ICICI Bank 2006 Annual Report Download - page 93

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F34
The details of the forward rate agreements/interest rate swaps are given below.
As on As on
Particulars March 31, 2006 March 31, 2005
i) The notional principal of rupee swap agreements 1..................................... 1,870,025.6 1,165,402.0
ii) Losses which would be incurred if all counter-parties failed to
fulfil their obligations under the agreements ................................................ 16,754.4 9,865.3
iii) Collateral required by the Bank upon entering into swaps ........................... ——
iv) Concentration of credit risk arising from the rupee swaps........................... 476.4 274.6
v) The fair value of rupee trading swap book 2.................................................. 922.4 333.6
1. Notional principal of swap agreements includes both hedge and trading portfolio.
2. Fair value represents clean mark-to-market.
32. Exchange Traded Interest Rate Derivatives
The detail of exchange traded interest rate derivatives is given below.
Rupees in million
Sr. Particulars As on
No. March 31, 2006
(i) Notional principal amount of exchange traded interest rate
derivatives undertaken during the year (instrument-wise)
a) Euro dollar futures ................................................................................. 133,577.3
b) Treasury note futures – 10 years ........................................................... 13,496.0
c) Treasury note futures – 5 years ............................................................. 3,319.4
(ii) Notional principal amount of exchange traded interest rate ........................
derivatives outstanding as on March 31, 2006 (instrument-wise)
a) Euro dollar futures ................................................................................. —
b) Treasury note futures – 10 year ............................................................. 1,516.9
c) Treasury note futures – 5 year ............................................................... —
(iii) Notional principal amount of exchange traded interest rate
derivatives outstanding and not “highly effective” (instrument-wise) .......... N.A
(iv) Mark-to-market value of exchange traded interest rate
derivatives outstanding and not “highly effective” (instrument-wise) .......... N.A
Note: All the transactions in exchange traded derivatives have been entered into by foreign branches for trading portfolio.
Rupees in million
Sr. Particulars As on
No. March 31, 2005
(i) Notional principal amount of exchange traded interest rate
derivatives undertaken during the year (instrument-wise)
a) Euro dollar futures ................................................................................. 73,404.1
b) Treasury note futures – 10 years ........................................................... 153.1
c) Treasury note futures – 5 years ............................................................. 1,224.9
(ii) Notional principal amount of exchange traded interest rate
derivatives outstanding as on March 31, 2005 (instrument-wise)
a) Euro dollar futures ................................................................................. —
b) Treasury note futures – 10 years ........................................................... 65.6
c) Treasury note futures – 5 years ............................................................. —
(iii) Notional principal amount of exchange traded interest rate
derivatives outstanding and not “highly effective” (instrument-wise) .......... N.A
(iv) Mark-to-market value of exchange traded interest rate
derivatives outstanding and not “highly effective” (instrument-wise) .......... N.A
Note: All the transactions in exchange traded derivatives have been entered into by foreign branches for trading portfolio.
forming part of the Accounts (Contd.)
schedules