April 06, 2015
CRISIL assigns credit opinion 'CRISIL AAA (SO) Equivalent' to the second-loss facility and reaffirms ratings on PTCs for securitisation transactions originated by ICICI Bank Limited

CRISIL has assigned a credit opinion of ‘CRISIL AAA (SO) Equivalent’ to the second-loss facility in the existing transactions of Mortgage Repack Trust Series I, Nivas Trust Series VII, Aawas Trust Series III, and Aawas Trust Series VI. The four transactions are backed by residential housing loan receivables originated by ICICI Bank Ltd (ICICI Bank; rated ‘CRISIL AAA/Stable’).

The credit opinions have been assigned based on the strength of the credit quality of the pool cash flows, originator’s origination and servicing capabilities, the available first-loss facility, the payment mechanism for the transactions, and the soundness of the legal structure.

The credit opinions on the pass-through certificates (PTCs) issued under these transactions have been reaffirmed. The collections in the transactions have remained healthy and delinquencies low. The cash collateral available in the transactions provides adequate credit coverage to the PTCs.

Transaction name Instrument Details Yield Terms Rated Amount (Rs. Million) Outstanding Amount (Rs. Million)& Outstanding Credit Collateral (Rs. Million) Rating/Credit Opinion
Nivas Trust Series VII Series A PTCs Floating 500.0 160.8 93.9 CRISIL AAA (SO) Equivalent [Reaffirmed]
Series IO PTCs - 578.0^^ 41.1^^ 93.9 CRISIL AAA (SO) Equivalent [Reaffirmed]
Second-Loss Facility - 46.9 0.0$ 47.0 CRISIL AAA (SO) Equivalent [Assigned]
Aawas Trust Series III Series A1 PTCs Fixed% 2564.7 140.8 327.6 CRISIL AAA (SO) Equivalent [Reaffirmed]
Series A2 PTCs N.A. N.A. N.A. 327.6 CRISIL AAA (SO) Equivalent [Reaffirmed]
Second-Loss Facility - 203.4 0.0$ 124.2 CRISIL AAA (SO) Equivalent [Assigned]
Aawas Trust Series VI Series A2 PTCs Fixed% 1200.0 141.4 525.7 CRISIL AAA (SO) Equivalent [Reaffirmed]
Series A3 PTCs Floating 246.0 246.0 525.7 CRISIL AAA (SO) Equivalent [Reaffirmed]
Series B PTCs N.A. N.A. N.A. 525.7 CRISIL AAA (SO) Equivalent [Reaffirmed]
Second-Loss Facility - 329.0 0.0$ 196.7 CRISIL AAA (SO) Equivalent [Assigned]
Mortgage Repack Trust Series I Series IO-A2 PTCs - 1581.2# 418.0# 620.0 CRISIL AAA (SO) Equivalent [Reaffirmed]
Second-Loss Facility - 620.0 0.0$ 620.0 CRISIL AAA (SO) Equivalent [Assigned]

&As after February 2015 payouts
^^Refers to expected cashflows to the tranche; Series IO PTCs issue size increased from Rs. 121 million initially, on account of additional infusion of contracts as per the terms of the transaction
$Refers to the utilised amount
%Fixed rate with a reset every five years
#Refers to expected cash flows to the tranche

Performance Summary
Parameter (As of December 2014 payouts) Nivas Trust Series VII Aawas Trust Series III Aawas Trust Series VI Mortgage Repack Trust Series I
Months post securitisation 112 111 111 109
Cumulative Collection Ratio (CCR@) 99.2% 99.3% 98.2% -
3-month average monthly collection ratio (MCR&) 98.6% 104.1% 98.1% -
Pool Amortisation 88.3% 94.1% 88.3% -
90+ delinquencies§ 1.1% 0.8% 1.6% -
180+ delinquencies^ 1.0% 0.7% 1.4% -
Credit collateral as % of principal outstanding 56.4% Fully covered Fully covered Fully covered
First loss facility as % of principal outstanding 28.2% 82.8% 48.7% Fully covered

@CCR = Cumulative collections/(cumulative billings + opening overdue).
&MCR = Monthly collections/monthly billings.
§90+ dpd = [(Overdue + principal outstanding) of contracts overdue for more than 90 days + repossession losses if any)]/Initial pool principal.
^180+ dpd = [(Overdue + principal outstanding) of contracts overdue for more than 180 days + repossession losses if any)]/Initial pool principal.

About the Originator
Promoted by the erstwhile ICICI Ltd, ICICI Bank was incorporated in 1994. In 2002, ICICI Ltd was merged with ICICI Bank. ICICI Bank is India's largest private sector bank, with an asset base of Rs.5.9 trillion as on March 31, 2014 (Rs.5.4 trillion as on March 31, 2013). In August 2010, ICICI Bank acquired Bank of Rajasthan, enhancing its presence in northern and western India.

ICICI Bank reported a standalone profit after tax (PAT) of Rs.98.1 billion for 2013-14 (refers to financial year, April 1 to March 31), against a PAT of Rs.83.3 billion for 2012-13. At the consolidated level (with subsidiaries and other associate entities), ICICI Bank reported a PAT of Rs.110.4 billion for 2013-14 (Rs.96.0 billion for 2012-13). For the nine months ended December 31, 2014, the bank reported standalone profit after tax (PAT) of Rs.82.5 billion compared to Rs.71.5 billion during the same period in 2013-14.

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Last updated: August, 2014

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April 06, 2015