| Fair Value Measurements |
2. Fair Value Measurements The Company and its subsidiaries classify and prioritize inputs used in valuation techniques to measure fair value into the following three levels:
|
|
|
|
|
| Level 1 |
|
— |
|
Inputs of quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. |
|
|
|
| Level 2 |
|
— |
|
Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities, either directly or indirectly. |
|
|
|
| Level 3 |
|
— |
|
Unobservable inputs for the assets or liabilities. | The Company and its subsidiaries differentiate between those assets and liabilities required to be carried at fair value at every reporting period (“recurring”) and those assets and liabilities that are only required to be adjusted to fair value under certain circumstances (“nonrecurring”). The Company and its subsidiaries mainly measure certain loans held for sale, trading debt securities, debt securities, certain equity securities, derivatives, certain reinsurance recoverables, variable annuity and variable life insurance contracts, and certain accounts payable at fair value on a 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, 2025 and 2026: March 31, 2025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
|
|
|
Identical Assets
or Liabilities
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held for sale*1 |
|
¥ |
97,694 |
|
|
¥ |
0 |
|
|
¥ |
29,900 |
|
|
¥ |
67,794 |
|
Available-for-sale debt securities: |
|
|
2,607,637 |
|
|
|
12,243 |
|
|
|
2,377,740 |
|
|
|
217,654 |
|
Japanese and foreign government bond securities*2 |
|
|
1,092,526 |
|
|
|
7,510 |
|
|
|
1,085,016 |
|
|
|
0 |
|
Japanese prefectural and foreign municipal bond securities |
|
|
406,830 |
|
|
|
0 |
|
|
|
395,952 |
|
|
|
10,878 |
|
Corporate debt securities*3 |
|
|
802,545 |
|
|
|
4,733 |
|
|
|
793,560 |
|
|
|
4,252 |
|
CMBS and RMBS in the Americas |
|
|
106,751 |
|
|
|
0 |
|
|
|
99,669 |
|
|
|
7,082 |
|
Other asset-backed securities and debt securities |
|
|
198,985 |
|
|
|
0 |
|
|
|
3,543 |
|
|
|
195,442 |
|
Equity securities*4*5 |
|
|
418,690 |
|
|
|
137,014 |
|
|
|
119,466 |
|
|
|
162,210 |
|
Derivative assets: |
|
|
64,170 |
|
|
|
361 |
|
|
|
54,992 |
|
|
|
8,817 |
|
Interest rate swap agreements |
|
|
17,869 |
|
|
|
0 |
|
|
|
17,869 |
|
|
|
0 |
|
Options held/written and other |
|
|
15,767 |
|
|
|
0 |
|
|
|
6,950 |
|
|
|
8,817 |
|
Futures, foreign exchange contracts |
|
|
20,964 |
|
|
|
361 |
|
|
|
20,603 |
|
|
|
0 |
|
Foreign currency swap agreements |
|
|
9,570 |
|
|
|
0 |
|
|
|
9,570 |
|
|
|
0 |
|
Netting*6 |
|
|
(20,495 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
43,675 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other assets: |
|
|
2,586 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,586 |
|
Reinsurance recoverables*7 |
|
|
2,586 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
¥ |
3,190,777 |
|
|
¥ |
149,618 |
|
|
¥ |
2,582,098 |
|
|
¥ |
459,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities: |
|
¥ |
56,038 |
|
|
¥ |
129 |
|
|
¥ |
55,257 |
|
|
¥ |
652 |
|
Interest rate swap agreements |
|
|
2,774 |
|
|
|
0 |
|
|
|
2,774 |
|
|
|
0 |
|
Options held/written and other |
|
|
13,715 |
|
|
|
0 |
|
|
|
13,063 |
|
|
|
652 |
|
Futures, foreign exchange contracts |
|
|
39,387 |
|
|
|
129 |
|
|
|
39,258 |
|
|
|
0 |
|
Foreign currency swap agreements |
|
|
159 |
|
|
|
0 |
|
|
|
159 |
|
|
|
0 |
|
Credit derivatives written |
|
|
3 |
|
|
|
0 |
|
|
|
3 |
|
|
|
0 |
|
Netting*6 |
|
|
(20,495 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
Net derivative Liabilities |
|
|
35,543 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Policy Liabilities and Policy Account Balances: |
|
|
136,257 |
|
|
|
0 |
|
|
|
0 |
|
|
|
136,257 |
|
Variable annuity and variable life insurance contracts*8 |
|
|
136,257 |
|
|
|
0 |
|
|
|
0 |
|
|
|
136,257 |
|
Accounts Payable |
|
|
15,259 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,259 |
|
Contingent Consideration |
|
|
15,259 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,259 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
¥ |
207,554 |
|
|
¥ |
129 |
|
|
¥ |
55,257 |
|
|
¥ |
152,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| March 31, 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Identical Assets
or Liabilities |
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans held for sale*1 |
|
¥ |
78,020 |
|
|
¥ |
0 |
|
|
¥ |
42,336 |
|
|
¥ |
35,684 |
|
| |
|
|
2,526,416 |
|
|
|
7,278 |
|
|
|
2,243,137 |
|
|
|
276,001 |
|
| Japanese and foreign government bond securities*2 |
|
|
973,885 |
|
|
|
2,150 |
|
|
|
971,735 |
|
|
|
0 |
|
| Japanese prefectural and foreign municipal bond securities |
|
|
315,766 |
|
|
|
0 |
|
|
|
305,184 |
|
|
|
10,582 |
|
| Corporate debt securities*3 |
|
|
957,449 |
|
|
|
5,128 |
|
|
|
834,130 |
|
|
|
118,191 |
|
| CMBS and RMBS in the Americas |
|
|
105,432 |
|
|
|
0 |
|
|
|
105,432 |
|
|
|
0 |
|
| Other asset-backed securities and debt securities |
|
|
173,884 |
|
|
|
0 |
|
|
|
26,656 |
|
|
|
147,228 |
|
| Equity securities*4*5 |
|
|
501,246 |
|
|
|
150,194 |
|
|
|
120,456 |
|
|
|
230,596 |
|
| Derivative assets: |
|
|
154,513 |
|
|
|
676 |
|
|
|
145,850 |
|
|
|
7,987 |
|
| Interest rate swap agreements |
|
|
26,358 |
|
|
|
0 |
|
|
|
26,358 |
|
|
|
0 |
|
| Options held/written and other |
|
|
17,402 |
|
|
|
16 |
|
|
|
9,399 |
|
|
|
7,987 |
|
| Futures, foreign exchange contracts |
|
|
69,663 |
|
|
|
660 |
|
|
|
69,003 |
|
|
|
0 |
|
| Foreign currency swap agreements |
|
|
41,090 |
|
|
|
0 |
|
|
|
41,090 |
|
|
|
0 |
|
| Netting*6 |
|
|
(80,880 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
|
|
73,633 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Other assets: |
|
|
1,163 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,163 |
|
| Reinsurance recoverables*7 |
|
|
1,163 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
¥ |
3,261,358 |
|
|
¥ |
158,148 |
|
|
¥ |
2,551,779 |
|
|
¥ |
551,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities: |
|
¥ |
118,061 |
|
|
¥ |
148 |
|
|
¥ |
117,356 |
|
|
¥ |
557 |
|
| Interest rate swap agreements |
|
|
2,289 |
|
|
|
0 |
|
|
|
2,289 |
