ICICI Bank 2010 Annual Report Download - page 123

F43
35. Forward rate agreement (FRA)/Interest rate swaps (IRS)
The following table sets forth, for the periods indicated, the details of the forward rate agreements/interest rate swaps.
Rupees in million
Particulars At
March 31, 2010 At March 31, 2009
i) The notional principal of rupee swap agreements ............................................. 1,870,819.1 1,942,528.9
ii) Losses which would be incurred if all counter parties failed to fulfil their
obligations under the agreement1 ...................................................................... 20,533.2 35,591.8
iii) Collateral required by the Bank upon entering into swaps ................................ ——
iv) Concentration of credit risk arising from the rupee swaps2 ............................... 500.0 919.7
v) The fair value of rupee trading swap book3 ........................................................ (180.5) 622.1
1. For trading portfolio both mark-to-market and accrued interest have been considered and for hedging portfolio, only accrued interest
has been considered.
2. Credit risk concentration is measured as the highest net receivable under swap contracts from a particular counter party.
3. Fair value represents mark-to-market including accrued interest.
36. Exchange traded interest rate derivatives
The following table sets forth, for the periods indicated, the details of exchange traded interest rate derivatives.
Rupees in million
Particulars At
March 31, 2010 At March 31, 2009
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 ................................................................ —7,608.0
c) Treasury note futures – 5 years .................................................................. ——
d) Treasury note futures – 2 years .................................................................. —6,390.7
e) NSE – GOI Bond futures ............................................................................. 0.2 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 ................................................................ ——
c) Treasury note futures – 5 years .................................................................. ——
d) Treasury note futures – 2 years .................................................................. ——
e) NSE – GOI Bond futures ............................................................................ —N.A
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
37. Penalties/fines imposed by RBI and other banking regulatory bodies
There was no penalty imposed by RBI and other banking regulatory bodies during the year ended March 31, 2010
(March 31, 2009: Rs. 400).
38. Small and micro enterprises
Under the Micro, Small and Medium Enterprises Development Act, 2006 which came into force from October 2, 2006,
certain disclosures are required to be made relating enterprises covered under the Act. During the year ended
March 31, 2010, the amount paid to vendors registered under the MSMED Act, 2006 after the due date was Rs. 65.2 million
(March 31, 2009: Nil). An amount of Rs. 1.7 million (March 31, 2009: Nil) has been charged to profit & loss account towards
accrual of interest on these delayed payments.
schedules
forming part of the Accounts (Contd.)