Fair Value Measurements (Tables)

12 Months Ended

Mar. 31, 2011

Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents recorded amounts of major financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2010 and March 31, 2011:

	March 31, 2010
	Millions of yen
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Financial Assets:
Trading securities	¥	49,596	¥	1,157	¥	48,386	¥	53
Available-for-sale securities		845,234		67,224		376,206		401,804
Japanese and foreign government bond securities		146,453		0		146,453		0
Japanese prefectural and foreign municipal bond securities		19,247		0		19,247		0
Corporate debt securities		199,291		0		192,450		6,841
Specified bonds issued by SPEs in Japan		246,305		0		0		246,305
CMBS and RMBS in the U.S., and other asset-backed securities		149,358		0		700		148,658
Equity securities		84,580		67,224		17,356		0
Other securities		14,692		0		14,692		0
Investment funds		14,692		0		14,692		0
Derivative assets		17,074		1,015		15,531		528
Interest rate swap agreements		192		0		192		0
Options held/written, caps held		555		2		553		0
Futures, Foreign exchange contracts		2,075		1,013		1,062		0
Foreign currency swap agreements		13,724		0		13,724		0
Credit derivatives held/written		528		0		0		528
	¥	926,596	¥	69,396	¥	454,815	¥	402,385
Financial Liabilities:
Derivative liabilities	¥	31,975	¥	660	¥	31,280	¥	35
Interest rate swap agreements		2,956		0		2,956		0
Options held/written, caps held		189		0		189		0
Futures, Foreign exchange contracts		5,737		660		5,077		0
Foreign currency swap agreements		23,053		0		23,053		0
Credit derivatives held/written		40		0		5		35
	¥	31,975	¥	660	¥	31,280	¥	35

	March 31, 2011
	Millions of yen
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Financial Assets:
Trading securities	¥	71,991	¥	763	¥	71,228	¥	0
Available-for-sale securities		883,410		74,914		492,820		315,676
Japanese and foreign government bond securities		169,345		19,995		149,350		0
Japanese prefectural and foreign municipal bond securities		34,968		0		34,968		0
Corporate debt securities		292,032		0		289,459		2,573
Specified bonds issued by SPEs in Japan		222,314		0		0		222,314
CMBS and RMBS in the U.S., and other asset-backed securities		93,380		0		2,591		90,789
Equity securities		71,371		54,919		16,452		0
Other securities		10,023		0		10,023		0
Investment funds		10,023		0		10,023		0
Derivative assets		22,985		1,306		18,497		3,182
Interest rate swap agreements		2,070		0		2,070		0
Options held/written, caps held and other		3,467		0		333		3,134
Futures, Foreign exchange contracts		2,633		1,306		1,327		0
Foreign currency swap agreements		14,766		0		14,766		0
Credit derivatives held/written		49		0		1		48
	¥	988,409	¥	76,983	¥	592,568	¥	318,858
Financial Liabilities:
Derivative liabilities	¥	42,076	¥	977	¥	40,863	¥	236
Interest rate swap agreements		1,320		0		1,320		0
Options held/written, caps held and other		2,071		0		2,071		0
Futures, Foreign exchange contracts		4,968		977		3,991		0
Foreign currency swap agreements		33,481		0		33,481		0
Credit derivatives held/written		236		0		0		236
	¥	42,076	¥	977	¥	40,863	¥	236

	March 31, 2011
	Millions of U.S. dollars
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Financial Assets:
Trading securities	$	866	$	9	$	857	$	0
Available-for-sale securities		10,624		901		5,926		3,797
Japanese and foreign government bond securities		2,037		241		1,796		0
Japanese prefectural and foreign municipal bond securities		420		0		420		0
Corporate debt securities		3,512		0		3,481		31
Specified bonds issued by SPEs in Japan		2,674		0		0		2,674
CMBS and RMBS in the U.S., and other asset-backed securities		1,123		0		31		1,092
Equity securities		858		660		198		0
Other securities		121		0		121		0
Investment funds		121		0		121		0
Derivative assets		276		16		222		38
Interest rate swap agreements		25		0		25		0
Options held/written, caps held and other		41		0		4		37
Futures, Foreign exchange contracts		32		16		16		0
Foreign currency swap agreements		177		0		177		0
Credit derivatives held/written		1		0		0		1
	$	11,887	$	926	$	7,126	$	3,835
Financial Liabilities:
Derivative liabilities	$	506	$	12	$	491	$	3
Interest rate swap agreements		16		0		16		0
Options held/written, caps held and other		25		0		25		0
Futures, Foreign exchange contracts		60		12		48		0
Foreign currency swap agreements		402		0		402		0
Credit derivatives held/written		3		0		0		3
	$	506	$	12	$	491	$	3

