Fair Value | FAIR VALUE For a discussion and explanation of the MUFG Group’s valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. During the six months ended September 30, 2022, there were no changes to the MUFG Group’s valuation methodologies that had a material impact on the MUFG Group’s financial position and results of operations. Assets and Liabilities Measured at Fair Value on a Recurring Basis The following tables present the financial instruments carried at fair value by level within the fair value hierarchy as of March 31, 2022 and September 30, 2022: At March 31, 2022 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 17,170,976 ¥ 13,998,654 ¥ 797,997 ¥ 31,967,627 Debt securities Japanese national government and Japanese government agency bonds 7,927,707 344,034 — 8,271,741 Japanese prefectural and municipal bonds — 132,097 — 132,097 Foreign government and official institution bonds 7,606,345 471,163 1,711 8,079,219 Corporate bonds 3,198 2,664,869 683 2,668,750 Residential mortgage-backed securities — 6,792,386 — 6,792,386 Commercial mortgage-backed securities — 7,402 — 7,402 Asset-backed securities — 1,210,875 315,231 1,526,106 Other debt securities — — 313,166 313,166 Commercial paper — 1,271,921 — 1,271,921 Equity securities (2) 1,633,726 1,103,907 167,206 2,904,839 Trading derivative assets 201,860 10,204,531 115,040 10,521,431 Interest rate contracts 121,584 5,268,790 54,309 5,444,683 Foreign exchange contracts 2,514 4,788,739 9,560 4,800,813 Equity contracts 77,762 47,207 25,979 150,948 Commodity contracts — 88 21,984 22,072 Credit derivatives — 99,707 2,808 102,515 Other (7) — — 400 400 Investment securities: Available-for-sale debt securities 32,672,696 12,912,810 212,936 45,798,442 Japanese national government and Japanese government agency bonds 30,989,319 3,338,445 — 34,327,764 Japanese prefectural and municipal bonds — 4,146,144 — 4,146,144 Foreign government and official institution bonds 1,683,377 936,076 11,890 2,631,343 Corporate bonds — 1,087,059 3,089 1,090,148 Residential mortgage-backed securities — 900,392 15 900,407 Asset-backed securities — 1,464,041 124,379 1,588,420 Other debt securities — 30,016 73,563 103,579 Commercial paper — 1,010,637 — 1,010,637 Equity securities 4,834,102 152,041 55,883 5,042,026 Marketable equity securities 4,834,102 152,041 — 4,986,143 Nonmarketable equity securities (3) — — 55,883 55,883 Other (4) 1,434,046 38,574 4,912 1,477,532 Assets held for sale 421,450 2,791,372 78,521 3,291,343 Investment securities 409,618 2,713,377 65,262 3,188,257 Other 11,832 77,995 13,259 103,086 Total ¥ 56,735,130 ¥ 40,097,982 ¥ 1,265,289 ¥ 98,098,401 At March 31, 2022 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 57,371 ¥ 2,455 ¥ — ¥ 59,826 Trading derivative liabilities 217,570 10,697,699 43,951 10,959,220 Interest rate contracts 19,841 5,615,033 16,816 5,651,690 Foreign exchange contracts 4,017 4,901,054 2,097 4,907,168 Equity contracts 193,712 80,806 2,559 277,077 Commodity contracts — — 22,029 22,029 Credit derivatives — 100,806 79 100,885 Other (7) — — 371 371 Obligation to return securities received as collateral (5) 6,670,482 155,733 — 6,826,215 Other (6) — 525,135 16,463 541,598 Liabilities held for sale 852 50,744 1,603 53,199 Other 852 50,744 1,603 53,199 Total ¥ 6,946,275 ¥ 11,431,766 ¥ 62,017 ¥ 18,440,058 At September 30, 2022 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 14,646,970 ¥ 15,320,546 ¥ 1,224,931 ¥ 31,192,447 Debt securities Japanese national government and Japanese government agency bonds 7,642,083 338,856 — 7,980,939 Japanese prefectural and municipal bonds — 133,683 — 133,683 Foreign government and official institution bonds 5,946,406 570,711 1,271 6,518,388 Corporate bonds 2,697 2,630,231 — 2,632,928 Residential