|
|
|
0 |
|
| Options held/written and other |
|
|
21,543 |
|
|
|
16 |
|
|
|
20,970 |
|
|
|
557 |
|
| Futures, foreign exchange contracts |
|
|
94,194 |
|
|
|
132 |
|
|
|
94,062 |
|
|
|
0 |
|
| Foreign currency swap agreements |
|
|
12 |
|
|
|
0 |
|
|
|
12 |
|
|
|
0 |
|
| Credit derivatives written |
|
|
23 |
|
|
|
0 |
|
|
|
23 |
|
|
|
0 |
|
| Netting*6 |
|
|
(51,256 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Net derivative Liabilities |
|
|
66,805 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Policy Liabilities and Policy Account Balances: |
|
|
138,027 |
|
|
|
0 |
|
|
|
0 |
|
|
|
138,027 |
|
| Variable annuity and variable life insurance contracts*8 |
|
|
138,027 |
|
|
|
0 |
|
|
|
0 |
|
|
|
138,027 |
|
| Accounts Payable |
|
|
15,683 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,683 |
|
| Contingent Consideration |
|
|
15,683 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
¥ |
271,771 |
|
|
¥ |
148 |
|
|
¥ |
117,356 |
|
|
¥ |
154,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| *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 gain of ¥428 million, of ¥1,052 million and ¥4,142 million from the change in the fair value of the loans for fiscal 2024, 2025 and 2026, respectively. No gains or losses were recognized in earnings during fiscal 2024, 2025 and 2026 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, 2025, were ¥98,135 million and ¥97,694 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥441 million. The amounts of aggregate unpaid principal balance and aggregate fair value of the loans held for sale as of March 31, 2026, were ¥79,364 million and ¥78,020 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥1,344 million. 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 March 31, 2025, were ¥17,098 million and ¥16,346 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥752 million. 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 March 31, 2026, were ¥9,858 million and ¥8,657 million, respectively, and the amount of the aggregate fair value was less than the amount of aggregate unpaid principal balance by ¥1,201 million. |
| *2 |
A certain subsidiary elected the fair value option for investments in foreign government bond securities included in debt securities. Included in “Gains on investment securities and dividends” in the consolidated statements of income were losses of ¥6 million, ¥59 million a gain of ¥137 million from the change in the fair value of those investments for fiscal 2024, 2025 and 2026, respectively. The amount of aggregate fair value elected the fair value option were ¥5,379 million and ¥3,024 million as of March 31, 2025 and 2026, respectively. |
| *3 |
A certain subsidiary elected the fair value option for investments in foreign corporate debt securities included in debt securities. Included in “Gains on investment securities and dividends” in the consolidated statements of income were gains of ¥399 million, ¥441 million and ¥362 million from the change in the fair value of those investments for fiscal 2024, 2025 and 2026, respectively. The amounts of aggregate fair value elected the fair value option were ¥10,679 million and ¥11,927 million as of March 31, 2025 and 2026, respectively. |
| *4 |
Certain subsidiaries elected the fair value option for certain investments in investment funds 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 ¥3,269 million, ¥1,954 million and ¥1,038 million from the change in the fair value of those investments for fiscal 2024, 2025 and 2026, respectively. The amounts of aggregate fair value elected the fair value option were ¥24,960 million and ¥24,845 million as of March 31, 2025 and 2026, respectively. |
| *5 |
The amounts of investment funds measured at net asset value per share which are not included in the above tables were ¥118,666 million and ¥168,854 million as of March 31, 2025 and 2026, respectively. |
| *6 |
It represents the amount offset under counterparty netting of derivative assets and liabilities. |
| *7 |
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 ¥2,586 million and ¥1,163 million as of March 31, 2025 and 2026, respectively. For the effect of changes in the fair value of those reinsurance contracts on earnings for fiscal 2024, 2025 and 2026, see Note 23 “Income and Expenses Relating to Life Insurance Operations.” |
| *8 |
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 ¥136,257 million and ¥138,027 million as of March 31, 2025 and 2026 , respectively. For the effect of changes in the fair value of the variable annuity and variable life insurance contracts on earnings for fiscal 2024, 2025 and 2026, see Note 23 “Income and Expenses Relating to Life Insurance Operations.” | 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) in fiscal 2024, 2025 and 2026: 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
other
comprehensive
income for
|
|
| |
|
|
|
|
|
|
|
|
| Loans held for sale |
|
¥ |
173,849 |
|
|
¥ |
566 |
|
|
¥ |
18,937 |
|
|
¥ |
19,503 |
|
|
¥ |
4,467 |
|
|
¥ |
(66,078) |
|
|
¥ |
(35,175 |
) |
|
¥ |
0 |
|
|
¥ |
96,566 |
|
|
¥ |
0 |
|
|
¥ |
18,937 |
|
| |
|
|
243,602 |
|
|
|
13,906 |
|
|
|
17,117 |
|
|
|
31,023 |
|
|
|
68,295 |
|
|
|
(15,041 |
) |
|
|
(15,400 |
) |
|
|
6,818 |
|
|
|
319,297 |
|
|
|
12,918 |
|
|
|
18,018 |
|
| Japanese prefectural and foreign municipal bond securities |
|
|
3,331 |
|
|
|
(75 |
) |
|
|
866 |
|
|
|
791 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(18 |
) |
|
|
6,818 |
|
|
|
10,922 |
|
|
|
(75 |
) |
|
|
809 |
|
| Corporate debt securities |
|
|
4,737 |
|
|
|
974 |
|
|
|
1 |
|
|
|
975 |
|
|
|
14 |
|
|
|
0 |
|
|
|
(140 |
) |
|
|
0 |
|
|
|
5,586 |
|
|
|
608 |
|
|
|
1 |
|
| CMBS and RMBS in the Americas |
|
|
0 |
|
|
|
0 |
|
|
|
286 |
|
|
|
286 |
|
|
|
6,879 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,165 |
|
|
|
0 |
|
|
|
282 |
|
| Other asset-backed securities and debt securities |
|
|
235,534 |
|
|
|
13,007 |
|
|
|
15,964 |
|
|
|
28,971 |
|
|
|
61,402 |
|
|
|
(15,041 |
) |
|
|
(15,242 |
) |
|
|
0 |
|
|
|
295,624 |
|
|
|
12,385 |
|
|
|
16,926 |
|
| Equity securities |
|
|
143,074 |
