Aozora Bank : Other matters subject to measures for electronic provision that are omitted from the printed convocation notice of the 91st Ordinary General Meeting of Shareholders

【TRANSLATION】

[NOTICE: This Document is a translation of the Japanese original for reference purposes only, and in the event of any discrepancy, the Japanese original shall prevail.]

Other matters subject to measures for electronic provision

that are omitted from the printed convocation notice of

the 91st Ordinary General Meeting of Shareholders

Notes to the Consolidated Financial Statements

Notes to the Non-Consolidated Financial Statements

(from April 1, 2023 to March 31, 2024)

Pursuant to laws and regulations, and the provision of the Bank's Articles of Incorporation, the above

items are omitted from the document (that refers to matters subject to measures for electronic

provision) provided to shareholders who have requested delivery of printed copies.

For the 91st Ordinary General Meeting of Shareholders, the document in which the above items are

omitted from matters subject to measures for electronic provision is distributed to all shareholders,

regardless of whether they have requested delivery of printed copies.

Aozora Bank, Ltd.

【Notes to the Consolidated Financial Statements】

Basic items for preparing consolidated financial statements

Accounting policies for preparing consolidated financial statements

1. Scope of consolidation

1. Number of consolidated subsidiaries: 25

Names of principal companies:

GMO Aozora Net Bank, Ltd. Aozora Loan Services Co., Ltd. Aozora Securities Co., Ltd.

Aozora Regional Consulting Co., Ltd. Aozora Investment Management Co., Ltd. Aozora Real Estate Investment Advisors Co., Ltd. ABN Advisors Co., Ltd.

Aozora Corporate Investment Co., Ltd. Aozora Asia Pacific Finance Limited Aozora Asia Pacific Limited

Aozora Europe Limited Aozora North America, Inc. AZB Funding

AZB Funding 2

AZB Funding 3

AZB Funding 4 Limited AZB Funding 5

AZB Funding 6

AZB Funding 7

AZB Funding 8 Limited

AZB Funding 9 Limited

AZB Funding 10 Limited

AZB Funding 11 Limited

AZB Funding 12 Limited Aozora APF（Ireland）Limited

Aozora Asia Pacific Limited was established and consolidated in the fiscal year ended March 31, 2024. Aozora GMAC Investment Limited was moved out of the scope of consolidation due to the distribution of residual assets from liquidation during the fiscal year ended March 31, 2024.

1. Unconsolidated subsidiaries Name of principal company:
   Aozora Chiiki Saisei Co., Ltd.

The unconsolidated subsidiaries were excluded from the scope of consolidation, due to the immateriality of their assets, ordinary income, profit (to the extent of equity position) and retained earnings (to the extent of equity position). Their exclusion from the scope of consolidation would not impede reasonable judgment as to the financial condition or performance of the group.

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2. Application of the equity method

1. Unconsolidated subsidiaries accounted for by the equity method: none
2. Affiliated companies accounted for by the equity method: 1 Name of principal company:
   Orient Commercial Joint Stock Bank
3. Unconsolidated subsidiaries not accounted for by the equity method: Name of principal company:
   Aozora Chiiki Saisei Co., Ltd.
4. Affiliated companies not accounted for by the equity method:

Names of principal companies:

AJ Capital Co., Ltd.

AZ-Star Co., Ltd.

B Spark Inc.

The unconsolidated subsidiaries and affiliated companies, which were not accounted for by the equity method, were excluded from the scope of equity method, due to the immateriality of their profit (to the extent of equity position) and retained earnings (to the extent of equity position). Their exclusion from the application of the equity method would have no material effect on the consolidated financial statements.

1. Companies not accounted for as an affiliated company even though Aozora Bank, Ltd. ('the Bank') and consolidated subsidiaries (together, 'the Group') owns over 20% to 50% of its voting rights:

CRE HOLDINGS SUB 1 LLC

The objective for the Group to own the voting rights is primarily to benefit from the appreciation of the investment resulting from growth or restructuring the investee's businesses and the investment meets the conditions of the Paragraph 24 of 'Implementation Guidance on Determining a Subsidiary and an Affiliate for Consolidated Financial Statements.'

