§3.33. Off-balance sheet exposures.
12 C.F.R. § 3.33
General.
A national bank or Federal savings association 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 national bank or Federal savings association commits to provide a commitment, the national bank or Federal savings association may apply the lower of the two applicable CCFs.
Where a national bank or Federal savings association provides a commitment structured as a syndication or participation, the national bank or Federal savings association is only required to calculate the exposure amount for its pro rata share of the commitment.
Where a national bank or Federal savings association 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 national bank or Federal savings association must apply a zero percent CCF to the unused portion of a commitment that is unconditionally cancelable by the national bank or Federal savings association.
20 percent CCF. A national bank or Federal savings association 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 national bank or Federal savings association; 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 national bank or Federal savings association 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 national bank or Federal savings association; and
Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit.
100 percent CCF. A national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association has posted as collateral under the transaction);
Financial standby letters of credit; and
Forward agreements.
Notes, amendments, and revision history
Source
Source: 78 FR 62157, 62273, Oct. 11, 2013, unless otherwise noted.
Authority
Authority: 12 U.S.C. 93a, 161, 1462, 1462a, 1463, 1464, 1818, 1828(n), 1828 note, 1831n note, 1835, 3907, 3909, 5371, 5371 note, 5412(b)(2)(B), and Pub. L. 116-136, 134 Stat. 281.
Source
Source: 50 FR 10216, Mar. 14, 1985, unless otherwise noted.