mortgage-backed securities — 6,697,130 — 6,697,130 Commercial mortgage-backed securities — 13,296 — 13,296 Asset-backed securities — 1,463,922 696,378 2,160,300 Other debt securities — — 358,152 358,152 Commercial paper — 2,228,399 — 2,228,399 Equity securities (2) 1,055,784 1,244,318 169,130 2,469,232 Trading derivative assets 215,676 16,233,426 75,057 16,524,159 Interest rate contracts 131,421 7,017,623 14,920 7,163,964 Foreign exchange contracts 2,822 9,040,047 10,385 9,053,254 Equity contracts 81,433 94,454 27,090 202,977 Commodity contracts — 9 18,135 18,144 Credit derivatives — 81,293 3,870 85,163 Other (7) — — 657 657 Investment securities: Available-for-sale debt securities 30,609,047 12,360,105 272,294 43,241,446 Japanese national government and Japanese government agency bonds 28,582,282 3,400,486 — 31,982,768 Japanese prefectural and municipal bonds — 3,936,890 — 3,936,890 Foreign government and official institution bonds 2,026,765 1,002,513 — 3,029,278 Corporate bonds — 1,047,754 6,279 1,054,033 Residential mortgage-backed securities — 978,365 15 978,380 Asset-backed securities — 1,714,336 182,418 1,896,754 Other debt securities — 188,757 83,582 272,339 Commercial Paper — 91,004 — 91,004 Equity securities 4,360,147 133,468 68,620 4,562,235 Marketable equity securities 4,360,147 132,453 — 4,492,600 Nonmarketable equity securities (3) — 1,015 68,620 69,635 Other (4) 1,166,466 54,127 96,161 1,316,754 Assets held for sale 509,597 2,927,191 85,301 3,522,089 Investment securities 505,221 2,832,178 63,796 3,401,195 Other 4,376 95,013 21,505 120,894 Total ¥ 51,507,903 ¥ 47,028,863 ¥ 1,822,364 ¥ 100,359,130 At September 30, 2022 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 167,804 ¥ 8,681 ¥ — ¥ 176,485 Trading derivative liabilities 156,629 17,420,335 50,175 17,627,139 Interest rate contracts 25,850 8,323,000 23,447 8,372,297 Foreign exchange contracts 902 8,920,538 2,986 8,924,426 Equity contracts 129,877 72,175 5,254 207,306 Commodity contracts — — 18,161 18,161 Credit derivatives — 104,622 49 104,671 Other (7) — — 278 278 Obligation to return securities received as collateral (5) 6,460,545 217,604 73,595 6,751,744 Other (6) — 248,171 121,484 369,655 Liabilities held for sale 176 128,777 676 129,629 Other 176 128,777 676 129,629 Total ¥ 6,785,154 ¥ 18,023,568 ¥ 245,930 ¥ 25,054,652 Notes: (1) Includes securities measured under the fair value option. (2) Excludes certain investments valued at net asset value of private equity funds whose fair values at March 31, 2022 were ¥179,278 million and those at September 30, 2022 were ¥218,043 million, respectively. The amounts of unfunded commitments related to these private equity funds at March 31, 2022 were ¥110,360 million, and those at September 30, 2022 were ¥178,960 million, respectively. For the nature and details of these investments, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. (3) Excludes certain investments valued at net asset value of real estate funds and private equity and other funds whose fair values at March 31, 2022 were ¥30,142 million and ¥39,462 million, respectively, and those at September 30, 2022 were ¥31,224 million and ¥41,327 million, respectively. The amounts of unfunded commitments related to these real estate funds and private equity and other funds at March 31, 2022 were ¥1,011 million and nil, respectively, and those at September 30, 2022 were ¥1,154 million and nil, respectively. For the nature and details of these investments, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. (4) Mainly comprises securities received as collateral that may be sold or repledged under securities lending transactions and money in trust for segregating cash deposited by customers on security transactions. (5) Included in