Derivative instruments and hedging activities (Tables)

6 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	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
	Billions of yen
	September 30, 2022
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	27,075	¥	(23,637	)	¥	(2,337	)	¥	1,101

Volume of derivative activity in statement of financial position

			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
			Billions of yen
			September 30, 2022
			Derivative assets		Derivative liabilities
	Total Notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2):
Equity contracts	¥	33,531	¥	1,305	¥	1,898
Interest rate contracts		3,521,150		21,253		20,011
Credit contracts		46,260		331		444
Foreign exchange contracts		399,613		8,585		8,493
Commodity contracts		299		1		1
Total	¥	4,000,853	¥	31,475	¥	30,847
Derivatives designated as formal fair value or net investment accounting hedges:
Interest rate contracts	¥	2,728	¥	—	¥	227
Foreign exchange contracts		158		5		—
Total	¥	2,886	¥	5	¥	227
Total derivatives	¥	4,003,739	¥	31,480	¥	31,074

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

(2) As of March 31, 2022 and September 30, 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, 2022						September 30, 2022
	Derivative assets			Derivative liabilities (1)			Derivative assets			Derivative liabilities (1)
Equity contracts
OTC settled bilaterally	¥	709		¥	1,054		¥	771		¥	1,114
Exchange-traded		265			403			534			784
Interest rate contracts
OTC settled bilaterally		9,486			8,584			15,194			14,286
OTC centrally-cleared		2,332			2,309			5,929			5,898
Exchange-traded		120			60			130			54
Credit contracts
OTC settled bilaterally		208			276			209			305
OTC centrally-cleared		223			224			100			113
Exchange-traded		12			14			22			26
Foreign exchange contracts
OTC settled bilaterally		4,806			4,814			8,590			8,493
Commodity contracts
OTC settled bilaterally		1			1			1			1
Exchange-traded		0			0			0			0
Total gross derivative balances(2)	¥	18,162		¥	17,739		¥	31,480		¥	31,074
Less: Amounts offset in the consolidated balance sheets(3)		(16,608	)		(16,079	)		(29,358	)		(28,468	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,554		¥	1,660		¥	2,122		¥	2,606
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral		(432	)		(134	)		(619	)		(352	)
Net amount	¥	1,122		¥	1,526		¥	1,503		¥	2,254

(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, 2022, 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 ¥458 billion and ¥671 billion, respectively. As of September 30, 2022, the gross balance of such derivative assets and derivative liabilities was ¥765 billion and ¥936 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, 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. As of September 30, 2022, Nomura offset a total of ¥2,026 billion of cash collateral receivables against net derivative liabilities and ¥2,917 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, 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. As of September 30, 2022, a total of ¥438 billion of cash collateral receivables and ¥712 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 tables present amounts included in the consolidated statements of income for the six and three months ended September 30, 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
	Six months ended September 30
	2021			2022
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	(185	)	¥	(20	)
Interest rate contracts		16			302
Credit contracts		2			(101	)
Foreign exchange contracts		26			270
Commodity contracts		33			2
Total	¥	(108	)	¥	453
	Billions of yen
	Three months ended September 30
	2021			2022
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	(117	)	¥	14
Interest rate contracts		7			190
Credit contracts		(8	)		4
Foreign exchange contracts		(43	)		55
Commodity contracts		10			(20	)
Total	¥	(151	)	¥	243

(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 six and three months ended September 30, 2021 and 2022, 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

	Billions of yen
Balance sheet line item in which the hedged item is included:	Carrying amount of the hedged 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, 2022		September 30, 2022		March 31, 2022		September 30, 2022		March 31, 2022		September 30, 2022
Long-term borrowings	¥	2,075	¥	2,504	¥	90	¥	223	¥	0	¥	1
Total	¥	2,075	¥	2,504	¥	90	¥	223	¥	0	¥	1

Fair value hedges

The following tables present amounts included in the consolidated statements of income for the six and three months ended September 30, 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
	Six months ended September 30
	2021			2022
Derivatives designated as fair value hedging instruments:
Interest rate contracts	¥	(3	)	¥	139
Total	¥	(3	)	¥	139
Hedged items in fair value hedges:
Long-term borrowings	¥	3		¥	(139	)
Total	¥	3		¥	(139	)
	Billions of yen
	Three months ended September 30
	2021			2022
Derivatives designated as fair value hedging instruments:
Interest rate contracts	¥	5		¥	88
Total	¥	5		¥	88
Hedged items in fair value hedges:
Long-term borrowings	¥	(5	)	¥	(88	)
Total	¥	(5	)	¥	(88	)

Net investment hedges

The following tables present gains (losses) from derivatives designated as net investment hedges included in the consolidated statements of comprehensive income for the six and three months ended September 30, 2021 and 2022.

	Billions of yen
	Six months ended September 30
	2021		2022
Net investment hedging instruments:
Foreign exchange contracts	¥	2	¥	18
Total	¥	2	¥	18

	Billions of yen
	Three months ended September 30
	2021		2022
Net investment hedging instruments
Foreign exchange contracts	¥	4	¥	9
Total	¥	4	¥	9

Written credit derivatives and purchased credit protection

	Billions of yen
	March 31, 2022
				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	¥	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
	Billions of yen
	September 30, 2022
				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	¥	59		¥	8,812	¥	1,567	¥	3,409	¥	2,629	¥	1,207	¥	6,474
Credit default swap indices		21			11,412		2,691		4,689		3,203		829		8,476
Other credit risk related portfolio products		71			468		89		239		118		22		285
Credit-risk related options and swaptions		1			64		—		—		64		—		27
Total	¥	152		¥	20,756	¥	4,347	¥	8,337	¥	6,014	¥	2,058	¥	15,262

(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, 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

	Billions of yen
	September 30, 2022
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	231	¥	1,654	¥	2,626	¥	2,577	¥	936	¥	788	¥	8,812
Credit default swap indices		234		198		3,939		5,623		1,028		390		11,412
Other credit risk related portfolio products		—		—		63		186		64		155		468
Credit-risk related options and swaptions		—		—		—		38		26		—		64
Total	¥	465	¥	1,852	¥	6,628	¥	8,424	¥	2,054	¥	1,333	¥	20,756

(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.