§ 3.33. Off-balance sheet exposures.
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/us/cfr/t12/s§ 3.33·A research copy — for the controlling text, always check the official state or federal source. Not legal advice.
(a)General.
(1)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.
(2)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.
(3)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.
(4)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.
(b)Credit conversion factors—(1) 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.
(2)20 percent CCF. A national bank or Federal savings association 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 national bank or Federal savings association; 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 national bank or Federal savings association 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 national bank or Federal savings association; and
(ii)Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit.
(4)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:
(i)Guarantees;
(ii)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);
(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 national bank or Federal savings association 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 national bank or Federal savings association has posted as collateral under the transaction);
(vi)Financial standby letters of credit; and
(vii)Forward agreements.
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§ 3.33
Off-balance sheet exposures.
Fed. Reg.×3
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