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Name: Gopal Krishan

Semester: III

Enrollment No. 09BS0002792

IUD No. 0901202792

Course Code: SLBK602

Course Title: Treasury Management

Name of the faculty: Prof. Subbakrishna K. R.

Submitted on: 21

st

August, 2010Assignment title: Comparative financial

statement analysis of IDBI and ICICI bank

with special reference to treasury management

and banking regulations perspective

Sign. Student Sign Faculty

ICFAI UNIVERSITY

DEHRADUN

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1. Significant accounting policies

Both the banks i.e. ICICI and IDBI bank follow all the accounting policies as prescribed

by the different legislatures for preparing the financial statements. As per the schedules to

the financial statements, all the financial statements are prepared in accordance with the

requirements prescribed in the Banking Regulation Act, 1949. Method of accounting is

followed as per the accrual basis unless otherwise stated. GAAP and Accounting

standards issued by the ICAI are used to the extent applicable. Historical cost convention

is followed while preparing the financial statements unless otherwise stated. The rules

and regulations which are timely issued by the authorities are being complied with while

preparing the financial statements.

2. Capital and capital adequacy

ICICI:

a. As per the RBI guidelines, banks have to maintain the adequate capital as per

the Basel II norms applicable from March 31, 2008. A minimum ratio

maintained of total capital to the risk adjusted assets (CRAR) should be 9%

with a minimum of Ties I capital ratio of 6%.

b. RBI has stipulated that banks need to maintain a capital which is higher of the

two, minimum capital requirement calculated as per Basel I norms or the

minimum capital required as per calculation in Basel II norms.

In millions As per Basel I As per Basel II31-Mar-10 31-Mar-09 31-Mar-10 31-Mar-09

Tier I capital 432,614.30 420,098.10 410,615.10 421,967.60

(Of which Lower Tier I) 28,210.00 30,168.60 28,210.00 30,168.60

Tier II capital 181,569.10 129,715.90 160,409.90 131,585.30

(Of which Upper Tier II) 137,912.00 109,100.00 137,912.00 109,100.00

Total capital 614,183.40 549,814.00 571,025.00 553,552.90

Total risk weighted assets 3,208,425.40 3,453,378.90 2,941,805.80 3,564,629.90

CRAR (%) 19.14% 15.92% 19.41% 15.53%

CRAR Tier I capital (%) 13.48% 12.16% 13.96% 11.84%

CRAR Tier II capital (%) 5.66% 3.76% 5.45% 3.69%

Amount raised by issue of

Innovative Perpetual Debt

Instruments (IPDI) during the

year

Amount of subordinated debt

raised as Tier II capital during

the year

62,000.00 45,210.00 62,000.00 45,210.00

Analysis of capital adequacy norms: The ICICI bank has a CRAR (%) of 19.14 which is

very high. If we check the norms, it should be 9%. For the Tier-I capital the %age is

stipulated to be 6%. ICICI bank has these ratios very high as compared to the norm which is

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g. ICICI bank is also into bullion business, for which the revenue is recognized

as follows:

i. Difference between prices recovered when the bullion is sold to the

customer.

ii. In the borrowing and lending of bullion, interest is accounted for

received and paid as and when it becomes due.

IDBI bank also follows the above mentioned revenue recognition policies however there is

one difference that was found in the policies followed by both the banks as per their

schedules. That is, IDBI bank gives an explanation

Commissions on LC/ guarantee are reckoned as accrued, upfront in cases where the

commission does not exceed Rs.1 lakh and, in other cases, accrued over the period of LC/

Guarantees.

Also, ICICI bank is more comprehensive in giving details of revenue recognition as

compared to IDBI bank.

4. Investments

ICICI:

a. All the investments are classified into 3 categories namely, held to maturity,

available for sale and held for trading. These investments are further

classified into 6 categories, (1) Government securities, (2) other approved

securities, (3) shares, (4) bonds and debentures, (5) subsidiaries and joint

ventures and (6) others.

b. Held to maturity are carried at their acquisition cost or at amortized cost.

c. If asset is acquired at a premium or a value higher than the face value the

difference is amortized over the remaining life of the investment on a straight

line basis.

d. Other investments are valued periodically as per the RBI guidelines.

e. Costs related to investments like brokerage are charged to profit and loss

account.

f. Profit on sale of investments in held to maturity is charged to profit and loss

account and thereafter appropriated to the capital reserve.

