Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	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

	Billions of yen
	March 31, 2022
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	15,667	¥	(13,193	)	¥	(1,669	)	¥	805

Volume of derivative activity in statement of financial position

			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):
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 formal fair value or net investment accounting hedges:
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

			Billions of yen
			March 31, 2022
			Derivative assets		Derivative liabilities
	Total notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2):
Equity contracts	¥	34,526	¥	974	¥	1,457
Interest rate contracts		2,769,546		11,938		10,865
Credit contracts		37,572		443		514
Foreign exchange contracts		314,763		4,804		4,814
Commodity contracts		300		1		1
Total	¥	3,156,707	¥	18,160	¥	17,651
Derivatives designated as formal fair value or net investment accounting hedges:
Interest rate contracts	¥	2,166	¥	—	¥	88
Foreign exchange contracts		145		2		—
Total	¥	2,311	¥	2	¥	88
Total derivatives	¥	3,159,018	¥	18,162	¥	17,739

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

(2) As of March 31, 2021 and 2022, the amounts reported include derivatives used for non-trading purposes other than those designated as fair value or net investment accounting 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, 2021						March 31, 2022
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	904		¥	1,439		¥	709		¥	1,054
Exchange-traded		498			790			265			403
Interest rate contracts
OTC settled bilaterally		8,456			7,871			9,486			8,584
OTC centrally-cleared		1,147			1,146			2,332			2,309
Exchange-traded		29			20			120			60
Credit contracts
OTC settled bilaterally		169			251			208			276
OTC centrally-cleared		282			269			223			224
Exchange-traded		4			3			12			14
Foreign exchange contracts
OTC settled bilaterally		4,516			4,402			4,806			4,814
Commodity contracts
OTC settled bilaterally		0			0			1			1
Exchange-traded		1			0			0			0
Total gross derivative balances(2)	¥	16,006		¥	16,191		¥	18,162		¥	17,739
Less: Amounts offset in the consolidated balance sheets(3)		(14,786	)		(14,697	)		(16,608	)		(16,079	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,220		¥	1,494		¥	1,554		¥	1,660
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral	¥	(240	)	¥	(310	)	¥	(432	)	¥	(134	)
Net amount	¥	980		¥	1,184		¥	1,122		¥	1,526

(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, 2021, 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 ¥392 billion and ¥589 billion, respectively. As of March 31, 2022, the gross balance of such derivative assets and derivative liabilities was ¥458 billion and ¥671 billion, respectively.

(3) Represents amounts offset through counterparty offsetting of derivative assets and liabilities as well as cash collateral offsetting 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, 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. As of March 31, 2022, Nomura offset a total of ¥1,431 billion of cash collateral receivables against net derivative liabilities and ¥1,960 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 and debt 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, 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. As of March 31, 2022, a total of ¥359 billion of cash collateral receivables and ¥652 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, 2020, 2021 and 2022 related to derivatives used for trading and non-trading purposes by types of underlying derivative contract. Derivatives which contain multiple types of risk are classified in the table based on the primary risk type of instrument.

	Billions of yen
	Year ended March 31
	2020			2021			2022
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	93		¥	26		¥	(36	)
Interest rate contracts		(192	)		254			198
Credit contracts		(118	)		(90	)		(118	)
Foreign exchange contracts		57			(11	)		27
Commodity contracts		(1	)		50			87
Total	¥	(161	)	¥	229		¥	158

(1) Includes net gains (losses) on derivatives used for non-trading purposes which are not designated as fair value or net investment hedges. For the year ended March 31, 2020, these amounts were not significant. For the year ended March 31, 2021, net losses for these non-trading derivatives were ¥3 billion. For the year ended March 31, 2022, these amounts were not significant.

Schedule of carrying value hedged items

	Billions of yen
Balance sheet line item in which the hedged item is included:	Carrying amount of the hedged assets/liabilities				Cumulative gains of fair value hedging adjustment included in the carrying amount of the hedged assets/liabilities				Cumulative amount of fair value hedging adjustment remaining for the liabilities which hedge accounting has been discontinued
	March 31, 2021		March 31, 2022		March 31, 2021		March 31, 2022		March 31, 2021		March 31, 2022
Long-term borrowings	¥	1,164	¥	2,075	¥	2	¥	90	¥	0	¥	0
Total	¥	1,164	¥	2,075	¥	2	¥	90	¥	0	¥	0

Fair value hedges

The following table presents amounts included in the consolidated statements of income for the years ended March 31, 2020, 2021 and 2022 related to derivatives designated as fair value hedges by type of underlying derivative contract and the nature of the hedged item.

	Billions of yen
	Year ended March 31
	2020			2021			2022
Derivatives designated as fair value hedging instruments:
Interest rate contracts	¥	(26	)	¥	29		¥	85
Total	¥	(26	)	¥	29		¥	85
	Billions of yen
	Year ended March 31
	2020			2021			2022
Hedged items in fair value hedges:
Long-term borrowings	¥	26		¥	(29	)	¥	(85	)
Total	¥	26		¥	(29	)	¥	(85	)

Net investment hedges

The following table presents gains (losses) from derivatives designated as net investment hedges included in the consolidated statements of comprehensive income for the years ended March 31, 2020, 2021 and 2022.

	Billions of yen
	Year ended March 31
	2020		2021			2022
Net investment hedging instruments:
Foreign exchange contracts	¥	2	¥	(7	)	¥	7
Total	¥	2	¥	(7	)	¥	7

Written credit derivatives and purchased credit protection

	Billions of yen
	March 31, 2021
	Carrying value (Asset) / Liability(1)			Maximum potential payout/Notional										Notional
						Years to maturity								Purchased credit protection
				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 swap 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

	Billions of yen
	March 31, 2022
	Carrying value (Asset) / Liability(1)			Maximum potential payout/Notional										Notional
						Years to maturity								Purchased credit protection
				Total		Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years
Single-name credit default swaps	¥	19		¥	7,708	¥	1,339	¥	2,915	¥	2,448	¥	1,006	¥	5,688
Credit default swap indices		(140	)		10,015		2,045		4,189		3,257		524		7,494
Other credit risk related portfolio products		19			419		56		286		63		14		293
Credit-risk related options and swaptions		0			115		—		—		88		27		68
Total	¥	(102	)	¥	18,257	¥	3,440	¥	7,390	¥	5,856	¥	1,571	¥	13,543

(1) Carrying value amounts are shown on a gross basis prior to cash collateral or counterparty offsetting. Asset balances represent positive fair value amounts caused by tightening of credit spreads of underlyings since inception of the credit derivatives.

Written credit derivatives by external credit rating of underlying asset

	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 swap 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
	Billions of yen
	March 31, 2022
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	192	¥	1,485	¥	2,164	¥	2,057	¥	869	¥	941	¥	7,708
Credit default swap indices		105		215		3,369		5,012		988		326		10,015
Other credit risk-related portfolio products		—		—		28		226		47		118		419
Credit risk-related options and swaptions		—		—		61		27		27		—		115
Total	¥	297	¥	1,700	¥	5,622	¥	7,322	¥	1,931	¥	1,385	¥	18,257

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