement Transactions 488

Securitization Exposures 489

Market Risk 497

Capital Subscriptions or Equity Exposures in the Banking Account 498

Exposures Held in Funds as Credit Risk-Weighted Assets 499

Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the STB Group Regarding Interest Rate Risk in the Banking Account 499

Non-consolidated

Capital Adequacy Ratio 500

Capital Adequacy 503

Credit Risk 505

Credit Risk Mitigation Techniques 513

Counterparty Risk in Derivative and Long-term Settlement Transactions 514

Securitization Exposures 515

Market Risk 522

Capital Subscriptions or Equity Exposures in the Banking Account 523

Exposures Held in Funds as Credit Risk-Weighted Assets 524

Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by STB Regarding Interest Rate Risk in the Banking Account 524

473Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report

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Capital Adequacy Ratio Quantitative Disclosure Data:

The Former Sumitomo Trust and Banking Co., Ltd.

474 Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report

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We calculate the BIS capital adequacy ratio on both a consolidated and non-consolidated basis in line with provisions of Article 14-2 of theBanking Act and on the basis of calculation formula prescribed under the criteria for judging whether a bank’s capital adequacy ratio is appro-priate in light of assets held (the Financial Services Agency 2006 Notification No. 19, hereinafter referred to as the “Notification”).

Applying uniform international standards, we have adopted the Foundation Internal Ratings-Based (IRB) Approach for the calculation of creditrisk-weighted assets, the Standardized Approach for the calculation of operational risk, and market risk regulations.

Capital Adequacy Ratio Consolidated

*1. As of March 31, 2012, the amount of noncumulative perpetual preferred shares which are included in Tier I was ¥109,000 million. The column for “Capital Stock—Noncumulative PerpetualPreferred Shares” indicates the amount which has been included in capital stock.

*2. As of March 31, 2012, deferred tax assets totaled ¥50,351 million in net terms. The upper limit on the inclusion of deferred tax assets in capital was ¥262,301 million.*3. Listed in the 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 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 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 Notification, Article 8, Paragraph 1, Items 1 through 6, and include amounts equivalent to intentional holdings of other financial institutions’ capital funding means and amounts

equivalent to investments in those provided for under the Notification, Article 8, Paragraph 1, Item 2.*7. STB received an external audit by KPMG AZSA LLC of the calculation of the consolidated BIS capital adequacy ratio 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 account-ing 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 adequacyratio 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 cap-ital adequacy ratio itself or parts of internal control which concern the ratio.

Constituents of Capital (Consolidated BIS Capital Adequacy Ratio)

Tier ICapital 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 Transactions (Deduction) Equivalent to 50% of the Excess of Expected Loss over Qualifying Allowance (Deduction) Total Tier I before Deduction of Deferred Tax Assets (Aggregate Sum of Items Above) Deducted Amounts of Deferred Tax Assets (Deduction)*2

Total (A) Noncumulative Preferred Securities Attached with Step-up Interest Rate Clause*3 (a)

Tier II45% 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

TotalIncluded in Capital (B)

Tier IIISubordinated Short-term Debt Included in Capital (C)

Items for DeductionItems for Deduction*6 (D)

Total Qualifying Capital((A) + (B) + (C) - (D)) (E)

Risk-Weighted AssetsAsset (On-balance Sheet) Items Off-balance Sheet Transaction Items Amount of Credit Risk-Weighted Assets (F) Amount of Market Risk Equivalents ((H)/8%) (G) (Reference) Market Risk Equivalents (H) Amount of Operational Risk Equivalents ((J)/8%) (I) (Reference) Operational Risk Equivalents (J) Credit Risk-Weighted Assets Adjustments (K) Operational Risk Equivalents Adjustments (L) Total ((F) + (G) + (I) + (K)+ (L)) (M)

Consolidated BIS Capital Adequacy Ratio = E/M x 100 (%) Tier I Capital Ratio = A/M x 100 (%) Ratio of Noncumulative Preferred Securities with Step-up Interest Rate Clauses to Tier I Capital = a/A x 100 (%)

¥ 342,03754,500

—297,051565,906

482—

15,701—

(12,873)—

303,582280,000

—123,258

3,6045,686

13,0371,333,931

—1,333,931

156,000

3,319448

14,647—

628,236185,307442,928646,651646,651

——

99,692

1,880,889

9,855,9971,290,402

11,146,399139,32611,146

742,31359,385

——

¥ 12,028,03915.6311.0911.69

Millions of Yen

20112012

¥ 342,03754,500

—296,568596,136

——

67,377—

(12,795)—

306,064280,000

—111,886

5,4697,037

24,7331,311,505

—1,311,505

156,000

12,333(217)

12,926—

618,449136,500481,949643,491643,491

——

110,175

1,844,821

9,572,7741,330,382

10,903,157212,941

17,035737,326

58,986——

¥ 11,853,42515.5611.0611.89

As of March 31

475

Capital Adequacy Ratio Quantitative Disclosure Data: The Former Sumitomo Trust and Banking Co., Ltd.

Sumitomo Mitsui Trust Holdings, Inc. 2012 Annual Report

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Outline of Capital Funding Instruments

An outline of capital funding instruments for the BIS capital adequacy ratio is as follows:

Shareholders’ equity listed in the Notification, Article 5, Paragraph 1, and STB’s standard stock with no limitations on holders’ rights

Preferred securities listed in the Notification, Article 5, Paragraph 3, which meet all of the conditions below:•Noncumulative perpetual preferred capital•Paid-up securities that are unsecured and subordinate to other debts•Used for offsetting of loss within STB while business is continued

Instrument included as debt capital listed in the Notification, Article 6, Paragraph 1, Item 4 that have all of the characteristics below:•Paid-up securities that are unsecured and subordinate to other debts•Not redeemable except for some cases •Used for offsetting of loss within STB while business is continued•Allowed to defer interest payment obligations

Instrument included as debt capital listed in the Notification, Article 6, Paragraph 1, Item 5 but debt is limited to that with an originalmaturity of over five years.

Capital Funding Instruments OutlineCapital

Tier I

Tier II

Common Shares

Shareholders’ equity listed in the Notification, Article 5, Paragraph 1, and is noncumulative perpetual preferred shares which are senior tocommon stock in the payment of dividends and the liquidation distribution of residual assets.Preferred Shares

Preferred Securities

Perpetual Subordinated Debt

Subordinated Term Debt

476



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Details of preferred securities issued by overseas special purpose companies included in the Tier I of capital for consol-

idated BIS capital adequacy ratio calculation are as follows:

1. Issuer STB Preferred Capital 2 (Cayman) Limited STB Preferred Capital 3 (Cayman) Limited STB Preferred Capital 4 (Cayman) Limited STB Preferred Capital 5 (Cayman) Limited

2. Description ofSecurities

Noncumulative Perpetual Preferred Securities Same as on the left Same as on the left Same as on the left

3. RedemptionDate No provisions Same as on the left Same as on the left Same as on the left

5. DividendPayment Date January 25 and July 25 every year Same as on the left Same as on the left Same as on the left

4. VoluntaryRedemption

Redeemable voluntarily in whole or in parton any dividend payment date in January2014 and thereafter by the issuer subject tothe prior approval of applicable regulatoryauthorities


Redeemable voluntarily in whole or in parton any dividend payment date in July 2017and thereafter by the issuer subject to theprior approval of applicable regulatoryauthorities


6. Dividend

<1st year - 5th year >Fixed Rate

<Thereafter>Non Step-up Floating Rate


<Thereafter>Step-up Floating Rate

Series A <1st year - 10th year >

Fixed Rate<Thereafter>

Step-up Floating RateSeries B



Same as on the left

7. Issue Amount ¥50 billion ¥50 billion Series A ¥56 billionSeries B ¥54 billion ¥70 billion

8. Issue Date December 18, 2008December 7, 2005 June 24, 2008March 2, 2007

9. Outline ofDividendPayment

Dividends are payable by the issuer withinthe limits of profits at STB available for distri-bution in conformity with the calculation ofpreferred shares of STB. If STB pays divi-dends on its common stock for the prior fis-cal year, then dividends for these preferredshares will, in principle, be paid in entirely forthe applicable fiscal year.

Same as on the left Same as on the left Same as on the left

10. DividendLimitation

Dividends on these preferred securitieswill not be paid if any of certain criteriahave been met. The criteria include thefollowing:When STB did not pay dividends in theprior fiscal year on any class of preferredshares.When STB’s BIS capital adequacy ratio orTier I capital ratio is to decline below theminimum percentages required byJapanese banking regulations.

11. Rights to theResidualAssets

These preferred securities are intendedto provide holders with rights to residualassets that are essentially the same asthose to which holders would be entitledif they had purchased preferred sharesissued by STB.

Same as on the left

Same as on the left

Same as on the left

Same as on the left

Same as on the left

Same as on the left

Scope of Consolidation Consolidated

(1) The difference between companies belonging to the group of companies subject to the consolidated capital adequacy

ratio as prescribed by the Notification, Article 3 (hereinafter referred to as the “STB Group”) and companies included in

the scope of consolidation in line with the Consolidated Financial Statements Rule is as follows:

Subsidiaries under the Banking Act that are not included in the scope of consolidation by applying provisions of the

Consolidated Financial Statements Rule, Article 5, Paragraph 2, are included in the STB Group subject to the calculation of the

capital adequacy ratio.

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Sumishin Panasonic Financial Services Co., Ltd.Nikko Asset Management Co., Ltd.Sumishin Real Estate Loan & Finance, Ltd.Sumishin Realty Company, LimitedSumitomo Trust and Banking Co. (U.S.A.)

Leasing, installment finance, credit card businessInvestment management and advisoryMoney lending businessReal estate brokerage businessFinancial and trust businesses

Principal Business OperationsName

Japan Pension Operation Service, Ltd. Pension benefit computing and clerical agent services


(3) There is one affiliated company that undertakes financial services subject to the Notification, Article 9.

