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, 2024. During the six months ended September 30, 2024, 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, 2024 and September 30, 2024: At March 31, 2024 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 18,626,261 ¥ 13,463,967 ¥ 2,041,954 ¥ 34,132,182 Debt securities Japanese national government and Japanese government agency bonds 6,278,228 395,745 — 6,673,973 Japanese prefectural and municipal bonds — 91,683 — 91,683 Foreign government and official institution bonds 10,170,757 668,715 101 10,839,573 Corporate bonds 8,937 2,723,957 — 2,732,894 Residential mortgage-backed securities — 5,422,286 — 5,422,286 Asset-backed securities — 1,374,191 1,352,755 2,726,946 Other debt securities — 2,599 536,846 539,445 Commercial paper — 1,609,441 — 1,609,441 Equity securities (2) 2,168,339 1,175,350 152,252 3,495,941 Trading derivative assets 90,334 15,099,648 151,242 15,341,224 Interest rate contracts 14,143 9,381,056 110,013 9,505,212 Foreign exchange contracts 10,473 5,623,544 12,647 5,646,664 Equity contracts 65,718 48,606 8,647 122,971 Commodity contracts — 391 18,282 18,673 Credit derivatives — 46,047 1,148 47,195 Other (8) — 4 505 509 Trading loans (3) — 31,542 — 31,542 Investment securities: Available-for-sale debt securities 23,569,981 7,648,181 204,805 31,422,967 Japanese national government and Japanese government agency bonds 21,336,860 1,830,540 — 23,167,400 Japanese prefectural and municipal bonds — 1,045,991 — 1,045,991 Foreign government and official institution bonds 2,233,121 1,069,430 — 3,302,551 Corporate bonds — 1,021,296 5,172 1,026,468 Residential mortgage-backed securities — 1,229,510 15 1,229,525 Asset-backed securities — 1,114,195 132,951 1,247,146 Other debt securities — 337,219 66,667 403,886 Equity securities 5,400,634 70,172 87,814 5,558,620 Marketable equity securities 5,400,634 70,172 — 5,470,806 Nonmarketable equity securities (4) — — 87,814 87,814 Other (5) 1,175,125 1,229,942 139,120 2,544,187 Total ¥ 48,862,335 ¥ 37,543,452 ¥ 2,624,935 ¥ 89,030,722 At March 31, 2024 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 103,705 ¥ 4,508 ¥ — ¥ 108,213 Trading derivative liabilities 117,567 16,261,406 92,336 16,471,309 Interest rate contracts 30,997 10,594,827 70,527 10,696,351 Foreign exchange contracts 954 5,532,241 2,449 5,535,644 Equity contracts 85,616 72,337 389 158,342 Commodity contracts — — 18,327 18,327 Credit derivatives — 61,999 488 62,487 Other (8) — 2 156 158 Obligation to return securities received as collateral (6) 6,955,707 195,622 71,399 7,222,728 Other (7) — 192,649 66,452 259,101 Total ¥ 7,176,979 ¥ 16,654,185 ¥ 230,187 ¥ 24,061,351 At September 30, 2024 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 18,900,000 ¥ 16,352,138 ¥ 2,241,273 ¥ 37,493,411 Debt securities Japanese national government and Japanese government agency bonds 5,946,162 462,070 — 6,408,232 Japanese prefectural and municipal bonds — 116,197 — 116,197 Foreign government and official institution bonds 10,637,393 768,921 — 11,406,314 Corporate bonds 3,958 2,724,574 112,867 2,841,399 Residential mortgage-backed securities — 7,973,417 — 7,973,417 Asset-backed securities — 1,315,776 1,462,122 2,777,898 Other debt securities — 36,299 528,173 564,472 Commercial paper — 1,888,753 — 1,888,753 Equity securities (2) 2,312,487 1,066,131 138,111 3,516,729 Trading derivative assets 59,901 16,140,296 150,916 16,351,113 Interest rate contracts 15,339 10,287,267 106,982 10,409,588 Foreign exchange contracts 5,123 5,739,249 15,129 5,759,501 Equity contracts 39,439 55,442 7,719 102,600 Commodity contracts — 534 19,299 19,833 Credit derivatives — 57,782 914 58,696 Other (8) — 22 873 895 Trading loans (3) — 38,834 — 38,834 Investment securities: Available-for-sale debt securities 19,498,699 7,267,926 196,201 26,962,826 Japanese national government and Japanese government agency bonds 17,220,733 1,419,509 — 18,640,242 Japanese prefectural and municipal bonds — 860,618 — 860,618 Foreign government and official institution bonds 2,277,966 1,152,029 — 3,429,995 Corporate bonds — 937,409 4,614 