Disclosures on Risk Exposure in Derivatives

Disclosures on risk exposure in derivatives

Qualitative Disclosure

Banks shall discuss their risk management policies pertaining to derivatives

with particular reference to the extent to which derivatives are used, the

associated risks and business purposes served. The discussion shall also

include:

a) the structure and organization for management of risk in derivatives

trading,

b) the scope and nature of risk measurement, risk reporting and risk

monitoring systems,

c) policies for hedging and / or mitigating risk and strategies and processes

for monitoring the continuing effectiveness of hedges / mitigants, and

d) accounting policy for recording hedge and non-hedge transactions;

recognition of income, premiums and discounts; valuation of outstanding

contracts; provisioning, collateral and credit risk mitigation.

Quantitative Disclosures

(Rs. in crore)

Sl.No Particular Currency

Derivatives

Interest rate

derivatives

(i) Derivatives (Notional Principal

Amount)

a) For hedging

b) For trading

(ii) Marked to Market Positions [1]

a) Asset (+)

b) Liability (-)

(iii) Credit Exposure [2]

(iv) Likely impact of one percentage

change in interest rate (100*PV01)

a) on hedging derivatives

b) on trading derivatives

(v) Maximum and Minimum of

100*PV01 observed during the year

a) on hedging

b) on trading

3.4 Asset Quality

3.4.1 Non-Performing Asset

(Rs. in crore)

Particulars Current

Year

Previous

Year

(i) Net NPAs to Net Advances (%)

(ii) Movement of NPAs (Gross)

(a) Opening balance

(b) Additions during the year

(c) Reductions during the year

(d) Closing balance

(iii) Movement of Net NPAs

(a) Opening balance

(b) Additions during the year

(c) Reductions during the year

(d) Closing balance

(iv) Movement of provisions for NPAs

(excluding provisions on standard assets)

(a) Opening balance

(b) Provisions made during the year

(c) Write-off/ write-back of excess provisions

(d) Closing balance

3.4.2 Details of Loan Assets subjected to Restructuring

(Rs. in crore)

Particulars Current

year

Previous

Year

(i) Total amount of loan assets subjected to

restructuring, rescheduling, renegotiation;

- of which under CDR

(ii) The amount of Standard assets subjected to

restructuring, rescheduling, renegotiation;

- of which under CDR

(iii) The amount of Sub-Standard