v3.26.3
Derivative Financial Instruments and Hedging
 6 Months Ended
Sep. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments and Hedging
21.
Derivative Financial Instruments and Hedging
During the six months ended September 30, 2026, the business of ORIX Bank, a former consolidated subsidiary of the Company, was classified as a discontinued operation. As a result, the amounts of derivative instruments are presented based on continuing operations, excluding the discontinued operation, for both the current and prior periods. For further information on the discontinued operations, see Note 26 “Discontinued Operations.”
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 appropriately manage exchange rate risk by using means such as foreign currency-denominated loans, foreign exchange contracts and currency swaps to hedge exchange rate volatility in our business transactions in foreign currencies and overseas investments. 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, 2026 and September 30, 2026.
(a) Cash flow hedges
The Company and its subsidiaries designate interest rate swap agreements, foreign currency swap agreements, foreign exchange contracts and forward agreements 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 equity method investments.
(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, 2025 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		  
  Life insurance premiums
and related investment
income		      Interest expense     Other (income) and
expense		  
Interest rate swap agreements
    ¥ (2,575 )    ¥ 0      ¥ (121 )    ¥ 0  
Foreign exchange contracts
      298       0        945       (4,017 ) 
Foreign currency swap agreements
      5,174       0        1,124       (2,906 ) 
Options held/written and other
      (6,469 )      50        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		      Interest expense      Other (income) and
expense		     Life insurance premiums
and related investment
income		     Other (income) and
expense		  
Interest rate swap agreements
    ¥ 0      ¥ 0      ¥ (36 )    ¥ 0     ¥ (62 ) 
Foreign exchange contracts
      5,252        630        (2,995 )      (5,217 )      1,380  
(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  
Foreign exchange contracts
    ¥ 356      ¥ 9,890      ¥ 7,109  
Borrowings and bonds in foreign currencies
      4,554        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*1		     Interest expense*2     Other (income) and
expense		  
Interest rate swap agreements
    ¥ 0     ¥ 0     ¥ 33  
Futures
      (1,106 )      0       2,513  
Foreign exchange contracts
      (3,070 )      (2,436 )      (11,733 ) 
Credit derivatives held/written
      0       0       (2 ) 
Options held/written and other
      0       0       95  
 
*1
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, 2025 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
*2
The portion of gains (losses) recognized in income on derivative arising from foreign exchange contracts that represents interest rate adjustments is recognized as interest expense.
The effect of derivative instruments on the consolidated statements of income,
pre-tax,
for the six months ended September 30, 2026 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
  
 
Life insurance premiums
and related investment
income
     
Interest expense
    
Other (income) and

expense
  
Interest rate swap agreements
    ¥ 9,760     ¥ 0      ¥ (286 )    ¥ 0  
Foreign exchange contracts
      182       0        0       0  
Foreign currency swap agreements
      (10,662 )     0        773       6,085  
Options held/written and other
      (3,873 )      152        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
    
Interest expense
     
Other (income) and
expense
    
Life insurance premiums

and related investment

income
     
Other (income) and
expense
  
Foreign exchange contracts
    ¥ (10,047 )    ¥ 2,268      ¥ (2,160 )
 
   ¥ 10,082      ¥ 2,076  
(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
  
Foreign exchange contracts
    ¥ (955 )
 
   ¥ 0      ¥ 2,082  
Borrowings and bonds in foreign currencies
      1,210       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*1
    
Interest expense*2
    
Services income
    
Services expense
     
Other (income) and
expense
  
Interest rate swap agreements
    ¥ 0     ¥ 0     ¥ 0     ¥ 0      ¥ 15  
Futures
      (292 )      0       (2 )      15        1,946  
Foreign exchange contracts
      (386 )      (2,950 )      0       0        2,518  
Credit derivatives held/written
      0       0       0       0        (2 ) 
Options held/written and other
      0       0       0       0        (2,474 ) 
 
*1
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, 2026 (see Note 17 “Income and Expenses Relating to Life Insurance Operations”).
*2
The portion of gains (losses) recognized in income on derivative arising from foreign exchange contracts that represents interest rate adjustments is recognized as interest expense.
 