Other liabilities. (6) Includes other short-term borrowings, long-term debt, bifurcated embedded derivatives carried at fair value and derivative liabilities designated as hedging instruments. (7) Includes certain derivatives such as earthquake derivatives. Changes in Level 3 Recurring Fair Value Measurements The following tables present a reconciliation of the assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the six months ended September 30, 2021 and 2022. The determination to classify a financial instrument within Level 3 is based upon the significance of the unobservable inputs to overall fair value measurement. However, Level 3 financial instruments typically include, in addition to the unobservable or Level 3 input, observable inputs (inputs that are actively quoted and can be validated to external sources). Accordingly, the gains and losses in the tables below include changes in fair value due in part to observable inputs used in the valuation techniques. Total gains (losses) Change in unrealized gains (losses) for assets and liabilities still held at September 30, 2021 March 31, 2021 Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, 2021 (10) (in millions) Assets Trading account assets: Trading securities (1) ¥ 756,413 ¥ 4,592 (2) ¥ — ¥ 268,583 ¥ — ¥ (71,430) ¥ (259,220) ¥ 660 ¥ — ¥ 699,598 ¥ 4,423 (2) Debt securities Foreign government and official institution bonds 1,280 210 — 28,427 — (28,469) (15) — — 1,433 (16) Corporate bonds 77 (69) — 125 — (100) — 650 — 683 (69) Residential mortgage-backed securities 1,000 (2) — 41,844 — (42,823) (19) — — — — Asset-backed securities 336,811 4,193 — 166,760 — — (251,750) — — 256,014 5,297 Other debt securities 277,635 2,317 — — — — — — — 279,952 2,317 Equity securities 139,610 (2,057) — 31,427 — (38) (7,436) 10 — 161,516 (3,106) Trading derivatives—net 25,027 17,711 (2) 1,113 36 (355) — (9,069) (463) (5,524) 28,476 15,161 (2) Interest rate contracts—net 14,179 3,916 653 — — — 2,634 8 198 21,588 3,764 Foreign exchange contracts—net 7,283 302 147 21 — — 773 (471) (5,857) 2,198 369 Equity contracts—net 623 13,378 319 15 — — (12,327) — 135 2,143 10,907 Commodity contracts—net (63) 16 (6) — — — — — — (53) 16 Credit derivatives—net 2,271 113 — — — — (149) — — 2,235 113 Other—net (9) 734 (14) — — (355) — — — — 365 (8) Investment securities: Available-for-sale debt securities 289,616 (618) (3) 22,746 118,700 — — (170,482) 15,653 (110) 275,505 7,452 (3) Foreign government and official institution bonds 16,718 — 1,104 4,805 — — (5,159) — — 17,468 (30) Corporate bonds 162 (326) 68 557 — — (57) 2,854 (110) 3,148 (261) Residential mortgage-backed securities 15 — — — — — — — — 15 — Commercial mortgage-backed securities 1,599 — 104 — — — (524) — — 1,179 9 Asset-backed securities 136,920 (292) 8,690 113,311 — — (141,823) — — 116,806 3,495 Other debt securities 134,202 — 12,780 27 — — (22,919) 12,799 (8) — 136,889 4,239 Equity securities 45,569 2,588 (3) — 3,602 — (1,317) — 130 (422) 50,150 1,614 (3) Nonmarketable equity securities 45,569 2,588 — 3,602 — (1,317) — 130 (422) 50,150 1,614 Other 18,784 (1,383) (7) 986 1,758 — (4,523) (57) — (21) 15,544 (1,382) (7) Total ¥ 1,135,409 ¥ 22,890 ¥ 24,845 ¥ 392,679 ¥ (355) ¥ (77,270) ¥ (438,828) ¥ 15,980 ¥ (6,077) ¥ 1,069,273 ¥ 27,268 Liabilities Other ¥ (2,212) ¥ (8,176) (4) ¥ (2,341) ¥ — ¥ 8,145 ¥ — ¥ (12,450) ¥ 6,809 (6) ¥ (7,233) (6) ¥ 3,576 ¥ (2,656) (4) Total ¥ (2,212) ¥ (8,176) ¥ (2,341) ¥ — ¥ 8,145 ¥ — ¥ (12,450) ¥ 6,809 ¥ (7,233) ¥ 3,576 ¥ (2,656) Total gains (losses) Change in unrealized gains (losses) for assets and liabilities still held at September 30, 2022 March 31, Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, 2022 (in millions) Assets Trading account assets: Trading securities (1) ¥ 797,997 ¥ 