XML 162 R34.htm IDEA: XBRL DOCUMENT

Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2015

Derivative instruments and hedging activities

Concentration of exposures to credit risk in OTC derivatives

   Billions of yen

   March 31, 2014

   Gross fair value of
derivative assets    Impact of
master netting
agreements Impact of
collateral Net exposure to
credit risk

Financial institutions
   ¥ 20,355       ¥ (18,481 ) ¥ (936 ) ¥ 938

   Billions of yen

   March 31, 2015

   Gross fair value of
derivative assets    Impact of
master netting
agreements Impact of
collateral Net exposure to
credit risk

Financial institutions
   ¥ 33,930       ¥ (31,773 ) ¥ (1,713 ) ¥ 444

Volume of derivative activity in statement of financial position


		Billions of yen
		March 31, 2014
		Derivative assets								Derivative liabilities
		Notional				Fair value				Notional⁽¹⁾				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	15,761			¥	1,922			¥	14,911			¥	2,254
Interest rate contracts			1,132,306				19,459				1,098,406				19,249
Credit contracts			38,136				1,314				40,310				1,623
Foreign exchange contracts			108,595				3,312				113,915				2,938
Commodity contracts			46				0				37				0

Total		¥	1,294,844			¥	26,007			¥	1,267,579			¥	26,064

Derivatives designated as hedging instruments:
Interest rate contracts		¥	2,143			¥	62			¥	296			¥	2
Foreign exchange contracts			109				0				116				2

Total		¥	2,252			¥	62			¥	412			¥	4

Total derivatives		¥	1,297,096			¥	26,069			¥	1,267,991			¥	26,068


		Billions of yen
		March 31, 2015
		Derivative assets								Derivative liabilities
		Notional				Fair value				Notional⁽¹⁾				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	20,681			¥	1,747			¥	20,431			¥	1,983
Interest rate contracts			1,367,970				31,611				1,343,616				31,691
Credit contracts			30,055				1,111				29,689				1,118
Foreign exchange contracts			136,683				7,576				126,750				6,990
Commodity contracts			13				0				39				1

Total		¥	1,555,402			¥	42,045			¥	1,520,525			¥	41,783

Derivatives designated as hedging instruments:
Interest rate contracts		¥	1,741			¥	54			¥	199			¥	0
Foreign exchange contracts			177				1				161				2

Total		¥	1,918			¥	55			¥	360			¥	2

Total derivatives		¥	1,557,320			¥	42,100			¥	1,520,885			¥	41,785

(1)	Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.

(2)

Each derivative classification includes derivatives referencing multiple risk components. For example, interest rates contracts include complex derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default swaps as well as derivatives referencing corporate and government securities.

(3)	As of March 31, 2014 and 2015, the amounts reported include derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. These amounts have not been separately presented since such amounts were not significant.

Offsetting of derivatives instruments and related collateral amounts

   Billions of yen Billions of yen

   March 31, 2014 March 31, 2015

   Derivative
assets Derivative
liabilities⁽¹⁾ Derivative
assets Derivative
liabilities⁽¹⁾

Equity contracts


OTC settled bilaterally
   ¥ 1,162    ¥ 1,418    ¥ 1,191    ¥ 1,349

OTC centrally-cleared
   —      —      —      —

Exchange-traded
   760    836    556    634

Interest rate contracts


OTC settled bilaterally
   10,485    10,281    12,421    12,580

OTC centrally-cleared
   9,025    8,961    19,226    19,102

Exchange-traded
   11    9    18    9

Credit contracts


OTC settled bilaterally
   1,180    1,491    1,003    1,023

OTC centrally-cleared
   130    128    103    93

Exchange-traded
   4    4    5    2

Foreign exchange contracts


OTC settled bilaterally
   3,296    2,923    7,562    6,977

OTC centrally-cleared
   12    13    10    10

Exchange-traded
   4    4    5    5

Commodity contracts


OTC settled bilaterally
   0    0    0    0

OTC centrally-cleared
   —      —      —      —

Exchange-traded
   0    0    0    1



Total gross derivative balances⁽²⁾
   ¥ 26,069    ¥ 26,068    ¥ 42,100    ¥ 41,785

