ICICI Bank 2010 Annual Report Download - page 186
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F106
iv) Securitisation exposures retained or purchased (March 31, 2010) Rupees in billion
Exposure type1On-balance sheet Off-balance sheet Total
Vehicle/equipment loans 7.96 11.26 19.22
Home and home equity loans 22.48 0.14 22.62
Personal loans 10.99 7.67 18.66
Corporate loans 4.62 6.61 11.23
Mixed asset pool 6.84 10.90 17.74
Total 52.89 36.58 89.47
1. Securitisation exposures, include, but are not restricted to, liquidity facilities, other commitments and credit enhancements
such as interest only strips, cash collateral accounts and other subordinated assets as well as direct assignments. The amounts
are net of provisions. Credit enhancements have been stated at gross levels and not been adjusted for their utilisation.
v) Risk weight bands break-up of securitisation exposures retained or purchased (March 31, 2010)
Rupees in billion
Exposure type1<100% risk
weight 100% risk
weight >100% risk
weight Total
Vehicle/equipment loans 5.25 2.38 0.07 7.70
Home and home equity loans 11.19 4.50 — 15.69
Personal loans 3.17 2.16 — 5.33
Corporate loans 3.73 0.41 0.32 4.46
Mixed asset pool 4.17 4.17 0.25 8.59
Total 27.51 13.62 0.64 41.77
Total capital charge 0.63 1.23 0.20 2.06
1. Includes direct assignments.
vi) Securitisation exposures deducted from capital (March 31, 2010) Rupees in billion
Exposure type1
Exposures deducted
entirely from Tier-1
capital
Credit enhancement
(interest only)
deducted from total
capital 2
Other exposures
deducted from
total capital 3
Vehicle/equipment loans — 0.45 11.06
Home and home equity loans — 0.87 7.19
Personal loans — 1.77 11.57
Corporate loans — — 5.64
Mixed asset pool — 1.27 7.88
Total — 4.36 43.34
1. Includes direct assignments.
2. Includes subordinate contribution amount deducted from capital.
3. Includes credit enhancements (excluding interest only strips). Credit enhancements have been stated at gross levels
and not been adjusted for their utilisation.
II. Trading book
i) Aggregate amount of exposures securitised for which the Bank has retained some exposures
subject to market risk (March 31, 2010) Rupees in billion
Exposure type Total1
Vehicle/equipment loans 9.56
Home and home equity loans 3.64
Personal loans 3.52
Corporate loans —
Mixed asset pool 16.60
Total 33.32
1. The amounts represent the outstanding principal at March 31, 2010 for securitisation deals.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2010