ICICI Bank 2009 Annual Report Download - page 115

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F41
Rupees in million
As on March 31, 2008
Sr.
No. Particulars Currency
derivatives1Interest rate
derivatives2
1. Derivatives (Notional principal amount)
a) For hedging ........................................................................................... 27,056.3 206,265.5
b) For trading ............................................................................................. 1,536,757.0 6,372,250.2
2. Marked to market positions3
a) Asset (+) ............................................................................................... 30,085.1 184.5
b) Liability (–) ............................................................................................. — —
3. Credit exposure4 ............................................................................................ 109,607.8 83,103.4
4. Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 ........................................................................ 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 hedging6
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. For trading portfolio including accrued interest. Represents net positions.
4. Includes accrued interest.
5. Amounts given are absolute values on a net basis, excluding options.
6. The swap contracts entered for hedging purpose would have an opposite and offsetting impact with the underlying on-balance sheet
items.
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 as on
March 31, 2009 was Rs. 18,411.4 million (March 31, 2008: Rs. 12,231.2 million) in funded instruments and Rs. 38,712.6
million (March 31, 2008: Rs. 50,568.5 million) in non-funded instruments which includes Rs. 253.6 million (March 31, 2008:
Rs. 200.6 million) of protection bought by the Bank.
The profit and loss impact of the above portfolio on account of mark-to-market and realised loss during the year ended
March 31, 2009 was a net loss of Rs. 2,754.3 million (March 31, 2008: Rs. 6,848.3 million). As on March 31, 2009, the total
outstanding mark-to-market position of the above portfolio was a net loss of Rs. 4,843.9 million (March 31, 2008: Rs. 5,870.6
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, 2009, the net open position
on this portfolio was Rs. Nil (March 31, 2008: Rs. 4.0 million) with mark-to-market loss of Rs. Nil (March 31, 2008:
Rs. 0.1 million).
The notional principal amount of forex contracts, classified as non-trading at March 31, 2009 amounted to Rs. 205,635.1
million (March 31, 2008: Rs. 393,701.5 million). The notional principal amount of forex contracts classified as trading at
March 31, 2009 amounted to Rs. 2,378,035.8 million (March 31, 2008: Rs. 2,678,010.8 million).
The net overnight open position at March 31, 2009 was Rs. 512.3 million (March 31, 2008: Rs. 2,584.5 million).
forming part of the Accounts (Contd.)
schedules