Less: Amounts offset in the consolidated balance sheets⁽³⁾
   (23,764 ) (24,030 ) (40,514 ) (40,460 )



Total net amounts reported on the face of the consolidated balance sheets⁽⁴⁾
   ¥ 2,305    ¥ 2,038    ¥ 1,586    ¥ 1,325

Less: Additional amounts not offset in the consolidated balance sheets⁽⁵⁾


Financial instruments and non-cash collateral
   ¥ (168 ) ¥ (44 ) ¥ (252 ) ¥ (53 )

Cash collateral
   (0 ) (0 ) —      (4 )



Net amount
   ¥ 2,137    ¥ 1,994    ¥ 1,334    ¥ 1,268

(1)	Includes the amount of embedded derivatives bifurcated in accordance with ASC 815.

(2)

Includes all gross derivative asset and liability balances irrespective of whether they are transacted under a master netting agreement or whether Nomura has obtained sufficient evidence of enforceability of the master netting agreement. As of March 31, 2014, the gross balance of derivative assets and derivative liabilities which are not documented under master netting agreements or are documented under master netting agreements for which Nomura has not yet obtained sufficient evidence of enforceability was ¥744 billion and ¥808 billion, respectively. As of March 31, 2015, the gross balance of such derivative assets and derivative liabilities was ¥298 billion and ¥447 billion, respectively.

(3)

Represents amounts offset through counterparty netting of derivative assets and liabilities as well as cash collateral netting against net derivatives under master netting and similar agreements for which Nomura has obtained sufficient evidence of enforceability in accordance with ASC 815. As of March 31, 2014, Nomura offset a total of ¥1,283 billion of cash collateral receivables against net derivative liabilities and ¥1,017 billion of cash collateral payables against net derivative assets. As of March 31, 2015, Nomura offset a total of ¥1,830 billion of cash collateral receivables against net derivative liabilities and ¥1,884 billion of cash collateral payables against net derivative assets.

(4)

Net derivative assets and net derivative liabilities are generally reported within Trading assets and private equity investments—Trading assets and Trading liabilities, respectively in the consolidated balance sheet. Bifurcated embedded derivatives are reported within Short-term borrowings or Long-term borrowings depending on the maturity of the underlying host contract.

(5)

Represents amounts which are not permitted to be offset on the face of the consolidated balance sheets in accordance with ASC 210-20 and ASC 815 but which provide Nomura with a legally enforceable right of offset in the event of counterparty default. Amounts relating to derivative and collateral agreements where Nomura has not yet obtained sufficient evidence of enforceability of such offsetting rights are excluded. As of March 31, 2014, a total of ¥203 billion of cash collateral receivables and ¥643 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives. As of March 31, 2015, a total of ¥223 billion of cash collateral receivables and ¥757 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives.

Derivative amounts included in consolidated statements of income


		Billions of yen
		Year ended March 31
		2013				2014				2015
Derivatives used for trading and non-trading purposes⁽¹⁾⁽²⁾:
Equity contracts		¥	(69	)		¥	(91	)		¥	(9	)
Interest rate contracts			65				102				(105	)
Credit contracts			(18	)			(123	)			11
Foreign exchange contracts			(329	)			(30	)			(17	)
Commodity contracts			(0	)			1				(2	)

Total		¥	(351	)		¥	(141	)		¥	(122	)

(1)

Each derivative classification includes derivatives referencing multiple risk components. For example, interest rates contracts include complex derivatives referencing interest rate risk as well as foreign exchange risk or other factors such as prepayment rates. Credit contracts include credit default swaps as well as derivatives referencing corporate and government securities.

(2)

Includes net gains (losses) on derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. For the years ended March 31, 2013, 2014 and 2015, these amounts have not been separately presented as net gains (losses) for these non-trading derivatives were not significant.

