Derivative instruments and hedging activities (Tables)

12 Months Ended

Mar. 31, 2023

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
	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

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
			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

(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, 2022 and March 31, 2023.

Offsetting of derivatives instruments and related collateral amounts

	Billions of yen						Billions of yen
	March 31, 2022						March 31, 2023
	Derivative assets			Derivative liabilities(1)			Derivative assets			Derivative liabilities(1)
Equity contracts
OTC settled bilaterally	¥	709		¥	1,054		¥	649		¥	880
Exchange-traded		265			403			416			730
Interest rate contracts
OTC settled bilaterally		9,486			8,584			11,535			10,976
OTC centrally-cleared		2,332			2,309			1,191			1,226
Exchange-traded		120			60			73			45
Credit contracts
OTC settled bilaterally		208			276			182			252
OTC centrally-cleared		223			224			86			92
Exchange-traded		12			14			8			14
Foreign exchange contracts
OTC settled bilaterally		4,806			4,814			4,220			4,120
Commodity contracts
OTC settled bilaterally		1			1			2			3
Exchange-traded		0			0			1			—
Total gross derivative balances(2)	¥	18,162		¥	17,739		¥	18,363		¥	18,338
Less: Amounts offset in the consolidated balance sheets(3)		(16,608	)		(16,079	)		(16,943	)		(16,329	)
Total net amounts reported on the face of the consolidated balance sheets(4)	¥	1,554		¥	1,660		¥	1,420		¥	2,009
Less: Additional amounts not offset in the consolidated balance sheets(5)
Financial instruments and non-cash collateral	¥	(432	)	¥	(134	)	¥	(394	)	¥	(315	)
Net amount	¥	1,122		¥	1,526		¥	1,026		¥	1,694

(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 March 31, 2023, the gross balance of such derivative assets and derivative liabilities was ¥479 billion and ¥753 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 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.

(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 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.

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, 2021, 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
	Year ended March 31
	2021			2022			2023
Derivatives used for trading and non-trading purposes(1):
Equity contracts	¥	26		¥	(36	)	¥	88
Interest rate contracts		254			198			76
Credit contracts		(90	)		(118	)		45
Foreign exchange contracts		(11	)		27			434
Commodity contracts		50			87			(4	)
Total	¥	229		¥	158		¥	639

(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, 2021, net losses for these non-trading derivatives were ¥3 billion. For the year ended March 31, 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 liabilities				Cumulative amount of fair value hedging adjustment remaining for the liabilities which hedge accounting has been discontinued
	March 31, 2022		March 31, 2023		March 31, 2022		March 31, 2023		March 31, 2022		March 31, 2023
Long-term borrowings	¥	2,075	¥	2,659	¥	90	¥	168	¥	0	¥	2
Total	¥	2,075	¥	2,659	¥	90	¥	168	¥	0	¥	2

Fair value hedges

The following tables present amounts included in the consolidated statements of income for the years ended March 31, 2021, 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
	Year ended March 31
	2021			2022			2023
Derivatives designated as hedging instruments:
Interest rate contracts	¥	29		¥	85		¥	92
Total	¥	29		¥	85		¥	92
	Billions of yen
	Year ended March 31
	2021			2022			2023
Hedged items :
Long-term borrowings	¥	(29	)	¥	(85	)	¥	(92	)
Total	¥	(29	)	¥	(85	)	¥	(92	)

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, 2021, 2022 and 2023.

	Billions of yen
	Year ended March 31
	2021			2022		2023
Hedging instruments:
Foreign exchange contracts	¥	(7	)	¥	7	¥	3
Total	¥	(7	)	¥	7	¥	3

Written credit derivatives and purchased credit protection

	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
	Billions of yen
	March 31, 2023
	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	¥	(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

(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
	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

(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, 2022 and March 31, 2023.

	Millions of yen
	March 31
	2022		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	¥	63,994	¥	59,199
Gross derivative liabilities arising from the transactions at reporting dates(1)	¥	5,319	¥	10,119

(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, 2022 and March 31, 2023. Of which ¥5,319 million and ¥10,119 million are included in interest rate contracts used for trading purpose as of March 31, 2022 and March 31, 2023 respectively as disclosed in present Note 3 “Derivative instruments and hedging activities”.