Exhibit
15







BASEL
II – Pillar 3 Disclosures (Consolidated)
 
 1.
              SCOPE
      OF APPLICATION
 
 Pillar 3
disclosures apply to ICICI Bank Limited and its consolidated entities, wherein
ICICI Bank Limited is the controlling entity in the group.
 
 Basis
of consolidation for capital adequacy
 
 Consolidation for
capital adequacy is based on consolidated financial statements of ICICI Bank and
its subsidiaries in line with guidelines for consolidated accounting and other
quantitative methods vide DBOD.No.BP. BC.72/21.04.018/2001-02 issued by Reserve
Bank of India (RBI). The capital charge is computed as per RBI guidelines for
implementation of the New Capital Adequacy Framework (Basel II) released in
April 2007.
 
 The entities
considered for consolidation for capital adequacy include subsidiaries,
associates and joint ventures of the Bank, which carry on activities of banking
or financial nature as stated in the scope for preparing consolidated prudential
reports laid down in RBI’s Basel II guidelines. Entities engaged in insurance
business and businesses not pertaining to financial services have been excluded
from consolidation for capital adequacy. Investment above 30% in paid-up equity
capital of financial entities which are not consolidated for capital adequacy
(including insurance entities) and investments in other instruments eligible for
regulatory capital status in those entities have been deducted to the extent of
50% from Tier-1 and 50% from Tier-2 capital.
 
 The table below
lists ICICI Bank’s financial and non-financial subsidiaries/associates/joint
ventures and other entities consolidated for accounting and their treatment in
consolidated capital adequacy computations:
 
 Sr.
              Name
      of the entity
              Nature
      of business & consolidation statusNo.1
              ICICI
      Securities Primary Dealership Limited
              Securities
      investment, trading and underwriting– fully
      consolidated2
              ICICI
      Securities Limited
              Securities
      broking & merchant banking– fully
      consolidated3
              ICICI
      Securities Inc.
              Securities
      broking – fully consolidated4
              ICICI
      Securities Holdings Inc.
              Holding
      company of ICICI Securities Inc.– fully
      consolidated5
              ICICI Venture
      Funds Management Company Limited
              Private
      equity/venture capital fund management– fully
      consolidated6
              ICICI Home
      Finance Company Limited
              Housing
      finance – fully consolidated7
              ICICI
      Trusteeship Services Limited
              Trusteeship
      services – fully consolidated8
              ICICI
      Investment Management Company Limited
              Asset
      management – fully consolidated9
              ICICI
      International Limited
              Asset
      management – fully consolidated10
              ICICI Bank UK
      PLC
              Banking –
      fully consolidated11
              ICICI Bank
      Canada
              Banking –
      fully consolidated12
              ICICI Wealth
      Management Inc.
              Wealth
      management – fully consolidated13
              ICICI Bank
      Eurasia Limited Liability Company
              Banking –
      fully consolidated14
              ICICI Eco-net Internet and
      Technology Fund1
              Venture
      capital fund – fully consolidated15
              ICICI Equity Fund1
              Unregistered
      venture capital fund – fullyconsolidated16
              ICICI Emerging Sectors
      Fund1
              Venture
      capital fund – fully consolidated17
              ICICI Strategic Investments
      Fund1
              Unregistered
      venture capital fund– fully
      consolidated18
              ICICI
      Prudential Asset Management Company Limited
              Asset
      management – fully consolidated19
              ICICI
      Prudential Trust Limited
              Trusteeship
      services – fully consolidated
 
  1






BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




Sr.
              Name
      of the entity
              Nature
      of business & consolidation statusNo.20
              TCW/ICICI
      Investment Partners LLC
              Asset
      management – proportionately consolidated21
              ICICI
      Prudential Life Insurance Company Limited
              Life
      insurance – consolidated for financial reportingbut not for
      capital adequacy and deducted fromcapital for
      capital adequacy22
              ICICI Lombard
      General Insurance Company Limited
              General
      Insurance – consolidated for financialreporting but
      not for capital adequacy anddeducted from
      capital for capital adequacy23
              ICICI Venture
      Value Fund
              Unregistered
      venture capital fund – consolidatedby equity
      method24
              ICICI Kinfra Limited1
              Infrastructure
      development consultancy –consolidated
      for financial reporting but not forcapital
      adequacy25
              ICICI West
      Bengal Infrastructure Development
              Infrastructure
      development consultancy –Corporation Limited1
              consolidated
      for financial reporting but not forcapital
      adequacy26
              Financial
      Information Network and Operations
              Service
      provider – consolidated by equity methodLimited
              for financial
      reporting but not consolidated forcapital
      adequacy27
              I-Process
      Services (India) Private Limited
              Service
      provider – consolidated by equity methodfor financial
      reporting but not consolidated forcapital
      adequacy28
              I-Solutions
      Providers (India) Private Limited
              Service
      provider – consolidated by equity methodfor financial
      reporting but not consolidated forcapital
      adequacy29
              NIIT
      Institute of Finance, Banking and Insurance
              Education and
      training in banking and financeTraining
      Limited
              –
      consolidated by equity method for financialreporting but
      not consolidated for capital adequacy30
              Loyalty Solutions & Research
      Limited1
              Customer
      relationship management, datamining and
      analytics and marketing services –consolidated
      for financial reporting but not forcapital
      adequacy31
              Contests2win.com
      India Private Limited
              Internet
      portal – consolidated by equity method forfinancial
      reporting but not consolidated for capitaladequacy32
              Crossdomain
      Solutions Private Limited
              Business
      process outsourcing services -–consolidated
      by equity method for financialreporting but
      not consolidated for capital adequacy33
              Transafe
      Services Limited
              Logistic
      products manufacturer -– consolidatedby equity
      method for financial reporting but notconsolidated
      for capital adequacy34
              Prize
      Petroleum Company Limited
              Oil
      exploration and production -– consolidatedby equity
      method for financial reporting but notconsolidated
      for capital adequacy35
              I-Ven Biotech Limited1
              Research and
      development of biotechnology -consolidated
      for financial reporting but not forcapital
      adequacy
  1.
              Consolidating
      entities under Accounting Standard
21.
   2






BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


a.
              Capital
      deficiencies
 
 Majority owned
financial entities that are not consolidated for capital adequacy purposes and
for which the investment in equity and other instruments eligible for regulatory
capital status is deducted from capital, meet their respective regulatory
capital requirements at all times. There is no deficiency in capital in any of
the subsidiaries of the Bank as on March 31, 2009. ICICI Bank maintains an
active oversight on all its subsidiaries through their respective Boards and
regular updates to the Board of the Bank. On a periodic basis the capital
adequacy position of subsidiaries (banking, non-banking & insurance
subsidiaries), as per the applicable regulations, is reported to their
respective Boards as well as to the Board of the Bank.
 
 b.
              Bank’s
      interest in insurance entities
 
 The book value of
the Bank’s total interest in its insurance subsidiaries, which is deducted from
capital for capital adequacy under Basel II is detailed in the table
below.
 
 Rupees in
      billionName
      of the entity
              Country
      of
                incorporation
              Ownership
                interest
              Book value
      ofinvestmentICICI
      Prudential Life Insurance Company Limited
              India
              73.93%
              35.90ICICI Lombard
      General Insurance Company Limited
              India
              73.80%
              10.96
 
 The quantitative
impact on regulatory capital of using risk weighted investments method versus
using the deduction method is set out in the following table:
  Rupees in billionMethod
              Quantitative
      impactDeduction
      method
              46.86Capital at 9%
      based on risk weighted assets
              4.22
 
 2.
              CAPITAL
      STRUCTURE
 
 a.
              Summary
      information on main terms and conditions/features of capital
      instruments
 
 As per the RBI
capital adequacy norms, ICICI Bank’s regulatory capital is classified into
Tier-1 capital and Tier-2 capital.
 
 Tier-1 capital
includes paid-up equity capital, statutory reserves, other disclosed free
reserves, capital reserves and innovative perpetual debt instruments (Tier-1
bonds) eligible for inclusion in Tier-1 capital that comply with requirement
specified by RBI.
 
 Tier-2 capital
includes revaluation reserves (if any), general provision and loss reserve,
upper Tier-2 instruments (upper Tier-2 bonds) and subordinate debt instruments
(lower Tier-2 bonds) eligible for inclusion in Tier-2 capital.
 
 ICICI Bank and its
subsidiaries have issued debt instruments that form a part of Tier-1 and Tier-2
capital. The terms and conditions that are applicable for these instruments
comply with the stipulated regulatory requirements and where required an
independent legal opinion has been obtained for inclusion of these instruments
in capital.
 