125,172 (2) ¥ — ¥ 333,302 ¥ — ¥ (21,408) ¥ (9,255) ¥ — ¥ (877) ¥ 1,224,931 ¥ 121,950 (2) Debt securities Foreign government and official institution bonds 1,711 57 — 5,712 — (5,765) (250) — (194) 1,271 5 Corporate bonds 683 — — — — — — — (683) — — Asset-backed securities 315,231 72,667 — 324,375 — (15,636) (259) — — 696,378 71,580 Other debt securities 313,166 44,986 — — — — — — — 358,152 44,986 Equity securities 167,206 7,462 — 3,215 — (7) (8,746) — — 169,130 5,379 Trading derivatives—net 71,089 (24,159) (2) 1,775 612 (334) — (19,889) 20,791 (25,003) 24,882 (21,160) (2) Interest rate contracts—net 37,493 (39,744) 30 — — — (1,901) 20,612 (5) (25,017) (5) (8,527) (33,999) Foreign exchange contracts—net 7,463 3,509 392 — — — (4,200) 179 56 7,399 1,705 Equity contracts—net 23,420 10,723 1,355 19 — — (13,639) — (42) 21,836 9,785 Commodity contracts—net (45) 26 (2) — — — (5) — — (26) 27 Credit derivatives—net 2,729 1,236 — — — — (144) — — 3,821 1,232 Other—net (9) 29 91 — 593 (334) — — — — 379 90 Investment securities: Available-for-sale debt securities 212,936 (1,096) (3) 30,227 170,610 — — (141,788) 1,405 — 272,294 23,794 (3) Foreign government and official institution bonds 11,890 — (925) 128 — — (11,093) — — — — Corporate bonds 3,089 (42) 210 1,824 — — (57) 1,255 — 6,279 165 Residential mortgage-backed securities 15 — — — — — — — — 15 — Asset-backed securities 124,379 (1,125) 21,490 168,312 — — (130,638) — — 182,418 14,106 Other debt securities 73,563 71 9,452 346 — — — 150 — 83,582 9,523 Equity securities 55,883 1,881 (3) 495 9,884 — (1,336) (806) 2,855 (236) 68,620 1,737 (3) Nonmarketable equity securities 55,883 1,881 495 9,884 — (1,336) (806) 2,855 (236) 68,620 1,737 Other 4,912 357 (7) (3) 89,081 — — (111) 1,925 — 96,161 357 (7) Assets held for sale 76,918 3,928 (11) 13,071 1,120 — (1,158) (9,254) — — 84,625 15,113 (11) Investment securities 65,262 (1,261) 10,114 93 — (1,158) (9,254) — — 63,796 7,456 Other 11,656 5,189 2,957 1,027 — — — — — 20,829 7,657 Total ¥ 1,219,735 ¥ 106,083 ¥ 45,565 ¥ 604,609 ¥ (334) ¥ (23,902) ¥ (181,103) ¥ 26,976 ¥ (26,116) ¥ 1,771,513 ¥ 141,791 Liabilities Obligation to return securities received as collateral ¥ — ¥ — ¥ — ¥ — ¥ 73,595 ¥ — ¥ — ¥ — ¥ — ¥ 73,595 ¥ — Other 16,463 54,070 (4) (10,269) — 54,527 — (19,043) 116,892 (6) (3,554) (6) 121,484 58,483 (4) Total ¥ 16,463 ¥ 54,070 ¥ (10,269) ¥ — ¥ 128,122 ¥ — ¥ (19,043) ¥ 116,892 ¥ (3,554) ¥ 195,079 ¥ 58,483 Notes: (1) Includes Trading securities measured under the fair value option. (2) Included in Trading account profits (losses)—net and Foreign exchange gains (losses)—net. (3) Included in Investment securities gains (losses)—net and Other comprehensive income (loss), net of tax—net. (4) Included in Trading account profits (losses)—net. (5) For the six months ended September 30, 2022, transfers into Level 3 for Interest rate contracts—net were mainly caused by changes in the impact of unobservable input to the entire fair value measurement. Unobservable inputs include loss given default. Transfers out of Level 3 for Interest rate contracts—net were mainly caused by changes in the impact of unobservable inputs to the fair value measurement of the multi-callable swaps. (6) Transfers into (out of) Level 3 for long-term debt in Other were mainly caused by the decrease (increase) in the observability of the key inputs to the valuation models and a corresponding increase (decrease) in the significance of the unobservable inputs. (7) Included in Fees and commissions income and Other non-interest income. (8) Transfers relate to the reclassification of certain securities. (9) Includes certain derivatives such as earthquake derivatives. (10) Fair value amounts in this table include those relating to transferred business of MUFG Union