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Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2019

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives


		Billions of yen
		March 31, 2018
		Gross fair value of derivative assets				Impact of master netting agreements				Impact of collateral				Net exposure to credit risk
Financial institutions		¥	13,472			¥	(11,467	)		¥	(1,653	)		¥	352


		Billions of yen
		March 31, 2019
		Gross fair value of derivative assets				Impact of master netting agreements				Impact of collateral				Net exposure to credit risk
Financial institutions		¥	13,332			¥	(11,602	)		¥	(1,507	)		¥	223

Volume of derivative activity in statement of financial position


						Billions of yen
						March 31, 2018⁽⁴⁾
						Derivative assets				Derivative liabilities
		Total Notional⁽¹⁾				Fair value				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	39,203			¥	1,011			¥	1,118
Interest rate contracts			2,940,234				8,072				7,550
Credit contracts			31,624				515				425
Foreign exchange contracts			362,658				5,494				5,087
Commodity contracts			60,883				1				1

Total		¥	3,434,602			¥	15,093			¥	14,181

Derivatives designated as hedging instruments:
Interest rate contracts		¥	1,184			¥	24			¥	1
Foreign exchange contracts			93				1				—

Total		¥	1,277			¥	25			¥	1

Total derivatives		¥	3,435,879			¥	15,118			¥	14,182


						Billions of yen
						March 31, 2019
						Derivative assets				Derivative liabilities
		Total Notional⁽¹⁾				Fair value				Fair value⁽¹⁾
Derivatives used for trading and non-trading purposes⁽²⁾⁽³⁾:
Equity contracts		¥	45,721			¥	851			¥	920
Interest rate contracts			2,243,179				8,612				8,290
Credit contracts			35,343				533				464
Foreign exchange contracts			310,677				4,912				4,842
Commodity contracts			241				1				1

Total		¥	2,635,161			¥	14,909			¥	14,517

Derivatives designated as hedging instruments:
Interest rate contracts		¥	1,002			¥	20			¥	—
Foreign exchange contracts			146				0				—

Total		¥	1,148			¥	20			¥	—

Total derivatives		¥	2,636,309			¥	14,929			¥	14,517

(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, 2018 and 2019, 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.

(4)	Due to the changes in our accounting policy which Nomura adopted on April 1, 2018, certain reclassifications of previously reported amounts have been made to conform to the current year presentation. Please refer to Note 1. “Summary of accounting policies” for further details.

Offsetting of derivatives instruments and related collateral amounts


		Billions of yen								Billions of yen
		March 31, 2018⁽⁶⁾								March 31, 2019
		Derivative assets				Derivative liabilities⁽¹⁾				Derivative assets				Derivative liabilities⁽¹⁾
Equity contracts
OTC settled bilaterally		¥	748			¥	769			¥	636			¥	611
Exchange-traded			263				349				215				309
Interest rate contracts
OTC settled bilaterally			6,938				6,522				7,295				6,946
OTC centrally-cleared			1,142				1,020				1,327				1,341
Exchange-traded			16				9				10				3
Credit contracts
OTC settled bilaterally			390				300				355				283
OTC centrally-cleared			125				125				176				178
Exchange-traded			—				—				2				3
Foreign exchange contracts
OTC settled bilaterally			5,495				5,087				4,912				4,842
OTC centrally-cleared			—				—				—				—
Commodity contracts
OTC settled bilaterally			—				—				—				—
Exchange-traded			1				1				1				1

Total gross derivative balances⁽²⁾		¥	15,118			¥	14,182			¥	14,929			¥	14,517
Less: Amounts offset in the consolidated balance sheets⁽³⁾			(14,094	)			(13,457	)			(14,077	)			(13,710	)

Total net amounts reported on the face of the consolidated balance sheets⁽⁴⁾		¥	1,024			¥	725			¥	852			¥	807


Less: Additional amounts not offset in the consolidated balance sheets⁽⁵⁾
Financial instruments and non-cash collateral		¥	(228	)		¥	(72	)		¥	(115	)		¥	(86	)