 Tier-1 bonds are
non-cumulative and perpetual in nature with a call option after 10 years.
Interest on Tier-1 bonds is payable either annually or semi-annually. These
Tier-1 bonds have a step-up clause on interest payment ranging up to 100
bps.
 
 The upper Tier-2
bonds are cumulative and have an original maturity of 15 years with call option
after 10 years. The interest on upper Tier-2 bonds is payable either annually or
semi-annually. Some of the upper Tier-2 debt instruments have a step-up clause
on interest payment ranging up to 100 bps.
 
 The lower Tier-2
bonds (subordinated debt) are cumulative and have an original maturity between 5
to 15 years. The interest on lower Tier-2 capital instruments is payable
quarterly, semi-annually or annually.
   3
 BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


b.    Amount
of Tier-1 capital (March 31, 2009)
  Rupees in
      billionTier-1
      capital elements
              AmountPaid-up share capital/common
      stock1
              12.80Reserves2
              487.93Innovative
      Tier-1 capital instruments
              30.17Minority
      interest
              0.35Gross
      Tier-1 capital
              531.26Deductions:Investment in
      paid-up equity of financial subsidiaries/associates
              23.43Intangible assets other than
      goodwill3
              37.35Securitisation
      exposures including credit enhancements
              15.60Goodwill
              0.74Minority
      interest not eligible for inclusion in Tier-1 capital
              0.04Net
      Tier-1 capital
              454.10
 
 1.
              Includes
      preference shares permitted by RBI for inclusion in Tier-1
      capital.2.
              Includes
      statutory reserves, disclosed free reserves and capital
      reserves.
  3.
              Includes
      losses and deferred tax assets and unamortized early retirement
      options.
 
 c.
              Amount
      of Tier-2 capital (March 31, 2009)
  Rupees
      in billionTier-2
      capital elements
              AmountGeneral
      provisions & loss reserves
              16.91Upper Tier-2
      capital instruments
              113.66Lower Tier-2
      capital instruments
              101.40Gross
      Tier-2 capital
              231.97Deductions:Investments
      in paid-up equity of financial subsidiaries/associates
              23.43Securitisation
      exposure including credit enhancement
              15.60Net
      Tier-2 capital
              192.94
 
 d.    Debt
capital instruments eligible for inclusion in Tier-1 and Tier-2
capital
  Rupees in billionTier-1
              Upper
      Tier-2
              Lower
      Tier-2Total amount
      outstanding at March 31, 2009
              30.17
              113.66
              126.80Amount raised
      during current financial year
              —
              45.21
              5.20Amount
      eligible to be reckoned as capital funds
              30.17
              113.66
              101.40
 
  
 4




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


e.    Total
eligible capital (March 31, 2009)
  Rupees in billionAmountEligible
      Tier-1 capital
              454.10Eligible
      Tier-2 capital
              192.94Total
      eligible capital
              647.04
 
 3.
              CAPITAL
      ADEQUACY
 
 a.
              Capital
      assessment
 
 The Bank is subject
to the capital adequacy norms stipulated by the RBI guidelines on Basel II with
effect from March 31, 2008. Prior to March 31, 2008, the Bank was subject to the
capital adequacy norms as stipulated by the RBI guidelines on Basel I. The RBI
guidelines on Basel II require the Bank to maintain a minimum ratio of total
capital to risk weighted assets of 9.0%, with a minimum Tier-1 capital adequacy
ratio of 6.0%. The total capital adequacy ratio of the Bank at a standalone
level as at March 31, 2009 as per the RBI guidelines on Basel II is 15.53% with
a Tier-1 capital adequacy ratio of 11.84%. The total capital adequacy ratio of
the ICICI Group (consolidated) as at March 31, 2009 as per the RBI guidelines on
Basel II is 14.73% with a Tier-1 capital adequacy ratio of 10.34%.
 
 Under Pillar 1 of
the RBI guidelines on Basel II, the Bank follows the standardised approach for
credit and market risk and basic indicator approach (BIA) for operational risk.
The Bank is in the process of setting up a framework for the adoption of the
advanced approaches under Basel II for measuring credit, market and operational
risks and aims to migrate to these approaches in line with the required approval
and time schedule stipulated by RBI.
 
 In view of its
transitional arrangements to the Basel II framework, the RBI has prescribed a
parallel run under which the Bank calculates capital adequacy under both Basel I
and Basel II. Further at March 31, 2009, the Bank is required to maintain
capital adequacy based on the higher of the minimum capital required under Basel
II or at 90.0% of the minimum capital required under Basel I. The computation
under Basel II guidelines results in a higher minimum capital requirement as
compared to Basel I and hence as a result the capital adequacy as at March 31,
2009 has been maintained and reported by the Bank as per Basel II
guidelines.
 
 The Board of
Directors of ICICI Bank maintains an active oversight over the Bank’s capital
adequacy levels. In line with the RBI guidelines, the Bank has a Board approved
policy for internal capital adequacy assessment process (ICAAP) and the outcomes
of the ICAAP are presented to the Board on an annual basis. The ICAAP
encompasses the Bank’s capital planning for current and future periods. The Bank
determines its capital needs and the optimum level of capital taking into
account the Bank’s strategic focus, business plan, growth objectives and any
other related factors including:
 
 ●
              Regulatory
      capital requirements as per the RBI guidelines on Basel
  II;
 
 ●
              Assessment of
      material risks;
 
 ●
              Perception of
      credit rating agencies, shareholders and
  investors;
 
 ●
              Future
      strategy with regard to investments or divestments in subsidiaries;
      and
 
 ●
              Evaluation of
      capital raising options in the form of equity and hybrid/debt capital
      instruments from domestic and overseas markets, as permitted by RBI from
      time-to-time.
 
 The Bank also
conducts stress tests and scenario analysis and factors the impact of the same
in its capital planning process. The Bank formulates its internal capital level
targets based on the ICAAP and endeavours to maintain its capital adequacy level
in excess of the targeted levels at all times.
 
 Thus, the Bank’s
capital assessment and planning for current and future periods reflects the
Bank’s capital needs, planned capital consumption, desired level of capital,
limits related to capital, management actions/ contingency plan for dealing with
divergences and unexpected events and assessment for external and internal
sources of capital.
 
 
 5
 
  BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


b.    Capital
requirements for various risk areas (March 31, 2009)
  Rupees in billionRisk
      area
              Amount1Credit
      riskCapital
      required–      Portfolio
      subject to standardised approach
              325.78–     
      Securitisation
      exposure
              2.36Market
      riskCapital
      required–      for
      interest rate risk
              41.38–      for
      foreign exchange (including gold) risk
              1.06–      for
      equity position risk
              3.69Operational
      riskCapital
      required
              21.14Total
      capital requirement at 9%
              395.42Total
      capital funds of the Bank
              647.04Total
      risk weighted assets
              4,393.50Capital
      adequacy ratio
              14.73%
 
 1.
              Includes all
      entities considered for Basel II capital adequacy
    computation.
 
 Capital
      adequacy ratioCapital
      ratios
              Consolidated1
              ICICI
      Bank
              ICICI
      Bank
              ICICI
      Bank
              ICICI
      BankLtd.1
              UK PLC2
              Canada2
              Eurasia LLC2,3Tier-1
      capital ratio
              10.34%
              11.84%
              12.06%
              18.55%
              N.A.Total capital
      ratio
              14.73%
              15.53%
              18.38%
              19.89%
              15.07%
 
 1.
              Computed as
      per RBI guidelines on Basel II.2.
              Computed as
      per capital adequacy framework guidelines issued by regulators of
      respective jurisdictions.
  3.
              Total capital
      ratio is required to be reported in line with regulatory norms stipulated
      by Central Bank of Russia.
 
 4.
              RISK
      MANAGEMENT FRAMEWORK
 
 As a financial
intermediary, the Bank is exposed to various types of risks including credit,
market, liquidity, operational, legal, compliance and reputation risks. The
objective of the risk management framework at the Bank is to ensure that various
risks are understood, measured and monitored and that the policies and
procedures established to address these risks are strictly adhered
to.
 
 The key principles
underlying the risk management framework at the Bank are as
follows:
 
 1.
              The Board of
      Directors has oversight on all the risks assumed by the Bank. Specific
      Committees of the Board have been constituted to facilitate focused
      oversight of various risks. Risk Committee reviews risk management
      policies in relation to various risks including portfolio, liquidity,
      interest rate, investment policies and strategy, and regulatory and
      compliance issues in relation thereto. Credit Committee reviews
      developments in key industrial sectors and the Bank’s exposure to these
      sectors as well as to large borrower accounts. Audit Committee provides
      direction to and also monitors the quality of the internal audit function.
      Asset Liability Management Committee is responsible for managing the
      balance sheet and reviewing the Bank’s asset-liability
      position.
 
