Fair Value [Text Block] | 18. 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, 2020. During the six months ended September 30, 2020, 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, 2020 and September 30, 2020: At March 31, 2020 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 14,891,635 ¥ 17,061,985 ¥ 525,946 ¥ 32,479,566 Debt securities Japanese national government and Japanese government agency bonds 3,805,039 350,128 — 4,155,167 Japanese prefectural and municipal bonds — 93,479 — 93,479 Foreign government and official institution bonds 9,356,427 417,766 1,052 9,775,245 Corporate bonds 11 2,537,559 144 2,537,714 Residential mortgage-backed securities — 9,037,539 — 9,037,539 Asset-backed securities — 590,556 416,259 1,006,815 Other debt securities — 7,787 6,651 14,438 Commercial paper — 2,959,580 — 2,959,580 Equity securities (2) 1,730,158 1,067,591 101,840 2,899,589 Trading derivative assets 216,834 14,680,632 60,108 14,957,574 Interest rate contracts 74,488 10,758,790 13,329 10,846,607 Foreign exchange contracts 1,550 3,723,087 9,046 3,733,683 Equity contracts 140,796 87,285 7,491 235,572 Commodity contracts — 10 27,492 27,502 Credit derivatives — 111,460 2,750 114,210 Investment securities: Available-for-sale 22,126,881 11,798,392 274,930 34,200,203 Japanese national government and Japanese government agency bonds 19,897,187 3,565,692 — 23,462,879 Japanese prefectural and municipal bonds — 2,952,820 — 2,952,820 Foreign government and official institution bonds 2,229,694 792,027 15,767 3,037,488 Corporate bonds — 1,262,718 10,108 1,272,826 Residential mortgage-backed securities — 1,459,378 15 1,459,393 Commercial mortgage-backed securities — 380,278 1,977 382,255 Asset-backed securities — 1,328,601 140,875 1,469,476 Other debt securities — 56,878 106,188 163,066 Equity securities 4,471,499 296,819 39,963 4,808,281 Marketable equity securities 4,471,499 296,819 — 4,768,318 Nonmarketable equity securities (3) — — 39,963 39,963 Other (4) 1,054,186 45,913 36,701 1,136,800 Total ¥ 42,761,035 ¥ 43,883,741 ¥ 937,648 ¥ 87,582,424 Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 555,664 ¥ 3,718 ¥ — ¥ 559,382 Trading derivative liabilities 300,215 13,851,205 56,631 14,208,051 Interest rate contracts 153,098 10,038,198 14,079 10,205,375 Foreign exchange contracts 3,360 3,596,589 4,041 3,603,990 Equity contracts 143,757 121,229 11,713 276,699 Commodity contracts — 14 26,775 26,789 Credit derivatives — 95,175 23 95,198 Obligation to return securities received as collateral (5) 4,663,068 143,103 — 4,806,171 Other (6) — 514,003 6,606 520,609 Total ¥ 5,518,947 ¥ 14,512,029 ¥ 63,237 ¥ 20,094,213 At September 30, 2020 Level 1 Level 2 Level 3 Fair Value (in millions) Assets Trading account assets: Trading securities (1) ¥ 19,178,865 ¥ 12,313,174 ¥ 779,709 ¥ 32,271,748 Debt securities Japanese national government and Japanese government agency bonds 5,997,301 363,252 — 6,360,553 Japanese prefectural and municipal bonds — 95,846 — 95,846 Foreign government and official institution bonds 11,797,972 694,545 1,122 12,493,639 Corporate bonds — 2,479,587 — 2,479,587 Residential mortgage-backed securities 120 5,018,942 — 5,019,062 Asset-backed securities — 817,786 413,305 1,231,091 Other debt securities — 7,579 269,984 277,563 Commercial paper — 1,626,513 — 1,626,513 Equity securities (2) 1,383,472 1,209,124 95,298 2,687,894 Trading derivative assets 96,022 13,507,030 67,440 13,670,492 Interest rate contracts 20,459 10,440,306 16,159 10,476,924 Foreign exchange contracts 588 2,849,093 10,612 2,860,293 Equity contracts 74,975 129,075 6,242 210,292 Commodity contracts — 5 30,550 30,555 Credit derivatives — 88,539 2,526 91,065 Other (7) — 12 1,351 1,363 Investment securities: Available-for-sale 32,362,705 12,401,919 247,927 45,012,551 Japanese national government and Japanese government agency bonds 30,410,927 3,398,541 — 33,809,468 Japanese prefectural and municipal bonds — 3,343,506 — 3,343,506 Foreign government and official institution bonds 1,951,778 859,040 16,759 2,827,577 Corporate bonds — 1,221,142 145 1,221,287 Residential mortgage-backed securities — 1,385,579 15 1,385,594 Commercial mortgage-backed securities — 441,505 1,796 443,301 Asset-backed securities — 1,138,145 126,597 1,264,742 Other debt securities — 174,403 102,615 277,018 Commercial Paper — 440,058 — 440,058 Equity securities 4,976,057 344,445 45,764 5,366,266 Marketable equity securities 4,976,057 344,445 — 5,320,502 Nonmarketable equity securities (3) — — 45,764 45,764 Other (4) 780,868 32,590 22,649 836,107 Total ¥ 57,394,517 ¥ 38,599,158 ¥ 1,163,489 ¥ 97,157,164 Liabilities Trading account liabilities: Trading securities sold, not yet purchased ¥ 106,076 ¥ 2,722 ¥ — ¥ 108,798 Trading derivative liabilities 139,392 12,551,354 47,204 12,737,950 Interest rate contracts 35,749 9,596,157 7,754 9,639,660 Foreign exchange contracts 944 2,748,606 4,170 2,753,720 Equity contracts 102,699 115,816 4,317 222,832 Commodity contracts — 5 30,621 30,626 Credit derivatives — 90,756 61 90,817 Other (7) — 14 281 295 Obligation to return securities received as collateral (5) 5,038,763 107,149 — 5,145,912 Other (6) — 418,084 49,251 467,335 Total ¥ 5,284,231 ¥ 13,079,309 ¥ 96,455 ¥ 18,459,995 Notes: (1) Includes securities measured under the fair value option. (2) Excludes ( 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, 2020 were ¥23,233 million and ¥18,862 million respectively, and those at September 30, 2020 were ¥23,838 million and ¥17,951 million respectively. The amounts of unfunded commitments related to these real estate funds and private equity and other funds at March 31, 2020 were ¥1,494 million and nil, respectively, and those at September 30, 2020 were ¥1,307 million and nil (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) From the period ended September 30, 2020, certain derivatives such as earthquake derivatives previously included in Commodity contracts are separately disclosed in Other of Trading derivative assets and liabilities. Changes in Level 3 Recurring Fair Value Measurements The following tabl e Total gains (losses) Change in March 31, Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, (in millions) Assets Trading account assets: Trading securities (1) ¥ 785,326 ¥ (20,158 ) (2) ¥ — ¥ 134,609 ¥ — ¥ (120,505 ) ¥ (105,890 ) ¥ 24,882 ¥ (15,402 ) ¥ 682,862 ¥ (19,011 ) (2) Debt securities Foreign government and official institution bonds 792 347 — 50,548 — (48,068 ) (18 ) — — 3,601 (11 ) Corporate bonds 31,384 (76 ) — — — (1,049 ) (3,621 ) 24,882 (5) (15,402 ) (5) 36,118 6 Residential mortgage-backed securities 35,181 (1,425 ) — — — (11,134 ) (10,649 ) — — 11,973 (1,109 ) Asset-backed securities 627,678 (20,780 ) — 79,717 — (60,249 ) (89,939 ) — — 536,427 (18,740 ) Other debt securities 35,148 (952 ) — — — — — — — 34,196 (952 ) Equity securities 55,143 2,728 — 4,344 — (5 ) (1,663 ) — — 60,547 1,795 Trading derivatives—net 36,170 4,283 (2) (107 ) 99 (773 ) — (21,616 ) 37,553 (321 ) 55,288 1,797 (2) Interest rate contracts—net (4,189 ) 14,185 (113 ) — — — (5,471 ) 2,976 (340 ) 7,048 6,246 Foreign exchange contracts—net 18,191 (10,614 ) (87 ) 3 — — 4,037 34,577 (5) (144 ) 45,963 (5,580 ) Equity contracts—net 2,862 743 87 96 (419 ) — (5,350 ) — 163 (1,818 ) 703 Commodity contracts—net 949 (27 ) 2 — (354 ) — — — — 570 645 Credit derivatives—net 18,357 (4 ) 4 — — — (14,832 ) — — 3,525 (217 ) Investment securities: Available-for-sale 283,434 1,331 (3) (5,379 ) 134,575 — — (162,520 ) 5,450 (3,020 ) 253,871 (619 ) (3) Foreign government and official institution bonds 19,246 — 209 382 — — (5,835 ) — — 14,002 — Corporate bonds 4,196 (383 ) 114 20 — — (641 ) 5,450 (5) (3,020 ) (5) 5,736 (619 ) Residential mortgage-backed securities 15 — — — — — — — — 15 — Commercial mortgage-backed securities 2,038 — 58 — — — (33 ) — — 2,063 — Asset-backed securities 131,455 1,714 (3,914 ) 134,169 — — (132,544 ) — — 130,880 — Other debt securities 126,484 — (1,846 ) 4 — — (23,467 ) — — 101,175 — Equity securities 27,820 2,660 (3) — 5,636 — (1,515 ) (1 ) — (202 ) 34,398 1,736 (3) Nonmarketable equity securities 27,820 2,660 — 5,636 — (1,515 ) (1 ) — (202 ) 34,398 1,736 Other 32,378 (8,350 ) (7) (1,732 ) 35,894 — (48 ) (1 ) — — 58,141 (8,346 ) (7) Total ¥ 1,165,128 ¥ (20,234 ) ¥ (7,218 ) ¥ 310,813 ¥ (773 ) ¥ (122,068 ) ¥ (290,028 ) ¥ 67,885 ¥ (18,945 ) ¥ 1,084,560 ¥ (24,443 ) Liabilities Other ¥ 65,648 ¥ (18,504 ) (4) ¥ 1,807 ¥ — ¥ 2,338 ¥ — ¥ (9,708 ) ¥ 1,171 (6) ¥ (37,043 ) (6) ¥ 39,103 ¥ (16,212 ) (4) Total ¥ 65,648 ¥ (18,504 ) ¥ 1,807 ¥ — ¥ 2,338 ¥ — ¥ (9,708 ) ¥ 1,171 ¥ (37,043 ) ¥ 39,103 ¥ (16,212 ) Total gains (losses) Change in March 31, Included Included Purchases Issues Sales Settlements Transfers Transfers September 30, (in millions) Assets Trading account assets: Trading securities (1) ¥ 525,946 ¥ (627 ) (2) ¥ — ¥ 158,481 ¥ — ¥ (65,231 ) ¥ (2,091 ) ¥ 190,391 ¥ (27,160 ) ¥ 779,709 ¥ (1,434 ) (2) Debt securities Foreign government and official institution bonds 1,052 188 — 12,625 — (12,713 ) (14 ) — (16 ) 1,122 78 Corporate bonds 144 35 — — — (179 ) — — — — — Asset-backed securities 416,259 (1,685 ) — 46,455 — (46,700 ) (1,024 ) — — 413,305 (1,728 ) Other debt securities 6,651 3,446 — 69,498 — — — 190,389 (8) — 269,984 3,446 Equity securities 101,840 (2,611 ) — 29,903 — (5,639 ) (1,053 ) 2 (27,144 ) (8) 95,298 (3,230 ) Trading derivatives—net 3,477 33,219 (2) (757 ) 595 (334 ) — (15,112 ) (392 ) (460 ) 20,236 7,640 (2) Interest rate contracts—net (750 ) 13,271 (341 ) — — — (3,364 ) (15 ) (396 ) 8,405 5,130 Foreign exchange contracts—net 5,005 1,909 (276 ) — — — 159 (377 ) 22 6,442 1,226 Equity contracts—net (4,222 ) 18,054 (145 ) — — — (11,748 ) — (14 ) 1,925 1,288 Commodity contracts—net (65 ) (11 ) 5 — — — — — — (71 ) — Credit derivatives—net 2,727 (103 ) — — — — (159 ) — — 2,465 (103 ) Other—net (9) 782 99 — 595 (334 ) — — — (72 ) 1,070 99 Investment securities: Available-for-sale 274,930 (1,478 ) (3) (4,400 ) 130,042 — (11 ) (141,214 ) 20 (9,962 ) 247,927 (206 ) (3) Foreign government and official institution bonds 15,767 — (682 ) 3,230 — — (1,556 ) — — 16,759 — Corporate bonds 10,108 (3 ) — — — — (18 ) 20 (9,962 ) (5) 145 (4 ) Residential mortgage-backed securities 15 — — — — — — — — 15 — Commercial mortgage-backed securities 1,977 — (149 ) — — (11 ) (21 ) — — 1,796 — Asset-backed securities 140,875 (1,475 ) (2,416 ) 126,800 — — (137,187 ) — — 126,597 (202 ) Other debt securities 106,188 — (1,153 ) 12 — — (2,432 ) — — 102,615 — Equity securities 39,963 (423 ) (3) — 6,413 — (464 ) — 285 (10 ) 45,764 (665 ) (3) Nonmarketable equity securities 39,963 (423 ) — 6,413 — (464 ) — 285 (10 ) 45,764 (665 ) Other 36,701 (14,583 ) (7) (500 ) 1,121 — — (90 ) — — 22,649 (14,577 ) (7) Total ¥ 881,017 ¥ 16,108 ¥ (5,657 ) ¥ 296,652 ¥ (334 ) ¥ (65,706 ) ¥ (158,507 ) ¥ 190,304 ¥ (37,592 ) ¥ 1,116,285 ¥ (9,242 ) Liabilities Other ¥ 6,606 ¥ (18,465 ) (4) ¥ 3,711 ¥ — ¥ 30,192 ¥ — ¥ (9,309 ) ¥ 11,330 (6) ¥ (4,322 ) (6) ¥ 49,251 ¥ (14,090 ) (4) Total ¥ 6,606 ¥ (18,465 ) ¥ 3,711 ¥ — ¥ 30,192 ¥ — ¥ (9,309 ) ¥ 11,330 ¥ (4,322 ) ¥ 49,251 ¥ (14,090 ) Notes: (1 ) Includes Trading securities measured under the fair value option. (2 ) Included in Trading account profits—net and Foreign exchange gains (losses)—net. (3 ) Included in Investment securities gains—net and Other comprehensive income—net. (4 ) Included in Trading account profits—net. (5 ) Transfers into Level 3 for Foreign exchange contracts—net were mainly caused by the valuation using certain unobservable input. For the six months ended September 30, 2019, transfers into (out of) Level 3 for corporate bonds were mainly caused by the decrease (increase) in liquidity or the availability of the quoted prices provided by third-party venders. For the six months ended September 30, 2020, transfers out of Level 3 for corporate bonds were due to changes in the impact of unobservable credit worthiness inputs to the entire fair value measurement of the private placement bonds issued by Japanese non-public companies. Unobservable credit worthiness inputs include probability of default based on credit ratings of the bond issuers and loss given default. (6 ) Transfers into (out of) Level 3 for embedded derivatives 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 (8 ) Transfers relate to the reclassification of certain securities (9 ) From the period ended September 30, 2020, certain derivatives such as earthquake derivatives previously included in Commodity contracts—net are separately disclosed in Other—net of Trading derivatives—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, 2020 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted (2) (in millions) Assets Trading securities and Investment securities: Foreign government and official institution bonds ¥ 15,767 Return on equity method Probability of default 0.2%~1.3% 0.4% Recovery rate 55.0%~90.0% 69.9% Market-required return on capital 8.0%~10.0% 9.9% Residential mortgage-backed securities, Commercial mortgage-backed securities and Asset-backed 92,025 Discounted cash flow Probability of default 1.2%~5.3% 5.0% Recovery rate 60.0%~76.0% 68.2% 389,170 Internal model (4) Asset correlations 1.0% 1.0% Discount factor 1.1%~1.4% 1.4% Prepayment rate 21.0% 21.0% Probability of default 0.0%~99.0% — (3) Recovery rate 57.8% 57.8% Other debt securities 6,651 Discounted cash flow Liquidity premium 2.4% 2.4% 86,734 Return on equity method Probability of default 0.0%~25.0% 0.3% Recovery rate 60.0%~90.0% 79.8% Market-required return on capital 8.0%~10.0% 9.4% Equity Securities 27,144 Discounted cash flow Liquidity premium 1.0% 1.0% At March 31, 2020 Fair value (1) Valuation technique Significant unobservable inputs Range (in millions) Trading derivatives—net: Interest rate (728 ) Option model Correlation between interest rates 32.9%~62.5% Correlation between interest rate and foreign exchange rate 16.7%~60.0% Volatility 0.0%~100.0% Foreign exchange contracts—net 5,005 Option model Correlation between interest rates 30.0%~70.0% Correlation between interest rate and foreign exchange rate 15.8%~60.0% Correlation between foreign exchange rates 60.0% Volatility 7.5%~17.0% Equity contracts—net (10,038 ) Option model Correlation between foreign exchange rate and equity (58.4)%~56.9% Correlation between equities 19.5%~81.0% Volatility 24.2%~32.0% 6,166 Discounted cash flow Term of litigation 0.1year~1.1year s At September 30, 2020 Fair value (1) Valuation technique Significant unobservable inputs Range Weighted (2) (in millions) Assets Trading securities and Investment securities: Foreign government and official institution bonds ¥ 16,759 Return on equity method Probability of default 0.2%~1.8% 0.6% Recovery rate 35.0%~90.0% 66.6% Market-required return on capital 8.0%~10.0% 