Net amount		¥	796			¥	653			¥	737			¥	721

(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, 2018, 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 ¥150 billion and ¥276 billion, respectively. As of March 31, 2019, the gross balance of such derivative assets and derivative liabilities was ¥277 billion and ¥374 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, 2018, Nomura offset a total of ¥1,201 billion of cash collateral receivables against net derivative liabilities and ¥1,838 billion of cash collateral payables against net derivative assets. As of March 31, 2019, Nomura offset a total of ¥1,259 billion of cash collateral receivables against net derivative liabilities and ¥1,626 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, 2018, a total of ¥167 billion of cash collateral receivables and ¥391 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives. As of March 31, 2019, a total of ¥140 billion of cash collateral receivables and ¥407 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, 2018, 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. In addition, due to the changes in our accounting policy which Nomura adopted on April 1, 2018, certain reclassifications of previously reported amounts have been made to conform to the current year presentation. Please refer to Note 1. “Summary of accounting policies” for further details.

Derivative amounts included in consolidated statements of income


		Billions of yen
		Year ended March 31
		2017				2018				2019
Derivatives used for trading and non-trading purposes⁽¹⁾⁽²⁾:
Equity contracts		¥	65			¥	106			¥	(32	)
Interest rate contracts			180				(257	)			104
Credit contracts			(45	)			129				(19	)
Foreign exchange contracts			(284	)			49				(50	)
Commodity contracts			36				22				10

Total		¥	(48	)		¥	49			¥	13

(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, 2017, 2018 and 2019, 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
		2017				2018				2019
Derivatives designated as hedging instruments:
Interest rate contracts		¥	(8	)		¥	(1	)		¥	6
Foreign exchange contracts			2				9				—

Total		¥	(6	)		¥	8			¥	6

Hedged items:
Long-term borrowings		¥	8			¥	1			¥	(6	)
Non-trading debt securities			(2	)			(9	)			—

Total		¥	6			¥	(8	)		¥	(6	)

Net investment hedges


		Billions of yen
		Year ended March 31
		2017				2018				2019
Hedging instruments:
Foreign exchange contracts		¥	6			¥	(11	)		¥	7

Total		¥	6			¥	(11	)		¥	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, 2017, 2018 and 2019.

(2)	¥1 billion of gain on net investment hedges, which have been deferred in the preceding years, was recognized during the year ended March 31, 2018.

Written credit derivatives and purchased credit protection


		Billions of yen
		March 31, 2018
						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		¥	(123	)		¥	9,271			¥	2,106			¥	3,780			¥	2,262			¥	1,123			¥	6,975
Credit default indices			(72	)			4,842				864				1,300				2,045				633				3,052
Other credit risk related portfolio products			3				306				230				52				17				7				200

Total		¥	(192	)		¥	14,419			¥	3,200			¥	5,132			¥	4,324			¥	1,763			¥	10,227


		Billions of yen
		March 31, 2019
						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		¥	(47	)		¥	9,206			¥	2,346			¥	3,402			¥	2,469			¥	989			¥	6,555
Credit default indices			(117	)			5,735				612				1,644				2,849				630				4,330
Other credit risk related portfolio products			14				231				31				82				115				3				165

Total		¥	(150	)		¥	15,172			¥	2,989			¥	5,128			¥	5,433			¥	1,622			¥	11,050

(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, 2018
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	466			¥	928			¥	2,763			¥	3,476			¥	1,369			¥	269			¥	9,271
Credit default indices			135				44				1,779				1,949				736				199				4,842
Other credit risk related portfolio products			16				—				4				68				118				100				306

Total		¥	617			¥	972			¥	4,546			¥	5,493			¥	2,223			¥	568			¥	14,419


		Billions of yen
		March 31, 2019
		Maximum potential payout/Notional
		AAA				AA				A				BBB				BB				Other⁽¹⁾				Total
Single-name credit default swaps		¥	520			¥	915			¥	2,537			¥	3,411			¥	1,439			¥	384			¥	9,206
Credit default indices			35				72				1,582				2,663				1,068				315				5,735
Other credit risk related portfolio products			—				—				1				139				25				66				231

Total		¥	555			¥	987			¥	4,120			¥	6,213			¥	2,532			¥	765			¥	15,172

(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).

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