ICICI Bank 2010 Annual Report Download - page 187

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F107
ii) Securitisation exposures retained or purchased (March 31, 2010)
Rupees in billion
Exposure type1On-balance sheet Off-balance sheet Total
Vehicle/equipment loans 8.28 — 8.28
Home and home equity loans 17.14 — 17.14
Personal loans 2.70 — 2.70
Corporate loans — — —
Mixed asset pool 13.67 — 13.67
Total 41.79 — 41.79
1. Securitisation exposures include PTCs originated by the Bank as well as PTCs purchased in case of third party
originated securitisation transactions.
iii) Risk weight bands break-up of securitisation exposures retained or purchased and the related
capital charge (March 31, 2010)
Rupees in billion
Exposure Capital charge1
<100% risk weight 16.69 0.30
100% risk weight 0.46 0.04
>100% risk weight — —
Total 17.15 0.34
1. Represents capital required to be maintained at 9.0% as per RBI guidelines.
iv) Securitisation exposures deducted from capital (March 31, 2010)
Rupees in billion
Exposure type
Exposures deducted
entirely from
Tier-1 capital
Credit enhancement
(interest only) deducted
from total capital
Other exposures
deducted from total
capital1
Vehicle/equipment loans — — 8.28
Home and home equity loans — — —
Personal loans — — 2.70
Corporate loans — — —
Mixed asset pool — — 13.66
Total — — 24.64
1. Includes PTCs originated by the Bank as well as PTCs purchased in case of third party originated securitisation
transactions. PTCs whose external credit ratings are at least partly based on unfunded support provided by the Bank
have been treated as unrated and deducted from the capital funds.
9. MARKET RISK IN TRADING BOOK
a. Market risk management policy
Risk management policies
Market risk is the possibility of loss arising from changes in the value of a financial instrument as a result of
changes in market variables such as interest rates, exchange rates, credit spreads and other asset prices. The
market risk for the Bank is managed in accordance with the Investment Policy and Derivatives Policy, which are
approved by the Board. The policies ensure that operations in securities, foreign exchange and derivatives are
conducted in accordance with sound and acceptable business practices and are as per the extant regulatory
guidelines, laws governing transactions in financial securities and the financial environment. The policies contain
the limit structure that govern transactions in financial instruments. The policies are reviewed periodically to
incorporate therein, changed business requirements, economic environment and revised policy guidelines.
Risk management objectives
The Bank manages its market risk with the broad objectives of:
1. Management of market risk such as interest rate risk, currency risk and equity risk arising from the
investments and derivatives portfolio.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2010