ICICI Bank 2008 Annual Report Download - page 179

F105
l Underwriter: allowing un-subscribed portions of securitized debt issuances, if any to devolve on
the Bank, with the intent of selling at a later stage.
l Investor / trader / market-maker: acquiring investment grade securitized debt instruments backed
by financial assets originated by third parties for purposes of investment / trading / market-making
with the aim of developing an active secondary market in securitized debt.
l Structurer: structuring appropriately in a form and manner suitably tailored to meet investor
requirements while being compliant with extant regulations.
l Provider of liquidity facilities: addressing temporary mismatches on account of the timing
differences between the receipt of cash flows from the underlying performing assets and the
fulfillment of obligations to the beneficiaries.
l Provider of credit enhancement facilities: addressing delinquencies associated with the
underlying assets, i.e. bridging the gaps arising out of credit considerations between cash flows
received / collected from the underlying asset and the fulfillment of repayment obligations to the
beneficiaries.
l Provider of collection and processing services: collecting and/or managing receivables from
underlying obligors, contribution from the investors to securitisation transactions, making payments
to counterparties / appropriate beneficiaries, reporting the collection efficiency and other performance
parameters and providing other services relating to collections and payments as may be required
for the purpose of the transactions.
b. Summary of the Bank’s accounting policies for securitisation activities
The Bank transfers commercial and consumer loans to special purpose vehicles (SPVs) settled as
trusts through securitisation transactions. The transferred loans are de-recognised and gains/losses are
accounted for only if the Bank surrenders the rights to benefits specified in the loan contracts. Recourse
and servicing obligations are accounted for net of provisions.
In accordance with the RBI guidelines, with effect from February 1, 2006, the Bank accounts for any
loss arising from securitisation immediately at the time of sale and the profit/premium arising from
securitisation is amortised over the life of the securities issued or to be issued by the special purpose
vehicle to which the assets are sold. In the case of loans sold to an asset reconstruction company, the
gain, if any, is ignored.
Key assumptions in measuring the fair value of retained interests at the date of sale or securitisation
during the year ended March 31, 2008 and also for subsequent measurement of retained interests as
on March 31, 2008 are given in the table below.
Auto
loans Personal loans Two wheeler loans Mortgage loans
Discount rate 7.0% to
15.8% 7.0% to 25.6% 7.0% to 18.8% 7.0% to 10.2%
Constant prepayment rate (per annum) 15.0% 42.0% 12.0% 10.0%
Anticipated net credit losses (per annum) 0.5% to
0.8% 3.0% to 5.7% 2.0% to 3.6% 0.2% to 0.3%
c. Rating of securitisation exposures
Ratings obtained from domestic accredited rating agencies like CARE, CRISIL, ICRA and Fitch (India) are
used for securisation exposures. Presently, the type of securitisation exposures, for which these ratings
are used, are:
l Securitized debt instruments / Pass through certificates (PTCs)
l Second loss credit enhancement facility and
l Liquidity facility.
BASEL II – Pillar 3 Disclosures (Consolidated)
1P-less_(Pillar).indd 1051P-less_(Pillar).indd 105 6/20/08 4:53:03 PM6/20/08 4:53:03 PM