Fitch affirms ICICI's Indian RMBS 2003 Trust Series 1

NEW DELHI: Fitch Ratings has on Thursday affirmed the 'AAA (Ind)(SO)' ratings assigned to the Series A and Series P issued by ICICI Bank's Indian Residential Mortgage-Backed Security (RMBS) 2003 Trust Series 1.

The affirmations affect approximately INR 1167.8 million of the outstanding certificates and reflect stable cash flows pertaining to low delinquency levels and high collection efficiency. The credit enhancement for this transaction consists of a cash collateral, subordination and excess spread, which remain sufficient to cover for expected stressed losses.

The transaction have shown strong performance to date, with 180+ days past due (dpd) delinquency at 1.09 per cent on current principal outstanding and 0.39 per cent on original principal outstanding. Cumulative collection efficiency has been around 99.2 per cent for the transaction, showcasing robust servicing and arrears management on the part of ICICI Bank.

Prepayments remain stable with average monthly prepayments in the range of 1per cent to 1.5per cent . The ongoing transaction performance analysis forms an integral part of the ratings process. Clear and timely reporting is essential for assessing current performance and for forming an accurate credit view. Hence, for active monitoring, Fitch has developed a surveillance process, where the impact of key performance indicators such as delinquencies, prepayment rates, collection efficiency, interest rate movements, and credit enhancement utilisation are examined.

The agency ultimately assesses the impact of such indicators on the timely repayment of interest and principal for the Pass Through Certificates (PTCs) on an ongoing basis, to ensure that the level of protection available to PTC investors is commensurate with the rating level assigned to the notes.