Managing Earnings and Risk through ALM and Integrated Risk Management
First written in FY2016. 6 of 26 entries say "Advanced", first in FY2019-Q3. Latest entry: FY2026.
The whole theme swung hardest in 2026: 8 of 35 companies on the "Worse" side.
13 other companies' latest entry also says "Advanced".
- FY2026AdvancedAnnual report
「Credit risk and market risk are quantified using VaR (value at risk), and efforts are made to control risk exposure within the amount of shareholders’ equity allocated to each category under the capital allocation plan. Stress tests are also conducted periodically to confirm that the required regulatory capital ratio would be maintained even if a stress event occurred and risk materialized.」
The company specified management methods using ALM and other measures, VaR-based quantification, capital allocation, and stress testing. - FY2026-H1MitigatedAnnual report
「Receive floating / pay fixed 42,697 42,697 2,237」
The notional amount of interest rate swaps to which hedge accounting was applied increased from ¥14,494 million at the end of the previous fiscal year to ¥42,697 million, while their fair value improved from a liability of ¥189 million to an asset of ¥2,237 million. The notional amount of forward exchange contracts sold also decreased from ¥48,115 million to ¥38,865 million. - FY2025-H1MitigatedAnnual report
「For the interim consolidated accounting period ended 30 September 2024: forward exchange contracts, sold, 44,603, ―, 329, 329; bought, 4,324, ―, △1, △1; total, ―――――, ―――――, 327, 327.」
Forward exchange contracts changed from ¥62,030 million sold and a valuation loss of ¥1,191 million at the end of the previous fiscal year to ¥44,603 million sold and a valuation gain of ¥329 million. The hedging fair value of interest rate swaps also decreased from a liability of ¥538 million to ¥391 million, indicating an improvement in the valuation position of derivatives. - FY2024-Q3MitigatedAnnual report
「Forward exchange contracts Sold 68,645 1,133 1,133 Bought 4,269 1 1 Total ――――― 1,134 1,134」
The notional amount of forward exchange contracts sold decreased from ¥87,448 million at the end of the immediately preceding second quarter to ¥68,645 million, while valuation gains and losses changed from a loss of ¥1,944 million at that time to a gain of ¥1,134 million. - FY2024-Q2WorsenedAnnual report
「Forward exchange contracts Sold 87,448 ― △1,944 △1,944 Bought 4,622 ― 0 0 Total ――――― ――――― △1,943 △1,943」
The notional amount of forward exchange contracts sold increased from ¥46,739 million at the end of the previous fiscal year to ¥87,448 million, and valuation gains and losses changed from a gain of ¥233 million to a loss of ¥1,944 million. Exposure to foreign exchange-related derivatives and valuation losses have increased. - FY2024-Q1Increase in forward exchange contracts sold and valuation lossAnnual report
「Forward exchange contracts Sold 63,736 △2,685 △2,685 Bought 4,394 0 0」
The notional amount of forward exchange contracts sold increased from ¥46,739 million at the end of the previous fiscal year to ¥63,736 million, while valuation gains and losses changed from a gain of ¥233 million at the end of the previous fiscal year to a loss of ¥2,685 million. - FY2023Decrease in interest-rate and currency-hedging contract amountsAnnual report
「Receive floating / pay fixed 21,909 21,909 △861」
The notional amount of interest rate swaps to which hedge accounting was applied decreased from ¥37,654 million at the end of the previous fiscal year to ¥21,909 million, and their fair value was a liability of ¥861 million. The notional amount of currency swaps also decreased from ¥23,206 million to ¥9,367 million. - FY2023-Q3Increase in forward exchange contracts sold and valuation gainsAnnual report
「Forward exchange contracts Sold 59,117 3,289 3,289 Bought 3,981 △1 △1 Total ――――― 3,287 3,287」
The notional amount of forward exchange contracts sold increased from ¥1,737.2 million at the end of the previous fiscal year to ¥5,911.7 million, and valuation gains and losses on currency-related transactions resulted in a gain of ¥3,287 million. The composition and valuation gains and losses of interest rate- and currency-related derivatives have changed. - FY2023-Q2Decrease in interest-rate and currency-hedging contract amountsAnnual report
「Receive floating / pay fixed 23,781 23,781 △1,023」
The notional amount of interest rate swaps to which hedge accounting was applied decreased from ¥37,654 million at the end of the previous fiscal year to ¥23,781 million, and their fair value was a liability of ¥1,023 million. The notional amount of currency swaps also decreased from ¥23,206 million to ¥19,978 million. - FY2023-Q1Reduction in derivative-related valuation liabilitiesAnnual report
