ICICI Bank 2011 Annual Report Download - page 106

F28
The Bank has exposure to 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, 2011 was ` 10,599.7 million (March 31, 2010: ` 15,400.7 million) in funded instruments and ` 28,168.2
million (March 31, 2010: ` 32,881.1 million) in non-funded instruments which includes ` 223.0 million (March 31, 2010:
` 224.5 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, 2011 was a net profit of ` 94.6 million (March 31, 2010: ` 3,974.2 million). At
March 31, 2011, the total outstanding mark-to-market position of the above portfolio was a net loss of ` 527.9 million
(March 31, 2010: ` 610.1 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, credit or
equity benchmarks. The Bank covers these exposures in the inter-bank market. At March 31, 2011, the net open position
on this portfolio was Nil (March 31, 2010: ` 32.6 million) with mark-to-market gain of ` 27.8 million (March 31, 2010:
` 3.0 million). The profit and loss impact on account of mark-to-market and realized profit and loss during the year ended
March 31, 2011 was a net profit of ` 57.6 million.
The notional principal amount of forex contracts classified as non-trading at March 31, 2011 amounted to
` 340,828.8 million (March 31, 2010: ` 182,911.8 million). The notional principal amount of forex contracts classified as
trading at March 31, 2011 amounted to ` 2,127,789.6 million (March 31, 2010: ` 1,477,775.4 million). The net overnight
open position at March 31, 2011 was ` 502.1 million (March 31, 2010: ` 293.2 million).
17. Exchange traded interest rate derivatives
The following table sets forth, for the periods indicated, the details of exchange traded interest rate derivatives.
` in million
Particulars At
March 31, 2011
At
March 31, 2010
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 ............................................................. ——
c) Treasury note futures – 5 years ............................................................... ——
d) Treasury note futures – 2 years ............................................................... ——
e) NSE – GOI Bond futures ........................................................................... —0.2
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 .......................................................................... ——
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.
Pursuant to RBI circular DBOD.No.BP.BC.51/21.06.101/2010-11 dated October 28, 2010, the Bank has started dealing in
exchange traded currency options. The outstanding notional principal amount of these derivatives at March 31, 2011 was
` 9,418.5 million.
forming part of the Accounts (Contd.)
schedules