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Fair Value Measurements (Tables)

12 Months Ended

Mar. 31, 2014

Recorded Amounts of Major Financial Assets and Liabilities Measured at Fair Value 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, 2013 and 2014:

		March 31, 2013
		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*1		¥	16,026			¥	0			¥	16,026			¥	0
Trading securities			33,041				2,184				30,857				0
Available-for-sale securities			757,299				166,398				453,923				136,978
Japanese and foreign government bond securities			278,717				98,990				179,727				0
Japanese prefectural and foreign municipal bond securities			61,090				0				61,090				0
Corporate debt securities			196,835				0				190,311				6,524
Specified bonds issued by SPEs in Japan			63,244				0				0				63,244
CMBS and RMBS in the U.S., and other asset- backed securities			60,691				0				1,792				58,899
Other debt securities			8,311				0				0				8,311
Equity securities			88,411				67,408				21,003				0
Other securities			5,800				0				0				5,800
Investment funds*3			5,800				0				0				5,800
Derivative assets			14,598				147				12,352				2,099
Interest rate swap agreements			4,654				0				4,654				0
Options held/written and other			5,654				0				3,555				2,099
Futures, foreign exchange contracts			1,030				147				883				0
Foreign currency swap agreements			2,890				0				2,890				0
Credit derivatives held			370				0				370				0
		¥	826,764			¥	168,729			¥	513,158			¥	144,847
Financial Liabilities:
Derivative liabilities		¥	18,037			¥	0			¥	18,037			¥	0
Interest rate swap agreements			1,459				0				1,459				0
Options held/written and other			3,530				0				3,530				0
Futures, foreign exchange contracts			4,685				0				4,685				0
Foreign currency swap agreements			8,263				0				8,263				0
Credit derivatives held/written			100				0				100				0
		¥	18,037			¥	0			¥	18,037			¥	0

		March 31, 2014
		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*1		¥	12,631			¥	0			¥	12,631			¥	0
Trading securities			16,079				275				15,804				0
Available-for-sale securities			881,606				230,618				566,987				84,001
Japanese and foreign government bond securities			360,360				114,989				245,371				0
Japanese prefectural and foreign municipal bond securities			96,697				0				96,697				0
Corporate debt securities			201,386				0				200,725				661
Specified bonds issued by SPEs in Japan			6,772				0				0				6,772
CMBS and RMBS in the U.S., and other asset- backed securities			65,631				0				613				65,018
Other debt securities			11,550				0				0				11,550
Equity securities*2			139,210				115,629				23,581				0
Other securities			6,317				0				0				6,317
Investment funds*3			6,317				0				0				6,317
Derivative assets			12,437				8				9,943				2,486
Interest rate swap agreements			2,528				0				2,528				0
Options written and other			5,486				0				3,000				2,486
Futures, foreign exchange contracts			860				8				852				0
Foreign currency swap agreements			3,534				0				3,534				0
Credit derivatives written			29				0				29				0
		¥	929,070			¥	230,901			¥	605,365			¥	92,804
Financial Liabilities:
Derivative liabilities		¥	16,646			¥	28			¥	16,618			¥	0
Interest rate swap agreements			634				0				634				0
Options written and other			3,605				0				3,605				0
Futures, foreign exchange contracts			4,966				28				4,938				0
Foreign currency swap agreements			7,176				0				7,176				0
Credit derivatives held			265				0				265				0
Accounts Payable			2,833				0				0				2,833
Contingent consideration			2,833				0				0				2,833
		¥	19,478			¥	28			¥	16,617			¥	2,833

*1 A subsidiary elected the fair value option under ASC 825 (“Financial Instruments”) on the loans held for sale originated on or 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 were gains from the change in the fair value of the loans of ¥1,024 million for the fiscal year ended March 31, 2012, losses from the change in the fair value of the loans of ¥628 million for the fiscal year ended March 31, 2013 and gains from the change in the fair value of the loans of ¥116 million for the fiscal year ended March 31, 2014. No gains or losses were recognized in earnings during the fiscal year ended March 31, 2012, the fiscal year ended March 31, 2013 and the fiscal year ended March 31, 2014 attributable to changes in instrument-specific credit risk. The amounts of aggregate unpaid principal balance and aggregate fair value at March 31, 2013, were ¥15,535 million and ¥16,026 million, respectively, and the amount of the aggregate fair value exceeded the amount of aggregate unpaid principal balance by ¥491 million. The amounts of aggregate unpaid principal balance and aggregate fair value at March 31, 2014, were ¥12,024 million and ¥12,631 million, respectively, and the amount of the aggregate fair value exceeded the amount of aggregate unpaid principal balance by ¥607 million. As of March 31, 2013 and 2014, there were no loans that were 90 days or more past due, in non-accrual status, or both.

