ICICI Bank 2008 Annual Report Download - page 117

F43
The Bank deals in credit derivative instruments including credit default swaps, credit linked notes, collateralised
debt obligations and principal protected structures. The notional principal amount of these credit derivatives outstanding
at March 31, 2008 was Rs. 12,231.2 million in funded instruments and Rs. 50,568.5 million in non-funded instruments
which includes Rs. 200.6 million of protection bought by the Bank. The mark- to- market loss as on March 31, 2008 on the
above portfolio was Rs. 5,870.6 million, which has been provided for through the profit and loss account. The profit and
loss impact on the above portfolio on account of mark-to-market and realised losses during the year ended March 31, 2008
was a net loss of Rs. 6,848.3 million.
The credit derivatives are marked to market by the Bank based on counter-party valuation quotes, or internal models using
inputs from market sources such as Bloomberg/Reuters, counter-parties and FIMMDA.
The Bank offers deposits to customers of its offshore branches with structured returns linked to interest, forex or equity
benchmarks. The Bank covers these exposures in the inter-bank market. As on March 31, 2008, the net open position on
this portfolio was Rs. 4.0 million with mark-to-market of Rs. 0.1 million as on that date, which has been provided for through
profit and loss account.
The notional principal amount of forex contracts classified as hedging amounted to Rs. 393,701.5 million (March 31, 2007:
Rs. 288,639.6 million).
The notional principal amount of forex contracts classified as trading amounted to Rs. 2,678,010.8 million (March 31, 2007:
Rs. 1,042,920.8 million).
The net overnight open position at March 31, 2008 was Rs. 2,584.5 million (March 31, 2007: Rs. 1,279.7 million).
33. Forward rate agreement (“FRA”)/Interest rate swaps (“IRS”)
The details of the forward rate agreements/interest rate swaps are given below:
Rupees in million
Particulars As on
March 31, 2008 As on March 31, 2007
i) The notional principal of rupee swap agreements1 ..................................... 5,618,122.6 2,389,261.3
ii) Losses which would be incurred if all counter parties failed to fulfil their
obligations under the agreement................................................................. 37,181.6 37,605.4
iii) Collateral required by the Bank upon entering into swaps ......................... ——
iv Concentration of credit risk arising from the rupee swaps2 ........................ 307.5 657.9
v) The fair value of rupee trading swap book3 ................................................. (120.9) 1,111.4
1. Notional principal of swap agreements includes both hedge and trading portfolio.
2. Credit risk concentration is measured as the highest net receivable under swap contracts from a particular counter-party.
3. Fair value represents dirty mark-to-market.
34. Exchange traded interest rate derivatives
The details of exchange traded interest rate derivatives are given below:
Rupees in million
Particulars As on
March 31, 2008 As on March 31, 2007
i) Notional principal amount of exchange traded interest rate
derivatives undertaken during the year (instrument-wise)
a) Euro dollar futures ............................................................................... ——
b) Treasury note futures – 10 years ........................................................ 7,021.0 22,476.0
c) Treasury note futures – 5 years .......................................................... 4,557.6 3,399.0
d) Treasury note futures – 2 years .......................................................... 1,380.1 N.A.
ii) Notional principal amount of exchange traded interest rate
derivatives outstanding (instrument-wise)
a) Euro dollar futures ............................................................................... ——
b) Treasury note futures – 10 years ........................................................ —652.1
c) Treasury note futures – 5 years .......................................................... —130.4
d) Treasury note futures – 2 years .......................................................... ——
iii) Notional principal amount of exchange traded interest rate derivatives
outstanding and not “highly effective ” (instrument-wise) N.A. N.A.
iv) Mark-to-market value of exchange traded interest rate derivatives
outstanding and not “highly effective” (instrument-wise) N.A. N.A.
Note: All the transactions in exchange traded derivatives have been entered into by foreign branches for trading portfolio.
schedules
forming part of the Accounts (Contd.)
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