Fair value (Tables)

12 Months Ended

Mar. 31, 2020

Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis, Including Fair Value Option Elected

Assets and liabilities measured at fair value on a recurring basis at March 31, 2019 and 2020, including those for which the MHFG Group has elected the fair value option, are summarized below:

2019	Level 1		Level 2		Level 3		Assets/ Liabilities measured at fair value
	(in billions of yen)
Assets:
Trading securities(1):
Japanese government bonds		1,829		33		—		1,862
Japanese local government bonds		—		134		—		134
U.S. Treasury bonds and federal agency securities		1,069		138		—		1,207
Other foreign government bonds		2,417		553		—		2,970
Agency mortgage-backed securities		—		1,041		—		1,041
Residential mortgage-backed securities		—		—		11		11
Certificates of deposit and commercial paper		—		1,047		—		1,047
Corporate bonds and other(2)		36		1,806		1,044		2,886
Equity securities		1,297		—		28		1,325
Trading securities measured at net asset value(3)								631
Derivative financial instruments:
Interest rate contracts		36		5,729		21		5,786
Foreign exchange contracts		9		1,927		23		1,959
Equity-related contracts		58		63		4		125
Credit-related contracts		—		16		2		18
Other contracts		2		4		10		16
Available-for-sale securities:
Japanese government bonds		10,902		995		—		11,897
Japanese local government bonds		—		210		—		210
U.S. Treasury bonds and federal agency securities		1,009		—		—		1,009
Other foreign government bonds		456		886		—		1,342
Agency mortgage-backed securities		—		544		—		544
Residential mortgage-backed securities		—		61		40		101
Commercial mortgage-backed securities		—		—		500		500
Japanese corporate bonds and other debt securities		—		1,629		120		1,749
Foreign corporate bonds and other debt securities		—		678		103		781
Equity securities :
Equity securities with readily determinable fair values		3,633		135		—		3,768
Equity securities measured at net asset value(3)								53
Other investments		—		—		35		35
Total assets measured at fair value on a recurring basis		22,753		17,629		1,941		43,007
Liabilities:
Trading securities sold, not yet purchased		2,380		199		1		2,580
Derivative financial instruments:
Interest rate contracts		38		5,564		8		5,610
Foreign exchange contracts		11		1,746		1		1,758
Equity-related contracts		82		51		9		142
Credit-related contracts		—		16		1		17
Other contracts		1		4		9		14
Long-term debt(4)		—		1,778		655		2,433
Total liabilities measured at fair value on a recurring basis		2,512		9,358		684		12,554

2020	Level 1		Level 2		Level 3		Assets/ Liabilities measured at fair value
	(in billions of yen)
Assets:
Trading securities(1):
Japanese government bonds		1,516		22		—		1,538
Japanese local government bonds		—		170		—		170
U.S. Treasury bonds and federal agency securities		4,580		461		—		5,041
Other foreign government bonds		1,128		547		—		1,675
Agency mortgage-backed securities		—		3,390		—		3,390
Residential mortgage-backed securities		—		—		10		10
Certificates of deposit and commercial paper		—		1,036		—		1,036
Corporate bonds and other(2)		41		1,398		1,115		2,554
Equity securities		1,000		650		30		1,680
Trading securities measured at net asset value(3)								462
Derivative financial instruments:
Interest rate contracts		153		7,070		9		7,232
Foreign exchange contracts		9		2,900		17		2,926
Equity-related contracts		169		125		16		310
Credit-related contracts		—		22		8		30
Other contracts		3		11		24		38
Available-for-sale securities:
Japanese government bonds		11,950		653		—		12,603
Japanese local government bonds		—		273		—		273
U.S. Treasury bonds and federal agency securities		935		—		—		935
Other foreign government bonds		436		975		—		1,411
Agency mortgage-backed securities		—		505		—		505
Residential mortgage-backed securities		—		53		31		84
Commercial mortgage-backed securities		—		—		615		615
Japanese corporate bonds and other debt securities		—		1,678		157		1,835
Foreign corporate bonds and other debt securities		—		678		174		852
Equity securities :
Equity securities with readily determinable fair values		2,670		95		—		2,765
Equity securities measured at net asset value(3)								72
Other investments		—		—		39		39
Total assets measured at fair value on a recurring basis		24,590		22,712		2,245		50,081
Liabilities:
Trading securities sold, not yet purchased		1,880		515		—		2,395
Derivative financial instruments:
Interest rate contracts		163		6,611		14		6,788
Foreign exchange contracts		8		2,890		1		2,899
Equity-related contracts		186		47		33		266
Credit-related contracts		—		19		10		29
Other contracts		6		10		23		39
Long-term debt(4)		—		1,916		621		2,537
Total liabilities measured at fair value on a recurring basis		2,243		12,008		702		14,953

Notes:

(1) Trading securities include foreign currency denominated securities for which the MHFG Group elected the fair value option.

