§217.33. Off-balance sheet exposures.
12 C.F.R. § 217.33
General.
A Board-regulated institution must calculate the exposure amount of an off-balance sheet exposure using the credit conversion factors (CCFs) in paragraph (b) of this section.
Where a Board-regulated institution commits to provide a commitment, the Board-regulated institution may apply the lower of the two applicable CCFs.
Where a Board-regulated institution provides a commitment structured as a syndication or participation, the Board-regulated institution is only required to calculate the exposure amount for its pro rata share of the commitment.
Where a Board-regulated institution provides a commitment, enters into a repurchase agreement, or provides a credit-enhancing representation and warranty, and such commitment, repurchase agreement, or credit-enhancing representation and warranty is not a securitization exposure, the exposure amount shall be no greater than the maximum contractual amount of the commitment, repurchase agreement, or credit-enhancing representation and warranty, as applicable.
Credit conversion factors—
Zero percent CCF. A Board-regulated institution must apply a zero percent CCF to the unused portion of a commitment that is unconditionally cancelable by the Board-regulated institution.
20 percent CCF. A Board-regulated institution must apply a 20 percent CCF to the amount of:
Commitments with an original maturity of one year or less that are not unconditionally cancelable by the Board-regulated institution; and
Self-liquidating, trade-related contingent items that arise from the movement of goods, with an original maturity of one year or less.
50 percent CCF. A Board-regulated institution must apply a 50 percent CCF to the amount of:
Commitments with an original maturity of more than one year that are not unconditionally cancelable by the Board-regulated institution; and
Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit.
100 percent CCF. A Board-regulated institution must apply a 100 percent CCF to the amount of the following off-balance-sheet items and other similar transactions:
Guarantees;
Repurchase agreements (the off-balance sheet component of which equals the sum of the current fair values of all positions the Board-regulated institution has sold subject to repurchase);
Credit-enhancing representations and warranties that are not securitization exposures;
Off-balance sheet securities lending transactions (the off-balance sheet component of which equals the sum of the current fair values of all positions the Board-regulated institution has lent under the transaction);
Off-balance sheet securities borrowing transactions (the off-balance sheet component of which equals the sum of the current fair values of all non-cash positions the Board-regulated institution has posted as collateral under the transaction);
Financial standby letters of credit; and
Forward agreements.
Notes, amendments, and revision history
Authority
Authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1462a, 1467a, 1818, 1828, 1831n, 1831o, 1831p-1, 1831w, 1835, 1844(b), 1851, 3904, 3906-3909, 4808, 5365, 5368, 5371, 5371 note, and sec. 4012, Pub. L. 116-136, 134 Stat. 281.
Source
Source: Reg. Q, 78 FR 62157, 62285, Oct. 11, 2013, unless otherwise noted.