ICICI Bank 2015 Annual Report Download - page 146
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144 Annual Report 2014-2015
Schedules
forming part of the Accounts (Contd.)
Financial Statements of ICICI Bank Limited
The following table sets forth, for the period indicated, the details of derivative positions.
` in million
At March 31, 2015
Particulars Currency
derivatives1
Interest rate
derivatives2
1 Derivatives (Notional principal amount)
a) For hedging 23,695.3 463,792.9
b) For trading 1,027,190.7 2,537,928.1
2 Marked to market positions3
a) Asset (+) 43,892.8 17,658.3
b) Liability (-) (43,608.8) (19,957.6)
3 Credit exposure499,796.9 65,281.4
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6218.1 14,423.4
b) On trading derivatives 1,027.8 694.3
5 Maximum and minimum of 100*PV01 observed during the year5
a) On hedging6
Maximum 345.4 15,651.1
Minimum 172.3 13,067.2
b) On trading
Maximum 1,080.8 832.8
Minimum 714.7 73.9
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 off-setting impact with the underlying
on-balance sheet items.
The following table sets forth, for the period indicated, the details of derivative positions.
` in million
At March 31, 2014
Particulars 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 exposure4128,606.7 69,221.6
4 Likely impact of one percentage change in interest rate (100*PV01)5
a) On hedging derivatives6269.0 14,263.6
b) On trading derivatives 812.0 241.5