(2) The amount includes CLO and convertible bonds, which are classified in Level 3.

(3) In accordance with ASC 820, certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented for these classes of assets are intended to permit the reconciliation of the fair value hierarchy to the amounts presented in the statements of financial position. The amounts of unfunded commitments related to these investments at March 31, 2019 and 2020 were ¥37 billion and ¥47 billion, respectively.

(4) Amounts represent items for which the Group elected the fair value option or for which it applied the practicability exception.

Reconciliation for All Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following table presents a reconciliation for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the fiscal years ended March 31, 2019 and 2020:

2019	April 1, 2018		Gains (losses) in Earnings			Gains (losses) in OCI			Transfers into Level 3		Transfers out of Level 3			Purchases			Sales			Issuances		Settle- ments			March 31, 2019			Change in unrealized gains (losses) still held(6)
	(in billions of yen)
Assets:
Trading securities:
Residential mortgage-backed securities		12		—	(2)		—			—		—			—			—			—		(1	)		11			—
Corporate bonds and other		1,013		1	(2)		—			—		—			762			(378	)		—		(354	)		1,044			8
Equity securities		23		1	(2)		—			—		—			7			(3	)		—		—			28			(1	)
Derivative financial instruments, net(1):
Interest rate contracts		21		(11	)(2)		—			—		—			—			—			—		3			13			(5	)
Foreign exchange contracts		12		15	(2)		—			—		—			—			—			—		(5	)		22			14
Equity-related contracts		4		(15	)(2)		—			—		—			—			—			—		6			(5	)		3
Credit-related contracts		1		(2	)(2)		—			—		—			—			—			—		2			1			1
Other contracts		—		1	(2)		—			—		—			—			—			—		—			1			1
Available-for-sale securities:
Residential mortgage-backed securities		54		—	(3)		—	(4)		—		—			—			—			—		(14	)		40			—
Commercial mortgage-backed securities		441		—	(3)		1	(4)		—		—			144			(72	)		—		(14	)		500			—
Japanese corporate bonds and other debt securities		163		37	(3)		(33	)(4)		—		—			29			(7	)		—		(69	)		120			19
Foreign corporate bonds and other debt securities		80		—	(3)		(1	)(4)		61		(42	)		27			—			—		(22	)		103			—
Other investments		38		5	(3)		—			—		—			13			(6	)		—		(15	)		35			(2	)
Liabilities:
Trading securities sold, not yet purchased		4		1	(2)		—			—		—			(35	)		33			—		—			1			—
Long-term debt		561		(6	)(5)		10	(4)		7		—			—			—			192		(101	)		655			5

2020	April 1, 2019			Gains (losses) in Earnings			Gains (losses) in OCI			Transfers into Level 3			Transfers out of Level 3			Purchases			Sales			Issuances		Settle- ments			March 31, 2020			Change in unrealized gains (losses) still held(6)
	(in billions of yen)
Assets:
Trading securities:
Residential mortgage-backed securities		11			—	(2)		—			—			—			—			—			—		(1	)		10			—
Corporate bonds and other		1,044			(52	)(2)		—			—			—			802			(297	)		—		(382	)		1,115			(52	)
Equity securities		28			(1	)(2)		—			—			—			6			(2	)		—		(1	)		30			(1	)
Derivative financial instruments, net(1):
Interest rate contracts		13			(6	)(2)		—			1			—			—			—			—		(13	)		(5	)		(16	)
Foreign exchange contracts		22			(4	)(2)		—			—			—			—			—			—		(2	)		16			(3	)
Equity-related contracts		(5	)		(8	)(2)		—			—			—			—			—			—		(4	)		(17	)		(10	)
Credit-related contracts		1			(2	)(2)		—			(1	)		(1	)		—			—			—		1			(2	)		(1	)
Other contracts		1			2	(2)		—			—			—			—			—			—		(2	)		1			1
Available-for-sale securities:
Residential mortgage-backed securities		40			—	(3)		—	(4)		—			—			3			—			—		(12	)		31			—
Commercial mortgage-backed securities		500			—	(3)		1	(4)		—			—			201			(77	)		—		(10	)		615			—
Japanese corporate bonds and other debt securities		120			2	(3)		—	(4)		—			—			106			—			—		(71	)		157			—
Foreign corporate bonds and other debt securities		103			—	(3)		(11	)(4)		—			—			94			—			—		(12	)		174			—
Other investments		35			3	(3)		—			—			—			15			—			—		(14	)		39			3
Liabilities:
Trading securities sold, not yet purchased		1			—	(2)		—			—			—			(18	)		17			—		—			—			—
Long-term debt		655			53	(5)		17	(4)		77			(8	)		—			—			312		(345	)		621			79

Notes:

(1) Total Level 3 derivative exposures have been netted on the table for presentation purposes only.