SCHEDULE 8 INVESTMENTS (in 000) 31-Mar-10 31-Mar-09

I. Investments in India [net of provisions]

i) Government securities 683,991,406 633,774,902

ii) Other approved securities 45,009 93,405

iii) Shares (includes equity and preference shares) 27,557,381 17,031,332

iv) Debentures and bonds 36,353,907 26,000,683

v) Subsidiaries and/or joint ventures1 62,226,766 61,194,621

vi) Others (commercial paper, mutual fund units, pass through

certificates, security receipts, certificate of deposits etc.)

307,378,383 196,688,823

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TOTAL INVESTMENTS IN India 1,117,552,852 934,783,766

II. Investments outside India [net of provisions]

i) Government securities 1,645,046 953,347

ii) Subsidiaries and/or joint ventures abroad (includes equity and

preference shares)

66,005,026 65,924,016

iii) Others 23,725,081 28,921,951

TOTAL INVESTMENTS OUTSIDE India 91,375,153 95,799,314

TOTAL INVESTMENTS 1,208,928,005 1,030,583,080

III. Investments in India

Gross value of investments 1,129,332,338 947,314,476

Less: Aggregate of provision/depreciation 11,779,486 12,530,710

Net investments 1,117,552,852 934,783,766

IV. Investments outside India

Gross value of investments 91,756,742 97,586,277

Less: Aggregate of provision/depreciation 381,589 1,786,963

Net investments 91,375,153 95,799,314

TOTAL INVESTMENTS 1,208,928,005 1,030,583,080

IDBI:

a. All the investments are classified into 3 categories namely, held to maturity,

available for sale and held for trading. These investments are further

classified into 6 categories, (1) Government securities, (2) other approved

securities, (3) shares, (4) bonds and debentures, (5) subsidiaries and joint

ventures and (6) others.

b. Investments that are held principally for resale within 90 days of the date

of purchase are classified as held for trading.

c. Brokerage, commission, stamp duty and other taxes paid are included in

cost of acquisition in respect of acquisition of equity instruments from the

secondary market whereas in respect of other investments, including

treasury investments, such expenses are charged to revenue.

d. If asset is acquired at a premium or a value higher than the face value the

difference is amortized over the remaining life of the investment on a straightline basis.

e. Profit or Loss on sale of investments is credited/ debited to Profit and Loss

Account (Sale of Investments). Profit on sale of investments in the Held to

Maturity category is appropriated net of applicable taxes to Capital Reserve

Account. Loss on sale is recognized in the Profit and Loss Account.

Particulars r '000

31-Mar-10 31-Mar-09

I Investments in India

(i) Government Securities 608095334 407172390(ii) Other approved securities 43866 72399

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(iii) Shares 26531183 29230505

(iv) Debentures and bonds 21186309 28201283

(v) Subsidiaries and/or joint ventures 7539855 6501850

(vi) Others (CPs, units in MFs, etc.) 70057629 29277084

733454176 500455511

II Investments outside India

(i) Government securities (including local authorities)

(ii) Subsidiaries and/or joint ventures

(iii) Other investments (shares) 453 20453

Grand Total I and II 733454629 500475964

III Investments in India

(i) Gross value of investments 739129616 503651468

(ii) Less: Aggregate provision/depreciation 5675440 3195958(iii) Net Investments 733454176 500455510

IV Investments outside India

(i) Gross value of investments 453 20453

(ii) Less: Aggregate provision/depreciation

(iii) Net Investments 453 20453

Comparative analysis of investments: Theinvestments are classified by both the banks on

similar basis however there are differences between treatments of certain items in the

financial statements of the banks. As the regulations have laid down that all the investmentshave to be classified in three categories namely

a. Held to maturity

b. Held for trade

c. Held for sale

Both the banks are complying with the norms and classifying their investments and valuing

the same as per norms.

