ICICI Bank 2008 Annual Report Download - page 116

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F42
Rupees in million
As on March 31, 2008
Sr.
No. Particulars Currency
derivatives1
Interest rate
derivatives2
1. Derivatives (Notional principal amount)3
a) For hedging ..................................................................................................... 27,056.3 206,265.5
b) For trading ....................................................................................................... 993,177.9 6,318,496.0
2. Marked to market positions4
a) Asset (+) ......................................................................................................... 30,085.1 184.5
b) Liability (-) ........................................................................................................ ——
3. Credit exposure5 .................................................................................................... 109,607.8 83,103.4
4. Likely impact of one percentage change in interest rate (100*PV01)6
a) On hedging derivatives7 .................................................................................. 559.5 8,879.2
b) On trading derivatives ..................................................................................... 1,777.8 2,270.7
5. Maximum and minimum of 100*PV01 observed during the year
a) On hedging7
Maximum ........................................................................................................ (11.6) (4,268.4)
Minimum ......................................................................................................... (714.7) (9,467.8)
b) On trading .......................................................................................................
Maximum ........................................................................................................ (313.2) 2,809.2
Minimum ......................................................................................................... (1,870.9) 464.9
1. Options and cross currency interest rate swaps are included in currency derivatives.
2. Foreign currency interest rate swaps, forward rate agreements and swaptions are included in interest rate derivatives.
3. Excludes notional amount of options sold for Rs. 597,333.2 million.
4. For trading portfolio including accrued interest. Represents net positions.
5. Includes accrued interest.
6. Amounts given are absolute values.
7. The swap contracts entered for hedging purpose would have an opposite and offsetting impact with the underlying on-balance sheet
items.
Rupees in million
As on March 31, 2007
Sr.
No Particulars Currency
derivatives1
Interest rate
derivatives2
1. Derivatives (Notional principal amount)3
a) For hedging ................................................................................................. 1,441.0 145,066.4
b) For trading ................................................................................................... 730,931.6 2,794,743.1
2. Marked to market positions4
a) Asset (+) ..................................................................................................... 5,044.8 1,828.6
b) Liability (-) .................................................................................................... ——
3. Credit exposure ................................................................................................. 40,376.0 42,433.4
4. Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 .............................................................................. 12.5 5,031.7
b) On trading derivatives ................................................................................. 683.7 684.8
5. Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum .................................................................................................... — (1,098.1)
Minimum ..................................................................................................... (14.5) (5,031.9)
b) On trading
Maximum .................................................................................................... 1,934.0 1,965.5
Minimum ..................................................................................................... (847.8) (369.5)
1. Options and cross currency interest rate swaps are included in currency derivatives.
2. Foreign currency interest rate swaps, forward rate agreements and swaptions are included in interest rate derivatives.
3. Excludes notional amount of options sold for Rs. 444,221.2 million.
4. For trading portfolio excluding accrued interest. Represents net positions.
5. Amounts given are absolute values.
6. The swap contracts entered for hedging purpose would have an opposite and offsetting impact with the underlying on-balance sheet
items.
schedules
forming part of the Accounts (Contd.)
ICICI_BK_AR_2008_(F1_F46).indd 42ICICI_BK_AR_2008_(F1_F46).indd 42 6/20/08 3:26:05 PM6/20/08 3:26:05 PM