*2 A subsidiary that has newly become a consolidated subsidiary of the Company during this fiscal year elected the fair value option under ASC 825 (“Financial Instruments”) for investments in equity securities included in available-for-sale securities. Included in brokerage commissions and net gains on investment securities in the consolidated statements of income were gains from the change in the fair value of those investments of ¥333 million for the fiscal year ended March 31, 2014. The amount of aggregate fair value elected the fair value option is ¥5,116 million as of March 31, 2014.

*3 A subsidiary and another company that have newly become a consolidated subsidiary of the Company during this fiscal year elected the fair value option under ASC 825 (“Financial Instruments”) for investments in some funds. Included in brokerage commissions and net gains on investment securities in the consolidated statements of income were gains from the change in the fair value of those investments of ¥670 million for the fiscal year ended March 31, 2013 and ¥1,412 million for the fiscal year ended March 31, 2014. The amounts of aggregate fair value elected the fair value option were ¥5,800 million and ¥6,317 million as of March 31, 2013 and 2014, respectively.

Reconciliation of Financial Assets Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs

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 2012, 2013 and 2014:

		2012
		Millions of yen
		Balance at April 1, 2011				Gains or losses (realized/ unrealized)												Purchases				Sales				Settlements				Transfers in and/ or out of Level 3 (net)*3				Balance at March 31, 2012				Change in unrealized gains or  losses included in earnings for assets and liabilities still held at March 31, 2012*1
						Included  in earnings*1				Included in other comprehensive Income*2				Total
Available-for-sale securities		¥	315,676			¥	(1,262	)		¥	1,443			¥	181			¥	63,980			¥	(18,054	)		¥	(118,596	)		¥	468			¥	243,655			¥	(2,429	)
Corporate debt securities			2,573				(18	)			108				90				2,549				(431	)			(2,337	)			468				2,912				(35	)
Specified bonds issued by SPEs in Japan			222,314				(3,066	)			2,178				(888	)			6,668				(9,625	)			(79,317	)			0				139,152				(3,397	)
CMBS and RMBS in the U.S., and other asset-backed securities			85,283				1,822				(1,056	)			766				49,072				(7,998	)			(33,942	)			0				93,181				1,003
Other debt securities			5,506				0				213				213				5,691				0				(3,000	)			0				8,410				0
Derivative assets and liabilities (net)			2,946				2,159				0				2,159				0				0				188				0				5,293				2,159
Options held/written, caps held and other			3,134				2,159				0				2,159				0				0				0				0				5,293				2,159
Credit derivatives held/written			(188	)			0				0				0				0				0				188				0				0				0

		2013
		Millions of yen
		Balance at April 1, 2012				Gains or losses (realized/ unrealized)												Purchases				Sales				Settlements				Transfers in and/ or out of Level 3 (net)*3				Balance at March 31, 2013				Change in unrealized gains or  losses included in earnings for assets and liabilities still held at March 31, 2013*1
						Included  in earnings*1				Included in other comprehensive Income*2				Total
Available-for-sale securities			¥243,655				¥(9,225)				¥7,693				¥(1,532)				¥19,294			¥	(10,564	)		¥	(113,875	)			¥0				¥136,978			¥	(9,783	)
Corporate debt securities			2,912				(508	)			908				400				3,942				(432	)			(298	)			0				6,524				(456	)
Specified bonds issued by SPEs in Japan			139,152				(9,228	)			(15	)			(9,243	)			5,419				(9	)			(72,075	)			0				63,244				(8,095	)
CMBS and RMBS in the U.S., and other asset-backed securities			93,181				(369	)			5,381				5,012				9,933				(7,725	)			(41,502	)			0				58,899				(1,232	)
Other debt securities			8,410				880				1,419				2,299				0				(2,398	)			0				0				8,311				0
Other securities			0				670				825				1,495				5,018				(713	)			0				0				5,800				670
Investment funds			0				670				825				1,495				5,018				(713	)			0				0				5,800				670
Derivative assets and liabilities (net)			5,293				(3,194	)			0				(3,194	)			0				0				0				0				2,099				(3,194	)
Options held/written, caps held and other			5,293				(3,194	)			0				(3,194	)			0				0				0				0				2,099				(3,194	)