3. Fiscal years of consolidated subsidiaries

Fiscal year ending dates of all consolidated subsidiaries are the same as closing date of the consolidated financial statements.

4. Amortization of goodwill

Goodwill is amortized over an appropriate period not to exceed 20 years under the straight-line method. Immaterial goodwill is accounted as expenses when incurred.

Amounts of less than one million yen are rounded down.

The definition of subsidiaries and affiliated companies is based on Article 2-8 of the Banking Act and Article 4-2 of the Order for Enforcement of the Banking Act.

Accounting policies

1. Trading account assets and liabilities; gain and loss on trading account transactions

Transactions involving short-term fluctuations and arbitrage opportunities in interest rates, currency exchange rates, market prices of financial instruments or other market indices ('Trading transactions') are recognized on a trade date basis and recorded in 'Trading accountassets' or 'Trading account liabilities' on the consolidated balance sheet. Gains or losses (interest received/paid, dividend, gains/losses on sales, and valuation gains/losses) on trading transactions are recorded in 'Gain on trading account transactions' or 'Losson trading account transactions' on the transaction date basis in the consolidated statement of operations.

'Trading account assets' and 'Trading account liabilities' are stated at their fair values.

2. Valuation of securities

1. 'Held-for-tradingsecurities' (except the positions booked in the 'Trading account assets' and 'Trading account liabilities' ) are stated at fair value. The cost of these securities is determined by the moving-average method. 'Held-to-maturity securities' are stated at amortized cost (using the straight-line method) computed under the moving average method. 'Stocks in unconsolidated subsidiaries and affiliated companies' which are not accounted for by the equity method are stated at acquisition costs (using the moving average method). 'Available-for-sale securities ('AFS securities')'with( the costs basically calculated based on the moving average method) are stated at fair value in principle, or non-marketable equity securities are stated at acquisition costs calculated based on the moving average method.

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As for interests in investment business limited partnerships, associations under the Civil Code and silent partnerships, the Group, in principle, record net assets and net income of those partnerships as assets and profits or losses in proportion to our shares of interests based on their latest financial statements or interim financial statements.

The net unrealized gains or losses on AFS securities are included directly in net assets.

1. Securities that are held as trust assets recorded in 'Money held in trust' are valued in the samemanner as given in (1) above.

3. Accounting for derivatives

Derivative transactions, except for trading transactions, are stated at fair value.

4. Depreciation of fixed assets

1. Tangible fixed assets (except for leased assets)

Depreciation of buildings of the Bank, including structures and equipment attached to buildings, is computed by the straight-line method, and that of others is computed by the declining-balance method.

The useful lives are primarily estimated as follows:

Buildings:	15～50 years
Other :	5～15 years

Depreciation of tangible fixed assets of consolidated subsidiaries is computed primarily under the declining-balance method based on their estimated useful lives.

(2) Intangible fixed assets (except for leased assets)

Amortization of intangible fixed assets is computed under the straight-line method. Development costs for internally used software are capitalized and amortized under the straight-line method over the useful lives (mainly 5～13 years) as determined by the Bank and its consolidated subsidiaries.

(3) Leased assets

Depreciation of 'Leased assets' in 'Tangible fixedssets'a of the finance leases other than those that are deemed to transfer the ownership of leased property to the lessees is computed under the straight-line method over the lease term with zero residual value unless residual value is guaranteed by the corresponding lease contracts.

5. Deferred assets

Bond issuance costs in 'Other assets' is amortizedusing the straight-line method over the terms of corporate bonds.

6. Allowance for loan losses

The Bank's write-offs of loans and allowance for loan losses are provided as follows in accordance with the internal standards for write-offs and provisions.

Loans to borrowers who are assessed as 'Bankrupt' in( the process of legal proceedings for bankruptcy, special liquidation, etc.) or 'De facto bankrupt' in( serious financial difficulties and are not deemed to be capable of restructuring) under the Bank's self-assessment guidelines are written off to the amounts expected to be collected through the disposal of collateral or execution of guarantees, etc. The amounts deemed to be uncollectible and written off were 22,731 million yen at March 31, 2024.

