MITSUBISHI UFJ FINANCIAL GROUP INC - 20-F filing on 2022-07-08

Derivative Financial Instruments (Tables)

12 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amounts of Derivative Contracts

The following table summarizes the notional amounts of derivative contracts at March 31, 2021 and 2022:


	Notional amounts(1)
	2021		2022
	(in trillions)
Interest rate contracts	¥	1,308.4	¥	1,391.8
Foreign exchange contracts	222.0		245.0
Equity contracts	8.0		7.4
Commodity contracts	0.1		0.1
Credit derivatives	9.8		9.8
Other	3.5		3.2
Total	¥	1,551.8	¥	1,657.3

Note:

(1)Includes both written and purchased positions.

Fair Value Information on Derivative Instruments Recorded on Consolidated Balance Sheet

The following table summarizes fair value information on derivative instruments that are recorded on the MUFG Group’s consolidated balance sheets at March 31, 2021 and 2022:


	Fair value of derivative instruments
	2021(1)(5)						2022(1)(5)
	Not designated as hedges(2)		Designated as hedges(3)		Total derivatives(4)		Not designated as hedges(2)		Designated as hedges(3)		Total derivatives(4)
	(in billions)
Derivative assets:
Interest rate contracts	¥	7,718	¥	—	¥	7,718	¥	5,445	¥	—	¥	5,445
Foreign exchange contracts	3,910		—		3,910		4,801		2		4,803
Equity contracts	231		—		231		151		—		151
Commodity contracts	27		—		27		22		—		22
Credit derivatives	94		—		94		103		—		103
Other(6)	17		—		17		10		—		10
Total derivative assets	¥	11,997	¥	—	¥	11,997	¥	10,532	¥	2	¥	10,534

Derivative liabilities:
Interest rate contracts	¥	7,361	¥	—	¥	7,361	¥	5,652	¥	—	¥	5,652
Foreign exchange contracts	4,022		5		4,027		4,907		1		4,908
Equity contracts	237		—		237		277		—		277
Commodity contracts	27		—		27		22		—		22
Credit derivatives	109		—		109		101		—		101
Other(6)	(47)		—		(47)		(65)		—		(65)
Total derivative liabilities	¥	11,709	¥	5	¥	11,714	¥	10,894	¥	1	¥	10,895

Notes:

(1)The fair value of derivative instruments is presented on a gross basis even when derivative instruments are subject to master netting agreements. Cash collateral payable and receivable associated with derivative instruments are not added to or netted against the fair value amounts.

(2)The derivative instruments which are not designated as a hedging instrument are held for trading and risk management purposes, and are presented in Trading account assets and liabilities except for (6).

(3)The MUFG Group adopts hedging strategies and applies hedge accounting to certain derivative transactions entered into by certain subsidiaries. The derivative instruments which are designated as hedging instruments are presented in Other assets or Other liabilities on the accompanying consolidated balance sheets.

(4)This table does not include contracts with embedded derivatives for which the fair value option has been elected.

(5)For more information about fair value measurement and assumptions used to measure the fair value of derivatives, see Note 31.

(6)Other mainly includes bifurcated embedded derivatives carried at fair value, which are presented in Loans, Deposits and Long-term debt.

Gains and Losses for Trading and Risk Management Derivatives (Not Designated as Hedging Instruments)

Gains and losses for trading and risk management derivatives (not designated as hedging instruments)


	Trading and risk management derivatives gains and losses (Not designated as hedging instruments)
	2020						2021						2022
	Foreign exchange gains (losses) —net		Trading account profits (losses) —net		Total		Foreign exchange gains (losses) —net		Trading account profits (losses) —net		Total		Foreign exchange gains (losses) —net		Trading account profits (losses) —net		Total
	(in billions)
Interest rate contracts	¥	—	¥	(173)	¥	(173)	¥	—	¥	70	¥	70	¥	—	¥	51	¥	51
Foreign exchange contracts	(429)		—		(429)		(91)		—		(91)		(39)		—		(39)
Equity contracts	—		30		30		—		(269)		(269)		—		(98)		(98)
Credit derivatives	—		15		15		—		(53)		(53)		—		(34)		(34)
Other(1)	(5)		(31)		(36)		11		(178)		(167)		(6)		(21)		(27)
Total	¥	(434)	¥	(159)	¥	(593)	¥	(80)	¥	(430)	¥	(510)	¥	(45)	¥	(102)	¥	(147)

Note:

(1)Other mainly includes bifurcated embedded derivatives carried at fair value, which are presented in Loans, Deposits and Long-term debt.

Protection Sold Through Credit Derivatives

The table below summarizes certain information regarding protection sold through credit derivatives as of March 31, 2021 and 2022:


	Protection sold
	Maximum potential/Notional amount by expiration period								Fair value
At March 31, 2021:	1 year or less		1-5 years		Over 5 years		Total		(Asset)/ Liability(1)
	(in millions)
Single name credit default swaps:
Investment grade(2)	¥	294,312	¥	2,235,390	¥	715,896	¥	3,245,598	¥	(67,707)
Non-investment grade	84,780		311,702		59,145		455,627		5,284
Not rated	—		1,683		—		1,683		(83)
Total	379,092		2,548,775		775,041		3,702,908		(62,506)
Index and basket credit default swaps:
Investment grade(2)	43,000		470,063		29,133		542,196		(4,753)
Non-investment grade	35,427		65,319		—		100,746		(1,165)
Not rated	59,534		29,971		852		90,357		(919)
Total	137,961		565,353		29,985		733,299		(6,837)
Total credit default swaps sold	517,053		3,114,128		805,026		4,436,207		(69,343)
Other credit derivatives sold(3):
Investment grade(2)	—		16,606		—		16,606		57
Total credit derivatives	¥	517,053	¥	3,130,734	¥	805,026	¥	4,452,813	¥	(69,286)


	Protection sold
	Maximum potential/Notional amount by expiration period								Fair value
At March 31, 2022:	1 year or less		1-5 years		Over 5 years		Total		(Asset)/ Liability(1)
	(in millions)
Single name credit default swaps:
Investment grade(2)	¥	408,281	¥	1,874,796	¥	731,946	¥	3,015,023	¥	(61,308)
Non-investment grade	91,161		349,847		66,452		507,460		5,378
Not rated	—		—		—		—		—
Total	499,442		2,224,643		798,398		3,522,483		(55,930)
Index and basket credit default swaps:
Investment grade(2)	67,600		458,153		36,955		562,708		(9,604)
Non-investment grade	56,299		19,936		—		76,235		(61)
Not rated	19,944		279,955		886		300,785		(7,320)
Total	143,843		758,044		37,841		939,728		(16,985)
Total credit default swaps sold	643,285		2,982,687		836,239		4,462,211		(72,915)
Other credit derivatives sold:
Investment grade	—		—		—		—		—
Total credit derivatives	¥	643,285	¥	2,982,687	¥	836,239	¥	4,462,211	¥	(72,915)

Notes:

(1)Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.

(2)The MUFG Group considers ratings of Baa3/BBB- or higher to meet the definition of investment grade.

(3)Other credit derivatives primarily consist of guarantees for exposures held by the counterparty under interest rate swaps and other types of derivative contracts.