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v3.22.2

Financial instruments (Tables) | 12 Months Ended
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Mar. 31, 2022
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, 2021 and March 31, 2022, together with the fair value on each reporting date.
|  | As of March 31, 2021 |
|  | Notional |  |  | Gross Assets |  |  | Gross Liabilities |  |  | Net Fair Value |
|  | (In millions) |
Interest rate derivatives |  | Rs. | 3,155,410.2 |  |  | Rs. | 32,217.2 |  |  | Rs. | 33,894.0 |  |  | Rs. | (1,676.8 | )
Forward rate agreements |  |  | 20,887.8 |  |  |  | 270.0 |  |  |  | 64.1 |  |  |  | 205.9 |
Currency options |  |  | 202,402.7 |  |  |  | 1,078.7 |  |  |  | 1,510.7 |  |  |  | (432.0 | )
Currency swaps |  |  | 237,081.5 |  |  |  | 8,126.4 |  |  |  | 4,940.8 |  |  |  | 3,185.6 |
Forward exchange contracts |  |  | 4,964,726.6 |  |  |  | 42,714.4 |  |  |  | 41,470.4 |  |  |  | 1,244.0 |
Total |  | Rs. | 8,580,508.8 |  |  | Rs. | 84,406.7 |  |  | Rs. | 81,880.0 |  |  | Rs. | 2,526.7 |
|  | As of March 31, 2022 |
|  | Notional |  |  | Gross Assets |  |  | Gross Liabilities |  |  | Net Fair Value |  |  | Notional |  |  | Net Fair Value |
|  | (In millions) |
Interest rate derivatives |  | Rs. | 5,142,612.3 |  |  | Rs. | 28,564.1 |  |  | Rs. | 27,644.4 |  |  | Rs. | 919.7 |  |  | US$ | 67,781.9 |  |  | US$ | 12.1 |
Forward rate agreements |  |  | 50,610.7 |  |  |  | 1,574.1 |  |  |  | 14.8 |  |  |  | 1,559.3 |  |  |  | 667.1 |  |  |  | 20.6 |
Currency options |  |  | 434,371.3 |  |  |  | 1,845.1 |  |  |  | 2,439.5 |  |  |  | (594.4 | ) |  |  | 5,725.2 |  |  |  | (7.8 | )
Currency swaps |  |  | 308,757.4 |  |  |  | 10,463.6 |  |  |  | 4,312.3 |  |  |  | 6,151.3 |  |  |  | 4,069.6 |  |  |  | 81.1 |
Forward exchange contracts |  |  | 6,551,871.8 |  |  |  | 37,755.4 |  |  |  | 40,408.2 |  |  |  | (2,652.8 | ) |  |  | 86,356.6 |  |  |  | (35.0 | )
Total |  | Rs. | 12,488,223.5 |  |  | Rs. | 80,202.3 |  |  | Rs. | 74,819.2 |  |  | Rs. | 5,383.1 |  |  | US$ | 164,600.4 |  |  | US$ | 71.0 |
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, |
|  | 2020 |  |  | 2021 |  |  | 2022 |  |  | 2022 |
|  | (In millions) |
Interest rate derivatives |  | Rs. | (2,572.2 | ) |  | Rs. | 773.9 |  |  | Rs. | 3,207.7 |  |  | US$ | 42.3 |
Forward rate agreements |  |  | — |  |  |  | 205.9 |  |  |  | 1,374.1 |  |  |  | 18.1 |
Currency options |  |  | 585.5 |  |  |  | 1,191.1 |  |  |  | 167.3 |  |  |  | 2.2 |
Currency swaps |  |  | 3,465.5 |  |  |  | (3,309.2 | ) |  |  | (1,682.0 | ) |  |  | (22.2 | )
Forward exchange contracts |  |  | 2,071.2 |  |  |  | (2,114.7 | ) |  |  | (1,645.1 | ) |  |  | (21.7 | )
Total gains/(losses) |  | Rs. | 3,550.0 |  |  | Rs. | (3,253.0 | ) |  | Rs. | 1,422.0 |  |  | US$ | 18.7 |
Amounts Subject to Enforceable Netting Arrangements |
|  | As of March 31, 2021 |
|  | 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. | 84,406.7 |  |  | Rs. | — |  |  | Rs. | 84,406.7 |  |  | Rs. | 55,002.7 |  |  | Rs. | 4,065.5 |  |  | Rs. | 25,338.5 |