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents the reconciliation of financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during fiscal year 2009, 2010 and 2011:

	2009
	Millions of yen
	Balance at April 1, 2008		Gains or losses (realized/ unrealized)									Purchase, sales, and settlements (net)			Transfers in and/ or out of Level 3 (net) *2			Balance at March 31, 2009			Change  in unrealized gains or losses included in earnings for assets and liabilities still held at March 31, 2009 *1
			Included in earnings *1			Included in other comprehensive income			Total
Trading securities	¥	0	¥	(734	)	¥	(86	)	¥	(820	)	¥	154		¥	832		¥	166		¥	(734	)
Available-for-sale securities		437,939		(2,305	)		(3,438	)		(5,743	)		(51,090	)		66,753			447,859			(4,323	)
Corporate debt securities		12,969		(1,663	)		251			(1,412	)		(3,251	)		1,870			10,176			(1,565	)
Specified bonds issued by SPEs in Japan		341,720		(104	)		(2,273	)		(2,377	)		(38,578	)		0			300,765			(185	)
CMBS and RMBS in the U.S., and other asset-backed securities		83,250		(538	)		(1,416	)		(1,954	)		(9,261	)		64,883			136,918			(2,573	)
Investment in affiliates		0		954			0			954			6,000			0			6,954			954
Derivative assets and liabilities (net)		0		668			0			668			0			0			668			668
Options held/written, caps held		0		438			0			438			0			0			438			438
Credit derivatives held/written		0		230			0			230			0			0			230			230
	2010
	Millions of yen
	Balance at April 1, 2009		Gains or losses (realized/ unrealized)									Purchase, sales, and settlements (net)			Transfers in and/ or out of Level 3 (net) *2			Balance at March 31, 2010			Change in unrealized gains or losses included in earnings for assets and liabilities still held at March 31, 2010 *1
			Included in earnings *1			Included in other comprehensive income			Total
Trading securities	¥	166	¥	0		¥	(170	)	¥	(170	)	¥	57		¥	0		¥	53		¥	0
Available-for-sale securities		447,859		(9,394	)		(519	)		(9,913	)		(36,997	)		855			401,804			(8,691	)
Corporate debt securities		10,176		(1,302	)		492			(810	)		(3,380	)		855			6,841			(801	)
Specified bonds issued by SPEs in Japan		300,765		(989	)		(1,910	)		(2,899	)		(51,561	)		0			246,305			(515	)
CMBS and RMBS in the U.S., and other asset-backed securities		136,918		(7,103	)		899			(6,204	)		17,944			0			148,658			(7,375	)
Investment in affiliates		6,954		(6,954	)		0			(6,954	)		0			0			0			0
Derivative assets and liabilities (net)		668		(175	)		0			(175	)		0			0			493			(175	)
Options held/written, caps held		438		(438	)		0			(438	)		0			0			0			(438	)
Credit derivatives held/written		230		263			0			263			0			0			493			263
	2011
	Millions of yen
	Balance at March 31, 2010		Gains or losses (realized/ unrealized)									Purchase, sales, and settlements (net)			Transfers in and/ or out of Level 3 (net) *2			Balance at March 31, 2011			Change in unrealized gains or losses included in earnings for assets and liabilities still held at March 31, 2011 *1
			Included in earnings *1			Included in other comprehensive income			Total
Trading securities	¥	53	¥	(26	)	¥	(2	)	¥	(28	)	¥	(25	)	¥	0		¥	0		¥	0
Available-for-sale securities		401,804		(6,242	)		(3,248	)		(9,490	)		(33,102	)		(43,536	)		315,676			(5,848	)
Corporate debt securities		6,841		(34	)		(83	)		(117	)		(2,094	)		(2,057	)		2,573			(72	)
Specified bonds issued by SPEs in Japan		246,305		(5,195	)		351			(4,844	)		(27,076	)		7,929			222,314			(5,275	)
CMBS and RMBS in the U.S., and other asset-backed securities		148,658		(1,013	)		(3,516	)		(4,529	)		(3,932	)		(49,408	)		90,789			(501	)
Derivative assets and liabilities (net)		493		(206	)		0			(206	)		0			2,659			2,946			(206	)
Options held/written, caps held and other		0		475			0			475			0			2,659			3,134			475
Credit derivatives held/written		493		(681	)		0			(681	)		0			0			(188	)		(681	)
	2011
	Millions of U.S. dollars
	Balance at March 31, 2010		Gains or losses (realized/ unrealized)									Purchase, sales, and settlements (net)			Transfers in and/ or out of Level 3 (net) *2			Balance at March 31, 2011			Change in unrealized gains or losses included in earnings for assets and liabilities still held at March 31, 2011 *1
			Included in earnings *1			Included in other comprehensive income			Total
Trading securities	$	1	$	(1	)	$	(0	)	$	(1	)	$	(0	)	$	0		$	0		$	0
Available-for-sale securities		4,832		(75	)		(39	)		(114	)		(397	)		(524	)		3,797			(70	)
Corporate debt securities		82		0			(1	)		(1	)		(25	)		(25	)		31			(1	)
Specified bonds issued by SPEs in Japan		2,962		(63	)		4			(59	)		(325	)		96			2,674			(63	)
CMBS and RMBS in the U.S., and other asset-backed securities		1,788		(12	)		(42	)		(54	)		(47	)		(595	)		1,092			(6	)
Derivative assets and liabilities (net)		6		(3	)		0			(3	)		0			32			35			(3	)
Options held/written, caps held and other		0		5			0			5			0			32			37			5
Credit derivatives held/written		6		(8	)		0			(8	)		0			0			(2	)		(8	)

