ICICI Bank 2015 Annual Report Download - page 147

145Annual Report 2014-2015
forming part of the Accounts (Contd.)
Schedules
Financial Statements of ICICI Bank Limited
` in million
At March 31, 2014
Particulars Currency
derivatives1
Interest rate
derivatives2
5 Maximum and minimum of 100*PV01 observed during the year5
a) On hedging6
Maximum 457.0 15,131.8
Minimum 208.1 12,626.8
b) On trading
Maximum 859.2 1,334.1
Minimum 0.1 3.0
1. Exchange traded and 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, 2015 At March 31, 2014
Trading Non-trading Trading Non-trading
1. Forex contracts (Notional principal amount) 2,380,384.1 518,340.9 2,176,060.0 515,313.7
2. Marked to market positions
Asset (+) 22,585.2 3,660.1 38,418.7 8,549.7
Liability (-) (19,159.2) (5,425.4) (32,983.5) (9,654.1)
3. Credit exposure 84,003.9 13,116.0 95,046.9 10,899.3
4. Likely impact of one percentage change in
interest rate (100*PV01)
23.5 189.1 72.4 396.1
The net overnight open position at March 31, 2015 was ` 1,193.1 million (March 31, 2014: ` 511.7 million).
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, 2015 (March 31, 2014: 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, 2015, the net open
notional position on this portfolio was Nil (March 31, 2014: Nil) with mark-to-market position of net gain of ` 1.4 million
(March 31, 2014: net gain of ` 6.2 million).
The profit and loss impact on the above portfolio on account of mark-to-market and realised profit and loss during
the year ended March 31, 2015 was a net loss of ` 22.0 million (March 31, 2014: 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.