IDBI bank includes the commissions and other expenses related to investments in cost of

acquisition of equity instruments from secondary market ICICI bank charges the same to the

revenues. Also IDBI bank clearly states how it put investments into different classes but

ICICI is silent about the same.

As far as the quality of investments is considered, IDBI has better and safer investments because more than 80% of its investments are in government securities. If we see the

investment pattern in ICICI, they have their investments up to 52.6% in government

securities and close to 26% in other investments like CPs and mutual funds. The ratio is not

good because CPs and mutual funds are subject to market risks whereas government

securities are less exposed to such risks. At the same time, the operating cash flows of the

organization is very less which also says that there is a need to get more into operations of

the funds and earn more.

5. Country-wise exposure

ICICI:

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a. ICICI maintains a provision as per the country-wise exposure other than the

investments in domestic country. The bank categorizes countries into 7 risk

categories namely insignificant, low, moderate, high, very high, restricted and

off-credit. Provisioning is made on exposures exceeding 180 days on graded

scale ranging from 0.25% to 100% and for exposures less than 180 days, 25%

of the above provisions is required.

b. If the net exposure to a country is less than 1% of the total funded assets, no

provision is required.

c. The net exposure of ICICI as a percentage of total funded assets in different

countries are; UK 1.44%, Canada 1.11%, USA 0.66%.

Risk Category

(in Millions)

Exposure (Net)

31 March, 2010

Provision Exposure (Net) 31

March, 2009

Provision

Insignificant 392,684.7 235 442,570.4 285Low 131,940.9 - 172,910.8 -

Moderate 25,024.4 - 21,870.7 -

High 696.4 - 784.1 -

Very High - - 22.8 -

Restricted - - - -

Off Credit - - - -

Total 550,346.4 235.0 638,158.8 285.0

Of which: funded 245,144.8 289,482.0

IDBI:In Crores

Current Year Previous Year

Exposure Provision Exposur

e

Provision

Insignifican

t

318.94 - 599.89 -

Low 355.9 - 244.43 -

Moderate 37.66 - 12.31 -

High 9.91 - 6.78 -

Very high 1.87 - 1.21 -Restricted - - - -

Off-credit - - - -

Total 724.28 - 864.62 -

As per RBI circular dated Feb 19, 2003, on guidelines on country risk management states

that when a banks net funded exposure is 2% or more of its total assets, the bank is required

to make provision for dealing with the country risk exposure. The provision is made in

accordance with the different categories specified in circular. Also of the exposure is for a

period of 180 days or less, 25% of the stated provision is only required.

The schedules of ICICI bank gives that they are making a provision for exposure of 1% orabove which is a good policy and in compliance with the norms. However the financial

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statement of IDBI is silent about the policy that they follow. But they clearly state the

amount invested in different countries and the provisions made accordingly.

6. Exposure to capital market

ICICI:

a. Capital market exposure in ICICI banks financial statements is classified as

investments in the sensitive sectors because the asset prices are fluctuating

regularly.

Capital market sector (In millions) March 31, 2010 March 31, 2009

1. Direct investments in shares 22,082.3 13,167.9

2. Advances against shares/bonds/debentures 34,463.6 7,408.5

3. Advances with shares/ convertible bonds

as security

5,315.6 271.7

4. Advances with shares/bonds as collateral 330.6 609.7

5. Advances to stockbrokers

(secured/unsecured)

22,771.3 22,890.5

6. Exposure to venture capital funds 12,214.3 13,564.3

7. Others 14,091.8 3,922.2

8. Total Exposure 111,269.5 61,834.8

IDBI:

Amount in crores Current year Previous year

1. Direct investments in shares 1212.06 1362.7

2. Advances against shares/bonds/debentures 495.97 352.78

3. Advances with shares/convertible bonds as

security32.91 151.42

4. Advances with shares/bonds as collateral 212.31 116.56

5. Advances to stockbrokers (secured/unsecured) 741 545.5

6. Loan sanctioned for meeting promoter's

contribution190 190

7. Exposure to venture capital funds 228.37 227.58

8. Others - -Total Exposure 3112.62 2946.54

As per RBI guidelines given in the circular issued on 17 Nov, 2006 on banks exposure to

capital markets rationalization of norms there are 10 categories and total exposure to capital

market cannot be more than 40% of its net worth on a solo and consolidated basis. Both the

banks have total exposure to the capital market within the stipulated norms.

