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Fair Value Measurements (Tables)

6 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Recorded Amounts of Major Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present recorded amounts of major financial assets and liabilities measured at fair value on a recurring basis as of March 31, 2023 and September 30, 2023:

March 31, 2023

		Millions of yen
		Total Carrying Value in Consolidated Balance Sheets				Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets:
Loans held for sale*1		¥	197,041			¥	0			¥	23,192			¥	173,849
Trading debt securities			2,179				0				2,179				0
Available-for-sale debt securities:			2,234,608				4,334				1,986,672				243,602
Japanese and foreign government bond securities*2			801,295				3,004				798,291				0
Japanese prefectural and foreign municipal bond securities			369,246				0				365,915				3,331
Corporate debt securities*3			784,388				1,330				778,321				4,737
CMBS and RMBS in the Americas			43,173				0				43,173				0
Other asset-backed securities and debt securities			236,506				0				972				235,534
Equity securities*4*5			379,236				105,646				133,027				140,563
Certain investment in affiliates*6			2,511				0				0				2,511
Derivative assets:			72,398				203				65,377				6,818
Interest rate swap agreements			22,798				0				22,798				0
Options held/written and other			30,487				0				23,669				6,818
Futures, foreign exchange contracts			17,785				203				17,582				0
Foreign currency swap agreements			1,325				0				1,325				0
Credit derivatives held			3				0				3				0
Netting*7			(22,052	)			0				0				0
Net derivative assets			50,346				0				0				0
Other assets:			4,676				0				0				4,676
Reinsurance recoverables*8			4,676				0				0				4,676
Total		¥	2,892,649			¥	110,183			¥	2,210,447			¥	572,019
Liabilities:
Derivative liabilities:		¥	71,366			¥	1,484			¥	55,240			¥	14,642
Interest rate swap agreements			3,319				0				3,319				0
Options held/written and other			28,423				0				13,781				14,642
Futures, foreign exchange contracts			37,195				1,484				35,711				0
Foreign currency swap agreements			2,426				0				2,426				0
Credit derivatives written			3				0				3				0
Netting*7			(22,052	)			0				0				0
Net derivative Liabilities			49,314				0				0				0
Policy Liabilities and Policy Account Balances:			163,734				0				0				163,734
Variable annuity and variable life insurance contracts*9			163,734				0				0				163,734
Total		¥	235,100			¥	1,484			¥	55,240			¥	178,376

September 30, 2023

		Millions of yen
		Total Carrying Value in Consolidated Balance Sheets				Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets:
Loans held for sale*1		¥	149,390			¥	0			¥	22,001			¥	127,389
Trading debt securities			2,259				0				2,259				0
Available-for-sale debt securities:			2,318,317				5,282				2,030,880				282,155
Japanese and foreign government bond securities*2			811,807				3,571				808,236				0
Japanese prefectural and foreign municipal bond securities			369,811				0				364,786				5,025
Corporate debt securities*3			802,809				1,711				795,698				5,400
CMBS and RMBS in the Americas			68,193				0				61,118				7,075
Other asset-backed securities and debt securities			265,697				0				1,042				264,655
Equity securities*4*5			410,199				116,421				133,647				160,131
Certain investment in affiliates*6			5,003				0				0				5,003
Derivative assets:			100,941				1,055				91,119				8,767
Interest rate swap agreements			26,942				0				26,942				0
Options held/written and other			33,441				0				24,674				8,767
Futures, foreign exchange contracts			40,059				1,055				39,004				0
Foreign currency swap agreements			491				0				491				0
Credit derivatives held			8				0				8				0
Netting*7			(44,593	)			0				0				0
Net derivative assets			56,348				0				0				0
Other assets:			3,670				0				0				3,670
Reinsurance recoverables*8			3,670				0				0				3,670
Total		¥	2,989,779			¥	122,758			¥	2,279,906			¥	587,115
Liabilities:
Derivative liabilities:		¥	100,544			¥	180			¥	87,383			¥	12,981
Interest rate swap agreements			3,177				0				3,177				0
Options held/written and other			30,704				0				17,723				12,981
Futures, foreign exchange contracts			59,826				180				59,646				0
Foreign currency swap agreements			6,831				0				6,831				0
Credit derivatives written			6				0				6				0
Netting*7			(44,593	)			0				0				0
Net derivative Liabilities			55,951				0				0				0
Policy Liabilities and Policy Account Balances:			160,177				0				0				160,177
Variable annuity and variable life insurance contracts*9			160,177				0				0				160,177
Total		¥	260,721			¥	180			¥	87,383			¥	173,158