		2014
		Millions of yen
		Balance at April 1, 2013				Gains or losses (realized/ unrealized)												Purchases				Sales				Settlements				Transfers in and/ or out of Level 3 (net)*3				Balance at March 31, 2014				Change in unrealized gains or  losses included in earnings for assets and liabilities still held at March 31, 2014*1
						Included  in earnings*1				Included in other comprehensive Income*2				Total
Available-for-sale securities		¥	136,978				¥4,364				¥4,056				¥8,420			¥	56,202			¥	(13,817	)		¥	(103,782	)		¥	0			¥	84,001			¥	180
Corporate debt securities			6,524				416				(356	)			60				0				(1,325	)			(4,598	)			0				661				0
Specified bonds issued by SPEs in Japan			63,244				327				839				1,166				0				(36	)			(57,602	)			0				6,772				5
CMBS and RMBS in the U.S., and other asset- backed securities			58,899				3,621				1,334				4,955				55,202				(12,456	)			(41,582	)			0				65,018				175
Other debt securities			8,311				0				2,239				2,239				1,000				0				0				0				11,550				0
Other securities			5,800				1,767				584				2,351				2,013				(3,824	)			(23	)			0				6,317				1,767
Investment funds			5,800				1,767				584				2,351				2,013				(3,824	)			(23	)			0				6,317				1,767
Derivative assets and liabilities (net)			2,099				2,987				0				2,987				0				0				(2,600	)			0				2,486				2,987
Options held/written and other			2,099				2,987				0				2,987				0				0				(2,600	)			0				2,486				2,987
Accounts payable			0				2,343				0				2,343				5,176				0				0				0				2,833				2,343
Contingent consideration			0				2,343				0				2,343				5,176				0				0				0				2,833				2,343

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

*2 Unrealized gains and losses from available-for-sale securities are included in “Net change of unrealized gains (losses) on investment in securities.”

*3 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.

Recorded Amounts of Major Assets Measured at Fair Value on Nonrecurring Basis

The following table presents recorded amounts of assets measured at fair value on a nonrecurring basis as of March 31, 2013 and 2014. These assets are measured at fair value on a nonrecurring basis mainly to recognize impairment:

		March 31, 2013
		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:
Real estate collateral-dependent loans (net of allowance for probable loan losses)		¥	60,564			¥	0			¥	0			¥	60,564
Investment in operating leases and other operating assets			21,960				0				0				21,960
Land and buildings undeveloped or under construction			11,845				0				0				11,845
Certain investment in affiliates			3,704				0				0				3,704
		¥	98,073			¥	0			¥	0			¥	98,073

		March 31, 2014
		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:
Real estate collateral-dependent loans (net of allowance for probable loan losses)		¥	39,866			¥	0			¥	0			¥	39,866
Investment in operating leases and other operating assets			60,665				0				0				60,665
Land and buildings undeveloped or under construction			18,237				0				0				18,237
		¥	118,768			¥	0			¥	0			¥	118,768

Information about Valuation Techniques and Significant Unobservable Inputs Used in Valuation of Level Three Assets Measured at Fair Value on Recurring Basis

The following table provides information about the valuation techniques and significant unobservable inputs used in the valuation of Level 3 assets or liabilities measured at fair value on a recurring basis as of March 31, 2013 and 2014.

