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CRISIL has reaffirmed its ratings on the Series A pass through certificates (PTCs) issued by Indian RMBS Trust Series IV and backed by residential mortgage loans originated by ICICI Bank Ltd (ICICI Bank). The ratings have been reaffirmed 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 transaction. The reaffirmation factors in the assignment of fresh loans to the pool, explained below.
Out of the original pool principal of Rs.4 billion, an unrated Rs.2 billion strip (Series P) was carved out to receive all the principal repayments/prepayments during the first five years. Once Series P is fully repaid, the principal repayments in the pool will be passed on to the Series A PTCs. According to the terms of the transaction, if the sum of principal balances of Series A PTCs and Series P PTCs falls below Rs.2.4 billion within 4.5 years of Declaration of Trust, the trustee has a one-time option to call upon ICICI Bank to assign a fresh set of loans (satisfying pre-identified selection criteria) to top up the pool so that the sum of principal balances of Series A and Series P becomes Rs.4 billion. The sum of principal balances of Series A PTCs and Series P PTCs has fallen below Rs.2.4 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.
The freshly-assigned loans have a high average seasoning of 50 months, and moderate original loan-to-value ratios (LTVs). CRISIL believes that the effective LTVs of these loans would have improved significantly, given 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 the performance of the pool
The pool was securitised in October 2004; over 48 months, it has been amortised by 50 per cent. The credit collateral of Rs.74.0 million stipulated in the rating is intact. The 90+ days past due (dpd) and 180+ dpd delinquencies are low at 0.81 per cent and 0.64 per cent, respectively, of the original pool principal. The cumulative collection efficiency is also high at 98.7 per cent.
About ICICI Bank
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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Disclaimer: A CRISIL rating reflects CRISIL's current opinion on the likelihood of timely payment of the obligations under the rated instrument and does not constitute an audit of the rated entity by CRISIL. CRISIL ratings are based on information provided by the issuer or obtained by CRISIL from sources it considers reliable. CRISIL does not guarantee the completeness or accuracy of the information on which the rating is based. A CRISIL rating is not a recommendation to buy, sell or hold the rated instrument; it does not comment on the market price or suitability for a particular investor. All CRISIL ratings are under surveillance. Ratings are revised as and when circumstances so warrant. CRISIL is not responsible for any errors and especially states that it has no financial liability whatsoever to the subscribers / users / transmitters / distributors of this product. For the latest rating information on any instrument of any company rated by CRISIL, please contact CRISIL RATING DESK at CRISILratingdesk@crisil.com, or at (+91 22) 6691 3001 - 09
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