*1 A certain subsidiary elected the fair value option on certain loans held for sale. These loans are multi-family and seniors housing loans and are sold to Federal National Mortgage Association (“Fannie Mae”), Federal Home Loan Mortgage Corporation (“Freddie Mac”) and institutional investors. Included in “Other (income) and expense” in the consolidated statements of income were a loss of ¥3,508 million and a gain of ¥353 million from the change in the fair value of the loans for the six months ended September 30, 2022 and 2023, respectively. Included in “Other (income) and expense” in the consolidated statements of income were gains of ¥191 million and ¥1,584 million from the change in the fair value of the loans for the three months ended September 30, 2022 and 2023, respectively. No gains or losses were recognized in earnings during the six months ended September 30, 2022 and 2023 attributable to changes in instrument-specific credit risk. The amounts of aggregate unpaid principal balance and aggregate fair value of the loans held for sale as of March 31, 2023, were ¥199,674 million and ¥197,041 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥2,633 million. The amounts of aggregate unpaid principal balance and aggregate fair value of the loans held for sale as of September 30, 2023, were ¥151,043 million and ¥149,390 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥1,653 million. There were no loans that are 90 days or more past due or, in non-accrual status as of March 31, 2023. The amounts of aggregate unpaid principal balance and aggregate fair value of loans that are 90 days or more past due or, in non-accrual status as of September 30, 2023, were ¥6,911 million and ¥6,667 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥244 million. 

*2 A certain subsidiary elected the fair value option for investments in foreign government bond securities included in available-for-sale debt securities. Included in “Gains on investment securities and dividends” in the consolidated statements of income were losses of ¥21 million and ¥7 million from the change in the fair value of those investments for the six months ended September 30, 2022 and 2023, respectively. Included in “Gains on investment securities and dividends” in the consolidated statements of income were losses of ¥13 million and ¥7 million from the change in the fair value of those investments for the three months ended September 30, 2022 and 2023, respectively. The amounts of aggregate fair value elected the fair value option were ¥237 million and ¥314 million as of March 31, 2023 and September 30, 2023, respectively.

*3 A certain subsidiary elected the fair value option for investments in foreign corporate debt securities included in available-for-sale debt securities. Included in “Gains on investment securities and dividends” in the consolidated statements of income were losses of ¥977 million and ¥48 million from the change in the fair value of those investments for the six months ended September 30, 2022 and 2023, respectively. Included in “Gains on investment securities and dividends” in the consolidated statements of income were losses of ¥325 million and ¥53 million from the change in the fair value of those investments for the three months ended September 30, 2022 and 2023, respectively. The amounts of aggregate fair value elected the fair value option were ¥6,605 million and ¥7,133 million as of March 31, 2023 and September 30, 2023, respectively.

*4 Certain subsidiaries elected the fair value option for certain investments in investment funds, and others included in equity securities. Included in “Gains on investment securities and dividends” and “Life insurance premiums and related investment income” in the consolidated statements of income were gains of ¥546 million and ¥819 million from the change in the fair value of those investments for the six months ended September 30, 2022 and 2023, respectively. Included in “Gains on investment securities and dividends” and “Life insurance premiums and related investment income” in the consolidated statements of income were gains of ¥6 million and ¥367 million from the change in the fair value of those investments for the three months ended September 30, 2022 and 2023, respectively. The amounts of aggregate fair value elected the fair value option were ¥16,032 million and ¥19,401 million as of March 31, 2023 and September 30, 2023, respectively.

