ANNUAL REPORT 2012 for the year ended March 31, 2012

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

Credit Saison Co., Ltd. and Consolidated Subsidiaries
For the years ended March 31, 2012 and 2011

20. DERIVATIVES

(A) Non-hedged derivative transactions as of March 31, 2012 and 2011 are summarized below:

(i) Interest rate transactions

  Millions of yen
2012   2011
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 ¥13,500 ¥11,500 ¥149   ¥25,500 ¥13,500 ¥(241)
Total ¥13,500 ¥11,500 ¥149   ¥25,500 ¥13,500 ¥(241)

  Thousands of U.S. dollars  
2012  
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 $164,354 $140,005 $1,813
Total $164,354 $140,005 $1,813
Note:
Fair value is measured at prices and other information presented by financial institutions with which the Companies have concluded
derivative agreements.

(ii) Other

  Millions of yen
2012   2011
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 ¥47   ¥3,000 ¥3,000 ¥(31)
Total ¥3,000 ¥47   ¥3,000 ¥3,000 ¥(31)

  Thousands of U.S. dollars  
2012  
Contractual value or
notional principal amount
Unrealized
profit (loss)
       
Total Over 1 year
Over-the-counter credit derivatives:  
Selling of protection $36,523 $577
Total $36,523 $577
Note:
Fair value is measured at prices and through other information presented by financial institutions with which the Companies have concluded
derivatives agreements.

(B) Hedged derivative transactions as of March 31 , 2012 and 2011 are summarized below:

Mainly hedged objects Millions of yen
2012   2011
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 ¥176,826 ¥150,826 ¥(2,428)   ¥136,716 ¥122,026 ¥(2,712)
Interest rate swaps recognized
 in specific rule:
     
Floating-rate receipt/
 fixed-rate payment
Long-term debt 308,841 215,400 (7,442)   365,881 312,041 (9,120)
Fixed-rate receipt/
 floating-rate payment
Long-term debt 15,000 15,000 45   10,000 10,000 36
Total ¥500,667 ¥381,226 ¥(9,825)   ¥512,597 ¥444,067 ¥(11,796)

Mainly hedged objects Thousands of U.S. dollars  
2012  
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 $2,152,739 $1,836,206 $(29,560)
Interest rate swaps recognized
 in specific rule:
   
Floating-rate receipt/
 fixed-rate payment
Long-term debt 3,759,935 2,622,353 (90,601)
Fixed-rate receipt/
 floating-rate payment
Long-term debt 182,615 182,615 553
Total $6,095,289 $4,641,174 $(119,608)
Note:
Fair value is measured at prices and other information presented by financial institutions with which the Companies have concluded
derivative agreements.

21. COMMITMENTS AND CONTINGENT LIABILITIES

As of March 31, 2012, the Companies were contingently liable as credit guarantors for customers borrowing from our alliance banks amounting to ¥164,594 million (US$2,003,824 thousand).

22. COMPREHENSIVE INCOME

The components of other comprehensive income for the year ended March 31, 2012 were as follows:


  Millions of yen   Thousands of
U.S. dollars
2012 2012
Unrealized gains on available-for-sale securities    
Gains arising during the year ¥2,588 $31,500
Reclassification adjustments to profit or loss 25 309
Amount before income tax effect 2,613 31,809
Income tax effect (603) (7,336)
Total unrealized gains on available-for-sale securities 2,010 24,473
Deferred losses on derivatives under hedge accounting
Losses arising during the year (724) (8,804)
Reclassification adjustments to profit or loss 1,049 12,767
Amount before income tax effect 325 3,963
Income tax effect (253) (3,083)
Total deferred losses on derivatives under hedge accounting 72 880
Share of other comprehensive income in affiliated companies
Gains arising during the year 1,464 17,818
Reclassification adjustments to profit or loss 15 185
Total share of other comprehensive income in affiliated companies 1,479 18,003
Total other comprehensive income ¥3,561 $43,356

The corresponding information for the year ended March 31, 2011 was not required under the accounting standard for presentation of comprehensive income as an exemption for the first year of adopting that standard.


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