Hummingbird Co., Ltd. Rental business through an anonymous partnership


(4) There are a total of 42 companies that are subject to deduction items listed in the Notification, Article 8, Paragraph

1, Item 2 (a) through (c). The principal companies are the following.

(5) Of companies listed in the Banking Act, Article 16-2, Paragraph 1, Item 11, those dedicated to auxiliary businesses,

and companies listed in the Banking Act, Article 16-2, Paragraph 1, Item 12, all belong to the STB Group.

(6) There are no particular restrictions on the transfer of funds and capital within the STB Group.

(2) The number of consolidated subsidiaries that belong to the STB Group is 52. The principal companies are the following.

Of companies that are subject to deduction items,companies that failed to meet the regulatory required capital and shortfall amounts Not Applicable

2011

Not Applicable

2012

Companies that are subject to deduction Items listed in the Notification, Article 8, Paragraph 1, Item 2 (a) through (c).

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(1) Amounts of required capital against credit risk (excluding equity exposures to which the IRB Approach is applied

and exposures held in funds)

(2) Amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is applied

Capital Adequacy Consolidated

2011

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

¥ 120,973

92,210

28,763

800,013

635,784

12,362

27,707

53,690

498

13,308

56,660

28,559

Millions of Yen

2012

¥ 97,351

72,450

24,901

802,910

634,985

11,685

29,749

58,116

367

12,748

55,257

24,801

As of March 31

2011

Equity Exposures PD/LGD Approach Simple Risk-Weight Method of the Market-based Approach Internal Models Method of the Market-based Approach Transitional Measures*1

¥ 72,549

18,975

17,401

—

36,171

Millions of Yen

2012

¥ 65,910

18,614

14,437

—

32,858

As of March 31

Amounts of Required Capital

*1. Other exposures include purchased receivables, unsettled transactions, lease transactions and other assets.*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 amountPortfolios to which the IRB Approach is applied: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amountSecuritization exposures: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount

*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%

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(4) Amounts of required capital against market risk

(3) Amounts of required capital against credit risk concerning exposures held in funds

2011

Exposures Held in Funds* ¥ 37,459

Millions of Yen

2012

¥ 52,191

As of March 31

2011

Market Risk Amounts of Required Capital by Category under the Standardized Approach

Interest Rate Risk Equity Position Risk Foreign Exchange Risk Commodities Risk Options Transactions

Internal Models Approach

¥ 11,146

2,782

2,012

149

620

—

—

8,364

Millions of Yen

2012

¥ 17,035

1,252

674

—

578

—

—

15,783

As of March 31

* (Amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount

(5) Amounts of required capital against operational risk

2011

Standardized Approach ¥ 59,385

Millions of Yen

2012

¥ 58,986

As of March 31

(6) Consolidated total required capital

2011

Consolidated Total Required Capital* ¥ 962,243

Millions of Yen

2012

¥ 948,274

As of March 31

* (Total amount of credit risk-weighted assets + market risk equivalents/8% + operational risk equivalents/8%) x 8%

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Balance of Exposures Related to Credit Risk and Breakdown by Primary Types

Credit Risk Exposures

Millions of Yen

Other Off-balance Sheet

TransactionsSecuritiesLoans, Call Loans,

Deposits, etc.

Exposures ThreeMonths or

Longer Overdueor Exposures in

Default

2012

Credit Risk Consolidated

Japan Outside Japan Total for Regions

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 Total for Industry Sectors

One Year or LessOver One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations

Average Balance during the Period

Notes: 1. Exposures subject to the calculation of credit risk-weighted assets exclude funds, securitization, other assets and exposures excluded from application.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, 2012.4. 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 with

STB.

As of March 31

¥ 13,537,610

1,433,426

¥ 14,971,037

1,826,244

2,212

6,508

12,628

94,793

432,391

262,437

734,846

1,009,016

1,688,027

1,756,301

492,475

90,596

2,471,622

4,090,934

¥ 14,971,037

3,918,282

2,957,416

3,362,444

4,732,893

¥ 14,971,037

¥ 14,601,679

¥ 18,547,696

2,395,628

¥ 20,943,325

2,811,877

3,700

6,645

13,809

158,774

487,907

305,838

911,623

1,509,388

2,099,516

2,057,249

547,713

113,745

2,549,486

7,366,049

¥ 20,943,325

5,812,486

4,122,529

4,147,251

6,861,057

¥ 20,943,325

¥ 20,618,701

¥ 3,090,198

422,189

¥ 3,512,387

339,540

1,095

72

—

34,608

29,540

6,166

96,561

141,489

171,676

138,216

8,275

16,872

—

2,528,271

¥ 3,512,387

1,206,275

560,097

438,510

1,307,504

¥ 3,512,387

¥ 3,545,822

¥ 1,700,678

78,352

¥ 1,779,031

621,083

375

—

1,083

28,389

24,501

36,179

62,635

354,621

76,878

154,910

46,032

6,276

77,863

288,199

¥ 1,779,031

628,020

486,362

208,325

456,322

¥ 1,779,031

¥ 1,728,800

DerivativeTransactions

¥ 219,208

461,660

¥ 680,868

25,009

17

65

97

981

1,474

1,055

17,578

4,260

162,934

7,821

928

—

—

458,642

¥ 680,868

59,908

118,652

137,970

364,336

¥ 680,868

¥ 742,398

¥ 179,982

8,642

¥ 188,625

34,177

34

—

—

3,378

—

4,954

950

3,549

77,045

18,307

—

—

13,889

32,338

¥ 188,625

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Millions of Yen



Deposits, etc.



Default

2011



One Year or Less Over One Year to Three YearsOver Three Years to Five YearsOver Five YearsTotal for All Durations



STB.

¥ 12,966,120

570,036

¥ 13,536,156

1,847,316

1,855

7,219

12,525

101,538

364,421

215,960

738,151

1,040,121

1,378,167

1,802,219

519,114

98,652

2,248,531

3,160,360

¥ 13,536,156

3,690,622

2,814,297

2,857,842

4,173,393

¥ 13,536,156

¥ 13,426,565

¥ 18,081,152

2,231,794

¥ 20,312,946

2,770,409

3,824

7,340

15,317

169,703

415,542

242,940

901,473

1,456,606

1,910,339

2,181,879

587,691

136,849

2,336,528

7,176,500

¥ 20,312,946

5,092,950

4,041,382

3,792,550

7,386,062

¥ 20,312,946

¥ 19,589,649

¥ 3,208,919

916,385

¥ 4,125,305

346,681

1,564

32

—

35,151

34,683

4,424

86,324

119,476

182,569

208,927

6,791

20,519

—

3,078,159

¥ 4,125,305

696,623

608,325

459,783

2,360,572

¥ 4,125,305

¥ 3,503,106

¥ 1,643,002

64,586

¥ 1,707,589

548,196

375

13

2,738

31,698

14,752

21,094

55,375

290,276

159,897

161,548

60,517

17,678

87,996

255,430

¥ 1,707,589

654,488

412,523

266,213

374,363

¥ 1,707,589

¥ 1,762,914


¥ 263,109

680,786

¥ 943,895

28,215

28

75

53

1,315

1,685

1,460

21,622

6,731

189,704

9,183

1,267

—

—

682,550

¥ 943,895

51,216

206,236

208,710

477,732

¥ 943,895

¥ 897,062

¥ 189,117

9,511

¥ 198,629

36,370

—

68

—

4,865

—

15,599

256

6,481

86,020

18,244

—

—

12,154

18,568

¥ 198,629

Change fromMar. 31, 2011

2012

General Allowance for Loan Losses ¥ (10,533)

Millions of Yen

Balance

2011

¥ 71,584

Balance

¥ 61,051

(1) General allowance for loan losses

As of March 31

As of March 31

Balance and Changes of General Allowance for Loan Losses, Specific Allowance for Loan Losses, and Allowance for

Loan Losses from Specified Foreign Country Borrowers

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Changes2012



¥ 9,642

(95)

¥ 9,547

4,421

(1)

(0)

(0)

36

(702)

(207)

2,114

135

(135)

(11,374)

15

—

(226)

15,471

¥ 9,547

Millions of Yen

Balance

2011

¥ 34,889

6,299

¥ 41,188

6,587

5

1

6

208

710

1,254

695

143

167

14,661

17

—

3,444

13,284

¥ 41,188

Balance

¥ 44,531

6,204

¥ 50,736

11,008

4

0

5

244

8

1,047

2,810

278

32

3,286

33

—

3,218

28,756

¥ 50,736

(2) Specific allowance for loan losses (breakdown by region, industry sector)

(3) Allowance for loan losses from specified foreign country borrowers

Not applicable as of the end of March 2012 and the end of March 2011.