*5 The amounts of investment funds measured at net asset value per share which are not included in the above tables were ¥51,263 million and ¥68,018 million as of March 31, 2023 and September 30, 2023, respectively.

*6 A certain subsidiary elected the fair value option for certain investment in affiliates. No gains or losses were recognized in earnings from the change in the fair value of those investments for the six months ended September 30, 2022 and 2023, respectively. No gains or losses were recognized in earnings from the change in the fair value of those investments for the three months ended September 30, 2022 and 2023, respectively. The amounts of aggregate fair value elected the fair value option were ¥2,511 million and ¥5,003 million as of March 31, 2023 and September 30, 2023, respectively.

*7 It represents the amount offset under counterparty netting of derivative assets and liabilities.

*8 Certain subsidiaries elected the fair value option for certain reinsurance contracts held. The fair value of the reinsurance contracts elected for the fair value option in other assets were ¥4,676 million and ¥3,670 million as of March 31, 2023 and September 30, 2023, respectively. For the effect of changes in the fair value of those reinsurance contracts on earnings during the six and three months ended September 30, 2022 and 2023, see Note 17 “Income and Expenses Relating to Life Insurance Operations.”

*9 Certain subsidiaries elected the fair value option for the entire variable annuity and variable life insurance contracts held. The fair value of the variable annuity and variable life insurance contracts elected for the fair value option in policy liabilities and policy account balances were ¥163,734 million and ¥160,177 million as of March 31, 2023 and September 30, 2023, respectively. For the effect of changes in the fair value of the variable annuity and variable life insurance contracts on earnings during the six and three months ended September 30, 2022 and 2023, see Note 17 “Income and Expenses Relating to Life Insurance Operations.”

Reconciliation of Financial Assets and Liabilities (Net) Measured at Fair Value on Recurring Basis Using Significant Unobservable Input

The following tables present the reconciliation of financial assets and liabilities (net) measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the six months ended September 30, 2022 and 2023:

Six months ended September 30, 2022

		Millions of yen
		Balance at April 1, 2022				Gains or losses (realized/unrealized)												Purchases *3				Sales				Settlements *4				Transfers in and/ or out of Level 3 (net)				Balance at September 30, 2022				Change in unrealized gains or losses included in earnings for assets and liabilities still held at September 30, 2022 *1				Change in unrealized gains or losses included in other comprehensive income for assets and liabilities still held at September 30, 2022 *2
						Included in earnings *1				Included in other comprehensive income *2				Total
Available-for-sale debt securities		¥	141,060			¥	10,011			¥	5,711			¥	15,722			¥	47,361			¥	(5,678	)		¥	(3,460	)		¥	0			¥	195,005			¥	9,995			¥	6,090
Japanese prefectural and foreign municipal bond securities			3,053				0				559				559				0				0				0				0				3,612				0				559
Corporate debt securities			697				0				(1	)			(1	)			0				0				(346	)			0				350				0				(0	)
Other asset-backed securities and debt securities			137,310				10,011				5,153				15,164				47,361				(5,678	)			(3,114	)			0				191,043				9,995				5,531
Equity securities			112,972				3,874				19,692				23,566				2,500				(7,144	)			(1,522	)			0				130,372				3,155				19,688
Investment funds, and others			112,972				3,874				19,692				23,566				2,500				(7,144	)			(1,522	)			0				130,372				3,155				19,688
Derivative assets and liabilities (net)			(3,772	)			(18,486	)			(2,581	)			(21,067	)			0				0				0				0				(24,839	)			(18,486	)			(2,581	)
Options held/written and other			(3,772	)			(18,486	)			(2,581	)			(21,067	)			0				0				0				0				(24,839	)			(18,486	)			(2,581	)
Other asset			5,214				121				0				121				632				0				(265	)			0				5,702				121				0
Reinsurance recoverables *5			5,214				121				0				121				632				0				(265	)			0				5,702				121				0
Policy Liabilities and Policy Account Balances			198,905				11,679				83				11,762				0				0				(16,966	)			0				170,177				11,679				83
Variable annuity and variable life insurance contracts *6			198,905				11,679				83				11,762				0				0				(16,966	)			0				170,177				11,679				83

