CRISIL has upgraded its credit opinions on acquirer payouts for the ‘Assignment of receivables – June 2006’ and ‘Assignment of receivables – September 2006 I’ transactions to ‘AAA(so)’ equivalent from ‘AA+(so)’ equivalent. The upgrade is based on the future acquirer payouts being fully covered by the available credit collateral. The pools assigned in these transactions are backed by car loan receivables originated by ICICI Bank Ltd (ICICI Bank; rated ‘AAA/Stable’¹ by CRISIL).

The credit opinions on the second loss facilities for the Assignment of receivables – September 2006 I, Assignment of receivables – September 2006 II, and Assignment of receivables – November 2006 transactions have been upgraded to ‘AAA(so)’ equivalent based on the future acquirer payouts being fully covered by the available first loss facility.

The rating on Series A14 PTCs issued by Indian Retail ABS Trust 84 (IRABS 84) has been downgraded to ‘D(so)’ from ‘C(so)’. The downgrade reflects shortfalls in payouts to the Series A14 PTCs’ investors in April 2011, caused by the pool collections and credit collateral facility falling short of the scheduled investors’ payouts. The collection performance of the pool has been significantly weaker than the CRISIL’s expectations and the stipulated credit collateral has been fully utilised.

The credit opinions on the liquidity facilities for the ‘Assignment of receivables – September 2006 I’, ‘Assignment of receivables – September 2006 II’, ‘Assignment of receivables – November 2006’ and ‘IRABS 84’ transactions have been reaffirmed at ‘AAA(so)’ equivalent. The reaffirmation is based on the liquidity trigger, whereby the credit collateral and expected future collections would be sufficient to fund the utilised liquidity facility, with the liquidity facility being at the top of the payment waterfall.

About the Originator
Promoted by the erstwhile ICICI Bank Ltd, ICICI Bank was incorporated in 1994. In March 2002, ICICI Ltd was merged into ICICI Bank. ICICI Bank reported a profit after tax (PAT) of Rs.51.5 billion for 2010-11 (refers to financial year, April 1 to March 31), against a PAT of Rs.40.3 billion for 2009-10. ICICI Bank, on a consolidated basis (with its subsidiaries and other associate entities), reported a PAT of Rs.60.9 billion for 2010-11, compared with a PAT of Rs.46.7 billion for 2009-10.

Transaction Details (as after March 2011 Payouts)

Transaction	Details	Amount Rated (Rs. Million)	Outstanding Amount (Rs. Million)	Original Tenure (Months)	Balance Tenure (Months)	Rating/ Credit Opinion
Assignment of receivables – June 2006	Acquirer payouts (Principal)	3000.5	3.3	57	1	‘AAA(so)’ equivalent [Upgraded from ‘AA+(so)’ equivalent]
Assignment of receivables – September 2006 I	Liquidity Facility	6.4	1.2$	55	2	‘AAA(so)’ equivalent [Reaffirmed]
	Deferred Purchase Consideration	20.9	0.0	46	0	‘AAA(so)’ equivalent [Withdrawn]
	Acquirer payouts(Principal)	999.3	6.0	55	2	‘AAA(so)’ equivalent [Upgraded from ‘AA+(so)’ equivalent]
	Second Loss Facility	6.8	0.0$	55	2	‘AAA(so)’ equivalent [Upgraded from ‘AA-(so)’ equivalent]
Assignment of receivables – September 2006 II	Liquidity Facility	20.7	3.6$	56	3	‘AAA(so)’ equivalent [Reaffirmed]
	Acquirer payouts (Principal)	2941.8	34.1	56	3	‘AAA(so)’ equivalent [Reaffirmed]
	Second Loss Facility	49.9	0.0$	56	3	‘AAA(so)’ equivalent [Upgraded from ‘AA(so)’ equivalent]
Assignment of receivables – November 2006	Liquidity Facility	18.4	3.3$	53	3	‘AAA(so)’ equivalent [Reaffirmed]
	Acquirer payouts (Principal)	2877.2	22.9	53	3	‘AAA(so)’ equivalent [Reaffirmed]
	Second Loss Facility	41.9	0.0$	53	3	‘AAA(so)’ equivalent [Upgraded from ‘AA-(so)’ equivalent]
Indian Retail ABS Trust 84&	Liquidity Facility	295.4	0.0$	54	6	‘AAA(so)’ equivalent [Reaffirmed]
	Series A14	982.3	306.4	54	6	‘D(so)’ [Downgraded from ‘C(so)’]

Pool Performance Summary (as after March 2011 Payouts)

Parameters	Assignment – June 2006	Assignment – September 2006 I	Assignment – September 2006 II	Assignment – November 2006	IRABS 84&
Asset Class	New Car	New Car	New and used car	New car	New Car and PL
Months Post Securitisation (Months)	56	53	53	50	48
Balance Tenure (Months)	1	2	3	3	6
Amortisation Level	99.9%	99.4%	98.8%	99.2%	94.8%
Cumulative Collection Ratio	94.8%	95.9%	94.8%	96.4%	89.1%
Past 3 Months Average Monthly Collection Ratio	90.6%	96.4%	95.4%	95.4%	90.7%
Cumulative Prepayments	16.6%	16.3%	20.3%	16.5%	15.5%
1-90 Overdues(OD)	0.1%	0.1%	0.1%	0.1%	0.2%
90+ OD*	5.5%	4.3%	5.3%	3.0%	11.4%
180+ OD*	5.3%	4.1%	5.1%	2.9%	11.2%
90+ Days Past Due (dpd)*#	5.5%	4.3%	5.4%	3.1%	12.5%
180+ dpd*^	5.3%	4.2%	5.2%	3.0%	12.1%
Credit Collateral Utilisation%	84.1%	66.4%	57.9%	49.1%	100.0%
Current Credit Collateral as % of FP	Fully Covered	Fully Covered	Fully Covered	Fully Covered	0.0%
Current First Loss as % of FP	Fully Covered	Fully Covered	Fully Covered	Fully Covered	0.0%
Threshold Collection Ratio	0.0%	0.0%	0.0%	0.0%	Not Relevant
Threshold Credit Coverage	Not Relevant	Not Relevant	Not Relevant	Not Relevant	Not Relevant

¹Outlook only for Upper Tier II Bonds and Tier I Perpetual Bonds