Amounts of Written-off Loans by Industry Sector

2011


¥ 14,917

11

0

0

1,127

3

0

589

223

7

(1)

0

—

(699)

425

¥ 16,604

Millions of Yen

2012

¥ 202

2

2

—

142

5

5

32

354

71

62

—

9

216

284

¥ 1,393

Years Ended March 31

As of March 31

483



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2011

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%

Capital Deduction

¥ 1,404,460

38,839

15,814

119,497

—

54,876

—

1,170,575

4,855

—

¥ 83,425

—

—

5,998

—

46,891

—

30,438

96

¥ 2,104,069

321,149

3,329

260,252

—

88,509

—

1,426,662

4,166

—

¥ 121,102

—

—

7,653

—

63,199

—

50,248

0

Millions of Yen

Subject to Rating

2012

Subject to Rating

Balance of Exposures to which the Standardized Approach is Applied by Risk-Weight Category

Exposures to which the IRB Approach is Applied

2011

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%


Equity Exposures to which the Simple Risk-Weight Method of the Market-based Approach is Applied 300% 400%

¥ 1,275,372

181,130

117,240

30,688

28,695

57,855

—

—

63,889

5,004

1,208

44,477

—

13,200

¥ 1,094,242

793,987

319,240

233,069

192,369

45,054

4,252

300,255

65,888

124,952

103,435

4,756

1,223

¥ 56,559

21,030

35,528

Millions of Yen

2012

¥ 1,276,477

144,774

120,335

16,926

36,260

60,790

—

6,358

24,439

—

10,437

14,002

—

—

¥ 1,131,702

887,368

297,490

383,215

150,235

42,629

13,797

244,333

40,955

101,914

89,121

7,043

5,298

¥ 44,672

8,436

36,235

As of March 31

As of March 31

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Ordinary Assets (Seijo-Saki)Assets to Special Mention Debtors (Yo-Chui-Saki)

(Not Including Assets to Substandard Debtors)Substandard Debtors (Yo-Kanri-Saki ) or WorseTotal

(1) Corporate exposures

(2) Sovereign exposures

Portfolios to which the IRB Approach is Applied

2012



44.82%

45.09%

43.66%

44.81%

0.37%

11.13%

100.00%

2.66%

48.15%

194.46%

53.85%

¥ 7,129,941

364,748

163,000

¥ 7,657,689

¥ 1,443,453

46,032

2,832

¥ 1,492,318

Millions of Yen

Risk-WeightWeightedAverage

EAD Value

Off-balance SheetAsset Items

On-balance SheetAsset Items

WeightedAverage of LGD Value

WeightedAverage of PD Value

44.98%

44.15%

41.77%

44.89%

0.45%

13.14%

100.00%

2.85%

50.91%

194.89%

54.73%

¥ 7,184,463

277,364

176,428

¥ 7,638,257

¥ 1,336,132

24,495

1,742

¥ 1,362,370

2012



44.95%

45.00%

—

44.95%

0.02%

9.68%

—

0.02%

3.68%

184.46%

3.71%

¥ 3,828,074

502

—

¥ 3,828,576

¥ 10,075

156

—

¥ 10,231

Millions of Yen

2011



44.99%

45.00%

—

44.99%

0.01%

9.68%

—

0.01%

4.29%

183.78%

4.31%

¥ 3,511,530

310

—

¥ 3,511,840

¥ 21,133

—

—

¥ 21,133

Millions of Yen

As of March 31

2011

Millions of Yen


EAD Value






EAD Value






EAD Value





As of March 31

As of March 31

As of March 31

485



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(3) Financial Institution exposures

2012



45.46%

45.00%

—

45.46%

0.08%

7.64%

—

0.08%

20.23%

169.36%

20.26%

¥1,201,682

301

—

¥1,201,983

¥ 591,906

50

—

¥ 591,956

Millions of Yen

2011



45.93%

45.00%

—

45.92%

0.08%

7.64%

—

0.08%

21.40%

255.78%

21.50%

¥ 650,335

314

—

¥ 650,650

¥ 925,652

312

—

¥ 925,964

Millions of Yen

(4) Equity exposures under the PD/LGD Approach

2012



0.17%

9.30%

100.00%

0.24%

123.24%

459.60%

124.45%

¥ 182,192

685

74

¥ 182,952

Millions of Yen

BalanceWeightedAverage of PD Value


2011



0.17%

12.65%

100.00%

0.54%

125.11%

473.69%

125.36%

¥ 179,489

352

624

¥ 180,466

Millions of Yen



As of March 31

As of March 31

As of March 31

As of March 31


EAD Value






EAD Value





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(5) Residential mortgage exposures, qualifying revolving retail exposures, and other retail exposures

2012

Residential MortgageCurrent Overdue Default

Qualifying Revolving RetailCurrent Overdue Default

Other Retail (consumer)Current Overdue Default

Other Retail (commercial)Current Overdue Default

Total

¥ 2,332,153

11,800

11,906

4,845

—

—

81,768

788

1,117

136,598

1,362

3,082

¥ 2,585,423

23.02%

337.63%

—

55.57%

—

—

52.48%

151.28%

—

43.12%

81.26%

—

26.47%

42.35%

54.60%

46.21%

100.00%

—

—

50.73%

54.03%

48.18%

46.96%

46.96%

49.82%

43.09%

0.31%

26.87%

100.00%

1.52%

—

—

1.07%

37.48%

100.00%

0.71%

9.12%

100.00%

1.15%

¥ 68,375

74

53

1,322

—

—

7,035

190

812

4,332

203

473

¥ 82,873

¥ 199

—

—

23,820

—

—

97,339

264

188

108

—

—

¥ 121,920

75.00%

—

—

5.55%

—

—

6.53%

61.04%

56.94%

75.00%

—

—

71.73%

Millions of Yen

CCFUndrawnCommitment

EAD Value






2011





Total

¥ 2,067,309

11,577

10,237

5,403

—

—

99,606

1,026

1,115

130,747

1,700

1,880

¥ 2,330,606

23.84%

337.63%

—

55.57%

—

—

55.67%

149.34%

—

43.11%

81.26%

—

27.93%

42.62%

54.60%

46.44%

100.00%

—

—

51.05%

53.30%

48.60%

46.96%

46.96%

49.80%

43.53%

0.32%

26.87%

100.00%

1.52%

—

—

1.21%

37.58%

100.00%

0.71%

9.12%

100.00%

1.14%

¥ 75,611

87

52

2,963

—

—

8,221

311

748

5,450

160

382

¥ 93,990

¥ 211

—

—

58,909

—

—

99,775

254

201

49

—

—

¥ 159,402

75.00%

—

—

5.03%

—

—

7.35%

69.23%

53.92%

75.00%

—

—

70.92%

Millions of Yen

As of March 31

As of March 31CCFUndrawn

Commitment

EAD Value






487



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Actual Credit Losses in the Current Period and Year-on-Year Change for Portfolios to which the IRB Approach is Applied

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 unifi-cation of calculating method of reserves based on the management integration are not included in the above table.

2012 2011

Corporate Exposures Sovereign Exposures Financial Institution Exposures Retail Exposures

¥ (25,590)

(16)

—

(976)

¥11,810

(16)

2

903

¥10,978

(30)

9

1,527

¥ (11,440)

(30)

—

(456)

¥ 831

13

(7)

(623)

Millions of Yen

Change in Actual Credit

LossesActual Credit

Losses ReversalsReversalsActual CreditLosses

Factor Analysis

Actual credit losses in fiscal year 2011 increased by ¥0.2 billion year on year.

This was mainly due to additional posting of allowance for loan losses for some large borrowers in combination with

net reversals of allowances for loan losses etc with regard to the improved credit status of obligors, and so on.

Estimated Credit Losses for Portfolios to which the IRB Approach is Applied

Actual CreditLosses


¥ 11,810

(16)

2

903

Millions of Yen

20112012

Estimated CreditLosses

¥ 137,381

188

594

13,322



Notes: 1. Estimated credit losses for fiscal 2010 are the expected loss amount as of March 31, 2011.2. Actual credit losses for fiscal 2011 are the sum of losses for one year ended March 31, 2012.

Actual CreditLosses


Millions of Yen

20102011


¥ 145,600

156

547

14,197

¥ 18,013

(13)

(158)

907

Six Months Ended September 30

Notes: 1. Estimated credit losses for the first half of fiscal 2010 are the expected loss amount as of September 30, 2010.2. Actual credit losses for the first half of fiscal 2011 are the sum of losses for one year ended September 30, 2011.

488



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2011

Portfolios to which the Standardized Approach is Applied Portfolios to which the IRB Approach is Applied


¥ 24,546

1,122,989

193,189

90

929,710

—

¥ —

269,803

265,429

4,374

—

—

¥ —

302,933

163,416

138,316

1,200

—

¥ —

—

—

—

—

—

Millions of Yen

Guarantees Credit DerivativesOther EligibleCollateral

Eligible FinancialCollateral

Derivative Transactions

Counterparty Risk in Derivative and Long-term Settlement Transactions Consolidated

Note: Credit equivalents are calculated with the current exposure approach.

2011

Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero) Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique

Foreign Exchange Related Interest Rate Related Credit Derivatives OthersEffect 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

Purchase of 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

¥ 2,508,545

1,159,422

774,273

3,475,094

500

—

3,090,446

215,526

142,536

72,990

943,896

4,701

4,701

—

¥ —

Millions of Yen

2012

¥ 2,765,402

859,831

535,885

3,456,066

—

—

3,132,120

178,962

50,007

128,954

680,869

—

—

—

¥ —

As of March 31

As of March 31

Credit Risk Mitigation Techniques Consolidated

Amounts of Exposures to which Credit Risk Mitigation Techniques are Applied

2012



¥ 26,602

575,909

138,532

3,221

434,154

—

¥ —

245,944

242,541

3,402

—

—

¥ —

261,947

169,105

92,841

—

—

¥ —

—

—

—

—

—

Millions of Yen


Eligible FinancialCollateralAs of March 31

Securitization Exposures except Resecuritization ExposuresResidential Mortgage Loans Others

Resecuritization ExposuresTotal

489



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Long-term Settlement Transactions

2011

Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero)Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation TechniqueAmounts of CollateralCredit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique

¥ —47—47

Millions of Yen

2012

¥ ————

As of March 31


Fiscal Year 2011

Subject to the Calculation of Credit Risk-Weighted Assets

(1) Outline of securitization exposures during fiscal year 2011, type and status of principal underlying assets

(2) Amounts of securitization exposures held and breakdown of principal underlying assets by type

Securitization Exposures Consolidated

The STB Group holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(11)

below include data related to these securitization transactions.

