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Financial instruments (Tables)

12 Months Ended

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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