ICICI Bank 2014 Annual Report Download - page 114

F26
Derivative transactions are covered under International Swaps and Derivatives Association (ISDA) master agreements
with the respective counter parties. The exposure on account of derivative transactions is computed as per RBI guidelines
and is marked against the credit limits approved for the respective counter-parties.
The following table sets forth, for the period indicated, the details of derivative positions. ` in million
Sr. Particulars
No.
At March 31, 2014
Currency
derivatives1
Interest rate
derivatives2
1 Derivatives (Notional principal amount)
a) For hedging .............................................................................................. 18,866.1 403,298.3
b) For trading ............................................................................................... 1,025,968.1 2,065,298.3
2 Marked to market positions3
a) Asset (+) .................................................................................................. 55,248.0 25,994.1
b) Liability (-) ................................................................................................ (57,603.6) (26,320.9)
3 Credit exposure4 .......................................................................................... 128,606.7 69,221.6
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 .......................................................................... 269.0 14,263.6
b) On trading derivatives ............................................................................. 812.0 241.5
5 Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum ................................................................................................. (208.1) (12,626.8)
Minimum .................................................................................................. (457.0) (15,131.8)
b) On trading
Maximum ................................................................................................. 859.2 1,334.1
Minimum .................................................................................................. (379.8) (408.1)
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.
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, for the period indicated, the details of derivative positions. ` in million
Sr. Particulars
No.
At March 31, 2013
Currency
derivatives1
Interest rate
derivatives2
1 Derivatives (Notional principal amount)
a) For hedging ............................................................................................ 9,542.3 289,235.8
b) For trading ............................................................................................. 960,781.2 2,162,061.6
2 Marked to market positions3
a) Asset (+) ................................................................................................ 40,132.1 25,141.2
b) Liability (-) .............................................................................................. (38,894.3) (21,768.6)
3 Credit exposure4 ........................................................................................ 103,047.2 73,436.3
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6 ........................................................................ 211.7 13,248.2
b) On trading derivatives ........................................................................... 364.8 1,060.9
5 Maximum and minimum of 100*PV01 observed during the year
a) On hedging6
Maximum ............................................................................................... (44.4) (11,690.5)
Minimum ................................................................................................ (226.0) (14,194.8)
b) On trading
Maximum ............................................................................................... (243.9) 2,145.2
Minimum ................................................................................................ (1,395.5) 796.1
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.
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 enter into for hedging purpose would have an opposite an offsetting impact with the underlying on-balance
sheet items.
forming part of the Accounts (Contd.)
schedules