Derivative Financial Instruments and Hedging (Tables)
|
6 Months Ended |
Sep. 30, 2026 |
|---|
| Derivative Instruments, Gain (Loss) [Line Items] |
|
| Schedule of Effect of Components Excluded From the Assessment of Hedge Effectiveness on the Consolidated Statements of Income |
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.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (losses) recognized in income |
|
|
|
Life insurance premiums and related
investment income |
|
|
|
|
|
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 |
|
| |
|
|
|
|
|
|
|
|
| Consolidated balance sheets location |
|
|
|
|
The cumulative
amount of fair value
hedging adjustments
included in the
carrying amount |
|
|
Consolidated balance sheets location |
|
|
|
|
The cumulative
amount of fair value
hedging adjustments
included in the
carrying amount |
|
| |
|
¥ |
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 |
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
|
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|
|
|
|
|
|
|
|
| |
|
|
|
|
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
|
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|
|
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|
|
|
| |
|
|
|
|
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. |
|
| 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, 2026 and September 30, 2026 are as follows. March 31, 2026
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|
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|
|
| 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. |
|
| 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 |
|
| |
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 |
| (1) Cash flow hedges
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
Gains (losses) recognized
|
|
|
Gains (losses) reclassified from
other comprehensive income (loss) into income |
|
| |
Life insurance premiums
and related investment
income |
|
|
|
|
|
|
|
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 |
|
|
| 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 |
|
|
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 |
| (2) Fair value hedges
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
Gains (losses) recognized in income
|
|
|
Gains (losses) recognized in income
|
|
| |
Life insurance premiums
and related investment
income |
|
|
|
|
|
Other (income) and
expense |
|
|
|
|
|
Other (income) and
expense |
|
Foreign exchange contracts |
|
¥ |
(10,047 |
) |
|
¥ |
2,268 |
|
|
¥ |
(2,160 |
) |
|
¥ |
10,082 |
|
|
¥ |
2,076 |
|
|
| 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 |
|
Foreign exchange contracts |
|
¥ |
356 |
|
|
¥ |
9,890 |
|
|
¥ |
7,109 |
|
Borrowings and bonds in foreign currencies |
|
|
4,554 |
|
|
|
0 |
|
|
|
0 |
| (3) Hedges of net investment in foreign operations
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
Gains (losses) recognized
|
|
|
Gains (losses) reclassified from
other comprehensive income (loss) into income |
|
| |
Gains on sales of
subsidiaries and
equity method investments
and liquidation losses, net |
|
|
|
|
Foreign exchange contracts |
|
¥ |
(955 |
) |
|
¥ |
0 |
|
|
¥ |
2,082 |
|
Borrowings and bonds in foreign currencies |
|
|
1,210 |
|
|
|
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*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. | (4) Derivatives not designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
| |
Gains (losses) recognized in income on derivative |
|
| |
Life insurance premiums and
related investment income*1 |
|
|
|
|
|
|
|
|
|
|
|
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. |
|