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F105
Methods and key assumptions (including inputs) applied in valuing positions retained or purchased
The valuation of the retained interests in the form of pass-through certificates (PTCs) is based on the projected
cash flows as received from the issuer, which are present valued using the Yield-to-Maturity (YTM) rates, which
are computed with a mark-up (reflecting associated credit risk) over the YTM rates for government securities
as published by Fixed Income Money Market and Derivatives Association (FIMMDA).
The retained/purchased interests in the form of subordinate contributions are carried at book value.
There is no change in the methods and key assumptions applied in valuing retained/purchased interests from
previous year.
Policies for recognising liabilities on the balance sheet for arrangements that could require the bank to
provide financial support for securitised assets
The Bank provides credit enhancements in the form of cash deposits or guarantees in its securitisation
transactions. The Bank makes appropriate provisions for any delinquency losses assessed at the time of sale
as well as over the life of the securitisation transactions in accordance with the RBI guidelines.
c. Rating of securitisation exposures
Ratings obtained from ECAIs stipulated by RBI (as stated above) are used for computing capital requirements
for securisation exposures. Where the external ratings of the Bank’s investment in securitised debt instruments/
PTCs are at least partly based on unfunded support provided by the Bank, such investments are treated as
unrated and deducted from the capital funds.
d. Details of securitisation exposures in the banking and trading book
I. Banking book
i) Total outstanding exposures securitised and the related unrecognised gains/(losses) (March 31, 2010)
Rupees in billion
Exposure type Outstanding1Unrecognised
gains/(losses)
Vehicle/equipment loans 4.84 0.06
Home and home equity loans 30.03 —
Personal loans — —
Corporate loans 7.45 0.02
Mixed asset pool — —
Total 42.32 0.08
1. The amounts represent the outstanding principal at March 31, 2010 for securitisation deals and include direct
assignments.
ii) Break-up of securitisation gains/(losses) (net) Rupees in billion
Exposure type Year ended
March 31, 20101
Vehicle/equipment loans (1.75)
Home and home equity loans 0.25
Personal loans (2.66)
Corporate loans 0.13
Mixed asset pool (1.06)
Total (5.09)
1. The amounts include gain amortised during the year and expenses relating to utilisation of credit enhancements.
iii) Assets to be securitised within a year Rupees in billion
Amount1
Amount of assets intended to be securitised within a year 15.46
Of which:
Amount of assets originated within a year before securitisation 2.21
1. Represents assets originated by overseas banking subsidiaries.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2010