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, 2023. During the six months ended September 30, 2023, 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, 2023 and September 30, 2023: At March 31, 2023 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 19,098,208 ¥ 12,746,415 ¥ 1,182,319 ¥ 33,026,942 Debt securities Japanese national government and Japanese government agency bonds 6,092,523 329,502 — 6,422,025 Japanese prefectural and municipal bonds — 279,168 — 279,168 Foreign government and official institution bonds 11,760,274 493,691 1,168 12,255,133 Corporate bonds 3,965 2,252,424 — 2,256,389 Residential mortgage-backed securities — 4,978,709 — 4,978,709 Commercial mortgage-backed securities — 4,627 — 4,627 Asset-backed securities — 1,210,381 668,911 1,879,292 Other debt securities — — 334,124 334,124 Commercial paper — 1,931,569 — 1,931,569 Equity securities (2) 1,241,446 1,266,344 178,116 2,685,906 Trading derivative assets 84,406 12,674,978 142,343 12,901,727 Interest rate contracts 40,013 7,311,689 93,833 7,445,535 Foreign exchange contracts 3,909 5,258,511 13,714 5,276,134 Equity contracts 40,484 28,617 20,659 89,760 Commodity contracts — 17 9,908 9,925 Credit derivatives — 76,144 3,801 79,945 Other (8) — — 428 428 Trading loans (3) — 13,820 — 13,820 Investment securities: Available-for-sale debt securities 25,236,359 10,250,511 253,932 35,740,802 Japanese national government and Japanese government agency bonds 23,292,055 2,754,548 — 26,046,603 Japanese prefectural and municipal bonds — 2,759,941 — 2,759,941 Foreign government and official institution bonds 1,944,304 978,438 — 2,922,742 Corporate bonds — 1,056,191 1,970 1,058,161 Residential mortgage-backed securities — 1,110,239 15 1,110,254 Asset-backed securities — 1,247,377 182,938 1,430,315 Other debt securities — 343,777 69,009 412,786 Equity securities 4,362,017 101,576 74,761 4,538,354 Marketable equity securities 4,362,017 101,576 — 4,463,593 Nonmarketable equity securities (4) — — 74,761 74,761 Other (5) 1,535,446 848,596 92,251 2,476,293 Total ¥ 50,316,436 ¥ 36,635,896 ¥ 1,745,606 ¥ 88,697,938 At March 31, 2023 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 232,287 ¥ 2,620 ¥ — ¥ 234,907 Trading derivative liabilities 163,129 13,718,992 61,247 13,943,368 Interest rate contracts 85,641 8,566,043 45,204 8,696,888 Foreign exchange contracts 1,679 5,013,909 2,369 5,017,957 Equity contracts 75,809 48,953 3,731 128,493 Commodity contracts — — 9,817 9,817 Credit derivatives — 90,087 62 90,149 Other (8) — — 64 64 Obligation to return securities received as collateral (6) 6,664,578 158,763 68,204 6,891,545 Other (7) — 313,482 73,663 387,145 Total ¥ 7,059,994 ¥ 14,193,857 ¥ 203,114 ¥ 21,456,965 At September 30, 2023 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 15,816,502 ¥ 14,709,285 ¥ 1,816,498 ¥ 32,342,285 Debt securities Japanese national government and Japanese government agency bonds 6,491,075 497,522 — 6,988,597 Japanese prefectural and municipal bonds — 211,107 — 211,107 Foreign government and official institution bonds 7,754,392 792,052 150 8,546,594 Corporate bonds — 2,660,321 — 2,660,321 Residential mortgage-backed securities — 5,585,266 — 5,585,266 Asset-backed securities — 1,246,481 1,118,759 2,365,240 Other debt securities — 2,135 517,349 519,484 Commercial paper — 2,428,377 — 2,428,377 Equity securities (2) 1,571,035 1,286,024 180,240 3,037,299 Trading derivative assets 143,551 18,330,520 71,219 18,545,290 Interest rate contracts 55,656 11,071,557 23,369 11,150,582 Foreign exchange contracts 4,661 7,159,046 11,989 7,175,696 Equity contracts 83,234 50,814 15,589 149,637 Commodity contracts — 476 18,548 19,024 Credit derivatives — 48,610 1,449 50,059 Other (8) — 17 275 292 Trading loans (3) — 22,996 — 22,996 Investment securities: Available-for-sale debt securities 23,749,188 8,281,883 341,708 32,372,779 Japanese national government and Japanese government agency bonds 21,647,505 2,158,975 — 23,806,480 Japanese prefectural and municipal bonds — 1,435,996 — 1,435,996 Foreign government and official institution bonds 2,101,683 1,045,758 — 3,147,441 Corporate bonds — 994,968 2,193 997,161 Residential mortgage-backed securities — 1,190,307 15 1,190,322 Asset-backed securities — 1,060,851 272,720 1,333,571 Other debt securities — 395,028 66,780 461,808 Equity securities 4,934,283 81,667 82,488 5,098,438 Marketable equity securities 4,934,283 81,568 — 5,015,851 Nonmarketable equity securities (4) — 99 82,488 82,587 Other (5) 854,305 962,406 120,275 1,936,986 Total ¥ 45,497,829 ¥ 42,388,757 ¥ 2,432,188 ¥ 90,318,774 At September 30, 2023 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 81,006 ¥ 6,877 ¥ — ¥ 87,883 Trading derivative liabilities 106,471 20,064,626 56,184 20,227,281 Interest rate contracts 28,508 12,746,145 34,249 12,808,902 Foreign exchange contracts 4,886 7,195,310 2,290 7,202,486 Equity contracts 73,077 51,854 530 125,461 Commodity contracts — — 18,592 18,592 Credit derivatives — 71,307 252 71,559 Other (8) — 10 271 281 Obligation to return securities received as collateral (6) 6,602,613 219,257 73,257 6,895,127 Other (7) — 268,535 28,932 297,467 Total ¥ 6,790,090 ¥ 20,559,295 ¥ 158,373 ¥ 27,507,758 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, 2023 were ¥225,972 million and those at September 30, 2023 were ¥267,084 million, respectively. The amounts of unfunded commitments related to these private equity funds at March 31, 2023 were ¥172,562 million, and those at September 30, 2023 were ¥230,396 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, 2023. (3) Includes loans measured under the fair value option. (4) Excludes certain investments valued at net asset value of real estate funds and private equity and other funds whose fair values at March 31, 2023 were ¥29,308 million and ¥51,458 million, respectively, and those at September 30, 2023 were ¥32,322 million and ¥57,383 million, respectively. The amounts of unfunded commitments related to these real estate funds and private equity and other funds at March 31, 2023 were ¥1,305 million and nil, respectively, and those at September 30, 2023 were ¥1,018 million and ¥250 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, 2023. (5) Mainly comprises securities received as collateral that may be sold or repledged under securities lending transactions. (6) Included in Other liabilities. (7) Mainly includes other short-term borrowings, long-term debt and bifurcated embedded derivatives carried at fair value. (8) 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, 2022 and 2023. 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, 2022 March 31, 2022 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 (8) 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 (9) 13,071 1,120 — (1,158) (9,254) — — 84,625 15,113 (9) 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 Total gains (losses) Change in unrealized gains (losses) for assets and liabilities still held at September 30, 2023 March 31, Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, 2023 (in millions) Assets Trading account assets: Trading securities (1) ¥ 1,182,319 ¥ 149,674 (2) ¥ — ¥ 494,881 ¥ — ¥ (626) ¥ (9,895) ¥ 145 ¥ — ¥ 1,816,498 ¥ 148,307 (2) Debt securities Foreign government and official institution bonds 1,168 122 — 7 — (7) (1,140) — — 150 (1) Asset-backed securities 668,911 108,122 — 345,917 — — (4,191) — — 1,118,759 107,898 Other debt securities 334,124 42,225 — 141,000 — — — — — 517,349 42,225 Equity securities 178,116 (795) — 7,957 — (619) (4,564) 145 — 180,240 (1,815) Trading derivatives—net 81,096 (12,416) (2) 1,836 4 (355) — (10,117) 10,271 (55,284) 15,035 (14,426) (2) Interest rate contracts—net 48,629 (16,890) (1,036) — — — 1,267 10,595 (5) (53,445) (5) (10,880) (18,757) Foreign exchange contracts—net 11,345 (2,797) 999 — — — 417 (324) 59 9,699 (2,220) Equity contracts—net 16,928 8,065 1,874 4 — — (11,696) — (116) 15,059 7,327 Commodity contracts—net 91 (128) (1) — — — (6) — — (44) (128) Credit derivatives—net 3,739 (661) — — — — (99) — (1,782) 1,197 (648) Other—net (8) 364 (5) — — (355) — — — — 4 — Investment securities: Available-for-sale debt securities 253,932 1,677 (3) 20,568 205,826 — — (140,321) 26 — 341,708 18,299 (3) Corporate bonds 1,970 (2) 203 — — — (4) 26 — 2,193 201 Residential mortgage-backed securities 15 — — — — — — — — 15 — Asset-backed securities 182,938 1,597 15,841 205,611 — — (133,267) — — 272,720 13,492 Other debt securities 69,009 82 4,524 215 — — (7,050) — — 66,780 4,606 Equity securities 74,761 3,385 (3) 408 5,870 — (1,474) — — (462) 82,488 2,503 (3) Nonmarketable equity securities 74,761 3,385 408 5,870 — (1,474) — — (462) 82,488 2,503 Other 92,251 (37) (7) 154 27,955 — — (48) — — 120,275 (37) (7) Total ¥ 1,684,359 ¥ 142,283 ¥ 22,966 ¥ 734,536 ¥ (355) ¥ (2,100) ¥ (160,381) ¥ 10,442 ¥ (55,746) ¥ 2,376,004 ¥ 154,646 Liabilities Obligation to return securities received as collateral ¥ 68,204 ¥ — ¥ — ¥ — ¥ 5,053 ¥ — ¥ — ¥ — ¥ — ¥ 73,257 ¥ — Other 73,663 (24,475) (4) (5,791) — 23,080 — (54,619) 5,147 (6) (48,605) (6) 28,932 (6,980) (4) Total ¥ 141,867 ¥ (24,475) ¥ (5,791) ¥ — ¥ 28,133 ¥ — ¥ (54,619) ¥ 5,147 ¥ (48,605) ¥ 102,189 ¥ (6,980) Notes: (1) Includes Trading securities measured under the fair value option. (2) Included in Trading account losses—net and Foreign exchange losses—net. (3) Included in Investment securities gains (losses)—net and Other comprehensive income (loss), net of tax. (4) Included in Trading account losses—net and Other comprehensive income (loss), net of tax. (5) For the six months ended September 30, 2022 and 2023, 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) Includes certain derivatives such as earthquake derivatives. (9) Included in Investment securities gains (losses)—net, Trading account losses—net, Fees and commissions income and Other comprehensive income (loss), net of tax. 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, 2023 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities and Investment securities: Residential mortgage-backed securities and Asset-backed securities ¥ 101,014 Discounted cash flow Recovery rate 100.0% 100.0 % 591,515 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 2.0 % ~ 2.3 % 2.0 % Prepayment rate 13.1% 13.1 % Probability of default 0.0 % ~ 99.0 % — (3) Recovery rate 72.2% 72.2 % Other debt securities 385,046 Discounted cash flow Liquidity premium 0.9 % ~ 3.2 % 2.8 % At March 31, 2023 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net 48,209 Option model Correlation between interest rates 30.0 % ~ 60.6 % 44.4 % Correlation between interest rate and foreign exchange rate 2.0 % ~ 60.0 % 36.6 % Volatility 70.3 % ~ 106.7 % 80.1 % Foreign exchange contracts—net 11,345 Option model Correlation between interest rates 30.0 % ~ 70.0 % 50.6 % Correlation between interest rate and foreign exchange rate 14.3 % ~ 60.0 % 36.8 % Correlation between foreign exchange rates 50.0 % ~ 70.6 % 66.4 % Volatility 10.6 % ~ 23.0 % 15.6 % Equity contracts—net 3,316 Option model Correlation between foreign exchange rate and equity (58.4) % ~ 55.0 % 15.0 % Correlation between equities 5.6 % ~ 95.0 % 54.1 % Volatility 28.0 % ~ 37.0 % 32.2 % 13,612 Discounted cash flow Term of litigation 0.1 years ~ 1.0 year 0.5 years At September 30, 2023 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities and Investment securities: Residential mortgage-backed securities and Asset-backed securities ¥ 111,944 Discounted cash flow Recovery rate 100.0% 100.0 % 1,031,791 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 1.8 % ~ 2.0 % 1.8 % Prepayment rate 13.9% 13.9 % Probability of default 0.0 % ~ 99.0 % — (3) Recovery rate 57.7% 57.7 % Other debt securities 565,788 Discounted cash flow Liquidity premium 0.9 % ~ 3.2 % 2.8 % At September 30, 2023 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net (10,880) Option model Correlation between interest rates 30.0 % ~ 60.3 % 43.6 % Correlation between interest rate and foreign exchange rate 1.3 % ~ 60.0 % 36.2 % Volatility 49.9 % ~ 72.2 % 69.2 % Foreign exchange contracts—net 9,699 Option model Correlation between interest rates 30.0 % ~ 70.0 % 51.0 % Correlation between interest rate and foreign exchange rate 20.0 % ~ 60.0 % 37.0 % Correlation between foreign exchange rates 50.0 % 70.6 % 66.4 % Volatility 10.6 % ~ 21.9 % 14.5 % Equity contracts—net 7,589 Option model Correlation between foreign exchange rate and equity (58.4) % ~ 30.0 % 10.0 % Correlation between equities 5.8 % ~ 95.0 % 53.1 % Volatility 28.5 % ~ 37.0 % 33.6 % 7,470 Discounted cash flow Term of litigation 0.3 years ~ 0.8 years 0.5 years Notes: (1) The fair value as of March 31, 2023 and September 30, 2023 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, 2023. (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, 2023. 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, 2023. 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, 2023 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, 2023 and September 30, 2023: March 31, 2023 September 30, 2023 Level 1 Level 2 Level 3 Total carrying value Level 1 Level 2 Level 3 Total (in millions) Assets Investment securities (1)(2) ¥ — ¥ 13,366 ¥ 13,271 ¥ 26,637 ¥ — ¥ 9,560 ¥ 44,882 ¥ 54,442 Loans 1,917 3,388 611,055 616,360 2,389 4,222 745,699 752,310 Loans held for sale — — 439,361 439,361 — — 584,558 584,558 Collateral dependent loans 1,917 3,388 171,694 176,999 2,389 4,222 161,141 167,752 Premises and equipment — — 11,835 11,835 — — 3,866 3,866 Intangible assets — — 309 309 — — 5,063 5,063 Goodwill — — 184,364 184,364 — — — — Other assets 178,592 — 29,003 207,595 — 38,152 24,622 62,774 Investments in equity method investees (1) 178,592 — 12,472 191,064 — 33,222 1,740 34,962 Other — — 16,531 16,531 — 4,930 22,882 27,812 Total ¥ 180,509 ¥ 16,754 ¥ 849,837 ¥ 1,047,100 ¥ 2,389 ¥ 51,934 ¥ 824,132 ¥ 878,455 Notes: (1) Excludes certain investments valued at net asset value of ¥33,595 million and ¥11,184 million at March 31, 2023 and September 30, 2023, respectively. The unfunded commitments related to these investments are ¥23,029 million and ¥18,170 million at March 31, 2023 and September 30, 2023, 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, 2023. (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. 