ALM This document contains forward - looking statements in regard to - PDF document

April, 2013 ALM

This document contains forward - looking statements in regard to forecasts, targets and plans of Mitsubishi UFJ Financial Group, I nc. (“MUFG”) and its group companies (collectively, “the group”). These forward - looking statements are based on information currently available to the group and are stated here on the basis of the outlook at the time that this document was produced. I n addition, in producing these statements certain assumptions (premises) have been utilized. These statements and assumptions (premises) are subjective and may prove to be incorrect and may not be realized in the future. Underlying such circumstances are a large number of risks and uncertainties. Please see other disclosure and public filings made or will be made by MUFG and the other companies comprising the group, including the latest kessantanshin, financial reports, Japanese securities reports and annual reports, for additional information regarding such risks and uncertainties. The group has no obligation or intent to update any forward- looking statements contained in this document I n addition, information on companies and other entities outside the group that is recorded in this document has been obtained from publicly available information and other sources. The accuracy and appropriateness of that information has not been verified by the group and cannot be guaranteed The financial information used in this document was prepared in accordance with accounting standards generally accepted in Japan, or Japanese GAAP 1

Contents Environment changes and future Environment changes and future Business environment and B/ S Business environment and B/ S ALM/ market business ALM/ market business � Operational environment of 4 Japanese banks � Economic and monetary environment 18 � Characteristics of BTMU’s B/ S � Regulatory environment and higher 19 5 � About ALM compliance level 6 � Strengthen administration practices � Market risk management in ALM business 20 7 and deepen cooperation � NI I (Net I nterest I ncome) 8 � Direction of the medium-term business 21 plan � Expansion co-managed offices 22 ALM Appendix ALM Appendix � Regarding BTMU’s B/ S and ALM � Global Markets Unit/ ALM divisions 10 23 � NI I curve of BTMU � JGB yield trend 11 24 � Business cycles and net gains (losses) on � Gap between deposits/ lending and 12 25 debt securities JGB holdings � Yen ALM 13 � Net gains (losses) on debt securities/ 14 net interest income � Managing JGB holding risk 15 � Foreign currency ALM 16 2

3 Business environment and B/ S

Operational environment of Japanese banks Japanese banks’ ’ deposits and deposits and lending lendings s Japanese banks � Large deposit surplus continues due to (¥tn) growth in deposits and sluggish 700 lendings 616 615 603 588 576 600 � Business practice of strategic 465 458 459 500 449 446 shareholdings 400 � Impairment arises when share prices fall 300 � Decrease in interest income due to 200 declining market interest rates 100 Deposits Lendings � Acceleration in customers’ overseas 0 expansion End Mar 09 End Mar 10 End Mar 11 End Mar 12 End Sep 12 (Source) Japanese Bankers Association Japanese banks’ ’ net net gains gains ( ( losses losses) on ) on Japanese banks Japanese banks’ Japanese banks ’ securities and securities and equities equities debt securities and and interest income interest income debt securities (¥tn) (¥bn) 300 10,000 8,703.7 278 8,689.3 8,349.4 257 8,156.9 250 231 8,000 194 6,000 200 Net gains (losses) on debt securities 4,000 150 Interest income Investment Securities 2,000 100 747.5 826.3 Equities 289.4 0 50 18 21 19 18 (558.6) (2,000) 0 FY08 FY09 FY10 FY11 End Mar 09 End Mar 10 End Mar 11 End Mar 12 (Source) Japanese Bankers Association (Source) Japanese Bankers Association 4