|
|
|
(841 |
) |
|
|
18,617 |
|
|
|
17,776 |
|
|
|
4,675 |
|
|
|
(495 |
) |
|
|
(2,173 |
) |
|
|
0 |
|
|
|
162,857 |
|
|
|
(1,097 |
) |
|
|
18,617 |
|
| Investment funds |
|
|
143,074 |
|
|
|
(841 |
) |
|
|
18,617 |
|
|
|
17,776 |
|
|
|
4,675 |
|
|
|
(495 |
) |
|
|
(2,173 |
) |
|
|
0 |
|
|
|
162,857 |
|
|
|
(1,097 |
) |
|
|
18,617 |
|
| Derivative assets and liabilities (net) |
|
|
(7,824 |
) |
|
|
10,595 |
|
|
|
(487 |
) |
|
|
10,108 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,284 |
|
|
|
10,595 |
|
|
|
(487 |
) |
| Options held/written and other |
|
|
(7,824 |
) |
|
|
10,595 |
|
|
|
(487 |
) |
|
|
10,108 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,284 |
|
|
|
10,595 |
|
|
|
(487 |
) |
| Other asset |
|
|
4,676 |
|
|
|
(2,711 |
) |
|
|
0 |
|
|
|
(2,711 |
) |
|
|
971 |
|
|
|
0 |
|
|
|
(150 |
) |
|
|
0 |
|
|
|
2,786 |
|
|
|
(2,711 |
) |
|
|
0 |
|
| Reinsurance recoverables*5 |
|
|
4,676 |
|
|
|
(2,711 |
) |
|
|
0 |
|
|
|
(2,711 |
) |
|
|
971 |
|
|
|
0 |
|
|
|
(150 |
) |
|
|
0 |
|
|
|
2,786 |
|
|
|
(2,711 |
) |
|
|
0 |
|
| Policy Liabilities and Policy Account Balances |
|
|
163,734 |
|
|
|
(30,205 |
) |
|
|
(265 |
) |
|
|
(30,470 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(26,997 |
) |
|
|
0 |
|
|
|
167,207 |
|
|
|
(30,205 |
) |
|
|
(265 |
) |
| Variable annuity and variable life insurance contracts*6 |
|
|
163,734 |
|
|
|
(30,205 |
) |
|
|
(265 |
) |
|
|
(30,470 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(26,997 |
) |
|
|
0 |
|
|
|
167,207 |
|
|
|
(30,205 |
) |
|
|
(265 |
) |
| Accounts Payable: |
|
|
12,576 |
|
|
|
(47 |
) |
|
|
(1,513 |
) |
|
|
(1,560 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
14,136 |
|
|
|
(47 |
) |
|
|
(1,513 |
) |
| Contingent Consideration |
|
|
12,576 |
|
|
|
(47 |
) |
|
|
(1,513 |
) |
|
|
(1,560 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
14,136 |
|
|
|
(47 |
) |
|
|
(1,513 |
) | 2025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
other
comprehensive
income for
|
|
| |
|
|
|
|
|
|
|
|
| Loans held for sale |
|
¥ |
96,566 |
|
|
¥ |
(1,778 |
) |
|
¥ |
(543 |
) |
|
¥ |
(2,321 |
) |
|
¥ |
633 |
|
|
¥ |
0 |
|
|
¥ |
(27,084 |
) |
|
¥ |
0 |
|
|
¥ |
67,794 |
|
|
¥ |
(708 |
) |
|
¥ |
(543 |
) |
| |
|
|
319,297 |
|
|
|
1,336 |
|
|
|
(1,437 |
) |
|
|
(101 |
) |
|
|
99,785 |
|
|
|
(56,749 |
) |
|
|
(144,578 |
) |
|
|
0 |
|
|
|
217,654 |
|
|
|
370 |
|
|
|
(463 |
) |
| Japanese prefectural and foreign municipal bond securities |
|
|
10,922 |
|
|
|
(107 |
) |
|
|
82 |
|
|
|
(25 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(19 |
) |
|
|
0 |
|
|
|
10,878 |
|
|
|
(107 |
) |
|
|
82 |
|
| Corporate debt securities |
|
|
5,586 |
|
|
|
235 |
|
|
|
(17 |
) |
|
|
218 |
|
|
|
300 |
|
|
|
(1,712 |
) |
|
|
(140 |
) |
|
|
0 |
|
|
|
4,252 |
|
|
|
(73 |
) |
|
|
(17 |
) |
| CMBS and RMBS in the Americas |
|
|
7,165 |
|
|
|
0 |
|
|
|
(83 |
) |
|
|
(83 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,082 |
|
|
|
0 |
|
|
|
(83 |
) |
| Other asset-backed securities and debt securities |
|
|
295,624 |
|
|
|
1,208 |
|
|
|
(1,419 |
) |
|
|
(211 |
) |
|
|
99,485 |
|
|
|
(55,037 |
) |
|
|
(144,419 |
) |
|
|
0 |
|
|
|
195,442 |
|
|
|
550 |
|
|
|
(445 |
) |
| Equity securities |
|
|
162,857 |
|
|
|
(8,129 |
) |
|
|
(2,089 |
) |
|
|
(10,218 |
) |
|
|
20,113 |
|
|
|
(656 |
) |
|
|
(9,886 |
) |
|
|
0 |
|
|
|
162,210 |
|
|
|
(8,163 |
) |
|
|
(2,099 |
) |
| Investment funds and other |
|
|
162,857 |
|
|
|
(8,129 |
) |
|
|
(2,089 |
) |
|
|
(10,218 |
) |
|
|
20,113 |
|
|
|
(656 |
) |
|
|
(9,886 |
) |
|
|
0 |
|
|
|
162,210 |
|
|
|
(8,163 |
) |
|
|
(2,099 |
) |
| Derivative assets and liabilities (net) |
|
|
2,284 |
|
|
|
5,480 |
|
|
|
401 |
|
|
|
5,881 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
8,165 |
|
|
|
5,480 |
|
|
|
401 |
|
| Options held/written and other |
|
|
2,284 |
|
|
|
5,480 |
|
|
|
401 |
|
|
|
5,881 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
8,165 |
|
|
|
5,480 |
|
|
|
401 |
|
| Other asset |
|
|
2,786 |
|
|
|
(1,027 |
) |
|
|
0 |
|
|
|
(1,027 |
) |
|
|
916 |
|
|
|
0 |
|
|
|
(89 |
) |
|
|
0 |
|
|
|
2,586 |
|
|
|
(1,027 |
) |
|
|
0 |
|
| Reinsurance recoverables*5 |
|
|
2,786 |
|
|
|
(1,027 |
) |
|
|
0 |
|
|
|
(1,027 |
) |
|
|
916 |
|
|
|
0 |
|
|
|
(89 |
) |
|
|
0 |
|
|
|
2,586 |
|
|
|
(1,027 |
) |
|
|
0 |
|
| Policy Liabilities and Policy Account Balances |
|
|
167,207 |
|
|
|
7,292 |
|
|
|
(48 |
) |
|
|
7,244 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(23,706 |
) |
|
|
0 |
|
|
|
136,257 |
|
|
|
7,292 |
|
|
|
(48 |
) |
| Variable annuity and variable life insurance contracts*6 |
|
|
167,207 |
|
|
|
7,292 |
|
|
|
(48 |
) |
|
|
7,244 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(23,706 |
) |
|
|
0 |
|
|
|
136,257 |
|
|
|
7,292 |
|
|
|
(48 |
) |
| Accounts Payable: |
|
|
14,136 |
|
|
|
(1,235 |
) |
|
|
112 |
|
|
|
(1,123 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,259 |
|
|
|
(1,235 |
) |
|
|
112 |
|
| Contingent Consideration |
|
|
14,136 |
|
|
|
(1,235 |
) |
|
|
112 |
|
|
|
(1,123 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,259 |
|
|
|
(1,235 |
) |
|
|
112 |
| 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
other
comprehensive
income for
|
|
| |
|
|
|
|
|
|
|
|
| Loans held for sale |
|
¥ |
67,794 |
|
|
¥ |
(3,453 |
) |
|
¥ |
2,679 |
|
|
¥ |
(774 |
) |
|
¥ |
77 |
|
|
¥ |
(714 |
) |
|
¥ |
(30,699 |
) |
|
¥ |
0 |
|
|
¥ |
35,684 |
|
|
¥ |
(1,221 |
) |
|
¥ |
2,679 |
|
| |
|
|
217,654 |
|
|
|
22,401 |
|
|
|
(10,253 |
) |
|
|
12,148 |
|
|
|
138,155 |
|
|
|
(1,335 |
) |
|
|
(90,621 |
) |
|
|
0 |
|
|
|
276,001 |
|
|
|
21,907 |
|
|
|
(8,224 |
) |
| Japanese prefectural and foreign municipal bond securities |
|
|
10,878 |
|
|
|
(198 |
) |
|
|
618 |
|
|
|
420 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(716 |
) |
|
|
0 |
|
|
|
10,582 |
|
|
|
6 |
|
|
|
618 |
|
| Corporate debt securities |
|
|
4,252 |
|
|
|
20,968 |
|
|
|
(12,004 |
) |
|
|
8,964 |
|
|
|
107,208 |
|
|
|
0 |
|
|
|
(2,233 |
) |
|
|
0 |
|
|
|
118,191 |
|
|
|
20,968 |
|
|
|
(12,004 |
) |
| CMBS and RMBS in the Americas |
|
|
7,082 |
|
|
|
0 |
|
|
|
59 |
|
|
|
