XML 49 R34.htm IDEA: XBRL DOCUMENT

Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2017

Derivative instruments and hedging activities

Concentration of exposures to credit risk in OTC derivatives


		Billions of yen
		March 31, 2016
		Gross fair value of derivative assets				Impact of master netting agreements				Impact of collateral				Net exposure to credit risk
Financial institutions		¥	35,166			¥	(33,104	)		¥	(1,560	)		¥	502


		Billions of yen
		March 31, 2017
		Gross fair value of derivative assets				Impact of master netting agreements				Impact of collateral				Net exposure to credit risk
Financial institutions		¥	21,829			¥	(19,905	)		¥	(1,590	)		¥	334

Volume of derivative activity in statement of financial position


						Billions of yen
						March 31, 2016
						Derivative assets				Derivative liabilities
		Total Notional⁽¹⁾				Fair value				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	34,479			¥	1,285			¥	1,541
Interest rate contracts			2,256,401				28,765				28,494
Credit contracts			47,262				679				806
Foreign exchange contracts			343,565				6,900				6,650
Commodity contracts			10,421				1				8

Total		¥	2,692,128			¥	37,630			¥	37,499

Derivatives designated as hedging instruments:
Interest rate contracts		¥	1,506			¥	60			¥	—
Foreign exchange contracts			393				7				4

Total		¥	1,899			¥	67			¥	4

Total derivatives		¥	2,694,027			¥	37,697			¥	37,503


						Billions of yen
						March 31, 2017
						Derivative assets				Derivative liabilities
		Total Notional⁽¹⁾				Fair value				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	35,732			¥	1,032			¥	1,250
Interest rate contracts			2,656,681				15,355				15,193
Credit contracts			38,735				497				641
Foreign exchange contracts			369,421				6,437				6,093
Commodity contracts			2,229				1				4

Total		¥	3,102,798			¥	23,322			¥	23,181

Derivatives designated as hedging instruments:
Interest rate contracts		¥	1,338			¥	36			¥	—
Foreign exchange contracts			417				1				3

Total		¥	1,755			¥	37			¥	3

Total derivatives		¥	3,104,553			¥	23,359			¥	23,184

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

(2)

Each derivative classification includes derivatives with multiple risk underlyings. 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, 2016 and 2017, 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, 2016								March 31, 2017⁽⁶⁾
		Derivative assets				Derivative liabilities⁽¹⁾				Derivative assets				Derivative liabilities⁽¹⁾
Equity contracts
OTC settled bilaterally		¥	945			¥	1,126			¥	808			¥	916
Exchange-traded			340				415				224				334
Interest rate contracts
OTC settled bilaterally			11,372				11,102				7,777				7,381
OTC centrally-cleared			17,442				17,387				7,603				7,807
Exchange-traded			11				5				11				5
Credit contracts
OTC settled bilaterally			577				709				376				512
OTC centrally-cleared			101				96				120				128
Exchange-traded			1				1				1				1
Foreign exchange contracts
OTC settled bilaterally			6,888				6,639				6,354				5,992
OTC centrally-cleared			19				15				84				104
Exchange-traded			—				—				—				—
Commodity contracts
OTC settled bilaterally			—				6				—				3
Exchange-traded			1				2				1				1

Total gross derivative balances⁽²⁾		¥	37,697			¥	37,503			¥	23,359			¥	23,184
Less: Amounts offset in the consolidated balance sheets⁽³⁾			(36,325	)			(36,456	)			(22,322	)			(22,270	)

Total net amounts reported on the face of the consolidated balance sheets⁽⁴⁾		¥	1,372			¥	1,047			¥	1,037			¥	914
Less: Additional amounts not offset in the consolidated balance sheets⁽⁵⁾
Financial instruments and non-cash collateral		¥	(457	)		¥	(59	)		¥	(187	)		¥	(110	)
Cash collateral			—				(7	)			—				—

Net amount		¥	915			¥	981			¥	850			¥	804

(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, 2016, 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 ¥203 billion and ¥326 billion, respectively. As of March 31, 2017, the gross balance of such derivative assets and derivative liabilities was ¥136 billion and ¥267 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, 2016, Nomura offset a total of ¥1,885 billion of cash collateral receivables against net derivative liabilities and ¥1,754 billion of cash collateral payables against net derivative assets. As of March 31, 2017, Nomura offset a total of ¥1,642 billion of cash collateral receivables against net derivative liabilities and ¥1,694 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, 2016, a total of ¥298 billion of cash collateral receivables and ¥466 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives. As of March 31, 2017, a total of ¥197 billion of cash collateral receivables and ¥484 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives.