9. Asset liability management:

ICICI:

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15 to 28 days 30924.9

29 days to 3 months -155478

3 to 6 months -101707

6 months to 1 year -37775.1

1 to 3 years-330214 -625173

3 to 5 years 249405.7

Above 5 years 346332.7

Analysis of gap in asset and liability of the bank: The position of the bank is not good and

is facing liquidity management problem as in many time frames it is having negative

maturity pattern, i.e. more liabilities are getting matured than the assets. Also the banks has

positive gap at many occasions. The positive gap can be utilized to cover the negative gap at

few occasions but the continuous negative gap for a period ranging from 29 days to 3 years

can be a problem if funds cannot be raised at the same rate at which the liabilities are

financed. Therefore, the banks ALCO has to take care of the gaps and act accordingly in thefuture period. The excess funds on the day 1 can be used to discharge the negative funds for

the next 14 days or money can be raised from the market at the time when it is required. But

the interest rates play a major role in this and only if sufficient funds can be raised from the

market at a lower interest rates than at which the liabilities are taken, it will be beneficial.

IDBI:

With a view to limit the banks exposure to liquidity and interest rate risk, risk limits have

been specified with Board approval. Asset-Liability Management Committee (ALCO)

regularly monitors the actual risk positions and depending upon requirements, steps are taken

to keep the gap positions within the specified level. The ALM position of the bank is beingperiodically reported to ALCO, RMC of the Board and also to RBI.

Deposits Advances Investments Borrowings Foreign

Currency

Assets

Foreign

Currency

Liabilities

Day 1 251.9 1665.9 651.85 14.74 111.83 1.75

2 to 7 days 6019.9 3008.22 1758.07 2639.35 218.93 361.96

8 to 14 days 4412.81 3460.17 1500.63 0 45.94 9.96

15 to 28 days 8324.78 4494.57 987.87 604.72 104.17 2.63

29 days to 3

months

23990.42 13654.53 3398.43 1980.06 205.05 14.57

3 to 6 months 22859.11 10159.11 1434.34 3133.92 341.26 123.17

6 months to 1

year

47839.72 9877.03 2972.69 7107.17 2583.34 2629.39

1 to 3 years 40579.67 42943.96 5615.8 9127.88 1122.97 965.14

3 to 5 years 6864.44 19239.67 6758.27 5869.19 400.74 1038.46

Above 5 years 6524.33 29698.69 48267.51 17232.45 433.53 34.3

Total 167667.1 138201.9 73345.46 47709.48 5567.76 5181.33

Time Frames GapsDay 1 1361.29

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2 to 7 days 4487.67

8 to 14 days 6408.33

15 to 28 days 11328.3

29 days to 3 months 32456.94

3 to 6 months28668.056 months to 1 year 47590.84

1 to 3 years 68937.78

3 to 5 years 12838.93

Above 5 years -28877.71

Total 185200.4

Analysis of maturity pattern: The asset liability maturing gap of the bank is not managed

properly because the bank has a lot of excess funds because at most of the times more assets

are getting matured than the liabilities. The bank has to invest funds for a longer period and

can get better returns. As we can see that in time above 5 years there is a negative gap, thus ifbank had invested its funds in longer term securities this problem would not have been there.