(2) Gains (losses) in Earnings are reported in Trading account gains (losses)—net, Foreign exchange gains (losses)—net or Other noninterest income (expenses).

(3) Gains (losses) in Earnings are reported in Investment gains (losses)—net.

(4) Gains (losses) in OCI are reported in Other comprehensive income (loss).

(5) Gains (losses) in Earnings are reported in Other noninterest income (expenses).

(6) Amounts represent total gains or losses recognized in earnings during the period. These gains or losses were attributable to the change in fair value relating to assets and liabilities classified as Level 3 that were still held at March 31, 2019 and 2020.

Quantitative Information about Significant Unobservable Inputs Related to Material Classes of Level 3 Assets and Liabilities

The following table presents information about significant unobservable inputs related to the MHFG Group’s material classes of Level 3 assets and liabilities at March 31, 2019 and 2020:

2019
Products/Instruments	Fair value			Principal valuation technique	Unobservable inputs	Range of input values		Weighted average(5)
(in billions of yen, except for percentages and basis points)
Trading securities and Available-for-sale securities:
Residential mortgage-backed securities		51		Discounted cash flow Price-based	Prepayment rate Default rate Recovery rate Discount margin		4%–19% 0%–1% 100%–100% 18bps–170bps		8% 0% 100% 51bps
Commercial mortgage-backed securities		500		Discounted cash flow Price-based	Discount margin		9bps–161bps		24bps
Corporate bonds and other debt securities		1,267		Discounted cash flow Price-based	Prepayment rate(1) Default rate(1) Recovery rate(1) Discount margin(1) Discount margin(2)		22%–22% 2%–2% 69%–69% 48bps–1,173bps 4bps–1,063bps		22% 2% 69% 134bps 295bps
Derivative financial instruments, net:
Interest rate contracts		13		Internal valuation model(3)	IR – IR correlation Default rate(4)		23%–100% 0%–63%
Foreign exchange contracts		22		Internal valuation model(3)	FX – IR correlation FX – FX correlation Default rate(4)		9%–55% 63%–63% 0%–63%
Equity-related contracts		(5	)	Internal valuation model(3)	Equity – IR correlation Equity correlation Equity volatility		25%–25% 40%–100% 5%–36%
Credit-related contracts		1		Internal valuation model(3)	Default rate Credit correlation		0%–5% 29%–100%
Long-term debt		655		Internal valuation model(3)	IR – IR correlation		23%–100%
					FX – IR correlation		9%–55%
					FX – FX correlation		63%–63%
					Equity – IR correlation		25%–25%
					Equity – FX correlation		55%–88%
					Equity correlation		12%–100%
					Equity volatility		5%–49%
					Default rate		0%–4%
					Credit correlation		20%–100%

2020
Products/Instruments	Fair value			Principal valuation technique	Unobservable inputs	Range of input values		Weighted average(5)
(in billions of yen, except for percentages and basis points)
Trading securities and Available-for-sale securities:
Residential mortgage- backed securities		41		Discounted cash flow Price-based	Prepayment rate Default rate Recovery rate Discount margin		4%–16% 0%–1% 100%–100% 5bps–170bps		7% 0% 100% 52bps
Commercial mortgage-backed securities		615		Discounted cash flow Price-based	Discount margin		7bps–185bps		22bps
Corporate bonds and other debt securities		1,446		Discounted cash flow Price-based	Prepayment rate(1) Default rate(1) Recovery rate(1) Discount margin(1) Discount margin(2)		13%–21% 0%–2% 10%–70% 61bps–1,160bps 5bps–1,528bps		21% 2% 67% 256bps 58bps
Derivative financial instruments, net:
Interest rate contracts		(5	)	Internal valuation model(3)	IR – IR correlation Default rate(4)		23%–100% 0%–63%
Foreign exchange contracts		16		Internal valuation model(3)	FX – IR correlation FX – FX correlation Default rate(4)		-37%–49% 56%–65% 0%–63%
Equity-related contracts		(17	)	Internal valuation model(3)	Equity – IR correlation Equity correlation Equity volatility		25%–25% 0%–100% 13%–157%
Credit-related contracts		(2	)	Internal valuation model(3)	Default rate Credit correlation		0%–15% 30%–100%
Long-term debt		621		Internal valuation model(3)	IR – IR correlation		23%–100%
					FX – IR correlation		-37%–50%
					FX – FX correlation		56%–65%
					Equity – IR correlation		25%–25%
					Equity – FX correlation		-33%–100%
					Equity correlation		0%–100%
					Equity volatility		15%–157%
					Default rate		0%–12%
					Credit correlation		15%–100%

(1) These inputs are mainly used for determining the fair values of securitization products such as CDO, CLO and ABS, other than RMBS and CMBS.

