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v2.3.0.11

Securitization Transactions (Tables) | 12 Months Ended
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Mar. 31, 2011
Schedule Of Securitizations Of Financial Assets Accounted For As Sale | During fiscal 2009 and 2010, certain information with respect to these securitization transactions accounted for as sales is as follows. During fiscal 2011, there was no securitization transaction accounted for as a sale.
|  | Millions of yen |
|  | 2009 |  |  | 2010 |
Direct financing leases: |  |  |  |  |  |  |  |
Balance sold |  | ¥ | 37,889 |  |  | ¥ | 27,974 |
Gains (losses) on sales |  |  | (365 | ) |  |  | 331 |
Interests that continue to be held |  |  | 17,903 |  |  |  | 23,207 |
Installment loans: |  |  |  |  |  |  |  |
Balance sold |  |  | 5,258 |  |  |  | 0 |
Gains on sales |  |  | 132 |  |  |  | 0 |
Interests that continue to be held |  |  | 148 |  |  |  | 0
Schedule of Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities | Economic assumptions used in measuring the interests that continue to be held related to securitization transactions completed during fiscal 2009 and 2010 are as follows. There are no interests that continue to be held related to securitization transactions completed during fiscal 2011.
|  | 2009 |  |  | 2010 |
|  |  |  |  | Installment loans |  |  |  |
|  | Direct financing leases |  |  | Commercial mortgage loans |  |  | Direct financing leases |
|  | % |  |  | % |  |  | % |
Expected credit loss |  |  | 1.27-1.52 |  |  |  | 0.86 |  |  |  | 1.51-1.55 |
Discount rate |  |  | 1.92-11.43 |  |  |  | 2.60 |  |  |  | 2.33-4.28 |
Annual prepayment rate |  |  | 3.70-6.52 |  |  |  | 1.15 |  |  |  | 6.24-6.59
Schedule of Assumptions for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement | Key economic assumptions used in measuring the fair value of them, and the impacts of 10% and 20% adverse changes to the assumptions on the fair value are as follows:
|  | March 31, 2010
|  | Direct financing leases |  | Installment loans |  | Investment in securities
|  |  | Commercial mortgage loans |  | Mortgage loans for individuals |
Expected credit loss |  | 0.29%-1.62% |  | 0.72%-14.00% |  | 0.74%-1.18% |  | 1.22%-14.00%
Discount rate |  | 1.17%-21.25% |  | 0.22%-9.88% |  | 1.39%-6.33% |  | 0.22%-18.49%
Annual prepayment rate |  | 1.52%-6.66% |  | 2.86%-42.93% |  | 1.56%-5.64% |  | 7.56%-42.93%
Schedule of Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets, or Servicing Liabilities |
|  | Millions of yen |
|  |  |  |  | Installment loans |  |  |  |
|  | Direct financing leases |  |  | Commercial mortgage loans |  |  | Mortgage loans for individuals |  |  | Investment in securities |
Fair value of interests that continue to be held |  | ¥ | 76,136 |  |  | ¥ | 2,830 |  |  | ¥ | 25,930 |  |  | ¥ | 23,258 |
Book value of the interests that continue to be held |  |  | 67,028 |  |  |  | 2,859 |  |  |  | 22,568 |  |  |  | 23,601 |
Weighted average life (in years) |  |  | 2.0-3.4 |  |  |  | 0.7 |  |  |  | 13.9-24.5 |  |  |  | 0.6-4.2 |
Expected credit loss: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
+10% |  |  | 376 |  |  |  | 35 |  |  |  | 47 |  |  |  | 50 |
+20% |  |  | 756 |  |  |  | 70 |  |  |  | 94 |  |  |  | 143 |
Discount rate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
+10% |  |  | 605 |  |  |  | 6 |  |  |  | 402 |  |  |  | 311 |
+20% |  |  | 1,198 |  |  |  | 12 |  |  |  | 793 |  |  |  | 608 |
Prepayment rate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
+10% |  |  | 57 |  |  |  | 16 |  |  |  | 173 |  |  |  | 2 |
+20% |  |  | 117 |  |  |  | 32 |  |  |  | 341 |  |  |  | 4
Cash Flows Between Securitization Special Purpose Entity SPE And Transferor | Certain cash flows received from/paid to SPEs for all securitization activities in fiscal 2009 and 2010 are summarized as follows:
|  | Millions of yen |
|  | 2009 |  |  | 2010 |
Proceeds from new securitizations |  | ¥ | 42,922 |  |  | ¥ | 28,305 |
Servicing fees received |  |  | 419 |  |  |  | 385 |
Cash flows received on interests that continue to be held |  |  | 23,740 |  |  |  | 29,336 |
Repurchases of ineligible assets |  |  | (20,219 | ) |  |  | (18,487 | )
Schedule of Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together | Quantitative information about delinquencies, net credit losses, and components of financial assets sold on securitization and other assets managed together as of March 31, 2010 and 2011 are as follows: March 31, 2010