942,023 Residential mortgage-backed securities — 1,173,742 15 1,173,757 Asset-backed securities — 1,269,731 142,924 1,412,655 Other debt securities — 454,888 48,648 503,536 Equity securities 4,305,959 63,240 91,868 4,461,067 Marketable equity securities (9) 4,305,959 63,240 — 4,369,199 Nonmarketable equity securities (4) — — 91,868 91,868 Other (5) 820,022 1,585,037 130,030 2,535,089 Total ¥ 43,584,581 ¥ 41,447,471 ¥ 2,810,288 ¥ 87,842,340 At September 30, 2024 Level 1 Level 2 Level 3 Fair Value (in millions) Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 88,055 ¥ 8,766 ¥ — ¥ 96,821 Trading derivative liabilities 95,158 16,550,559 106,780 16,752,497 Interest rate contracts 24,727 11,168,456 84,192 11,277,375 Foreign exchange contracts 3,024 5,272,762 2,358 5,278,144 Equity contracts 67,407 54,679 297 122,383 Commodity contracts — — 19,329 19,329 Credit derivatives — 54,643 498 55,141 Other (8) — 19 106 125 Obligation to return securities received as collateral (6) 5,971,347 309,829 53,827 6,335,003 Other (7) — 424,438 53,251 477,689 Total ¥ 6,154,560 ¥ 17,293,592 ¥ 213,858 ¥ 23,662,010 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, 2024 were ¥264,458 million and those at September 30, 2024 were ¥265,182 million, respectively. The amounts of unfunded commitments related to these private equity funds at March 31, 2024 were ¥134,429 million, and those at September 30, 2024 were ¥215,142 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, 2024. (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, 2024 were ¥37,207 million and ¥53,324 million, respectively, and those at September 30, 2024 were ¥37,064 million and ¥55,666 million, respectively. The amounts of unfunded commitments related to these real estate funds and private equity and other funds at March 31, 2024 were ¥869 million and ¥250 million, respectively, and those at September 30, 2024 were nil 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, 2024. (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. (9) Includes equity securities subject to contractual sale restrictions, with a total fair value of ¥14,902 million at September 30, 2024. The contractual restriction of these securities is a lock-up agreement, a market standoff agreement, or the result of a provision within a separate agreement between certain shareholders, and the range of remaining duration of these restrictions are 0.2 - 3.5 years. The market standoff agreements expire when the share price changes to a certain extent, and other agreements do not have specific clauses for a lapse in the restriction. See Note 1 for further information. 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, 2023 and 2024. 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. Six month ended September 30, 2023 (As Adjusted): Total gains (losses) Change in unrealized gains (losses) for assets and liabilities still held at September 30, 2023 March 31, 2023 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 253,964 1,681 (3) 20,605 205,826 — — (140,321) 26 — 341,781 18,340 (3) Corporate bonds 2,000 (2) 243 — — — (4) 26 — 2,263 241 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 69,011 86 4,521 215 — — (7,050) — — 66,783 4,607 Equity securities 74,287 4,945 (3) 268 5,900 — (1,474) — — (462) 83,465 4,063 (3) Nonmarketable equity securities 74,287 4,945 268 5,900 — (1,474) — — (462) 83,465 4,063 Other 92,292 (128) (7) 101 27,955 — — (48) — — 120,173 (128) (7) Total ¥ 1,683,958 ¥ 143,756 ¥ 22,810 ¥ 734,566 ¥ (355) ¥ (2,100) ¥ (160,381) ¥ 10,442 ¥ (55,746) ¥ 2,376,952 ¥156,156 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) Six month ended September 30, 2024: Total gains (losses) Change in unrealized gains (losses) for assets and liabilities still held at September 30, 2024 March 31, Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, 2024 (in millions) Assets Trading account assets: Trading securities (1) ¥ 2,041,954 ¥ (86,296) (2) ¥ (5,778) ¥ 356,780 ¥ — ¥ (2,059) ¥ (141,812) ¥ 78,484 ¥ — ¥ 2,241,273 ¥ (88,871) (2) Debt securities Foreign government and official institution bonds 101 (1) — — — — (100) — — — — Corporate