ICICI Bank 2012 Annual Report Download - page 191
Download and view the complete annual report
Please find page 191 of the 2012 ICICI Bank annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.-
1 -
2
-
3
-
4
-
5
-
6
-
7
-
8
-
9
-
10
-
11
-
12
-
13
-
14
-
15
-
16
-
17
-
18
-
19
-
20
-
21
-
22
-
23
-
24
-
25
-
26
-
27
-
28
-
29
-
30
-
31
-
32
-
33
-
34
-
35
-
36
-
37
-
38
-
39
-
40
-
41
-
42
-
43
-
44
-
45
-
46
-
47
-
48
-
49
-
50
-
51
-
52
-
53
-
54
-
55
-
56
-
57
-
58
-
59
-
60
-
61
-
62
-
63
-
64
-
65
-
66
-
67
-
68
-
69
-
70
-
71
-
72
-
73
-
74
-
75
-
76
-
77
-
78
-
79
-
80
-
81
-
82
-
83
-
84
-
85
-
86
-
87
-
88
-
89
-
90
-
91
-
92
-
93
-
94
-
95
-
96
-
97
-
98
-
99
-
100
-
101
-
102
-
103
-
104
-
105
-
106
-
107
-
108
-
109
-
110
-
111
-
112
-
113
-
114
-
115
-
116
-
117
-
118
-
119
-
120
-
121
-
122
-
123
-
124
-
125
-
126
-
127
-
128
-
129
-
130
-
131
-
132
-
133
-
134
-
135
-
136
-
137
-
138
-
139
-
140
-
141
-
142
-
143
-
144
-
145
-
146
-
147
-
148
-
149
-
150
-
151
-
152
-
153
-
154
-
155
-
156
-
157
-
158
-
159
-
160
-
161
-
162
-
163
-
164
-
165
-
166
-
167
-
168
-
169
-
170
-
171
-
172
-
173
-
174
-
175
-
176
-
177
-
178
-
179
-
180
-
181 -
182 -
183 -
184 -
185 -
186 -
187 -
188 -
189 -
190 -
191 -
192 -
193 -
194 -
195 -
196 -
197 -
198 -
199 -
200 -
201 -
202
-
203
-
204
-
205
-
206
-
207
-
208
-
209
-
210
-
211
-
212
 |
 |
F113
ii. Securitisation exposures retained or purchased (March 31, 2012)
` in billion
Exposure type1On-balance sheet Off-balance sheet Total
Vehicle/equipment loans 0.62 - 0.62
Home and home equity loans 10.66 - 10.66
Personal loans - - -
Corporate loans 0.26 - 0.26
Mixed asset pool 3.14 - 3.14
Total 14.68 - 14.68
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, 2012)
` in billion
Exposure Capital charge1
<100% risk weight 11.75 0.22
100% risk weight - -
>100% risk weight - -
Total 11.75 0.22
1. Represents capital required to be maintained at 9.00% as per RBI guidelines.
vi. Securitisation exposures deducted from capital (March 31, 2012)
` in billion
Exposure type Exposures deducted
entirely from
Tier-1 capital
Credit enhancing
interest-only strips
deducted from
total capital
Credit enhancing
interest-only strips
deducted from
total capital1
Vehicle/equipment loans - - 0.62
Home and home equity loans - - -
Personal loans - - -
Corporate loans - - -
Mixed asset pool - - 2.31
Total - - 2.93
1. PTCs originated by the Bank 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 at their book values.
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 governs transactions in financial instruments. The policies are reviewed periodically to incorporate changed
business requirements, economic environment and changes in regulations.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2012