JAPAN POST BANK : Supplementary Materials of Financial Results for the Three Months Ended June 30, 2023

Assumptions for Earnings Forecasts

The assumptions for each risk factor are as follows:

1. Domestic and foreign interest rates will move in the line with the implied forward rates as of December 31, 2022.
2. Foreign credit spreads will continue at the average levels for December, 2022.
3. Foreign exchange will continue at the levels as of December 31, 2022.

Domestic and Foreign Interest Rates / Dollar Funding Cost

Actuals

Assumptions

(Ref.) Mid-term Plan

1.8 (%)

1.5
1.2	20-year JGB	1.25 (23/7)
0.9		1.00
0.6	10-year JGB	0.61 (23/7)
0.3	0.40
0.0

	22/3	22/6	22/9	22/12	23/3	23/6	23/9	23/12	24/3
6.0	(%)							(Year/Month-end)
				5.64	5.67 (23/7)
5.0
4.0			5-year UST				4.16	4.18 (23/7)
3.0
2.0				Dollar funding cost (3M)
1.0
0.0
22/3	22/6	22/9	22/12	23/3	23/6	23/9	23/12	24/3
									(Year/Month-end)

US IG and HY Spread / US Dollar/Yen

Actuals

Assumptions

(Ref.) Mid-term Plan

1. (bp)

400						390	371 (23/7)
		US HY spread
300
200						123
100						115 (23/7)
	US IG spread
0
22/3	22/6	22/9	22/12	23/3	23/6	23/9	23/12	24/3
160 (dollar/yen)						(Year/Month-end)
150						145
140							141 (23/7)

130

1. US dollar/yen

100

22/3 22/6 22/9 22/12 23/3 23/6 23/9 23/12 24/3 (Year/Month-end)

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2nd Engine: Market Business (5) Impact of Rising Domestic Interest Rates on P/L

Projected Impact on P/L Due to Rising Domestic Interest Rates*1

Existing Holdings

• Bulk is in fixed bonds, and the impact is neutral

+JPY 100bn per annum

In case of an additional investment

of JPY 10tn in 10-year bonds yielding 1%

New Investments

• Investment yields on reinvestments (Refer to page 56) and new investments in line with redemptions will improve

To consider shifts from

due from banks, etc.

if we expect interest rates to rise

• The majority of due from banks, etc. is BOJ deposits, but negative interest rates apply only to a limited extent
• Acquisition of additional revenue through investment allocation

The Bank's BS (non-consolidated)

Total assets JPY 229tn (as of Jun. 30, 2023)

JGBs*2		Ordinary
JPY 38tn		Deposits
		JPY
		108tn
Due from banks, etc.		More than
JPY 63tn	Deposits	50％ are
sticky core
	JPY	deposits.
	196tn
		Fixed-
Foreign securities*3		term
JPY 82tn		deposits
		JPY 70tn

• If deposit interest rates rise, interest payments will increase. (Impact on both exisiting deposits and new deposits.However, there is a possibility that the lag behind the rise in market interest rates and the level of the increase will not be parallel.)
• If deposit interest rates rise, interest payments will increase. (Impact on only new deposits (including redeposits).However, there is a possibility that the lag behind the rise in market interest rates and the level of the increase will not be parallel.)

• Decrease in foreign currency

costs*4			Others
+JPY 50bn per annum	Others	Others /
short-term interest rates while	JPY 45tn	Net assets
In case of a 10bp rise in domestic		JPY 33tn
overseas interest rates remain
constant

*1 Theoretical impact on the Bank's P/L from potential movements of market environment. Actual impact may differ due to changes in market conditions and the Bank's ALM policy. *2 Includes Japanese government bonds in money held in trust.

*3 Include real estate funds (debt) and direct lending funds in money held in trust.

*4 Investment trusts raise capital within the fund, and foreign currency funding costs depend on differences in domestic and foreign interest rates.

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2nd Engine: Market Business (6) Status of Credit Risk, etc.