Characteristics of BTMU’s B/ S (BTMU non-consolidated) B/ S （ （ Sum of domestic and international business Sum of domestic and international business ） ） B/ S � Large deposit surplus End Mar 09 :¥148 tn End Sep 12: ¥159 tn � Increase in yen deposits and sluggish lending have seen large deposit surplus Loans Loans continuously expand Deposits ¥73 tn ¥69 tn Deposits ¥100 tn � Strategic equity holdings ¥107 tn � Despite progressive reduction of cross- Securities Securities shareholdings, strategic equity holdings ¥38 tn Others ¥61 tn Others are more than ¥2 tn. As a result, ¥43 tn ¥44 tn Others impairment risk persists when share ¥36 tn Others Net assets ¥5 tn prices fall Net assets ¥7 tn ¥28 tn � Expansion of foreign currency B/ S * Source and use of funds * Source and use of funds � Support Japanese customers advance * FY12 H1 average balance overseas Domestic business International business � Aim to expand transactions with Japanese Deposits Loans Loans and non-Japanese customers under the ¥13 tn ¥16 tn ¥49 tn medium-term business plan Deposits CDs ¥91 tn � Resulting in an increasing trend of our Securites ¥6 tn Securities ¥12 tn foreign currency B/S, led by the asset side ¥48 tn Others Others ¥17 tn Others Others ¥6 tn ¥16 tn ¥13 tn 5

About ALM ALM ALM � ALM primarily involves the comprehensive management of interest rate risk and liquidity risk Customer inherent in the B/ S � I nterest rate risk Deposits/Lending, etc. � Interest rate risk on the B/S for loans and deposits is concentrated in the ALM divisions via the Transfer Price (TP) Customer-facing divisions � Appropriately controlling changes in revenue due to interest rate fluctuations while aiming Concentrate interest risk to maximize earnings for the period by in the ALM divisions via predicting B/S trends the TP � Accommodating B/S structure through strategic TP management ALM divisions � Liquidity risk Manage interest risk � The risk of disability to maintain required and liquidity risk through level of funds, or being forced to fund at a market transactions much higher than normal interest rate, due to a duration mismatch between assets and Market liabilities, or unexpected fund outflows 6

Market risk management in ALM business Market risk management framework Market risk management framework � Market risk management framework � Market risk ALM Committee The Executive Committee assign to the Global Executive Committee Board of Directors Markets Unit the amount of market risk Risk management divisions (VaR+ Val) calculated from allocated economic capital and profit plan. Within the Global Markets Unit, the amount is allocated to operations and Global Markets Unit branches � Loss limit ALM divisions Managed on the basis of overall gains/losses (financial income + unrealized gains/losses) with Trading divisions soft limits, alarm points and triggers for consultation, based on stress tests Overall gains/ losses Overall gains/ losses � Both calculated daily and reported to Profitability of ALM can be measured through net gains management (losses) on debt securities, etc. and unrealized � Market risk management governance gains/losses � ALM Committee under the Executive Committee Financial income Unrealized gains/losses meets monthly for in-depth discussion with Net gains (losses) on management debt securities Decrease or increase in Securities Interest and dividend on � The Global Markets Unit and risk management unrealized gains/losses securities divisions discuss the market risk situation on a (Excl. equities related) weekly basis Interest Net interest rate swaps Decrease or increase in rate swaps income deferred gains/losses 7

NI I （ Net I nterest I ncome ） NI I curve NI I curve � NI I curve (¥) � A NII curve is a plot of changes in net interest income caused by fluctuations of NII level interest rates over a fixed period (one year, two years, etc.) The NII level and curve’s � Periodically calculated and monitored, aim shape (sensitivity) are key to create a B/S with high revenue (bps) generation, increase resilience to interest -50 ± 0 + 50 rate fluctuation (monitored by ALM Interest rate change from current level committee) NI I curve variation examples NI I curve variation examples � How we consider the NI I curve Example Level Shape � When analyzing the NII curve its level and Increase in loans, widening of loan spreads Up Parallel shape (sensitivity to interest rates) are Decrease in loans, smaller loan spreads Down Parallel important Up Flattening Increase in long-term assets � It’s shape (sensitivity) changes based on Increase in long-term funding Down Flattening how interest rate risk is taken Liability sensitive Asset sensitive � Asset sensitive: NII up if interest rate rise NII level NII level Liability sensitive: NII up if interest rate decline Interest rate change Interest rate change from current level from current level 8

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