「Derivative-related (Notes 1 and 2) Interest-related ― (778) ― (778) Currency-related ― (87) ― (87)」
At the end of the first quarter, net derivative-related liabilities were ¥778 million for interest-related items and ¥87 million for currency-related items. Net liabilities on a valuation basis decreased from ¥1,676 million for interest-related items and ¥389 million for currency-related items at the end of the previous fiscal year. - FY2022AdvancedAnnual report
「In risk management, to strengthen earnings in the market division through diversified risk-taking, we will establish an organizational framework for risk management appropriate to the expansion of our operating scale. We will also expand risk communication with management and the responsible departments through the risk appetite framework, and seek to secure stable long-term earnings and financial soundness through management that takes a forward-looking perspective and clearly defines the risks to take and those not to take.」
Specifies, as key strategies under the 20th Long-Term Management Plan, an organizational framework to support the expansion of the operating scale and risk communication through the risk appetite framework, in addition to ALM and derivatives management. - FY2022-Q3Changes in the composition and valuation gains and losses of currency-related derivativesAnnual report
「Third quarter of the current consolidated fiscal year (31 December 2021): foreign exchange forwards, sold 7,201, △13, △13; purchased 3,459, 0, 0; OTC currency options, sold 4,578, △73, △44; purchased 4,578, 73, 51.」
At the end of the third quarter, currency-related derivatives consisted of sold foreign exchange forwards with a contract amount of ¥7,201 million, purchased forwards of ¥3,459 million, and currency options of ¥4,578 million for both sold and purchased positions. The composition of contract amounts and valuation gains and losses changed from the end of the previous fiscal year, with total valuation gains and losses moving from ¥40 million to a loss of ¥6 million. - FY2022-Q2Decrease in interest rate swap contract amount and increase in valuation lossAnnual report
「Floating received and fixed paid 59,527 59,527 △1,459」
The contract amount of interest rate swaps to which hedge accounting was applied decreased from ¥6,139.9 billion at the end of the previous fiscal year to ¥5,952.7 billion, and their fair value was negative ¥145.9 million. - FY2021AdvancedAnnual report
「We will also expand risk communication with management and the responsible departments through the risk appetite framework, and seek to secure stable long-term earnings and financial soundness through management that takes a forward-looking perspective and clearly defines the risks to take and those not to take.」
In addition to management through ALM and derivatives, identifies risk communication using the risk appetite framework and clarification of the risks to take and those not to take as new management measures. - FY2021-Q3Elimination of interest-related transactions and change in the composition of foreign exchange-related transactionsAnnual report
「Foreign exchange forwards, sold 6,655, 23, 23; purchased 26,976, △166, △166; OTC currency options, sold 8,836, △97, △25; purchased 8,836, 97, 50」
At the end of the third quarter, there were no interest-related transactions, while foreign exchange forwards and currency options continued to be disclosed. Compared with the end of the previous fiscal year, sold foreign exchange forwards decreased, while purchased forwards and currency options increased. - FY2021-Q2Decrease in interest rate swaps and increase in foreign exchange-related derivativesAnnual report
「First six months of the current consolidated fiscal year (as of 30 September 2020): interest rate swaps, floating received and fixed paid, 8,000, 8,000, △214, △214. … Foreign exchange forwards, sold 17,761, ―, △17, △17; purchased 36,539, ―, 55, 55. Currency options, sold 11,072, ―, △131, △48; purchased 11,072, ―, 131, 77.」
The contract amount of interest rate swaps hedging interest-rate risk decreased from ¥66,139 million at the end of the previous fiscal year to ¥63,272 million, while the contract amounts of foreign exchange forwards and currency options increased, changing the composition of derivatives. - FY2021-Q1Decrease in foreign exchange forwards and increase in currency optionsAnnual report
「First quarter of the current consolidated fiscal year (30 June 2020): foreign exchange forwards, sold 7,960, △14, △14; purchased 9,449, 27, 27; OTC currency options, sold 4,028, △38, △14; purchased 4,028, 38, 22」
The composition of currency-related derivatives changed. The contract amount of sold foreign exchange forwards decreased from ¥17,906 million at the end of the previous fiscal year to ¥7,960 million, while the contract amount of currency options increased from ¥3,550 million to ¥4,028 million. - FY2020Increase in hedging transactionsAnnual report