59 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(7,141 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
| Other asset-backed securities and debt securities |
|
|
195,442 |
|
|
|
1,631 |
|
|
|
1,074 |
|
|
|
2,705 |
|
|
|
30,947 |
|
|
|
(1,335 |
) |
|
|
(80,531 |
) |
|
|
0 |
|
|
|
147,228 |
|
|
|
933 |
|
|
|
3,162 |
|
| Equity securities |
|
|
162,210 |
|
|
|
85,324 |
|
|
|
12,598 |
|
|
|
97,922 |
|
|
|
19,731 |
|
|
|
(44,110 |
) |
|
|
(5,157 |
) |
|
|
0 |
|
|
|
230,596 |
|
|
|
85,082 |
|
|
|
12,579 |
|
| Investment funds |
|
|
162,210 |
|
|
|
85,324 |
|
|
|
12,598 |
|
|
|
97,922 |
|
|
|
19,731 |
|
|
|
(44,110 |
) |
|
|
(5,157 |
) |
|
|
0 |
|
|
|
230,596 |
|
|
|
85,082 |
|
|
|
12,579 |
|
| Derivative assets and liabilities (net) |
|
|
8,165 |
|
|
|
(1,223 |
) |
|
|
488 |
|
|
|
(735 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,430 |
|
|
|
(1,223 |
) |
|
|
488 |
|
| Options held/written and other |
|
|
8,165 |
|
|
|
(1,223 |
) |
|
|
488 |
|
|
|
(735 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
7,430 |
|
|
|
(1,223 |
) |
|
|
488 |
|
| Other asset |
|
|
2,586 |
|
|
|
(2,167 |
) |
|
|
0 |
|
|
|
(2,167 |
) |
|
|
836 |
|
|
|
0 |
|
|
|
(92 |
) |
|
|
0 |
|
|
|
1,163 |
|
|
|
(2,167 |
) |
|
|
0 |
|
| Reinsurance recoverables*5 |
|
|
2,586 |
|
|
|
(2,167 |
) |
|
|
0 |
|
|
|
(2,167 |
) |
|
|
836 |
|
|
|
0 |
|
|
|
(92 |
) |
|
|
0 |
|
|
|
1,163 |
|
|
|
(2,167 |
) |
|
|
0 |
|
| Policy Liabilities and Policy Account Balances |
|
|
136,257 |
|
|
|
(25,594 |
) |
|
|
271 |
|
|
|
(25,323 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(23,553 |
) |
|
|
0 |
|
|
|
138,027 |
|
|
|
(25,594 |
) |
|
|
271 |
|
| Variable annuity and variable life insurance contracts*6 |
|
|
136,257 |
|
|
|
(25,594 |
) |
|
|
271 |
|
|
|
(25,323 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(23,553 |
) |
|
|
0 |
|
|
|
138,027 |
|
|
|
(25,594 |
) |
|
|
271 |
|
| Accounts Payable: |
|
|
15,259 |
|
|
|
3,029 |
|
|
|
(1,978 |
) |
|
|
1,051 |
|
|
|
1,475 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,683 |
|
|
|
3,029 |
|
|
|
(1,978 |
) |
| Contingent Consideration |
|
|
15,259 |
|
|
|
3,029 |
|
|
|
(1,978 |
) |
|
|
1,051 |
|
|
|
1,475 |
|
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
15,683 |
|
|
|
3,029 |
|
|
|
(1,978 |
) |
*1 |
Principally, gains and losses from debt securities are included in “Finance revenues (including interest under the amortized cost method and principal plus interest)”, “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 loans held for sale, derivative assets and liabilities (net), and accounts payable are included in “Other (income) and expense” respectively. |
*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 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 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.”, unrealized gains and losses from accounts payable are included in “Net change of foreign currency translation 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 the information about policy account balances for variable annuity and variable life insurance contracts and market risk benefits as of and for the fiscal year ended March 31, 2025 and 2026, see Note 24 “Long-Duration Insurance Contracts Relating to Life Insurance Operations.” | In fiscal 2024, foreign municipal bond securities totaling ¥6,818 million were transferred from Level 2 to Level 3, since the inputs became unobservable. In fiscal 2025 and 2026, there were no transfers in or out of Level 3. The following tables present recorded amounts of assets measured at fair value on a nonrecurring basis during fiscal 2025 and 2026. These assets are measured at fair value on a nonrecurring basis mainly to recognize impairment: 2025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real estate collateral-dependent loans (net of allowance for credit losses) |
|
¥ |
5,881 |
|
|
¥ |
0 |
|
|
¥ |
0 |
|
|
¥ |
5,881 |
|
| Investment in operating leases, property under facility operations and office facilities |
|
|
8,105 |
|
|
|
0 |
|
|
|
0 |
|
|
|
8,105 |
|
| Equity securities |
|
|
15,193 |
|
|
|
0 |
|
|
|
15,193 |
|
|
|
0 |
|
| Equity method investments |
|
|
20,619 |
|
|
|
0 |
|
|
|
0 |
|
|
|
20,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
49,798 |
|
|
¥ |
0 |
|
|
¥ |
15,193 |
|
|
¥ |
34,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2026
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans held for sale |
|
¥ |
838 |
|
|
¥ |
0 |
|
|
¥ |
0 |
|
|
¥ |
838 |
|
| Real estate collateral-dependent loans (net of allowance for credit losses) |
|
|
12,646 |
|
|
|
0 |
|
|
|
0 |
|
|
|
12,646 |
|
| Investment in operating leases, property under facility operations and office facilities |
|
|
11,907 |
|
|
|
0 |
|
|
|
66 |
|
|
|
11,841 |
|
| Land and buildings undeveloped or under construction |
|
|
2,203 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,203 |
|
| Equity securities |
|
|
42,417 |
|
|
|
0 |
|
|
|
42,417 |
|
|
|
0 |
|
| Equity method investments |
|
|
5,140 |
|
|
|
0 |
|
|
|
0 |
|
|
|
5,140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
75,151 |
|
|
¥ |
0 |
|
|
¥ |
42,483 |
|
|
¥ |
32,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The following is a description of the main valuation methodologies used for assets and liabilities measured at fair value. Certain loans, which the Company and its subsidiaries have the intent and ability to sell to outside parties in the foreseeable future, are considered The loans held for sale in the Americas are classified as Level 2, if the Company and its subsidiaries measure their fair value based on a market approach using inputs other than quoted prices that are observable for the assets such as treasury rate, swap rate and market spread. The loans held for sale in the Americas are classified as Level 3, if the Company and its subsidiaries measure their fair value based on discounted cash flow methodologies using inputs that are unobservable in the market. Real estate collateral-dependent loans The allowance for credit losses for large balance non-homogeneous loans is individually evaluated based on the present value of expected future cash flows, the loan’s