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Derivative Financial Instruments (Tables)

12 Months Ended

Mar. 31, 2024

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, 2023 and 2024:


	Notional amounts(1)
	2023		2024
	(in trillions)
Interest rate contracts	¥	1,625.6	¥	1,812.9
Foreign exchange contracts	307.4		340.2
Equity contracts	5.3		5.0
Commodity contracts	0.1		0.2
Credit derivatives	11.5		5.3
Other	3.2		3.6
Total	¥	1,953.1	¥	2,167.2

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, 2023 and 2024:


	Fair value of derivative instruments
	2023(1)(5)						2024(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	¥	7,445	¥	—	¥	7,445	¥	9,506	¥	—	¥	9,506
Foreign exchange contracts	5,276		5		5,281		5,628		5		5,633
Equity contracts	90		—		90		123		—		123
Commodity contracts	10		—		10		19		—		19
Credit derivatives	80		—		80		47		—		47
Other(6)	5		—		5		—		—		—
Total derivative assets	¥	12,906	¥	5	¥	12,911	¥	15,323	¥	5	¥	15,328

Derivative liabilities:
Interest rate contracts	¥	8,697	¥	—	¥	8,697	¥	10,693	¥	—	¥	10,693
Foreign exchange contracts	5,018		—		5,018		5,546		1		5,547
Equity contracts	128		—		128		158		—		158
Commodity contracts	10		—		10		18		—		18
Credit derivatives	90		—		90		62		—		62
Other(6)	(110)		—		(110)		(110)		—		(110)
Total derivative liabilities	¥	13,833	¥	—	¥	13,833	¥	16,367	¥	1	¥	16,368

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)
	2022						2023						2024
	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	¥	—	¥	51	¥	51	¥	—	¥	263	¥	263	¥	—	¥	(216)	¥	(216)
Foreign exchange contracts	(39)		—		(39)		61		—		61		(398)		—		(398)
Equity contracts	—		(98)		(98)		—		(13)		(13)		—		(618)		(618)
Commodity contracts	—		—		—		—		—		—		—		(1)		(1)
Credit derivatives	—		(34)		(34)		—		(20)		(20)		—		(27)		(27)
Other(1)	(6)		(21)		(27)		(3)		8		5		(9)		(85)		(94)
Total	¥	(45)	¥	(102)	¥	(147)	¥	58	¥	238	¥	296	¥	(407)	¥	(947)	¥	(1,354)

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, 2023 and 2024:


	Protection sold
	Maximum potential/Notional amount by expiration period								Fair value
At March 31, 2023:	1 year or less		1-5 years		Over 5 years		Total		(Asset)/ Liability(1)
	(in millions)
Single name credit default swaps:
Investment grade(2)	¥	616,504	¥	2,222,393	¥	529,796	¥	3,368,693	¥	(30,117)
Non-investment grade	163,982		313,135		48,177		525,294		13,477
Total	780,486		2,535,528		577,973		3,893,987		(16,640)
Index and basket credit default swaps:
Investment grade(2)	—		217,259		1,596		218,855		(1,266)
Non-investment grade	37,359		599,638		6,200		643,197		(7,121)
Not rated	—		435,452		3,192		438,644		(3,329)
Total	37,359		1,252,349		10,988		1,300,696		(11,716)
Total credit default swaps sold	¥	817,845	¥	3,787,877	¥	588,961	¥	5,194,683	¥	(28,356)


	Protection sold
	Maximum potential/Notional amount by expiration period								Fair value
At March 31, 2024:	1 year or less		1-5 years		Over 5 years		Total		(Asset)/ Liability(1)
	(in millions)
Single name credit default swaps:
Investment grade(2)	¥	212,513	¥	736,935	¥	219,642	¥	1,169,090	¥	(17,199)
Non-investment grade	82,749		146,029		15,837		244,615		211
Total	295,262		882,964		235,479		1,413,705		(16,988)
Index and basket credit default swaps:
Investment grade(2)	73,300		681,443		10,202		764,945		(11,458)
Non-investment grade	—		—		—		—		—
Not rated	2,836		24,623		3,404		30,863		(548)
Total	76,136		706,066		13,606		795,808		(12,006)
Total credit default swaps sold	¥	371,398	¥	1,589,030	¥	249,085	¥	2,209,513	¥	(28,994)

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.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details