Bank, such as Available-for-sale debt securities of ¥67,266 million and Other of ¥12,053 million, which are included in Other assets, in the accompanying condensed consolidated balance sheets at September 30, 2021. See Note 2 for more information. (11) Included in Investment securities gains (losses)—net, Trading account profits (losses)—net, Fees and commissions income and Other comprehensive income (loss), net of tax—net. Quantitative Information about Level 3 Fair Value Measurements The following tables present information on the valuation techniques, significant unobservable inputs and their ranges for each major category of assets and liabilities measured at fair value on a recurring basis and classified in Level 3: At March 31, 2022 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities, Investment securities and Other assets: Foreign government and official institution bonds ¥ 17,297 Return on equity method Probability of default 0.2 % ~ 1.8 % 0.5 % Recovery rate 35.0 % ~ 70.0 % 64.4 % Market-required return on capital 10.0% 10.0 % Residential mortgage-backed securities, Commercial mortgage-backed securities and Asset-backed securities 98,325 Discounted cash flow Recovery rate 100.0% 100.0 % 238,864 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 0.6 % ~ 1.0 % 0.9 % Prepayment rate 29.0% 29.0 % Probability of default 0.0 % ~ 85.4 % — (3) Recovery rate 69.9% 69.9 % Other debt securities 369,445 Discounted cash flow Liquidity premium 0.9 % ~ 3.2 % 2.8 % 58,677 Return on equity method Probability of default 0.1 % ~ 8.0 % 0.4 % Recovery rate 60.0 % ~ 90.0 % 82.7 % Market-required return on capital 8.0 % ~ 10.0 % 9.9 % At March 31, 2022 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net 35,195 Option model Correlation between interest rates 30.0 % ~ 62.9 % 45.6 % Correlation between interest rate and foreign exchange rate 15.3 % ~ 60.0 % 41.0 % Volatility 0.0 % ~ 100.0 % 61.9 % Foreign exchange contracts—net 7,463 Option model Correlation between interest rates 10.0 % ~ 70.0 % 51.5 % Correlation between interest rate and foreign exchange rate 0.0 % ~ 60.0 % 37.4 % Correlation between foreign exchange rates 50.0 % ~ 70.6 % 66.4 % Volatility 9.0 % ~ 21.7 % 13.3 % Equity contracts—net 772 Option model Correlation between foreign exchange rate and equity (58.4) % ~ 55.0 % 23.1 % Correlation between equities 2.4 % ~ 95.0 % 51.4 % Volatility 26.0 % ~ 38.0 % 31.8 % 22,648 Discounted cash flow Term of litigation 1.8 years 1.8 years At September 30, 2022 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities, Investment securities and Other assets: Foreign government and official institution bonds ¥ 5,835 Return on equity method Probability of default 0.6 % ~ 1.8 % 0.7 % Recovery rate 35.0 % ~ 80.0 % 70.9 % Market-required return on capital 8.0 % ~ 10.0 % 10.0 % Residential mortgage-backed securities, Commercial mortgage-backed securities and Asset-backed securities 97,896 Discounted cash flow Recovery rate 100.0% 100.0 % 612,726 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 1.0 % ~ 1.7 % 1.5 % Prepayment rate 18.1% 18.1 % Probability of default 0.0 % ~ 99.0 % — (3) Recovery rate 69.3% 69.3 % Other debt securities 423,731 Discounted cash flow Liquidity premium 0.8 % ~ 3.2 % 2.8 % 57,962 Return on equity method Probability of default 0.1 % ~ 2.3 % 0.4 % Recovery rate 70.0 % ~ 90.0 % 84.2 % Market-required return on capital 8.0 % ~ 10.0 % 9.2 % At September 30, 2022 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net (8,527) Option model Correlation between interest rates 30.0 % ~ 64.9 % 45.8 % Correlation between interest rate and foreign exchange rate 16.3 % ~ 60.0 % 41.1 % Volatility 58.5 % ~ 80.3 % 66.5 % Foreign exchange contracts—net 7,399 Option model Correlation between