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Derivative Financial Instruments and Hedging (Tables)
 12 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax
The effect of derivative instruments on the consolidated statements of income,
pre-tax,
for fiscal 2018 is as follows.
(1) Cash flow hedges
 
Gains (losses)
recognized
in other
comprehensive
income on
derivative
(effective portion)
 
 
Gains (losses) reclassified from
other comprehensive
income (loss) into income
(effective portion)
 
Gains (losses) recognized in
income on derivative
(ineffective portion and amount
excluded from effectiveness testing)
 
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
Interest rate swap agreements
 ¥
(114
) 
Finance revenues/Interest expense
 ¥
132
  
—  
 ¥
0
 
Foreign exchange contracts
  
(566
) 
Other (income) and expense
  
(20
) 
—  
  
0
 
Foreign currency swap agreements
  
 
 
5,620
  
 
 
Finance revenues/Interest expense/Other
(income) and expense
  
 
 
3,910
  
 
 
Other (income) and expense
  
 
 
(1,124
)
 
 
(2) Fair value hedges
 
Gains (losses) recognized in income
on derivative and other
Gains (losses) recognized in income
on hedged item
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
 
Consolidated statements
of income location
             
Interest rate swap agreements
 ¥
(393
) 
Finance revenues/Interest expense
 ¥
393
  
Finance revenues/Interest expense
             
Foreign exchange contracts
  
956
  
Other (income) and expense
  
(956
) 
Other (income) and expense
             
Foreign currency swap agreements
  
1,147
  
Other (income) and expense
  
(1,147
) 
Other (income) and expense
(3) Hedges of net investment in foreign operations
 
Gains (losses)
recognized
in other
comprehensive
income on
derivative
and others
(effective portion)
 
 
Gains (losses) reclassified from
other comprehensive
income (loss) into income
(effective portion)
  
Gains (losses) recognized in
income on derivative and others
(ineffective portion and amount
excluded from effectiveness testing)
 
 
Millions
of yen
 
 
Consolidated statements of
income location
 
 
Millions
of yen
 
 
Consolidated statements
of income location
 
 
Millions
of yen
 
Foreign exchange contracts
 ¥
(14,300
)  
Gains on sales of subsidiaries and affiliates and liquidation losses, net
  ¥
(3,559
)  
—  
  ¥
0
 
Borrowings and bonds in foreign currencies
  
8,746
   
—  
   
0
   
—  
   
0
 
(4) Derivatives not designated as hedging instruments
 
Gains (losses) recognized in income on derivative
 
Millions
of yen
 
 
Consolidated statements of income location
Interest rate swap agreements
 ¥
1,420
  
Other (income) and expense
Futures
  
(5,819
) 
Gains on investment securities and dividends
Life insurance premiums and related investment income*
Foreign exchange contracts
  
(6,626
) 
Gains on investment securities and dividends
Life insurance premiums and related investment income*
Other (income) and expense
Credit derivatives held
  
(4
) 
Other (income) and expense
Options held/written and other
  
(291
) 
Other (income) and expense
Life insurance premiums and related investment income*
 
*Futures, foreign exchange contracts and options held/written and other in the above table include losses arising from futures, foreign exchange contracts and options held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for fiscal 2018 (see Note 26 “Life Insurance Operations”).
The effect of derivative instruments on the consolidated statements of income,
pre-tax,
for fiscal 2019 is as follows.
(1) Cash flow hedges
 
Gains (losses)
recognized
in other
comprehensive
income on
derivative
(effective portion)
 
 
Gains (losses) reclassified from
other comprehensive
income (loss) into income
(effective portion)
 
Gains (losses) recognized in
income on derivative
(ineffective portion and amount
excluded from effectiveness testing)
 
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
Interest rate swap agreements
 ¥
(4,313
) 
Finance revenues/Interest expense
 ¥
157
  
—  
 ¥
0
 
Foreign exchange contracts
  
115
  
Other (income) and expense
  
(156
) 
—  
  
0
 
Foreign currency swap agreements
  
 
 
(1,816
) 
 
 
Finance revenues/Interest expense/Other (income) and expense
  
 
 
(639
) 
 
 
—  
  
 
 
0
 
(2) Fair value hedges
 
Gains (losses) recognized in income
on derivative and other
Gains (losses) recognized in income
on hedged item
 
Millions
of yen
 
 
Consolidated statements
of income location
 
Millions
of yen
 
 
Consolidated statements
of income location
Interest rate swap agreements
 ¥
(8,448
) 
Finance revenues/Interest expense
 ¥
8,448
  
Finance revenues/Interest expense
Foreign exchange contracts
  
(5,538
) 
Other (income) and expense
  
5,403
  
Other (income) and expense
(3) Hedges of net investment in foreign operations
 
Gains (losses)
recognized
in other
comprehensive
income on
derivative
and others
(effective portion)
 