*1 Principally, gains and losses from trading securities are included in “brokerage commissions and net gains (losses) on investment securities”; available-for-sale securities are included in “write-downs of securities” or “life insurance premiums and related investment income”; investments in affiliates are included in “equity in net income (loss) of affiliates” and derivative assets and liabilities (net) are included in “other operating revenues /expenses,” respectively.

*2 The amount reported in “Transfers in and/or out of Level 3 (net)” is the fair value at the beginning of quarter during which the transfers occur.

Fair Value, Assets Measured on Nonrecurring Basis

The following table presents recorded amounts of major assets measured at fair value on a nonrecurring basis as of March 31, 2010 and March 31, 2011. These assets are measured at fair value on a nonrecurring basis mainly to recognize impairment:

	March 31, 2010
	Millions of yen
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Unlisted securities	¥	10,138	¥	0	¥	0	¥	10,138
Real estate collateral-dependent loans (net of allowance for probable loan losses)		105,948		0		0		105,948
Investment in operating leases		21,174		0		0		21,174
Land and buildings undeveloped or under construction		33,978		0		0		33,978
Certain investment in affiliates		502		0		502		0
	¥	171,740	¥	0	¥	502	¥	171,238

	March 31, 2011
	Millions of yen
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Unlisted securities	¥	3,776	¥	0	¥	0	¥	3,776
Loans held for sale		11,439		0		11,439		0
Real estate collateral-dependent loans (net of allowance for probable loan losses)		110,329		0		0		110,329
Investment in operating leases and other operating assets		26,813		0		0		26,813
Land and buildings undeveloped or under construction		30,595		0		0		30,595
Certain investment in affiliates		2,090		236		0		1,854
	¥	185,042	¥	236	¥	11,439	¥	173,367

	March 31, 2011
	Millions of U.S. dollars
	Total Carrying Value in Consolidated Balance Sheets		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets:
Unlisted securities	$	45	$	0	$	0	$	45
Loans held for sale		138		0		138		0
Real estate collateral-dependent loans (net of allowance for probable loan losses)		1,327		0		0		1,327
Investment in operating leases and other operating assets		322		0		0		322
Land and buildings undeveloped or under construction		368		0		0		368
Certain investment in affiliates		25		3		0		22
	$	2,225	$	3	$	138	$	2,084