(a) General.
(1) 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.
(2) Where a Board-regulated
institution commits to provide a commitment, the Board-regulated institution
may apply the lower of the two applicable CCFs.
(3) 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.
(4) 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.
(b) Credit conversion factors.
(1) 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.
(2) 20 percent
CCF. A Board-regulated institution must apply a 20 percent CCF
to the amount of:
(i) Commitments with an original maturity of one year or less that
are not unconditionally cancelable by the Board-regulated institution;
and
(ii) Self-liquidating, trade-related
contingent items that arise from the movement of goods, with an original
maturity of one year or less.
(3) 50 percent
CCF. A Board-regulated institution must apply a 50 percent CCF
to the amount of:
(i) Commitments with an original maturity of more than one year that
are not unconditionally cancelable by the Board-regulated institution;
and
(ii) Transaction-related
contingent items, including performance bonds, bid bonds, warranties,
and performance standby letters of credit.
(4) 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:
(i)
Guarantees;
(ii) 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);
(iii)
Credit-enhancing representations and warranties that are not securitization
exposures;
(iv) 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);
(v) 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);
(vi) Financial standby letters of credit;
and
(vii) Forward agreements.