 2.
              Policies
      approved from time to time by the Board of Directors/Committees of the
      Board form the governing framework for each type of risk. The business
      activities are undertaken within this policy
  framework.
 
 3.
              Independent
      groups and sub-groups have been constituted across the Bank to facilitate
      independent evaluation, monitoring and reporting of various risks. These
      control groups function independently of the business groups/
      sub-groups.
 
 The risk management
framework forms the basis of developing consistent risk principles across the
Bank, overseas branches and overseas banking subsidiaries.
 
 Material risks are
identified, measured, monitored and reported to the Board of Directors/Board
level committees/ Committee of Directors through the following:
 
 6




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


a.
              Key
      risk indicators
 
 Key risk indicators
have been developed pertaining to various risks such as credit risk, interest
rate risk, liquidity risk and foreign exchange risk, besides internal audit
ratings. These indicators are presented at the end of every
quarter.
 
 b.
              ICAAP/stress
      testing
 
 As part of ICAAP,
the Bank has conducted stress tests under various historical and hypothetical
scenarios and assessed the impact on its capital adequacy. The outcome of such
exercise has been reported to RBI as at March 31, 2008.
 
 Stress test is
being conducted as per the ICAAP methodology approved by the Board on periodical
basis for all the risks and reported to respective committees.
 
 c.
              Stress
      tolerance limits
 
 In line with stress
testing results, risk tolerance limits have been formulated for various risks.
The actual position against the limits is being periodically reported to
respective committees.
 
 d.
              Analysis
      of irregularities
 
 Status of
arrears/irregularities is being monitored by independent control group and is
reported quarterly to Credit Committee.
 
 e.
              Reporting
      against prudential exposure norms
 
 Status of actual
position against prudential exposure limits set by the Board/stipulated by RBI
are reported periodically to respective committees.
 
 Measurement
of risks for capital adequacy purposes
 
 Under Pillar 1 of
the RBI guidelines on Basel II, the Bank currently follows the standardised
approach for credit and market risk and basic indicator approach (BIA) for
operational risk. The Bank is in the process of setting up a framework for the
adoption of the advanced approaches under Basel II and aims to migrate to these
approaches in line with the required approval and time schedule stipulated by
RBI.
 
 5.
              CREDIT
      RISK
 
 The Bank is exposed
to credit risk in its lending operations. Credit risk is the risk of loss that
may occur from the failure of any counterparty to abide by the terms and
conditions of any financial contract with the Bank, principally the failure to
make required payments as per the terms and conditions of the
contracts.
 
 Policies
and processes
 
 All credit risk
related aspects are governed by credit and recovery policy (Credit Policy),
approved by the Board of Directors. Credit Policy outlines the type of products
that can be offered, customer categories, target customer profile, credit
approval process and prudential exposure limits.
 
 Structure
and organisation of the credit risk management group
 
 The Global Credit
Risk Management Group (GCRMG) is responsible for rating of the credit portfolio,
tracking changes in various industries and periodic reporting of portfolio-level
changes. The GCRMG is segregated into sub-groups for Corporate, Small
Enterprises and Rural Micro-banking and Agri-business Group (RMAG) and Retail
businesses.
 
 The overseas
banking subsidiaries of the Bank have also established similar structures to
ensure adequate risk management, factoring in the risks particular to the
respective businesses and the regulatory and statutory guidelines. The risk
heads of all overseas banking subsidiaries have a reporting relationship to the
Head - Global Risk Management Group (GRMG), in addition to reporting to the
Chief Executive Officer of the respective subsidiaries.
 
 Credit
risk assessment process
 
 There is a
structured and standardised credit approval process including a comprehensive
credit risk assessment process, which encompasses analysis of relevant
quantitative and qualitative information to ascertain credit rating of the
borrower.
 
 7




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


The credit rating
process involves assessment of risk emanating from various sources such as
industry risk, business risk, financial risk, management risk, project risk and
structure risk. For all corporate and majority of small enterprises, a
case-by-case rating is issued based on detailed analysis of the above
factors.
 
 In respect of
retail advances, the Bank’s credit officers evaluate credit proposals on the
basis of the product policy approved by the Retail Credit Forum and the risk
assessment criteria defined by the Global Retail Credit Risk Management
Group.
 
 Credit
approval authorisation structure
 
 The Board of
Directors has delegated the authority to the Credit Committee consisting of a
majority of independent Directors, the Committee of Directors consisting of
whole time Directors, the Committee of Executives, the Regional Committee, Small
Enterprise Group Forums and Agricultural Credit Forums, all consisting of
designated executives and to individual executives in the case of program/policy
based products, to approve financial assistance within certain individual and
group exposure limits set by the Board of Directors. The authorization is based
on the level of risk and the quantum of exposure, to ensure that the
transactions with higher exposure and level of risk are put up to
correspondingly higher forum/committee for approval.
 
 In respect of
retail loans, all product-level policies require the approval of the Retail
Credit Forum, comprising of Executive Director and senior managers. These
criteria vary across product segments but typically include factors such as the
borrower’s income, the loan-to-value ratio and demographic parameters. The
individual credit proposals are evaluated and approved by executives on the
basis of the product policies.
 
 Credit
risk monitoring process
 
 For effective
monitoring of credit facilities, a post-approval authorization structure has
been laid down. For Corporate and Small Enterprises and RMAG, Credit Middle
Office Group verifies adherence to the terms of the approval prior to commitment
and disbursement of credit facilities.
 
 For retail credit,
the Bank has established centralised operations to manage operating risk in the
various back office processes of the Bank’s retail loan business except for a
few operations, which are decentralized to improve turnaround time for
customers. A fraud prevention and control group has been set up to manage
fraud-related risks through fraud prevention and through recovery of fraud
losses. The fraud control group evaluates various external agencies involved in
the retail finance operations, including direct marketing associates, external
verification associates and collection agencies.
 
 The Bank has a
collections unit structured along various product lines and geographical
locations, to control delinquency levels. The collections unit operates under
the guidelines of a standardised recovery process.
 
 Reporting
and measurement
 
 Credit exposure for
ICICI Bank is measured & monitored using a centralised exposure management
system. The analysis of the composition of the portfolio is presented to the
Risk Committee on a quarterly basis.
 
 ICICI Bank complies
with the norms on exposure stipulated by RBI for both single borrower as well as
borrower group at the consolidated level. Limits have been set by the risk
management group as a percentage of the Bank’s consolidated capital funds and
are regularly monitored. The utilisation against specified limits is reported to
the Committee of Directors and Credit Committee on a periodic
basis.
 
 Credit
concentration risk
 
 Credit
concentration risk arises mainly on account of concentration of exposures under
various categories including industry, products, geography, underlying
collateral nature and single/group borrower exposures.
 
 Within the
corporate portfolio, as a prudential measure in line with better risk management
practice, the RBI has prescribed regulatory limits on banks’ maximum exposure to
single borrowers and group borrowers. In order to restrict the concentration
risk arising out of longer tenure exposure within the prudential limits set by
RBI, the Board of ICICI Bank has approved prescribed sub-limits for the maximum
long tenor exposure to a particular borrower group.
 
 Limits are
stipulated in the credit policy to address concentration risk. Limits have been
stipulated on single borrower, group, industry, longer tenure exposure to a
group. Exposure of top 10 borrowers and borrower groups for the consolidated
Bank are reported to the Committee of Directors on a quarterly
basis.
 
 8




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


Definition
and classification of non-performing assets (NPA)
 
 The Bank classifies
its advances (loans and debentures in the nature of an advance) into performing
and non- performing loans (NPL) in accordance with the extant RBI
guidelines.
 