Six months ended September 30, 2023

		Millions of yen
		Balance at April 1, 2023				Gains or losses (realized/unrealized)												Purchases *3				Sales				Settlements *4				Transfers in and/ or out of Level 3 (net)				Balance at September 30, 2023				Change in unrealized gains or losses included in earnings for assets and liabilities still held at September 30, 2023 *1				Change in unrealized gains or losses included in other comprehensive income for assets and liabilities still held at September 30, 2023 *2
						Included in earnings *1				Included in other comprehensive income *2				Total
Loans held for sale		¥	173,849			¥	339			¥	18,249			¥	18,588			¥	3,132			¥	(58,350	)		¥	(9,830	)		¥	0			¥	127,389			¥	140			¥	18,249
Available-for-sale debt securities			243,602				12,527				13,684				26,211				21,976				(3,651	)			(7,256	)			1,273				282,155				11,956				14,095
Japanese prefectural and foreign municipal bond securities			3,331				(80	)			501				421				0				0				0				1,273				5,025				(80	)			472
Corporate debt securities			4,737				719				(0	)			719				14				0				(70	)			0				5,400				539				(0	)
CMBS and RMBS in the Americas			0				0				196				196				6,879				0				0				0				7,075				0				0
Other asset-backed securities and debt securities			235,534				11,888				12,987				24,875				15,083				(3,651	)			(7,186	)			0				264,655				11,497				13,623
Equity securities			140,563				2,383				17,036				19,419				1,060				(401	)			(510	)			0				160,131				2,175				17,037
Investment funds, and others			140,563				2,383				17,036				19,419				1,060				(401	)			(510	)			0				160,131				2,175				17,037
Certain investment in affiliates			2,511				0				363				363				2,282				0				(153	)			0				5,003				0				363
Derivative assets and liabilities (net)			(7,824	)			4,229				(619	)			3,610				0				0				0				0				(4,214	)			4,229				(619	)
Options held/written and other			(7,824	)			4,229				(619	)			3,610				0				0				0				0				(4,214	)			4,229				(619	)
Other asset			4,676				(1,409	)			0				(1,409	)			500				0				(97	)			0				3,670				(1,409	)			0
Reinsurance recoverables *5			4,676				(1,409	)			0				(1,409	)			500				0				(97	)			0				3,670				(1,409	)			0
Policy Liabilities and Policy Account Balances			163,734				(10,121	)			(170	)			(10,291	)			0				0				(13,848	)			0				160,177				(10,121	)			(170	)
Variable annuity and variable life insurance contracts *6			163,734				(10,121	)			(170	)			(10,291	)			0				0				(13,848	)			0				160,177				(10,121	)			(170	)

*1 Principally, gains and losses from loans held for sale are included in “Finance revenues”, available-for-sale debt securities are included in “Gains on investment securities and dividends”, “Write-downs of securities” or “Life insurance premiums and related investment income”; equity securities are included in “Gains on investment securities and dividends” and “Life insurance premiums and related investment income” and derivative assets and liabilities (net) are included in “Other (income) and expense” respectively. Additionally, for available-for-sale debt securities, amortization of interest recognized in finance revenues is included in these columns. 

*2 Unrealized gains and losses from loans held for sale are included in “Net change of foreign currency translation adjustments”, unrealized gains and losses from available-for-sale debt securities are included in “Net change of unrealized gains (losses) on investment in securities” and “Net change of foreign currency translation adjustments”, unrealized gains and losses from equity securities, certain investment in affiliates, and derivative assets and liabilities (net) are included mainly in “Net change of foreign currency translation adjustments”, unrealized gains and losses from policy liabilities and policy account balances are included in “Net change of debt valuation adjustments.”

*3 Increases resulting from an acquisition of a subsidiary and insurance contracts ceded to reinsurance companies are included.

*4 Decreases resulting from the receipts of reimbursements for benefits, and decreases resulting from insurance payouts to variable annuity and variable life policyholders due to death, surrender and maturity of the investment period are included.

