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Financial instruments (Tables)

12 Months Ended

Mar. 31, 2020

Schedule of Derivative Instruments

The following table presents the aggregate notional principal amounts of the Bank’s outstanding forward exchange and other derivative contracts as of March 31, 2019 and March 31, 2020, together with the fair values on each reporting date.

		As of March 31, 2019
		Notional				Gross Assets				Gross Liabilities				Net Fair Value
Interest rate derivatives		Rs.	3,159,867.1			Rs.	27,932.0			Rs.	27,102.8			Rs.	829.2
Forward rate agreements			—				—				—				—
Currency options			282,096.9				2,326.1				2,617.2				(291.1	)
Currency swaps			197,044.2				5,841.0				4,070.7				1,770.3
Forward exchange contracts			5,561,859.5				96,425.0				94,658.3				1,766.7
Total		Rs.	9,200,867.7			Rs.	132,524.1			Rs.	128,449.0			Rs.	4,075.1

		As of March 31, 2020
		Notional				Gross Assets				Gross Liabilities				Net Fair Value				Notional				Net Fair Value
		(In millions)
Interest rate derivatives		Rs.	3,644,495.8			Rs.	49,876.8			Rs.	51,976.9			Rs.	(2,100.1	)		US$	48,341.9			US$	(27.9	)
Forward rate agreements			—				—				—				—				—				—
Currency options			304,252.4				3,034.4				4,342.0				(1,307.6	)			4,035.7				(17.3	)
Currency swaps			202,725.6				12,396.0				6,592.1				5,803.9				2,689.0				77.0
Forward exchange contracts			6,079,195.0				125,230.4				121,872.0				3,358.4				80,636.6				44.6
Total		Rs.	10,230,668.8			Rs.	190,537.6			Rs.	184,783.0			Rs.	5,754.6			US$	135,703.2			US$	76.4

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table summarizes certain information related to derivative amounts recognized in income:

		Non-interest revenue, net – Derivatives for the years ended March 31,
		2018				2019				2020				2020
		(In millions)
Interest rate derivatives		Rs.	1,027.5			Rs.	736.4			Rs.	(2,572.2	)		US$	(34.1	)
Forward rate agreements			0.5				0.1				—				—
Currency options			(15.0	)			(262.5	)			585.5				7.7
Currency swaps			(1,706.9	)			1,045.0				3,465.5				46.0
Forward exchange contracts			7,436.5				10,890.1				2,071.2				27.5
Total gains/(losses)		Rs.	6,742.6			Rs.	12,409.1			Rs.	3,550.0			US$	47.1

Amounts Subject to Enforceable Netting Arrangements

		As of March 31, 2019
		Amounts subject to enforceable netting arrangements
		Effects of offsetting on balance sheet												Related amounts not offset
		Gross Amounts				Amounts offset				Net amounts reported in the balance sheet				Financial instruments				Financial collateral (1)				Net amount
		(In millions)
Financial assets
Derivative assets		Rs.	132,524.1				Rs.  —			Rs.	132,524.1			Rs.	104,025.7			Rs.	2,651.7				Rs.  25,846.7
Securities purchased under agreements to resell			76,213.5				—				76,213.5				—				76,213.5				—
Financial liabilities
Derivative liabilities		Rs.	128,449.0				Rs.  —			Rs.	128,449.0			Rs.	104,025.7			Rs.	3,098.1				Rs.  21,325.2
Securities sold under repurchase agreements			174,000.0				—				174,000.0				—				174,000.0				—

(1) Comprised of securities and cash collaterals. These amounts are limited to the asset/liability balance, and accordingly, do not include excess collateral received/pledged.

		As of March 31, 2020
		Amounts subject to enforceable netting arrangements
		Effects of offsetting on balance sheet												Related amounts not offset
		Gross Amounts				Amounts offset				Net amounts reported in the balance sheet				Financial instruments				Financial collateral (1)				Net amount
		(In millions)
Financial assets
Derivative assets		Rs.	190,537.6				Rs.  —			Rs.	190,537.6				Rs.  147,844.5			Rs.	8,326.7				Rs.  34,366.4			US$	455.8
Securities purchased under agreements to resell			250,000.0				—				250,000.0				—				250,000.0				—				—
Financial liabilities
Derivative liabilities		Rs.	184,783.0				Rs.  —			Rs.	184,783.0				Rs.  147,844.5			Rs.	6,706.7				Rs.  30,231.8			US$	401.0
Securities sold under repurchase agreements			507,982.0				—				507,982.0				—				507,982.0				—				—
Long Term debt			17,260.0				—				17,260.0				—				17,260.0				—				—

(1) Comprised of securities and cash collaterals. These amounts are limited to the asset/liability balance, and accordingly, do not include excess collateral received/pledged.

Schedule of Guarantor Obligations

Details of guarantees and documentary credits outstanding are set out below:

		As of March 31,
		2019				2020				2020
		(In millions)
Nominal values:
Bank guarantees:
Financial guarantees		Rs.	254,075.9			Rs.	263,758.0			US$	3,498.6
Performance guarantees			285,748.4				330,164.6				4,379.4
Documentary credits			475,617.8				440,232.7				5,839.4
Total		Rs.	1,015,442.1			Rs.	1,034,155.3			US$	13,717.4
Estimated fair values:
Guarantees		Rs.	(3,544.4	)		Rs.	(4,191.9	)		US$	(55.6	)
Documentary credits			(501.7	)			(488.8	)			(6.5	)
Total		Rs.	(4,046.1	)		Rs.	(4,680.7	)		US$	(62.1	)

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