ICICI Bank 2012 Annual Report Download - page 104

F26
The following table sets forth the details of derivative positions at March 31, 2012. ` in million
Sr. Particulars
No.
At March 31, 2012
Currency
derivatives1
Interest rate
derivatives 2
1 Derivatives (Notional principal amount)
a) For hedging ............................................................................................. 5,062.2 312,533.7
b) For trading .............................................................................................. 1,214,603.2 2,446,693.6
2 Marked to market positions3
a) Asset (+) ................................................................................................. 59,517.3 28,323.4
b) Liability (-) ............................................................................................... (46,244.0) (26,520.7)
3 Credit exposure4 ......................................................................................... 118,689.8 80,110.9
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 ......................................................................... 45.3 11,751.7
b) On trading derivatives ............................................................................ 1,038.9 2,752.9
5 Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum ................................................................................................ (1.3) (9,523.0)
Minimum ................................................................................................. (50.8) (13,444.8)
b) On trading
Maximum ................................................................................................ (620.3) 2,956.8
Minimum ................................................................................................. (1,270.0) (1,899.8)
1. Exchange traded and Over the Counter (OTC) options, cross currency interest rate swaps and currency futures are included in
currency derivatives.
2. Interest rate swaps, forward rate agreements, swaptions and exchange traded interest rate derivatives 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 into for hedging purpose would have an opposite and offsetting impact with the underlying on-balance
sheet items.
The following table sets 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 ............................................................................................. 1,316,079.5 3,866,544.9
2 Marked to market positions3
a) Asset (+) ................................................................................................ 53,618.2 40,802.3
b) Liability (-) .............................................................................................. (46,478.2) (40,823.7)
3 Credit exposure4 ........................................................................................ 120,177.9 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. Exchange traded and OTC options, cross currency interest rate swaps and currency futures are included in currency derivatives.
2. Interest rate swaps, forward rate agreements, swaptions and exchange traded interest rate derivatives 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 into for hedging purpose would have an opposite and offsetting impact with the underlying on-balance
sheet items.
forming part of the Accounts (Contd.)
schedules