interest rates 30.0 % ~ 70.0 % 56.7 % Correlation between interest rate and foreign exchange rate 0.0 % ~ 60.0 % 38.0 % Correlation between foreign exchange rates 50.0 % 70.6 % 66.4 % Volatility 12.1 % ~ 25.0 % 17.0 % Equity contracts—net 3,308 Option model Correlation between foreign exchange rate and equity (58.4) % ~ 55.0 % 18.5 % Correlation between equities 4.8 % ~ 95.0 % 53.8 % Volatility 12.5 % ~ 37.0 % 22.1 % 18,528 Discounted cash flow Term of litigation 1.3 years 1.3 years Notes: (1) The fair value as of March 31, 2022 and September 30, 2022 excludes the fair value of investments valued using vendor prices. (2) Weighted average is calculated by weighing each input by the relative fair value of the respective financial instruments for investment securities. Median is used for derivative instruments. (3) See “Probability of default” in “Change in and range of unobservable inputs” in Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. (4) For further detail of Internal model, refer to the last paragraph of “Trading Account Assets and Liabilities—Trading Account Securities” in Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. Changes in and range of unobservable inputs For a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the MUFG Group’s Level 3 financial instruments, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets and liabilities may be measured at fair value on a nonrecurring basis in periods subsequent to their initial recognition. These assets are subject to fair value adjustments that result from the application of the lower of cost or fair value accounting, write-downs of individual assets or the measurement alternative for nonmarketable equity securities. See Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022 for further information on assets and liabilities measured at fair value on a nonrecurring basis. The following table presents the carrying value of assets measured at fair value on a nonrecurring basis by level within the fair value hierarchy as of March 31, 2022 and September 30, 2022: March 31, 2022 September 30, 2022 Level 1 Level 2 Level 3 Total carrying value Level 1 Level 2 Level 3 Total (in millions) Assets (3) Investment securities (1)(2) ¥ — ¥ 9,839 ¥ 11,158 ¥ 20,997 ¥ — ¥ 13,366 ¥ 12,744 ¥ 26,110 Loans 2,175 3,153 236,622 241,950 1,763 3,182 270,345 275,290 Loans held for sale — — 42,994 42,994 — — 73,124 73,124 Collateral dependent loans 2,175 3,153 193,628 198,956 1,763 3,182 197,221 202,166 Premises and equipment — — 17,301 17,301 — — 8,516 8,516 Intangible assets — — 359 359 — — 259 259 Other assets 11,880 — 17,282 29,162 178,592 — 17,861 196,453 Investments in equity method investees (1) 11,880 — 1,035 12,915 178,592 — 1,230 179,822 Other — — 16,247 16,247 — — 16,631 16,631 Assets held for sale — — 255,002 255,002 — — 5,973,073 5,973,073 Loan held for sale — — 255,002 255,002 — — 5,973,073 5,973,073 Total ¥ 14,055 ¥ 12,992 ¥ 537,724 ¥ 564,771 ¥ 180,355 ¥ 16,548 ¥ 6,282,798 ¥ 6,479,701 Notes: (1) Excludes certain investments valued at net asset value of ¥26,644 million and ¥29,070 million at March 31, 2022 and September 30, 2022, respectively. The unfunded commitments related to these investments are ¥22,197 million and ¥10,775 million at March 31, 2022 and September 30, 2022, respectively. These investments are in private equity funds. For the nature and details of private equity funds, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. (2) Includes certain nonmarketable equity securities that are measured at fair value on a nonrecurring basis, including impairment and observable price change for nonmarketable equity securities measured under the measurement alternative. (3) In addition to the above table, the assets and liabilities of MUFG