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Derivative Financial Instruments and Hedging | 6 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Hedging |
21. | Derivative Financial Instruments and Hedging
Risk management policy The Company and its subsidiaries manage interest rate risk through asset-liability management (“ALM”). The Company and its subsidiaries use derivative financial instruments to hedge interest rate risk and avoid changes in interest rates that could have a significant adverse effect on the Company’s results of operations. As a result of interest rate changes, the fair value and/or cash flow of interest sensitive assets and liabilities will fluctuate. However, such fluctuation will generally be offset by using derivative financial instruments as hedging instruments. Derivative financial instruments that the Company and its subsidiaries use as part of the interest risk management include interest rate swaps. The Company and its subsidiaries utilize foreign currency borrowings, foreign exchange contracts and foreign currency swap agreements to hedge exchange rate risk that are associated with certain transactions and investments denominated in foreign currencies. Similarly, overseas subsidiaries generally structure their liabilities to match the currency-denomination of assets in each region. A certain subsidiary holds futures and foreign exchange contracts for the purpose of economic hedges against minimum guarantee risk of variable annuity and variable life insurance contracts. By using derivative instruments, the Company and its subsidiaries are exposed to credit risk in the event of nonperformance by counterparties. The Company and its subsidiaries attempt to manage the credit risk by carefully evaluating the content of transactions and the quality of counterparties in advance and regularly monitoring the amount of notional principal, fair value, type of transaction and other factors pertaining to each counterparty. The Company and its subsidiaries have no derivative instruments with credit-risk-related contingent features as of March 31, 2023 and September 30, 2023. (a) Cash flow hedges The Company and its subsidiaries designate interest rate swap agreements, foreign currency swap agreements and foreign exchange contracts as cash flow hedges for variability of cash flows originating from floating rate borrowings and forecasted transactions and for exchange fluctuations. (b) Fair value hedges The Company and its subsidiaries use financial instruments designated as fair value hedges to hedge their exposure to interest rate risk and foreign currency exchange risk. A certain subsidiary designates foreign exchange contracts to minimize foreign currency exposures on bonds in foreign currencies in the insurance business. The subsidiary also uses interest rate swap agreements to hedge interest rate exposure of the fair values of bonds in foreign currencies in the insurance business. (c) Hedges of net investment in foreign operations The Company and its subsidiaries use foreign exchange contracts and borrowings and bonds denominated in foreign currencies to hedge the foreign currency exposure of the net investment in overseas subsidiaries and affiliates. (d) Derivatives not designated as hedging instruments The Company and its subsidiaries entered into interest rate swap agreements, futures and foreign exchange contracts for risk management purposes which are not qualified for hedge accounting. A certain subsidiary holds futures and foreign exchange contracts for the purpose of economic hedges against minimum guarantee risk of variable annuity and variable life insurance contracts. The effect of derivative instruments on the consolidated statements of income, pre-tax, for the six months ended September 30, 2022 is as follows. (1) Cash flow hedges
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 22,506 |  |  | ¥ | 157 |  |  | ¥ | 0 |
Foreign exchange contracts |  |  | (172 | ) |  |  | 17 |  |  |  | 147 |
Foreign currency swap agreements |  |  | (545 | ) |  |  | 302 |  |  |  | 1,262 |
(2) Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative and other |  |  | Gains (losses) recognized in income on hedged item |
|  | Life insurance premiums and related investment income |  |  | Other (income) and expense |  |  | Life insurance premiums and related investment income |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 3,173 |  |  | ¥ | 0 |  |  | ¥ | (3,058 | ) |  | ¥ | 0 |
Foreign exchange contracts |  |  | (78,667 | ) |  |  | (449 | ) |  |  | 78,817 |  |  |  | 399 |
(3) Hedges of net investment in foreign operations
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative and others |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Gains on sales of subsidiaries and affiliates and liquidation losses, net |  |  | Interest expense |  |  | Other (income) and expense |
Foreign exchange contracts |  | ¥ | (24,595 | ) |  | ¥ | 51 |  |  | ¥ | 1,956 |  |  | ¥ | (252 | )
Borrowings and bonds in foreign currencies |  |  | (122,739 | ) |  |  | 0 |  |  |  | 0 |  |  |  | 0 |
