Derivative instruments and hedging activities (Tables)

6 Months Ended

Sep. 30, 2015

Derivative instruments and hedging activities

Concentration of exposures to credit risk in OTC derivatives

	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
	Billions of yen
	September 30, 2015
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	31,660	¥	(29,607	)	¥	(1,516	)	¥	537

Volume of derivative activity in statement of financial position

	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

	Billions of yen
	September 30, 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	¥	21,162	¥	1,524	¥	26,071	¥	1,753
Interest rate contracts		1,220,627		24,620		1,263,443		24,440
Credit contracts		27,958		865		27,079		1,013
Foreign exchange contracts		186,392		7,138		185,357		6,801
Commodity contracts		3,637		1		6,837		0
Total	¥	1,459,776	¥	34,148	¥	1,508,787	¥	34,007
Derivatives designated as hedging instruments:
Interest rate contracts	¥	1,802	¥	55	¥	144	¥	0
Foreign exchange contracts		160		4		235		2
Total	¥	1,962	¥	59	¥	379	¥	2
Total derivatives	¥	1,461,738	¥	34,207	¥	1,509,166	¥	34,009

(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 rate 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, 2015 and September 30, 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, 2015						September 30, 2015
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	1,191		¥	1,349		¥	989		¥	1,189
OTC centrally-cleared		—			—			—			—
Exchange-traded		556			634			535			564
Interest rate contracts
OTC settled bilaterally		12,421			12,580			10,474			10,375
OTC centrally-cleared		19,226			19,102			14,186			14,057
Exchange-traded		18			9			15			8
Credit contracts
OTC settled bilaterally		1,003			1,023			755			912
OTC centrally-cleared		103			93			107			99
Exchange-traded		5			2			3			2
Foreign exchange contracts
OTC settled bilaterally		7,562			6,977			7,121			6,785
OTC centrally-cleared		10			10			21			18
Exchange-traded		5			5			0			0
Commodity contracts
OTC settled bilaterally		0			0			1			0
OTC centrally-cleared		—			—			—			—
Exchange-traded		0			1			0			0
Total gross derivative balances(2)	¥	42,100		¥	41,785		¥	34,207		¥	34,009
Less: Amounts offset in the consolidated balance sheets(3)		(40,514	)		(40,460	)		(32,748	)		(32,747	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,586		¥	1,325		¥	1,459		¥	1,262
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral		(252	)		(53	)		(274	)		(35	)
Cash collateral		—			(4	)		—			(2	)
Net amount	¥	1,334		¥	1,268		¥	1,185		¥	1,225

(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, 2015, 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 ¥298 billion and ¥447 billion, respectively. As of September 30, 2015, the gross balance of such derivative assets and derivative liabilities was ¥303 billion and ¥501 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, 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. As of September 30, 2015, Nomura offset a total of ¥1,701 billion of cash collateral receivables against net derivative liabilities and ¥1,702 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, 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. As of September 30, 2015, a total of ¥367 billion of cash collateral receivables and ¥630 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
	Six months ended September 30
	2014			2015
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	(160	)	¥	25
Interest rate contracts		(58	)		(79	)
Credit contracts		(9	)		(1	)
Foreign exchange contracts		(57	)		(12	)
Commodity contracts		0			(19	)
Total	¥	(284	)	¥	(86	)
	Billions of yen
	Three months ended September 30
	2014			2015
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	(129	)	¥	80
Interest rate contracts		14			(125	)
Credit contracts		10			(15	)
Foreign exchange contracts		(66	)		(22	)
Commodity contracts		0			(29	)
Total	¥	(171	)	¥	(111	)

(1) Each derivative classification includes derivatives referencing multiple risk components. For example, interest rate 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 six and three months ended September 30, 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
	Six months ended September 30
	2014			2015
Derivatives designated as hedging instruments:
Interest rate contracts	¥	13		¥	10
Foreign exchange contracts		—			2
Total	¥	13		¥	12
Hedged items:
Long-term borrowings	¥	(13	)	¥	(10	)
Non-trading debt securities		—			(2	)
Total	¥	(13	)	¥	(12	)
	Billions of yen
	Three months ended September 30
	2014			2015
Derivatives designated as hedging instruments:
Interest rate contracts	¥	3		¥	11
Foreign exchange contracts		—			3
Total	¥	3		¥	14
Hedged items:
Long-term borrowings	¥	(3	)	¥	(11	)
Non-trading debt securities		—			(3	)
Total	¥	(3	)	¥	(14	)

Net investment hedges

	Billions of yen
	Six months ended September 30
	2014		2015
Hedging instruments:
Foreign exchange contracts	¥	1	¥	5
Total	¥	1	¥	5
	Billions of yen
	Three months ended September 30
	2014		2015
Hedging instruments:
Foreign exchange contracts	¥	6	¥	11
Total	¥	6	¥	11

(1) The portion of the 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 six months ended September 30, 2014 and 2015. The amount of gains (losses) was not significant during the three months ended September 30, 2014 and 2015.

Written credit derivatives and purchased credit protection

	Billions of yen
	March 31, 2015
				Maximum potential payout/Notional										Notional
	Carrying value (Asset) / Liability(1)			Total		Years to maturity								Purchased credit protection
						Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years
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
	Billions of yen
	September 30, 2015
				Maximum potential payout/Notional										Notional
	Carrying value (Asset) / Liability(1)			Total		Years to maturity								Purchased credit protection
						Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years
Single-name credit default swaps	¥	209		¥	17,746	¥	4,019	¥	6,254	¥	5,679	¥	1,794	¥	14,539
Credit default indices		82			6,224		1,019		1,681		2,671		853		4,677
Other credit risk related portfolio products		8			527		182		304		24		17		208
Credit risk related options and swaptions		2			95		—		—		95		—		59
Total	¥	301		¥	24,592	¥	5,220	¥	8,239	¥	8,469	¥	2,664	¥	19,483

(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, 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
	Billions of yen
	September 30, 2015
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	1,472	¥	1,391	¥	4,774	¥	6,205	¥	2,561	¥	1,343	¥	17,746
Credit default indices		77		16		4,221		1,227		370		313		6,224
Other credit risk related portfolio products		38		—		1		4		1		483		527
Credit risk related options and swaptions		—		—		20		—		75		—		95
Total	¥	1,587	¥	1,407	¥	9,016	¥	7,436	¥	3,007	¥	2,139	¥	24,592

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