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, 2025 is as follows.
Fair value hedges
 
     Millions of yen  
     Gains (losses) recognized in income  
     Life insurance premiums and related
investment income		      Interest expense  
Foreign exchange contracts
    ¥ 8,761      ¥ (4 ) 
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, 2026 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
    ¥ 701,086      ¥ 10,090      Long-term Debt    ¥ 23,000      ¥ 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, 2026 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
 
Interest rate swap agreements
  
¥
0
 
  
¥
0
 
 
¥
4
 
Foreign exchange contracts
  
 
8,285
 
  
 
(17
) 
 
 
0
 
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, 2026 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
    ¥ 718,569      ¥ 7,941     
Long-term Debt
    ¥ 14,500      ¥ 0  
 
Notional amounts of derivative instruments and other, fair values of derivative instruments and other before offsetting at March 31, 2026 and September 30, 2026 are as follows.
March 31, 2026
 
          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
   ¥ 615,793     ¥ 26,273     Other Assets   ¥ 2,287     Other Liabilities
Options held/written and other
     76,234       0         —     15,426     Other Liabilities
Futures, foreign exchange contracts
     1,048,627       3,704     Other Assets     70,789     Other Liabilities
Foreign currency swap agreements
     482,092       41,090     Other Assets     12     Other Liabilities
Foreign currency long-term debt
     83,286       0         —     0         —
Derivatives not designated as hedging instruments:
          
Interest rate swap agreements
   ¥ 2,274     ¥ 85     Other Assets   ¥ 2     Other Liabilities
Options held/written and other
       774,332       17,402     Other Assets     6,117     Other Liabilities
Futures, foreign exchange contracts*
     1,284,971       65,959     Other Assets     23,402     Other Liabilities
Credit derivatives held/written
     1,372       0         —     23     Other Liabilities
 
*
The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥1,741 million and foreign exchange contracts of ¥964 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at March 31, 2026, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥47 million and ¥8 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥6 million and ¥23 million at March 31, 2026, respectively.
September 30, 2026
 
          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
   ¥ 541,023     ¥ 28,839     Other Assets   ¥ 1,802     Other Liabilities
Options held/written and other
     88,466       361     Other Assets     17,129     Other Liabilities
Futures, foreign exchange contracts
     1,121,027       11,282     Other Assets     23,369     Other Liabilities
Foreign currency swap agreements
     482,102       26,895     Other Assets     6,170     Other Liabilities
Foreign currency long-term debt
     81,968       0         —     0         —
Derivatives not designated as hedging instruments:
          
Interest rate swap agreements
   ¥ 16,579     ¥ 119     Other Assets   ¥ 59     Other Liabilities
Options held/written and other
     877,893       34,258     Other Assets     20,914     Other Liabilities
Futures, foreign exchange contracts*
     1,727,413       24,679     Other Assets     24,213     Other Liabilities
Credit derivatives held/written
     1,169       0         —     13     Other Liabilities
 
*
The notional amounts of futures and foreign exchange contracts in the above table include futures contracts of ¥940 million and foreign exchange contracts of ¥600 million to economically hedge the minimum guarantee risk of variable annuity and variable life insurance contracts at September 30, 2026, respectively. Derivative assets in the above table include fair value of the futures and foreign exchange contracts before offsetting of ¥4 million and ¥4 million and derivative liabilities include fair value of the futures and foreign exchange contracts before offsetting of ¥13 million and ¥2 million at September 30, 2026, respectively.
 
The Company and its subsidiaries have contracted credit derivatives for the purpose of trading. Details of credit derivatives written as of March 31, 2026 and September 30, 2026 are as follows.
March 31, 2026
 
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
two years
  
 
    ¥ (2 ) 
 
*
Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of March 31, 2026.
September 30, 2026
 
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
one year
  
 
    ¥ (0 ) 
 
*
Underlying reference company’s credit ratings are A1 or better rated by rating agencies as of September 30, 2026.