 A
NPA is defined as a loan or an advance where:
 
 i)
              interest
      and/or installment of principal remain overdue for more than 90 days in
      respect of a term loan. Any amount due to the bank under any credit
      facility is ‘overdue’ if it is not paid on the due date fixed by the
      Bank;
 
 ii)
              the account
      remains ‘out of order’ in respect of an overdraft/cash credit (OD/CC)
      facility continuously for 90 days. An account is treated as ‘out of order’
      if:
 
 a)
              the
      outstanding balance remains continuously in excess of the sanctioned
      limit/drawing power, or
 
 b)
              where the
      outstanding balance in the principal operating account is less than the
      sanctioned limit/drawing power, but there are no credits continuously for
      90 days as on the date of the balance sheet,
or
 
 c)
              credits in
      the account are not enough to cover the interest debited during the
      accounting period.
 
 d)
              drawings have
      been permitted in the account for a continuous period of 90 days based on
      drawing power computed on the basis of stock statements that are more than
      three months old even though the unit may be working or the borrower’s
      financial position is satisfactory
 
 e)
              the
      regular/ad hoc credit limits have not been reviewed/renewed within 180
      days from the due date/date of ad hoc
sanction.
 
 iii)
              a bill
      purchased/discounted by the Bank remains overdue for a period of more than
      90 days;
 
 iv)
              interest
      and/or installment of principal in respect of an agricultural loan remains
      overdue for two crop seasons for short duration crops and one crop season
      for long duration crops.
 
 Further, NPAs are
classified into sub-standard, doubtful and loss assets based on the criteria
stipulated by RBI. A sub-standard asset is one, which has remained NPA for a
period less than or equal to 12 months. An asset is classified as doubtful if it
has remained in the sub-standard category for more than 12 months. A loss asset
is one where loss has been identified by the Bank or internal or external
auditors or during RBI inspection but the amount has not been written off
fully.
 
 The loans of
subsidiaries have been classified as non-performing in accordance with the
guidelines prescribed by their respective regulators.
 
 a.    Total
credit risk exposures (March 31, 2009)
  Rupees in billionCategory
              Credit
      exposureFund-based
      facilities
              3,594.11Non-fund
      based facilities
              2,088.20Total1
              5,682.31
 
 1.  Includes
all entities considered for Basel II capital adequacy computation.
 
 Credit exposure
includes exposure towards term loans, working capital facilities (i.e. funded
facilities like cash credit, demand loan, temporary limits and non-funded
facilities like letter of credit, acceptances, financial guarantee, performance
guarantee), sell-down options, securitisation, derivatives, credit derivatives
and investments that are held-to-maturity. Direct claims on domestic sovereign
(to the extent of Rs. 536.09 billion) and investments covered under specific
market risk have been excluded.
 
 b.    Geographic
distribution of exposures (March 31, 2009)
  Rupees in billionFund-based
              Non-fund
      basedDomestic
              2,615.87
              1,799.57Overseas
              978.24
              288.63Total1
              3,594.11
              2,088.20
 
 1.  Includes
all entities considered for Basel II capital adequacy computation.
  9




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




c.    Industry-wise
distribution of exposures (March 31, 2009)
  Rupees in billionIndustry
              Fund-based
              Non-fund
      basedRetail finance1
              1,477.12
              50.57Banks
              28.93
              406.36Crude
      petroleum/refining & petrochemicals
              195.49
              221.25Services -
      non finance
              280.32
              113.09Electronics
      & engineering
              71.73
              273.34Road, port,
      telecom, urban development & other infrastructure
              143.20
              178.16Services -
      finance
              233.10
              62.69Iron/steel
      & products
              126.24
              114.42Power
              88.68
              102.09Construction
              39.90
              103.11Metal &
      products (excluding iron & steel)
              37.59
              95.54Mutual
      funds
              129.55
              0.18Chemical
      & fertilisers
              74.70
              54.81Food &
      beverages
              110.14
              11.62Wholesale/retail
      trade
              34.55
              46.69Drugs &
      pharmaceuticals
              46.94
              28.68Automobiles
              38.30
              28.11Cement
              29.36
              30.83Shipping
              22.45
              36.60Gems &
      jewellery
              38.41
              19.58Manufacturing
      products excluding metal
              34.26
              11.27Textiles
              28.47
              13.56FMCG
              25.41
              6.06Mining
              16.72
              3.83Venture
      capital funds
              12.01
              —Other
      industries
              230.55
              75.77Total2
              3,594.11
              2,088.20
 
 1.
              Includes home
      loans, automobile loans, commercial business loans, two wheeler loans,
      personal loans, credit cards, dealer funding (Rs. 11.11 billion) and
      developer financing (Rs. 49.07
billion).
 2.
              Includes all
      entities considered for Basel II capital adequacy
    computation.
  d.
              Residual
      contractual maturity break-down of assets (March 31,
  2009)
 
 The maturity
pattern of assets as on March 31, 2009 is detailed in the table
below.
  Rupees in billionMaturity
      buckets
                Cash
      &
                  balance
                  with
                  monetary
                  authority
                Balances
                  with
      banks
                  &
      money at
                  call
      and short
                  notice
                Investments
                Advances
                Fixed
                  assets
                Other
                  assets
                Total
                  assets1 to 14
      days
                63.55
                137.12
                155.35
                92.73
                0.14
                65.36
                514.2515 to 28
      days
                10.80
                7.67
                58.72
                28.12
                0.01
                33.54
                138.8529 days to 3
      months
                17.34
                7.51
                133.58
                105.08
                0.16
                15.75
                279.423 to 6
      months
                14.02
                12.30
                79.57
                135.16
                0.29
                5.20
                246.536 months to 1
      year
                17.23
                4.92
                103.82
                258.43
                2.84
                7.41
                394.641 to 3
      years
                40.60
                1.90
                334.89
                993.96
                0.62
                14.68
                1,386.683 to 5
      years
                2.22
                —
                56.78
                572.66
                0.20
                5.27
                637.12Above 5
      years
                10.07
                —
                253.58
                475.68
                35.02
                112.88
                887.19Total1
                175.83
                171.42
                1,176.28
                2,661.80
                39.27
                260.08
                4,484.69
 1.
              Consolidated
      figures for ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada,
      ICICI Bank Eurasia LLC, ICICI Home Finance Company, ICICI Securities and
      its subsidiaries.






10




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




e.    Amount
of non-performing loans (NPL) (March 31, 2009)
  Rupees in billionNPL
      classification
              Gross NPLs1
              Net NPLs2Sub-standard
              62.94
              39.80Doubtful
              30.39
              6.89- Doubtful 13
              18.45
              4.62- Doubtful 23
              5.02
              2.27- Doubtful 33
              6.92
              —Loss
              5.05
              —Total4,
      5
              98.38
              46.69NPL
      Ratio
              3.62%
              1.75%
 
 1.
              Gross NPL
      ratio is computed as a ratio of Gross NPLs to Gross
    Advances.
 2.
              Net NPL ratio
      is computed as a ratio of Net NPLs to Net
  Advances.
 3.
              Loans
      classified as NPL for 456-820 days are classified as Doubtful 1, 820-1,550
      days as Doubtful 2 and above 1,550 days as Doubtful
  3.
 4.
              Includes
      advances portfolio of ICICI Bank Limited, banking subsidiaries and ICICI
      Home Finance Company.
 5.
              Identification
      of loans as non-performing is in line with the guidelines issued by
      regulators of respective entities.
  f.
              Movement
      of NPL
  Rupees in billionGross
              NetOpening
      balance as on April 1, 2008
              76.42
              35.20Additions during the
      year1,2
              51.93
              20.69Reductions
      during the year
              (29.97)
              (9.20)Closing
      balance as on March 31, 2009
              98.38
              46.69
 
 1.
              The difference
      between the opening and closing balance (other than accounts written off
      during the year) of NPLs in retail loans is included in additions during
      the year.
 2.
              Includes
      advances portfolio of ICICI Bank Limited, banking subsidiaries and ICICI
      Home Finance Company.
 
 g.
              Movement
      of provisions for NPL
  Rupees in
      billionAmountOpening
      balance as on April 1, 2008
              39.76Provisions made during the
      year1
              36.04Write-off
              (23.22)Write-back of
      excess provisions
              (0.89)Closing balance as on March 31,
      20092
              51.69
 
 1.
              The difference
      between the opening and closing balances (adjusted for write-off and sale
      of NPAs during the year) of provisions for retail loans is included in
      provisions made during the year.
 2.
              Includes
      provision on advances portfolio of ICICI Bank Limited, banking
      subsidiaries and ICICI Home Finance
Company.
  h.
              Amount
      of non-performing investments (NPI) in securities, other than government
      and other approved securities
  Rupees in billionAmount1Gross NPI as
      on March 31, 2009
              11.82Total
      provisions held on NPI
              8.78Net
      NPI as on March 31, 2009
              3.04
 
 1.  Consolidated
figures for ICICI Bank Limited, banking subsidiaries and ICICI Home Finance
Company.
 
 11




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




i.     Movement
of provisions for depreciation on investments1
  
 Rupees in billionAmountOpening
      balance as on April 1, 2008
              16.24Provisions
      made during the year
              33.97(Write-off)/(write-back)
      of excess provisions during the year
              (7.78)Closing balance as on March 31,
      20092,3
              42.43
 
 1.
              After
      considering movement in appreciation on investments.2.
              Includes all
      entities considered for Basel II capital adequacy
    computation.
  3.
              During the
      year certain investments were reclassified from AFS category to ‘loans and
      receivables’ category in ICICI Bank UK PLC, in accordance with ammendments
      made to the applicable accounting standards in October 2008. Had this
      reclassification not been done, additional provisions on investments
      amounting to US$ 10.5 million would have been
  done.
 
