Derivative instruments and hedging activities (Tables)

6 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities [Abstract]

Significant concentration of exposures to credit risk in OTC derivatives

	Billions of yen
	March 31, 2023
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	15,296	¥	(12,885	)	¥	(1,855	)	¥	556
	Billions of yen
	September 30, 2023
	Gross fair value of derivative assets		Impact of master netting agreements			Impact of collateral			Net exposure to credit risk
Financial institutions	¥	20,225	¥	(17,133	)	¥	(2,394	)	¥	698

Volume of derivative activity in statement of financial position

			Billions of yen
			March 31, 2023
			Derivative assets		Derivative liabilities
	Total notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2):
Equity contracts	¥	39,203	¥	1,065	¥	1,610
Interest rate contracts		3,423,357		12,799		12,065
Credit contracts		35,007		276		358
Foreign exchange contracts		337,616		4,219		4,120
Commodity contracts		257		3		3
Total	¥	3,835,440	¥	18,362	¥	18,156
Derivatives designated as formal fair value or net investment accounting hedges:
Interest rate contracts	¥	2,828	¥	0	¥	180
Foreign exchange contracts		164		1		0
Total	¥	2,992	¥	1	¥	180
Total derivatives	¥	3,838,432	¥	18,363	¥	18,336
			Billions of yen
			September 30, 2023
			Derivative assets		Derivative liabilities
	Total notional(1)		Fair value		Fair value(1)
Derivatives used for trading and non-trading purposes(2):
Equity contracts	¥	48,868	¥	1,077	¥	1,510
Interest rate contracts		4,161,702		16,635		15,526
Credit contracts		37,483		219		331
Foreign exchange contracts		393,751		5,948		5,675
Commodity contracts		248		1		4
Total	¥	4,642,052	¥	23,880	¥	23,046
Derivatives designated as formal fair value or net investment accounting hedges:
Interest rate contracts	¥	3,254	¥	—	¥	279
Foreign exchange contracts		190		9		—
Total	¥	3,444	¥	9	¥	279
Total derivatives	¥	4,645,496	¥	23,889	¥	23,325

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

(2) 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 as of March 31, 2023 and September 30, 2023.

Offsetting of derivatives instruments and related collateral amounts

	Billions of yen						Billions of yen
	March 31, 2023						September 30, 2023
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	649		¥	880		¥	706		¥	921
Exchange-traded		416			730			371			589
Interest rate contracts
OTC settled bilaterally		11,535			10,976			14,850			14,095
OTC centrally-cleared		1,191			1,226			1,753			1,699
Exchange-traded		73			45			32			11
Credit contracts
OTC settled bilaterally		182			252			188			300
OTC centrally-cleared		86			92			31			30
Exchange-traded		8			14			0			1
Foreign exchange contracts
OTC settled bilaterally		4,220			4,120			5,957			5,675
Commodity contracts
OTC settled bilaterally		2			3			1			2
Exchange-traded		1			—			0			2
Total gross derivative balances(2)	¥	18,363		¥	18,338		¥	23,889		¥	23,325
Less: Amounts offset in the consolidated balance sheets(3)		(16,943	)		(16,329	)		(22,351	)		(21,592	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,420		¥	2,009		¥	1,538		¥	1,733
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral		(394	)		(315	)		(592	)		(288	)
Net amount	¥	1,026		¥	1,694		¥	946		¥	1,445

(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, 2023, 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 ¥479 billion and ¥753 billion, respectively. As of September 30, 2023, the gross balance of such derivative assets and derivative liabilities was ¥342 billion and ¥620 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, 2023, Nomura offset a total of ¥1,591 billion of cash collateral receivables against net derivative liabilities and ¥2,205 billion of cash collateral payables against net derivative assets. As of September 30, 2023, Nomura offset a total of ¥2,058 billion of cash collateral receivables against net derivative liabilities and ¥2,817 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, 2023, a total of ¥298 billion of cash collateral receivables and ¥673 billion of cash collateral payables, including amounts reported in the table, have not been offset against net derivatives. As of September 30, 2023, a total of ¥391 billion of cash collateral receivables and ¥941 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, 2022 and 2023 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
	2022			2023
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	(20	)	¥	(42	)
Interest rate contracts		302			303
Credit contracts		(101	)		(56	)
Foreign exchange contracts		270			168
Commodity contracts		2			27
Total	¥	453		¥	400
	Billions of yen
	Three months ended September 30
	2022			2023
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	14		¥	(61	)
Interest rate contracts		190			62
Credit contracts		4			(19	)
Foreign exchange contracts		55			189
Commodity contracts		(20	)		24
Total	¥	243		¥	195