10. Single borrower limit

ICICI

During the year ended March 31, 2010, our exposures to any single borrower and

borrower group were within the limits prescribed by the Reserve Bank of India except

in the cases of Reliance Industries Limited, Barclays Bank PLC and ICICI Prudential

Flexible Income Plan where exposure to single borrowers was above the stipulated

ceiling of 15.0% of capital funds. At March 31, 2010, the exposure to these borrowersas a percentage of capital funds was - Reliance Industries limited: 15.7%, Barclays

Bank PLC: 10.7% and ICICI Prudential Flexible Income Plan: 5.4%. The excess

exposure in all the above cases was duly approved or confirmed by the Board of

Directors of the Bank with exposures being within 20.0% of the Banks capital funds

in accordance with the guidelines issued by the RBI.

IDBI:

a. During the year ended March 31, 2010, the Banks exposure to single borrowers

and group borrowers were within the prudential exposure limits prescribed by

RBI, except in six cases where single borrower limit of 15% was exceeded withthe approval of the Board of Directors. In respect of these cases, the sanctioned

limits and outstanding (including non-funded exposure) were as follows, as on

March 31, 2010:Name of single borrower group Sanctioned limits as on

March 31, 2010, as % of

capital fund

Outstanding as on March

31, 2010, as % of capital

fund

HDFC Limited 15.19 14.95

Larsen and Toubro Limited 14.94 11.7

Essar oil Limited 14.92 11.75

Ispat Industries Limited 13.99 12.74Bharat heavy electricals limited 12.67 9.57

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cash from investing activities -3071042 -1400599 -9.13

Cash from financial activities -2087712 -1671039 -6.21

Exchange fluctuation - - -

Total 33635163 24605472 100.00

Analysis of cash flow statement: The cash flow statement of IDBI gives a good picture of

the financial and cash management of the banks funds. All the cash inflow is from operating

activities of the bank and 15% of the total cash raised from the operating activities is invested

in the investing activities and paying dividends. From the previous year also the inflow of

cash has increased which is a positive sign for the bank. The cash management of the bank

thus is very efficient and as it was seen in the asset liability management also there were no

negative gaps except for the long term.

12. Key financial ratios

Ratios

IDBI ICICIMar

'09

Mar

'10

%

Change

Mar

'09

Mar

'10

%

Change

Investment Valuation Ratios

Face Value 10 10 0.0% 11 12 9.1%

Dividend Per Share 2.5 3 20.0% 343.59 293.74 -14.5%

Profitability Ratios

Adjusted Cash Margin(%) 7.02 6.48 -7.7% 11.45 13.64 19.1%

Net Profit Margin 6.71 5.95 -11.3% 9.74 12.17 24.9%

Return on Long Term Fund(%)

151.4

9

174.8

3 115.4% 56.72 44.72 78.8%

Return on Net Worth(%) 11.53 12.53 108.7% 7.58 7.79 102.8%

Adjusted Return on Net

Worth(%) 11.35 12.55 110.6% 7.55 7.53 99.7%

Return on Assets Excluding

Revaluations

102.7

1 113.5 110.5% 444.94 463.01 104.1%

Return on Assets Including

Revaluations

130.0

2

140.2

3 107.9% 444.94 463.01 104.1%

Management Efficiency

Ratios

Interest Income / Total Funds 8.47 8.49 0.2% 9.82 8.82 -10.2%

Net Interest Income / TotalFunds 1.58 2.02 27.8% 3.99 4.08 2.3%

Non Interest Income / Total

Funds 0.08 0.13 62.5% 0.08 0.08 0.0%

Interest Expended / Total Funds 6.89 6.47 -6.1% 5.83 4.74 -18.7%

Operating Expense / Total

Funds 0.96 0.98 2.1% 2.6 2.59 -0.4%

Profit Before Provisions / Total

Funds 0.67 1.12 67.2% 1.3 1.41 8.5%

Net Profit / Total Funds 0.57 0.51 -10.5% 0.96 1.08 12.5%

Loans Turnover 0.14 0.14 0.0% 0.18 0.17 -5.6%

Total Income / Capital

Employed(%) 8.55 8.61 0.7% 9.9 8.9 -10.1%

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Interest Expended / Capital

Employed(%) 6.89 6.47 -6.1% 5.83 4.74 -18.7%

Total Assets Turnover Ratios 0.08 0.08 0.0% 0.1 0.09 -10.0%

Asset Turnover Ratio 3.27 4.18 27.8% 5.14 4.6 -10.5%

Capital Adequacy Ratio 11.57 11.31 -2.2% 15.53 19.41 25.0%

Advances / Loans Funds(%) 77.06 74.26 -3.6% 69.86 58.57 -16.2%Debt Coverage Ratios