Union Bank, which transferred to U.S. Bancorp, were reclassified as held for sale. As a result, the disposal group was measured at the lower of carrying value or fair value less costs to sell. The amount of the lower of carrying value or fair value less costs to sell are ¥1,992,632 million and ¥2,136,237 million as of March 31, 2022 and September 30, 2022, respectively and classified in Level 3 based on the transaction's expected consideration. The following table presents losses (gains) recorded as a result of changes in the fair value of assets measured at fair value on a nonrecurring basis for the six months ended September 30, 2021 and 2022: Losses(gains) for the six months ended September 30, 2021 2022 (in millions) Investment securities ¥ 1,759 ¥ 505 Loans 15,777 (66) Loans held for sale 759 451 Collateral dependent loans 15,018 (517) Premises and equipment 1,660 2,579 Intangible assets 17,459 849 Other assets 17,500 50,761 Investments in equity method investees 7,020 46,928 Other 10,480 3,833 Assets held for sale — 209,107 Loan held for sale — 209,107 Total (1) ¥ 54,155 ¥ 263,735 Note: (1) In addition to the above table, the assets and liabilities of MUFG Union Bank, which transferred to U.S. Bancorp, were reclassified as held for sale. As a result, the disposal group was measured at the lower of carrying value or fair value less costs to sell. The impairment of assets held for sale of ¥134,141 million was recognized during the second half of the fiscal year ended March 31, 2022. However, the fair value less cost to sell exceeded the carrying value as of September 30, 2022, and the reversal of ¥134,141 million, which is included in Reversal of impairment of assets held for sale in the consolidated statements of operations through the six months ended September 30, 2022, was recognized. Fair Value Option For a discussion of the primary financial instruments for which the fair value option was previously elected, including the basis for those, see Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2022. The following table presents the gains or losses recorded for the six months ended September 30, 2021 and 2022 related to the eligible instruments for which the MUFG Group elected the fair value option: Six months ended September 30, 2021 2022 Trading account profits (losses) Foreign exchange gains (losses) Total changes in fair value Trading account profits (losses) Foreign exchange gains (losses) Total changes in fair value (in millions) Financial assets: Trading account securities ¥ 41,324 ¥ 121,942 ¥ 163,266 ¥ (1,434,189) ¥ 2,339,864 ¥ 905,675 Total ¥ 41,324 ¥ 121,942 ¥ 163,266 ¥ (1,434,189) ¥ 2,339,864 ¥ 905,675 Financial liabilities: Other short-term borrowings (1) ¥ 4,383 ¥ — ¥ 4,383 ¥ (3,295) ¥ — ¥ (3,295) Long-term debt (1) 32,402 — 32,402 57,444 — 57,444 Total ¥ 36,785 ¥ — ¥ 36,785 ¥ 54,149 ¥ — ¥ 54,149 Note: (1) Change in value attributable to the instrument-specific credit risk related to those financial liabilities are not material. The following table presents the differences between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of March 31, 2022 and September 30, 2022 for long-term debt instruments for which the fair value option has been elected: March 31, 2022 September 30, 2022 Remaining aggregate contractual amounts outstanding Fair value Fair value over (under) remaining aggregate contractual amounts outstanding Remaining aggregate contractual amounts outstanding Fair value Fair value over (under) remaining aggregate contractual amounts outstanding (in millions) Financial liabilities: Long-term debt ¥ 511,851 ¥ 483,051 ¥ (28,800) ¥ 525,683 ¥ 450,403 ¥ (75,280) Total ¥ 511,851 ¥ 483,051 ¥ (28,800) ¥ 525,683 ¥ 450,403 ¥ (75,280) Interest income and expense related to the assets