SMFG Capital Ratio Information 2. Credit Equivalent Amounts B. Credit Equivalent Amounts A. Calculation Method (1) Derivative Transactions and Long Settlement Transactions Current exposure method (2) Notional Principal Amounts of Credit Derivatives Credit Default Swaps ■  Securitization Exposures 1. Risk Management Policy and Procedures Definition of securitization exposure has been clarified in order to properly identify, measure, evaluate and report risks, and a risk management  department, independent of business units, has been established to centrally manage risks from recognizing securitization exposures to  measuring, evaluating and reporting credit risk-weighted assets. The Group takes one of the following positions in securitization transactions.  There are three methods of calculating the credit risk-weighted asset amount of securitization exposures subject to the IRB approach:  the ratings-based approach, the supervisory formula, and the internal assessment approach. The methods are used as follows. The credit risk-weighted asset amount for securitization exposures subject to the standardized approach is calculated mostly using ratings  published by qualifying rating agencies or based on weighted average risk weights of underlying assets as stipulated in the Notification. GLYPH<129> Originator (a direct or indirect originator of underlying assets or a sponsor of an ABCP conduit or a similar program that acquires  exposures from third-party entities) GLYPH<129> Investor GLYPH<129> Others (for example, provider of swap for preventing a mismatch between the dividend on trust beneficiary rights and cash flows  generated by underlying assets on which the rights are issued) GLYPH<129> First, securitization exposures are examined and the ratings-based approach is applied to qualifying exposures. GLYPH<129> The remaining exposures are examined and the supervisory formula is applied to qualifying exposures. GLYPH<129> The remaining exposures are deducted from capital. 2. Credit Risk-Weighted Asset Calculation Methodology SMFG  2011 192 Note: “Notional principal amount” is defined as the total of “amounts subject to calculation of credit equivalents” and “amounts employed for CRM.” Billions of yen 2011 2010 Notional principal amount Notional principal amount March 31 Total Of which  for CRM Total Of which  for CRM Protection purchased ......................................................... ¥803.0 ¥264.5 ¥ 841.6 ¥258.5 Protection provided ............................................................ 793.6 — 1,147.2 — Billions of yen March 31 2011 2010 Gross replacement cost ................................................................................................................ ¥4,897.5  ¥4,999.8 Gross add-on amount ................................................................................................................... 3,232.7  3,380.6 Gross credit equivalent amount .................................................................................................... 8,130.3  8,380.4 Foreign exchange related transactions ..................................................................................... 2,989.5  3,211.0 Interest rate related transactions ............................................................................................... 4,859.0  4,777.2 Gold related transactions .......................................................................................................... — — Equities related transactions ..................................................................................................... 63.1  69.6 Precious metals (excluding gold) related transactions .............................................................. — — Other commodity related transactions ...................................................................................... 144.0  167.7 Credit default swaps .................................................................................................................. 74.7  154.9 Reduction in credit equivalent amount due to netting .................................................................. 4,541.8  4,574.6 Net credit equivalent amount ........................................................................................................ 3,588.5  3,805.8 Collateral amount .......................................................................................................................... 16.5  20.2 Eligible financial collateral ......................................................................................................... 16.5  20.2 Other eligible IRB collateral ....................................................................................................... — — Net credit equivalent amount  (after taking into account the CRM effect of collateral) ............................................................... ¥3,572.0 ¥3,785.6