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Fair Value Measurements (Tables)

9 Months Ended

Dec. 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, 2011 and December 31, 2011:

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			¥	—
Available-for-sale securities			883,410				74,914				492,820				315,676
Japanese and foreign government bond securities			169,345				19,995				149,350				—
Japanese prefectural and foreign municipal bond securities			34,968				—				34,968				—
Corporate debt securities			292,032				—				289,459				2,573
Specified bonds issued by SPEs in Japan			222,314				—				—				222,314
CMBS and RMBS in the U.S., and other asset-backed securities			87,874				—				2,591				85,283
Other debt securities			5,506				—				—				5,506
Equity securities			71,371				54,919				16,452				—
Other securities			10,023				—				10,023				—
Investment funds			10,023				—				10,023				—
Derivative assets			22,985				1,306				18,497				3,182
Interest rate swap agreements			2,070				—				2,070				—
Options held/written, caps held, and other			3,467				—				333				3,134
Futures, foreign exchange contracts			2,633				1,306				1,327				—
Foreign currency swap agreements			14,766				—				14,766				—
Credit derivatives held/written			49				—				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				—				1,320				—
Options held/written, caps held, and other			2,071				—				2,071				—
Futures, foreign exchange contracts			4,968				977				3,991				—
Foreign currency swap agreements			33,481				—				33,481				—
Credit derivatives held/written			236				—				—				236
		¥	42,076			¥	977			¥	40,863			¥	236

December 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:
Loans held for sale*		¥	8,896			¥	—			¥	8,896			¥	—
Trading securities			33,818				166				33,652				—
Available-for-sale securities			880,582				107,107				501,632				271,843
Japanese and foreign government bond securities			173,482				50,321				123,161				—
Japanese prefectural and foreign municipal bond securities			58,644				27				58,617				—
Corporate debt securities			306,217				—				303,328				2,889
Specified bonds issued by SPEs in Japan			162,396				—				—				162,396
CMBS and RMBS in the U.S., and other asset-backed securities			100,591				—				1,619				98,972
Other debt securities			7,586				—				—				7,586
Equity securities			71,666				56,759				14,907				—
Other securities			5,239				—				5,239				—
Investment funds			5,239				—				5,239				—
Derivative assets			19,666				559				15,381				3,726
Interest rate swap agreements			4,625				—				4,625				—
Options held/written, caps held and other			4,101				—				375				3,726
Futures, foreign exchange contracts			2,107				559				1,548				—
Foreign currency swap agreements			8,671				—				8,671				—
Credit derivatives held			162				—				162				—
		¥	948,201			¥	107,832			¥	564,800			¥	275,569
Financial Liabilities:
Derivative liabilities		¥	9,595			¥	557			¥	9,038			¥	—
Interest rate swap agreements			1,433				—				1,433				—
Options held/written, caps held and other			2,678				—				2,678				—
Futures, foreign exchange contracts			1,793				557				1,236				—
Foreign currency swap agreements			3,687				—				3,687				—
Credit derivatives held			4				—				4				—
		¥	9,595			¥	557			¥	9,038			¥	—

* A subsidiary elected the fair value option under ASC825-10 (“Financial Instruments—Fair Value Option”) on the loans held for sale originated on and after October 1, 2011. These loans are multi-family and seniors housing loans and are sold to Federal National Mortgage Association (“Fannie Mae”) or institutional investors. Included in other operating revenues in the consolidated statements of income are gains from the change in the fair value of the loans of ¥404 million and ¥404 million, for the nine months ended December 31, 2011 and for the three months ended December 31, 2011, respectively. No gains or losses were recognized in earnings during the nine months ended December 31, 2011 and for the three months ended December 31, 2011, attributable to changes in instrument-specific credit risk. The amounts of aggregate unpaid principal balance and aggregate fair value at December 31, 2011, are ¥8,492 million and ¥8,896 million, respectively, and the amount of aggregate fair value exceeds the amount of aggregate unpaid principal balance by ¥404 million. There are no loans that are 90 days or more past due, in non-accrual status, or both.