Fair value hedges


		Billions of yen
		Year ended March 31
		2013				2014				2015
Derivatives designated as hedging instruments:
Interest rate contracts		¥	33			¥	2			¥	29
Foreign exchange contracts			—				—				(1	)

Total		¥	33			¥	2			¥	28

Hedged items:
Long-term borrowings		¥	(33	)		¥	(2	)		¥	(29	)
Non-trading debt securities			—				—				1

Total		¥	(33	)		¥	(2	)		¥	(28	)

Net investment hedges


		Billions of yen
		Year ended March 31
		2013				2014				2015
Hedging instruments:
Foreign exchange contracts		¥	(14	)		¥	(12	)		¥	7
Long-term borrowings			(15	)			—				—

Total		¥	(29	)		¥	(12	)		¥	7

(1)

The portion of gains (losses) representing the amount of hedge ineffectiveness and the amount excluded from the assessment of hedge effectiveness are recognized within Revenue—Other in the consolidated statements of income. The amount of gains (losses) was not significant during the years ended March 31, 2013, 2014 and 2015.

Written credit derivatives and purchased credit protection

   Billions of yen

   March 31, 2014

   Maximum potential payout/Notional    Notional

      Years to maturity    Purchased
credit
protection

   Carrying value
(Asset) / Liability⁽¹⁾ Total    Less than
1 year    1 to 3
years    3 to 5
years    More than
5 years

Single-name credit default swaps
   ¥ (235 ) ¥ 21,070       ¥ 4,167       ¥ 8,306       ¥ 6,610       ¥ 1,987       ¥ 18,689

Credit default indices
   (32 ) 9,082       1,215       3,552       3,582       733       7,704

Other credit risk related portfolio products
   123    1,574       523       398       201       452       1,097

Credit risk related options and swaptions
   (1 ) 676       —         —         504       172       548













Total
   ¥ (145 ) ¥ 32,402       ¥ 5,905       ¥ 12,256       ¥ 10,897       ¥ 3,344       ¥ 28,038


		Billions of yen
		March 31, 2015
						Maximum potential payout/Notional																				Notional
										Years to maturity																Purchased credit protection
		Carrying value (Asset) / Liability⁽¹⁾				Total				Less than 1 year				1 to 3 years				3 to 5 years				More than 5 years				Purchased credit protection
Single-name credit default swaps		¥	(21	)		¥	18,808			¥	4,146			¥	7,396			¥	5,657			¥	1,609			¥	16,519
Credit default indices			(22	)			6,044				919				1,926				2,462				737				5,240
Other credit risk related portfolio products			(8	)			673				324				217				117				15				293
Credit risk related options and swaptions			0				300				—				—				255				45				255

Total		¥	(51	)		¥	25,825			¥	5,389			¥	9,539			¥	8,491			¥	2,406			¥	22,307

(1)	Carrying value amounts are shown on a gross basis prior to cash collateral or counterparty netting. Asset balances represent positive fair value amounts caused by tightening of credit spreads of underlyings since inception of the credit derivative contracts.

Written credit derivatives by external credit rating of underlying asset


		Billions of yen
		March 31, 2014
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	2,125			¥	1,331			¥	5,232			¥	7,362			¥	3,231			¥	1,789			¥	21,070
Credit default indices			86				23				4,445				2,884				1,341				303				9,082
Other credit risk related portfolio products			22				—				1				—				4				1,547				1,574
Credit risk related options and swaptions			—				—				387				195				94				—				676

Total		¥	2,233			¥	1,354			¥	10,065			¥	10,441			¥	4,670			¥	3,639			¥	32,402


		Billions of yen
		March 31, 2015
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	1,768			¥	1,418			¥	4,766			¥	6,722			¥	2,526			¥	1,608			¥	18,808
Credit default indices			85				14				3,936				1,306				376				327				6,044
Other credit risk related portfolio products			38				—				1				4				1				629				673
Credit risk related options and swaptions			—				—				277				—				—				23				300

Total		¥	1,891			¥	1,432			¥	8,980			¥	8,032			¥	2,903			¥	2,587			¥	25,825

(1)	“Other” includes credit derivatives where the credit rating of the underlying reference asset is below investment grade or where a rating is unavailable.

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