Date of Securitization:

Type of Underlying Assets:

Type of Transaction:

Aggregate Sum of Underlying Assets:

as of March 31, 2012

Initial Issue Amount:

Preferred Beneficiary Notes

Mezzanine Notes

Subordinated Beneficiary Notes

Date of Redemption:

September 2011

Residential Mortgage Loans

Asset transfer-type securitization transaction

¥ 60,135 million

¥ 56,831 million

¥ 60,135 million

¥ 55,200 million (Aaa(sf)/Moody’s)

¥ 1,920 million (Aa2(sf)/Moody’s)

¥ 540 million (A2(sf)/Moody’s)

¥ 600 million (Ba2(sf)/Moody’s)

¥ 1,875 million (no rating)

March 2048

March 2012



¥ 29,679 million

¥ 29,387 million

¥ 29,679 million


¥ 920 million (Aa2(sf)/Moody’s)



¥ 859 million (no rating)

October 2048

Securitization Exposures Originated by the STB Group

¥ 34,433

34,433

—

—

¥ 34,433

¥ —

—

—

—

¥ —

¥ 255,997

255,997

—

—

¥ 255,997

¥ 255,997

255,997

—

—

¥ 255,997

¥ —

—

—

—

¥ —

Aggregate Sum of Underlying AssetsExposure Amounts

Millions of Yen

SyntheticSecuritizationTransactions

AssetTransfer-TypeSecuritizationTransactions

Off-balanceSheet

Transactions

On-balanceSheet

Transactions

2012

As of March 31

490



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(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization

exposures held, cumulative total of losses, and breakdown by type of principal underlying assets

2012

Residential Mortgage Loans OthersTotal

¥ 171

—

¥ 171

¥ 21

—

¥ 21

Millions of Yen

Cumulative Total LossesCumulative Total of Underlying

Assets Overdue for Three Months or Longer or in DefaultYear Ended March 31

(6) Amounts equivalent to the increase in capital following securitization and breakdown by type of principal underlying assets

2012


¥ 7,037

—

¥ 7,037

Millions of Yen

As of March 31

(4) Amounts of assets held for the purpose of securitization transactions and breakdown of principal assets by type

Not applicable.

(5) Balance and amounts of required capital of securitization exposures held by risk-weight category

2012

Securitization Exposures except Resecuritization Exposures (IRB Approach)

Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction

Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction

Total

Millions of Yen

Required CapitalBalance

On-balance SheetTransactions

Off-balance SheetTransactions


Off-balance SheetTransactionsAs of March 31

¥ 10,462

—

—

—

3,564

—

6,897

—

—

—

—

—

—

—

¥ 10,462

¥ 34,433

—

—

—

27,535

—

6,897

—

—

—

—

—

—

¥ 34,433

¥ —

—

—

—

—

—

—

—

—

—

—

—

—

—

¥ —

¥ —

—

—

—

—

—

—

—

—

—

—

—

—

—

¥ —

491



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(7) Amounts of securitization exposures by type of principal underlying assets deducted from capital under provisions

of the Notification, Article 247

(8) Items by type of principal underlying assets of securitization exposures with early redemption clauses

Not applicable.

(9) Application of credit risk mitigation techniques to resecuritization exposures held

Not applicable.

(10) Amounts of gains/losses on sale following securitization transactions recognized during fiscal year 2011 and break-

down by type of principal underlying assets

2012


¥ 6,897

—

¥ 6,897

Millions of Yen

As of March 31

(11) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to

securitization exposures

Not applicable.

Subject to the Calculation of Market Risk Assets

Not applicable.

2012


¥ 3,706

—

¥ 3,706

Millions of Yen

Year Ended March 31

492



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Aggregate Sum of Underlying Assets

Millions of Yen



ExposureAmounts

2011

Residential Mortgage LoansOthers Total

¥ 29,508

—

¥ 29,508

¥ 197,293

—

¥ 197,293

¥ 197,293

—

¥ 197,293

¥ —

—

¥ —

As of March 31



2011

Residential Mortgage Loans Others Total

¥ 233

—

¥ 233

¥ 158

—

¥ 158

Millions of Yen



Fiscal Year 2010

(1) Outline of securitization exposures during fiscal year 2010, type and status of underlying assets

The STB Group holds part of the exposures related to this securitization transaction, and quantitative data in (2)–(9)

below include data related to this securitization transaction.



Aggregate Sum of Underlying Assets: at the time of securitization






Date of Redemption:

March 2011


¥ 46,059 million

¥ 44,571 million


¥ 46,059 million

¥ 42,600 million (AAA/S&P, Aaa/Moody’s)


December 2051

September 2010


¥ 11,163 million

¥ 10,693 million


¥ 11,163 million

¥ 10,000 million (AAA/S&P)


January 2046

June 2010


¥ 32,620 million

¥ 29,547 million


¥ 32,620 million



April 2051

493



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2011

Risk-Weight Category (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction

Total

¥ —

—

—

29,220

—

288

¥ 29,508

¥ —

—

—

3,680

—

288

¥ 3,968

Millions of Yen

Balance Required Capital



2011


¥ 5,686

—

¥ 5,686

Millions of Yen

As of March 31

As of March 31




Not applicable.

2011


¥ 288

—

¥ 288

Millions of Yen



Not applicable.



2011


¥ 5,177

—

¥ 5,177

Millions of Yen

As of March 31

Year Ended March 31

494



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Securitization Exposures Purchased by the STB Group

Fiscal Year 2011




2012

Securitization Exposures except Resecuritization ExposuresResidential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on Corporates

Resecuritization ExposuresSecuritization Exposures to Residential Mortgage Loans and

Residential Mortgage Loans as Underlying AssetsSecuritization Exposures to Commercial Real Estate Secured Loans and

Commercial Real Estate Secured Loans as Underlying AssetsSecuritization Exposures for Other Claims on Corporates and

Other Claims on Corporates as Underlying AssetsTotal

¥ 296,706 165,274

24,924 16,552

6,98382,97079,514

19,970

1,061

58,482¥ 376,220

¥ 13,227 749

—10,394

—2,083

—

—

—

—¥ 13,227

Millions of Yen

Exposure Amounts



Securitization Exposures except Resecuritization Exposures (IRB Approach) Less than 20%20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction


Total

¥ 12,409 1,554

451 2,026

505307

7,5634,035

—1,513

—102

—2,420

¥ 16,444

¥ 96 74 22 ———————————

¥ 96

¥ 296,706 230,860

20,041 32,693

4,695852

7,56379,514

—76,093

—999

—2,420

¥ 376,220

¥ 13,227 12,477

749 ———————————

¥ 13,227

Millions of Yen

Required Capital

2012

Balance





As of March 31

As of March 31

495



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(3) Amounts of securitization exposures by type of underlying assets deducted from capital under provisions of the

Notification, Article 247


Not applicable.



Not applicable.


Not applicable.

Fiscal Year 2010


2012

Residential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on CorporatesTotal

Millions of Yen

¥ —

—

—

—

9,983

¥ 9,983

As of March 31

2011


¥ 258,361

35,132

45,414

12,206

176,606

¥ 527,721

Millions of Yen

Exposure AmountsAs of March 31

496



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Total

¥ 417,133

41,869

40,828

3,237

12,186

12,464

¥ 527,721

¥ 2,842

930

2,512

418

5,422

12,464

¥ 24,591

Millions of Yen

2011

Balance Required CapitalAs of March 31

(3) Amounts of securitization exposures by type of underlying assets deducted from capital under provisions of the

Notification, Article 247

2011


Millions of Yen

¥ —

—

53

—

12,411

¥ 12,464

As of March 31



Not applicable.

497



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Market Risk Consolidated

As of March 31, 2012Maximum Minimum Mean

(1) Value at Risk (VaR) as of the end of period and maximum, minimum, and mean VaR for the period

• Market risk in fiscal year 2011

¥ 0.7 billion

1.4 billion

0.4 billion

0.7 billion

Trading Account

¥ 152.7 billion

215.5 billion

150.6 billion

169.0 billion

Banking Account

(For the April 2011 - March 2012 period)



¥ 1.0 billion

1.4 billion

0.4 billion

0.8 billion

Trading Account

¥ 223.9 billion

248.3 billion

186.3 billion

215.3 billion

Banking Account


(2) Results of back testing and reasons for large downward deviations between actual losses and VaR

• Back testing of the trading account

Fiscal Year 2011 Fiscal Year 2010

VaR Measurement StandardsBanking account Confidence interval: one-tailed 99% Holding period: 21 business days Observation period: 1 yearTrading account Confidence interval: one-tailed 99% Holding period: 1 business day Observation period: 1 year

Pro

fit/L

oss

Co

mp

ared

with

the

Pre

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ing

Day

(Billi

ons

of Y

en)

－1.0

－0.5

1.0

0.5

0.0

1.5

－1.5

Profit/Loss and VaR Scatter Diagram

VaR(Billions of Yen)

(The latest 250 business days including the calculation reference date.)

Pro

fit/L

oss

Co

mp

ared

with

the

Pre

ced

ing

Day

(Billi

ons

of Y

en)

－1.0

－0.5

1.0

0.5

0.0

1.5

－1.5




0.50.0 1.0 1.5 0.50.0 1.0 1.5

Note: As shown above, for fiscal year 2011 back testing of the trading accounts shows zero instances of losses in excess of VaR.



¥ 1.3 billion

1.3 billion

0.7 billion

0.9 billion

Banking Account

(For the October 2011 - March 2012 period)

(3) End of period Stressed Value at Risk and maximum, minimum and mean of Stressed Value at Risk for the period

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Capital Subscriptions or Equity Exposures in the Banking Account Consolidated

*1. Figures for available-for-sale securities include only Japanese and foreign stocks.*2. Consolidated statements of income show gains/losses on stock holdings and related write-offs.

Note: Amounts by portfolio category show exposures subject to the calculation of credit risk-weighted assets.

