Rating Rationale
December 15, 2017 | Mumbai
Indian Residential MBS Trust Series XI
(Originator: ICICI Bank Limited)
Rating Reaffirmed  
Rating Action
Transaction Details Amount Rated (Rs Cr) Outstanding amount (Rs Cr)  Original Tenure (Months) # Credit Collateral (Rs Cr)  Ratings/ Credit Opinions@ Rating Action
Indian Residential MBS Trust Series XI  Series A PTCs 300.13 6.07 180 22.03 CRISIL AAA (SO) Rating reaffirmed 
1 crore = 10 million
Refer to annexure for Details of Instruments & Bank Facilities
#Indicates door to door tenure; actual tenure will depend on the level of prepayments in the pool, 
Detailed Rationale

CRISIL has reaffirmed its rating on Series A PTCs under the transaction 'Indian Residential MBS Trust Series XI'. The underlying receivables arise from a pool of mortgage backed residential housing loans originated by ICICI Bank Limited (ICICI; rated 'CRISIL AAA/Stable'). 
The pool is amortised by 98.1% and has exhibited strong collection performance. The cumulative collection ratio for the pool is robust at 99.7%. This has led to minimal delinquencies in the pool as reflected in 0+ overdue of 0.2%. The healthy collection performance coupled with high amortisation has led to an increase in the credit cover available for future PTC payouts from the cash collateral.
The pool is eligible for reset of credit enhancement, CRISIL has evaluated the reset in line with the RBI guidelines. However, investor consent is yet to be received.

Key Rating Drivers & Detailed Description
Supporting Factors
  • Healthy collection efficiency in the pool
    • Cumulative collection ration (CCR) for the transaction was 99.7% as after Oct-17 payouts. Robust collection efficiency has led to minimal 0+ overdue of 0.2%.  
  • High amortisation level
    • The pool is amortised by 98.1% as after Oct-17 payouts. High amortisation has led to increase in cover available for future investor payouts.
Constraining Factors
  • Basis risk in the transaction
    • There is basis risk in the transaction as pool yield is floating and investor yield is fixed.
CRISIL has adequately factored these aspects in its rating analysis 
About the Pool
The pool securitised comprises home loan receivables. As of October 2017 payouts, the pool has high seasoning. The top 3 states in the pool account for 68.26% of outstanding pool principal. The pool has weighted average interest rate of 15.34%. CRISIL has adequately factored all these aspects in its rating analysis1.

Pool Performance Summary
Asset class Residential housing loan receivables
Structure Par with EIS
Months post securitisation 163
Amortisation 98.1%
Credit collateral  as a percentage of future principal Fully covered
Credit collateral utilisation 0.0%
Cumulative collection ratio (CCR)! 99.7%
Last 3 months average MCR! 96.8%
Total overdues $ 0.2%
!CCR = {Total collections in the pool / (Total billings + opening overdues amounts at the time of securitisation)}
!MCR = Monthly collections in the pool / Monthly billings
$ Total overdues = (Total overdues plus loss on sale of repossessed assets in the pool expressed as a percentage of initial pool principal)

Rating Assumptions
To assess the base case collection shortfalls for the transaction, CRISIL has analysed the performance of rated securitisation transactions while arriving at base case loss scenario.
CRISIL has also factored in pool specific characteristics and estimated the base case peak shortfalls in the pool in the range of 2 to 4 per cent of pool cash flows.

  • At the time of securitisation, 96.5% of the loans in the pool were at floating rate of interest with the interest rate being linked to ICICI Bank's retail prime lending rate (RPLR) whereas the investor yield is fixed. At present, there is a comfortable gap between the pool yield and the yield promised to the investor. However, during the tenure of the transaction, decrease in the pool IRR may compress the asset side cash flows in relation to the liability side cash flows, thus leading to basis risk. CRISIL has assumed various interest rate scenarios to adequately factor in the basis risk of the transaction.
  • CRISIL has assumed a stressed monthly prepayment rate of 1.5 to 2.5 per cent in its analysis.
  • CRISIL does not envisage any risk arising on account of commingling of cash flows since CRISIL's long term rating on the servicer is 'CRISIL AAA/Stable' which can be mapped to CRISIL A1+
  • CRISIL has adequately factored in the risks arising on account of counterparties (refer to counterparty details below)
  • CRISIL has run sensitivities based on various shortfall curves (front-ended, back-ended and normal) and has adequately factored the same in its analysis

Counterparty details


Counterparty Name

Counterparty Rating/ Track record

Effect on credit ratings in case of non-performance

Originator and seller ICICI Bank Limited Rated 'CRISIL AAA/Stable'  
No effect.

