ICICI Bank 2016 Annual Report Download - page 158

Annual Report 2015-2016156
Schedules
forming part of the Accounts (Contd.)
Financial Statements of ICICI Bank Limited
The Bank has no exposure in credit derivative instruments (funded and non-funded) including credit default swaps
(CDS) and principal protected structures at March 31, 2016 (March 31, 2015: Nil).
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, 2016, the net open
notional position on this portfolio was Nil (March 31, 2015: Nil) with mark-to-market position of net gain of ` 0.1
million (March 31, 2015: net gain of ` 1.4 million).
The prot and loss impact on the above portfolio on account of mark-to-market and realised prot and loss during
the year ended March 31, 2016 was a net loss of ` 16.5 million (March 31, 2015: net loss of ` 22.0 million). Non-Rupee
denominated 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.
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, 2016
At
March 31, 2015
i) Notional principal amount of exchange traded interest rate derivatives
undertaken during the year - 10 year Government Security Notional Bond 61,510.0 76,383.2
ii) Notional principal amount of exchange traded interest rate derivatives
outstanding - 10 year Government Security Notional Bond 2,352.4 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, 2016
At
March 31, 2015
i) Notional principal amount of exchange traded currency options undertaken
during the year 369,688.2 148,171.1
ii) Notional principal amount of exchange traded currency options outstanding 2,938.5 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.