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Derivative Financial Instruments and Hedging (Tables)
 12 Months Ended
Mar. 31, 2011
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2009 is as follows.

 

(1) Cash flow hedges

 

     Gains (losses)
recognized
in other
comprehensive
income on
derivative
(effective portion)		    

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income
(effective portion)

     

Gains (losses) recognized
in income on derivative
(ineffective portion and amount
excluded from effectiveness testing)

  
     Millions
of yen		    

Consolidated

statements of
income location

    Millions
of yen		     

Consolidated
statements of
income location

    Millions
of yen		  

Interest rate swap agreements

   

¥

(2,367

) 

  

Interest on loans and investment securities/Interest expense

   

¥

170

  

   

—  

   

¥

0

  

Foreign exchange contracts

      193      Foreign currency transaction loss      1       —        0   

Foreign currency swap agreements

   

 

956

  

  

Interest on loans and investment securities/Interest expense/Foreign currency transaction loss

   

 

102

  

   

Other operating revenues/expenses

   

 

3

  

 

(2) Fair value hedges

 

     Gains (losses) recognized
in income on derivative		    Gains (losses) recognized
in income on hedged item
     Millions
of yen		    

Consolidated

statements of

income location

    Millions
of yen		    

Consolidated
statements of
income location

Interest rate swap agreements

    ¥ (682 )    Interest on loans and investment securities/Interest expense    ¥ 662      Interest on loans and investment securities/Interest expense

Foreign exchange contracts

      4,633      Foreign currency transaction loss      (4,633 )    Foreign currency transaction loss

Foreign currency swap agreements

      1,057      Foreign currency transaction loss      (1,057 )    Foreign currency transaction loss

 

(3) Hedges of net investment in foreign operations

 

     Gains (losses)
recognized
in other
comprehensive
income on
derivative
and others
(effective portion)		     

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income
(effective portion)

      Gains (losses) recognized
in income on derivative and  others
(ineffective portion and amount
excluded from effectiveness testing)		  
     Millions
of yen		     

Consolidated

statements of

income location

    Millions
of yen		      Consolidated
statements of
income location		      Millions
of yen		  

Foreign exchange contracts

    ¥ 6,618       Brokerage commissions and net gains (losses) on investment securities    ¥ 2         —         ¥ 0   

Borrowings and bonds in local currency

   

 

1,393

  

   

—

   

 

0

  

   

 

—  

  

   

 

0

  

 

(4) Trading derivatives or derivatives not designated as hedging instruments

 

     Gains (losses) recognized in income on derivative
     Millions of yen    

Consolidated statements of income location

Interest rate swap agreements

    ¥ 40      Other operating revenues/expenses

Foreign currency swap agreements

      (945 )    Other operating revenues/expenses

Futures

      3,778      Brokerage commissions and net gains (losses) on investment securities

Foreign exchange contracts

      293      Brokerage commissions and net gains (losses) on investment securities

Credit derivatives held/written

      105      Other operating revenues/expenses

Options held/written, Caps held

      445      Other operating revenues/expenses

 

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2010 is as follows.

 

(1) Cash flow hedges

 

     Gains (losses)
recognized

in other
comprehensive
income on
derivative
(effective portion)		    

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income

(effective portion)

    

Gains (losses) recognized

in income on derivative

(ineffective portion and amount
excluded from effectiveness testing)

  
     Millions

of yen		    

Consolidated

statements of

income location

   Millions
of yen		    

Consolidated

statements of

income location

   Millions
of yen		  

Interest rate swap agreements

    ¥ 1,070      Interest on loans and investment securities/Interest expense   ¥ (89 )    —     ¥         0   

Foreign exchange contracts

      (28 )    Foreign currency transaction loss     (28 )    —       0   

Foreign currency swap agreements

   

 

(2,415

) 

  

Interest on loans and investment securities/Interest expense/Foreign currency transaction loss

  

 

1,264

  

  

—  

  

 

0

 

 

(2) Fair value hedges

 

