ICICI Bank''s mortgage-backed securities get CRISIL''s highest rating

Serial No
Trust Name PTC Series
(Rs million)
1 RMBS Series 6 A 1,000.0 AAA (so) (Provisional)
P 355.0 AAA (so) (Provisional)
2 Nivas Series 3 A 1,000.0 AAA (so) (Provisional)
P 328.8 AAA (so) (Provisional)
3 Mortgage Securitisation Trust A 1,000.0 AAA (so) (Provisional)
P 343.4 AAA (so) (Provisional)
4 Indian Home Loans Trust A 1,000.0 AAA (so) (Provisional)
P 373.8 AAA (so) (Provisional)
5 Griha Trust A 1,000.0 AAA (so) (Provisional)
P 360.8 AAA (so) (Provisional)
6 Aawas Trust A 1,000.0 AAA (so) (Provisional)
P 383.5 AAA (so) (Provisional)
7 Retail Residential Trust A 1,000.0 AAA (so) (Provisional)
P 346.5 AAA (so) (Provisional)

CRISIL has assigned its highest rating to seven issues of ICICI Bank's mortgage-backed securities (MBS) backed by the bank's housing loan receivables. The MBS market continues to be characterised by innovation in structuring instruments that meet investor requirements. In ICICI Bank's latest MBS issues, investors get flexibility to invest in papers offering a blend of fixed rates and floating rates for different periods. The ratings, currently provisional, will become valid once the legal documentation pertaining to the transaction is duly executed to the satisfaction of CRISIL.

There are two series - Series A and Series P. Series P is designed to absorb all the principal repayments in the pool till it is completely redeemed, thereby making Series A protected from prepayments. Both the series have a combination of fixed yield and floating yield during their tenure, besides exit options at various points of time.

Among other things, the ratings are based on the strength of the credit quality of the pool cash flows, ICICI Bank's origination and servicing capabilities, the credit enhancement mechanism, and the structural features of the transaction described above.

The pools consist of individual residential housing loan mortgages originated by ICICI Bank. All the seven pools are of good quality, with contracts having an average seasoning period of nine months and an average loan size of approximately Rs5 lakh. However, they have a fair degree of geographical concentration with a majority of the loans originated in Maharashtra.

ICICI Bank is India's second largest scheduled commercial bank with total assets of Rs1,252 billion and a network of 522 branches across the country. It is the market leader in housing finance, with monthly disbursements of Rs17 billion currently. The performance of these pools has been excellent, with strong collections and minimal delinquencies.