## 6. Overview of Policies and Procedures for the Counterparty Credit Risk Management of Derivative and Long Settlement Transactions 

For derivative transactions, credit review of counterparty is conducted in advance, and credit limit is assigned when the credit soundness is confirmed. Exposure amount and collateral value are calculated and compared daily; accordingly, collateral is pledged or accepted. Likewise, for long settlement transactions, credit review of counter- party is required and transaction can only be conducted if the credit limit is assigned. 

Credit limits of the counterparty are reviewed periodically. In addi- tion, for uncollateralized exposures, allowance amount is calculated 

## 7. Securitization Exposures 

A). Overview of risk management policies and nature of other risks 

The Group is involved in securitization transactions as an investor, and accordingly holds securitization products under investment and trading accounts. 

Outstanding exposures and credit soundness of securitization products are periodically monitored by independent risk control departments. 

B). Overview of monitoring systems and situation of its operations 

Periodical monitoring of securitization exposures are being con- ducted in order to adequately grasp comprehensive risk charac- teristics of securitization exposures including risk characteristics of underlying asset, performance related information of underlying assets, and the scheme of the securitization transaction. 

C). Policies when securitization transactions are used for CRM Techniques purpose 

Not applicable. 

D). Method of calculating credit risk asset 

The Standardized Approach is used in order to calculate credit risk amount. 

E). Method of calculating market risk amount 

For general market risk, the internal model is used, for specific risk, the standardized approach is used. 

F). Engagement to the securitization transaction through Special Purpose Entity, if applied type of SPE and the exposure 

Trust and Special Purpose Company are used as SPEs, and the securitization exposure is partially owned and treated on balance. 

based upon allowance percentage that is set in accordance with the Group’s internal credit rating and maturity of transaction. 

Risk capital is allocated based upon the credit VaR, and reviewed semiannually. Upon the time when own credit rating downgraded, additional collateral will be required. The Group carefully monitors the additional collateral amount and accordingly, such amount falls into the allowable level. 

G). The name of the Group company that holds securitization exposure when securitization transaction is engaged by the subsidiary of Group company (excluding consolidated subsidiaries) and affiliated Group company (including securitization transaction engaged by the Group through SPEs) 

Not applicable 

H). Accounting policy applied for the securitization transaction 

The Group complies with Accounting Standard Board of Japan Statement No. 10, “Accounting Standard for Financial Instruments” in recognizing, evaluating, and booking the occur- rence or extinguishment of financial assets or liabilities related to securitization transactions. 

I ). ECAIs used when determining the risk weight 

Following ECAIs are used in order to determine the risk weight for the securitization exposures. 

Rating & Investment Information, Inc. Japan Credit Rating Agency, Ltd. Moody’s Investors Service, Inc. Standard & Poor’s Rating Services Fitch Ratings Ltd. 

J). Overview when the Group uses the Internal Assessment Approach 

Not applicable 

K). Overview if significant change in quantitative information is observed 

Not applicable 