    Gains (losses) recognized

in income on derivative		    Gains (losses) recognized

in income on hedged item
    Millions
of yen		     

Consolidated

statements of

income location

    Millions
of yen		    

Consolidated

statements of

income location

Interest rate swap agreements

     ¥    924       Interest on loans and investment securities/Interest expense    ¥ (1,231 )    Interest on loans and investment securities/Interest expense

Foreign exchange contracts

     4,700       Foreign currency transaction loss      (4,700 )    Foreign currency transaction loss

Foreign currency swap agreements

     349       Foreign currency transaction loss      (349 )    Foreign currency transaction loss

 

(3) Hedges of net investment in foreign operations

 

    Gains (losses)
recognized
in other
comprehensive
income on
derivative
and others
(effective portion)		    

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income
(effective portion)

     Gains (losses) recognized
in income on derivative and  others
(ineffective portion and amount
excluded from effectiveness testing)		  
    Millions

of yen		    

Consolidated

statements of

income location

   Millions
of yen		     Consolidated
statements of
income location		     Millions
of yen		  

Foreign exchange contracts

   ¥ (45 )    Gains (losses) on sales of subsidiaries and affiliates and liquidation losses, net   ¥ 820        —        ¥         0   

Borrowings and bonds in local currency

  

 

1,783

  

  

—  

  

 

0

  

  

 

—  

  

  

 

0

  

 

(4) Trading derivatives or derivatives not designated as hedging instruments

 

     Gains (losses) recognized in income on derivative
     Millions
of yen		    

Consolidated statements of income location

Interest rate swap agreements

    ¥ 14      Other operating revenues/expenses

Foreign currency swap agreements

      998      Other operating revenues/expenses

Futures

      (147 )    Brokerage commissions and net gains (losses) on investment securities

Foreign exchange contracts

      67      Brokerage commissions and net gains (losses) on investment securities

Credit derivatives held/written

      383      Other operating revenues/expenses

Options held/written, Caps held

      (477 )    Other operating revenues/expenses

 

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2011 is as follows.

 

(1) Cash flow hedges

 

    Gains (losses)
recognized
in other
comprehensive
income on
derivative
(effective portion)		    

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income
(effective portion)

     Gains (losses) recognized
in income on derivative
(ineffective portion and amount
excluded from effectiveness testing)		  
    Millions
of yen		     Millions of
U.S. dollars		    

Consolidated

statements of
income location

   Millions
of yen		     Millions of
U.S. dollars		     Consolidated
statements
of income location		     Millions
of yen		     Millions of
U.S. dollars		  

Interest rate swap agreements

  

¥

598

  

  

$

7

  

  

Interest on loans and investment securities/Interest expense

  

¥

(313

) 

  

$

(4

) 

  

 

—  

  

  

¥

        0

 

  

$

        0

 

Foreign exchange contracts

  

 

526

  

  

 

6

  

  

Foreign currency transaction loss

  

 

291

  

  

 

3

  

  

 

—  

  

  

 

0

 

  

 

0

 

Foreign currency swap agreements

  

 

(2,623

) 

  

 

(32

) 

  

Interest on loans and investment securities/Interest expense/Foreign currency transaction loss

  

 

383

  

  

 

5

  

  

 

—  

  

  

 

0

 

  

 

0

 

 

(2) Fair value hedges

 

     Gains (losses) recognized
in income on derivative and other		    Gains (losses) recognized
in income on hedged item
     Millions
of yen		      Millions of
U.S. dollars		     

Consolidated

statements of

income location

    Millions
of yen		     Millions of
U.S. dollars		    

Consolidated

statements of
income location

Interest rate swap agreements

   

¥

1,986

  

   

$

24

  

   

Interest on loans and investment securities/Interest expense

   

¥

(2,217

) 

  

$

(27

) 

  

Interest on loans and investment securities/Interest expense

Foreign exchange contracts

   

 

8,765

  

   

 

105

  

   

Foreign currency transaction loss

   

 

(8,765

) 

  

 

(105

) 

  

