ICICI Bank 2011 Annual Report Download - page 105
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F27
The following tables set forth the details of derivative positions at March 31, 2011.
` in million
Sr. Particulars
No.
At March 31, 2011
Currency
derivatives1
Interest rate
derivatives 2
1 Derivatives (Notional principal amount)
a) For hedging ............................................................................................. 4,105.4 279,739.8
b) For trading .............................................................................................. 1,306,661.0 3,866,544.9
2 Marked to market positions3
a) Asset (+) ................................................................................................. 7,062.9 —
b) Liability (-) ............................................................................................... — (21.4)
3 Credit exposure4 ......................................................................................... 119,912.5 96,389.0
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 ......................................................................... 39.8 9,828.1
b) On trading derivatives ............................................................................ 854.4 1,898.0
5 Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum ................................................................................................ (39.8) (6,126.5)
Minimum ................................................................................................. (69.1) (10,546.1)
b) On trading
Maximum ................................................................................................ (802.2) 5,407.4
Minimum ................................................................................................. (1,532.5) 1,572.2
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 and has been computed based on Current Exposure method.
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.
` in million
Sr. Particulars
No.
At March 31, 2010
Currency
derivatives1
Interest rate
derivatives 2
1 Derivatives (Notional principal amount)
a) For hedging ............................................................................................ 23,432.8 235,286.1
b) For trading ............................................................................................. 1,136,020.6 3,145,275.0
2 Marked to market positions3
a) Asset (+) ................................................................................................ 13,891.8 1,459.8
b) Liability (-) .............................................................................................. — —
3 Credit exposure4 ........................................................................................ 115,703.5 91,886.0
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 ........................................................................ 58.2 7,288.5
b) On trading derivatives ........................................................................... 1,380.6 1,646.7
5 Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum ............................................................................................... (54.6) (6,835.8)
Minimum ................................................................................................ (323.9) (9,071.7)
b) On trading
Maximum ............................................................................................... (1,358.8) 2,322.6
Minimum ................................................................................................ (2,121.7) 1,282.0
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.
forming part of the Accounts (Contd.)
schedules