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F42
Rupees in million
Sr.
No. Particulars
At March 31, 2009
Currency
derivatives1 Interest rate
derivatives2
1. Derivatives (Notional principal amount)
a) For hedging ................................................................................................. 21,807.6 236,802.8
b) For trading ................................................................................................... 1,190,839.4 3,270,348.6
2. Marked to market positions3
a) Asset (+) ..................................................................................................... 24,141.6 3,592.7
b) Liability (–) ................................................................................................... — —
3. Credit exposure4 ................................................................................................ 156,118.5 123,036.2
4. Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 .............................................................................. 212.6 8,902.0
b) On trading derivatives ................................................................................. 2,446.3 1,943.3
5. Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum .................................................................................................... (194.2) (7,993.6)
Minimum ..................................................................................................... (564.4) (11,031.3)
b) On trading
Maximum .................................................................................................... (1,813.7) 5,597.0
Minimum ..................................................................................................... (2,710.5) 61.5
1. Options and cross currency interest rate swaps and currency futures 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 at
March 31, 2010 was Rs. 15,400.7 million (March 31, 2009: Rs. 18,411.4 million) in funded instruments and Rs. 32,881.1 million
(March 31, 2009: Rs. 38,712.6 million) in non-funded instruments which includes Rs. 224.5 million (March 31, 2009:
Rs. 253.6 million) of protection bought by the Bank.
The profit and loss impact on the above portfolio on account of mark-to-market and realised gains/losses during the
year ended March 31, 2010 was net profit of Rs. 3,974.2 million (March 31, 2009: net loss of Rs. 2,754.3 million).
At March 31, 2010, the total outstanding mark-to-market position of the above portfolio was a net loss of Rs. 610.1 million
(March 31, 2009: net loss of Rs. 4,843.9 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 deposit products to customers of its offshore branches with structured returns linked to interest, forex,
credit or equity benchmarks. The Bank covers these exposures in the inter-bank market. At March 31, 2010, the net open
position on this portfolio was Rs. 32.6 million (March 31, 2009: Rs. 116.9 million) with mark-to-market loss of Rs. 3.0 million
(March 31, 2009: loss Rs. 37.5 million) at that date, which has been provided for through profit and loss account.
The notional principal amount of forex contracts classified as non-trading at March 31, 2010 amounted to Rs. 182,911.8
million (March 31, 2009: Rs. 205,635.1 million).
The notional principal amount of forex contracts classified as trading at March 31, 2010 amounted to Rs. 1,477,775.4 million
(March 31, 2009: Rs. 2,378,035.8 million).
The net overnight open position at March 31, 2010 was Rs. 293.2 million (March 31, 2009: Rs. 512.3 million).
schedules
forming part of the Accounts (Contd.)