Foreign currency transaction loss

Foreign currency swap agreements

   

 

4,297

  

   

 

52

  

   

Foreign currency transaction loss

   

 

(4,297

) 

  

 

(52

) 

  

Foreign currency transaction loss

Foreign currency long-term-debt

   

 

1,193

  

   

 

14

  

   

Foreign currency transaction loss

   

 

(1,193

) 

  

 

(14

) 

  

Foreign currency transaction loss

 

(3) Hedges of net investment in foreign operations

 

    Gains (losses)
recognized
in other
comprehensive
income on
derivative
and others
(effective portion)		    

Gains (losses) reclassified from
accumulated other comprehensive
income (loss) into income

(effective portion)

     Gains (losses) recognized
in income on derivative and others
(ineffective portion and amount
excluded from effectiveness testing)		  
    Millions

of yen		     Millions of
U.S. dollars		    

Consolidated

statements of
income location

   Millions
of yen		     Millions of
U.S. dollars		     Consolidated
statements of
income location		     Millions
of yen		     Millions of
U.S. dollars		  

Foreign exchange contracts

  

¥

4,468

  

  

$

54

  

  

Gains (losses) on sales of subsidiaries and affiliates and liquidation losses, net

  

¥

39

  

  

$

    0

  

  

 

—  

  

  

¥

        0

  

  

$

        0

 

Borrowings and bonds in local currency

     3,711        45      —     0       0       —          0       0  

 

(4) Trading derivatives or derivatives not designated as hedging instruments

 

     Gains (losses) recognized in income on derivative
     Millions
of yen		     Millions of
U.S. dollars		    

Consolidated statements of income location

Interest rate swap agreements

    ¥ 34      $     0      Other operating revenues/expenses

Foreign currency swap agreements

      (10 )      0      Other operating revenues/expenses

Futures

      1,897        23      Brokerage commissions and net gains on investment securities

Foreign exchange contracts

      (245 )      (3 )    Brokerage commissions and net gains on investment securities

Credit derivatives held/written

      (675 )      (8 )    Other operating revenues/expenses

Options held/written, Caps held and other

      660        8      Other operating revenues/expenses
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Notional amounts of derivative instruments and other, fair values of derivative instruments and other in consolidated balance sheets at March 31, 2010 and 2011 are as follows.

 

March 31, 2010

 

          Asset derivatives   Liability derivatives
    Notional amount     Fair value     Consolidated
balance sheets
location		   Fair value    

Consolidated

balance sheets

location
    Millions
of yen		     Millions
of yen		       Millions
of yen		    

Derivatives designated as hedging instruments:

          

Interest rate swap agreements

   ¥ 170,193      ¥ 191      Other receivables   ¥ 2,862      Trade notes, accounts payable and other liabilities

Futures, Foreign exchange contracts

     171,681        834      Other receivables     4,968      Trade notes, accounts payable and other liabilities

Foreign currency swap agreements

     207,049        12,671      Other receivables     22,053      Trade notes, accounts payable and other liabilities

Trading derivatives or derivatives not designated as hedging instruments:

          

Interest rate swap agreements

   ¥ 9,096      ¥ 1      Other receivables   ¥ 94      Trade notes, accounts payable and other liabilities

Options held/written, Caps held

     21,690        555      Other receivables     189      Trade notes, accounts payable and other liabilities

Futures, Foreign exchange contracts

     379,754        1,241      Other receivables     769      Trade notes, accounts payable and other liabilities

Foreign currency swap agreements

     10,567        1,053      Other receivables     1,000      Trade notes, accounts payable and other liabilities

Credit derivatives held/written

     48,490        528      Other receivables     40      Trade notes, accounts payable and other liabilities

 

March 31, 2011

 

                Asset derivatives     Liability derivatives
    Notional amount     Fair value     Consolidated
balance sheets
location		     Fair value    

Consolidated

balance sheets

location
    Millions
of yen		     Millions of
U.S. dollars		     Millions
of yen		     Millions of
U.S. dollars		       Millions
of yen		     Millions of
U.S. dollars		    

