Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	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

	Billions of yen
	March 31, 2021
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	13,474	¥	(11,473	)	¥	(1,500	)	¥	501

Volume of derivative activity in statement of financial position

			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
			Billions of yen
			March 31, 2021
			Derivative assets		Derivative liabilities
	Total Notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2)(3):
Equity contracts	¥	40,396	¥	1,402	¥	2,229
Interest rate contracts		2,524,407		9,617		9,023
Credit contracts		38,850		455		523
Foreign exchange contracts		351,662		4,511		4,402
Commodity contracts		334		1		0
Total	¥	2,955,649	¥	15,986	¥	16,177
Derivatives designated as hedging instruments:
Interest rate contracts	¥	1,168	¥	15	¥	14
Foreign exchange contracts		130		5		—
Total	¥	1,298	¥	20	¥	14
Total derivatives	¥	2,956,947	¥	16,006	¥	16,191

(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, certain 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, 2020 and 2021, 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, 2020						March 31, 2021
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	869		¥	875		¥	904		¥	1,439
Exchange-traded		1,052			1,133			498			790
Interest rate contracts
OTC settled bilaterally		11,881			11,438			8,456			7,871
OTC centrally-cleared		1,692			1,758			1,147			1,146
Exchange-traded		56			18			29			20
Credit contracts
OTC settled bilaterally		278			311			169			251
OTC centrally-cleared		126			132			282			269
Exchange-traded		3			14			4			3
Foreign exchange contracts
OTC settled bilaterally		5,224			5,105			4,516			4,402
Commodity contracts
OTC settled bilaterally		1			1			0			0
Exchange-traded		8			5			1			0
Total gross derivative balances(2)	¥	21,190		¥	20,790		¥	16,006		¥	16,191
Less: Amounts offset in the consolidated balance sheets(3)		(19,248	)		(18,987	)		(14,786	)		(14,697	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,942		¥	1,803		¥	1,220		¥	1,494

	Billions of yen						Billions of yen
	March 31, 2020						March 31, 2021
	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	¥	(182	)	¥	(125	)	¥	(240	)	¥	(310	)
Net amount	¥	1,760		¥	1,678		¥	980		¥	1,184

(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, 2020, 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 ¥1,013 billion and ¥1,046 billion, respectively. As of March 31, 2021, the gross balance of such derivative assets and derivative liabilities was ¥392 billion and ¥589 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, 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. As of March 31, 2021, Nomura offset a total of ¥1,594 billion of cash collateral receivables against net derivative liabilities and ¥1,683 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 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, 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. As of March 31, 2021, a total of ¥283 billion of cash collateral receivables and ¥572 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, 2019, 2020 and 2021 related to derivatives used for trading and non-trading purposes by type of underlying derivative contract. 

	Billions of yen
	Year ended March 31
	2019			2020			2021
Derivatives used for trading and non-trading purposes(1)(2):
Equity contracts	¥	(32	)	¥	93		¥	26
Interest rate contracts		104			(192	)		254
Credit contracts		(19	)		(118	)		(90	)
Foreign exchange contracts		(50	)		57			(11	)
Commodity contracts		10			(1	)		50
Total	¥	13		¥	(161	)	¥	229

(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, 2019 and 2020, these amounts were not significant. For the year ended March 31, 2021, net losses for these non-trading derivatives were ¥3 billion.

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, 2020		March 31, 2021		March 31, 2020		March 31, 2021
Long-term borrowings	¥	1,098	¥	1,164	¥	(36)	¥	2
Total	¥	1,098	¥	1,164	¥	(36)	¥	2

Fair value hedges

	Billions of yen
	Year ended March 31
	2019			2020			2021
Derivatives designated as hedging instruments:
Interest rate contracts	¥	6		¥	(26	)	¥	29
Total	¥	6		¥	(26	)	¥	29
	Billions of yen
	Year ended March 31
	2019			2020			2021
Hedged items:
Long-term borrowings	¥	(6	)	¥	26		¥	(29	)
Total	¥	(6	)	¥	26		¥	(29	)

Net investment hedges

	Billions of yen
	Year ended March 31
	2019		2020		2021
Hedging instruments:
Foreign exchange contracts	¥	7	¥	2	¥	(7	)
Total	¥	7	¥	2	¥	(7	)

The portion of gains (losses) representing 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, 2019, 2020 and 2021.

Written credit derivatives and purchased credit protection

	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

	Billions of yen
	March 31, 2021
				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	¥	(80	)	¥	7,035	¥	1,318	¥	2,297	¥	2,642	¥	778	¥	5,452
Credit default indices		(246	)		10,235		1,271		4,065		3,989		910		7,737
Other credit risk related portfolio products		10			396		73		180		131		12		280
Credit-risk related options and swaptions		0			39		—		—		39		—		33
Total	¥	(316	)	¥	17,705	¥	2,662	¥	6,542	¥	6,801	¥	1,700	¥	13,502

(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, 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
	Billions of yen
	March 31, 2021
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	198	¥	1,218	¥	1,887	¥	2,098	¥	753	¥	881	¥	7,035
Credit default indices		114		128		1,880		6,294		1,415		404		10,235
Other credit risk related portfolio products		—		—		4		237		58		97		396
Credit-risk related options and swaptions		—		—		—		32		7		—		39
Total	¥	312	¥	1,346	¥	3,771	¥	8,661	¥	2,233	¥	1,382	¥	17,705

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