Derivative Financial Instruments and Hedging (Tables)

12 Months Ended

Mar. 31, 2014

Effect of Derivative Instruments on Consolidated Statements of Income, Pre-tax

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2012 is as follows.

(1) Cash flow hedges


	Gains (losses) recognized in other comprehensive income on derivative (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)				Gains (losses) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location	Millions of yen			Consolidated statements of income location		Millions of yen
Interest rate swap agreements	¥	(489	)	Interest on loans and investment securities/Interest expense	¥	44			—	¥	0
Foreign exchange contracts		(526	)	Foreign currency transaction loss		(696	)		—		0
Foreign currency swap agreements		(409	)	Interest on loans and investment securities/Interest expense/Foreign currency transaction loss		1,031			—		0

(2) Fair value hedges


	Gains (losses) recognized in income on derivative and other			Gains (losses) recognized in income on hedged item
	Millions of yen		Consolidated statements of income location	Millions of yen			Consolidated statements of income location
Interest rate swap agreements	¥	4,072	Interest on loans and investment securities/Interest expense	¥	(4,337	)	Interest on loans and investment securities/Interest expense
Foreign exchange contracts		972	Foreign currency transaction loss		(972	)	Foreign currency transaction loss
Foreign currency swap agreements		227	Foreign currency transaction loss		(277	)	Foreign currency transaction loss
Foreign currency long-term debt		69	Foreign currency transaction loss		(69	)	Foreign currency transaction loss

(3) Hedges of net investment in foreign operations


	Gains (losses) recognized in other comprehensive income on derivative and others (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)				Gains (losses) recognized in income on derivative and others (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location		Millions of yen		Consolidated statements of income location		Millions of yen
Foreign exchange contracts	¥	(1,198	)		—	¥	0		—	¥	0
Borrowings and bonds in local currency		1,348			—		0		—		0

(4) Trading derivatives or derivatives not designated as hedging instruments


	Gains (losses) recognized in income on derivative
	Millions of yen			Consolidated statements of income location
Interest rate swap agreements	¥	23		Other operating revenues/expenses
Foreign currency swap agreements		24		Other operating revenues/expenses
Futures		(1,056	)	Brokerage commissions and net gains on investment securities
Foreign exchange contracts		615		Brokerage commissions and net gains on investment securities
Credit derivatives held/written		(92	)	Other operating revenues/expenses
Options held/written, Caps held and other		137		Other operating revenues/expenses

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2013 is as follows.

(1) Cash flow hedges


	Gains (losses) recognized in other comprehensive income on derivative (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)				Gains (losses) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location	Millions of yen			Consolidated statements of income location	Millions of yen
Interest rate swap agreements	¥	(249	)	Interest on loans and investment securities/Interest expense	¥	6		—	¥	0
Foreign exchange contracts		(1,546	)	Foreign currency transaction loss Interest on loans and investment		73		—		0
Foreign currency swap agreements		960		securities/Interest expense/Foreign currency transaction loss		(1,231	)	Foreign currency transaction loss		(69	)

(2) Fair value hedges


	Gains (losses) recognized in income on derivative and other				Gains (losses) recognized in income on hedged item
	Millions of yen			Consolidated statements of income location	Millions of yen			Consolidated statements of income location
Interest rate swap agreements	¥	76		Interest on loans and investment securities/Interest expense	¥	(120	)	Interest on loans and investment securities/Interest expense
Foreign exchange contracts		(8,828	)	Foreign currency transaction loss		8,828		Foreign currency transaction loss
Foreign currency swap agreements		(2,352	)	Foreign currency transaction loss		2,349		Foreign currency transaction loss
Foreign currency long-term-debt		172		Foreign currency transaction loss		(172	)	Foreign currency transaction loss

(3) Hedges of net investment in foreign operations


	Gains (losses) recognized in other comprehensive income on derivative and others (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)			Gains (losses) recognized in income on derivative and others (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location	Millions of yen		Consolidated statements of income location	Millions of yen
Foreign exchange contracts	¥	(11,524	)	Gains on sales of subsidiaries and affiliates and liquidation losses, net	¥	1,425	—	¥	0
Borrowings and bonds in local currency		(19,637	)	Gains on sales of subsidiaries and affiliates and liquidation losses, net		3,464	—		0

(4) Trading derivatives or derivatives not designated as hedging instruments


	Gains (losses) recognized in income on derivative
	Millions of yen			Consolidated statements of income location
Interest rate swap agreements	¥	8		Other operating revenues/expenses
Futures		(504	)	Brokerage commissions and net gains on investment securities
Foreign exchange contracts		(236	)	Brokerage commissions and net gains on investment securities
Credit derivatives held/written		344		Other operating revenues/expenses
Options held/written and other		992		Other operating revenues/expenses

The effect of derivative instruments on the consolidated statements of income, pre-tax, for fiscal 2014 is as follows.