|  | Millions of yen |
|  | Total principal amount of receivables |  |  | Principal amount of receivables more than 90 days past-due and impaired loans |  |  | Net credit losses |
Types of assets: |  |  |  |  |  |  |  |  |  |  |  |
Direct financing leases |  | ¥ | 883,452 |  |  | ¥ | 25,682 |  |  | ¥ | 8,744 |
Installment loans |  |  | 2,575,568 |  |  |  | 360,464 |  |  |  | 49,053 |
Total assets managed or sold on securitization |  | ¥ | 3,459,020 |  |  | ¥ | 386,146 |  |  | ¥ | 57,797 |
Less: assets sold on securitization |  |  | (238,288 | ) |  |  |  |  |  |  |  |
Assets held in portfolio |  | ¥ | 3,220,732 |  |  |  |  |  |  |  |  |
The total assets of direct financing leases and installment loans sold on securitization, as of March 31, 2010, are ¥257,654 million, but the assets of ¥19,366 million, of which the Company and certain subsidiaries’ only continuing involvement is the servicing, are not included in the table above. The total assets of investment securities sold on securitization, as of March 31, 2010, are ¥31,123 million and are not included in the table above. March 31, 2011
|  | Millions of yen |  |  | Millions of dollars |
|  | Total principal amount of receivables |  |  | Principal amount of receivables more than 90 days past-due and impaired loans |  |  | Net credit losses |  |  | Total principal amount of receivables |  |  | Principal amount of receivables more than 90 days past-due and impaired loans |  |  | Net credit losses |
Types of assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct financing leases |  | ¥ | 834,346 |  |  | ¥ | 22,787 |  |  | ¥ | 7,505 |  |  | $ | 10,034 |  |  | $ | 274 |  |  | $ | 90 |
Installment loans |  |  | 2,983,164 |  |  |  | 322,068 |  |  |  | 54,149 |  |  |  | 35,877 |  |  |  | 3,873 |  |  |  | 651 |
Total assets managed or sold on securitization |  | ¥ | 3,817,510 |  |  | ¥ | 344,855 |  |  | ¥ | 61,654 |  |  | $ | 45,911 |  |  | $ | 4,147 |  |  | $ | 741 |
Less: assets sold on securitization |  |  | (3,493 | ) |  |  |  |  |  |  |  |  |  |  | (42 | ) |  |  |  |  |  |  |  |
Assets held in portfolio |  | ¥ | 3,814,017 |  |  |  |  |  |  |  |  |  |  | $ | 45,869 |  |  |  |  |  |  |  |  |

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- Definition This schedule lists all information related to the key economic assumptions (including at a minimum, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, if applicable) used in measuring the fair value of interests that continue to be held by the transferor, or of servicing assets or servicing liabilities, as of the balance sheet date. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph i(2) + Details
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- Definition This schedule lists all information related to the key inputs and assumptions used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement (including interests that continue to be held by the transferor and servicing assets or servicing liabilities), if any, at the time of securitization or asset-backed financing arrangement (including at a minimum and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name FASB Staff Position (FSP) -Number FAS140-4 and FIN46(R)-8 -Paragraph B11 -Subparagraph b(3) Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph h(3) + Details
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- Definition The following information for securitized or asset-backed financing arrangement assets that continue to be recognized and any other financial assets that are managed together: the total principal amount outstanding, the portion that has been derecognized, the portion that continues to be recognized in each category in the statement of financial position, and delinquencies at the end of the period. Also, credit losses, net of recoveries, during the period and average balances during the period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph i(4) + Details
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- Definition A sensitivity analysis or stress test showing the hypothetical effect on the fair value of those interests (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph i(3) + Details
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