Servicer ICICI Bank Limited Rated 'CRISIL AAA/Stable' Significant effect, because of change in servicing quality and replacement cost of servicer (not factored in by CRISIL given CRISIL's rating on the servicer). However, CRISIL does not envisage the requirement for replacement.
Collection and Payout Account Bank ICICI Bank Limited Rated 'CRISIL AAA/Stable Negligible effect. Account bank can be changed without impacting the rating.
First loss in the form of Current Account ICICI Bank Limited Rated 'CRISIL AAA/Stable' Negligible effect. Bank with whom the deposit is maintained can be changed without impacting the rating.
Second loss in the form of Current Account ICICI Bank Limited Rated 'CRISIL AAA/Stable' Negligible effect. Bank with whom the  deposit is maintained can be changed without impacting the rating.
Trustee IDBI Trusteeship Services Limited Adequate track record Negligible effect. Can be replaced at minimal cost.

About the Originator
ICICI Bank was incorporated in 1994. ICICI Bank had a consolidated asset base of Rs 9,86,043 crore as on March 31, 2017. With its group companies, it has a strong position across all the major financial segments. In particular, the ICICI group is one of the leading domestic players in life and general insurance, asset management, private equity, and retail broking segments. 

Past Rated Pools
CRISIL has ratings outstanding on thirteen transactions originated by ICICI Bank Limited. The collection efficiency for all the pools has remained robust till date. CRISIL is receiving monthly performance reports pertaining to all CRISIL-rated ICICI Bank Limited originated securitisation transactions.

1 Weights being the principal outstanding as of Oct 2017 payouts
2 Contracts in the pool are linked to ICICI Bank's Home Prime Lending Rate (HPLR) and Floating Reference Rate (FRR), CRISIL has used the term RPLR in the rationale for the sake of brevity.
Key Financial Indicators
Particulars Unit 2017 2016
Total Assets Rs. Cr. 771791 720695
Total income Rs. Cr. 41241 36546
Profit After Tax Rs. Cr. 9801 9726
Gross NPA % 7.90 5.20
Return on assets % 1.35 1.49
Adjusted gearing Times 1.5 1.9

Any other information: Not applicable

Note on complexity levels of the rated instrument:
CRISIL complexity levels are assigned to various types of financial instruments. The CRISIL complexity levels are available on www.crisil.com/complexity-levels. Users are advised to refer to the CRISIL complexity levels for instruments that they consider for investment. Users may also call the Customer Service Helpdesk with queries on specific instruments.
Annexure - Details of Instrument(s)
Type of Instrument Rated Amount
(Rs Cr)
Date of Allotment Maturity Date# Coupon Rate (%) (p.a.p.m) Outstanding
Ratings/credit opinions
Credit collateral (Rs Cr)^
Series A  PTCs 300.13 19-Dec-03 10-Aug-34 Fixed CRISIL AAA (SO) 22.03
#Indicates door to door tenure. Actual tenure will depend on the level of prepayments in the pool
Annexure - Rating History for last 3 Years
  Current 2017 (History) 2016  2015  2014  Start of 2014
Instrument Type Quantum Rating Date Rating Date Rating Date Rating Date Rating Rating
Series A PTCs LT  300.13 CRISIL AAA (SO)    No Rating Change   No Rating Change   No Rating Change   No Rating Change CRISIL AAA (SO) 
Table reflects instances where rating is changed or freshly assigned. 'No Rating Change' implies that there was no rating change under the release.
Links to related criteria
CRISILs rating methodology for RMBS transactions
Evaluating risks in securitisation transactions - A primer
Legal analysis in structured finance transactions

For further information contact:
Media Relations
Analytical Contacts
Customer Service Helpdesk
Saman Khan
Media Relations
CRISIL Limited
D: +91 22 3342 3895
B: +91 22 3342 3000

Naireen Ahmed
Media Relations
CRISIL Limited
D: +91 22 3342 1818
B: +91 22 3342 3000

Jyoti Parmar
Media Relations
CRISIL Limited
D: +91 22 3342 1835
B: +91 22 3342 3000

Krishnan Sitaraman
Senior Director - CRISIL Ratings
CRISIL Limited
D:+91 22 3342 8070

Rohit Inamdar
Senior Director - CRISIL Ratings
CRISIL Limited
D::+91 124 672 2200

Shruti Bodhankar
Rating Analyst - CRISIL Ratings
CRISIL Limited
D:+91 22 3342 3156
Timings: 10.00 am to 7.00 pm
Toll free Number:1800 267 1301

For a copy of Rationales / Rating Reports:
For Analytical queries:


Note for Media:
This rating rationale is transmitted to you for the sole purpose of dissemination through your newspaper / magazine / agency. The rating rationale may be used by you in full or in part without changing the meaning or context thereof but with due credit to CRISIL. However, CRISIL alone has the sole right of distribution (whether directly or indirectly) of its rationales for consideration or otherwise through any media including websites, portals etc.

About CRISIL Limited

CRISIL is an agile and innovative, global analytics company driven by its mission of making markets function better. We are India’s foremost provider of ratings, data, research, analytics and solutions. A strong track record of growth, culture of innovation and global footprint sets us apart. We have delivered independent opinions, actionable insights, and efficient solutions to over 100,000 customers.

We are majority owned by S&P Global Inc., a leading provider of transparent and independent ratings, benchmarks, analytics and data to the capital and commodity markets worldwide.