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

The following table presents the reconciliation for financial assets and liabilities (net) measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the nine months ended December 31, 2010 and 2011:

Nine months ended December 31, 2010

		Millions of yen
		Balance at April 1, 2010				Gains or losses (realized/unrealized)												Purchases, sales, and settlements (net)				Transfers in and/ or out of Level 3 (net) *2				Balance at December 31, 2010				Change in unrealized gains or losses included in earnings for assets and liabilities still held at December 31, 2010 *1
						Included in earnings *1				Included in other comprehensive income				Total
Trading securities		¥	53			¥	(26	)		¥	(2	)		¥	(28	)		¥	(25	)		¥	—			¥	—			¥	—
Available-for-sale securities			401,804				(7,705	)			(3,192	)			(10,897	)			(47,333	)			(43,536	)			300,038				(7,733	)
Corporate debt securities			6,841				10				(66	)			(56	)			(2,080	)			(2,057	)			2,648				(23	)
Specified bonds issued by SPEs in Japan			246,305				(4,993	)			1,491				(3,502	)			(41,473	)			7,929				209,259				(5,031	)
CMBS and RMBS in the U.S., and other asset-backed securities			143,176				(2,722	)			(4,635	)			(7,357	)			(3,780	)			(49,408	)			82,631				(2,679	)
Other debt securities			5,482				—				18				18				—				—				5,500				—
Derivative assets and liabilities (net)			493				(2,068	)			—				(2,068	)			—				2,659				1,084				(2,068	)
Options held/written, caps held and other			—				(1,621	)			—				(1,621	)			—				2,659				1,038				(1,621	)
Credit derivatives held/written			493				(447	)			—				(447	)			—				—				46				(447	)

Nine months ended December 31, 2011

		Millions of yen
						Gains or losses (realized/unrealized)												Purchases				Sales				Settlements				Transfers in and/ or out of Level 3 (net) *2				Balance at December 31, 2011				Change in unrealized gains or losses included in earnings for assets and liabilities still held at December 31, 2011 *1
		Balance at April 1, 2011				Included in earnings *1				Included in other comprehensive income				Total
Available-for-sale securities			315,676				(1,851	)			(632	)			(2,483	)			53,681				(6,777	)			(88,254	)			—				271,843				(2,487	)
Corporate debt securities			2,573				(105	)			203				98				2,549				—				(2,331	)			—				2,889				(108	)
Specified bonds issued by SPEs in Japan			222,314				(3,451	)			3,112				(339	)			100				(10	)			(59,669	)			—				162,396				(3,476	)
CMBS and RMBS in the U.S., and other asset-backed securities			85,283				1,705				(3,336	)			(1,631	)			45,341				(6,767	)			(23,254	)			—				98,972				1,097
Other debt securities			5,506				—				(611	)			(611	)			5,691				—				(3,000	)			—				7,586				—
Derivative assets and liabilities (net)			2,946				592				—				592				—				—				188				—				3,726				592
Options held/written, caps held and other			3,134				592				—				592				—				—				—				—				3,726				592
Credit derivatives held/written			(188	)			—				—				—				—				—				188				—				—				—

*1 Principally, gains and losses from trading securities are included in brokerage commissions and net gains on investment securities; available-for-sale securities are included in write-downs of securities or life insurance premiums and related investment income and derivative assets and liabilities (net) are included in other operating revenues/expenses, respectively. Also, for available-for-sale securities, amortizations of interest recognized in interest on loans and investment securities are included in these columns.

*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.