*5 “Included in earnings” in the above table includes changes in the fair value of reinsurance contracts recorded in “Life insurance costs” and reinsurance premiums, net of reinsurance benefits received, recorded in “Life insurance premiums and related investment income.”

*6 “Included in earnings” in the above table is recorded in “Life insurance costs” and includes changes in the fair value of policy liabilities and policy account balances resulting from gains or losses on the underlying investment assets managed on behalf of variable annuity and variable life policyholders, and the changes in the minimum guarantee risks relating to variable annuity and variable life insurance contracts as well as insurance costs recognized for insurance and annuity payouts as a result of insured events. For a reconciliation of the total amount of policyholder account balances and the balances of market risk benefits related to variable annuity and variable life insurance contracts during year ended March 31, 2023 and for the six months ended September 30, 2023, see Note 18 “Long-Durations Insurance Contracts Relating to Life Insurance Operations.”

In the six months ended September 30, 2022, there were no transfers in or out of Level 3. In the six months ended September 30, 2023, foreign municipal bond securities totaling ¥1,273 million were transferred from level 2 to level 3, since the inputs became unobservable.

The following tables present the reconciliation of financial assets and liabilities (net) measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended September 30, 2022 and 2023:

Three months ended September 30, 2022

		Millions of yen
		Balance at June 30, 2022				Gains or losses (realized/unrealized)												Purchases *3				Sales				Settlements *4				Transfers in and/ or out of Level 3 (net)				Balance at September 30, 2022				Change in unrealized gains or losses included in earnings for assets and liabilities still held at September 30, 2022 *1				Change in unrealized gains or losses included in other comprehensive income for assets and liabilities still held at September 30, 2022 *2
						Included in earnings *1				Included in other comprehensive income *2				Total
Available-for-sale debt securities		¥	176,919			¥	4,393			¥	2,401			¥	6,794			¥	13,190			¥	0			¥	(1,898	)		¥	0			¥	195,005			¥	4,391			¥	2,558
Japanese prefectural and foreign municipal bond securities			3,409				0				203				203				0				0				0				0				3,612				0				203
Corporate debt securities			625				0				(0	)			(0	)			0				0				(275	)			0				350				0				0
Other asset-backed securities and debt securities			172,885				4,393				2,198				6,591				13,190				0				(1,623	)			0				191,043				4,391				2,355
Equity securities			124,735				2,539				6,881				9,420				621				(4,040	)			(364	)			0				130,372				2,336				6,880
Investment funds, and others			124,735				2,539				6,881				9,420				621				(4,040	)			(364	)			0				130,372				2,336				6,880
Derivative assets and liabilities (net)			(17,781	)			(5,681	)			(1,377	)			(7,058	)			0				0				0				0				(24,839	)			(5,681	)			(1,377	)
Options held/written and other			(17,781	)			(5,681	)			(1,377	)			(7,058	)			0				0				0				0				(24,839	)			(5,681	)			(1,377	)
Other asset			5,732				(216	)			0				(216	)			321				0				(135	)			0				5,702				(216	)			0
Reinsurance recoverables *5			5,732				(216	)			0				(216	)			321				0				(135	)			0				5,702				(216	)			0
Policy Liabilities and Policy Account Balances			180,791				2,204				106				2,310				0				0				(8,304	)			0				170,177				2,204				106
Variable annuity and variable life insurance contracts *6			180,791				2,204				106				2,310				0				0				(8,304	)			0				170,177				2,204				106