(4) Derivatives not designated as hedging instruments
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative |
|  | Life insurance premiums and related investment income* |  |  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 0 |  |  | ¥ | 3 |  |  | ¥ | (139 | )
Futures |  |  | 852 |  |  |  | 0 |  |  |  | (4,105 | )
Foreign exchange contracts |  |  | 34,472 |  |  |  | 1,950 |  |  |  | 51,589 |
Credit derivatives written |  |  | 0 |  |  |  | 0 |  |  |  | 4 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | (886 | )
* | Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the six months ended September 30, 2022 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
The effect of derivative instruments on the consolidated statements of income, pre-tax, for the six months ended September 30, 2023 is as follows. (1) Cash flow hedges
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 4,011 |  |  | ¥ | 30 |  |  | ¥ | 0 |
Foreign exchange contracts |  |  | 170 |  |  |  | 0 |  |  |  | 0 |
Foreign currency swap agreements |  |  | 5,352 |  |  |  | 1,001 |  |  |  | (6,535 | )
Options held/written and other |  |  | (838 | ) |  |  | 0 |  |  |  | 0 |
(2) Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative and other |  |  | Gains (losses) recognized in income on hedged item |
|  | Life insurance premiums and related investment income |  |  | Other (income) and expense |  |  | Life insurance premiums and related investment income |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 371 |  |  | ¥ | 0 |  |  | ¥ | (227 | ) |  | ¥ | 11 |
Foreign exchange contracts |  |  | (55,247 | ) |  |  | (101 | ) |  |  | 55,301 |  |  |  | 48 |
(3) Hedges of net investment in foreign operations
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative and others |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Gains on sales of subsidiaries and affiliates and liquidation losses, net |  |  | Interest expense |
Foreign exchange contracts |  | ¥ | (30,436 | ) |  | ¥ | (69 | ) |  | ¥ | 7,567 |
Borrowings and bonds in foreign currencies |  |  | (84,367 | ) |  |  | 0 |  |  |  | 0 |
(4) Derivatives not designated as hedging instruments
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative |
|  | Life insurance premiums and related investment income* |  |  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 0 |  |  | ¥ | 2 |  |  | ¥ | (8 | )
Futures |  |  | (1,557 | ) |  |  | 0 |  |  |  | (685 | )
Foreign exchange contracts |  |  | 30,067 |  |  |  | 1,513 |  |  |  | 5,077 |
Credit derivatives held/written |  |  | 0 |  |  |  | 0 |  |  |  | 8 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | (878 | )
* | Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the six months ended September 30, 2023 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
The effect of derivative instruments on the consolidated statements of income, pre-tax, for the three months ended September 30, 2022 is as follows. (1) Cash flow hedges
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 10,230 |  |  | ¥ | (63 | ) |  | ¥ | 0 |
Foreign exchange contracts |  |  | (186 | ) |  |  | (155 | ) |  |  | 239 |
Foreign currency swap agreements |  |  | 1,788 |  |  |  | 180 |  |  |  | (1,763 | )
(2) Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative and other |  |  | Gains (losses) recognized in income on hedged item |
|  | Life insurance premiums and related investment income |  |  | Other (income) and expense |  |  | Life insurance premiums and related investment income |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 1,305 |  |  | ¥ | 0 |  |  | ¥ | (1,309 | ) |  | ¥ | 0 |
Foreign exchange contracts |  |  | (29,199 | ) |  |  | (314 | ) |  |  | 29,275 |  |  |  | 218 |
(3) Hedges of net investment in foreign operations
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative and others |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Gains on sales of subsidiaries and affiliates and liquidation losses, net |  |  | Interest expense |
Foreign exchange contracts |  | ¥ | (2,042 | ) |  | ¥ | (5 | ) |  | ¥ | 1,166 |
Borrowings and bonds in foreign currencies |  |  | (42,929 | ) |  |  | 0 |  |  |  | 0 |
(4) Derivatives not designated as hedging instruments
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative |
|  | Life insurance premiums and related investment income* |  |  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 0 |  |  | ¥ | 2 |  |  | ¥ | (70 | )
Futures |  |  | 173 |  |  |  | 0 |  |  |  | (1,424 | )
Foreign exchange contracts |  |  | 13,332 |  |  |  | 1,696 |  |  |  | 14,519 |
Credit derivatives written |  |  | 0 |  |  |  | 0 |  |  |  | 4 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | (170 | )
* | Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the three months ended September 30, 2022 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
The effect of derivative instruments on the consolidated statements of income, pre-tax, for the three months ended September 30, 2023 is as follows. (1) Cash flow hedges