(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 months ended September 30, 2022 and 2023, 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, 2023		September 30, 2023		March 31, 2023		September 30, 2023		March 31, 2023		September 30, 2023
Long-term borrowings	¥	2,659	¥	2,992	¥	168	¥	260	¥	2	¥	2
Total	¥	2,659	¥	2,992	¥	168	¥	260	¥	2	¥	2

Fair value hedges

The following tables present amounts included in the consolidated statements of income for the six and three months ended September 30, 2022 and 2023 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
	2022			2023
Derivatives designated as fair value hedging instruments:
Interest rate contracts	¥	139		¥	98
Total	¥	139		¥	98
Hedged items in fair value hedges:
Long-term borrowings	¥	(139	)	¥	(98	)
Total	¥	(139	)	¥	(98	)
	Billions of yen
	Three months ended September 30
	2022			2023
Derivatives designated as hedging instruments:
Interest rate contracts	¥	88		¥	70
Total	¥	88		¥	70
Hedged items:
Long-term borrowings	¥	(88	)	¥	(70	)
Total	¥	(88	)	¥	(70	)

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, 2022 and 2023.

	Billions of yen
	Six months ended September 30
	2022		2023
Net investment hedging instruments:
Foreign exchange contracts	¥	18	¥	5
Total	¥	18	¥	5
	Billions of yen
	Three months ended September 30
	2022		2023
Hedging instruments:
Foreign exchange contracts	¥	9	¥	5
Total	¥	9	¥	5

Written credit derivatives and purchased credit protection

	Billions of yen
	March 31, 2023
				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	¥	(29	)	¥	8,121	¥	1,263	¥	3,095	¥	2,579	¥	1,184	¥	5,708
Credit default swap indices		(47	)		6,839		1,339		2,601		2,284		615		3,886
Other credit risk related portfolio products		38			624		166		216		210		32		341
Credit-risk related options and swaptions		0			51		—		—		37		14		51
Total	¥	(38	)	¥	15,635	¥	2,768	¥	5,912	¥	5,110	¥	1,845	¥	9,986
	Billions of yen
	September 30, 2023
				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	¥	(67	)	¥	8,743	¥	1,546	¥	3,087	¥	2,841	¥	1,269	¥	6,496
Credit default swap indices		(52	)		7,700		2,036		2,413		2,380		871		4,549
Other credit risk related portfolio products		41			688		149		219		260		60		457
Credit-risk related options and swaptions		0			4		—		—		4		—		4
Total	¥	(78	)	¥	17,135	¥	3,731	¥	5,719	¥	5,485	¥	2,200	¥	11,506

(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, 2023
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	227	¥	1,405	¥	2,378	¥	2,530	¥	781	¥	800	¥	8,121
Credit default swap indices		185		180		2,924		2,844		299		407		6,839
Other credit risk related portfolio products		—		—		21		325		53		225		624
Credit-risk related options and swaptions		—		—		—		29		22		—		51
Total	¥	412	¥	1,585	¥	5,323	¥	5,728	¥	1,155	¥	1,432	¥	15,635

	Billions of yen
	September 30, 2023
	Maximum potential payout/Notional
	AAA		AA		A		BBB		BB		Other(1)		Total
Single-name credit default swaps	¥	254	¥	1,330	¥	2,667	¥	2,894	¥	861	¥	737	¥	8,743
Credit default swap indices		253		213		3,008		3,413		291		522		7,700
Other credit risk related portfolio products		—		—		22		333		26		307		688
Credit-risk related options and swaptions		—		—		—		—		4		—		4
Total	¥	507	¥	1,543	¥	5,697	¥	6,640	¥	1,182	¥	1,566	¥	17,135

(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.

Relevant transactions outstanding

The following table provides information about relevant transactions outstanding as of March 31, 2023 and September 30, 2023.

	Millions of yen
	March 31, 2023		September 30, 2023
Gross cash proceeds received at transfer dates	¥	69,535	¥	69,535
Fair value of transferred securities at transfer dates	¥	69,405	¥	69,405
Fair value of transferred securities at reporting dates	¥	59,199	¥	54,554
Gross derivative liabilities arising from the transactions at reporting dates(1)	¥	10,119	¥	14,760

(1) Amounts presented on gross basis, before the application of counterparty offsetting are included in Trading liabilities in the consolidated balance sheets as of March 31, 2023 and September 30, 2023. Of which ¥10,119 million and ¥14,760 million are included in interest rate contracts used for trading purpose as of March 31, 2023 and September 30, 2023 respectively as disclosed in present Note 3 “Derivative instruments and hedging activities”.