Three months ended September 30, 2023

		Millions of yen
		Balance at June 30, 2023				Gains or losses (realized/unrealized)												Purchases *3				Sales				Settlements *4				Transfers in and/ or out of Level 3 (net)				Balance at September 30, 2023				Change in unrealized gains or losses included in earnings for assets and liabilities still held at September 30, 2023 *1				Change in unrealized gains or losses included in other comprehensive income for assets and liabilities still held at September 30, 2023 *2
							Included in earnings *1				Included in other comprehensive income *2				Total
Loans held for sale		¥	173,281			¥	168			¥	4,064			¥	4,232			¥	1,235			¥	(50,752	)		¥	(607	)		¥	0			¥	127,389			¥	162			¥	4,064
Available-for-sale debt securities			268,397				4,166				5,869				10,035				12,830				(2,900	)			(6,207	)			0				282,155				3,694				5,894
Japanese prefectural and foreign municipal bond securities			4,871				0				154				154				0				0				0				0				5,025				0				125
Corporate debt securities			5,152				249				0				249				0				0				(1	)			0				5,400				156				0
CMBS and RMBS in the Americas			0				0				196				196				6,879				0				0				0				7,075				0				0
Other asset-backed securities and debt securities			258,374				3,917				5,519				9,436				5,951				(2,900	)			(6,206	)			0				264,655				3,538				5,769
Equity securities			154,246				868				4,956				5,824				823				(401	)			(361	)			0				160,131				874				4,936
Investment funds, and others			154,246				868				4,956				5,824				823				(401	)			(361	)			0				160,131				874				4,936
Certain investment in affiliates			2,727				0				147				147				2,282				0				(153	)			0				5,003				0				147
Derivative assets and liabilities (net)			(4,716	)			632				(130	)			502				0				0				0				0				(4,214	)			632				(130	)
Options held/written and other			(4,716	)			632				(130	)			502				0				0				0				0				(4,214	)			632				(130	)
Other asset			3,876				(410	)			0				(410	)			250				0				(46	)			0				3,670				(410	)			0
Reinsurance recoverables *5			3,876				(410	)			0				(410	)			250				0				(46	)			0				3,670				(410	)			0
Policy Liabilities and Policy Account Balances			170,568				3,028				(110	)			2,918				0				0				(7,473	)			0				160,177				3,028				(110	)
Variable annuity and variable life insurance contracts *6			170,568				3,028				(110	)			2,918				0				0				(7,473	)			0				160,177				3,028				(110	)

*1 Principally, gains and losses from loans held for sale are included in “Finance revenues”, available-for-sale debt securities are included in “Gains on investment securities and dividends”, “Write-downs of securities” or “Life insurance premiums and related investment income”; equity securities are included in “Gains on investment securities and dividends” and “Life insurance premiums and related investment income” and derivative assets and liabilities (net) are included in “Other (income) and expense” respectively. Additionally, for available-for-sale debt securities, amortization of interest recognized in finance revenues is included in these columns. 

*2 Unrealized gains and losses from loans held for sale are included in “Net change of foreign currency translation adjustments”, unrealized gains and losses from available-for-sale debt securities are included in “Net change of unrealized gains (losses) on investment in securities” and “Net change of foreign currency translation adjustments”, unrealized gains and losses from equity securities, certain investment in affiliates, and derivative assets and liabilities (net) are included mainly in “Net change of foreign currency translation adjustments”, unrealized gains and losses from policy liabilities and policy account balances are included in “Net change of debt valuation adjustments.”

*3 Increases resulting from an acquisition of a subsidiary and insurance contracts ceded to reinsurance companies are included.

*4 Decreases resulting from the receipts of reimbursements for benefits, and decreases resulting from insurance payouts to variable annuity and variable life policyholders due to death, surrender and maturity of the investment period are included.

*5 “Included in earnings” in the above table includes changes in the fair value of reinsurance contracts recorded in “Life insurance costs” and reinsurance premiums, net of reinsurance benefits received, recorded in “Life insurance premiums and related investment income.”

*6 “Included in earnings” in the above table is recorded in “Life insurance costs” and includes changes in the fair value of policy liabilities and policy account balances resulting from gains or losses on the underlying investment assets managed on behalf of variable annuity and variable life policyholders, and the changes in the minimum guarantee risks relating to variable annuity and variable life insurance contracts as well as insurance costs recognized for insurance and annuity payouts as a result of insured events.

