§ 217.33. Off-balance sheet exposures.

426 words·~2 min read·/us/cfr/t12/s§ 217.33·

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(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.

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§ 217.33

Off-balance sheet exposures.

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