Page 359 - NHB AR 2020-21-3 complete- Print (1)
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1.8.2 Exchange Traded Interest Rate Derivatives
(Amount in ` crore)
Sr.No. Particulars 2020-21 2019-20
(i)
Notional principal amount of exchange traded Nil Nil
(ii) interest rate derivatives undertaken during the
year (instrument wise) Nil Nil
(iii)
Notional principal amount of exchange traded Nil Nil
(iv) interest rate derivatives outstanding as on 30th
June (instrument wise) Nil Nil
Notional principal amount of exchange traded
interest rate derivatives outstanding and not
‘highly effective’ (instrument wise)
Mark to market value of exchange traded
interest rate derivatives outstanding and not
‘highly effective’ (instrument wise)
1.8.3 Disclosures on risk exposure in derivatives
(i) Qualitative disclosures
• The Bank has in-place derivative policy approved by the board which permits
use of derivative products in line with business goals of the Bank. The policy has
delegated powers to enter into swaps only at very senior level
• Counter party exposure limits are within the overall limits set for each counter
party. The credit equivalent of swaps are computed as per current exposure
method as prescribed by RBI
• The Bank has the necessary infrastructure where the functions are well defined i.e.
Front office, Back office & Mid Office
• The position of the swaps is continuously monitored. ALCO reviews the valuations
of the outstanding positions on a monthly basis. Further, the Board is apprised of
the position on a quarterly bases including the valuation of the swaps
• The Bank uses financial derivative transactions predominantly for hedging
its assets/liabilities and for reducing cost. The Bank currently deals only in
plain vanilla over-the-counter (OTC) interest rate and currency derivatives, for
managing interest rate risks. The Bank shall use such benchmarks where pricing is
transparent and that are permitted by RBI
• The interest exchanged on the swaps is accounted on an accrual basis
Annual Report 2020-21 | 325(o)
(Amount in ` crore)
Sr.No. Particulars 2020-21 2019-20
(i)
Notional principal amount of exchange traded Nil Nil
(ii) interest rate derivatives undertaken during the
year (instrument wise) Nil Nil
(iii)
Notional principal amount of exchange traded Nil Nil
(iv) interest rate derivatives outstanding as on 30th
June (instrument wise) Nil Nil
Notional principal amount of exchange traded
interest rate derivatives outstanding and not
‘highly effective’ (instrument wise)
Mark to market value of exchange traded
interest rate derivatives outstanding and not
‘highly effective’ (instrument wise)
1.8.3 Disclosures on risk exposure in derivatives
(i) Qualitative disclosures
• The Bank has in-place derivative policy approved by the board which permits
use of derivative products in line with business goals of the Bank. The policy has
delegated powers to enter into swaps only at very senior level
• Counter party exposure limits are within the overall limits set for each counter
party. The credit equivalent of swaps are computed as per current exposure
method as prescribed by RBI
• The Bank has the necessary infrastructure where the functions are well defined i.e.
Front office, Back office & Mid Office
• The position of the swaps is continuously monitored. ALCO reviews the valuations
of the outstanding positions on a monthly basis. Further, the Board is apprised of
the position on a quarterly bases including the valuation of the swaps
• The Bank uses financial derivative transactions predominantly for hedging
its assets/liabilities and for reducing cost. The Bank currently deals only in
plain vanilla over-the-counter (OTC) interest rate and currency derivatives, for
managing interest rate risks. The Bank shall use such benchmarks where pricing is
transparent and that are permitted by RBI
• The interest exchanged on the swaps is accounted on an accrual basis
Annual Report 2020-21 | 325(o)