2011

Consolidated Book and Fair Values*1

Listed Shares Exposures Capital Subscriptions or Equity Exposures Other than Above

Amounts of Gains/Losses on Sales and Write-offs of Capital Subscriptions or Equity Exposures*2

Amounts of Unrealized Gains/Losses Recognizedin the Consolidated Balance Sheets and not Recognizedin the Consolidated Statements of Income

Amounts of Unrealized Gains/Losses not Recognizedin the Consolidated Balance Sheets and Statements of Income

¥ 470,802

46,074

¥ 470,802

46,074

¥ 441,718

34,989

45,343

Not applicable

47,685

Not applicable

¥ 441,718

34,989

Millions of Yen

Book Value Fair Value

2012


Write-offsLossesGainsGains/LossesWrite-offsLossesGainsGains/Losses

6,9412,3143,204(6,051)15,8409,5494,072(21,316)

2011

Amounts by Portfolio CategoryStockholdings Portfolios Adopting the Market-based Approach Portfolios Adopting the PD/LGD Approach

¥ 663,532

426,506

56,559

180,466

Millions of Yen

2012

¥ 615,059

387,434

44,672

182,952

As of March 31

As of March 31

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Exposures Held in Funds as Credit Risk-Weighted Assets Consolidated

Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by the STB Group Regarding Interest Rate Risk in the Banking Account Consolidated

Overall Amounts of Interest Rate Risk Japanese Yen Interest Rates U.S. Dollar Interest Rates Other Interest Rates

Outlier Ratios

• Outlier ratios

20112012

Millions of Yen

¥ 65,591

—

63,187

2,403

3.3%

¥ 7,321

52

4,995

2,273

0.4%

Notes: 1. STB’s interest rate fluctuation scenario assumes an interest rate shock consisting of the 1st and 99th percentile of the fluctuation range measured for a one year hold-ing period and a minimum observation period of five years.

2. Our risk measurement method uses the interest rate sensitivity approach. Core deposits are defined as the lowest of the following three items, as an upper limit, fora five-year maturity (an average remaining term of 2.5 years): 1) the lowest balance of deposits in the past five years, 2) the balance after deducting the maximumannual outflow of deposits in the past five years from the current balance of deposits, or 3) the amount equivalent to 50% of the current balance of deposits.

As of March 31

Note: Exposures subject to the calculation of credit risk-weighted assets are shown.

2011

Aggregate Sum of Exposures Held in Funds Look-through Approach Simple Majority Formula Investment Criteria Formula Internal Model Approach Probability Approach Others

¥ 170,739

118,329

36,638

—

—

13,086

2,685

Millions of Yen

2012

¥ 217,140

162,307

38,136

—

—

14,950

1,746

As of March 31

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Capital Adequacy Ratio Non-consolidated

*1. As of March 31, 2012, the amount of noncumulative perpetual preferred shares which are included in Tier I was ¥109,000 million. The column for “Capital Stock—Noncumulative PerpetualPreferred Shares” indicates the amount which has been included in capital stock.

*2. As of March 31, 2012, deferred tax assets totaled ¥32,583 million in net terms. The upper limit on the inclusion of deferred tax assets in capital was ¥268,768 million.*3. Listed in the Notification, Article 17, 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 Notification, Article 18, 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 Notification, Article 18, 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 Notification, Article 20, Paragraph 1, Items 1 through 5, and include amounts equivalent to intentional holdings of other financial institutions’ capital funding means.*7. STB received an external audit by KPMG AZSA LLC of the calculation of the non-consolidated BIS capital adequacy ratio 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 accountingaudit of the non-consolidated financial statements but was conducted as part of the internal risk management framework concerning the calculation of the non-consolidated BIS capital adequacyratio under agreed-upon examination procedures and is a report of the results to STB. It thus does not represent the opinion of the external auditor regarding the non-consolidated BIS capitaladequacy ratio itself or parts of internal control which concern the ratio.

Constituents of Capital (Non-consolidated BIS Capital Adequacy Ratio)

2011

Tier ICapital Stock

Noncumulative Perpetual Preferred Shares*1

Deposit for Subscriptions to Shares Legal Capital Surplus Other Capital Surplus Legal Retained Earnings Other Retained Earnings Others Treasury Stock (Deduction) Deposit for Subscriptions to Treasury Stock Expected Distributed Amount (Deduction) Net Unrealized Loss on Available-for-Sale Securities (Deduction) Subscription Rights to Shares Business Rights Equivalents (Deduction) Goodwill Equivalents (Deduction) Equivalent to Intangible Fixed Assets Recorded through Business Combination (Deduction) Equivalent to Capital Increase Due to Securitization Transactions (Deduction) Equivalent to 50% of the Excess of Expected Loss over Qualifying Allowance (Deduction) Total Tier I before Deduction of Deferred Tax Assets (Aggregate Sum of Items Above) Deducted Amount of Deferred Tax Assets (Deduction)*2

Total (A) Noncumulative Preferred Securities Attached with Step-up Interest Rate Clause*3 (a) Noncumulative Preferred Securities Issued by Overseas Special Purpose Companies

Tier II45% 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

Total Included in Capital (B)

Tier IIISubordinated Short-term Debt Included in Capital (C)

Items for DeductionItems for Deduction*6 (D)

Total Qualifying Capital((A) + (B) + (C) - (D)) (E)

Risk-Weighted AssetsAsset (On-balance Sheet) Items Off-balance Sheet Transaction Items Amount of Credit Risk-Weighted Assets (F) Amount of Market Risk Equivalents ((H)/8%) (G) (Reference) Market Risk Equivalents (H) Amount of Operational Risk Equivalents ((J)/8%) (I) (Reference) Operational Risk Equivalents (J) Credit Risk-Weighted Assets Adjustments (K) Operational Risk Equivalents Adjustments (L) Total ((F) + (G) + (I) + (K) + (L)) (M)

Non-consolidated BIS Capital Adequacy Ratio = E/M x 100 (%) Tier I Capital Ratio = A/M x 100 (%) Ratio of Noncumulative Preferred Securities with

Step-up Interest Rate Clauses to Tier I Capital = a/A x 100 (%)

¥ 342,03754,500

—242,55554,49552,929

446,186279,999

482—

15,701—————

4,96613,439

1,383,614—

1,383,614156,000280,000

2,016448

——

628,236185,307442,928630,700630,700

——

89,143

1,925,171

9,326,0731,365,075

10,691,148116,449

9,315470,44637,635

——

¥ 11,278,04417.0712.26

11.27

Millions of Yen

2012

¥ 342,03754,500

—242,555

54,01358,872

465,244279,999

——

67,377—————

6,40625,093

1,343,843—

1,343,843156,000280,000

11,454(217)

——

618,449136,500481,949629,686629,686

——

92,836

1,880,693

9,104,0141,385,874

10,489,889205,715

16,457484,370

38,749——

¥ 11,179,97516.8212.02

11.6

As of March 31

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Outline of Capital Funding Instruments

An outline of capital funding instruments for the BIS capital adequacy ratio (non-consolidated) is as follows:

Shareholders’ equity listed in the Notification, Article 17, Paragraph 1, and STB’s standard stock with no limitations on holders’ rights

Preferred securities listed in the Notification, Article 17, Paragraph 4, which meet all of the conditions below:•Noncumulative perpetual preferred capital•Paid-up securities that are unsecured and subordinate to other debts•Issuance proceeds are made available to STB immediately with no limitations and can be used for offsetting of loss within STB while busi-ness is continued

Instrument included as the debt capital listed in the Notification, Article 18, Paragraph 1, Item 4 that have all of the characteristics below:•Paid-up securities that are unsecured and subordinate to other debts•Not redeemable except for some cases •Used for offsetting of loss within STB while business is continued•Allowed to defer interest payment obligations

Instrument included as debt capital listed in the Notification, Article 18, Paragraph 1, Item 5, but debt is limited to that with an originalmaturity of over five years.

Capital Funding Instruments OutlineCapital

Tier I

Tier II

Common Shares

Shareholders’ equity listed in the Notification, Article 17, Paragraph 1, and is noncumulative perpetual preferred shares which are senior tocommon stock in the payment of dividends and the liquidation distribution of residual assets.Preferred Shares

Preferred Securities

Perpetual Subordinated Debt

Subordinated Term Debt

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Details of preferred securities issued by overseas special purpose companies included in “Others” of the Tier I of capital

for non-consolidated BIS capital adequacy ratio calculation are as follows:

1. Issuer STB Preferred Capital 2 (Cayman) Limited STB Preferred Capital 3 (Cayman) Limited STB Preferred Capital 4 (Cayman) Limited STB Preferred Capital 5 (Cayman) Limited

2. Description ofSecurities

Noncumulative Perpetual Preferred Securities Same as on the left Same as on the left Same as on the left

3. RedemptionDate No provisions Same as on the left Same as on the left Same as on the left

5. DividendPayment Date January 25 and July 25 every year Same as on the left Same as on the left Same as on the left

4. VoluntaryRedemption





6. Dividend




<Thereafter>Step-up Floating Rate

Series A <1st year - 10th year >

Fixed Rate<Thereafter>

Step-up Floating RateSeries B



Same as on the left

7. Issue Amount ¥50 billion ¥50 billion Series A ¥56 billionSeries B ¥54 billion ¥70 billion

8. Issue Date December 18, 2008December 7, 2005 June 24, 2008March 2, 2007

9. Outline ofDividendPayment

Dividends are payable by the issuer withinthe limits of profits at STB available for distri-bution in conformity with the calculation ofpreferred shares of STB. If STB pays divi-dends on its common stock for the prior fis-cal year, then dividends for these preferredshares will, in principle, be paid in entirely forthe applicable fiscal year.

Same as on the left Same as on the left Same as on the left

10. DividendLimitation

Dividends on these preferred securitieswill not be paid if any of certain criteriahave been met. The criteria include thefollowing:When STB did not pay dividends in theprior fiscal year on any class of preferredshares.When STB’s BIS capital adequacy ratio orTier I capital ratio is to decline below theminimum percentages required byJapanese banking regulations.

11. Rights to theResidualAssets

These preferred securities are intendedto provide holders with rights to residualassets that are essentially the same asthose to which holders would be entitledif they had purchased noncumulativenonvoting perpetual preferred sharesissued directly by STB.

