ICICI Bank 2014 Annual Report Download - page 115

F27
The Bank has exposure in credit derivative instruments including credit default swaps (CDS) and principal protected
structures. The notional principal amount of these credit derivatives outstanding at March 31, 2014 was Nil (March 31,
2013: Nil) in funded instrument and Nil (March 31, 2013: ` 3,065.6 million) in non-funded instruments.
The profit and loss impact on the above portfolio on account of mark-to-market and realised gain/losses during the year
ended March 31, 2014 was net loss of ` 11.8 million (March 31, 2013: net profit ` 75.0 million). At March 31, 2014, the
total outstanding mark-to-market position of the above portfolio was Nil (March 31, 2013: net gain of ` 10.8 million). Non
Rupee denominated 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 Fixed Income Money
Market and Derivative Association (FIMMDA). Rupee denominated credit derivatives are marked-to-market by the Bank
based on FIMMDA published CDS curve.
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, 2014, the net open
position on this portfolio was Nil (March 31, 2013: Nil) with mark-to-market position of ` 6.2 million (March 31, 2013: `
13.9 million). The profit and loss impact on account of mark-to-market and realised profit and loss during the year ended
March 31, 2014 was a net loss of ` 22.0 million (March 31, 2013: net loss of ` 18.7 million).
The notional principal amount of forex contracts classified as non-trading at March 31, 2014 amounted to ` 515,313.7
million (March 31, 2013: ` 526,615.8 million). For these non-trading forex contracts, at March 31, 2014, marked-to-market
position was asset of ` 8,549.7 million (March 31, 2013: ` 2,855.4 million) and liability of ` 9,654.1 million (March 31,
2013: ` 6,652.4 million), credit exposure of ` 10,899.3 million (March 31, 2013: ` 16,131.9 million) and likely impact of one
percentage change in interest rate (100*PV01) was ` 396.1 million (March 31, 2013: ` 52.3 million).
The notional principal amount of forex contracts classified as trading at March 31, 2014 amounted to ` 2,176,060.0
million (March 31, 2013: ` 2,311,888.1 million). For these trading forex contracts, at March 31, 2014, marked-to-market
position was asset of ` 38,418.7 million (March 31, 2013: ` 38,526.6 million) and liability of ` 32,983.5 million (March 31,
2013: ` 32,462.9 million), credit exposure of ` 95,046.9 million (March 31, 2013: ` 97,274.0 million) and likely impact of
one percentage change in interest rate (100*PV01) was ` 72.4 million (March 31, 2013: ` 58.9 million). The net overnight
open position at March 31, 2014 was ` 511.7 million (March 31, 2013: ` 573.8 million).
15. Exchange traded interest rate derivatives and currency options
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, 2014
At
March 31, 2013
i) Notional principal amount of exchange traded interest rate derivatives
undertaken during the year ........................................................................... 10,057.6 —
ii) Notional principal amount of exchange traded interest rate derivatives
outstanding .................................................................................................... ——
iii) Notional principal amount of exchange traded interest rate derivatives
outstanding and not "highly effective" .......................................................... N.A. N.A.
iv) Mark-to-market value of exchange traded interest rate derivatives
outstanding and not "highly effective" .......................................................... N.A. N.A.
Exchange traded currency options
The following table sets forth, for the periods indicated, the details of exchange traded currency options.
` in million
Particulars At
March 31, 2014
At
March 31, 2013
i) Notional principal amount of exchange traded currency options
undertaken during the year ........................................................................... 37,806.3 257,249.4
ii) Notional principal amount of exchange traded currency options
outstanding .................................................................................................... —2,084.3
iii) Notional principal amount of exchange traded currency options
outstanding and not “highly effective” N.A. N.A.
iv) Mark-to-market value of exchange traded currency options outstanding
and not “highly effective” ............................................................................. N.A. N.A.
forming part of the Accounts (Contd.)
schedules