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概要

Annual Reportは、ごうぎんの決算や活動内容にて海外の皆様に知っていただくために作成しています

THE SAN-IN GODO BANK, LTD. AND CONSOLIDATED SUBSIDIARIESNotes to the Consolidated Financial StatementsWith respect to control system on the volume of risk, status of self-assessment, internal rating, write-offs and provision,status on measurement of risk with VaR, etc., status of concentration of credit risk, status of profitability on lending and statuson doubtful accounts are reported to the Loan Review (executive management meeting), the Credit Risk Control Committeeand the ALM Committee on a regular basis and, if necessary, discussed in the executive management meeting. The Bankallocates capital to the credit risk exposure and monitors it to balance the volume of risk within the extent of the capacity(capital).Market risk management(a) Qualitative information on market risk managementWith respect to market risk management, the Bank identifies and controls the volume of risk using real risk subtracted holdinggain or loss and realized gain or loss from VaR for internal management purpose. The Bank allocates capital to the marketrisk exposure and monitors it to balance the volume of risk within the extent of the capacity (capital). In addition to dailymonitoring and controls of the real risk and VaR, the monthly ALM committee discusses and determines the means ofappropriate risk control.(b) Quantitative information on market risk management(i) Risk related to securitiesThe Bank, in principle, utilizes the historical simulation method in calculating VaR of securities held. The volume of riskassociated with products for which market value is not readily available is calculated by applying a certain factor toacquisition costs, etc.VaR is calculated on a daily basis using the following assumptions: holding period of 60 days (120 days for strategicshares), confidence level of 99%, and time horizon of one year.As of March 31, 2016, the volume of VaR was \78,461 million ($696,317 thousand) but the volume of real risk was zerobecause unrealized gains or losses on securities exceeded VaR.The Bank verifies the effectiveness of the VaR model by comparing VaR and daily gains and losses. However, VaRcalculates the volume of market risk with certain probability level which is statistically calculated based on the historicalmarket changes, and it may not capture risks under extremely unusual situation where market environment changesdrastically.(ii) Interest rate risk related to financial instruments other than securitiesThe Bank utilizes the delta method in calculating VaR of financial instruments exposed to interest rate risk such asdeposits and loans, except securities, and the core deposit internal model for liquid deposit. The volume of risk related toloans with embedded option is calculated by applying a certain factor to outstanding balance.VaR is calculated on a monthly basis using the following assumptions: holding period of 60 days, confidence level of99%, and time horizon of one year. The volume of interest rates risk related to deposits and loans as of March 31, 2016was \(29,861) million ($(265,007) thousand). For risk calculation of financial instruments other than securities, anincrease in subject interest rates as of the fiscal year end would result in an in overall value; therefore, the volume of risk iscalculated as negative value for internal management purpose.However, VaR calculates the volume of market risk with certain probability level which is statistically calculated based onthe historical interest rates changes, and it may not capture risks under extremely unusual situation where interest rateenvironment changes drastically.Liquidity risk management related to fund raisingWith respect to liquidity risk management, the Bank controls the risk using limits on fund gap on a daily basis and alsoprepares forecast and actual results of cash management on a monthly basis and verifies the variance against the plan.Furthermore, the Bank prepares a contingency plan which contains organization plans and measures for emergency. TheBank holds sufficient high liquid debt securities such as government bonds and other high liquid assets and has establishedeffective system against liquidity risk.(4) Supplementary explanation about fair values of financial instrumentsThe fair value of financial instruments includes, in addition to the value determined based on the market price, the valuecalculated on a reasonable basis if no market price is available. Since certain assumptions are used in calculating the value,the result of such calculation may vary if different assumptions are used.Disclosure of Fair Values of Financial InstrumentsThe carrying amount, the fair value and the difference between these values as of March 31, 2015 and 2016 are as follows:Note that securities of which fair value is extremely difficult to determine, such as unlisted equity securities, are not included inthe following table (See Note 2 below):24