bonds — (3,751) — 38,158 — — — 78,460 (5) — 112,867 (3,751) Asset-backed securities 1,352,755 (74,833) (5,778) 311,613 — — (121,635) — — 1,462,122 (74,912) Other debt securities 536,846 (8,673) — — — — — — — 528,173 (8,673) Equity securities 152,252 962 — 7,009 — (2,059) (20,077) 24 — 138,111 (1,535) Trading derivatives—net 58,906 2,123 (2) 981 670 (312) — (7,460) (14,859) 4,087 44,136 23,415 (2) Interest rate contracts—net 39,486 (10,625) (602) — — — 2,889 (13,741) (5) 5,383 22,790 8,860 Foreign exchange contracts—net 10,198 3,559 862 — — — 434 (1,118) (1,164) 12,771 6,085 Equity contracts—net 8,258 9,284 725 — — — (10,713) — (132) 7,422 8,565 Commodity contracts—net (45) 25 (4) — — — (6) — — (30) 26 Credit derivatives—net 660 (180) — — — — (64) — — 416 (179) Other—net (8) 349 60 — 670 (312) — — — — 767 58 Investment securities: Available-for-sale debt securities 204,805 (12,495) (3) 12,193 39 — — (7,598) — (743) 196,201 (390) (3) Corporate bonds 5,172 324 (139) — — — — — (743) 4,614 157 Residential mortgage-backed securities 15 — — — — — — — — 15 — Asset-backed securities 132,951 — 9,973 — — — — — — 142,924 9,973 Other debt securities 66,667 (12,819) 2,359 39 — — (7,598) — — 48,648 (10,520) Equity securities 87,814 (149) (3) 445 5,390 — (519) — 779 (1,892) 91,868 (542) (3) Nonmarketable equity securities 87,814 (149) 445 5,390 — (519) — 779 (1,892) 91,868 (542) Other 139,120 (400) (7) 133 8,898 — — (17,721) — — 130,030 (400) (7) Total ¥ 2,532,599 ¥ (97,217) ¥ 7,974 ¥ 371,777 ¥ (312) ¥ (2,578) ¥ (174,591) ¥ 64,404 ¥ 1,452 ¥ 2,703,508 ¥ (66,788) Liabilities Obligation to return securities received as collateral ¥ 71,399 ¥ — ¥ — ¥ — ¥ — ¥ — ¥ (17,572) ¥ — ¥ — ¥ 53,827 ¥ — Other 66,452 (2,319) (4) (3,502) — 9,028 — (21,879) 2,213 (6) (8,384) (6) 53,251 (48) (4) Total ¥ 137,851 ¥ (2,319) ¥ (3,502) ¥ — ¥ 9,028 ¥ — ¥ (39,451) ¥ 2,213 ¥ (8,384) ¥ 107,078 ¥ (48) 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, net of tax. (4) Included in Trading account losses—net and Other comprehensive income, net of tax. (5) For the six months ended September 30, 2023 and 2024, 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 into Level 3 for Corporate bonds were mainly caused by the increased impact of the Liquidity Premium on Fair Value. 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 Other non-interest income. (8) Includes certain derivatives such as earthquake derivatives. 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, 2024 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities and Investment securities: Asset-backed securities ¥ 1,248,241 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 1.4 % ~ 1.6 % 1.4 % Prepayment rate 17.7% 17.7 % Probability of default 0.0 % ~ 93.0 % — (3) Recovery rate 55.0% 55.0 % Other debt securities 587,272 Discounted cash flow Liquidity premium 0.9 % ~ 3.2 % 2.8 % At March 31, 2024 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net 41,687 Option model Correlation between interest rates 30.0 % ~ 60.7 % 44.6 % Correlation between interest rate and foreign exchange rate (2.0) % ~ 60.0 % 35.0 % Volatility 61.2 % ~ 80.6 % 75.6 % Foreign exchange contracts—net 9,800 Option model Correlation between interest rates 30.0 % ~ 70.0 % 48.2 % Correlation between interest rate and foreign exchange rate 17.6 % ~ 60.0 % 36.3 % Correlation between foreign exchange rates 50.0 % ~ 70.6 % 66.4 % Volatility 9.9 % ~ 21.3 % 14.1 % Equity contracts—net 4,414 Option model Correlation between foreign exchange rate and equity 0.0 % ~ 30.0 % 20.0 % Correlation between equities 5.0 % ~ 76.0 % 57.5 % Volatility 25.0 % ~ 37.0 % 33.9 % At September 30, 2024 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted average (2) (in millions) Assets Trading securities and Investment securities: Corporate bonds ¥ 112,867 Discounted cash flow Liquidity premium 0.0 % ~ 0.2 % 0.1 % Asset-backed securities 1,324,522 Internal model (4) Asset correlations 3.0% 3.0 % Discount factor 1.2 % ~ 1.4 % 1.3 % Prepayment rate 25.4% 25.4 % Probability of default 0.0 % ~ 99.0 % — % (3) Recovery rate 63.1% 63.1 % Other debt