Securities purchased under agreements to resell |  |  | 270,060.0 |  |  |  | — |  |  |  | 270,060.0 |  |  |  | — |  |  |  | 270,060.0 |  |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  | Rs. | 81,880.0 |  |  | Rs. | — |  |  | Rs. | 81,880.0 |  |  | Rs. | 55,002.7 |  |  | Rs. | 4,816.3 |  |  | Rs. | 22,061.0 |
Securities sold under repurchase agreements |  |  | 356,059.2 |  |  |  | — |  |  |  | 356,059.2 |  |  |  | — |  |  |  | 356,059.2 |  |  |  | — |
Long-term debt |  |  | 90,200.0 |  |  |  | — |  |  |  | 90,200.0 |  |  |  | — |  |  |  | 90,200.0 |  |  |  | — |
(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, 2022 |
|  | 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. | 80,202.3 |  |  | Rs. | — |  |  | Rs. | 80,202.3 |  |  | Rs. | 48,942.8 |  |  | Rs. | 8,022.9 |  |  | Rs. | 23,236.6 |  |  | US$ | 306.3 |
Securities purchased under agreements to resell |  |  | 373,053.3 |  |  |  | — |  |  |  | 373,053.3 |  |  |  | — |  |  |  | 373,053.3 |  |  |  | — |  |  |  | — |
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities |  | Rs. | 74,819.2 |  |  | Rs. | — |  |  | Rs. | 74,819.2 |  |  | Rs. | 48,942.8 |  |  | Rs. | 1,697.2 |  |  | Rs. | 24,179.2 |  |  | US$ | 318.7 |
Securities sold under repurchase agreements |  |  | 151,844.9 |  |  |  | — |  |  |  | 151,844.9 |  |  |  | — |  |  |  | 151,844.9 |  |  |  | — |  |  |  | — |
Long Term debt |  |  | 90,200.0 |  |  |  | — |  |  |  | 90,200.0 |  |  |  | — |  |  |  | 90,200.0 |  |  |  | — |  |  |  | — |
(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, |
|  | 2021 |  |  | 2022 |  |  | 2022 |
|  | (In millions) |
Nominal values: |  |  |  |  |  |  |  |  |  |  |  |
Bank guarantees: |  |  |  |  |  |  |  |  |  |  |  |
Financial guarantees |  | Rs. | 334,040.8 |  |  | Rs. | 422,406.2 |  |  | US$ | 5,567.5 |
Performance guarantees |  |  | 421,162.2 |  |  |  | 417,227.2 |  |  |  | 5,499.2 |
Documentary credits |  |  | 376,536.2 |  |  |  | 615,639.6 |  |  |  | 8,114.4 |
Total |  | Rs. | 1,131,739.2 |  |  | Rs. | 1,455,273.0 |  |  | US$ | 19,181.1 |
Estimated fair value: |  |  |  |  |  |  |  |  |  |  |  |
Guarantees |  | Rs. | (5,500.7 | ) |  | Rs. | (5,760.7 | ) |  | US$ | (75.9 | )
Documentary credits |  |  | (543.4 | ) |  |  | (822.8 | ) |  |  | (10.8 | )
Total |  | Rs. | (6,044.1 | ) |  | Rs. | (6,583.5 | ) |  | US$ | (86.7 | )
Summary of allowance for Credit Losses on Off-Balance sheet credit exposures and undrawn commitments | The allowance for credit losses included in accrued expenses and other liabilities on Off-Balance sheet credit exposures and undrawn commitments is as follows:
|  | As of March 31, |
|  | 2021 |  |  | 2022 |  |  | 2022 |
|  |  |  |  | (In millions) |
Allowance for credit losses, beginning of the period |  | Rs. | 3,226.8 |  |  | Rs. | 5,581.5 |  |  | US$ | 73.6 |
Impact of Adoption of ASC 326 |  |  | 2,296.6 |  |  |  | — |  |  |  | — |
Provision for credit exposures |  |  | 58.1 |  |  |  | 506.1 |  |  |  | 6.7 |
Allowance for credit losses, end of the period |  | Rs. | 5,581.5 |  |  | Rs. | 6,087.6 |  |  | US$ | 80.3 |

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