Note:	Cash flow	Existing Holdings		New Investments
	approx. JPY 38tn (Bulk is in fixed bonds)		Impact of investment
	Profit
			allocation

Yen interest

rates risk

Credit risk

*Mainly taking credit risks (Hedged interest rates: approx. 70-80% of foreign securities, Hedged foreign exchange: approx. 90%+% of foreign securities)

Foreign currency interest rates risk

(Difference in long-

and short-term interest rates)

Profit

Profit

	Impact of raising
	interest rates on
Interest Rates	deposits

If deposit interest rates rise, interest payments will increase (Impact depends on deposit types). However, there is a possibility that the lag behind the rise in market interest rates and the level of the increase will not be parallel

approx. JPY 66tn	Of these, those impacted
by non-revenue dividends: approx. JPY 22tn

Interest Rates

Considering shifts from due from banks, etc.

in preparation for potential interest rate increases

Profit

Impact of non-revenue

Spread dividends

Non-revenue dividends are generated in some foreign bond investment trusts. However, return gains are generated upon cancellation or redemption

approx. JPY 16tn	Of these, those impacted
by non-revenue dividends: approx. JPY 7tn
	Yield Curve
Yield	Short-term
(Funding Side)

Long-term

(Investment Side)

Profit

Spread

Non-revenue dividends are generated in the case that credit spreads widen following new investment

	Yield Curve
Yield	Short-term
(Funding Side)

Long-term

(Investment Side)

Maturity	Maturity
With the rise in short-term interest rates, the downturn in	The impact on profits depends on the difference
earnings caused by the increase in foreign currency funding
costs is significant. Note that some foreign bond investment	in long- and short-term interest rates
trusts generate non-revenue dividends associated with the
rise in long-term interest rates.

The Bank's BS (non-consolidated)

Total assets JPY 229tn

(as of Jun. 30, 2023)

Japanese

government

bonds

JPY 38tn

Due from
banks, etc.	Deposits
JPY 63tn
	JPY 196tn
Foreign
securities
JPY 82tn
	Others /
Others
JPY 45tn	Net assets
	JPY 33tn

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2nd Engine: Market Business (7) Balances of Securities Based on the Remaining Time to Maturity, etc.

Balances Based on the Remaining Time to Maturity

(Ending Balance Basis, As of June 30, 2023)

Balance of Japanese government bonds: JPY 37,655.5bn

(Held-to-maturity: JPY 14,534.3bn, Available-for-sale: JPY 23,121.2bn)

Balances

(Based on Average Balances, FY2024/3 Q1)

Balance of Japanese government bonds and Foreign securities, etc.

(JPY bn)	19,164.8
Over 10 years
More than 7 years	747.8
to 10 years
More than 5 years	1,498.9
to 7 years
More than 3 years	1,046.4
to 5 years
More than 1 year	11,490.0
to 3 years
1 year or less	3707.3

Japanese government bonds

Foreign securities, etc.

Foreign bonds

Investment trusts

(JPY bn)

FY2024/3 Q1

(Ref.)

Ending Balance

37,655.5

80,600.9

27,643.9

52,842.0

Balance of Foreign bonds: JPY 27,643.9bn

(Held-to-maturity: JPY 4,609.3bn, Available-for-sale: JPY 23,034.6bn)

(JPY bn)
Over 10 years	4,294.3
More than 7 years	2,914.8
to 10 years
More than 5 years	3,468.1
to 7 years
More than 3 years	7,364.6
to 5 years
More than 1 year	5,481.6
to 3 years
1 year or less	4,120.2

Balance of Deposits

	(JPY tn)
	FY2024/3 Q1
	(Ref.)
	Ending Balance
Liquid deposits	122.3
Transfer deposits	13.0
Ordinary deposits, etc.*	108.4
Savings deposits	0.7
Fixed-term deposits	73.5
Time deposits	3.2
TEIGAKU deposits	70.3
Other deposits	0.1
Total	196.0

* Ordinary deposits, etc. = Ordinary deposits + Special deposits (equivalent to ordinary savings)

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