 6.
              CREDIT
      RISK: PORTFOLIOS SUBJECT TO THE STANDARDISED
  APPROACH
 
 a.
              External
      ratings
 
 The RBI guidelines
on Basel II require banks to use ratings assigned by specified External Credit
Assessment Institutions (ECAIs) namely CRISIL, CARE, ICRA & Fitch (India)
for domestic counterparties and Standard & Poors, Moodys and Fitch for
foreign counterparties.
 
 ICICI Bank uses an
internal ratings mechanism for rating its clients, which is validated at regular
intervals with the assistance of ECAIs like CRISIL to ensure the model is in
line with market participants. However, the Bank uses external ratings for the
purposes of computing capital adequacy as per the RBI guidelines on Basel
II.
 
 The prevalence of
entity level credit ratings in the Indian market is limited and the
instrument/facility-specific credit rating of corporates is more commonly used.
Hence, while arriving at risk-weighted assets for credit risk under the
standardised approach, facility-specific credit ratings of the corporates have
been used to determine the ratings of the counterparty using the conditions
specified in the RBI guidelines on Basel II.
 
 As per the RBI
guidelines on Basel II, the external rating of the facilities of the
counterparty is contingent upon the ratings of the instrument rated by the
credit rating agency for the counterparty as at the period of capital adequacy
computation. The RBI guidelines outlines specific conditions for facilities that
have multiple ratings. In this context, the lower rating, where there are two
ratings and the second-lowest rating where there are three or more ratings, are
used for a given facility. The mapping of external ratings to Bank’s facility
has been undertaken on a case by case basis, using Bank’s exposure as at March
31, 2009. In line with the RBI guidelines, an unrated short term claim on a
counterparty is assigned a risk weight of at least one level higher than the
risk weight applicable to the rated short term claim on that counterparty.
Ratings for mutual fund schemes, corporate bonds and securitisation tranches
have also been obtained from the ratings mapping provided by the rating
agencies.
 
 b.
              Credit
      exposures by risk weights
 
 The table below
discloses the amount of credit exposures in three major risk buckets as at March
31, 2009
  Rupees in billionExposure
      category
              Amount outstanding1Less than
      100% risk weight
              1,758.84100% risk
      weight
              3,189.22More than
      100% risk weight
              706.73Deductions
              27.51Total2
              5,682.31
 
 1.
              Includes
      credit exposures and excludes direct claims on sovereign and investments
      covered under specific market risk.
 2.
              Includes all
      entities considered for Basel II capital adequacy
    computation.
 
 
 12




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




7.
              CREDIT
      RISK MITIGATION
 
 a.
              Credit
      risk mitigation policy
 
 The Bank defines
collateral as the assets or rights provided to the Bank by the borrower or a
third party in order to secure a credit facility. The Bank would have the rights
of secured creditor in respect of the assets/ contracts offered as security for
the obligations of the borrower/obligor.
 
 Collateral
valuation and management
 
 As stipulated by
the RBI guidelines, the Bank uses the comprehensive approach for collateral
valuation. Under this approach, the Bank reduces its credit exposure to a
counterparty when calculating its capital requirements to the extent of risk
mitigation provided by the eligible collateral as specified in the Basel II
guidelines.
 
 The Bank adjusts
the value of any collateral received to adjust for possible future fluctuations
in the value of the collateral in line with the requirements specified by RBI
guidelines. These adjustments, also referred to as ‘haircuts’, to produce
volatility-adjusted amounts for collateral, are reduced from the exposure to
compute the capital charge based on the applicable risk weights.
 
 Types
of collateral taken by the Bank
 
 ICICI Bank
determines the appropriate collateral for each facility based on the type of
product and counterparty. In case of corporate and small and medium enterprises
financing, fixed assets are generally taken as security for long tenor loans and
current assets for working capital finance. For project finance, security of the
assets of the borrower and assignment of the underlying project contracts is
generally taken. In addition, in some cases, additional security such as pledge
of shares, cash collateral, charge on receivables with an escrow arrangement and
guarantees is also taken.
 
 For retail
products, the security to be taken is defined in the product policy for the
respective products. Housing loans and automobile loans are secured by the
security of the property/automobile being financed. The valuation of the
properties is carried out by an approved valuation agency at the time of
sanctioning the loan.
 
 The Bank also
offers products which are primarily based on collateral such as shares,
specified securities, warehoused commodities and gold jewellery. These products
are offered in line with the approved product policies which include types of
collateral, valuation and margining.
 
 The Bank extends
unsecured facilities to higher rated clients and for certain products such as
derivatives, credit cards and personal loans. The limits structure with respect
to unsecured facilities has been approved by the Board of
Directors.
 
 The decision on the
type and quantum of collateral for each transaction is taken by the credit
approving authority as per the credit approval authorisation approved by the
Board of Directors. For facilities provided as per approved product policies
(retail products, loan against shares etc.), collateral is taken in line with
the policy.
 
 The RBI guidelines
on Basel II allow specified types of collateral to be eligible for obtaining
capital relief. In line with the RBI guidelines, the Bank has framed a policy on
collateral management and credit risk mitigation. The Bank reckons the permitted
collateral for capital relief when the collateral fulfill the conditions
stipulated for eligibility by RBI in its guidelines on Basel II.
 
 The processes for
capital computation and credit risk mitigation based on Basel II guidelines are
consistent across subsidiaries of the Bank.
 
 Concentrations
within credit risk mitigation
 
 The RBI guidelines
in addition to its stipulated pre-conditions for collateral eligibility require
that there should not be a material positive correlation between the credit
quality of the counterparty and the value of the collateral being considered.
GCRMG conducts the assessment to identify any material positive correlation.
Based on the assessment the collateral is included or excluded as an eligible
credit risk mitigant. Currently, the Bank does not have any concentration risk
within credit risk mitigation.
 
 b.
              Portfolio
      covered by eligible financial
collateral
 
 The RBI guidelines
allow specified types of financial collateral subject to fulfillment of certain
conditions, to be eligible for providing capital relief. This includes cash
(deposited with the Bank), gold (including bullion
 
 13




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




and jewellery,
subject to collateralized jewellery being benchmarked to 99.99% purity),
securities issued by Central and State Governments, Kisan Vikas Patra, National
Savings Certificates, life insurance policies with a declared surrender value
issued by an insurance company which is regulated by the insurance sector
regulator, certain debt securities rated by a recognized credit rating agency,
mutual fund units where daily Net Asset Value (NAV) is available in public
domain and the mutual fund is limited to investing in the instruments listed
above. The Bank reckons the permitted financial collateral for capital relief
when the financial collateral fulfill the conditions stipulated for eligibility
by RBI in its guidelines on Basel II.
 
 The table below
details the total exposure that is covered by eligible financial collateral as
at March 31, 2009.
  Rupees in billionExposures
      covered by eligible financial collateral
              Amount1Exposure
      before considering eligible financial collateral
              208.31Exposure
      after considering eligible financial collateral
              162.80
 
 1.  Includes
all entities considered for Basel II capital adequacy computation.
 
 8.
              SECURITISATION
 
 a.
                Securitisation
      objectives and policies
Objectives
 
 The Bank’s primary
objective of securitization activities is to increase the efficiency of capital
and enhance the return on capital employed by diversifying sources of
funding.
 
 Roles
played by the Bank
 
 In securitization
transactions backed by assets either originated by the Bank or third parties,
the Bank plays the following major roles:
 
 ●
              Underwriter:allowing
      un-subscribed portions of securitized debt issuances, if any to devolve on
      theBank, with
      the intent of selling at a later
stage.
 
 ●
              Investor/trader/market-maker:acquiring investment grade securitized debt instruments backed
      byfinancial
      assets originated by third parties for purposes of
      investment/trading/market-making with the aim of developing an active
      secondary market in securitized
debt.
 