9.9% Residential mortgage- backed securities, Commercial mortgage- backed securities and Asset-backed securities 86,222 Discounted cash flow Probability of default 4.6%~5.3% 5.1% Recovery rate 65.0%~76.0% 68.8% 381,036 Internal model (4) Asset correlations 1.0% 1.0% Discount factor 1.5%~1.6% 1.6% Prepayment rate 22.2% 22.2% Probability of default 0.0%~91.1% — (3) Recovery rate 51.1% 51.1% Other debt securities 269,984 Discounted cash flow Liquidity premium 1.0%~3.1% 2.9% 83,647 Return on equity method Probability of default 0.0%~25.0% 0.4% Recovery rate 55.0%~90.0% 78.1% Market-required return on capital 8.0%~10.0% 9.6% At September 30, 2020 Fair value (1) Valuation technique Significant unobservable inputs Range Median (2) (in millions) Trading derivatives—net: Interest rate contracts—net 6,917 Option model Correlation between interest rates 30.0%~63.2% 45.7% Correlation between interest rate and foreign exchange rate 15.6%~60.0% 40.3% Volatility 0.0%~100.0% 50.0% Foreign exchange contracts—net 6,442 Option model Correlation between interest rates 30.0%~70.0% 47.4% Correlation between interest rate and foreign exchange rate 17.4%~60.0% 38.5% Correlation between foreign exchange rates 55.0% 55.0% Volatility 9.5%~22.3% 14.4% Equity contracts—net (3,054 ) Option model Correlation between foreign exchange rate and equity (58.4)%~56.4% 32.6% Correlation between equities 19.1%~96.0% 53.7% Volatility 29.0%~40.0% 31.5% 5,091 Discounted cash flow Term of litigation 0.1year~1.2years 0.6year Notes: (1) The fair value as of March 31, 2020 and September 30, 2020 excludes the fair value of investments valued using vendor prices. (2) Weighted average is for investment securities. Median is used for derivative instruments (3) See “Probability of default” in “Sensitivity to and range of unobservable inputs” in Note 31 to the consolidated financial statements for the fiscal year ended March 31, 2020. (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, 2020. Changes in For a discussion of the impact o 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, 2020 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, 2020 and September 30, 2020: March 31, 2020 September 30, 2020 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total (in millions) Assets Investment securities (1)(2) ¥ — ¥ 15,473 ¥ 2,703 ¥ 18,176 ¥ — ¥ 11,091 ¥ 1,901 ¥ 12,992 Loans 2,548 9,199 260,282 272,029 2,648 9,800 263,428 275,876 Loans held for sale — — 73,573 73,573 — — 44,210 44,210 Collateral dependent loans 2,548 9,199 186,709 198,456 2,648 9,800 219,218 231,666 Premises and equipment — — 37,109 37,109 — — 7,877 7,877 Intangible assets — — 453 453 — — 1,357 1,357 Goodwill — — 283,032 283,032 — — 97,072 97,072 Other assets 73,015 — 18,609 91,624 111,626 33,840 9,075 154,541 Investments in equity method investees (1) 73,015 — 5,911 78,926 111,626 33,840 — 145,466 Other — — 12,698 12,698 — — 9,075 9,075 Total ¥ 75,563 ¥ 24,672 ¥ 602,188 ¥ 702,423 ¥ 114,274 ¥ 54,731 ¥ 380,710 ¥ 549,715 Notes: (1 ) Excludes certain investments valued at net asset value of ¥12,935 million and ¥10,031 million at March 31, 2020 and September 30, 2020, respectively. The unfunded commitments related to these investments are ¥17,216 million and ¥13,219 million at March 31, 2020 and September 30, 2020, 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, 2020. (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, 2019 and 2020: Losses(gains) for the 2019 2020 (in millions) Investment securities ¥ 2,193 ¥ (701 ) Loans 30,664 89,082 Loans held for sale 8,468 5,620 Collateral dependent loans 22,196 83,462 Premises and equipment 5,975 8,569 Intangible assets 2,334 4,286 Goodwill 241,356 106,479 Other