ICICI Bank 2016 Annual Report Download - page 160

Annual Report 2015-2016158
Schedules
forming part of the Accounts (Contd.)
Financial Statements of ICICI Bank Limited
The following tables set forth, for the periods indicated, the nature and terms of FRA and IRS.
Hedging ` in million
Benchmark Type
At March 31, 2016 At March 31, 2015
Notional
principal
No. of
deals
Notional
principal
No. of
deals
AUD LIBOR Fixed receivable v/s oating payable 7,647.0 3 7,130.3 3
CHF LIBOR Fixed receivable v/s oating payable 6,919.6 2 6,422.8 2
JPY LIBOR Fixed receivable v/s oating payable 2,949.0 1 2,602.4 1
SGD SOR Fixed receivable v/s oating payable 13,055.2 6 12,960.7 7
USD LIBOR Fixed receivable v/s oating payable 534,666.5 111 434,676.8 90
Total 565,237.3 123 463,792.9 103
Trading ` in million
Benchmark Type
At March 31, 2016 At March 31, 2015
Notional
principal
No. of
deals
Notional
principal
No. of
deals
CAD CDOR Fixed receivable v/s oating payable – – 12,872.4 5
CAD CDOR Floating receivable v/s xed payable 102.8 1 13,609.4 8
CHF LIBOR Fixed receivable v/s oating payable 3,113.8 1 2,890.2 1
CHF LIBOR Floating receivable v/s xed payable – – 706.5 2
CHF LIBOR Floating receivable v/s oating payable – – 642.3 1
EURIBOR Fixed receivable v/s oating payable 37,407.0 19 7,249.0 19
EURIBOR Floating receivable v/s xed payable 37,155.3 14 6,277.3 12
EURIBOR Floating receivable v/s oating payable 1,738.3 3 670.7 1
GBP LIBOR Fixed receivable v/s oating payable 3,725.0 9 8,894.9 11
GBP LIBOR Floating receivable v/s xed payable 5,371.4 7 6,601.8 9
INBMK Fixed receivable v/s oating payable 14,500.0 27 18,000.0 36
INBMK Floating receivable v/s xed payable 32,649.8 53 46,379.6 74
JPY LIBOR Fixed receivable v/s oating payable 5,935.6 13 8,470.7 16
JPY LIBOR Floating receivable v/s xed payable 3,655.0 5 4,439.3 8
JPY LIBOR Floating receivable v/s oating payable 1,771.0 2 2,264.8 4
MIBOR Fixed receivable v/s oating payable 301,141.8 590 406,038.1 625
MIBOR Floating receivable v/s xed payable 297,605.1 594 398,742.0 605
MIBOR Floating receivable v/s oating payable – – 2,000.0 1
MIFOR Fixed receivable v/s oating payable 249,585 498 261,565.0 553
MIFOR Floating receivable v/s xed payable 235,635 512 243,425.0 526
SGD SOR Floating receivable v/s xed payable – – 21.8 3
SGD SOR Fixed receivable v/s oating payable 2,950.8 2 – –
USD LIBOR Fixed receivable v/s oating payable 542,236.5 699 488,955.8 684
USD LIBOR Floating receivable v/s xed payable 473,302.2 430 481,636.8 447
USD LIBOR Floating receivable v/s oating payable 55,704.0 58 26,810.1 43
USD LIBOR
v/s EURIBOR
Floating receivable v/s oating payable
2,499.8 2 3,144.2 2
Others Fixed receivable v/s xed payable 12,340.3 199 20,128.0 118
Total 2,320,125.5 3,738 2,472,435.8 3,814