Credit Deposit Ratio

100.1

3 86.28 -13.8% 91.44 90.04 -1.5%

Investment Deposit Ratio 44.69 44.06 -1.4% 46.35 53.28 15.0%

Cash Deposit Ratio 8.24 8.03 -2.5% 10.14 10.72 5.7%

Total Debt to Owners Fund 15.1 20.38 35.0% 4.42 3.91 -11.5%

Financial Charges Coverage

Ratio 1.1 1.18 7.3% 1.25 1.33 6.4%

Financial Charges Coverage

Ratio Post Tax 1.09 1.09 0.0% 1.2 1.26 5.0%Cash Flow Indicator Ratios

Earnings Per Share 11.85 14.23 20.1% 33.76 36.1 6.9%

Book Value

102.7

1 113.5 10.5% 444.94 463.01 4.1%

Source: www.moneycontrol.com

Analysis of ratios of ICICI and IDBI bank for the year 2010: The profitability ratios of

IDBI bank and ICICI bank when compared gave a better picture of ICICI bank than IDBI.

Also the investment valuation ratios dividend per share is also higher in ICICI bank. But if

we see the trend in the ratios for previous year and current year in the two banks, the

performance of IDBI has improved more than ICICI bank. Also dividend in ICICI bank has

decreased over previous year whereas dividend has increased in IDBI bank. If we see the

return on long term assets, IDBI bank has a higher ratio which is because of the reason that

ICICI has sold a lot of assets held under held to maturity in the current financial year.

In terms of management efficiency ratios also ICICI bank has a better performance against

IDBI bank. Once again IDBI bank has improved over its previous year better than ICICI

bank.

In terms of debt coverage ratio also ICICI bank has a better position as compared to IDBI

bank. Also EPS and book value per share is higher in ICICI bank. Therefore, ICICI overall

has a better position than IDBI presently but performance of IDBI bank has improved over

previous year more than what ICICI bank has.

13. Treasury and international operations

The financial year 2009-2010 has witnessed great volatility on the grounds of recovery from

the recession and rising inflation in the economy. The bond market witnessed an 80 basis

point increase in benchmark yield followed by borrowings at a huge amount. In such a

condition, the concern of the treasury operations becomes very important to manage the

statutory requirements and the liquidity and profitability position.

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ICICI: Thebanks treasury management has focused on all the key markets that are the bond

market, government securities, interest rate swaps, equity and foreign exchange market. The

bank has been involved in the repurchase transactions and the daily outstanding balance of

securities sold under repurchase transactions is 160,855 million rupees and at the end of the

year the balance is 27,301 million. The bank is able to earn a treasury income of 11.81 billion

in the fiscal year 2010 which is almost 25% of the total profit after tax of the bank for thefinancial year. The income from treasury operations include income from investments in

government securities and other fixed income instruments, reversal of mark to margin

provision of credit derivatives. In the current year, there has been a tremendous increase in

the earnings from the treasury operations in equity market because of the recovery in the

market through out the globe. Treasury operations for the year 2010 account for almost 40%

of the total revenues of the bank.

IDBI: According to the information and explanations given to us, the Company is dealing in

Treasury Bills, Certificates of Deposit, Commercial Papers, Government Dated Securities,

Corporate Bonds. Proper records have been maintained and timely entries have been made

thereof. Since the principal business of the Company consists of buying and selling ofsecurities, the provision of Section 49(1) of the Companies Act, 1956, regarding holding of

investments in its own name are not applicable to it. IDBI bank maintained a good SLR

portfolio and used it periodically to manage the short-term liquidity mismatch by borrowing

in the CBLO segment against G-Secs. However the profit from treasury segment of the bank

when compared to the total profit before tax from all the different sectors is only 8% which is

significantly less. A major part of revenues come from wholesale banking in IDBI bank.