For loans to borrowers who are assessed as 'In danger of bankruptcy' (not yet bankrupt but are in financial difficulty and are highly likely to go bankrupt in the foreseeable future), a specific allowance is provided for the loan losses at an amount considered to be necessary based on an overall solvency assessment of the borrowers and expected collectible amounts through the disposal of collateral or execution of guarantees, etc. For loans whose future cash flows of principal and interest are reasonably estimated, the difference between the discounted cash flows and the carrying amount is accounted for as an allowance for loan losses (the 'DCF method').

For other loans, the Bank provides the expected loan loss for the average remaining period of loans (almost three to four years respectively), after classifying the loans into four groups of corporate loans in North

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America/Europe, Asia, overseas real estate non-recourse loans and other loans, based on the characteristics of risk. The expected loan loss is determined based on the average rates of loan loss experience or bankruptcy over a certain period of time in the past, responding to the average remaining period with certain adjustments such as future prospects by considering the latest trend of loan loss experience. However, for borrowers with a large credit exposure that are categorized as 'Needattention,' under the internal credit rating system, the loan loss amount estimated by the DCF method is reflected as an addition to the allowance for loan losses determined based on the estimated loan loss ratio, if necessary. For certain borrowers other than those mentioned above that have a large credit exposure over a certain amount, an allowance is provided in addition to an amount determined based on an expected loan loss rate, according to the above method.

An allowance for loans to restructuring countries is provided for the amount of expected losses based on an assessment of political and economic conditions in their respective countries.

All loans are monitored in line with an internal self-assessment standard and other guidance on an ongoing basis. Operating divisions or branches review internal credit ratings of borrowers ('Borrower Ratings') which are defined in line with 'borrower categories' and those ratings are then approved by the divisions in charge of credit. The division in charge of asset assessment, which is independent of operating divisions or branches and the divisions in charge of credit, reviews the appropriateness of internal credit ratings on a sample basis.

Based upon the borrower categories determined by the aforementioned process as of the consolidated balance sheet date, operating divisions and branches initially compute the amounts of write-offs and allowance, and the division in charge of asset assessment verifies the amounts and determines the final amounts.

With regard to the allowance for loan losses of consolidated subsidiaries, a general allowance is calculated for the amount of estimated loan losses using historical loan loss data over a defined period in the past. For loans to 'In danger of bankruptcy' borrowers and 'De facto bankrupt' and 'Bankrupt' borrowers, a specific allowance is provided or the uncollectible amount is written off based on an assessment of collectability of individual loans.

The independent internal audit divisions audit the appropriateness of the write-offs and allowances based on the self-assessment on a regular basis.

Additional Information

For overseas real estate non-recourse loans, the Bank assumes a decrease in market liquidity mainly due to the deteriorating environment of the U.S. real estate market, and it will take approximately one to two years particularly for the U.S. office market to stabilize, considering the market trends.

In line with this, from the fiscal year ended March 31, 2024, for all borrowers of overseas real estate non- recourse loans that require careful monitoring in the future, the loan loss amount mainly estimated by the DCF method is reflected as an addition to the allowance for loan losses determined based on the estimated loan loss ratio. The estimated loan loss ratio to be applied to other overseas real estate non-recourse loans is calculated by classifying them to appropriately reflect the risk characteristics of the loan portfolio.

7. Allowance for investment loss

Allowance for investment loss is provided for estimated losses on certain investments based on an assessment of the issuers' financial condition and uncertainty about future recoverability of the decline in realizable values of the investments.

8. Provision for bonuses

Provision for bonuses that is provided for future bonus payments to employees, is maintained at the amount accrued at the consolidated balance sheet date, based on the estimated future payments.

9. Provision for bonuses for directors (and other officers)

Provision for bonuses for directors (and other officers) that is provided for future bonus payments to directors, is maintained at the amount accrued at the consolidated balance sheet date, based on the estimated future payments.

10. Provision for credit losses on off-balance-sheet instruments

Provision for credit losses on off-balance-sheet instruments is provided for credit losses on commitments to extend loans and other off-balance-sheet financial instruments based on an estimated loss ratio or individually estimated loss amount determined by the same methodology used in determining the allowance for loan losses.

11. Reserves under special laws

Reserves under special laws are reserves for financial products transaction liabilities and provided for compensation for losses from securities brokering in consolidated domestic subsidiaries in accordance with the Financial Instruments and Exchange Act, Article 46-5 and the Cabinet Office Ordinance on Financial Instruments Business, Article 175.

