ICICI Bank 2012 Annual Report Download - page 186

F108
 On-balance sheet netting, which is confined to loans/advances and deposits, where banks have legally
enforceable netting arrangements, involving specific lien with proof of documentation.
 Guarantees, where these are direct, explicit, irrevocable and unconditional. Further, the eligible guarantors
would comprise:
- Sovereigns, sovereign entities stipulated in the RBI guidelines on Basel II, bank and primary dealers with a
lower risk weight than the counterparty; and
- Other entities, which are rated AA(-) or better.
The Bank reckons the permitted credit risk mitigants for obtaining capital relief only when the credit risk mitigant
fulfills the conditions stipulated for eligibility and legal certainty by RBI in its guidelines on Basel II.
Concentrations within credit risk mitigation
The RBI guidelines, among its conditions for eligible credit risk mitigants, require that there should not be a material
positive correlation between the credit quality of the counterparty and the value of the collateral being considered.
RMG conducts the assessment of the aspect of material positive correlation on cases referred to it and accordingly
evaluates the eligibility of the credit risk mitigant for obtaining capital relief. Currently, the Bank does not have any
concentration risk within credit risk mitigation.
b. Portfolio covered by eligible financial collateral (March 31, 2012)
` in billion
Amount1
Exposures fully covered by eligible financial collateral, after application of haircut 99.27
Exposures fully covered by eligible corporate guarantees 15.25
1. Includes all entities considered for Basel II capital adequacy computation.
The processes for capital computation and credit risk mitigation based on Basel II guidelines are consistent across
subsidiaries of the Bank.
8. SECURITISATION
a. Securitisation objectives, roles played by the Bank and the risks
Objectives
The Bank’s primary objective of securitisation activities is to increase the efficiency of capital and enhance the
return on capital employed by diversifying sources of funding.
Roles played by the Bank
In securitisation transactions backed by assets either originated by the Bank or third parties, the Bank plays the
following major roles:
 Underwriter: allowing un-subscribed portions of securitised debt issuances, if any to devolve on the Bank,
with the intent of selling at a later stage.
 Investor/trader/market-maker: acquiring investment grade securitised 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 securitised debt.
 Structurer: structuring appropriately in a form and manner suitably tailored to meet investor requirements,
while being compliant with extant regulations.
 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.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2012