 
Gains (losses) reclassified from
other comprehensive
income (loss) into income
(effective portion)
  
Gains (losses) recognized in
income on derivative and others
(ineffective portion and amount
excluded from effectiveness testing)
 
 
Millions
of yen
 
 
Consolidated statements
of income location
 
 
Millions
of yen
 
 
Consolidated statements
of income location
 
 
Millions
of yen
 
Foreign exchange contracts
 ¥
4,850
   
Gains on sales of subsidiaries and affiliates and liquidation losses, net
  ¥
(2,540
)  
—  
  ¥
0
 
Borrowings and bonds in foreign currencies
  
(5,963
)  
—  
   
0
   
—  
   
0
 
(4) Derivatives not designated as hedging instruments
 
Gains (losses) recognized in income on derivative
 
Millions
of yen
 
 
Consolidated statements of income location
Interest rate swap agreements
 ¥
832
  
Other (income) and expense
Futures
  
(912
) 
Gains on investment securities and dividends
Life insurance premiums and related investment income*
Foreign exchange contracts
  
(6,589
) 
Gains on investment securities and dividends
Life insurance premiums and related investment income*
Other (income) and expense
Credit derivatives held
  
105
  
Other (income) and expense
Options held/written and other
  
710
  
Other (income) and expense
Life insurance premiums and related investment income*
 
*Futures, foreign exchange contracts and options held/written and other in the above table include gains (losses) arising from futures, foreign exchange contracts and options held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for fiscal 2019 (see Note 26 “Life Insurance Operations”).
The effect of derivative instruments on the consolidated statements of income,
pre-tax,
for fiscal 2020 is as follows.
(1) Cash flow hedges
 
Millions of yen
 
 
Gains (losses) recognized
in other comprehensive
income on derivative
 
 
Gains (losses) reclassified from
other comprehensive income (loss)
into income
 
Interest expense
 
 
Other (income) and
expense
 
Interest rate swap agreements
 ¥
(11,506
) ¥
775
  ¥
0
 
Foreign exchange contracts
  
(241
)  
(119
)   
457
 
Foreign currency swap agreements
  
3,851
   
413
   
(4,349
)
(2) Fair value hedges
 
Millions of yen
 
 
Gains (losses) recognized in income
on derivative and other
  
Gains (losses) recognized in income
on hedged item
 
 
Life insurance premiums
and related investment income
 
 
Other (income)
and expense
 
 
Life insurance premiums
and related investment income
 
 
Other (income)
and expense
 
                 
Interest rate swap agreements
 ¥
(19,805
) ¥
0
  ¥
18,955
  ¥
0
 
Foreign exchange contracts
  
3,656
   
(187
)  
(3,294
)  
244
 
(3) Hedges of net investment in foreign operations
 
Millions of yen
 
 
Gains (losses) recognized
in other comprehensive
income on derivative
and others
 
 
Gains (losses) reclassified from
other comprehensive income (loss) into income
(Millions of yen)
 
Gains on sales of
subsidiaries and affiliates
and liquidation losses, net
 
 
Write-downs

of securities
 
 
Interest
expense
 
Foreign exchange contracts
 ¥
15,273
  ¥
1,594
  ¥
2,759
  ¥
4,595
 
Borrowings and bonds in foreign currencies
  
13,489
   
0
   
0
   
0
 
(4) Derivatives not designated as hedging instruments
 
Millions of yen
 
 
Gains (losses) recognized in income on derivative (Millions of yen)
 
 
Life insurance premiums
and related investment income*
 
 
Interest expense
 
 
Other (income)
and expense
 
Interest rate swap agreements
 ¥
0
  ¥
7
  ¥
159
 
Futures
  
1,257
   
0
   
(1,843
)
Foreign exchange contracts
  
204
   
4,803
   
(1,840
)
Credit derivatives held
  
0
   
0
   
(6
)
Options held/written and other
  
402
   
0
   
4,481
 
 
*Futures, foreign exchange contracts and options held/written and other in the above table include gains (losses) arising from futures, foreign exchange contracts and options held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for fiscal 2020 (see Note 26 “Life Insurance Operations”).
The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income,
pre-tax,
for fiscal 2020 is as follows.
Fair value hedges
 
Millions of yen
 
 
Gains (losses)
 
 
Other (income) and 
expense
 
 
Interest expense
 
 
Life insurance premiums and
related investment income
 
Foreign exchange contracts
 ¥
0
  ¥
3
  ¥
(3,020
)
Options held/written and other
  
29
   
0
   
0
 
The carrying amount of hedged assets and liabilities recognized in balance sheets in fair value hedges and the cumulative amount of fair value hedging adjustments included in the carrying amount at March 31, 2020 is as follows.
Assets as hedged items in fair value hedges
 
