Investor Presentaiton
Securitized Products Exposure
1. Summary
2. How to Increase
Corporate Value
3. Appendix
4. Financial Data
As of March 31, 2023 and September 30, 2023, the Bank held the following securitized products.
The Bank's holdings of securitized products were limited to securitization exposure as final investor. The Bank has never originated any securitized
products and thus has no exposure as an originator and no exposure to special purpose entities (SPEs) that should be consolidated.
(Millions of yen)
As of March 31, 2023
As of September 30, 2023
Acquisition
cost
Net unrealized
gains (losses)
Credit
Acquisition
Net unrealized
ratings
cost
gains (losses)
Credit
ratings
Domestic
Residential mortgage-backed securities (RMBS)
1,274,002
(11,695)
AAA
1,251,916
(34,117)
AAA
Held-to-maturity
350,366
(10,365)
AAA
366,969
(18,422)
AAA
Available-for-sale
923,635
(1,330)
AAA
884,947
(15,695)
AAA
Collateralized loan obligations (CLO)
Other securitized products
288,156
(111)
AAA
260,139
(397)
AAA
Commercial mortgage-backed securities (CMBS)
Collateralized debt obligations (CDO)
Domestic subtotal
561
11
AAA
532
9
AAA
1,562,720
(11,795)
1,512,588
(34,505)
Overseas
Residential mortgage-backed securities (RMBS)
27,906
3,161
AAA
24,093
4,658
AAA
Collateralized loan obligations (CLO)
2,326,005
293,625
AAA
2,568,627
652,194
AAA
Held-to-maturity
1,408,606
106,062
AAA
1,660,045
319,197
AAA
Available-for-sale
917,398
187,563
AAA
908,581
332,996
AAA
Overseas subtotal
Total (domestic + overseas)
2,353,911
296,787
2,592,721
656,853
3,916,631
284,991
4,105,309
622,347
Notes: 1. The figures in the above table are reference value calculated not on financial accounting basis but on management accounting basis.
2. The underlying assets provided are only those from multiple debtors comprising securitized products.
3. The above table does not include securitized products that might be included in investment trusts.
4. Net unrealized gains (losses) do not reflect the effect of foreign exchange hedging. No hedging activities against credit risks were made.
5. Other securitized products are securitized products of which underlying assets are mainly auto loan claims.
6. "Overseas" does not include U.S. government sponsored enterprises, etc. (GSES) related products.
7. The overseas collateralized loan obligations (CLO) are only those in the United States and Europe. Net unrealized gains (losses) on the overseas CLO including foreign exchange hedging were
as follows. Held-to-maturity securities (fair value hedge accounting was not applicable): JPY (8,705) million as of September 30, 2023, compared with JPY (23,642) million as of March 31, 2023.
Available-for-sale securities (fair value hedge accounting was applicable): JPY (3,550) million as of September 30, 2023, compared with JPY (17,158) million as of March 31, 2023.
JP JAPAN POST BANK
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