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

The following tables present recorded amounts of assets measured at fair value on a nonrecurring basis during year ended March 31, 2023 and the six months ended September 30, 2023. These assets are measured at fair value on a nonrecurring basis mainly to recognize impairment:

Year ended March 31, 2023

		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:
Loans held for sale		¥	1,139			¥	0			¥	1,139			¥	0
Real estate collateral-dependent loans (net of allowance for credit losses)			5,970				0				0				5,970
Investment in operating leases, property under facility operations, office facilities and other assets			4,568				0				31				4,537
Certain equity securities			11,794				0				11,794				0
Certain investment in affiliates			4,013				3,587				0				426
		¥	27,484			¥	3,587			¥	12,964			¥	10,933
Six months ended September 30, 2023
		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:
Loans held for sale		¥	10,542			¥	0			¥	10,451			¥	91
Real estate collateral-dependent loans (net of allowance for credit losses)			3,725				0				0				3,725
Investment in operating leases and property under facility operations			480				0				0				480
Certain equity securities			12,493				0				12,493				0
		¥	27,240			¥	0			¥	22,944			¥	4,296

Information about the valuation techniques and significant unobservable inputs used in the valuation of Level 3 assets and liabilities measured at fair value on a recurring basis

The following tables provide information about the valuation techniques and significant unobservable inputs used in the valuation of Level 3 assets and liabilities measured at fair value on a recurring basis as of March 31, 2023 and September 30, 2023.

		March 31, 2023
		Millions of yen
		Fair value				Valuation technique(s)		Significant unobservable inputs		Range (Weighted average)
Assets:
Loans held for sale		¥	173,849			Discounted cash flows		Discount rate		8.0% – 10.0% (9.0%)
Available-for-sale debt securities:
Japanese prefectural and foreign municipal bond securities			3,331			Appraisals/Broker quotes		—		—
Corporate debt securities			280			Discounted cash flows		Discount rate		0.4% (0.4%)
			4,457			Appraisals/Broker quotes		—		—
Other asset-backed securities and debt securities			29,165			Discounted cash flows		Discount rate		0.2% – 51.2% (8.9%)
								Probability of default		1.9% (1.9%)
			206,369			Appraisals/Broker quotes		—		—
Equity securities:
Investment funds			120,744			Discounted cash flows		WACC		11.9% – 26.4% (17.2%)
								EV/Terminal EBITDA multiple		7.5x-12.0x (9.5x)
						Market multiples		EV/Last twelve months EBITDA multiple		5.5x-8.7x (7.9x)
								EV/Forward EBITDA multiple		4.9x-8.9x (7.6x)
								EV/Precedent transaction last twelve months EBITDA multiple		7.5x-14.5x (10.0x)
			19,819			Appraisals/Broker quotes		—		—
Certain investment in affiliates			2,511			Discounted cash flows		Discount rate		8.0% – 12.0% (10.0%)
Derivative assets:
Options held/written and other			6,818			Discounted cash flows		Discount rate		12.0% – 32.0% (14.4%)
Other assets:
Reinsurance recoverables			4,676			Discounted cash flows		Discount rate		(0.4)% – 1.5% (0.4%)
								Mortality rate		0.0% – 100.0% (2.6%)
								Lapse rate		1.5% – 14.0% (5.0%)
								Annuitization rate (guaranteed minimum annuity benefit)		0.0% – 100.0% (100.0%)
Total		¥	572,019
Liabilities:
Derivative liabilities:
Options held/written and other		¥	14,603			Discounted cash flows		Discount rate		12.0% – 32.0% (14.4%)
			39			Appraisals/Broker quotes		—		—
Policy liabilities and Policy Account Balances:
Variable annuity and variable life insurance contracts			163,734			Discounted cash flows		Discount rate		(0.4)% – 1.5% (0.4%)
								Mortality rate		0.0% – 100.0% (2.1%)
								Lapse rate		1.5% – 30.0% (5.9%)
								Annuitization rate (guaranteed minimum annuity benefit)		0.0% – 100.0% (68.8%)
Total		¥	178,376