(2) This input is mainly used for determining the fair values of Japanese corporate bonds and foreign corporate bonds.

(3) Internal valuation model includes discounted cash flow models and the Black-Scholes option pricing model.

(4) This input represents the counterparty default rate derived from the MHFG Group’s own internal credit analyses.

(5) Weighted averages are calculated by weighting each input by the relative fair value of the respective financial instruments.

IR = Interest rate

FX = Foreign exchange

Summary of Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

The following table shows the fair value hierarchy for these items as of March 31, 2019 and 2020:

2019	Total		Level 1		Level 2		Level 3		Aggregate cost
	(in billions of yen)
Assets:
Loans		125		—		41		84		177
Loans held-for-sale		3		—		3		—		3
Equity securities (without readily determinable fair values)		1		—		—		1		1
Other investments		98		98		—		—		104
Premises and equipment—net		9		—		4		5		34
Intangible assets		—		—		—		—		1
Total assets measured at fair value on a nonrecurring basis		236		98		48		90		320

2020	Total		Level 1		Level 2		Level 3		Aggregate cost
	(in billions of yen)
Assets:
Loans		90		—		—		90		136
Loans held-for-sale		26		—		20		6		26
Equity securities (without readily determinable fair values)		2		—		—		2		2
Premises and equipment—net		1		—		1		—		12
Other assets		—		—		—		—		3
Good will		—		—		—		—		2
Total assets measured at fair value on a nonrecurring basis		119		—		21		98		181

Note: The fair values may not be current as of the dates indicated, but rather as of the date the fair value change occurred. Accordingly, the carrying values may not equal current fair value.

Carrying Amounts and Fair Values of Certain Financial Instruments, Excluding Financial Instruments Carried at Fair Value on a Recurring Basis and Those outside Scope of ASC 825

The following table shows the carrying amounts and fair values at March 31, 2019 and 2020, of certain financial instruments, excluding financial instruments which are carried at fair value on a recurring basis and those outside the scope of ASC 825 such as equity method investments as defined in ASC 323, “Investments—Equity Method and Joint Ventures” (“ASC 323”) and lease contracts as defined in ASC 842, “Leases” (“ASC 842”):

	2019
	Carrying amount		Estimated fair value
			Total		Level 1		Level 2		Level 3
	(in billions of yen)
Financial assets:
Cash and due from banks, interest-bearing deposits in other banks, call loans and funds sold, and receivables under resale agreements and securities borrowing transactions		62,012		62,012		873		61,139		—
Investments		1,604		1,609		1,140		469		—
Loans, net of allowance for loan losses(Note)		82,382		83,490		—		—		83,490
Financial liabilities:
Noninterest-bearing deposits, call money and funds purchased, and payables under repurchase agreements and securities lending transactions		44,918		44,918		24,983		19,935		—
Interest-bearing deposits		112,658		112,655		55,542		57,113		—
Due to trust accounts		312		312		—		312		—
Other short-term borrowings		1,995		1,995		—		1,995		—
Long-term debt		9,096		9,178		—		8,336		842
	2020
	Carrying amount		Estimated fair value
			Total		Level 1		Level 2		Level 3
	(in billions of yen)
Financial assets:
Cash and due from banks, interest-bearing deposits in other banks, call loans and funds sold, and receivables under resale agreements and securities borrowing transactions		63,755		63,755		1,318		62,437		—
Investments		862		875		493		382		—
Loans, net of allowance for loan losses(Note)		86,914		88,124		—		—		88,124
Financial liabilities:
Noninterest-bearing deposits, call money and funds purchased, and payables under repurchase agreements and securities lending transactions		51,954		51,954		29,812		22,142		—
Interest-bearing deposits		114,653		114,659		58,935		55,724		—
Due to trust accounts		250		250		—		250		—
Other short-term borrowings		4,914		4,914		—		4,914		—
Long-term debt		7,821		7,708		—		6,813		895

Note: Loans, net of allowance for loan losses include items measured at fair value on a nonrecurring basis.