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 5,389 |  |  | ¥ | (7 | ) |  | ¥ | 0 |
Foreign exchange contracts |  |  | (36 | ) |  |  | 0 |  |  |  | 0 |
Foreign currency swap agreements |  |  | (750 | ) |  |  | 604 |  |  |  | 183 |
Options held/written and other |  |  | (913 | ) |  |  | 0 |  |  |  | 0 |
(2) Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative and other |  |  | Gains (losses) recognized in income on hedged item |
|  | Life insurance premiums and related investment income |  |  | Other (income) and expense |  |  | Life insurance premiums and related investment income |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 79 |  |  | ¥ | 0 |  |  | ¥ | (76 | ) |  | ¥ | 11 |
Foreign exchange contracts |  |  | (13,560 | ) |  |  | 52 |  |  |  | 13,603 |  |  |  | (35 | )
(3) Hedges of net investment in foreign operations
|  | Millions of yen |
|  | Gains (losses) recognized in other comprehensive income on derivative and others |  |  | Gains (losses) reclassified from other comprehensive income (loss) into income |
|  | Gains on sales of subsidiaries and affiliates and liquidation losses, net |  |  | Interest expense |
Foreign exchange contracts |  | ¥ | (5,159 | ) |  | ¥ | 0 |  |  | ¥ | 3,316 |
Borrowings and bonds in foreign currencies |  |  | (21,284 | ) |  |  | 0 |  |  |  | 0 |
(4) Derivatives not designated as hedging instruments
|  | Millions of yen |
|  | Gains (losses) recognized in income on derivative |
|  | Life insurance premiums and related investment income* |  |  | Interest expense |  |  | Other (income) and expense |
Interest rate swap agreements |  | ¥ | 0 |  |  | ¥ | 1 |  |  | ¥ | (6 | )
Futures |  |  | (150 | ) |  |  | 0 |  |  |  | (1,095 | )
Foreign exchange contracts |  |  | 10,595 |  |  |  | 106 |  |  |  | (5,102 | )
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | (345 | )
* | Futures and foreign exchange contracts in the above table include gains (losses) arising from futures and foreign exchange contracts to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for the three months ended September 30, 2023 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for the six months ended September 30, 2022 is as follows. Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income |
|  | Life insurance premiums and related investment income |  |  | Interest expense |  |  | Other (income) and expense |
Foreign exchange contracts |  | ¥ | (1,474 | ) |  | ¥ | 14 |  |  | ¥ | 0 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | 27 |
The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for the three months ended September 30, 2022 is as follows. Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income |
|  | Life insurance premiums and related investment income |  |  | Interest expense |  |  | Other (income) and expense |
Foreign exchange contracts |  | ¥ | (2,155 | ) |  | ¥ | 7 |  |  | ¥ | 0 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | 14 |
The carrying amount of hedged assets and liabilities recognized in balance sheets in fair value hedges and the cumulative amount of fair value hedging adjustments included in the carrying amount (excluding the effect of changes in foreign exchange rates) at March 31, 2023 is as follows.
Assets as hedged items in fair value hedges |  |  | Liabilities as hedged items in fair value hedges |
|  | Millions of yen |  |  |  |  | Millions of yen |
Consolidated balance sheets location |  | Carrying amount |  |  | The cumulative amount of fair value hedging adjustments included in the carrying amount |  |  | Consolidated balance sheets location |  | Carrying amount |  |  | The cumulative amount of fair value hedging adjustments included in the carrying amount |
Investment in Securities |  | ¥ | 470,204 |  |  | ¥ | (1,107 | ) |  | — |  | ¥ | 0 |  |  | ¥ | 0 |
Installment Loans |  |  | 13,969 |  |  |  | (1 | ) |  | — |  |  | 0 |  |  |  | 0 |
The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for the six months ended September 30, 2023 is as follows. Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income |
|  | Life insurance premiums and related investment income |  |  | Interest expense |  |  | Other (income) and expense |
Foreign exchange contracts |  | ¥ | (10,635 | ) |  | ¥ | 17 |  |  | ¥ | 0 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | 25 |
The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for the three months ended September 30, 2023 is as follows. Fair value hedges
|  | Millions of yen |
|  | Gains (losses) recognized in income |
|  | Life insurance premiums and related investment income |  |  | Interest expense |  |  | Other (income) and expense |
Foreign exchange contracts |  | ¥ | (6,578 | ) |  | ¥ | 9 |  |  | ¥ | 0 |
Options held/written and other |  |  | 0 |  |  |  | 0 |  |  |  | 10 |
The carrying amount of hedged assets and liabilities recognized in balance sheets in fair value hedges and the cumulative amount of fair value hedging adjustments included in the carrying amount (excluding the effect of changes in foreign exchange rates) at September 30, 2023 is as follows.
