Mumbai: ICICI Bank has decided to make an additional provisioning of $70 million in the current quarter for mark-to-market (MTM) losses on exposure to credit derivatives of its overseas branches and subsidiaries, with spreads widening further on continuing impact of the sub-prime crisis. The total depreciation losses as on January 31, 2008, on collateralised debt obligations (CDOs) and credit-linked notes (CLNs) held in its overseas operations amount to $264 million.
CDOs are securities backed by pools of other securities and bought by investors wanting exposure to the income from a set of loans or bonds, but not direct exposure to them. ICICI Bank has an aggregate exposure of $2.2 billion to credit derivatives overseas. As of January 31, 2008, the mark-to-market negative on this portfolio due to movement of credit spreads was about $155 million, of which $88 million had been provided for in the financial statements of the bank and its subsidiaries for the nine months ended December 31, 2007. In addition, ICICI Bank has fixed income investment portfolios, which have a mark-to-market negative due to widening of credit spreads. As of January 31, 2008, this negative was about $108 million, of which $101 million had been accounted for in the financial statements as of December 31, 2007. The price of ICICI Bank shares fell sharply after the Parliament was informed of the provision that the bank would have to make because of depreciation in investment portfolio due to the sub-prime crisis.
CDOs are securities backed by pools of other securities and bought by investors wanting exposure to the income from a set of loans or bonds, but not direct exposure to them. ICICI Bank has an aggregate exposure of $2.2 billion to credit derivatives overseas. As of January 31, 2008, the mark-to-market negative on this portfolio due to movement of credit spreads was about $155 million, of which $88 million had been provided for in the financial statements of the bank and its subsidiaries for the nine months ended December 31, 2007. In addition, ICICI Bank has fixed income investment portfolios, which have a mark-to-market negative due to widening of credit spreads. As of January 31, 2008, this negative was about $108 million, of which $101 million had been accounted for in the financial statements as of December 31, 2007. The price of ICICI Bank shares fell sharply after the Parliament was informed of the provision that the bank would have to make because of depreciation in investment portfolio due to the sub-prime crisis.
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