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Derivative Financial Instruments and Hedging (Tables)

12 Months Ended

Mar. 31, 2023

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 2021 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	¥	(1,249	)	¥	6	¥	0
Options held/written and other		0			0		32

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 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, 2022 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	¥	422,938	¥	1,147		—	¥	0	¥	0
Installment Loans		28,836		55		—		0		0

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


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

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, 2022 and 2023 are as follows.

March 31, 2022


			Derivative assets				Derivative liabilities
	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	¥	511,224	¥	9,570		Other Assets	¥	8,170		Other Liabilities
Options held/written and other		847		11		Other Assets		0		—
Futures, foreign exchange contracts		944,282		445		Other Assets		51,953		Other Liabilities
Foreign currency swap agreements		78,445		126		Other Assets		4,518		Other Liabilities
Foreign currency long-term debt		690,381		0		—		0		—
Derivatives not designated as hedging instruments:
Interest rate swap agreements	¥	432	¥	0		—	¥	12		Other Liabilities
Options held/written and other		794,774		25,653		Other Assets		21,562		Other Liabilities
Futures, foreign exchange contracts*		725,685		15,561		Other Assets		19,490		Other Liabilities

The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥15,088 million and foreign exchange contracts of ¥7,415 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2022, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥79 million and ¥57 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥1,325 million and ¥378 million at March 31, 2022, respectively.

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		Consolidated balance sheets location		Millions of yen		Consolidated balance sheets location
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.

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 are as follows and there are no credit derivatives written as of March 31, 2022.

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 refence company*

1,000

Less than five years

)

*	Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of March 31, 2023.

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	¥	5,051		¥	1,522	¥	0
Foreign exchange contracts		(45	)		827		(585	)
Foreign currency swap agreements		(6,043	)		553		5,385


	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

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	¥	9,533		¥	0	¥	(8,990	)	¥	0
Foreign exchange contracts		(5,032	)		438		3,591			(356	)


	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

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 affiliates and liquidation losses, net		Interest expense		Other (income) and expense
Foreign exchange contracts	¥	(27,128	)	¥	1,145	¥	3,181	¥	21
Borrowings and bonds in foreign currencies		(15,840	)		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 affiliates 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 affiliates 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

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		¥	7	¥	(13	)
Futures		(9,412	)		0		6,980
Foreign exchange contracts		(215	)		2,085		12,814
Credit derivatives held		0			0		1
Options held/written and other		(598	)		0		(2,419	)

Futures, foreign exchange contracts and options held/written and other in the above table include gains (losses) arising from futures, foreign exchange contracts and options held to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts for fiscal 2021 (see Note 23 “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		¥	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 “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

- 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