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12. Accounting method of retirement benefits

Retirement benefit liability is recorded based on the benefit formula attribution of the projected benefit obligations over the service period of employees, deemed accrued at the consolidated balance sheet date.

Unrecognized prior service cost is amortized using the straight-line method over a certain period of time within the average remaining service period of employees.

Unrecognized actuarial gain and loss are amortized using the straight-line method over a certain period of time (5 years) within the average remaining service period of employees commencing from the next fiscal year after incurrence.

Some consolidated subsidiaries adopt a simplified method based on the projected benefit obligations for each retirement plan that would be required if all employees retired voluntarily at the consolidated balance sheet date.

13. Assets and liabilities denominated in foreign currencies

Assets and liabilities denominated in foreign currencies held by the Bank are translated into Japanese yen at the exchange rates prevailing at the consolidated balance sheet date, except for stocks in affiliated companies which are translated at historical rates.

Assets and liabilities denominated in foreign currencies held by consolidated subsidiaries are translated into Japanese yen at the exchange rates as of their respective balance sheets dates.

Revenue and expense accounts of consolidated foreign subsidiaries are translated into Japanese yen at the average exchange rate. Differences arising from such translation are included in 'Non-controlling interests' or 'Foreign currency translation adjustment' as a separate component of equity in the consolidated balance sheet.

14. Hedge accounting

1. Hedge accounting for interest rate risk

The Bank applies deferral hedge accounting to hedges of interest rate risk associated with financial assets and liabilities, principally by portfolio hedging, in accordance with 'Accounting and Auditing Treatments on the Application of Accounting Standards for Financial Instruments in the Banking Industry' (the Japanese Institute of Certified Public Accountants ('JICPA') IndustryCommittee Practical Guideline No.24, March 17, 2022), or by individual hedging.

Under the JICPA Industry Committee Practical Guideline No.24, portfolio hedges to offset changes in fair value of fixed-rate instruments (such as loans or deposits) ('fair value hedges') are applied by grouping hedging instruments and hedged items by their maturities. The assessment of hedge effectiveness is generally based on the consideration of interest rate indices affecting the respective fair values of the group of hedging instruments and hedged items.

With regard to an individual hedge to offset changes in fair value of fixed-rate instruments, since principal conditions underlying in available-for-sale securities (debt securities, etc.) and bonds payable as hedged items and interest rate swaps as hedging instruments are substantially on the same terms, the hedge is deemed highly effective.

(2) Hedge accounting for foreign currency risk

The Bank applies deferral hedge accounting to hedges of foreign currency risk associated with foreign currency-denominated financial assets and liabilities in accordance with 'Accounting and Auditing Treatments for Foreign Currency Transactions in the Banking Industry' (the JICPA Industry Committee Practical Guideline No.25, October 8, 2020). In accordance with the JICPA Industry Committee Practical Guideline No. 25, the Bank designates certain currency swaps and foreign exchange swaps for the purpose of funding foreign currencies as hedges for the exposure to changes in foreign exchange rates associated with foreign currency- denominated assets or liabilities when the foreign currency positions on the hedged assets or liabilities are expected to exceed the corresponding foreign currency positions on the hedging instruments. Hedge effectiveness is reviewed by comparing the total currency position of the hedged items with that of the hedging instruments by currency.

For hedging the foreign currency exposure of foreign currency-denominatedavailable-for-sale securities (other than debt securities), which were designated in advance, fair value hedge accounting is adopted on a portfolio basis when the cost of the hedged securities is covered with offsetting liabilities denominated in the same foreign currency as the hedged securities.

1. Hedges of securities price fluctuation risk
   The Bank designates available-for-sale securities (stock, etc.) for price fluctuation risk of stocks and

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available-for-sale securities (debt securities, etc.) for price fluctuation risk of listed investment trusts as hedged items and total return swaps as hedging instruments, and applies individual deferral hedge accounting.

The assessment of hedge effectiveness is generally based on the comparison of changes in value of the hedged item and hedging instruments.

