ICICI Bank 2014 Annual Report Download - page 116

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16. Forward rate agreement (FRA)/Interest rate swaps (IRS)
The Bank enters into FRA and IRS contracts for balance sheet management and market making purposes whereby the
Bank offers derivative products to its customers to enable them to hedge their interest rate risk within the prevalent
regulatory guidelines.
A FRA is a financial contract between two parties to exchange interest payments for a ‘notional principal’ amount
on settlement date, for a specified period from start date to maturity date. Accordingly, on the settlement date, cash
payments based on contract rate and the settlement rate, which is the agreed bench-mark/reference rate prevailing on
the settlement date, are made by the parties to one another. The benchmark used in the FRA contracts of the Bank is
London Inter-Bank Offered Rate (LIBOR) of various currencies.
An IRS is a financial contract between two parties exchanging or swapping a stream of interest payments for a ‘notional
principal’ amount on multiple occasions during a specified period. The Bank deals in interest rate benchmarks like
Mumbai Inter-Bank Offered Rate (MIBOR), Indian government securities Benchmark rate (INBMK), Mumbai Inter Bank
Forward Offer Rate (MIFOR) and LIBOR of various currencies.
These contracts are subject to the risks of changes in market interest rates as well as the settlement risk with the
counterparties.
The following table sets forth, for the periods indicated, the details of the forward rate agreements/interest rate swaps.
` in million
Particulars At
March 31, 2014
At
March 31, 2013
i) The notional principal of FRA/IRS ................................................................ 2,401,993.1 2,368,069.4
ii) Losses which would be incurred if all counter parties failed to fulfil their
obligations under the agreement1 ................................................................ 29,809.2 24,232.5
iii) Collateral required by the Bank upon entering into FRA/IRS ...................... ——
iv) Concentration of credit risk2 ......................................................................... 1,766.6 1,971.2
v) The fair value of FRA/IRS3 ............................................................................. 13,005.0 21,530.0
1. For trading portfolio both mark-to-market and accrued interest have been considered and for hedging portfolio, only accrued
interest has been considered.
2. Credit risk concentration is measured as the highest net receivable under swap contracts from a particular counter party.
3. Fair value represents mark-to-market including accrued interest.
17. Non-Performing Assets
The following table sets forth, for the periods indicated, the details of movement of gross non-performing assets (NPAs),
net NPAs and provisions.
` in million
Particulars Year ended
March 31, 2014
Year ended
March 31, 2013
i) Net NPAs (funded) to net advances (%) ................................................... 0.97% 0.77%
ii) Movement of NPAs (Gross)
a) Opening balance1 ................................................................................ 96,077.5 94,753.3
b) Additions: Fresh NPAs during the year2 ................................................ 45,314.4 35,870.6
Sub-total (1) ......................................................................................... 141,391.9 130,623.9
c) Reductions during the year2
•Upgradations ................................................................................... (3,856.7) (6,600.8)
•Recoveries(excludingrecoveriesmadefromupgradedaccounts) (10,707.3) (11,486.7)
•Write-offs ......................................................................................... (21,769.5) (16,458.9)
Sub-total (2) ............................................................................................... (36,333.5) (34,546.4)
d) Closing balance1 (1-2) .......................................................................... 105,058.4 96,077.5
iii) Movement of Net NPAs
a) Opening balance1 ................................................................................ 22,305.6 18,608.4
b) Additions during the year2 .................................................................. 26,316.4 20,469.0
c) Reductions during the year2 ............................................................... (15,642.4) (16,771.8)
d) Closing balance1 ................................................................................. 32,979.6 22,305.6
forming part of the Accounts (Contd.)
schedules