Three months ended December 31, 2010

		Millions of yen
		Balance at September 30, 2010				Gains or losses (realized/unrealized)												Purchases, sales, and settlements (net)				Transfers in and/ or out of Level 3 (net) *2				Balance at December 31, 2010				Change in unrealized gains or losses included in earnings for assets and liabilities still held at December 31, 2010 *1
						Included in earnings *1				Included in other comprehensive income				Total
Trading securities		¥	24			¥	—			¥	1			¥	1			¥	(25	)		¥	—			¥	—			¥	—
Available-for-sale securities			308,955				(922	)			(1,971	)			(2,893	)			(6,024	)			—				300,038				(889	)
Corporate debt securities			3,147				(22	)			(4	)			(26	)			(473	)			—				2,648				(23	)
Specified bonds issued by SPEs in Japan			213,852				(183	)			(148	)			(331	)			(4,262	)			—				209,259				(215	)
CMBS and RMBS in the U.S., and other asset-backed securities			86,462				(717	)			(1,825	)			(2,542	)			(1,289	)			—				82,631				(651	)
Other debt securities			5,494				—				6				6				—				—				5,500				—
Derivative assets and liabilities (net)			3,288				(2,204	)			—				(2,204	)			—				—				1,084				(2,204	)
Options held/written, caps held and other			2,720				(1,682	)			—				(1,682	)			—				—				1,038				(1,682	)
Credit derivatives held/written			568				(522	)			—				(522	)			—				—				46				(522	)

Three months ended December 31, 2011

		Millions of yen
						Gains or losses (realized/unrealized)												Purchases				Sales				Settlements				Transfers in and/ or out of Level 3 (net) *2				Balance at December 31, 2011				Change in unrealized gains or losses included in earnings for assets and liabilities still held at December 31, 2011 *1
		Balance at September 30, 2011				Included in earnings *1				Included in other comprehensive income				Total
Available-for-sale securities			292,909				(520	)			1,939				1,419				14,346				(6,452	)			(30,379	)			—				271,843				(978	)
Corporate debt securities			2,681				(37	)			17				(20	)			546				—				(318	)			—				2,889				(37	)
Specified bonds issued by SPEs in Japan			180,191				(1,576	)			964				(612	)			100				(10	)			(17,273	)			—				162,396				(1,601	)
CMBS and RMBS in the U.S., and other asset-backed securities			99,624				1,093				785				1,878				13,700				(6,442	)			(9,788	)			—				98,972				660
Other debt securities			10,413				—				173				173				—				—				(3,000	)			—				7,586				—
Derivative assets and liabilities (net)			3,253				463				—				463				—				—				10				—				3,726				463
Options held/written, caps held and other			3,263				463				—				463				—				—				—				—				3,726				463
Credit derivatives held/written			(10	)			—				—				—				—				—				10				—				—				—

*1 Principally, gains and losses from trading securities are included in brokerage commissions and net gains on investment securities; available-for-sale securities are included in write-downs of securities or life insurance premiums and related investment income and derivative assets and liabilities (net) are included in other operating revenues/expenses, respectively. Also, for available-for-sale securities, amortizations of interest recognized in interest on loans and investment securities are included in these columns.

*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 assets and liabilities measured at fair value on a nonrecurring basis as of March 31, 2011 and December 31, 2011. These assets are measured at fair value on a nonrecurring basis mainly to recognize impairment.

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			¥	—			¥	—			¥	3,776
Loans held for sale			11,439				—				11,439				—
Real estate collateral-dependent loans (net of allowance for probable loan losses)			110,329				—				—				110,329
Investment in operating leases and other operating assets			26,813				—				—				26,813
Land and buildings undeveloped or under construction			30,595				—				—				30,595
Certain investment in affiliates			2,090				236				—				1,854
		¥	185,042			¥	236			¥	11,439			¥	173,367
December 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		¥	1,138			¥	—			¥	—			¥	1,138
Real estate collateral-dependent loans (net of allowance for probable loan losses)			81,362				—				—				81,362
Investment in operating leases and other operating assets			11,478				—				—				11,478
Land and buildings undeveloped or under construction			14,307				—				—				14,307
Certain investment in affiliates			11,063				10,775				—				288
		¥	119,348			¥	10,775			¥	—			¥	108,573

X

- Definition

Fair Value, Assets and Liabilities Measured on Recurring Basis.

+ References

No definition available.

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X

- Definition

This element represents the disclosure related to assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 33

-Subparagraph a, b

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X

- Definition

This element represents, for the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (net); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-Subparagraph c

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