(4) Intercompany and Intracompany Derivative Transactions

For intercompany and intracompany derivative transactions for hedging purposes ('internal derivatives'), including currency and interest rate swaps, the Bank currently charges gains and losses on internal derivatives to operations or defers them within accumulated other comprehensive income as a component of equity without elimination in accordance with the JICPA Industry Committee Practical Guidelines No. 24 and No. 25. These reports permit a bank to retain the gains and losses on internal derivatives in its consolidated financial statements without elimination if the bank establishes and follows strict hedging criteria by entering into mirror- image offsetting transactions with external third parties after the designation of internal derivatives as hedging instruments.

15. Application of the Group Relief System

The Bank and some of its domestic consolidated subsidiaries have applied the group relief system.

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Significant accounting estimates

Among items recorded in the consolidated financial statements for the year ended March 31, 2024 with accounting estimates, item significantly affect the consolidated financial statements for the year ending March 31,

2025 are described below:

1. Allowance for loan losses

1. Amounts recorded in the consolidated financial statements for the year ended March 31, 2024 Allowance for loan losses: 87,929 million yen
2. Information contributing to understanding of the detail of the significant accounting estimates related to recognized item
   1) Determination method

The determination method of the allowance for loan losses is described in'6. Allowance for loan losses'of 'Accounting policies.'

1. Major assumptions

1. Outlook of future business performance of borrowers in determination of borrower category

For determining borrower categories, characteristics such as profit earning capability and cash flow generating capability are individually examined and evaluated with consideration of external environment. Specifically, for borrowers who have recorded goodwill derived from M&A transactions, the feasibility of the estimated cash flows generated from the acquired business is individually examined and evaluated.

1. Estimation of future cash flows of underlying real estate properties in real estate non-recourse loans (i.e., loans for which the repayment source is provided only by cash flows generated from underlying real estate properties)

Since estimation of future cash flows of underlying real estate properties is a significant element in determining the borrower categories for real estate non-recourse loans, rents, vacancy rates, discount rates or other factors are individually examined and evaluated.

For overseas real estate non-recourse loans, the Bank assumes a decrease in market liquidity mainly due to the deteriorating environment of the U.S. real estate market, and it will take approximately one to two years particularly for the U.S. office market to stabilize, considering the market trends. For non-recourse loans backed by underperforming office properties in the U.S. due to the changes in working styles in post-COVID- 19 period, in order to prepare for the full-scale disposal of these properties, for cases where there is a possibility to debt recovery in the future, the Bank evaluates the property considering estimated disposal price taking into account the risk of price decline over the next one to two years and determines individual borrower category considering the possibility of the debt recovery through the disposal of properties in the future, etc. The allowance for loan losses is made based on the estimated disposal price assuming the risk of price decline.

3) Effect over the consolidated financial statements for the year ending March 31, 2025

In case the assumptions used for the original estimation change due to fluctuations in business performance, of individual borrower or changes in the U.S. real estate market, the allowance for loan losses can be significantly affected in the consolidated financial statements for the year ending March 31, 2025.

2. Recoverability of deferred tax assets

1. Amounts recorded in the consolidated financial statements for the year ended March 31, 2024 Deferred tax assets: 44,580 million yen
2. Information contributing to understanding of the detail of the significant accounting estimates related to recognized item

1. Determination method

Deferred tax assets are recorded by estimating future taxable income in accordance with the corporate category based on the " Implementation Guidance on Recoverability of Deferred Tax Assets" (ASBJ Guidance No.26), and determining the recoverability of deferred tax assets as a result of scheduling of deductible temporary differences and tax loss carryforwards.

2) Major assumptions

Estimates of future taxable income are based on the group's business plan, which takes into account the past performance of each business, the current business environment and business policies. Major assumptions are the outlook for profitability and credit-related expenses of customer-related businesses and the outlook for interest rates after the lifting of the negative interest rate policy.

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3) Effect over the consolidated financial statements for the year ending March 31, 2025

In case the assumptions used for the original estimates change, due to future changes in the financial and economic environment, the deferred tax assets can be significantly affected in the consolidated financial statements for the year ending March 31, 2025.