 ●
              Structurer:structuring
      appropriately in a form and manner suitably tailored to meet investor
      requirementswhile being
      compliant with extant regulations.
 
 ●
              Provider of liquidity
      facilities:addressing temporary mismatches on account of the
      timing differencesbetween the
      receipt of cash flows from the underlying performing assets and the
      fulfillment of obligations to the
beneficiaries.
 
 ●
              Provider of credit enhancement
      facilities:addressing delinquencies associated with the
      underlyingassets, i.e.
      bridging the gaps arising out of credit considerations between cash flows
      received/collected from the underlying assets and the fulfillment of
      repayment obligations to the
beneficiaries.
 
 ●
              Provider of collection and
      processing services:collecting and/or managing receivables from
      underlyingobligors,
      contribution from the investors to securitisation transactions, making
      payments to counterparties/ appropriate beneficiaries, reporting the
      collection efficiency and other performance parameters and providing other
      services relating to collections and payments as may be required for the
      purpose of the transactions.
 
 b.
              Summary
      of the Bank’s accounting policies for securitisation
      activities
 
 The Bank transfers
commercial and consumer loans through securitisation transactions. The
transferred loans are de-recognised and gains/losses are accounted for only if
the Bank surrenders the rights to benefits specified in the loan contracts.
Recourse and servicing obligations are accounted for net of
provisions.
 
 In accordance with
the RBI guidelines, with effect from February 1, 2006, the Bank accounts for any
loss arising from securitisation immediately at the time of sale and the
profit/premium arising from securitisation is amortised over the life of the
securities issued or to be issued by the special purpose vehicle to which the
assets are sold. In the case of loans sold to an asset reconstruction company,
the gain, if any, is ignored.
 
 14




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


Key assumptions in
measuring the fair value of retained interests at the date of sale or
securitisation during the year ended March 31, 2009 and also for subsequent
measurement of retained interests as on March 31, 2009 are given in the table
below.
 
 Auto
              Personal
              Two
      wheeler
              Mortgageloans
              loans
              loans
              loansDiscount
      rate
              7.0% to
      15.8%
              7.0% to
      25.6%
              7.0% to
      18.8%
              7.0% to
      10.2%Constant
      prepayment rate (per annum)
              15.0%
              42.0%
              12.0%
              10.0%Anticipated net credit losses
      (per annum)1
              0.4% to
      1.4%
              3.2% to
      10.0%
              1.1%
              0% to
      1.0%
 
 1.  Applicable
for single product pools.
 
 c.
              Rating
      of securitisation exposures
 
 Ratings obtained
from ECAIs are used for rating securisation exposures. Presently, the type of
securitisation exposures, for which these ratings are used, are:
 
 ●
              Securitized
      debt instruments/pass through certificates
  (PTCs);
 
 ●
              Second loss
      credit enhancement facility; and
 
 ●
              Liquidity
      facility.
 
 d.
              Break-up
      of total outstanding exposures securitised by exposure type (March 31,
      2009)
 
  
 Rupees in billionExposure
      type
              Amount1,2Vehicle/equipment
      loans
              69.05Home &
      home equity loans
              29.77Personal
      loans
              24.06Corporate
      loansa.
              Deals originated in current year where the Bank does not have any retained
      exposure
              4.75b.
              Deals
      originated in current year where the Bank has retained
      exposure
              —c.
              Deals
      originated prior to current year where the Bank does not have any retained
      exposure
              6.20Total
              133.83
 
 1.
              The amounts
      represent the outstanding principal as on March 31, 2009 for
      securitisation deals.
 2.
              Includes
      direct assignments.
 
 e.
              (i)   Amount
      of impaired/past due assets
securitized
 
 The Bank has not
securitized any impaired/past due assets.
 
 e.   (ii)  Break-up
of securitisation losses (net) by exposure type
 
  
 Rupees in billionExposure
      type
              Fiscal
      2009Vehicle/equipment
      loans
              1.35Home &
      home equity loans
              —Personal
      loans
              0.67Corporate
      loans
              —Mixed asset
      pool
              1.19Total1
              3.21
 
 1.  Includes
direct assignments.
 
 15




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




f.    Break-up of
aggregate amount of securitisation exposures retained or purchased by exposure
type1
  Rupees
      in billionExposure
      type
              March
      31, 2009Vehicle/equipment
      loans
              35.41Home &
      home equity loans
              50.93Personal
      loans
              24.94Corporate
      loans
              4.15Mixed asset
      pool
              33.54Total2,3
              148.97
 
 1.
              Securitisation
      exposures, include, but are not restricted to, securities, liquidity
      facilities, other commitments and credit enhancements such as interest
      only strips, cash collateral accounts and other subordinated
      assets.
 2.
              Includes
      direct assignments.
 3.
              Net of
      provisions.
 
 g.
              (i)  
      Risk weight bands break-up of aggregate amount of securitisation exposures
      retained or purchased
  Rupees in billionRisk
      weight bands
              March
      31, 2009Less than
      100%
              68.60100%
              48.61More than
      100%
              0.56Total1
              117.77
 
 1. Includes direct
assignments.
 
 g.
              (ii)   Break-up
      of securitisation exposures deducted from capital by exposure
      type
  Rupees in billionExposures
              Credit
      enhancement
              Other
      exposuresExposure
      type
              deducted
      entirely
              (interest
      only) deducted
              deducted
      from totalfrom Tier-1 capital1,4
              from total capital2,4
              capital3,4Vehicle/equipment
      loans
              —
              1.55
              7.96Home &
      home equity loans
              —
              0.07
              2.09Personal
      loans
              —
              2.39
              7.32Corporate
      loans
              —
              —
              —Mixed
      assets
              —
              0.42
              9.39Total
              —
              4.43
              26.76
 
 1.
              This includes
      gain on sale of assets.
 2.
              Includes
      subordinate contribution amount deducted from
  capital.
 3.
              Includes
      credit enhancements and capital deducted on PTCs originated by ICICI Bank
      as well as devolved PTCs & PTCs purchased in case of third party
      originated securitisation
transactions.
 4.
              Includes
      direct assignments.
 
 16




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


h.    (i)   Total
number and book value of loan assets securitised – by type of underlying
assets
  Rupees in billion, except number of loans
      securitisedFiscal
      2008
                Fiscal 20091Underlying
      asset type
                Total
      number
                  of
      loan assets
                  securitized
                Total
      book
                  value
      of
                  loan
      assets
                  securitised
                Total
      number
                  of
      loan assets
                  securitized
                Total
      book
                  value
      of
                  loan
      assets
                  securitizedVehicle/equipment
      loans
                585,779
                83.34
                —
                —Home &
      home equity loans
                —
                —
                7,050
                3.83Personal
      loans
                564,147
                54.21
                —
                —Corporate
      loans
                5
                3.30
                3
                4.75Total
                1,149,931
                140.85
                7,053
                8.58
 
 1.
              Includes
      direct assignments.
 
 h.
              (ii)  Summary
      of securitisation activity
  Rupees in billionFiscal
      2008
              Fiscal 20091Sale
      consideration received for the securitised assets
              142.47
              8.62Net gain/(loss) on account of
      securitisation2
              0.17
              (3.21)
 
 1.
              Includes
      direct assignments.
 2.
              Represents
      loss booked upfront, gain/(loss) on deal closures, gain amortised during
      the period & expenses relating to utilisation of credit
      enhancement.
 h.
              (iii)  Summary
      of form and quantum of services
provided
 
  
 Rupees in billionMarch
      31, 2008
              March 31, 20091Outstanding
      credit enhancement
              44.86
              40.92–     
      Funded
              15.70
              13.19–     
      Non-funded
              29.16
              27.73Outstanding
      liquidity facility
              7.74
              6.85Net
      outstanding servicing asset/(liability)
              1.36
              0.75Outstanding
      subordinate contributions
              11.80
              9.15
 
 1.
              Includes
      direct assignments.
 
 9.
              MARKET
      RISK IN TRADING BOOK
 
 a.
              Market
      risk management policy Risk management
policies
  Market risk is the
possibility of loss arising from changes in the value of a financial instrument
as a result of changes in market variables such as interest rates, exchange
rates, credit spreads and other asset prices. The market risk for the Bank and
each of its banking subsidiaries is managed in accordance with the investment
policies, which are approved by the respective Boards. These policies ensure
that operations in securities, foreign exchange and derivatives are conducted in
accordance with sound and acceptable business practices and are as per the
extant regulatory guidelines, laws governing transactions in financial
securities and the financial environment. The policies are reviewed periodically
to incorporate therein, changed business requirements, economic environment and
revised policy guidelines.
 