observable market price or the fair value of the collateral securing the loans if the loans are collateral-dependent. According to ASC 820 (“Fair Value Measurement”), measurement for loans with deterioration in credit quality determined using a present value technique is not considered a fair value measurement. However, measurement for loans with deterioration in credit quality determined using the loan’s observable market price or the fair value of the collateral securing the collateral-dependent loans are fair value measurements and are subject to the disclosure requirements for nonrecurring fair value measurements. The Company and its subsidiaries determine the fair value of the real estate collateral of real estate collateral-dependent loans using appraisals prepared by independent third party appraisers or our own staff of qualified appraisers based on recent transactions involving sales of similar assets or other valuation techniques such as discounted cash flows methodologies using future cash flows estimated to be generated from operation of the existing assets or completion of development projects, as appropriate. The Company and its subsidiaries generally obtain a new appraisal once a fiscal year. In addition, the Company and its subsidiaries periodically monitor circumstances of the real estate collateral and then obtain a new appraisal in situations involving a significant change in economic and/or physical conditions, which may materially affect the fair value of the collateral. Real estate collateral-dependent loans whose fair values are estimated using appraisals of the underlying collateral based on these valuation techniques are classified as Level 3 because such appraisals involve unobservable inputs. These unobservable inputs contain discount rates and cap rates as well as future cash flows estimated to be generated from real estate collateral. An increase (decrease) in the discount rate or cap rate and a decrease (increase) in the estimated future cash flows would result in a decrease (increase) in the fair value of real estate collateral-dependent loans. Real estate collateral-dependent loans owned by a certain subsidiary are classified as Level 2, because fair value measurement is based on observable market prices. Investment in operating leases, property under facility operations, office facilities and other assets, and land and buildings undeveloped or under construction Investment in operating leases measured at fair value is mostly real estate. The Company and its subsidiaries determine the fair value of investment in operating leases, property under facility operations, office facilities and other assets, and land and buildings undeveloped or under construction using appraisals prepared by independent third party appraisers or the Company’s own staff of qualified appraisers, and others based on recent transactions involving sales of similar assets or other valuation techniques such as discounted cash flow methodologies using future cash flows estimated to be generated from operation of the existing assets or completion of development projects, as appropriate. The Company and its subsidiaries classified these assets as Level 3 because such appraisals involve unobservable inputs. These unobservable inputs contain discount rates as well as future cash flows estimated to be generated from the assets or projects. An increase (decrease) in the discount rate and a decrease (increase) in the estimated future cash flows would result in a decrease (increase) in the fair value of investment in operating leases and property under facility operations and land and buildings undeveloped or under construction. Movable properties owned by a certain subsidiary are classified as Level 2, because fair value measurement is based on observable inputs other than quoted prices included within Level 1, such as prices for similar assets. Trading debt securities and debt securities If active market prices are available, fair value measurement is based on quoted active market prices and, accordingly, these securities are classified as Level 1. If active market prices are not available, fair value measurement is based on observable inputs other than quoted prices included within Level 1, such as prices for similar assets and accordingly these securities are classified as Level 2. If market prices are not available and there are no observable inputs, then fair value is estimated by using valuation models such as discounted cash flow methodologies, appraisals, or broker quotes. Such securities are classified as Level 3, as the valuation models, appraisals, or broker quotes are based on inputs that are unobservable in the market. If fair value is based on broker quotes, the Company and its subsidiaries check the validity of received prices based on comparison to prices of other similar assets and market data such as relevant benchmark indices. The Company and its subsidiaries classified corporate debt securities, CMBS and RMBS in the Americas and other asset-backed securities and debt securities as Level 2 if the inputs such as trading price and/or bid price are observable. The Company and its subsidiaries classified CMBS and RMBS in the Americas and other asset-backed securities and debt securities as Level 3 if the Company and subsidiaries evaluate the fair value based on the unobservable inputs. In determining whether the inputs are observable or unobservable, the Company and its subsidiaries evaluate various factors such as the lack of recent transactions, price quotations that are not based on current information or vary substantially over time or among market makers, a significant increase in implied risk premium, a wide bid-ask spread, significant decline in new issuances, little or no public information (e.g. a market) and other factors. The corporate debt securities include a foreign convertible bond issued by AM Green (Luxembourg) S.