Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	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

	Billions of yen
	March 31, 2020
	Gross fair value of derivative assets		Impact of  master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	17,711	¥	(15,479	)	¥	(1,707	)	¥	525

Volume of derivative activity in statement of financial position

			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

			Billions of yen
			March 31, 2020
			Derivative assets		Derivative liabilities
	Total Notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts	¥	47,976	¥	1,921	¥	2,008
Interest rate contracts		2,522,172		13,590		13,214
Credit contracts		36,155		407		457
Foreign exchange contracts		267,313		5,224		5,104
Commodity contracts		601		9		6
Total	¥	2,874,217	¥	21,151	¥	20,789
Derivatives designated as hedging instruments:
Interest rate contracts	¥	1,064	¥	39	¥	0
Foreign exchange contracts		115		—		1
Total	¥	1,179	¥	39	¥	1
Total derivatives	¥	2,875,396	¥	21,190	¥	20,790

(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, 2019 and 2020, 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, 2019						March 31, 2020
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	636		¥	611		¥	869		¥	875
Exchange-traded		215			309			1,052			1,133
Interest rate contracts
OTC settled bilaterally		7,295			6,946			11,881			11,438
OTC centrally-cleared		1,327			1,341			1,692			1,758
Exchange-traded		10			3			56			18
Credit contracts
OTC settled bilaterally		355			283			278			311
OTC centrally-cleared		176			178			126			132
Exchange-traded		2			3			3			14
Foreign exchange contracts
OTC settled bilaterally		4,912			4,842			5,224			5,105
Commodity contracts
OTC settled bilaterally		—			—			1			1
Exchange-traded		1			1			8			5
Total gross derivative balances(2)	¥	14,929		¥	14,517		¥	21,190		¥	20,790
Less: Amounts offset in the consolidated balance sheets(3)		(14,077	)		(13,710	)		(19,248	)		(18,987	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	852		¥	807		¥	1,942		¥	1,803

	Billions of yen				Billions of yen
	March 31, 2019				March 31, 2020
	Derivative assets		Derivative liabilities(1)		Derivative assets			Derivative liabilities(1)
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral	¥	(115)	¥	(86)	¥	(182	)	¥	(125	)
Net amount	¥	737	¥	721	¥	1,760		¥	1,678

(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, 2019, 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 ¥277 billion and ¥374 billion, respectively. As of March 31, 2020, the gross balance of such derivative assets and derivative liabilities was ¥1,013 billion and ¥1,046 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, 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. As of March 31, 2020, Nomura offset a total of ¥1,679 billion of cash collateral receivables against net derivative liabilities and ¥1,940 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, 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. As of March 31, 2020, a total of ¥374 billion of cash collateral receivables and ¥540 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

The following table presents amounts included in the consolidated statements of income for the years ended March 31, 2018, 2019, 2020 related to derivatives used for trading and non-trading purposes by type of underlying derivative contract.

	Billions of yen
	Year ended March 31
	2018			2019			2020
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	106		¥	(32	)	¥	93
Interest rate contracts		(257	)		104			(192	)
Credit contracts		129			(19	)		(118	)
Foreign exchange contracts		49			(50	)		57
Commodity contracts		22			10			(1	)
Total	¥	49		¥	13		¥	(161	)

(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, 2018, 2019 and 2020, these amounts have not been separately presented as net gains (losses) for these non-trading derivatives were not significant.

Schedule of carrying value hedged items

Line items in the statement of financial position in which the hedged item is included:	Billions of yen
	Carrying amount of the hedged liabilities				Cumulative gains/(losses) of fair value hedging adjustment included in the carrying amount of the hedged liabilities
	March 31, 2019		March 31, 2020		March 31, 2019		March 31, 2020
Long-term borrowings	¥	1,019	¥	1,098	¥	(13)	¥	(36)
Total	¥	1,019	¥	1,098	¥	(13)	¥	(36)

Fair value hedges

	Billions of yen
	Year ended March 31
	2018			2019		2020
Derivatives designated as hedging instruments:
Interest rate contracts	¥	(1	)	¥	6	¥	(26	)
Foreign exchange contracts		9			—		—
Total	¥	8		¥	6	¥	(26	)

	Billions of yen
	Year ended March 31
	2018			2019			2020
Hedged items:
Long-term borrowings	¥	1		¥	(6	)	¥	26
Non-trading debt securities		(9	)		—			—
Total	¥	(8	)	¥	(6	)	¥	26

Net investment hedges

	Billions of yen
	Year ended March 31
	2018			2019		2020
Hedging instruments:
Foreign exchange contracts	¥	(11	)	¥	7	¥	2
Total	¥	(11	)	¥	7	¥	2

(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, 2018, 2019 and 2020.

Written credit derivatives and purchased credit protection

	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
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
Credit-risk related options and swaptions		—			—		—		—		—		—		—
Total	¥	(150	)	¥	15,172	¥	2,989	¥	5,128	¥	5,433	¥	1,622	¥	11,050

	Billions of yen
	March 31, 2020
			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	¥	96	¥	8,018	¥	2,323	¥	2,238	¥	2,552	¥	905	¥	5,836
Credit default indices		18		8,064		721		2,455		4,179		709		6,364
Other credit risk related portfolio products		65		357		39		130		175		13		274
Credit-risk related options and swaptions		1		16		—		—		16		—		16
Total	¥	180	¥	16,455	¥	3,083	¥	4,823	¥	6,922	¥	1,627	¥	12,490

(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, 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
Credit-risk related options and swaptions		—		—		—		—		—		—		—
Total	¥	555	¥	987	¥	4,120	¥	6,213	¥	2,532	¥	765	¥	15,172
	Billions of yen
	March 31, 2020
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	122	¥	1,683	¥	1,935	¥	2,643	¥	1,198	¥	437	¥	8,018
Credit default indices		24		153		2,211		4,027		1,318		331		8,064
Other credit risk related portfolio products		—		—		2		191		73		91		357
Credit-risk related options and swaptions		—		—		—		—		16		—		16
Total	¥	146	¥	1,836	¥	4,148	¥	6,861	¥	2,605	¥	859	¥	16,455

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