 17
 
  BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


Risk
management objectives
 
 The Bank manages
its market risk with the broad objectives of:
 
 1.
              Optimizing
      interest rate & liquidity risk in the banking book to achieve desired
      duration of equity.
 2.
              Management of
      interest rate risk and currency risk of the investment
      portfolio.
 3.
              Proper
      classification, valuation and accounting of investment
      portfolio.
 4.
              Adequate and
      proper reporting of investments and derivative
  products.
 5.
              Compliance
      with regulatory requirements.
 6.
              Effective
      control over the operation and execution of market related
      transactions.
 
 Structure
and organisation of the market risk management function
 
 The Board approved
committees review and approve the policies for the management of market risk.
These committees lay down the policies for the market risk and the interest rate
risk/liquidity risk on the balance sheet within the broad guidelines approved by
the Board.
 
 The market risk
management group, which is an independent function, reports to head of GRMG. The
market risk management group within GRMG exercises independent control over the
process of market risk management and recommends changes in processes and
methodologies for measuring market risk.
 
 To
comply with the home and host country regulatory guidelines and to have
independent control groups there is clear functional separation of:
 
 ●
              Trading i.e.
      front Office,
 ●
              Monitoring
      & control i.e. middle office
and
 ●
              Settlements.
 
 Strategies
and processes
 
 Internal
control system
 
 Treasury operations
warrant elaborate control procedures. Keeping this in view, the following
guidelines are followed for effective control of the treasury
operations:
 
 1.
              Delegation
 
 Suitable delegation
of administrative powers has been put in place for treasury operations. All
investment decisions are vested in the sub-committees of the Board. However,
keeping in view the size of the investment portfolio and the variety of
securities that the Bank has been dealing in, authority for investment decisions
has been delegated to various dealers depending on exigencies of
business.
 
 Treasury Middle
Office Group (TMOG) is responsible for an independent check of the transactions
entered into by the front office. It also monitors the various limits, which
have been laid down in the Investment Policy.
 
 2.
              System
      controls
 
 The systems
facilitate straight through processing of deals and have adequate data integrity
controls. The deal slips generated from the systems contain names of the dealers
along with other relevant deal details. These are used for audit and control
purpose.
 
 3.
              Exception
      handling processes
 
 The Investment
Policy sets out deal-size limits for various products. Various coherence checks
have been inserted in the system for ensuring that the appropriate deal size
limits are enforced to minimize exceptions.
 
 The
scope and nature of risk reporting and/or measurement systems
 
 Reporting
 
 The Bank
periodically reports on the various investments and their related risk measures
to the senior management and the committees of the Board. The Bank also
periodically reports to its various regulators in compliance with regulatory
requirements.
 
 18




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)


Measurement
 
 The Bank along with
its subsidiaries has devised various risk metrics for different products and
investments in line with global best practices. These risk metrics are measured
and reported to the senior management independently by TMOG. Some of the risk
metrics adopted by the Bank for monitoring its risks are Value-at- Risk,
Duration of Equity (DoE), Modified Duration/PV01, Stop Loss amongst others.
Based on the risk appetite of the Bank, limits are placed on the risk metrics
which is monitored on a periodic basis.
 
 Hedging
& mitigation
 
 Limits on positions
that can be maintained are laid out in the relevant policies. All business
groups are required to operate within these limits.
 
 Hedge transactions
for banking book transactions are periodically assessed for hedge effectiveness
as per home and host country financial guidelines.
 
 b.   Capital
requirements for market risk (March 31, 2009)
 
 Rupees in billionRisk
      category
              Amount1Capital
      required–      for
      interest rate risk
              41.38–     
      for
      foreign exchange (including gold) risk
              1.06–     
      for
      equity position risk
              3.69
 
 1.  Includes
all entities considered for Basel II capital adequacy computation.
 
 10.
              OPERATIONAL
      RISK
 
 a.
              Operational
      risk management framework
 
 Operational risk is
the risk of loss resulting from inadequate or failed internal processes, people
or systems, or from external events. Operational risk includes legal risk but
excludes strategic and reputational risk. Operational risk is inherent in the
Bank’s business activities in both domestic as well as overseas operations and,
like other risk types, is managed through an overall framework with checks and
balances.
 
 Objectives
 
 The objective of
the Bank’s operational risk management is to manage and control operational
risks in the manner specified in the Operational Risk Management Policy (the
Policy). The Policy aims at the following:
 
 ●
              Clear
      ownership and accountability for management and mitigation of operational
      risk;
 ●
              Help business
      and operations to improve internal controls, reduce likelihood of
      occurrence of operational risk incidents and minimize potential impact of
      losses ;
 ●
              Minimize
      losses and customer dissatisfaction due to failure in processes;
      and
 ●
              Develop
      comprehensive operational risk loss database for effective
      mitigation.
 
 Operational
risk management governance & framework
 
 The Bank’s
operational risk management governance and framework risk is defined in the
Policy. While the Policy provides a broad framework, detailed standard operating
procedures for operational risk management processes are established. For the
purpose of robust quality of operational risk management across the Bank, the
operational risk management processes of the Bank have been ISO 9001
certified.
 
 The Policy
specifies the composition, roles and responsibilities of Operational Risk
Management Committee (ORMC). In line with the RBI guidelines, an independent
Operational Risk Management Group (ORMG) was set up in 2006. The key elements in
the operational risk management framework include:
 
 ●
              Identification
      and assessment of operational risks and
  controls;
 ●
              New products
      and processes approval framework;
 ●
              Measurement
      through incident and exposure
reporting;
 ●
              Monitoring
      through key risk indicators; and
 ●
              Mitigation
      through process & controls enhancement and
  insurance.
 
 19




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




Identification
and assessment
 
 Operational risks
and controls across the Bank are documented and updated regularly. ORMG
facilitates the business and operation groups for carrying out self assessment
on a periodic basis. Risk mitigation plans are monitored to ensure timely
mitigation of risks. Internal controls are tested by Internal Audit and the
teams administering compliance of Sarbanes Oxley Act in the Bank. The testing
results are incorporated in the operational risk assessment. The new product and
process approval framework facilitates detailed review of risks in the
products/processes prior to the launch.
 
 Measurement,
monitoring, mitigation and reporting
 
 Transactions
resulting in operational losses are recorded in a separate operational risk
account and are regularly reported. The Bank has initiated steps to measure
bank-wide operational value-at-risk that would facilitate migration to the
Advanced Measurement Approach. Root cause analysis is carried out for the
significant operational risk incidents reported and corrective actions are
incorporated back into respective processes.
 
 Operational risk
exposures and risk mitigation plans are monitored by ORMC. Operational risk
management status is updated to the Board on a half-yearly basis. Bank-wide
operational risk profile is monitored by the Board on a periodic basis.
Operational risk profiles are presented to the business and operations
management on a periodic basis.
 
 For facilitating
comprehensive operational risk management, the Bank is in the process of
implementing operational risk management application software during the year
ending March 31, 2010.
 
 Operational
risk management in international locations
 
 ORMG is responsible
for design, development and continuous enhancement of the operational risk
management framework across the Bank including overseas banking subsidiaries and
overseas branches. While the common framework is adopted, suitable modifications
in the processes are carried out depending upon the requirements of the local
regulatory guidelines, if any.
 
 b.   Capital
requirement for operational risk (March 31, 2009)
 
 As per the mandate
from RBI, the Bank had adopted Basic Indicator Approach for computing capital
charge for operational risk. Based on the timelines given by RBI for adopting
advanced approaches, the Bank has taken up quantitative and qualitative steps to
migrate to advanced approaches.
  Rupees in billionAmount1Capital
      required for operational risk as per Basic Indicator
    Approach
              21.14
 
 1.  Includes
all entities considered for Basel II capital adequacy computation.
 
 11.
              INTEREST
      RATE RISK IN THE BANKING BOOK
(IRRBB)
 
 a.
              Risk
      Management Framework for IRRBB
 
 Interest rate risk
is the risk of potential variability in earnings and capital value resulting
from changes in market interest rates. Interest rate risk in the banking book
refers to the risk associated with interest rate sensitive instruments that are
not held in the trading book of the Bank. The Bank holds assets, liabilities and
off balance sheet items across various markets with different maturity or
re-pricing dates and linked to different benchmark rates, thus creating exposure
to unexpected changes in the level of interest rates in such
markets.
 