and liabilities for which the fair value option is elected are measured based on the contractual rates and dividend income related to these assets are recognized when the shareholder right to receive the dividend is established. These interest income and expense and dividend income are reported in the accompanying condensed consolidated statements of operations as either interest income or expense, depending on the nature of the related asset or liability. Estimated Fair Value of Financial Instruments The following is a summary of carrying amounts and estimated fair values by level within the fair value hierarchy of financial instruments which are not carried at fair value on a recurring basis in the accompanying condensed consolidated balance sheets as of March 31, 2022 and September 30, 2022: At March 31, 2022 Carrying amount Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 50,972 ¥ 50,972 ¥ 50,972 ¥ — ¥ — Interest-earning deposits in other banks 58,848 58,848 — 58,848 — Call loans and funds sold 1,316 1,316 — 1,316 — Receivables under resale agreements 12,503 12,503 — 12,503 — Receivables under securities borrowing transactions 4,496 4,496 — 4,496 — Investment securities 4,595 4,606 1,758 460 2,388 Loans, net of allowance for credit losses (1) 111,669 112,391 2 245 112,144 Other financial assets (2) 9,207 9,207 — 9,207 — Financial liabilities: Deposits Non-interest-bearing ¥ 36,496 ¥ 36,496 ¥ — ¥ 36,496 ¥ — Interest-bearing 188,112 188,080 — 188,080 — Total deposits 224,608 224,576 — 224,576 — Call money and funds purchased 2,416 2,416 — 2,416 — Payables under repurchase agreements 27,726 27,726 — 27,726 — Payables under securities lending transactions 1,022 1,022 — 1,022 — Due to trust account and other short-term borrowings 22,728 22,728 — 22,728 — Long-term debt 34,245 33,974 — 33,974 — Other financial liabilities 7,560 7,560 — 7,560 — At September 30, 2022 Carrying Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 51,856 ¥ 51,856 ¥ 51,856 ¥ — ¥ — Interest-earning deposits in other banks 49,828 49,828 — 49,828 — Call loans and funds sold 1,615 1,615 — 1,615 — Receivables under resale agreements 13,384 13,384 — 13,384 — Receivables under securities borrowing transactions 4,487 4,487 — 4,487 — Investment securities 13,847 13,630 7,219 3,748 2,663 Loans, net of allowance for credit losses (1) 121,673 122,041 2 285 121,754 Other financial assets (2) 10,244 10,244 — 10,244 — Financial liabilities: Deposits Non-interest-bearing ¥ 36,289 ¥ 36,289 ¥ — ¥ 36,289 ¥ — Interest-bearing 194,938 194,926 — 194,926 — Total deposits 231,227 231,215 — 231,215 — Call money and funds purchased 3,452 3,452 — 3,452 — Payables under repurchase agreements 34,638 34,638 — 34,638 — Payables under securities lending transactions 902 902 — 902 — Due to trust account and other short-term borrowings 12,776 12,776 — 12,776 — Long-term debt 37,014 35,981 — 35,927 54 Other financial liabilities 9,749 9,749 — 9,749 — Notes: (1) Includes loans held for sale and collateral dependent loans measured at fair value on a nonrecurring basis. Refer to “Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis” for the details of the level classification. (2) Excludes investments in equity method investees of ¥3,067 billion and ¥3,722 billion at March 31, 2022 and September 30, 2022, respectively. The fair values of certain off-balance sheet financial instruments held for purposes other than trading, including commitments to extend credit and commercial letters of credit, are estimated using the fees currently charged to enter into similar agreements, taking into account the remaining terms of the agreements and the credit quality. The aggregate fair value of such instruments at March 31, 2022 and September 30, 2022 was not material. |