ICICI Bank 2015 Annual Report Download - page 148

146 Annual Report 2014-2015
Schedules
forming part of the Accounts (Contd.)
Financial Statements of ICICI Bank Limited
16. 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, 2015
At
March 31, 2014
i) Notional principal amount of exchange traded interest rate derivatives
undertaken during the year - 10 year Government Security Notional Bond
76,383.2 10,057.6
ii) Notional principal amount of exchange traded interest rate derivatives
outstanding - 10 year Government Security Notional Bond
9,125.0 –
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, 2015
At
March 31, 2014
i) Notional principal amount of exchange traded currency options undertaken
during the year
148,171.1 37,806.3
ii) Notional principal amount of exchange traded currency options outstanding 4,645.4 –
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.
Exchange traded currency futures
The following table sets forth, for the periods indicated, the details of exchange traded currency futures.
` in million
Particulars At
March 31, 2015
At
March 31, 2014
i) Notional principal amount of exchange traded currency futures undertaken
during the year
625,328.4 425,257.3
ii) Notional principal amount of exchange traded currency futures outstanding 1,324.8 –
iii) Notional principal amount of exchange traded currency futures outstanding
and not “highly effective”
N.A. N.A.
iv) Mark-to-market value of exchange traded currency futures outstanding and not
“highly effective”
N.A. N.A.
17. 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 ‘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.