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CRISIL has reaffirmed its rating on the
Series A pass through certificates (PTCs) issued by Indian
RMBS Trust Series V. This reaffirmation follows the fresh
assignment of mortgage loans to the pool as per the terms of
the transaction. The PTCs are backed by a pool of residential
mortgage loans originated by ICICI Bank Ltd (ICICI Bank). The
rating reaffirmation is based on the performance of the pool,
the strength of the credit quality of the pool’s future cash
flows, ICICI Bank’s origination and servicing capabilities,
the credit collateral, and the structural features of the
securitisation transaction. The reaffirmation factors in the
assignment of fresh loans to the pool.
From the original pool, with a principal of
Rs.1 billion, two strips were carved out ? Series A and Series
P. Under the transaction structure, Series P was to receive
all the principal repayments/prepayments during the first five
years of the transaction. Once Series P was fully repaid, the
principal repayments in the pool were to be passed on to
Series A PTCs. If the sum of principal balances of Series A
and Series P PTCs fell below Rs.0.6 billion within 54 months
of securitisation, the trustee, IDBI Trusteeship Services
Limited (ITSL), had an option to call upon ICICI Bank to
assign a fresh set of loans to top up the pool, so that the
sum of principal balances of Series A and Series P PTCs was
restored to Rs.1 billion. The sum of principal balances of
Series A and Series P PTCs has now fallen below Rs.0.6
billion, and Series P is nearing full redemption; the trustee
has, therefore, exercised the top-up option, leading to the
fresh assignment of mortgage loans with principal balance of
Rs. 0.45 billion on the pool cut-off date.
The freshly-assigned loans have a high
average seasoning of 64 months, and moderate original
loan-to-value (LTV) ratios (weighted average – 70.6 per cent).
CRISIL believes that the effective LTV ratios of these loans
have improved significantly, given the amortization of the
loans and the sharp increase in home prices over the levels
prevailing when these loans were originated.
CRISIL has outstanding ratings on 16 housing
loan pools originated by ICICI Bank. The performance of these
pools has been good, with strong collections and low
delinquencies.
About pool performance
The
pool was securitised in February 2005; over the past 46
months, 43 per cent of the pool has been amortised. The credit
collateral of Rs.18.5 million is intact. The 90+ days past due
(dpd) and 180+ dpd are moderate at 2.49 per cent and 1.79 per
cent, respectively, of the original pool principal. The
cumulative collection efficiency is also high at 98.7 per
cent.
About the
Originator
Promoted by the erstwhile ICICI Ltd,
ICICI Bank was incorporated in 1994. In March 2002, ICICI Ltd
was merged with ICICI Bank. ICICI Bank is India’s
second-largest bank, with an asset base of Rs.3.99 trillion as
on March 31, 2008. The bank reported a profit after tax (PAT)
of Rs.41.6 billion in 2007-08 (refers to financial year, April
1 to March 31), as against a PAT of Rs.31.1 billion in
2006-07. |
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