ICICI Bank 2016 Annual Report Download - page 157

Annual Report 2015-2016 155
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
Sr.
No. Particulars
At March 31, 2016 At March 31, 2015
Currency
derivative1
Interest rate
derivative2
Currency
derivative1
Interest rate
derivative2
1 Derivatives (Notional principal amount)
a) For hedging 13,895.2 565,237.3 23,695.3 463,792.9
b) For trading 946,749.3 2,348,522.6 1,027,190.7 2,537,928.1
2 Marked to market positions3
a) Asset (+) 35,782.6 16,697.9 43,892.8 17,658.3
b) Liability (-) (33,844.0) (17,159.2) (43,608.8) (19,957.6)
3 Credit exposure4 86,084.6 62,874.1 99,796.9 65,281.4
4Likely impact of one percentage change in interest
rate (100*PV01)5
a) On hedging derivatives6 96.9 16,621.7 218.1 14,423.4
b) On trading derivatives 1,380.5 1,076.2 1,027.8 694.3
5Maximum and minimum of 100*PV01 observed
during the period
a) On hedging6
Maximum 228.0 16,960.1 345.4 15,651.1
Minimum 93.7 12,732.7 172.3 13,067.2
b) On trading
Maximum 1,730.8 1,708.6 1,080.8 832.8
Minimum 962.4 88.4 714.7 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 tables set forth, for the periods indicated, the details of forex contracts.
` in million
Sr.
No. Particulars At March 31, 2016 At March 31, 2015
Trading Non-trading Trading Non-trading
1Forex contracts (Notional principal amount) 3,048,537.0 519,192.1 2,380,384.1 518,340.9
2 Marked to market positions
a) Asset (+) 16,659.3 3,563.5 22,585.2 3,660.1
b) Liability (-) (14,362.8) (5,775.9) (19,159.2) (5,425.4)
3 Credit exposure1 102,000.4 11,278.1 84,003.9 13,116.0
4Likely impact of one percentage change in interest rate
(100*PV01)2 28.2 88.2 23.5 189.1
1. Computed based on current exposure method.
2. Amounts given are absolute values on a net basis.
The net overnight open position at March 31, 2016 was ` 1,272.1 million (March 31, 2015: ` 1,193.1 million).