(6)

During the year ended March 31, 2017, the rules of a specific central clearing house were amended such that daily variation margin payments and receipts against specific types of derivative now legally represent partial settlement of the derivative rather than margin. These payments and receipts are accounted for as partial settlement of the derivative rather than cash collateral. While there was no impact on the amounts reported in the consolidated balance sheet as of March 31, 2017, lower gross derivative balances and equivalent lower amounts offset in the consolidated balance sheets are included in the above table at such date as a result of this change.

Derivative amounts included in consolidated statements of income


		Billions of yen
		Year ended March 31
		2015				2016				2017
Derivatives used for trading and non-trading purposes⁽¹⁾⁽²⁾:
Equity contracts		¥	(9	)		¥	372			¥	65
Interest rate contracts			(105	)			(142	)			180
Credit contracts			11				92				(45	)
Foreign exchange contracts			(17	)			134				(284	)
Commodity contracts			(2	)			(73	)			36

Total		¥	(122	)		¥	383			¥	(48	)

(1)

Each derivative classification includes derivatives with multiple risk underlyings. 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, 2015, 2016 and 2017, 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
		2015				2016				2017
Derivatives designated as hedging instruments:
Interest rate contracts		¥	29			¥	26			¥	(8	)
Foreign exchange contracts			(1	)			8				2

Total		¥	28			¥	34			¥	(6	)

Hedged items:
Long-term borrowings		¥	(29	)		¥	(26	)		¥	8
Non-trading debt securities			1				(8	)			(2	)

Total		¥	(28	)		¥	(34	)		¥	6

Net investment hedges


		Billions of yen
		Year ended March 31
		2015				2016				2017
Hedging instruments:
Foreign exchange contracts		¥	7			¥	7			¥	6

Total		¥	7			¥	7			¥	6

(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, 2015, 2016 and 2017.

Written credit derivatives and purchased credit protection



		Billions of yen
		March 31, 2016
						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		¥	131			¥	15,609			¥	3,658			¥	5,292			¥	5,252			¥	1,407			¥	12,796
Credit default indices			52				5,797				918				1,623				2,505				751				4,295
Other credit risk related portfolio products			12				355				71				248				24				12				209
Credit risk related options and swaptions			0				67				—				—				67				—				67

Total		¥	195			¥	21,828			¥	4,647			¥	7,163			¥	7,848			¥	2,170			¥	17,367


		Billions of yen
		March 31, 2017
						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		¥	(17	)		¥	12,029			¥	2,908			¥	4,497			¥	3,414			¥	1,210			¥	9,536
Credit default indices			(26	)			5,130				697				1,558				2,188				687				3,265
Other credit risk related portfolio products			5				445				166				253				19				7				312
Credit risk related options and swaptions			—				—				—				—				—				—				—

Total		¥	(38	)		¥	17,604			¥	3,771			¥	6,308			¥	5,621			¥	1,904			¥	13,113

(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, 2016
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	1,230			¥	1,305			¥	4,407			¥	5,428			¥	2,243			¥	996			¥	15,609
Credit default indices			178				15				4,249				939				224				192				5,797
Other credit risk related portfolio products			19				—				1				3				1				331				355
Credit risk related options and swaptions			—				—				—				67				—				—				67

Total		¥	1,427			¥	1,320			¥	8,657			¥	6,437			¥	2,468			¥	1,519			¥	21,828


		Billions of yen
		March 31, 2017
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	843			¥	1,186			¥	3,658			¥	4,211			¥	1,486			¥	645			¥	12,029
Credit default indices			171				27				3,284				1,017				474				157				5,130
Other credit risk related portfolio products			19				—				1				3				119				303				445
Credit risk related options and swaptions			—				—				—				—				—				—				—

Total		¥	1,033			¥	1,213			¥	6,943			¥	5,231			¥	2,079			¥	1,105			¥	17,604

(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