ICICI Bank 2012 Annual Report Download - page 197

F119
b. Level of interest rate risk
The following table sets forth one possible prediction of the impact on the net interest income of changes in interest
rates on interest sensitive positions for the year ending March 31, 2012, assuming a parallel shift in the yield curve:
` in million
Change in interest rates1
Currency -100 basis points +100 basis points
INR (2,072.4) 2,072.4
USD (433.0) 433.0
JPY (85.2) 85.2
GBP (193.9) 193.9
EURO (72.6) 72.6
CHF 8.1 (8.1)
CAD (205.2) 205.2
Others (157.4) 157.4
Total (3,211.6) 3,211.6
1. Consolidated figures for ICICI Bank and its banking subsidiaries, ICICI Home Finance Company, ICICI Securities Primary
Dealership Limited and ICICI Securities and its subsidiaries.
The following table sets forth one possible prediction of the impact on economic value of equity of changes in
interest rates on interest sensitive positions at March 31, 2012, assuming a parallel shift in the yield curve:
` in million
Change in interest rates1,2
Currency -100 basis points +100 basis points
INR 23,001.2 (23,001.2)
USD 2,290.0 (2,290.0)
JPY (324.0) 324.0
GBP (245.8) 245.8
EURO (426.0) 426.0
CHF 4.1 (4.1)
CAD 748.9 (748.9)
Others 315.2 (315.2)
Total 25,363.6 (25,363.6)
1. For INR, coupon and yield of Indian government securities and for other currencies, coupon and yield of currency-wise
Libor/swap rates have been assumed across all time buckets that are closest to the mid point of the time buckets.
2. Consolidated figures for ICICI Bank and its banking subsidiaries, ICICI Home Finance Company, ICICI Securities Primary
Dealership Limited, ICICI Securities and its subsidiaries.
12. LIQUIDITY RISK
Liquidity risk is the risk of inability to meet financial commitments as they fall due, through available cash flows or
through sale of assets at fair market value. It is the current and prospective risk to the Bank’s earnings and equity arising
out of inability to meet the obligations as and when they become due. It includes both, the risk of unexpected increases
in the cost of funding an asset portfolio at appropriate maturities as well as the risk of being unable to liquidate a position
in a timely manner at a reasonable price.
The goal of liquidity risk management is to be able, even under adverse conditions, to meet all liability repayments on
time and to fund all investment opportunities by raising sufficient funds either by increasing liabilities or by converting
assets into cash expeditiously and at reasonable cost.
Organisational set-up
The Bank manages liquidity risk in accordance with its ALM Policy. This policy is framed as per the extant regulatory
guidelines and is approved by the Board of Directors. The ALM Policy is reviewed periodically to incorporate changes
as required by regulatory stipulation or to realign with changes in the economic landscape. The ALCO of the Bank
formulates and reviews strategies and provides guidance for management of liquidity risk within the framework laid out
in the ALM Policy. The Risk Committee of the Board has oversight on the ALCO.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2012