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Derivative Financial Instruments and Hedging (Tables)

12 Months Ended

Mar. 31, 2024

Derivative Instruments, Gain (Loss) [Line Items]

Schedule of Effect of Components Excluded From the Assessment of Hedge Effectiveness on the Consolidated Statements of Income

The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for fiscal 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		¥	(1,233	)		¥	9			¥	0
Options held/written and other			0				0				31

The effect of the components excluded from the assessment of hedge effectiveness on the consolidated statements of income, pre-tax, for fiscal 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		¥	(12,299	)		¥	20			¥	0
Options held/written and other			0				0				55

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 fiscal 2024 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		¥	(25,208	)		¥	31			¥	0
Options held/written and other			0				0				57

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, 2024 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		¥	489,908			¥	(1,088	)			—			¥	0			¥	0
Installment Loans			15,882				0				—				0				0

Notional Amounts of Derivative Instruments and Other, 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, 2023 and 2024 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				Other Liabilities
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.

March 31, 2024

						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		¥	518,990			¥	18,889				Other Assets			¥	3,722				Other Liabilities
Options held/written and other			44,774				40				Other Assets				1,039				Other Liabilities
Futures, foreign exchange contracts			958,260				2,841				Other Assets				63,703				Other Liabilities
Foreign currency swap agreements			113,962				470				Other Assets				6,563				Other Liabilities
Foreign currency long-term debt			849,630				0				—				0				—
Derivatives not designated as hedging instruments:
Interest rate swap agreements		¥	1,930			¥	106				Other Assets			¥	6				Other Liabilities
Options held/written and other			468,422				15,309				Other Assets				13,355				Other Liabilities
Futures, foreign exchange contracts *			646,085				35,331				Other Assets				7,294				Other Liabilities
Credit derivatives written			1,000				0				—				4				Other Liabilities

* The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥4,863 million and foreign exchange contracts of ¥524 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2024, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥0 million and ¥9 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥170 million and ¥94 million at March 31, 2024, respectively.

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, 2023 and 2024 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.

March 31, 2024

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 four years

¥

(4

)

* Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of March 31, 2024.

Cash flow hedges

Derivative Instruments, Gain (Loss) [Line Items]

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

(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		¥	16,507			¥	1,615			¥	0
Foreign exchange contracts			(542	)			223				487
Foreign currency swap agreements			(2,075	)			559				3,030

		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		¥	23,838			¥	175			¥	0
Foreign exchange contracts			(184	)			(893	)			893
Foreign currency swap agreements			(2,268	)			766				905
Options held/written and other			(48	)			0				0

		Millions of yen
		Gains (losses) recognized in other comprehensive income on derivative				Gains (losses) reclassified from other comprehensive income (loss) into income
						Life insurance premiums and related investment income				Interest expense				Other (income) and expense
Interest rate swap agreements		¥	(5,090	)		¥	0			¥	(114	)		¥	0
Foreign exchange contracts			(57	)			0				0				0
Foreign currency swap agreements			2,733				0				2,521				(6,299	)
Options held/written and other			(1,092	)			(0	)			0				0

Fair value hedges

Derivative Instruments, Gain (Loss) [Line Items]

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

(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		¥	4,142			¥	0			¥	(4,068	)		¥	0
Foreign exchange contracts			(37,997	)			5				37,659				89

		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		¥	2,633			¥	0			¥	(2,499	)		¥	0
Foreign exchange contracts			(42,947	)			(412	)			43,006				332

		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		¥	(216	)		¥	0			¥	335			¥	0
Foreign exchange contracts			(61,917	)			(130	)			62,028				42

Hedges of net investment in foreign operations

Derivative Instruments, Gain (Loss) [Line Items]

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

(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 equity method investments and liquidation losses, net				Interest expense				Other (income) and expense
Foreign exchange contracts		¥	(28,498	)		¥	(104	)		¥	1,673			¥	5
Borrowings and bonds in foreign currencies			(63,922	)			0				0				0

		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 equity method investments and liquidation losses, net				Interest expense				Other (income) and expense
Foreign exchange contracts		¥	(21,316	)		¥	(7,874	)		¥	7,051			¥	(252	)
Borrowings and bonds in foreign currencies			(66,947	)			0				0				0

		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 equity method investments and liquidation losses, net				Interest expense
Foreign exchange contracts		¥	(41,341	)		¥	(87	)		¥	14,865
Borrowings and bonds in foreign currencies			(97,221	)			0				0

Derivatives not designated as hedging instruments

Derivative Instruments, Gain (Loss) [Line Items]

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

(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			¥	6			¥	(22	)
Futures			(1,075	)			0				186
Foreign exchange contracts			20,254				1,308				38,330
Credit derivatives held			0				0				(1	)
Options held/written and other			0				0				(749	)

* 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 fiscal 2022 (see Note 23 “Income and Expenses Relating to Life Insurance Operations”).

		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			¥	5			¥	(222	)
Futures			(855	)			0				(1,300	)
Foreign exchange contracts			21,659				4,231				49,589
Credit derivatives held/written			0				0				3
Options held/written and other			0				0				1,828

* 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 fiscal 2023 (see Note 23 “Income and Expenses Relating to Life Insurance Operations”).

		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			¥	4			¥	92
Futures			(3,046	)			0				1,073
Foreign exchange contracts			40,127				2,980				16,152
Credit derivatives held/written			0				0				(27	)
Options held/written and other			0				0				750

* 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 fiscal 2024 (see Note 23 “Income and Expenses Relating to Life Insurance Operations”).

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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).

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