ICICI Bank 2016 Annual Report Download - page 85

83Annual Report 2015-2016
Treasury
ICICI Bank’s treasury operations comprise the Asset Liability Management Group, Markets Group and Proprietary Trading
Group.
The Asset Liability Management Group actively manages the Bank’s liquidity and securities portfolio held for compliance
with statutory and regulatory requirements. The Group focuses on optimisation of yield on the overall portfolio, while
maintaining an appropriate portfolio duration given the volatile interest rate environment.
The Markets Group offers foreign exchange and derivative solutions to clients and continues to be a major player in the
segment. The Bank provides global coverage of markets with a detailed insight into local markets. It provides clients
with regular market updates as well as quantitative and qualitative research on topics, related to macroeconomics and
nancial markets. The Bank has also launched the gold metal loan product for domestic jewellery manufacturers in scal
2016 as restrictions imposed on gold imports were relaxed by the RBI.
The Proprietary Trading Group manages trading positions within the approved risk limits. The Bank is a leading player in
private placements of bonds/debentures. It has dedicated sales coverage of institutional debt investors across various
segments.
The Bank continues to receive awards and recognition in this area. It has been recognised as the ‘Best Foreign Exchange
Bank – India’ by FinanceAsia in its 2015 Country Awards for Achievement and the ‘Derivatives House of the Year – India’
by The Asset in its 2015 Triple A Private Banking, Wealth Management and Investment Awards.
Risk Management
Risk is an integral part of the banking business and the Bank aims at achieving an appropriate trade-off between risk
and returns. Key risks that the Bank is exposed to include credit, market, liquidity, operational (including information
security), legal, compliance and reputation risks, among others. The Bank has put in place an Enterprise Risk Management
framework that articulates its risk appetite and details the drill down of the same into a limit framework for various risk
categories. The risk governance framework ensures oversight and accountability, continuous monitoring for vulnerability
mapping and an integrated evaluation for effective risk management.
The Board of Directors has oversight on all the risks assumed by the Bank. The Board has established Committees to
facilitate focused oversight of various risks. These Committees have specic terms of reference. Policies approved from
time to time by the Board of Directors or Committees of the Board constitute the governing framework for each type
of risk. Business activities are undertaken within this policy framework. Independent groups and sub-groups have been
constituted across the Bank to facilitate independent evaluation, monitoring and reporting of various risks. These groups
function independently of the business groups.
Every year, the Risk Committee approves a detailed calendar of reviews. The calendar of reviews include reviews of
risk management policies in relation to various risks, risk prole of the Bank, its overseas banking subsidiaries and key
non-banking subsidiaries, assessment of capital adequacy based on the risk prole of the balance sheet and status with
respect to the implementation of advanced approaches under the Basel framework. The Credit Committee also approves
a detailed calendar of reviews every year covering the Bank’s exposure to various industries and outlook for those
industries, analysis of non-performing loans, overdues, incremental sanctions and specic review of key portfolios. A
summary of the reviews carried out by the Credit Committee and Risk Committee is reported to the Board of Directors.
The Bank has dedicated groups (Risk Management Group, Compliance Group, Corporate Legal Group, Internal Audit
Group and Financial Crime Prevention and Reputation Risk Management Group) with a mandate to identify, assess and
monitor the Bank’s principal risks in accordance with well-dened policies and procedures. The Risk Management Group,
Corporate Legal Group and Financial Crime Prevention and Reputation Risk Management Group report to an Executive
Director. The Audit Committee provides direction to and monitors the quality of the compliance and internal audit function.