Derivatives designated as hedging instruments and other:

                

Interest rate swap agreements

  

¥

276,132

  

  

$

3,321

  

  

¥

2,070

  

  

$

25

  

  

 

Other receivables

  

  

¥

1,273

  

  

$

15

  

  

Trade notes, accounts payable and other liabilities

Futures, Foreign exchange contracts

  

 

163,342

  

  

 

1,964

  

  

 

1,075

  

  

 

13

  

  

 

Other receivables

  

  

 

3,509

  

  

 

42

  

  

Trade notes, accounts payable and other liabilities

Foreign currency swap agreements

  

 

179,429

  

  

 

2,158

  

  

 

13,072

  

  

 

157

  

  

 

Other receivables

  

  

 

31,830

  

  

 

383

  

  

Trade notes, accounts payable and other liabilities

Foreign currency long-term-debt

     19,616        236        0        0        —        0        0      —

Trading derivatives or derivatives not designated as hedging instruments:

                

Interest rate swap agreements

  

¥

3,129

  

  

$

38

  

  

¥

0

  

  

$

0

  

  

 

Other receivables

  

  

¥

47

  

  

$

1

  

  

Trade notes, accounts payable and other liabilities

Options held/written, Caps held and other

  

 

124,034

  

  

 

1,492

  

  

 

3,467

  

  

 

42

  

  

 

Other receivables

  

  

 

2,071

  

  

 

25

  

  

Trade notes, accounts payable and other liabilities

Futures, Foreign exchange contracts

  

 

227,640

  

  

 

2,738

  

  

 

1,558

  

  

 

19

  

  

 

Other receivables

  

  

 

1,459

  

  

 

18

  

  

Trade notes, accounts payable and other liabilities

Foreign currency swap agreements

  

 

10,073

  

  

 

121

  

  

 

1,694

  

  

 

20

  

  

 

Other receivables

  

  

 

1,651

  

  

 

20

  

  

Trade notes, accounts payable and other liabilities

Credit derivatives held/written

  

 

36,027

  

  

 

433

  

  

 

49

  

  

 

1

  

  

 

Other receivables

  

  

 

236

  

  

 

3

  

  

Trade notes, accounts payable and other liabilities
Disclosure of Credit Derivatives

The Company and its subsidiaries have contracted credit derivatives for the purpose of trading. As of March 31, 2010 and 2011, details of credit derivatives are as follows.

 

March 31, 2010

 

Types of derivatives

   

The events or circumstances
that would require
the seller to perform under
the credit derivative

    Maximum
potential amount of
future payment under
the credit derivative		      Approximate
remaining
term of
the credit
derivative		    Fair value of
the credit
derivative		  
      Millions
of yen		         Millions
of yen		  

Credit default swap

    In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company *1    ¥ 7,000       Less than
two years		    ¥ (1 ) 

Total return swap

    In case of underlying reference CMBS price falling beyond certain extent *2      41,146       Less than
two years		      493   

 

March 31, 2011

 

Types of derivatives

   

The events or circumstances
that would require
the seller to perform under
the credit derivative

    Maximum
potential amount of
future payment under
the credit derivative		      Approximate
remaining
term of
the credit
derivative		    Fair value of
the credit
derivative		  
      Millions
of yen		      Millions of
U.S. dollars		         Millions
of yen		     Millions of
U.S. dollars		  

Credit default swap

    In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company *1    ¥ 7,000       $ 84       Less than
one year		    ¥ 48      $ 1   

Total return swap

    In case of underlying reference CMBS price falling beyond certain extent *2      28,606         344       Less than
one year		      (236 )      (3 ) 

 

*1 Underlying reference company’s credit ratings are BBB+ or better rated by rating agencies as of March 31, 2010 and 2011.
*2 Underlying reference CMBS is highest grade tranche and its credit rating is BBB or better rated by rating agencies as of March 31, 2010 and 2011. Unless such highest grade tranche of CMBS incurs a loss, the Company and its subsidiaries will not suffer a loss.