Same as on the left

Same as on the left

Same as on the left

Same as on the left

Same as on the left

Same as on the left

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(1) Amounts of required capital against credit risk (excluding equity exposures to which the IRB Approach is applied

and exposures held in funds)

(2) Amounts of required capital against credit risk concerning equity exposures to which the IRB Approach is Applied

Capital Adequacy Non-consolidated

2011

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

¥ 20,544

—

20,544

864,191

634,910

12,362

27,693

46,063

498

10,818

131,844

25,861

Millions of Yen

2012

¥ 19,931

—

19,931

845,479

634,131

11,685

29,734

49,645

367

9,916

109,998

21,795

As of March 31

2011

Equity Exposures PD/LGD Approach Simple Risk-Weight Method of the Market-based Approach Internal Models Method of the Market-based Approach Transitional Measures*1

¥ 70,241

18,975

15,298

—

35,967

Millions of Yen

2012

¥ 64,662

18,614

13,325

—

32,722

As of March 31

Amounts of Required Capital

*1. Other exposures include purchased receivables, unsettled transactions, lease transactions and other assets.*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 amountPortfolios to which the IRB Approach is applied: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amountSecuritization exposures: (amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount

*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%

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(4) Amounts of required capital against market risk

(3) Amounts of required capital against credit risk concerning exposures held in funds

2011

Exposures Held in Funds* ¥ 37,459

Millions of Yen

2012

¥ 52,191

As of March 31

2011

Market Risk Amounts of Required Capital by Category under the Standardized Approach

Interest Rate Risk Equity Position Risk Foreign Exchange Risk Commodities Risk Options Transactions

Internal Models Approach

¥ 9,315

951

951

—

—

—

—

8,364

Millions of Yen

2012

¥ 16,457

674

674

—

—

—

—

15,783

As of March 31

* (Amount of credit risk-weighted assets x 1.06) x 8% + expected loss amount + capital deduction amount

(5) Amounts of required capital against operational risk

2011

Standardized Approach ¥ 37,635

Millions of Yen

2012

¥ 38,749

As of March 31

(6) Total required capital

2011

Total Required Capital* ¥ 902,243

Millions of Yen

2012

¥ 894,398

As of March 31

* (Total amount of credit risk-weighted assets + market risk equivalents/8% + operational risk equivalents/8%) x 8%

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Balance of Exposures Related to Credit Risk and Breakdown by Primary Types

Credit Risk Non-consolidated


Millions of Yen



Deposits, etc.



Default

2012






STB.

As of March 31

¥ 12,233,875

1,352,320

¥ 13,586,196

1,789,394

2,195

6,508

12,620

90,837

432,323

228,483

704,285

930,775

1,651,069

1,662,506

491,544

90,596

2,313,486

3,179,568

¥ 13,586,196

3,599,183

2,773,372

3,030,552

4,183,088

¥ 13,586,196

¥ 13,114,816

¥ 17,219,856

2,313,025

¥ 19,532,881

2,775,023

3,682

6,645

13,802

154,817

487,839

271,885

881,061

1,431,132

2,061,951

1,963,455

546,781

113,745

2,383,412

6,437,645

¥ 19,532,881

5,493,080

3,938,136

3,804,872

6,296,793

¥ 19,532,881

¥ 19,107,774

¥ 3,086,696

420,692

¥ 3,507,389

339,536

1,095

72

—

34,608

29,540

6,166

96,561

141,475

171,559

138,216

8,275

16,872

—

2,523,410

¥ 3,507,389

1,206,275

560,097

438,510

1,302,506

¥ 3,507,389

¥ 3,541,696

¥ 1,680,565

78,352

¥ 1,758,917

621,083

375

—

1,083

28,389

24,501

36,179

62,635

354,621

76,878

154,910

46,032

6,276

69,926

276,023

¥ 1,758,917

627,713

486,355

197,986

446,862

¥ 1,758,917

¥ 1,709,432


¥ 218,718

461,660

¥ 680,378

25,009

17

65

97

981

1,474

1,055

17,578

4,260

162,444

7,821

928

—

—

458,642

¥ 680,378

59,908

118,311

137,822

364,336

¥ 680,378

¥ 741,828

¥ 172,374

7,050

¥ 179,425

34,175

34

—

—

3,372

—

4,954

950

3,052

77,045

17,769

—

—

10,500

27,570

¥ 179,425

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Millions of Yen



Deposits, etc.



Default

2011






STB.

¥ 11,434,291

520,570

¥ 11,954,861

1,793,358

1,841

7,185

12,514

98,650

364,362

206,379

705,041

977,555

1,346,908

1,710,667

516,651

98,652

2,075,679

2,039,414

¥ 11,954,861

3,165,254

2,594,167

2,574,730

3,620,709

¥ 11,954,861

¥ 11,857,516

¥ 16,523,803

2,178,555

¥ 18,702,359

2,716,450

3,810

7,306

15,307

166,815

415,484

233,359

868,363

1,394,040

1,878,332

2,090,326

585,228

136,849

2,155,211

6,035,474

¥ 18,702,359

4,566,957

3,820,982

3,499,876

6,814,543

¥ 18,702,359

¥ 17,985,918

¥ 3,202,108

912,923

¥ 4,115,032

346,681

1,564

32

—

35,151

34,683

4,424

86,324

119,476

182,510

208,927

6,791

20,519

—

3,067,944

¥ 4,115,032

696,623

608,325

459,783

2,350,299

¥ 4,115,032

¥ 3,488,098

¥ 1,624,983

64,275

¥ 1,689,258

548,196

375

13

2,738

31,698

14,752

21,094

55,375

290,276

159,897

161,548

60,517

17,678

79,532

245,563

¥ 1,689,258

653,863

412,523

257,069

365,802

¥ 1,689,258

¥ 1,743,855


¥ 262,420

680,786

¥ 943,206

28,215

28

75

53

1,315

1,685

1,460

21,622

6,731

189,015

9,183

1,267

—

—

682,550

¥ 943,206

51,216

205,965

208,292

477,732

¥ 943,206

¥ 896,446

¥ 182,841

9,511

¥ 192,353

36,369

—

68

—

4,859

—

15,599

256

6,481

86,020

17,748

—

—

9,411

15,539

¥ 192,353

As of March 31

Balance and Changes of General Allowance for Loan Losses, Specific Allowance for Loan Losses, and Allowance for

Loan Losses from Specified Foreign Country Borrowers

Change2012

General Allowance for Loan Losses ¥ (9,797)

Millions of Yen

Balance

2011

¥ 54,000

Balance

¥ 44,202

(1) General allowance for loan losses

As of March 31

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Changes2012

JapanOutside Japan Total for Regions

ManufacturingAgriculture and Forestry FisheriesMining and Quarrying of Stones and Gravel ConstructionElectricity, Gas, Heat Supply and WaterInformation and CommunicationTransport and Postal ActivitiesWholesale and Retail TradeFinance and InsuranceReal EstateGoods Rental and LeasingLocal Public BodiesIndividualsOthers Total for Industry Sectors

¥ 11,098

(75)

11,022

4,466

—

—

—

(10)

(702)

(178)

(4)

135

26

(6,712)

—

—

(27)

14,030

¥ 11,022

Millions of Yen

Balance

2011

¥ 25,279

6,279

31,558

5,768

—

—

—

10

702

1,199

580

—

—

9,404

—

—

1,669

12,223

¥ 31,558

Balance

¥ 36,377

6,204

42,581

10,235

—

—

—

—

—

1,021

575

135

26

2,691

—

—

1,641

26,254

¥ 42,581

(2) Specific allowance for loan losses (breakdown by region, industry sector)

(3) Allowance for loan losses from specified foreign country borrowers

Not applicable as of the end of March 2012 and the end of March 2011.

Amounts of Written-off Loans by Industry Sector

2011


¥ 14,818

—

—

—

858

—

—

557

100

—

(32)

—

—

(974)

295

¥ 15,624

Millions of Yen

2012

¥ —

—

—

—

—

—

—

—

219

—

—

—

—

—

67

¥ 286


As of March 31

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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%

Capital Deduction

¥ 267,736

—

—

23,243

—

—

—

244,492

—

—

¥ —

—

—

—

—

—

—

—

—

¥ 284,288

—

—

34,472

—

—

—

249,816

—

—

¥ —

—

—

—

—

—

—

—

—

Millions of Yen

Subject to Rating

2012

Subject to Rating

Balance of Exposures to which the Standardized Approach is Applied by Risk-Weight Category

Exposures to which the IRB Approach is Applied

2011

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%


Other Exposures Maturities of 2.5 Years or Longer

Strong 70% Good 90% Satisfactory 115% Weak 250% Default 0%


Equity Exposures to which the Simple Risk-Weight Method of the Market-based Approach is Applied 300% 400%

¥ 1,275,372

181,130

117,240

30,688

28,695

57,855

—

—

63,889

5,004

1,208

44,477

—

13,200

¥ 1,094,242

793,987

319,240

233,069

192,369

45,054

4,252

300,255

65,888

124,952

103,435

4,756

1,223

48,700

14,394

¥ 34,306

Millions of Yen

2012

¥ 1,276,477

144,774

120,335

16,926

36,260

60,790

—

6,358

24,439

—

10,437

14,002

—

—

¥ 1,131,702

887,368

297,490

383,215

150,235

42,629

13,797

244,333

40,955

101,914

89,121

7,043

5,298

41,273

7,960

¥ 33,313

As of March 31

As of March 31

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Portfolios to which the IRB Approach is Applied



(1) Corporate exposures

(2) Sovereign exposures

2012



44.82%

45.09%

43.66%

44.81%

0.37%

11.13%

100.00%

2.66%

48.08%

194.46%

53.78%

¥ 7,122,506

364,748

163,000

¥ 7,650,255

¥ 1,443,453

46,032

2,832

¥ 1,492,318

Millions of Yen


EAD Value



WeightedAverage ofLGD Value


44.98%

44.15%

41.77%

44.89%

0.45%

13.14%

100.00%

2.85%

50.85%

194.89%

54.67%

¥ 7,175,462

277,364

176,428

¥ 7,629,255

¥ 1,336,132

24,495

1,742

¥ 1,362,370

2012



44.95%

45.00%

—

44.95%

0.02%

9.68%

—

0.02%

3.68%

184.46%

3.71%

¥ 3,828,074

502

—

¥ 3,828,576

¥ 10,075

156

—

¥ 10,231

Millions of Yen

2011



44.99%

45.00%

—

44.99%

0.01%

9.68%

—

0.01%

4.29%

183.78%

4.31%

¥ 3,511,530

310

—

¥ 3,511,840

¥ 21,133

—

—

¥ 21,133

Millions of Yen

As of March 31

2011

Millions of Yen


EAD Value






EAD Value






EAD Value





As of March 31

As of March 31

As of March 31

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(3) Financial Institution exposures

