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Derivative Financial Instruments and Hedging (Tables)

6 Months Ended

Sep. 30, 2024

Derivative Instruments, Gain (Loss) [Line Items]

Schedule of Effect of Components Excluded From the Assessment of Hedge Effectiveness on the Consolidated Statements of Income

The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income,

pre-tax,

for the six months ended September 30, 2023 is as follows.

Fair value hedges


	Millions of yen
	Gains (losses) recognized in income
	Life insurance premiums and related investment income			Interest expense		Other (income) and expense
Foreign exchange contracts	¥	(10,635	)	¥	17	¥	0
Options held/written and other		0			0		25

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 (excluding the effect of changes in foreign exchange rates) at March 31, 2024 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	¥	489,908	¥	(1,088	)	—	¥	0	¥	0
Installment Loans		15,882	¥	0		—		0		0

The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income,

pre-tax,

for the six months ended September 30, 2024 is as follows.

Fair value hedges


	Millions of yen
	Gains (losses) recognized in income
	Life insurance premiums and related investment income		Interest expense		Other (income) and expense
Foreign exchange contracts	¥	14,454	¥	12	¥	0
Options held/written and other		0		0		28


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	¥	439,638	¥	(9	)	—	¥	0	¥	0
Installment Loans		21,876		0		—		0		0

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, 2024 and September 30, 2024 are as follows.

March 31, 2024


			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	¥	518,990	¥	18,889	Other Assets	¥	3,722	Other Liabilities

Options held/written and other		44,774		40	Other Assets		1,039	Other Liabilities

Futures, foreign exchange contracts		958,260		2,841	Other Assets		63,703	Other Liabilities

Foreign currency swap agreements		113,962		470	Other Assets		6,563	Other Liabilities

Foreign currency long-term debt		849,630		0	—		0	—

Derivatives not designated as hedging instruments:

Interest rate swap agreements	¥	1,930	¥	106	—	¥	6	Other Liabilities

Options held/written and other		468,422		15,309	Other Assets		13,355	Other Liabilities

Futures, foreign exchange contracts *		646,085		35,331	Other Assets		7,294	Other Liabilities

Credit derivatives held/written		1,000		0	Other Assets		4	Other Liabilities

The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥4,863 million and foreign exchange contracts of ¥524 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2024, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥0 million and ¥9 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥170 million and ¥94 million at March 31, 2024, respectively.

September 30, 2024


			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	¥	725,184	¥	14,055	Other Assets	¥	3,493	Other Liabilities

Options held/written and other		65,230		288	Other Assets		3,309	Other Liabilities

Futures, foreign exchange contracts		786,650		23,145	Other Assets		20,611	Other Liabilities

Foreign currency swap agreements		113,278		2,210	Other Assets		1,407	Other Liabilities

Foreign currency long-term debt		141,762		0	—		0	—

Derivatives not designated as hedging instruments:

Interest rate swap agreements	¥	1,654	¥	129	Other Assets	¥	3	Other Liabilities

Options held/written and other		597,370		13,313	Other Assets		11,042	Other Liabilities

Futures, foreign exchange contracts *		1,554,510		9,935	Other Assets		45,821	Other Liabilities

Credit derivatives written		1,000		0	—		4	Other Liabilities

The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥5,542 million and foreign exchange contracts of ¥1,085 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at September 30, 2024, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥1 million and ¥109 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥209 million and ¥24 million at September 30, 2024, respectively.

Credit Derivatives

The Company and its subsidiaries have contracted credit derivatives for the purpose of trading. Details of credit derivatives written as of March 31, 2024 and September 30, 2024 are as follows.

March 31, 2024

Types of derivatives

The events or circumstances

that would require the seller

to perform under the credit

derivative

Maximum potential
amount of future
payment under the
credit derivative

Approximate
remaining term
of the credit
derivative

Fair value of
the credit
derivative

Millions of yen

Credit default swap

In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company *

1,000

Less than

four years

)

*	Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of March 31, 2024.

September 30, 2024

Types of derivatives

The events or circumstances

that would require the seller

to perform under the credit

derivative

Maximum potential
amount of future
payment under the
credit derivative

Approximate
remaining term
of the credit
derivative

Fair value of
the credit
derivative

Millions of yen

Credit default swap

In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company *

1,000

Less than

three years

)

*	Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of September 30, 2024.

Cash flow hedges

Derivative Instruments, Gain (Loss) [Line Items]

Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax

(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	¥	4,011		¥	30	¥	0
Foreign exchange contracts		170			0		0
Foreign currency swap agreements		5,352			1,001		(6,535	)
Options held/written and other		(838	)		0		0

(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
				Life insurance premiums and related investment income		Interest expense			Other (income) and expense
Interest rate swap agreements	¥	(7,712	)	¥	0	¥	(68	)	¥	0
Foreign exchange contracts		(803	)		0		0			0
Foreign currency swap agreements		(4,906	)		0		1,584			4,710
Options held/written and other		(2,193	)		4		0			0

Fair value hedges

Derivative Instruments, Gain (Loss) [Line Items]

Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax

(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	¥	371		¥	0		¥	(227	)	¥	11
Foreign exchange contracts		(55,247	)		(101	)		55,301			48

(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	¥	138		¥	40	¥	(92	)	¥	(13	)
Foreign exchange contracts		(22,854	)		142		22,944			(237	)

Hedges of net investment in foreign operations

Derivative Instruments, Gain (Loss) [Line Items]

Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax

(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
				Gains on sales of subsidiaries and equity method investments and liquidation losses, net			Interest expense
Foreign exchange contracts	¥	(30,436	)	¥	(69	)	¥	7,567
Borrowings and bonds in foreign currencies		(84,367	)		0			0

(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
				Gains on sales of subsidiaries and equity method investments and liquidation losses, net			Interest expense
Foreign exchange contracts	¥	920		¥	(790	)	¥	7,635
Borrowings and bonds in foreign currencies		(12,854	)		0			0

Derivatives not designated as hedging instruments

Derivative Instruments, Gain (Loss) [Line Items]

Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax

(4) Derivatives not designated as hedging instruments


	Millions of yen
	Gains (losses) recognized in income on derivative
	Life insurance premiums and related investment income*			Interest expense		Other (income) and expense
Interest rate swap agreements	¥	0		¥	2	¥	(8	)
Futures		(1,557	)		0		(685	)
Foreign exchange contracts		30,067			1,513		5,077
Credit derivatives held/written		0			0		8
Options held/written and other		0			0		(878	)

Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the six months ended September 30, 2023 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).

(4) Derivatives not designated as hedging instruments


	Millions of yen
	Gains (losses) recognized in income on derivative
	Life insurance premiums and related investment income*			Interest expense			Other (income) and expense
Interest rate swap agreements	¥	0		¥	0		¥	8
Futures		(141	)		0			1,259
Foreign exchange contracts		6,698			(10,630	)		44,741
Credit derivatives held/written		0			0			0
Options held/written and other		0			0			(522	)

Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the six months ended September 30, 2024 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details