ICICI Bank 2009 Annual Report Download - page 178

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F104
Marked-to-market (MTM) on the trading book
In addition to the above, the price risk of the trading book is monitored through a framework of daily and
cumulative trigger limits. The trading book includes securities held for SLR purposes, all fixed income securities
in available for sale (AFS) and held for trading (HFT) book, interest rate swaps, and any other derivatives, which
have to be marked to market. The management of price risk of the trading book is detailed in the investment
policy. MTM on trading book of other entities in the Group is also monitored as described above.
Hedging policy
Depending on the underlying asset or liabilities and prevailing market conditions, the Bank enters into hedge
transactions for the banking book. The Bank has a policy for undertaking hedge transactions. These hedges
are periodically assessed for hedge effectiveness as per the applicable financial guidelines.
b. Level of interest rate risk
The following table sets forth, using the balance sheet as at March 31, 2009 as the base, one possible prediction
of the impact of changes in interest rates on net interest income for the year ending March 31, 2009, assuming
a parallel shift in the yield curve:
Currency
Change in interest rates (in basis points)
(100) (50) 50 100
Impact on NII (Rupees in million)
INR (83.9) (42.0) 42.0 83.9
US$ (647.6) (323.8) 323.8 647.6
JPY 121.1 60.6 (60.6) (121.1)
GBP (534.6) (267.3) 267.3 534.6
EURO 118.8 59.4 (59.4) (118.8)
CHF 17.5 8.8 (8.8) (17.5)
CAD (490.2) (245.1) 245.1 490.2
Others 92.9 46.4 (46.4) (92.9)
Total1(1,406.0) (703.0) 703.0 1,406.0
1. Consolidated figures for ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada, ICICI Bank Eurasia LLC, ICICI Home Finance
Company, ICICI Securities and its subsidiaries.
As on March 31, 2009, impact on economic value of equity is as follows:
Currency
Change in interest rates (in basis points)
(100) (50) 50 100
Impact on Economic Value1,2 (Rupees in million)
INR 29,704.0 14,852.0 (14,852.0) (29,704.0)
US$ 1,119.9 560.0 (560.0) (1,119.9)
JPY 664.6 332.3 (332.3) (664.6)
GBP (601.8) (300.9) 300.9 601.8
EURO (361.4) (180.7) 180.7 361.4
CHF 22.3 11.2 (11.2) (22.3)
CAD (964.1) (482.1) 482.1 964.1
Others 175.7 87.9 (87.9) (175.7)
Total329,759.3 14,879.7 (14,879.7) (29,759.3)
1. The economic value has been computed assuming parallel shifts in the yield curves across all currencies.
2. For INR, coupon and yield of 7% across all time buckets have been assumed. For other currencies, coupon and yield of currency
wise Libor/swap rates have been assumed across all time buckets that are closest to the mid point of the time buckets.
3. Consolidated figures for ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada, ICICI Bank Eurasia LLC, ICICI Home Finance
Company, ICICI Securities and its subsidiaries.
BASEL II – Pillar 3 Disclosures (Consolidated)