14. Accounting for derivative contracts

ICICI:

a. All foreign currency and rupee derivatives entered into for trading purposes

are marked to market and the resulting gain or losses are accounted in the

profit and loss account.

b. Hedge swaps are accounted for on accrual basis.

c. In the year ending march 2010, ICICI also traded in exchange traded interest

rate derivatives and invested in NSE- GOI Bond Futures an amount worth 0.2

million.

d. The use of derivatives for hedging purposes is governed by the hedge policy

approved by Asset Liability Management Committee (ALCO). Subject to

prevailing RBI guidelines, the Bank deals in derivatives for hedging fixed

rate, floating rate or foreign currency assets/liabilities. Transactions for

hedging and market making purposes are recorded separately.

Particulars (In millions) Currency

Derivatives

Interest rate

derivatives

1. Derivatives (Notional principal amount)

a. For hedging 23,432.8 235,286.1

b. For trading 1,136,020.6 3,145,275.0

2. Marked to market positions

a. Assets (+) 13,891.8 1,459.8

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b. Liabilities (-)

3. Credit exposures 115,703.5 91,886.0

4. Likely impact of 1% change in interest rate

a. On hedging derivatives 58.2 7,288.5

b. On trading derivatives 1,380.6 1,646.7

5. Maximum and minimum of 100*PV01observed during the year

a. On hedging

Maximum (54.6) (6,835.8)

Minimum (323.9) (9,071.7)

b. On trading

Maximum (1,358.8) 2,322.6

Minimum (2,121.7) 1,282.0

Forward rate agreement (FRA)/Interest Rate Swaps (IRS)

Particulars (Amounts in millions) March 31, 2010 March 31, 2009

i. The notional principal of rupee swap

agreements

1,870,819.1 1,942,528.9

ii. Losses if all counter parties fail to fulfill

their obligation

20,533.2 35,591.8

iii. Collateral required by the bank upon

entering into swap

- -

iv. Concentration of credit risk arising from

the rupee swaps

500.0 919.7

v. The fair value of rupee trading swap book (180.5) 622.1

IDBI:

a. Hedge contracts are not marked to market unless the underlying is also

marked to market. In respect of hedge contracts that are marked to market,

changes in the market value are recognized in the profit and loss account.

b. Redesignation of hedge swaps by change of underlying liability is accounted

as the termination of one hedge and acquisition of another.

c. On premature termination of Hedge swaps, any profit/ losses are recognized

over the remaining contractual life of the swap or the residual life of the asset/

liability whichever is lesser.

in crores

Particulars Currency

derivatives

Interest rate

derivatives

Derivative (notional principal amount)

(a) For hedging - 1964.68

(b) For trading 4237.54 22703.71

Marked to market positions

(a) Assets (+) 111.86 497.16

(b) Liabilities (-) -118.71 -388.38

8/7/2019 IDBI ICICI

17/17

Credit Exposure

(a) On hedging derivatives - 170.09

(b) On trading derivatives 347.67 506.86

Likely impact of 1% change in interest

rate (100*PV01)

(a) On hedging derivatives - 29.04

(b) On trading derivatives 0.12 0.08

Maximum and minimum of 100*PV01

observed during the year

On hedging

Maximum - 33.17

Minimum - 11.57

On trading

Maximum 1.22 4.46

Minimum 0.007 0.33

in Crores

Items Current Year Previous Year

Hedge

Swaps

Trading

Swaps

Hedge

Swaps

Trading

Swaps

Notional principal of swap

agreement

1964.68 22703.71 4592.81 26555.93

Losses which would be incurred if

counterparties failed to fulfill their

obligations under the agreement

144.12 353.04 675.57 221.76

Collateral required by the bank

upon entering into swaps

- - - -

Concentration of credit risk arising

from the swaps

- - - -

Fair value of swap book 110.91 -2.13 151.04 -1.73