assets 15,437 87,584 Investments in equity method investees 4,944 53,138 Other 10,493 34,446 Total ¥ 297,959 ¥ 295,299 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, 2020. The following table presents the gains or losses recorded for the six months ended September 30, 2019 and 2020 related to the eligible instruments for which the MUFG Group elected the fair value option: Six months ended September 30, 2019 2020 Trading Foreign Total Trading Foreign Total (in millions) Financial assets: Trading account securities ¥ 437,931 ¥ (654,622 ) ¥ (216,691 ) ¥ 148,265 ¥ (237,425 ) ¥ (89,160 ) Total ¥ 437,931 ¥ (654,622 ) ¥ (216,691 ) ¥ 148,265 ¥ (237,425 ) ¥ (89,160 ) Financial liabilities: Other short-term borrowings (1) ¥ (778 ) ¥ — ¥ (778 ) ¥ (15,805 ) ¥ — ¥ (15,805 ) Long-term debt (1) (20,559 ) — (20,559 ) (16,945 ) — (16,945 ) Total ¥ (21,337 ) ¥ — ¥ (21,337 ) ¥ (32,750 ) ¥ — ¥ (32,750 ) 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, 2020 and September 30, 2020 f o March 31, 2020 September 30, 2020 Remaining Fair value Fair value Remaining Fair value Fair value (in millions) Financial liabilities: Long-term debt ¥ 319,149 ¥ 304,067 ¥ (15,082 ) ¥ 416,035 ¥ 393,710 ¥ (22,325 ) Total ¥ 319,149 ¥ 304,067 ¥ (15,082 ) ¥ 416,035 ¥ 393,710 ¥ (22,325 ) 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, 2020 and September 30, 2020: At March 31, 2020 Carrying Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 33,283 ¥ 33,283 ¥ 33,283 ¥ — ¥ — Interest-earning deposits in other banks 45,267 45,267 — 45,267 — Call loans and funds sold 1,169 1,169 — 1,169 — Receivables under resale agreements 23,996 23,996 — 23,996 — Receivables under securities borrowing transactions 3,444 3,444 — 3,444 — Investment securities 4,166 4,178 1,134 1,042 2,002 Loans, net of allowance for credit losses (1) 117,373 118,497 3 259 118,235 Other financial assets (2) 8,494 8,494 — 8,494 — Financial liabilities: Deposits Non-interest-bearing ¥ 33,382 ¥ 33,382 ¥ — ¥ 33,382 ¥ — Interest-bearing 170,574 170,631 — 170,631 — Total deposits 203,956 204,013 — 204,013 — Call money and funds purchased 3,669 3,669 — 3,669 — Payables under repurchase agreements 31,850 31,850 — 31,850 — Payables under securities lending transactions 1,017 1,017 — 1,017 — Due to trust account and other short-term borrowings 19,057 19,057 — 19,057 — Long-term debt 27,772 27,941 — 27,941 — Other financial liabilities 7,139 7,139 — 7,139 — At September 30, 2020 Carrying Estimated fair value Total Level 1 Level 2 Level 3 (in billions) Financial assets: Cash and due from banks ¥ 46,982 ¥ 46,982 ¥ 46,982 ¥ — ¥ — Interest-earning deposits in other banks 46,936 46,936 — 46,936 — Call loans and funds sold 1,049 1,049 — 1,049 — Receivables under resale agreements 14,051 14,051 — 14,051 — Receivables under securities borrowing transactions 3,199 3,199 — 3,199 — Investment securities 3,930 3,972 1,127 907 1,938 Loans, net of allowance for credit losses (1) 115,532 116,984 3 265 116,716 Other financial assets (2) 7,194 7,194 — 7,194 — Financial liabilities: Deposits Non-interest-bearing ¥ 35,643 ¥ 35,643 ¥ — ¥ 35,643 ¥ — Interest-bearing 182,750 182,789 — 182,789 — Total deposits 218,393 218,432 — 218,432 — Call money and funds purchased 3,797 3,797 — 3,797 — Payables under repurchase agreements 26,448 26,448 — 26,448 — Payables under securities lending transactions 842 842 — 842 — Due to trust account and other short-term borrowings 14,916 14,916 — 14,916 — Long-term debt 35,391 35,824 — 35,824 — Other financial liabilities 6,880 6,880 — 6,880 — 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 ¥2,421 billion and ¥2,327 billion at March 31, 20 20 20 The fair values of certain off-balance |