2012



45.46%

45.00%

—

45.46%

0.08%

7.64%

—

0.08%

20.25%

169.36%

20.28%

¥ 1,199,423

301

—

¥ 1,199,725

¥ 591,906

50

—

¥ 591,956

Millions of Yen

2011



45.93%

45.00%

—

45.93%

0.08%

7.64%

—

0.08%

21.42%

255.78%

21.51%

¥ 648,168

314

—

¥ 648,482

¥ 925,652

312

—

¥ 925,964

Millions of Yen

(4) Equity exposures under the PD/LGD Approach

2012



0.17%

9.30%

100.00%

0.24%

123.24%

459.60%

124.45%

¥ 182,192

685

74

¥ 182,952

Millions of Yen



2011



0.17%

12.65%

100.00%

0.54%

125.11%

473.69%

125.36%

¥ 179,489

352

624

¥ 180,466

Millions of Yen



As of March 31

As of March 31

As of March 31

As of March 31


EAD Value






EAD Value





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(5) Residential mortgage exposures, qualifying revolving retail exposures, and other retail exposures

2012





Total

¥ 2,211,591

11,800

8,724

4,845

—

—

74,826

787

910

78,064

1,362

2,543

¥ 2,395,456

20.80%

337.63%

—

55.57%

—

—

56.87%

151.29%

—

43.16%

81.26%

—

24.26%

42.11%

54.60%

48.74%

100.00%

—

—

50.86%

54.04%

46.73%

46.96%

46.96%

49.85%

42.79%

0.25%

26.87%

100.00%

1.52%

—

—

1.20%

37.48%

100.00%

0.71%

9.12%

100.00%

0.99%

¥ 65,022

74

53

1,322

—

—

2,451

189

812

4,332

203

473

¥ 74,936

¥ 199

—

—

23,820

—

—

5,297

259

188

108

—

—

¥ 29,872

75.00%

—

—

5.55%

—

—

33.40%

61.73%

56.94%

75.00%

—

—

72.74%

Millions of Yen

CCFUndrawnCommitment

EAD Value






2011





Total

¥ 1,955,742

11,577

7,730

5,403

—

—

93,319

1,026

879

80,770

1,700

1,384

¥ 2,159,533

21.59%

337.63%

—

55.57%

—

—

59.30%

149.35%

—

43.16%

81.26%

—

25.84%

42.38%

54.60%

48.74%

100.00%

—

—

51.19%

53.30%

46.71%

46.96%

46.96%

49.85%

43.26%

0.26%

26.87%

100.00%

1.52%

—

—

1.32%

37.58%

100.00%

0.71%

9.12%

100.00%

0.99%

¥ 71,663

87

52

2,963

—

—

3,705

311

748

5,450

160

382

¥ 85,526

¥ 211

—

—

58,909

—

—

9,282

253

201

49

—

—

¥ 68,908

75.00%

—

—

5.03%

—

—

30.35%

69.48%

53.92%

75.00%

—

—

72.02%

Millions of Yen

As of March 31

As of March 31CCFUndrawn

Commitment

EAD Value






512



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Actual Credit Losses in the Current Period and Year-on-Year Change for Portfolios to which the IRB Approach is Applied

Note: Of total credit costs, only those that can be identified as stemming from specified asset classes are shown in the table. Accordingly, the reversal resulting from the unifi-cation of calculating method of reserves based on the management integration are not included in the above table.

2012 2011


¥ (25,590)

(16)

—

(855)

¥11,810

(16)

2

543

¥10,978

(30)

9

536

¥ (11,440)

(30)

—

(433)

¥ 831

13

(7)

6

Millions of Yen

Change in Actual Credit

LossesActual Credit

Losses ReversalsReversalsActual CreditLosses

Factor Analysis

Actual credit losses in fiscal year 2011 increased by ¥0.8 billion year on year.

This was mainly due to additional posting of allowance for loan losses for some large borrowers in combination with

net reversals of allowances for loan losses etc with regard to the improved credit status of obligors, and so on.

Estimated Credit Losses for Portfolios to which the IRB Approach is Applied

Actual CreditLosses


¥ 11,810

(16)

2

543

Millions of Yen

20112012


¥ 137,326

188

594

10,973



Notes: 1. Estimated credit losses for fiscal 2010 are the expected loss amount as of March 31, 2011.2. Actual credit losses for fiscal 2011 are the sum of losses for one year ended March 31, 2012.

Actual CreditLosses


¥ 18,013

(13)

(158)

373

Millions of Yen

20112012


¥ 145,543

156

546

11,879

Six Months Ended September 30

Notes: 1. Estimated credit losses for the first half of fiscal 2010 are the expected loss amount as of September 30, 2010.2. Actual credit losses for the first half of fiscal 2011 are the sum of losses for one year ended September 30, 2011.

513



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

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BankingCom

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FinancialData/

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FinancialData/

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Data/Sum

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lding

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Data/The

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ChuoM

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BankingCom

pany,Limited


Data/Form

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pany,Limited


Data/The

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Credit Risk Mitigation Techniques Non-consolidated

Amounts of Exposures to which Credit Risk Mitigation Techniques are Applied

2012



¥ —

575,909

138,532

3,221

434,154

—

¥ —

245,944

242,541

3,402

—

—

¥ —

261,947

169,105

92,841

—

—

¥ —

—

—

—

—

—

Millions of Yen



2011



¥ —

1,122,989

193,189

90

929,710

—

¥ —

269,803

265,429

4,374

—

—

¥ —

302,933

163,416

138,316

1,200

—

¥ —

—

—

—

—

—

Millions of Yen



514



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Derivative Transactions

Counterparty Risk in Derivative and Long-term Settlement Transactions Non-consolidated


2011

Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero) Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique

Foreign Exchange Related Interest Rate Related Credit Derivatives OthersEffect 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

Purchase of 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

¥ 2,515,104

1,168,486

783,021

3,475,411

500

—

3,090,446

215,526

142,536

72,990

952,960

4,701

4,701

—

—

Millions of Yen

2012

¥ 2,778,552

876,486

552,219

3,456,386

—

—

3,132,120

178,962

50,007

128,954

697,524

—

—

—

—

As of March 31

Long-term Settlement Transactions

2011

Aggregate Sum of Amounts of Gross Reconstruction Costs (limited only to those not below zero)Credit Equivalents Before Effect of Mitigation by Collateral under the Credit Risk Mitigation TechniqueAmounts of CollateralCredit Equivalents After Effect of Mitigation by Collateral under the Credit Risk Mitigation Technique

¥ —47—47

Millions of Yen

2012

¥ ————

As of March 31


515



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

erChuoM

itsuiTrustand

BankingCom

pany,Limited

FinancialData/

FormerChuo

MitsuiAssetTrust

andBanking

Company,Lim

ited

FinancialData/

TheForm

erSumitom

oTrust

andBanking

Co.,Ltd.


Data/Sum

itom

oM

itsuiTrust

Ho

lding

s,Inc.


Data/The

Former

ChuoM

itsuiTrustand

BankingCom

pany,Limited


Data/Form

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BankingCom

pany,Limited


Data/The

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itomo

Trustand

BankingC

o.,Ltd.

Fiscal Year 2011


(1) Outline of securitizations during fiscal year 2011, type and status of principal underlying assets


Securitization Exposures Non-consolidated

STB holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(11) below

include data related to these securitization transactions.

Securitization Exposures Originated by STB




Aggregate Sum of Underlying Assets:




Mezzanine Notes


Date of Redemption:

September 2011



¥ 60,135 million

¥ 56,831 million

¥ 60,135 million


¥ 1,920 million (Aa2(sf)/Moody’s)




March 2048

March 2012



¥ 29,679 million

¥ 29,387 million

¥ 29,679 million


¥ 920 million (Aa2(sf)/Moody’s)



¥ 859 million (no rating)

October 2048



2012


¥ 171

—

¥ 171

¥ 12

—

¥ 12

Millions of Yen



Securitization Exposures except Resecuritization ExposuresOthers Residential Mortgage Loans

Resecuritization ExposuresTotal

Aggregate Sum of Underlying AssetsExposure Amounts

Millions of Yen



Off-balanceSheet

Transactions

On-balanceSheet

Transactions

2012

As of March 31

¥ 29,557

29,557

—

—

¥ 29,557

¥ —

—

—

—

¥ —

¥ 231,441

231,441

—

—

231,441

¥ 231,441

231,441

—

—

231,441

¥ —

—

—

—

¥ —



Total

516



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(4) Amounts of assets held for the purpose of securitization transaction and breakdown of principal assets by type

Not applicable.


¥ 9,158———

2,260—

6,897———————

¥ 9,158

¥ 29,557———

22,659—

6,897———————

¥ 29,557

¥ ——————————————

¥ —

¥ ——————————————

¥ —


2012


¥ 6,406

—

¥ 6,406

Millions of Yen

As of March 31



2012

Residential Mortgage LoansOthersTotal

¥ 6,897

—

¥ 6,897

Millions of Yen

As of March 31

Millions of Yen

Required Capital

2012

Balance





517



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

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BankingCom

pany,Limited

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Data/Sum

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lding

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Data/The

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ChuoM

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BankingCom

pany,Limited


Data/Form

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pany,Limited


Data/The

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o.,Ltd.


Not applicable.

(9) Application of credit risk mitigation techniques to resecuritization exposure held

Not applicable.





Not applicable.


Not applicable.

Fiscal Year 2010

(1) Outline of securitizations during fiscal year 2010, type and status of principal underlying assets

STB holds part of the exposures related to these securitization transactions, and quantitative data in (2)–(9) below

include data related to these securitization transactions.



