Derivatives: Forward Rate Agreement/Interest Rate Swap :

Important aspects of the disclosures would include the details relating to:

(a) The notional principal of swap agreements,

(b) Losses which would be incurred if counterparties failed to fulfill their obligations under the agreements

(c) Collateral required by the bank upon entering into swaps,

(d) Nature and terms of the swaps including information on credit and market risk and the accounting policies adopted for recording the swaps,

(e) Examples of concentration could be exposures to particular industries or swaps with highly geared companies,

(f) If the swaps are linked to specific assets, liabilities, or commitments, the fair value would be the estimated amount that the bank would receive or pay to terminate the swap agreements as on the balance sheet date. For a trading swap the fair value would be its mark to market value,

(g) Concentration of credit risk arising from the swaps,

(h) The fair value of the swap book.

Exchange Traded Interest Rate Derivatives:

As regards Exchange Traded Interest Rate Derivatives, details would include the notional principal amount undertaken:

(i) during the year (instrument-wise),

(ii) outstanding as on 31st March (instrument-wise),

(iii) outstanding and not “highly effective” (instrument-wise),

(iv) Mark-to-market value of exchange traded interest rate derivatives outstanding and not “highly effective” (instrument-wise)