Assets as hedged items in fair value hedges |  |  | Liabilities as hedged items in fair value hedges |
|  | Millions of yen |  |  |  |  | Millions of yen |
Consolidated balance sheets location |  | Carrying amount |  |  | The cumulative amount of fair value hedging adjustments included in the carrying amount |  |  | Consolidated balance sheets location |  | Carrying amount |  |  | The cumulative amount of fair value hedging adjustments included in the carrying amount |
Investment in Securities |  | ¥ | 506,514 |  |  | ¥ | (1,387 | ) |  | — |  | ¥ | 0 |  |  | ¥ | 0 |
Installment Loans |  |  | 15,694 |  |  |  | (1 | ) |  | — |  |  | 0 |  |  |  | 0 |
Notional amounts of derivative instruments and other, fair values of derivative instruments and other before offsetting at March 31, 2023 and September 30, 2023 are as follows. March 31, 2023
|  |  |  |  | Derivative assets |  | Derivative liabilities
|  | Notional amount |  |  | Fair value |  |  | Consolidated balance sheets location |  | Fair value |  |  | Consolidated balance sheets location
|  | Millions of yen |  |  | Millions of yen |  |  |  |  | Millions of yen |  |  |
Derivatives designated as hedging instruments and other: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | ¥ | 568,864 |  |  | ¥ | 22,798 |  |  | Other Assets |  | ¥ | 3,311 |  |  | Other Liabilities
Options held/written and other |  |  | 9,486 |  |  |  | 52 |  |  | Other Assets |  |  | 88 |  |  | —
Futures, foreign exchange contracts |  |  | 933,988 |  |  |  | 2,735 |  |  | Other Assets |  |  | 26,217 |  |  | Other Liabilities
Foreign currency swap agreements |  |  | 99,878 |  |  |  | 1,325 |  |  | Other Assets |  |  | 2,426 |  |  | Other Liabilities
Foreign currency long-term debt |  |  | 748,396 |  |  |  | 0 |  |  | — |  |  | 0 |  |  | —
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | ¥ | 464 |  |  | ¥ | 0 |  |  | — |  | ¥ | 8 |  |  | Other Liabilities
Options held/written and other |  |  | 632,211 |  |  |  | 30,435 |  |  | Other Assets |  |  | 28,335 |  |  | Other Liabilities
Futures, foreign exchange contracts * |  |  | 788,361 |  |  |  | 15,050 |  |  | Other Assets |  |  | 10,978 |  |  | Other Liabilities
Credit derivatives held/written |  |  | 1,098 |  |  |  | 3 |  |  | Other Assets |  |  | 3 |  |  | Other Liabilities
* | The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥14,758 million and foreign exchange contracts of ¥5,554 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2023, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥52 million and ¥12 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥200 million and ¥179 million at March 31, 2023, respectively.
September 30, 2023
|  |  |  |  | Derivative assets |  | Derivative liabilities
|  | Notional amount |  |  | Fair value |  |  | Consolidated balance sheets location |  | Fair value |  |  | Consolidated balance sheets location
|  | Millions of yen |  |  | Millions of yen |  |  |  |  | Millions of yen |  |  |
Derivatives designated as hedging instruments and other: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | ¥ | 603,623 |  |  | ¥ | 26,777 |  |  | Other Assets |  | ¥ | 3,169 |  |  | Other Liabilities
Options held/written and other |  |  | 14,541 |  |  |  | 44 |  |  | Other Assets |  |  | 886 |  |  | Other Liabilities
Futures, foreign exchange contracts |  |  | 972,031 |  |  |  | 2,613 |  |  | Other Assets |  |  | 51,029 |  |  | Other Liabilities
Foreign currency swap agreements |  |  | 107,406 |  |  |  | 491 |  |  | Other Assets |  |  | 6,831 |  |  | Other Liabilities
Foreign currency long-term debt |  |  | 817,200 |  |  |  | 0 |  |  | — |  |  | 0 |  |  | —
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | ¥ | 2,122 |  |  | ¥ | 165 |  |  | Other Assets |  | ¥ | 8 |  |  | Other Liabilities
Options held/written and other |  |  | 564,816 |  |  |  | 33,397 |  |  | Other Assets |  |  | 29,818 |  |  | Other Liabilities
Futures, foreign exchange contracts * |  |  | 871,149 |  |  |  | 37,446 |  |  | Other Assets |  |  | 8,797 |  |  | Other Liabilities
Credit derivatives held/written |  |  | 1,979 |  |  |  | 8 |  |  | Other Assets |  |  | 6 |  |  | Other Liabilities
* | The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥10,229 million and foreign exchange contracts of ¥3,622 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at September 30, 2023, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥144 million and ¥19 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥3 million and ¥168 million at September 30, 2023, respectively.
The Company and its subsidiaries have contracted credit derivatives for the purpose of trading. Details of credit derivatives written as of March 31, 2023 and September 30, 2023 are as follows. March 31, 2023
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 |  |  | Millions of yen |
Credit default swap |  | In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company * |  | ¥ | 1,000 |  |  |  | Less than five years |  |  | ¥ | (3 | )
* | Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of March 31, 2023.
September 30, 2023
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 |  |  | Millions of yen |
Credit default swap |  | In case of credit event (bankruptcy, failure to pay, restructuring) occurring in underlying reference company * |  | ¥ | 1,532 |  |  |  | Less than six years |  |  | ¥ | (6 | )
* | Underlying reference company’s credit ratings are Baa3 or better rated by rating agencies as of September 30, 2023.

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