 Organizational
set-up
 
 Asset Liability
Management Committee (ALCO) is a Committee of the Board of Directors with
responsibility of management of the balance sheet of the Bank with a view to
manage the market risk exposure assumed by the Bank within the risk parameters
laid down by the Board of Directors/Risk Committee. Structural Rate Risk
Management Group (SRRMG) manages the risk in domestic operations whereas the
Asset Liability Management (ALM) groups in overseas branches are responsible for
the risk at their respective branches, under direction of the Bank’s ALM team
for overseas branches. The Board of Directors/Risk Committee/ALCO have oversight
on the functioning of the other entities in the group, including with respect to
management of IRRBB. The treasuries at these entities manage the IRRBB within
the parameters approved by respective Boards.
 
 20
 
  BASEL
      II–Pillar
      3 Disclosures
(Consolidated)
 The ALM Policy of
the Bank contains the prudential limits on liquidity and interest rate risk, as
prescribed by the Board of Directors/Risk Committee/ALCO. Any amendments to the
ALM Policy can be proposed by business group(s), in consultation with the market
risk and compliance teams and are subject to approval from Board of
Directors/Risk Committee/ALCO, as per the authority defined in the Policy. The
amendments so approved by ALCO are presented to the Board of Directors/Risk
Committee for information.
 
 TMOG is responsible
for preparing the various reports to monitor the adherence to the prudential
limits as per the ALM Policy. These limits are monitored on a regular basis at
various levels of periodicity. Breaches, if any, are duly reported to Board of
Directors/Risk Committee/ALCO, as may be required under the framework defined
for approvals/ratification. Whenever the indicators point to an adverse impact
on account of IRRBB, ALCO suggests necessary corrective actions and re-alignment
measures in order to mitigate the risk.
 
 Each of the other
entities in the Group, wherever applicable, also have organizational set ups and
policies that address the risks defined above.
 
 Risk
measurement and reporting framework
 
 The Bank
proactively manages impact of IRRBB as a part of its ALM activities. ALM policy
defines the different types of interest rates risks that are to be monitored,
measured and controlled. ALCO decides strategies for managing IRRBB at the
desired level. Further, ALCO periodically gives direction for management of
interest rate risk on the basis of its expectations of future interest rates.
Based on the guidance, SRRMG and ALM groups (in overseas branches) manage the
IRRBB with the help of various tools viz. gap analysis, earnings at risk (EaR),
duration of equity (DoE), stress testing for basis risk etc. These tools are
detailed hereunder:
 
 ●
              Gap analysis:The
      interest rate gap or mismatch risk is measured by calculating gaps over
      different timeintervals as at a
      given date. This static analysis measures mismatches between rate
      sensitive liabilities (RSL) and rate sensitive assets (RSA) (including
      off-balance sheet positions and trading positions). The report is prepared
      fortnightly by grouping rate sensitive liabilities, assets and off-balance
      sheet positions into time buckets according to residual maturity or next
      re-pricing period, whichever is earlier. The difference between RSA and
      RSL for each time bucket signifies the gap in that time bucket. The
      direction of the gap indicates whether net interest income is positively
      or negatively impacted by a change in interest rates and the magnitude of
      the gap approximates the change in net interest income for any given
      interest rate shift. There are bucket-wise limits that are linked to
      networth of the Bank.
 
 ●
              EaR:From an EaR
      perspective, the gap reports indicate whether the Bank is in a position to
      benefit fromrising interest
      rates by having a positive gap (RSA > RSL) or whether it is in a
      position to benefit from declining interest rates by a negative gap (RSL
      > RSA). The Bank monitors the EaR of NII to a 100 basis points adverse
      change in the level of interest rates. The magnitude of the impact as a
      percentage of the NII gives a fair measure of the earnings risk that the
      Bank is exposed to.
 
 ●
              Stress test for basis risk:The assets and liabilities on the balance sheet are priced based on
      multiplebenchmarks and
      when interest rates fluctuate, all these various yield curves may not
      necessarily move in tandem exposing the balance sheet to basis risk.
      Therefore, over and above the EaR, the Bank measures the impact of
      different movement in interest rates across benchmark curves. Various
      scenarios of interest rate movements (across various benchmark yield
      curves) are identified and the worst-case impact is measured as a
      percentage of the aggregate of Tier-1 and Tier-2 capital. These scenarios
      take into account the magnitude as well as the timing of various interest
      rate movements (across curves).
 
 ●
              DoE:Change in the
      interest rates also have a long-term impact on the market value of equity
      of theBank,
      as the economic value of the Bank’s assets, liabilities and off-balance
      sheet positions get affected. Duration is a measure of interest rate
      sensitivity of assets, liabilities and also equity. It may be defined as
      the percentage change in the market value of an asset or liability (or
      equity) for a given change in interest rates. Thus DoE is a measure of by
      how much the market value of equity of a firm would change for the
      identified change in the interest rates. The Bank uses DoE as a part of
      framework to manage IRRBB for its domestic and overseas operations and has
      devised limits for the above risk metrics in order to monitor and manage
      IRRBB. The utilization against these limits is computed for appropriate
      interest rate movements and monitored
  periodically.
 
 Most of the other
entities in the Group, wherever applicable, also monitor IRRBB through similar
tools and limit framework.
 
 21




BASEL
      II–Pillar
      3 Disclosures
(Consolidated)




Marked-to-market
(MTM) on the trading book
 
 In addition to the
above, the price risk of the trading book is monitored through a framework of
daily and cumulative trigger limits. The trading book includes securities held
for SLR purposes, all fixed income securities in available for sale (AFS) and
held for trading (HFT) book, interest rate swaps, and any other derivatives,
which have to be marked to market. The management of price risk of the trading
book is detailed in the investment policy. MTM on trading book of other entities
in the Group is also monitored as described above.
 
 Hedging
policy
 
 Depending on the
underlying asset or liabilities and prevailing market conditions, the Bank
enters into hedge transactions for the banking book. The Bank has a policy for
undertaking hedge transactions. These hedges are periodically assessed for hedge
effectiveness as per the applicable financial guidelines.
 
 b.
              Level
      of interest rate risk
 
 The following table
sets forth, using the balance sheet as at March 31, 2009 as the base, one
possible prediction of the impact of changes in interest rates on net interest
income for the year ending March 31, 2009, assuming a parallel shift in the
yield curve:
 
 Change
      in interest rates (in basis points)Currency
              (100)
              (50)
              50
              100Impact
      on NII (Rupees in million)INR
              (83.9)
              (42.0)
              42.0
              83.9US$
              (647.6)
              (323.8)
              323.8
              647.6JPY
              121.1
              60.6
              (60.6)
              (121.1)GBP
              (534.6)
              (267.3)
              267.3
              534.6EURO
              118.8
              59.4
              (59.4)
              (118.8)CHF
              17.5
              8.8
              (8.8)
              (17.5)CAD
              (490.2)
              (245.1)
              245.1
              490.2Others
              92.9
              46.4
              (46.4)
              (92.9)Total1
              (1,406.0)
              (703.0)
              703.0
              1,406.0
 
 1.
              Consolidated
      figures for ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada,
      ICICI Bank Eurasia LLC, ICICI Home Finance Company, ICICI Securities and
      its subsidiaries.
 
 As
on March 31, 2009, impact on economic value of equity is as
follows:
 
 Change
      in interest rates (in basis points)Currency
              (100)
              (50)
              50
              100Impact on Economic
      Value1,2(Rupees in
      million)INR
              29,704.0
              14,852.0
              (14,852.0)
              (29,704.0)US$
              1,119.9
              560.0
              (560.0)
              (1,119.9)JPY
              664.6
              332.3
              (332.3)
              (664.6)GBP
              (601.8)
              (300.9)
              300.9
              601.8EURO
              (361.4)
              (180.7)
              180.7
              361.4CHF
              22.3
              11.2
              (11.2)
              (22.3)CAD
              (964.1)
              (482.1)
              482.1
              964.1Others
              175.7
              87.9
              (87.9)
              (175.7)Total3
              29,759.3
              14,879.7
              (14,879.7)
              (29,759.3)
 
 1.
              The economic
      value has been computed assuming parallel shifts in the yield curves
      across all currencies.
 2.
              For INR,
      coupon and yield of 7% across all time buckets have been assumed. For
      other currencies, coupon and yield of currency wise Libor/swap rates have
      been assumed across all time buckets that are closest to the mid point of
      the time buckets.
 3.
              Consolidated
      figures for ICICI Bank Limited, ICICI Bank UK PLC, ICICI Bank Canada,
      ICICI Bank Eurasia LLC, ICICI Home Finance Company, ICICI Securities and
      its subsidiaries.