(1) Cash flow hedges


	Gains (losses) recognized in other comprehensive income on derivative (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)				Gains (losses) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location	Millions of yen			Consolidated statements of income location	Millions of yen
Interest rate swap agreements	¥	945		Interest on loans and investment securities/Interest expense	¥	39		—	¥	0
Foreign exchange contracts		(948	)	Foreign currency transaction loss		773		—		0
Foreign currency swap agreements		594		Interest on loans and investment securities/Interest expense/Foreign currency transaction loss		(2,025	)	Foreign currency transaction loss		269

(2) Fair value hedges


	Gains (losses) recognized in income on derivative and other				Gains (losses) recognized in income on hedged item
	Millions of yen			Consolidated statements of income location	Millions of yen		Consolidated statements of income location

Interest rate swap agreements	¥	(2,296	)	Interest on loans and investment securities/Interest expense	¥	2,276	Interest on loans and investment securities/Interest expense

Foreign exchange contracts		(3,574	)	Foreign currency transaction loss		3,574	Foreign currency transaction loss

Foreign currency swap agreements		(2,896	)	Foreign currency transaction loss		2,896	Foreign currency transaction loss

Foreign currency long-term-debt		(1,609	)	Foreign currency transaction loss		1,609	Foreign currency transaction loss

(3) Hedges of net investment in foreign operations


	Gains (losses) recognized in other comprehensive income on derivative and others (effective portion)			Gains (losses) reclassified from accumulated other comprehensive income (loss) into income (effective portion)				Gains (losses) recognized in income on derivative and others (ineffective portion and amount excluded from effectiveness testing)
	Millions of yen			Consolidated statements of income location	Millions of yen			Consolidated statements of income location		Millions of yen
Foreign exchange contracts	¥	(23,638	)	Gains on sales of subsidiaries and affiliates and liquidation losses, net	¥	(171	)		—	¥	0
Borrowings and bonds in local currency		(16,469	)	—		0			—		0

(4) Trading derivatives or derivatives not designated as hedging instruments


	Gains (losses) recognized in income on derivative
	Millions of yen			Consolidated statements of income location
Interest rate swap agreements	¥	5		Other operating revenues/expenses
Futures		(167	)	Brokerage commissions and net gains on investment securities
Foreign exchange contracts		(406	)	Brokerage commissions and net gains on investment securities
Credit derivatives held/written		(506	)	Other operating revenues/expenses
Options written and other		(241	)	Other operating revenues/expenses

Notional Amounts of Derivative Instruments and Fair Values of Derivative Instruments and Other Before Offsetting

Notional amounts of derivative instruments and other, fair values of derivative instruments and other before offsetting at March 31, 2013 and 2014 are as follows.

March 31, 2013


			Asset derivatives			Liability derivatives
	Notional amount		Fair value		Consolidated balance sheets location	Fair value		Consolidated balance sheets location
	Millions of yen		Millions of yen		Consolidated balance sheets location	Millions of yen		Consolidated balance sheets location
Derivatives designated as hedging instruments and other:
Interest rate swap agreements	¥	264,434	¥	4,654	Other receivables	¥	1,451	Trade notes, accounts payable and other liabilities
Futures, Foreign exchange contracts		191,980		838	Other receivables		4,624	Trade notes, accounts payable and other liabilities
Foreign currency swap agreements		83,000		2,890	Other receivables		8,263	Trade notes, accounts payable and other liabilities
Foreign currency long-term-debt		161,379		0	—		0	—
Trading derivatives or derivatives not designated as hedging instruments:
Interest rate swap agreements	¥	1,294	¥	0	—	¥	8	Trade notes, accounts payable and other liabilities
Options held/written and other		217,999		5,654	Other receivables		3,530	Trade notes, accounts payable and other liabilities
Futures, Foreign exchange contracts		41,363		192	Other receivables		61	Trade notes, accounts payable and other liabilities
Credit derivatives held/written		20,161		370	Other receivables		100	Trade notes, accounts payable and other liabilities

March 31, 2014


			Asset derivatives			Liability derivatives
	Notional amount		Fair value		Consolidated balance sheets location	Fair value		Consolidated balance sheets location
	Millions of yen		Millions of yen		Consolidated balance sheets location	Millions of yen		Consolidated balance sheets location
Derivatives designated as hedging instruments and other:
Interest rate swap agreements	¥	206,605	¥	2,528	Other receivables	¥	634	Trade notes, accounts payable and other liabilities
Futures, Foreign exchange contracts		370,243		1,018	Other receivables		4,708	Trade notes, accounts payable and other liabilities
Foreign currency swap agreements		93,276		3,534	Other receivables		7,176	Trade notes, accounts payable and other liabilities
Foreign currency long- term-debt		261,483		0	—		0	—
Trading derivatives or derivatives not designated as hedging instruments:
Options written and other	¥	173,637	¥	5,486	Other receivables	¥	3,605	Trade notes, accounts payable and other liabilities
Futures, Foreign exchange contracts		65,094		56	Other receivables		472	Trade notes, accounts payable and other liabilities
Credit derivatives held/written		13,715		29	Other receivables		265	Trade notes, accounts payable and other liabilities

Disclosure of Credit Derivatives

The Company and its subsidiaries have contracted credit derivatives for the purpose of trading. Details of credit derivatives written as of March 31, 2013 and 2014 are as follows.

March 31, 2013

Types of derivatives

The events or circumstances
that would require
the seller to perform under
the credit derivative

Maximum
potential amount of
future payment under
the credit derivative

Approximate
remaining
term of the
credit
derivative

Fair value of
the credit
derivative

Millions
of yen

Credit default swap

In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company*

832

Less than
five years

(29

)

*	Underlying reference company’s credit ratings are Caa1 or better rated by rating agencies as of March 31, 2013.

March 31, 2014

Types of derivatives

The events or circumstances
that would require
the seller to perform under
the credit derivative

Maximum
potential amount of
future payment under
the credit derivative

Approximate
remaining
term of the
credit
derivative

Fair value of
the credit
derivative

Millions
of yen

Credit default swap

In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company*

425

Less than
four years

*	Underlying reference company’s credit ratings are Baa1 or better rated by rating agencies as of March 31, 2014.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References+ Details