ANNUAL REPORT 2011 for the year ended March 31, 2011

Notes To Consolidated Financial Statements

Credit Saison Co., Ltd. and Consolidated Subsidiaries
For the Years Ended March 31, 2011 and 2010

17. Derivatives

(A) As of March 31, 2011 and 2010, non-hedged derivative transactions were summarized below:

i. Interest rate transactions

  Millions of yen
2011   2010
Contractual value or
notional principal amount
Unrealized
profit (loss)
  Contractual value or
notional principal amount
Unrealized
profit (loss)
Total Over 1 year Total Over 1 year
Over-the-counter interest rate swaps:      
Floating-rate receipt/fixed-rate payment ¥25,500 ¥13,500 ¥(241)   ¥4,000 ¥4,000 ¥(10)
Total ¥25,500 ¥13,500 ¥(241)   ¥4,000 ¥4,000 ¥(10)

  Thousands of U.S. dollars  
2011  
Contractual value or
notional principal amount
Unrealized
profit (loss)
       
Total Over 1 year
Over-the-counter interest rate swaps:  
Floating-rate receipt/fixed-rate payment $306,675 $162,357 $(2,899)
Total $306,675 $162,357 $(2,899)
Note:
Fair value is measured at prices and through other information presented by financial institutions with which the Companies has concluded derivatives agreements.

ii. Other

  Millions of yen
2011   2010
Contractual value or
notional principal amount
Unrealized
profit (loss)
  Contractual value or
notional principal amount
Unrealized
profit (loss)
Total Over 1 year Total Over 1 year
Over-the-counter credit derivatives:      
Selling of protection ¥3,000 ¥3,000 ¥(31)   ¥3,000 ¥3,000 ¥662
Total ¥3,000 ¥3,000 ¥(31)   ¥3,000 ¥3,000 ¥662

  Thousands of U.S. dollars  
2011  
Contractual value or
notional principal amount
Unrealized
profit (loss)
       
Total Over 1 year
Over-the-counter credit derivatives:  
Selling of protection $36,079 $36,079 $(368)
Total $36,079 $36,079 $(368)
Note:
Fair value is measured at prices and through other information presented by financial institutions with which the Companies has concluded derivatives agreements.

(B) As of March 31, 2011 and 2010, hedged derivative transactions were summarized below:

Mainly hedged objects Millions of yen
2011   2010
Contractual value or
notional principal amount
Fair value   Contractual value or
notional principal amount
Fair value
Total Over 1 year Total Over 1 year
Interest rate swaps recognized
 in general rule:
     
Floating-rate receipt/
 fixed-rate payment
Long-term debt ¥136,716 ¥122,026 ¥(2,712)   ¥186,585 ¥132,580 ¥(3,084)
Interest rate swaps recognized
 in specific rule:
     
Floating-rate receipt/
 fixed-rate payment
Long-term debt 365,881 312,041 (9,120)   369,483 355,359 (9,891)
Fixed-rate receipt/
 floating-rate payment
Long-term debt 10,000 10,000 36   10,000 10,000 3
Total ¥512,597 ¥444,067 ¥(11,796)   ¥566,068 ¥497,939 ¥(12,972)

Mainly hedged objects Thousands of U.S. dollars  
2011  
Contractual value or
notional principal amount
Fair value        
Total Over 1 year
Interest rate swaps recognized
 in general rule:
   
Floating-rate receipt/
 fixed-rate payment
Long-term debt $1,644,209 $1,467,541 $(32,614)
Interest rate swaps recognized
 in specific rule:
   
Floating-rate receipt/
 fixed-rate payment
Long-term debt 4,400,252 3,752,747 (109,687)
Fixed-rate receipt/
 floating-rate payment
Long-term debt 120,265 120,265 434
Total $6,164,726 $5,340,553 $(141,867)
Note:
Fair value is measured at prices and through other information presented by financial institutions with which the Companies has concluded derivatives agreements.

18. Commitments And Contingent Liabilities

As of March 31, 2011, the Companies were contingently liable as credit guarantors for customers borrowing from our alliance banks amounting to ¥152,327 million (U.S.$1,831,955 thousand).

19. Comprehensive Income

Other comprehensive income (loss) for the year ended March 31, 2010 consisted of the following:


  Millions of yen
2010
Other comprehensive income (loss):  
Unrealized gain on available-for-sale securities ¥2,115
Deferred loss on derivatives under hedge accounting (546)
Share of other comprehensive income in affiliated companies 1,990
Total other comprehensive income ¥3,559

Total comprehensive income for the year ended March 31, 2010 comprised the following:


  Millions of yen
2010
Total comprehensive income attributable to:  
Owners of the parent ¥22,239
Minority interests 205
Total comprehensive income ¥22,444

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