		March 31, 2013
		Millions of yen				Valuation Technique(s)		Significant Unobservable Inputs		Range (Weighted Average)
		Fair Value
Financial Assets:
Available-for-sale securities
Corporate debt securities		¥	974			Discounted cash flows		Discount rate		5.4%
										(5.4%)
			5,550			Appraisals/Broker quotes		—		—
Specified bonds issued by SPEs in Japan			60,013			Discounted cash flows		Discount rate		1.0% – 12.0%
										(4.9%)
			3,231			Appraisals/Broker quotes		—		—
CMBS and RMBS in the U.S., and other asset-backed securities			30,804			Discounted cash flows		Discount rate		2.9% – 42.6%
										(9.3%)
								Probability of default		0.0% – 12.8%
										(1.7%)
			28,095			Appraisals/Broker quotes		—		—
Other debt securities			8,311			Discounted cash flows		Discount rate		11.7% (11.7%)
Other securities
Investment funds			5,800			Discounted cash flows		Discount rate		13.0% – 20.0%
										(18.6%)
Derivative assets
Options held/written and other			2,099			Discounted cash flows		Discount rate		10.0% – 15.0%
										(12.3%)
		¥	144,877

		March 31, 2014
		Millions of yen				Valuation Technique(s)		Significant Unobservable Inputs		Range (Weighted Average)
		Fair Value
Financial Assets:
Available-for-sale securities Corporate debt securities		¥	661			Appraisals/Broker quotes		—		—
Specified bonds issued by SPEs in Japan			3,627			Discounted cash flows		Discount rate		1.0% – 11.1%
										(4.5%)
			3,145			Appraisals/Broker quotes		—		—
CMBS and RMBS in the U.S., and other asset-backed securities			22,991			Discounted cash flows		Discount rate		4.1% – 38.0%
										(18.1%)
								Probability of default		0.0% – 18.1%
										(0.6%)
			42,027			Appraisals/Broker quotes		—		—
Other debt securities			11,550			Discounted cash flows		Discount rate		12.0%
										(12.0%)
Other securities
Investment funds			6,317			Internal cash flows		Discount rate		15.0% – 32.0%
										(20.1%)
Derivative assets
Options written and other			2,486			Discounted cash flows		Discount rate		10.0% – 15.0%
										(11.5%)
		¥	92,804
Financial Liabilities:
Accounts payable Contingent consideration		¥	2,833			Monte Carlo simulation		Discount rate		16.0%
										(16.0%)
		¥	2,833

Information about Valuation Techniques and Significant Unobservable Inputs Used in Valuation of Level Three Assets Measured at Fair Value on Nonrecurring Basis

The following table provides information about the valuation techniques and significant unobservable inputs used in the valuation of Level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2013 and 2014.

		March 31, 2013
		Millions of yen				Valuation Technique(s)		Significant Unobservable Inputs		Range (Weighted Average)
		Fair Value
Assets:
Real estate collateral-dependent loans (net of allowance for probable loan losses)		¥	60,564			Discounted cash flows		Discount rate		5.4% – 19.0%
										(8.4%)
						Direct capitalization		Capitalization rate		5.0% – 21.0%
										(10.7%)
Investment in operating leases and other operating assets			21,960			Discounted cash flows		Discount rate		4.4% – 12.7%
										(6.9%)
Land and buildings undeveloped or under construction			11,845			Discounted cash flows		Discount rate		4.7% – 9.6%
										(6.6%)
Certain investment in affiliates			3,704			Discounted cash flows		Discount rate		5.0% – 9.2%
										(8.8%)
		¥	98,073
		March 31, 2014
		Millions of yen				Valuation Technique(s)		Significant Unobservable Inputs		Range (Weighted Average)
		Fair Value
Assets:
Real estate collateral-dependent loans (net of allowance for probable loan losses)			39,866			Discounted cash flows		Discount rate		5.3% – 19.0%
										(10.2%)
						Direct capitalization		Capitalization rate		5.6% – 19.0%
										(10.3%)
Investment in operating leases and other operating assets			60,665			Discounted cash flows		Discount rate		5.2% – 11.0%
										(5.6%)
Land and buildings undeveloped or under construction			18,237			Discounted cash flows		Discount rate		3.9% – 9.9%
										(7.1%)
		¥	118,768

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- Definition

Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of 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 gains or losses recognized in other comprehensive income (loss), 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, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of 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 recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by 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 (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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