「Current consolidated fiscal year: interest rate swaps, floating received and fixed paid, 66,139, 65,144, △4,701. Currency swaps, 28,395, 28,395, △56.」
The contract amount of interest rate swap hedges increased from ¥50,586 million in the previous fiscal year to ¥66,139 million, while currency swaps covering foreign securities denominated in foreign currencies and other instruments totaled ¥28,395 million. - FY2020-Q3Decrease in interest rate swaps and increase in foreign exchange forwardsAnnual report
「Third quarter of the current consolidated fiscal year (31 December 2019): interest rate swaps, fixed received and floating paid, 6,000, 29, 29; floating received and fixed paid, 14,000, △561, △561. … Foreign exchange forwards, sold 28,705, △179, △179; purchased 4,267, 11, 11.」
In derivatives transactions at the end of December 2019, the total contract amount and other figures for interest rate swaps were ¥20,000 million, while those for sold foreign exchange forwards were ¥28,705 million, indicating a change in the composition of interest-rate and currency-related transactions. - FY2020-Q2AdvancedAnnual report
「First six months of the current consolidated fiscal year (as of 30 September 2019): interest rate swaps, floating received and fixed paid, 68,506, 67,017, △3,836. Currency-related transactions: foreign exchange forwards, sold 21,582, purchased 3,781; currency options, sold 3,036, purchased 3,036.」
For derivatives hedging interest-rate and foreign-exchange risk, the contract amount of interest rate swaps increased from ¥50,586 million at the end of the previous March to ¥68,506 million, and foreign exchange forwards and currency options were also disclosed. - FY2020-Q1Increase in currency-related derivativesAnnual report
「First quarter of the current consolidated fiscal year (30 June 2019): foreign exchange forwards, sold ¥7,827 million, purchased ¥3,660 million; OTC currency options, sold ¥884 million, purchased ¥884 million」
Disclosed the contract amounts and other figures for foreign exchange forwards and currency options at the end of the quarter in connection with derivatives transactions conducted as part of ALM. - FY2019AdvancedAnnual report
「Specifically, we monitor risk primarily through gap analysis and interest-rate sensitivity analysis, using methods including BPV (basis point value) and VaR (value at risk), and report to the ALM Committee monthly. As part of ALM, we also engage in derivatives transactions, including interest rate swaps, to hedge interest rate risk.」
Disclosed specific operating methods for ALM management, including gap analysis, interest-rate sensitivity analysis, BPV, VaR, monthly reporting and hedging with interest rate swaps. - FY2019-Q3AdvancedAnnual report
「The following items are material to the operation of the business of the corporate group and showed significant changes compared with the end of the previous consolidated fiscal year: interest rate swaps, fixed received and floating paid, ¥6,000 million; floating received and fixed paid, ¥37,000 million.」
Disclosed interest rate swaps with a contract amount and other figures of ¥43.0 billion at the end of the third quarter for interest-related derivatives that had not existed at the end of the previous consolidated fiscal year. - FY2018RestatedAnnual report
「Accordingly, we conduct asset-liability management (ALM) to appropriately control the balance between earnings and risk based on our asset and liability position and financial and capital market trends, in line with our funding and investment policies. As part of this, we also engage in derivatives transactions.」
Continues to manage earnings and risk through ALM and derivatives transactions. - FY2017RestatedAnnual report
「Accordingly, we conduct asset-liability management (ALM) to appropriately control the balance between earnings and risk based on our asset and liability position and financial and capital market trends, in line with our funding and investment policies. As part of this, we also engage in derivatives transactions.」
Continues to manage earnings and risk through ALM and derivatives transactions. - FY2016First statedAnnual report
「Based on the status of our assets and liabilities and trends in the financial and capital markets, we conduct asset-liability management (ALM) to appropriately control the balance between earnings and risk in line with our funding and investment policies. We also conduct derivatives transactions as part of this process.」
The bank describes a management framework combining asset-liability management, derivatives, and risk-management and ALM committees.