Liabilities as hedged items in fair value hedges
 
 
Millions of yen
  
 
 
Millions of yen
 
Consolidated balance
sheets location
 
Carrying
amount
 
 
The cumulative
amount of fair
value hedging
adjustments
included in the
carrying amount
 
 
Consolidated balance
sheets location
 
 
Carrying
amount
 
 
The cumulative
amount of fair
value hedging
adjustments
included in the
carrying amount
 
Investment in Securities*
 ¥
320,344
  ¥
24,397
   
—  
  ¥
0
  ¥
0
 
 
*Accumulated fair value hedge adjustments of ¥(1,599) million are included for hedged items for which hedge accounting has been discontinued.
Notional Amounts of Derivative Instruments and Other, Fair Values of Derivative Instruments and Other before Offsetting
Notional amounts of derivative instruments and other, fair values of derivative instruments and other before offsetting at March 31, 2019 and 2020 are as follows.
March 31, 2019
 
 
 
Derivative assets
  
Derivative liabilities
 
 
Notional amount
 
 
Fair value
 
 
Consolidated
balance sheets
location
 
 
Fair value
 
 
Consolidated
balance sheets
location
 
 
Millions
of yen
 
 
Millions
of yen
 
Millions
of yen
 
Derivatives designated as hedging instruments and other:
  
   
   
   
   
 
Interest rate swap agreements
 ¥
498,874
  ¥
11
   
Other Assets
  ¥
17,320
   
Other Liabilities
 
Futures, foreign exchange contracts
  
505,909
   
1,888
   
Other Assets
   
3,177
   
Other Liabilities
 
Foreign currency swap agreements
  
65,575
   
1,203
   
Other Assets
   
364
   
Other Liabilities
 
Foreign currency long-term debt
  
641,127
   
0
   
—  
   
0
   
—  
 
Derivatives not designated as hedging instruments:
  
   
   
   
   
 
Interest rate swap agreements
 ¥
60,657
  ¥
127
   
Other Assets
  ¥
119
   
Other Liabilities
 
Options held/written and other*
  
556,668
   
11,140
   
Other Assets
   
2,809
   
Other Liabilities
 
Futures, foreign exchange contracts*
  
320,710
   
1,119
   
Other Assets
   
2,159
   
Other Liabilities
 
Credit derivatives held
  
262
   
7
   
Other Assets
   
10
   
Other Liabilities
 
 
*The notional amounts of options held/written and other and futures, foreign exchange contracts in the above table include options held of ¥34,701 million, futures contracts of ¥37,359 million and foreign exchange contracts of ¥13,171 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2019, respectively. Derivative assets in the above table include fair value of the options held, futures contracts and foreign exchange contracts before offsetting of ¥206 million, ¥248 million and ¥30 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥258 million and ¥173 million at March 31, 2019, respectively.
December 31, 2020
 
 
 
Derivative assets
  
Derivative liabilities
 
 
Notional amount
 
 
Fair value
 
 
Consolidated
balance sheets
location
 
 
Fair value
 
 
Consolidated
balance sheets
location
 
 
Millions
of yen
 
 
Millions
of yen
 
Millions
of yen
 
Derivatives designated as hedging instruments and other:
  
   
   
   
   
 
Interest rate swap agreements
 ¥
494,893
  ¥
0
   
—  
  ¥
43,889
   
Other Liabilities
 
Options held/written and other
  
742
   
28
   
Other Assets
   
0
   
—  
 
Futures, foreign exchange contracts
  
623,172
   
7,555
   
Other Assets
   
4,365
   
Other Liabilities
 
Foreign currency swap agreements
  
68,840
   
5,079
   
Other Assets
   
137
   
Other Liabilities
 
Foreign currency long-term debt
  
612,536
   
0
   
—  
   
0
   
—  
 
Derivatives not designated as hedging instruments:
  
   
   
   
   
 
Interest rate swap agreements
 ¥
7,644
  ¥
0
   
—  
  ¥
113
   
Other Liabilities
 
Options held/written and other*
  
670,044
   
21,318
   
Other Assets
   
20,004
   
Other Liabilities
 
Futures, foreign exchange contracts*
  
372,948
   
5,710
   
Other Assets
   
5,141
   
Other Liabilities
 
 
*The notional amounts of options held/written and other and futures, foreign exchange contracts in the above table include options held of ¥16,754 million, futures contracts of ¥35,875 million and foreign exchange contracts of ¥16,656 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2020, respectively. Derivative assets in the above table include fair value of the options held, futures contracts and foreign exchange contracts before offsetting of ¥598 million, ¥165 million and ¥111 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥1,564 million and ¥178 million at March 31, 2020, respectively.