à.r.l and received in conjunction with the partial sale of shares in Greenko Energy Holdings. It is measured at fair value using discounted cash flow methodology to estimate the equity value as of the transaction date, then, using a pricing model based on the Monte Carlo simulation to estimate the bond’s future conversion value and discounting it to the present value, which is classified as Level 3 because such appraisals involve unobservable inputs in the market. The fair value measurement uses discount rates and projected cash flows based on the business plan including future sales prices and sales volumes of green ammonia for the discounted cash flow methodology, and uses discount rate and equity volatility for the pricing model based on the Monte Carlo simulation. Discount rates, equity volatility, and projected cash flows based on the business plan are unobservable inputs. An increase (decrease) in the discount rate and equity volatility and a decrease (increase) in projected cash flows based on the business plan would result in a decrease (increase) in the fair value of corporate debt securities. With respect to certain CMBS and RMBS in the Americas and other asset-backed securities and debt securities, the Company and its subsidiaries classified these securities that were measured at fair value based on the observable inputs such as trading price and/or bid price as Level 2. But for those securities that lacked observable trades because they are older vintage or below investment grade securities, the Company and its subsidiaries limit the reliance on independent pricing service vendors and brokers. As a result, the Company and its subsidiaries established internally developed pricing models using valuation techniques such as discounted cash flow model using Level 3 inputs in order to estimate fair value of these debt securities and classified them as Level 3. Under the models, the Company and its subsidiaries use anticipated cash flows of the security discounted at a risk-adjusted discount rate that incorporates our estimate of credit risk and liquidity risk that a market participant would consider. The cash flows are estimated based on a number of assumptions such as default rate and prepayment speed, as well as seniority of the security. An increase (decrease) in the discount rate or default rate would result in a decrease (increase) in the fair value of CMBS and RMBS in the Americas and other asset-backed securities and debt securities. Equity securities and equity method investments If active market prices are available, fair value measurement is based on quoted active market prices and, accordingly, these securities are classified as Level 1. If active market prices are not available, fair value measurement is based on observable inputs other than quoted prices included within Level 1, such as prices for similar assets and accordingly these securities are classified as Level 2. In addition, a certain Americas subsidiary measures its investments held by investment companies which are owned by the subsidiary at fair value. These investment funds, certain equity securities and certain equity method investments are classified as Level 3, because fair value measurement is based on discounted cash flow methodologies, market multiple valuation methods, appraisals, or broker quotes. Discounted cash flow methodologies use future cash flows to be generated from investees, weighted average cost of capital (WACC) and others. Market multiple valuation methods use earnings before interest, taxes, depreciation and amortization (EBITDA) multiples based on actual and projected cash flows, comparable peer companies, and comparable precedent transactions and others. Furthermore, certain subsidiaries elected the fair value option for investments in some funds. These investment funds for which the fair value option is elected are classified as Level 3, because the subsidiaries measure their fair value using discounted cash flow methodologies, discounting to net asset value based on inputs that are unobservable in the market, appraisals, or broker quotes. For exchange-traded derivatives, fair value is based on quoted market prices and is accordingly classified as Level 1. For non-exchange traded derivatives, fair value is based on commonly used models and discounted cash flow methodologies. If the inputs used for these measurements including yield curves and volatilities, are observable, the Company and its subsidiaries classify it as Level 2. If the inputs are not observable, the Company and its subsidiaries classify it as Level 3. These unobservable inputs contain discount rates. An increase (decrease) in the discount rate would result in a decrease (increase) in the fair value of derivatives. Certain subsidiaries have elected the fair value option for certain reinsurance contracts related to variable annuity and variable life insurance contracts to partially offset the changes in fair value recognized in earnings of the policy liabilities and policy account balances attributable to the changes in the minimum guarantee risks of the variable annuity and variable life insurance contracts. These reinsurance contracts for which the fair value option is elected are classified as Level 3 because the subsidiaries measure their fair value using discounted cash flow methodologies based on inputs that are unobservable in the market. Variable annuity and variable life insurance contracts A certain subsidiary has elected the fair value option for the entire variable annuity and variable life insurance contracts held in order to match earnings recognized for changes in fair value of policy liabilities and policy account balances with the earnings recognized for gains or losses from the investment assets managed on behalf of variable annuity and variable life policyholders, derivative contracts and changes in fair value of reinsurance contracts. The changes in fair value of the variable annuity and variable life insurance contracts are linked to the fair value of the investment in securities managed on behalf of variable annuity and variable life policyholders. These securities consist mainly of equity securities traded in the market. In addition, variable annuity and variable