Market and credit risks of derivatives transactions
First written in FY2017. 4 of 11 entries say "Mitigated", first in FY2019. Latest entry: FY2026.
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- FY2026MitigatedAnnual report
「As of 31 March 2026, VaR for financial instruments other than those held for trading was ¥33,228 million (¥48,136 million at the end of the previous consolidated fiscal year).」
VaR for financial instruments other than those held for trading decreased from ¥4,800 million to ¥3,300 million. Backtesting and stress testing are continuing. - FY2026-H1Increase in valuation gains and losses on currency-related derivativesAnnual report
「Total ― ― 1,176 5,197」
The fair value of currency-related derivatives transactions was ¥117.6 million and valuation gains and losses were ¥519.7 million, updated from the end of the previous fiscal year. - FY2024WorsenedAnnual report
「As of 31 March 2024, VaR for financial instruments other than those held for trading was ¥59,702 million (¥48,018 million at the end of the previous consolidated fiscal year).」
VaR for financial instruments other than those held for trading increased from ¥4,801.8 million to ¥5,970.2 million. Backtesting and stress testing are continuing. - FY2024-Q2Update to valuation gains and losses on currency-related derivativesAnnual report
「Currency swaps 7,563 7,563 1 1 FX forwards Short positions 121,096 42,000 △9,650 △9,650 Long positions 117,687 43,836 9,842 9,842 Currency options Short positions 123,470 91,746 △6,194 △879 Long positions 123,470 91,746 6,114 1,788 Other Short positions 184,423 184,333 △325 △301 Long positions 184,423 184,333 264 2,308 Total ― ― 54 3,111」
For currency-related derivatives transactions at the end of September 2023, the contract amounts, fair values, and valuation gains and losses were updated. Total valuation gains and losses amounted to ¥311.1 million. - FY2023MitigatedAnnual report
「As of 31 March 2023, VaR for financial instruments other than those held for trading was ¥48,018 million (¥57,708 million at the end of the previous consolidated fiscal year).」
VaR for financial instruments other than those held for trading decreased from ¥5,770.8 million to ¥4,801.8 million. Backtesting and stress testing are continuing. - FY2023-Q3Increase in valuation gains and losses on foreign exchange-related derivatives transactionsAnnual report
「Over-the-counter Currency swaps 7,057 2 2 FX forwards 336,372 149 149 Currency options 234,183 △180 819 Other 452,302 △549 2,304 Total ― △577 3,276」
For currency-related derivatives transactions at the end of December 2022, the contract amounts and valuation gains and losses, including those on FX forwards, were updated. Total valuation gains and losses amounted to ¥327.6 million. - FY2022MitigatedAnnual report
「As of 31 March 2022, VaR for financial instruments other than those held for trading was ¥57,708 million (¥60,786 million at the end of the previous consolidated fiscal year).」
VaR for financial instruments other than those held for trading decreased from ¥6,078.6 million to ¥5,770.8 million. Backtesting and stress testing are also continuing. - FY2021WorsenedAnnual report
「As of 31 March 2021, VaR for financial instruments other than those held for trading was ¥60,786 million (¥50,852 million at the end of the previous consolidated fiscal year).」
VaR for financial instruments other than those held for trading increased from ¥5,085.2 million to ¥6,078.6 million. Regular stress testing is also conducted in addition to VaR measurement. - FY2019MitigatedAnnual report
「The credit risk equivalent calculated using the current exposure method under the capital adequacy regulations (domestic standards) was ¥52,418 million as of the end of March 2019.」
The credit risk equivalent for derivatives transactions decreased from ¥67,633 million in the previous fiscal year to ¥52,418 million. - FY2018WorsenedAnnual report
「The principal risks associated with derivatives transactions are market risk, under which losses arise from fluctuations in market prices, and credit risk associated with contractual nonperformance due to the bankruptcy or other failure of a counterparty. The credit risk equivalent calculated using the current exposure method under the capital adequacy regulations (domestic standards) was ¥67,633 million as of the end of March 2018.」
The credit risk equivalent for derivatives transactions increased from ¥60,005 million at the end of the previous fiscal year to ¥67,633 million. - FY2017First statedAnnual report
「The principal risks associated with derivatives transactions are market risk, under which losses arise from fluctuations in market prices, and credit risk associated with contractual nonperformance due to the bankruptcy or other failure of a counterparty. The credit risk equivalent calculated using the current exposure method under the capital adequacy regulations (domestic standards) was ¥60,005 million as of the end of March 2017.」
The disclosure presents the market risk and counterparty credit risk associated with derivatives transactions and quantifies the credit risk equivalent.