ICICI Bank 2013 Annual Report Download - page 192

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premium arising from securitisation is amortised over the life of the securities issued or to be issued by the
special purpose vehicle to which the assets are sold.
In accordance with the RBI guidelines dated May 7, 2012 for securitisation of standard assets, with effect from
May 7, 2012, the Bank accounts for any loss arising from securitisation immediately at the time of sale and the
profit/premium arising from securitisation is amortised over the life of the transaction based on the method
prescribed in RBI guidelines.
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 book
i. Total outstanding exposures securitised by the Bank and the related unrecognised gains/(losses)
(March 31, 2013)
` in billion
Exposure type Outstanding1Unrecognised
gains/(losses)
Vehicle/equipment loans - -
Home and home equity loans 6.71 -
Personal loans - -
Corporate loans 1.82 -
Mixed asset pool - -
Total 8.53 -
1. The amounts represent the total outstanding principal at March 31, 2013 for securitisation deals and include direct
assignments in the nature of sell-downs. Credit enhancements and liquidity facilities are not included in the above
amounts. During the year ended March 31, 2013, the Bank had not securitised any assets as an originator.
BASEL II – PILLAR 3 DISCLOSURES (CONSOLIDATED)
at March 31, 2013