life insurance contracts are exposed to the minimum guarantee risk, and the subsidiary adjusts the fair value of the underlying investments by incorporating changes in fair value of the minimum guarantee risk in the evaluation of the fair value of the entire variable annuity and variable life insurance contracts. The variable annuity and variable life insurance contracts for which the fair value option is elected are classified as Level 3 because the subsidiary measures the fair value using discounted cash flow methodologies based on inputs that are unobservable in the market. Accounts payable (Contingent consideration) A certain subsidiary records a part of consideration for acquiring noncontrolling interests of its subsidiary as accounts payable (contingent consideration), and it is classified as Level 3 because fair value measurement is based on discounted cash flow methodologies. Information about Level 3 Fair Value Measurements 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, 2025 and 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Loans held for sale |
|
¥ |
67,794 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
7.0 % – 12.1 % |
|
|
|
|
|
|
|
|
|
|
|
|
( 9.4 %) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Japanese prefectural and foreign municipal bond securities |
|
|
6,319 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
5.8 % – 9.8 % |
|
|
|
|
|
|
|
|
|
|
|
|
( 8.0 %) |
|
|
|
|
4,559 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
| Corporate debt securities |
|
|
302 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
1.5 % |
|
|
|
|
|
|
|
|
|
|
|
|
( 1.5 %) |
|
|
|
|
3,950 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
| CMBS and RMBS in the Americas |
|
|
7,082 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
| Other asset-backed securities and debt securities |
|
|
34,670 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
0.4% – 51.2% |
|
|
|
|
|
|
|
|
|
|
|
|
(5.5%) |
|
|
|
|
|
|
|
|
|
Probability of default |
|
|
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
(0.2%) |
|
|
|
|
160,772 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
| Equity securities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment funds and other |
|
|
133,585 |
|
|
Discounted cash flows |
|
WACC |
|
|
13.3% – 23.7% |
|
|
|
|
|
|
|
|
|
|
|
|
( 16.8 %) |
|
|
|
|
|
|
|
|
|
EV/Terminal EBITDA multiple |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
( 8.8x ) |
|
|
|
|
|
|
|
Market multiples |
|
EV/Last twelve months EBITDA multiple |
|
|
4.3x- 9.5x |
|
|
|
|
|
|
|
|
|
|
|
|
(7.8x) |
|
|
|
|
|
|
|
|
|
EV/Forward EBITDA multiple |
|
|
4.2x-9.0x |
|
|
|
|
|
|
|
|
|
|
|
|
(7.7 x) |
|
|
|
|
|
|
|
|
|
EV/Precedent transaction last twelve months EBITDA multiple |
|
|
4.3x-11.9x |
|
|
|
|
|
|
|
|
|
|
|
|
(8.7x) |
|
|
|
|
22,859 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
|
|
|
5,766 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
11.5% – 12.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(11.7%) |
|
| Derivative assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Options held/written and other |
|
|
8,297 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
12.0% – 33.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(14.7%) |
|
|
|
|
520 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
| Other assets: |
|
|
|
|
|
|
|
|
|
|
|
|
| Reinsurance recoverables |
|
|
2,586 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
0.5% – 2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
(1.3%) |
|
|
|
|
|
|
|
|
|
Mortality rate |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.9%) |
|
|
|
|
|
|
|
|
|
Lapse rate |
|
|
1.5% – 14.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(4.7%) |
|
|
|
|
|
|
|
|
|
Annuitization rate (guaranteed minimum annuity benefit) |
|
|
100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(100.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
¥ |
459,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
| Options held/written and other |
|
¥ |
652 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
12.0% – 33.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(14.7%) |
|
| Policy liabilities and Policy Account Balances: |
|
|
|
|
|
|
|
|
|
|
|
|
| Variable annuity and variable life insurance contracts |
|
|
136,257 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
0.5% – 2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
(1.3%) |
|
|
|
|
|
|
|
|
|
Mortality rate |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.3%) |
|
|
|
|
|
|
|
|
|
Lapse rate |
|
|
1.5% – 30.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(5.7%) |
|
|
|
|
|
|
|
|
|
Annuitization rate (guaranteed minimum annuity benefit) |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(67.1%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Accounts Payable: |
|
|
|
|
|
|
|
|
|
|
|
|
| Contingent Consideration |
|
|
15,259 |
|
|
Discounted cash flows |
|
EV/Terminal EBITDA multiple |
|
|
15.0x |
|
|
|
|
|
|
|
|
|
|
|
|
(15.0x) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
¥ |
152,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
35,684 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
6.1% – 9.9% |
|
|
|
|
|
|
|
|
|
|
|
|
(7.9%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Japanese prefectural and foreign municipal bond securities |
|
|
6,381 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
3.6% – 9.8% |
|
|
|
|
|
|
|
|
|
|
|
|
(8.0%) |
|
|
|
|
4,201 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
Corporate debt securities |
|
|
115,931 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
7.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(7.0%) |
|
|
|
|
|
|
|
|
|
Equity Volatility |
|
|
50.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(50.0%) |
|
|
|
|
1,944 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
|
|
|
316 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
2.4% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.4%) |
|
Other asset-backed securities and debt securities |
|
|
42,120 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