Aggregate Sum of Underlying Assets: at the time of securitization






Date of Redemption:

June 2010


¥ 32,620 million

¥ 29,547 million


¥ 32,620 million



April 2051

March 2011


¥ 46,059 million

¥ 44,571 million


¥ 46,059 million



December 2051

2012


¥ 3,706

—

¥ 3,706

Millions of Yen

Year Ended March 31

518



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Aggregate Sum of Underlying Assets

Millions of Yen



ExposureAmounts

2011


¥ 24,285

—

¥ 24,285

¥ 169,399

—

¥ 169,399

¥ 169,399

—

¥ 169,399

¥ —

—

¥ —

As of March 31

(3) Cumulative total of underlying assets overdue for three months or longer or in default related to securitization expo-

sures held, cumulative total of losses, and breakdown by type of principal underlying assets

2011


¥ 183

—

¥ 183

¥ 55

—

¥ 55

Millions of Yen



2011

Risk-Weight Category (IRB Approach) Less than 20% 20% to Less than 50%50% to Less than 100%100% to Less than 350%350% to Less than 1,250%Capital Deduction

Total

¥ —

—

—

23,997

—

288

¥ 24,285

¥ —

—

—

2,273

—

288

¥ 2,561

Millions of Yen

Balance Required Capital



2011


¥ 4,966

—

¥ 4,966

Millions of Yen

As of March 31

As of March 31

Securitization Exposures except Resecuritization ExposuresResidential Mortgage Loans Credit Card LoansClaims on Lease Payments, Installment ReceivablesCommercial Real Estate-Secured Loans Other Claims on Corporates

Resecuritization ExposuresSecuritization Exposures to Residential Mortgage Loans and

Residential Mortgage Loans as Underlying AssetsSecuritization Exposures to Commercial Real Estate Secured Loans and

Commercial Real Estate Secured Loans as Underlying AssetsSecuritization Exposures for Other Claims on Corporates and

Other Claims on Corporates as Underlying AssetsTotal

519



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

erChuoM

itsuiTrustand

BankingCom

pany,Limited

FinancialData/

FormerChuo

MitsuiAssetTrust

andBanking

Company,Lim

ited

FinancialData/

TheForm

erSumitom

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Data/Sum

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Ho

lding

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Data/The

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ChuoM

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BankingCom

pany,Limited


Data/Form

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pany,Limited


Data/The

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Trustand

BankingC

o.,Ltd.




Not applicable.

2011


¥ 288

—

¥ 288

Millions of Yen



Not applicable.

Securitization Exposures Purchased by STB

Fiscal Year 2011





2011


¥ 4,805

—

¥ 4,805

Millions of Yen

As of March 31

Year Ended March 31

¥ 295,004165,274

24,92416,552

6,98381,26879,514

19,970

1,061

58,482¥ 374,518

¥ 13,227749

—10,394

—2,083

—

—

—

—¥ 13,227

2012

Millions of Yen

Exposure Amounts



520



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Not applicable.

(5) Amounts of credit risk-weighted assets calculated with the application of transitional measures with respect to secu-

ritization exposures

Not applicable.


Not applicable.

2012


Millions of Yen

¥ —

—

—

—

8,280

¥ 8,280

As of March 31



Total

Millions of Yen

Required Capital

2012

Balance





¥ 10,7061,554

4512,026

505307

5,8604,035

—1,513

—102

—2,420

¥ 14,742

¥ 967422———————————

¥ 96

¥ 295,004230,860

20,04132,693

4,695852

5,86079,514

—76,093

—999

—2,420

¥ 374,518

¥ 13,22712,477

749———————————

¥ 13,227

521



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

erChuoM

itsuiTrustand

BankingCom

pany,Limited

FinancialData/

FormerChuo

MitsuiAssetTrust

andBanking

Company,Lim

ited

FinancialData/

TheForm

erSumitom

oTrust

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Data/Sum

itom

oM

itsuiTrust

Ho

lding

s,Inc.


Data/The

Former

ChuoM

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BankingCom

pany,Limited


Data/Form

erChuoM

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BankingCom

pany,Limited


Data/The

FormerSum

itomo

Trustand

BankingC

o.,Ltd.

Fiscal Year 2010


2011


¥ 258,361

35,132

45,414

12,206

175,315

¥ 526,429

Millions of Yen

Exposure AmountsAs of March 31



Total

¥ 417,133

41,869

40,828

3,237

12,186

11,173

¥ 526,429

¥ 2,842

930

2,512

418

5,422

11,173

¥ 23,299

Millions of Yen

2011

Balance Required CapitalAs of March 31



2011


Millions of Yen

¥ —

—

53

—

11,119

¥ 11,172

As of March 31



Not applicable.

522



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Market Risk Non-consolidated


(1) Value at Risk (VaR) as of the end of period and maximum, minimum, and mean VaR for the period


¥ 0.7 billion

1.4 billion

0.4 billion

0.7 billion

Trading Account

¥ 151.2 billion

212.8 billion

148.6 billion

167.0 billion

Banking Account




¥ 1.0 billion

1.4 billion

0.4 billion

0.8 billion

Trading Account

¥ 221.2 billion

246.2 billion

184.6 billion

213.2 billion

Banking Account


(2) Results of back testing and reasons for large downward deviations between actual losses and VaR

• Back testing of the trading account

Fiscal Year 2011 Fiscal Year 2010

VaR Measurement StandardsBanking account Confidence interval: one-tailed 99% Holding period: 21 business days Observation period: 1 yearTrading account Confidence interval: one-tailed 99% Holding period: 1 business day Observation period: 1 year

Pro

fit/L

oss

Co

mp

ared

with

the

Pre

ced

ing

Day

(Billi

ons

of Y

en)

－1.0

－0.5

1.0

0.5

0.0

1.5

－1.5




Pro

fit/L

oss

Co

mp

ared

with

the

Pre

ced

ing

Day

(Billi

ons

of Y

en)

－1.0

－0.5

1.0

0.5

0.0

1.5

－1.5




0.50.0 1.0 1.5 0.50.0 1.0 1.5

Note: As shown above, for fiscal year 2011 back testing of the trading accounts shows zero instances of losses in excess of VaR.



¥ 1.3 billion

1.3 billion

0.7 billion

0.9 billion

Banking Account

(For the October 2011 - March 2012 period)

(3) End of period Stressed Value at Risk and maximum, minimum and mean of Stressed Value at Risk for the period

523



FinancialData/

Sumito

mo

Mitsui

TrustH

old

ings,Inc.

FinancialData/

TheForm

erChuoM

itsuiTrustand

BankingCom

pany,Limited

FinancialData/

FormerChuo

MitsuiAssetTrust

andBanking

Company,Lim

ited

FinancialData/

TheForm

erSumitom

oTrust

andBanking

Co.,Ltd.


Data/Sum

itom

oM

itsuiTrust

Ho

lding

s,Inc.


Data/The

Former

ChuoM

itsuiTrustand

BankingCom

pany,Limited


Data/Form

erChuoM

itsuiAssetTrustand

BankingCom

pany,Limited


Data/The

FormerSum

itomo

Trustand

BankingC

o.,Ltd.

Capital Subscriptions or Equity Exposures in the Banking Account Non-consolidated

*1. Figures for available-for-sale securities include only Japanese and foreign stocks.*2. Non-consolidated statements of income show gains/losses on stockholdings and related write-offs.

Note: Amounts by portfolio category show exposures subject to the calculation of credit risk-weighted assets.

2011

Non-consolidated Book and Fair Values*1

Listed Shares Exposures Capital Subscription or Equity Exposures Other than Above

Amounts of Gains/Losses on Sales and Write-offs of Capital Subscriptions or Equity Exposures*2

Amounts of Unrealized Gains/Losses Recognized in the Non-consolidated Balance Sheets and not Recognized in the Non-consolidated Statements of Income

Amounts of Unrealized Gains/Losses not Recognizedin the Non-consolidated Balance Sheets and Statements of Income

¥ 470,469

45,427

¥ 470,469

45,427

¥ 441,201

34,458

45,072

Not applicable

47,237

Not applicable

¥ 441,201

34,458

Millions of Yen


2012


Write-offsLossesGainsGains/LossesWrite-offsLossesGainsGains/Losses

6,9342,3143,022(6,226)15,9455,0216,019(14,947)

2011

Amounts by Portfolio CategoryStockholdingsPortfolios Adopting the Market-based Approach Portfolios Adopting the PD/LGD Approach

¥ 653,259

424,091

48,700

180,466

Millions of Yen

2012

¥ 610,061

385,835

41,273

182,952

As of March 31

As of March 31

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Exposures Held in Funds as Credit Risk-Weighted Assets Non-consolidated

Gains/Losses and Changes in Economic Value Due to Interest Rate Shocks under Internal Control Management Used by STB Regarding Interest Rate Risk in the Banking Account Non-consolidated

Overall Amounts of Interest Rate Risk Japanese Yen Interest Rates U.S. Dollar Interest Rates Other Interest Rates

Outlier Ratios

• Outlier ratios

20112012

Millions of Yen

¥ 65,508

—

63,104

2,403

3.3%

¥ 15,675

8,569

4,832

2,273

0.8%

Notes: 1. STB’s interest rate fluctuation scenario assumes an interest rate shock consisting of the 1st and 99th percentile of the fluctuation range measured for a one year hold-ing period and a minimum observation period of five years.

2. Our risk measurement method uses the interest rate sensitivity approach. Core deposits are defined as the lowest of the following three items, as an upper limit, fora five-year maturity (an average remaining term of 2.5 years): 1) the lowest balance of deposits in the past five years, 2) the balance after deducting the maximumannual outflow of deposits in the past five years from the current balance of deposits, or 3) the amount equivalent to 50% of the current balance of deposits.

As of March 31

Note: Exposures subject to the calculation of credit risk-weighted assets are shown.

2011

Aggregate Sum of Exposures Held in Funds Look-through Approach Simple Majority Formula Investment Criteria Formula Internal Model Approach Probability Approach Others

¥ 170,739

118,329

36,638

—

—

13,086

2,685

Millions of Yen

2012

¥ 217,140

162,307

38,136

—

—

14,950

1,746

As of March 31

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