For more information, visit www.crisil.com 


About CRISIL Ratings
CRISIL Ratings is part of CRISIL Limited (“CRISIL”). We pioneered the concept of credit rating in India in 1987. CRISIL is registered in India as a credit rating agency with the Securities and Exchange Board of India (“SEBI”). With a tradition of independence, analytical rigour and innovation, CRISIL sets the standards in the credit rating business. We rate the entire range of debt instruments, such as, bank loans, certificates of deposit, commercial paper, non-convertible / convertible / partially convertible bonds and debentures, perpetual bonds, bank hybrid capital instruments, asset-backed and mortgage-backed securities, partial guarantees and other structured debt instruments. We have rated over 24,500 large and mid-scale corporates and financial institutions. CRISIL has also instituted several innovations in India in the rating business, including rating municipal bonds, partially guaranteed instruments and microfinance institutions. We also pioneered a globally unique rating service for Micro, Small and Medium Enterprises (MSMEs) and significantly extended the accessibility to rating services to a wider market. Over 1,10,000 MSMEs have been rated by us.


CRISIL respects your privacy. We use your contact information, such as your name, address, and email id, to fulfil your request and service your account and to provide you with additional information from CRISIL and other parts of S&P Global Inc. and its subsidiaries (collectively, the “Company) you may find of interest.

For further information, or to let us know your preferences with respect to receiving marketing materials, please visit www.crisil.com/privacy. You can view the Company’s Customer Privacy at https://www.spglobal.com/privacy

Last updated: April 2016


This disclaimer forms part of and applies to each credit rating report and/or credit rating rationale that we provide (each a “Report”). For the avoidance of doubt, the term “Report” includes the information, ratings and other content forming part of the Report. The Report is intended for the jurisdiction of India only. This Report does not constitute an offer of services. Without limiting the generality of the foregoing, nothing in the Report is to be construed as CRISIL providing or intending to provide any services in jurisdictions where CRISIL does not have the necessary licenses and/or registration to carry out its business activities referred to above. Access or use of this Report does not create a client relationship between CRISIL and the user.

We are not aware that any user intends to rely on the Report or of the manner in which a user intends to use the Report. In preparing our Report we have not taken into consideration the objectives or particular needs of any particular user. It is made abundantly clear that the Report is not intended to and does not constitute an investment advice. The Report is not an offer to sell or an offer to purchase or subscribe for any investment in any securities, instruments, facilities or solicitation of any kind or otherwise enter into any deal or transaction with the entity to which the Report pertains. The Report should not be the sole or primary basis for any investment decision within the meaning of any law or regulation (including the laws and regulations applicable in the US).

Ratings from CRISIL Rating are statements of opinion as of the date they are expressed and not statements of fact or recommendations to purchase, hold, or sell any securities / instruments or to make any investment decisions. Any opinions expressed here are in good faith, are subject to change without notice, and are only current as of the stated date of their issue. CRISIL assumes no obligation to update its opinions following publication in any form or format although CRISIL may disseminate its opinions and analysis. CRISIL rating contained in the Report is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment or other business decisions. The recipients of the Report should rely on their own judgment and take their own professional advice before acting on the Report in any way.

Neither CRISIL nor its affiliates, third party providers, as well as their directors, officers, shareholders, employees or agents (collectively, “CRISIL Parties”) guarantee the accuracy, completeness or adequacy of the Report, and no CRISIL Party shall have any liability for any errors, omissions, or interruptions therein, regardless of the cause, or for the results obtained from the use of any part of the Report. EACH CRISIL PARTY DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY, SUITABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall any CRISIL Party be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs) in connection with any use of any part of the Report even if advised of the possibility of such damages.

CRISIL Ratings may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of the instruments, facilities, securities or from obligors. CRISIL’s public ratings and analysis as are required to be disclosed under the regulations of the Securities and Exchange Board of India (and other applicable regulations, if any) are made available on its web sites, www.crisil.com (free of charge). Reports with more detail and additional information may be available for subscription at a fee – more details about CRISIL ratings are available here: www.crisilratings.com.

CRISIL and its affiliates do not act as a fiduciary. While CRISIL has obtained information from sources it believes to be reliable, CRISIL does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives and / or relies in its Reports. CRISIL keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of the respective activity. As a result, certain business units of CRISIL may have information that is not available to other CRISIL business units. CRISIL has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process. CRISIL has in place a ratings code of conduct and policies for analytical firewalls and for managing conflict of interest. For details please refer to: http://www.crisil.com/ratings/highlightedpolicy.html

CRISIL’s rating criteria are generally available without charge to the public on the CRISIL public web site, www.crisil.com. For latest rating information on any instrument of any company rated by CRISIL you may contact CRISIL RATING DESK at CRISILratingdesk@crisil.com, or at (0091) 1800 267 1301.

This Report should not be reproduced or redistributed to any other person or in any form without a prior written consent of CRISIL.

All rights reserved @ CRISIL