0.4% – 51.2% |
|
|
|
|
|
|
|
|
|
|
|
|
(5.4%) |
|
|
|
|
|
|
|
|
|
Probability of default |
|
|
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
(0.2%) |
|
|
|
|
105,108 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
203,796 |
|
|
Market multiples |
|
EV/Last twelve months EBITDA multiple |
|
|
3.4x-9.0x |
|
|
|
|
|
|
|
|
|
|
|
|
(7.7x) |
|
|
|
|
|
|
|
|
|
EV/Next twelve months EBITDA multiple |
|
|
3.2x-8.0x |
|
|
|
|
|
|
|
|
|
|
|
|
(5.1x) |
|
|
|
|
22,000 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
|
|
|
4,800 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
11.0% – 11.5% |
|
|
|
|
|
|
|
|
|
|
|
|
(11.2%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options held/written and other |
|
|
7,611 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
12.0% – 33.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(14.9%) |
|
|
|
|
376 |
|
|
Appraisals/Broker quotes |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,163 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
1.1% – 3.5% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.0%) |
|
|
|
|
|
|
|
|
|
Mortality rate |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.8%) |
|
|
|
|
|
|
|
|
|
Lapse rate |
|
|
1.5% – 14.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(4.5%) |
|
|
|
|
|
|
|
|
|
(guaranteed minimum annuity benefit) |
|
|
100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(100.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
551,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options held/written and other |
|
¥ |
557 |
|
|
Discounted cash flows |
|
|
|
|
12.0% – 33.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(14.9%) |
|
Policy liabilities and Policy Account Balances: |
|
|
|
|
|
|
|
|
|
|
|
|
Variable annuity and variable life insurance contracts |
|
|
138,027 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
1.1% – 3.5% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.0%) |
|
|
|
|
|
|
|
|
|
Mortality rate |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(2.3%) |
|
|
|
|
|
|
|
|
|
Lapse rate |
|
|
1.5% – 30.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(5.6%) |
|
|
|
|
|
|
|
|
|
(guaranteed minimum annuity benefit) |
|
|
0.0% – 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(64.4%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,084 |
|
|
Discounted cash flows |
|
EV/Terminal EBITDA multiple |
|
|
15.0x |
|
|
|
|
|
|
|
|
|
|
|
|
(15.0x) |
|
|
|
|
1,599 |
|
|
Discounted cash flows |
|
Discount rate |
|
|
4.8% – 5.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(4.9%) |
|
|
|
|
|
|
|
|
|
EBTDA Volatility |
|
|
35.0% |
|
|
|
|
|
|
|
|
|
|
|
|
(35.0%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
154,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 fiscal 2025 and 2026.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
Real estate collateral-dependent loans (net of allowance for credit losses) |
|
¥ |
1,064 |
|
|
Direct capitalization |
|
Capitalization rate |
|
4.4% – 5.2% |
|
|
|
|
|
|
|
|
|
|
(4.7%) |
|
|
|
4,817 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
Investment in operating leases, property under facility operations and office facilities |
|
|
3,314 |
|
|
Discounted cash flows |
|
Discount rate |
|
6.1% |
|
|
|
|
|
|
|
|
|
|
(6.1%) |
|
|
|
4,791 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
Equity method investments |
|
|
20,619 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
34,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
| |
|
|
|
|
Valuation technique(s) |
|
Significant unobservable inputs |
|
|
| |
|
|
|
Assets: |
|
|
|
|
|
|
|
|
|
|
Loans held for sale |
|
¥ |
838 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
Real estate collateral-dependent loans (net of allowance for credit losses) |
|
|
1,093 |
|
|
Direct capitalization |
|
Capitalization rate |
|
4.8% – 6.2% |
|
|
|
|
|
|
|
|
|
|
(5.2%) |
|
|
|
11,553 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
Investment in operating leases, property under facility operations and office facilities |
|
|
6,283 |
|
|
Discounted cash flows |
|
Discount rate |
|
0.0% – 5.3% |
|
|
|
|
|
|
|
|
|
|
(5.2%) |
|
|
|
5,558 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
Land and buildings undeveloped or under construction |
|
|
2,203 |
|
|
Discounted cash flows |
|
Discount rate |
|
3.9% |
|
|
|
|
|
|
|
|
|
|
(3.9%) |
Equity method investments |
|
|
844 |
|
|
Direct capitalization |
|
Capitalization rate |
|
7.5% |
|
|
|
|
|
|
|
|
|
|
(7.5%) |
|
|
|
2,681 |
|
|
Market multiples |
|
EV/EBITDA multiple |
|
6.8x – 7.8x |
|
|
|
|
|
|
|
|
|
|
(6.9x) |
|
|
|
1,615 |
|
|
Appraisals/Broker quotes |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
¥ |
32,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| The Company and its subsidiaries generally use discounted cash flow methodologies or similar internally developed models to determine the fair value of Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, changes in these unobservable inputs may have a significant impact on the fair value. Certain of these unobservable inputs will have a directionally consistent impact on the fair value of the asset or liability for a given change in that input. Alternatively, the fair value of the asset or liability may move in an opposite direction for a given change in another input. Where multiple inputs are used within the valuation technique of an asset or liability, a change in one input in a certain direction may be offset by an opposite change in another input having a potentially muted impact to the overall fair value of that particular asset or liability. Additionally, a change in one unobservable input may result in a change to another unobservable input (that is, changes in certain inputs are interrelated to one another), which may counteract or magnify the fair value impact. Unobservable inputs are weighted by the relative fair value of the asset or liability. For more analysis of the uncertainty of each input, see the description of the main valuation methodologies used for assets and liabilities measured at fair value. |