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, 2022 and 2023: Losses (gains) for the six months ended September 30, 2022 2023 (in millions) Investment securities ¥ 505 ¥ 8,971 Loans (66) 44,746 Loans held for sale 451 11,096 Collateral dependent loans (517) 33,650 Premises and equipment 2,579 1,142 Intangible assets 849 11,433 Other assets 50,761 22,809 Investments in equity method investees 46,928 12,687 Other 3,833 10,122 Assets held for sale 209,107 — Loans held for sale 209,107 — Total (1) ¥ 263,735 ¥ 89,101 Note: (1) In addition to the above table, the assets and liabilities of MUFG Union Bank, which were 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, 2023. The following table presents the gains or losses recorded for the six months ended September 30, 2022 and 2023 related to the eligible instruments for which the MUFG Group elected the fair value option: Six months ended September 30, 2022 2023 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 ¥ (1,434,189) ¥ 2,339,864 ¥ 905,675 ¥ (596,477) ¥ 1,762,384 ¥ 1,165,907 Total ¥ (1,434,189) ¥ 2,339,864 ¥ 905,675 ¥ (596,477) ¥ 1,762,384 ¥ 1,165,907 Financial liabilities: Other short-term borrowings (1) ¥ (3,295) ¥ — ¥ (3,295) ¥ 2,592 ¥ — ¥ 2,592 Long-term debt (1) 57,444 — 57,444 (5,617) — (5,617) Total ¥ 54,149 ¥ — ¥ 54,149 ¥ (3,025) ¥ — ¥ (3,025) 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, 2023 and September 30, 2023 for long-term debt instruments for which the fair value option has been elected: March 31, 2023 September 30, 2023 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 ¥ 501,982 ¥ 431,338 ¥ (70,644) ¥ 363,840 ¥ 339,840 ¥ (24,000) Total ¥ 501,982 ¥ 431,338 ¥ (70,644) ¥ 363,840 ¥ 339,840 ¥ (24,000) 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, 2023 and September 30, 2023: At March 31, 2023 Carrying amount Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 60,051 ¥ 60,051 ¥ 60,051 ¥ — ¥ — Interest-earning deposits in other banks 53,990 53,990 — 53,990 — Call loans and funds sold 1,802 1,802 — 1,802 — Receivables under resale agreements 14,059 14,059 — 14,059 — Receivables under securities borrowing transactions 4,556 4,556 — 4,556 — Investment securities 21,520 21,386 13,527 5,354 2,505 Loans, net of allowance for credit losses (1) 118,679 118,933 2 263 118,668 Other financial assets (2) 10,108 10,108 — 10,108 — Financial liabilities: Deposits Non-interest-bearing ¥ 37,804 ¥ 37,804 ¥ — ¥ 37,804 ¥ — Interest-bearing 197,500 197,573 — 197,573 — Total deposits 235,304 235,377 — 235,377 — Call money and funds purchased 3,438 3,438 — 3,438 — Payables under repurchase agreements 40,132 40,132 — 40,132 — Payables under securities lending transactions 1,138 1,138 — 1,138 — Due to trust account and other short-term borrowings 14,260 14,260 — 14,260 — Long-term debt 38,704 37,928 — 37,928 — Other financial liabilities 9,595 9,595 — 9,595 — At September 30, 2023 Carrying Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 59,954 ¥ 59,954 ¥ 59,954 ¥ — ¥ — Interest-earning deposits in other banks 48,957 48,957 — 48,957 — Call loans and funds sold 2,970 2,970 — 2,970 — Receivables under resale agreements 16,370 16,370 — 16,370 — Receivables under securities borrowing transactions 5,085 5,085 — 5,085 — Investment securities 24,657 24,158 14,654 6,761 2,743 Loans, net of allowance for credit losses (1) 123,110 123,162 2 288 122,872 Other financial assets (2) 11,564 11,564 — 11,564 — Financial liabilities: Deposits Non-interest-bearing ¥ 38,084 ¥ 38,084 ¥ — ¥ 38,084 ¥ — Interest-bearing 205,757 205,841 — 205,841 — Total deposits 243,841 243,925 — 243,925 — Call money and funds purchased 3,854 3,854 — 3,854 — Payables under repurchase agreements 32,960 32,960 — 32,960 — Payables under securities lending transactions 1,017 1,017 — 1,017 — Due to trust account and other short-term borrowings 14,412 14,412 — 14,412 — Long-term debt 40,186 39,045 — 39,045 — Other financial liabilities 9,875 9,875 — 9,875 — 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 ¥3,482 billion and ¥3,950 billion at March 31, 2023 and September 30, 2023, 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, 2023 and September 30, 2023 was not material. |