securities 570,116 Discounted cash flow Liquidity premium 1.6 % ~ 3.2 % 2.9 % At September 30, 2024 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net 27,919 Option model Correlation between interest rates 30.0 % ~ 97.5 % 59.6 % Correlation between interest rate and foreign exchange rate 5.0 % ~ 60.0 % 34.5 % Volatility 71.2 % ~ 104.5 % 77.9 % Foreign exchange contracts—net 12,571 Option model Correlation between interest rates 30.0 % ~ 70.0 % 42.8 % Correlation between interest rate and foreign exchange rate 16.3 % ~ 60.0 % 33.6 % Correlation between foreign exchange rates 50.0 % ~ 66.4 % 58.2 % Volatility 10.6 % ~ 21.0 % 13.9 % Equity contracts—net 3,062 Option model Correlation between foreign exchange rate and equity 6.0 % ~ 25.0 % 10.0 % Correlation between equities 8.8 % ~ 95.0 % 59.6 % Volatility 23.0 % ~ 37.0 % 27.0 % Notes: (1) The fair value as of March 31, 2024 and September 30, 2024 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, 2024. (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, 2024. 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, 2024. 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, 2024 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, 2024 and September 30, 2024: March 31, 2024 September 30, 2024 Level 1 Level 2 Level 3 Total carrying value Level 1 Level 2 Level 3 Total (in millions) Assets Investment securities (1)(2) ¥ — ¥ 9,460 ¥ 45,175 ¥ 54,635 ¥ — ¥ 12,290 ¥ 36,235 ¥ 48,525 Loans 2,271 5,181 630,005 637,457 1,990 4,689 570,953 577,632 Loans held for sale — — 472,711 472,711 — — 415,216 415,216 Collateral dependent loans 2,271 5,181 157,294 164,746 1,990 4,689 155,737 162,416 Premises and equipment — — 11,193 11,193 — — 5,902 5,902 Intangible assets — — 5,174 5,174 — — 169 169 Other assets — 32,481 18,567 51,048 — 5,154 16,218 21,372 Investments in equity method investees (1) — 27,801 1,702 29,503 — — 2,094 2,094 Other — 4,680 16,865 21,545 — 5,154 14,124 19,278 Total ¥ 2,271 ¥ 47,122 ¥ 710,114 ¥ 759,507 ¥ 1,990 ¥ 22,133 ¥ 629,477 ¥ 653,600 Notes: (1) Excludes certain investments valued at net asset value of ¥18,037 million and ¥19,833 million at March 31, 2024 and September 30, 2024, respectively. The unfunded commitments related to these investments are ¥24,208 million and ¥22,377 million at March 31, 2024 and September 30, 2024, 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, 2024. (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 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, 2023 and 2024: Losses for the six months ended September 30, 2023 2024 (in millions) Investment securities ¥ 8,971 ¥ 8,473 Loans 45,660 23,967 Loans held for sale 11,096 1,480 Collateral dependent loans 34,564 22,487 Premises and equipment 1,142 13,072 Intangible assets 11,433 1,706 Other assets 24,286 15,257 Investments in equity method investees 12,687 274 Other 11,599 14,983 Total ¥ 91,492 ¥ 62,475 Loans held for sale are recorded at the lower of cost or fair value. The fair value of loans held for sale is based on secondary market prices, where available. Where no such price exists, the fair value is determined using prices observed in the market for a similar asset or assets, or determined based on discounted cash flows, which may be adjusted, as appropriate, to reflect other market conditions or the perceived credit risk of the borrower. These loans are principally classified in Level 3 of the fair value hierarchy, except when quoted prices are available but not traded actively, which results in such loans held for sale being classified in Level 2 of the fair value hierarchy. The significant unobservable inputs used for the fair value measurements of loans held for sale based on adjusted prices, which are categorized within Level 3 of the fair value hierarchy, consisted of prices ranging from ¥4.21 to ¥100.00 and from ¥6.67 to ¥100.00 as of March 31, 2024 and September 30, 2024, respectively, and the weighted average of prices were ¥83.38 and ¥95.61 as of March 31, 2024 and September 30, 2024, respectively. The significant unobservable inputs used for the fair value measurements of loans held for sale based on discounted cash flows, which are categorized within Level 3 of the fair value hierarchy, consisted of discount rates ranging from 0.83% to 11.87% and from 1.33% to 10.36% as of March 31, 2024 and September 30, 2024, respectively, and the weighted averages of the discount rates were 11.51% and 10.11% as of March 31, 2024 and September 30, 2024, respectively. Weighted average is calculated by weighing each input by the relative fair value of the respective financial instruments. 