3. Determination regarding recognition of impairment loss of fixed assets

(1) Amounts recorded in the consolidated financial statements for the year ended March 31, 2024

For the application of impairment accounting, the Bank identifies GMO Aozora Net Bank, Ltd. (hereafter referred to as 'GMO Aozora' in '3. Determination regarding recognition of impairment loss of fixed assets'), which is a consolidated subsidiary, as one of asset grouping unit, and considers determination of recoverability of GMO Aozora's fixed assets as a significant accounting estimate.

The Bank recorded GMO Aozora's fixed assets of 9,602 million yen (tangible fixed assets 566 million yen, intangible fixed assets 9,036 million yen) in the consolidated financial statements for the year ended March 31, 2024.

1. Information contributing to understanding of the detail of the significant accounting estimates related to recognized item

1) Determination method

The Bank has determined that GMO Aozora's fixed assets have an indication of impairment loss because the profit or loss arising from the business activities is continuously negative. However, except for the fixed assets which will be taken over as a result of business succession, no impairment loss is recorded because the total undiscounted future cash flows exceeded the carrying amount of the assets.

2) Major assumptions

For determination of recoverability of GMO Aozora's fixed assets, undiscounted future cash flows are estimated based on GMO Aozora's Mid-term plan, and major assumptions are the number of corporate accounts, number of exchange transactions, amount of debit card transactions, and outstanding loan balance which future increases based on the trend of actual performance in the most recent fiscal year are taken into consideration.

3) Effect over the consolidated financial statements for the year ending March 31, 2025

If major assumptions in GMO Aozora's Mid-term plan change due to changes in financial and economic conditions and the total amount of undiscounted cash flows falls below the carrying amount of the assets, the Bank may recognize an impairment loss in the consolidated financial statements for the following fiscal year. An impairment loss is calculated by deducting the recoverable value from the carrying amount of fixed assets.

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Notes

(Consolidated balance sheet)

1. Securities include stocks in unconsolidated subsidiaries and affiliated companies, which amount to 65,125 million yen.
2. No securities were loaned under unsecured loan contracts for consumption, for use or for lease contracts. Of unsecured securities borrowed, securities purchased under resale agreements, securities borrowed under

lending agreements with cash collateral and securities received as collateral on derivative transactions which can be sold or re-pledged, none of the securities were re-pledged,re-loaned and held in hand as of the consolidated balance sheet date.

3. Non-performing loans ('NPLs') based on the Banking Act and the Financial Reconstruction Act are as follows. NPLs include corporate bonds in securities (limited to those for which payment of principal and interest is guaranteed in whole or in part, and the issuance of such bonds is through private placement of securities (Article 2, Paragraph 3 of the Financial Instruments and Exchange Act)), loans and bills discounted, foreign exchanges, accrued interest and suspense payables in other assets, customers' liabilities for acceptances and guarantees and securities in the case of loaned securities in the notes to the consolidated balance sheet (limited to only those subject to a usage and lending or lending agreement).

Bankrupt and similar credit	18	million yen
Doubtful credit	118,572
Special attention credit	12,514
Loans overdue for three months or more	6,361
Restructured loans	6,153
Subtotal	131,105
Normal credit	3,996,188
Total credit	4,127,294

'Bankrupt and similar credit' refers to the creditof borrowers who have filed for bankruptcy, corporate reorganization, composition, etc., as well as those borrowers who are in an equivalent situation.

'Doubtful credit' refers to the credit with seriousdoubt concerning the recovery of principal and receiving of interest as contract provisions because the borrower's financial condition and business results have worsened although they have not reached the point of management collapse, excluding loans to 'Bankrupt and similar credit.'

'Loans overdue for three months or more' refers tothose loans excluding loans to 'Bankrupt and similar credit' and 'Doubtful credit' for which principal or interest remains unpaid for at least three months.

'Restructured loans' refers to those loans excluding loans to 'Bankrupt and similar credit', 'Doubtfulcredit' and 'Loans overdue for three months or more' for whichagreement was made to provide reduction or a moratorium on interest payments, or concessions in the borrower's favor on interest or principal payments or to waive claims in order to support the borrowers' recovery from financial difficulties.

'Normal credit' refers to credit to borrowers whosefinancial condition and business results have no particular problem and which are not categorized in any of the above categories.

Allowance for loan losses is not deducted from the amounts of loans stated above.

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