		September 30, 2023
		Millions of yen
		Fair value				Valuation technique(s)		Significant unobservable inputs		Range (Weighted average)
Assets:
Loans held for sale		¥	127,389			Discounted cash flows		Discount rate		8.8% – 13.5% (10.8%)
Available-for-sale debt securities:
Japanese prefectural and foreign municipal bond securities			1,294			Discounted cash flows		Discount rate		5.8% (5.8%)
			3,731			Appraisals/Broker quotes		—		—
Corporate debt securities			210			Discounted cash flows		Discount rate		0.7% (0.7%)
			5,190			Appraisals/Broker quotes		—		—
CMBS and RMBS in the Americas			7,075			Appraisals/Broker quotes		—		—
Other asset-backed securities and debt securities			33,377			Discounted cash flows		Discount rate		0.1% – 51.2% (7.9%)
								Probability of default		1.9% (1.9%)
			231,278			Appraisals/Broker quotes		—		—
Equity securities:
Investment funds			136,792			Discounted cash flows		WACC		12.8% – 26.4% (17.2%)
								EV/Terminal EBITDA multiple		7.5x – 12.0x (9.5x)
						Market multiples		EV/Last twelve months EBITDA multiple		6.5x – 9.3x (8.3x)
								EV/Forward EBITDA multiple		6.4x – 8.4x (7.7x)
								EV/Precedent transaction last twelve months EBITDA multiple		7.5x – 13.0x (9.9x)
			23,339			Appraisals/Broker quotes		—		—
Certain investment in affiliates			5,003			Discounted cash flows		Discount rate		8.0% – 12.0% (9.2%)
Derivative assets:
Options held/written and other			8,767			Discounted cash flows		Discount rate		12.0% – 33.0% (14.5%)
Other assets:
Reinsurance recoverables			3,670			Discounted cash flows		Discount rate		(0.3)% – 1.9% (0.5%)
								Mortality rate		0.0% – 100.0% (2.6%)
								Lapse rate		1.5% – 14.0% (4.9%)
								Annuitization rate (guaranteed minimum annuity benefit)		0.0% – 100.0% (100.0%)
Total		¥	587,115
Liabilities:
Derivative liabilities:
Options held/written and other		¥	12,957			Discounted cash flows		Discount rate		12.0% – 33.0% (14.5%)
			24			Appraisals/Broker quotes		—		—
Policy liabilities and Policy Account Balances:
Variable annuity and variable life insurance contracts			160,177			Discounted cash flows		Discount rate		(0.3)% – 1.9% (0.5%)
								Mortality rate		0.0% – 100.0% (2.1%)
								Lapse rate		1.5% – 30.0% (5.9%)
								Annuitization rate (guaranteed minimum annuity benefit)		0.0% – 100.0% (67.4%)
Total		¥	173,158

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

The following tables provide 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 during year ended March 31, 2023 and the six months ended September 30, 2023.

		Year ended March 31, 2023
		Millions of yen
		Fair value				Valuation technique(s)		Significant unobservable inputs		Range (Weighted average)
Assets:
Real estate collateral-dependent loans (net of allowance for credit losses)		¥	1,351			Direct capitalization		Capitalization rate		4.7% – 6.6% (5.5%)
			4,619			Appraisals		—		—
Investment in operating leases, property under facility operations, office facilities and other assets			3,257			Discounted cash flows		Discount rate		0.5% – 5.8% (4.9%)
			1,280			Appraisals		—		—
Certain investment in affiliates			23			Discounted cash flows		Discount rate		3.7% (3.7%)
			403			Appraisals		—		—
		¥	10,933
		Three months ended September 30, 2023
		Millions of yen
		Fair value				Valuation technique(s)		Significant unobservable inputs		Range (Weighted average)
Assets:
Loans held for sale		¥	91			Discounted cash flows		Discount rate		9.9% – 10.1% (10.0%)
Real estate collateral-dependent loans (net of allowance for credit losses)			1,324			Direct capitalization		Capitalization rate		4.9% – 6.6% (5.4%)
			2,401			Appraisals		—		—
Investment in operating leases and property under facility operations			50			Discounted cash flows		Discount rate		13.0%
										(13.0%)
			430			Appraisals		—		—
		¥	4,296

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