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, 2024. The following table presents the gains or losses recorded for the six months ended September 30, 2023 and 2024 related to the eligible instruments for which the MUFG Group elected the fair value option: Six months ended September 30, 2023 2024 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 ¥ (596,477) ¥ 1,762,384 ¥ 1,165,907 ¥ 384,525 ¥ (816,042) ¥ (431,517) Total ¥ (596,477) ¥ 1,762,384 ¥ 1,165,907 ¥ 384,525 ¥ (816,042) ¥ (431,517) Financial liabilities: Other short-term borrowings (1) ¥ 2,592 ¥ — ¥ 2,592 ¥ 6,225 ¥ — ¥ 6,225 Long-term debt (1) (5,617) — (5,617) 16,488 — 16,488 Total ¥ (3,025) ¥ — ¥ (3,025) ¥ 22,713 ¥ — ¥ 22,713 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, 2024 and September 30, 2024 for long-term debt instruments for which the fair value option has been elected: March 31, 2024 September 30, 2024 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 ¥ 246,153 ¥ 234,909 ¥ (11,244) ¥ 205,399 ¥ 200,462 ¥ (4,937) Total ¥ 246,153 ¥ 234,909 ¥ (11,244) ¥ 205,399 ¥ 200,462 ¥ (4,937) 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 income 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, 2024 and September 30, 2024: At March 31, 2024 Carrying amount Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 4,417 ¥ 4,417 ¥ 4,417 ¥ — ¥ — Interest-earning deposits in other banks 105,702 105,702 — 105,702 — Call loans and funds sold 1,738 1,738 — 1,738 — Receivables under resale agreements 18,824 18,824 — 18,824 — Receivables under securities borrowing transactions 5,001 5,001 — 5,001 — Investment securities 24,844 24,558 14,522 7,457 2,579 Loans, net of allowance for credit losses (1) 126,555 126,707 2 295 126,410 Other financial assets (2) 11,761 11,761 — 11,761 — Financial liabilities: Deposits Non-interest-bearing ¥ 38,805 ¥ 38,805 ¥ — ¥ 38,805 ¥ — Interest-bearing 208,360 208,512 — 208,512 — Total deposits 247,165 247,317 — 247,317 — Call money and funds purchased 5,094 5,094 — 5,094 — Payables under repurchase agreements 35,690 35,690 — 35,690 — Payables under securities lending transactions 1,017 1,017 — 1,017 — Due to trust account and other short-term borrowings 15,747 15,747 — 15,747 — Long-term debt 39,833 39,103 — 39,103 — Other financial liabilities 9,081 9,081 — 9,081 — At September 30, 2024 Carrying Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 4,056 ¥ 4,056 ¥ 4,056 ¥ — ¥ — Interest-earning deposits in other banks 104,084 104,084 — 104,084 — Call loans and funds sold 1,463 1,463 — 1,463 — Receivables under resale agreements 18,414 18,414 — 18,414 — Receivables under securities borrowing transactions 5,535 5,535 — 5,535 — Investment securities 22,739 22,549 12,927 7,799 1,823 Loans, net of allowance for credit losses (1) 128,849 129,101 2 298 128,801 Other financial assets (2) 9,453 9,453 — 9,453 — Financial liabilities: Deposits Non-interest-bearing ¥ 38,259 ¥ 38,259 ¥ — ¥ 38,259 ¥ — Interest-bearing 206,662 206,815 — 206,815 — Total deposits 244,921 245,074 — 245,074 — Call money and funds purchased 4,944 4,944 — 4,944 — Payables under repurchase agreements 37,724 37,724 — 37,724 — Payables under securities lending transactions 644 644 — 644 — Due to trust account and other short-term borrowings 27,278 27,278 — 27,278 — Long-term debt 24,418 23,958 — 23,958 — Other financial liabilities 8,192 8,192 — 8,192 — 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 ¥4,116 billion and ¥4,197 billion at March 31, 2024 and September 30, 2024, 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, 2024 and September 30, 2024 was not material. |