§ 324.33 - Off-balance sheet exposures.  


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  • § 324.33 Off-balance sheet exposures.

    (a) General.

    (1) An FDIC-supervised 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 an FDIC-supervised institution commits to provide a commitment, the FDIC-supervised institution may apply the lower of the two applicable CCFs.

    (3) Where an FDIC-supervised institution provides a commitment structured as a syndication or participation, the FDIC-supervised institution is only required to calculate the exposure amount for its pro rata share of the commitment.

    (4) Where an FDIC-supervised 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. An FDIC-supervised institution must apply a zero percent CCF to the unused portion of a commitment that is unconditionally cancelable by the FDIC-supervised institution.

    (2) 20 percent CCF. An FDIC-supervised 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 FDIC-supervised 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. An FDIC-supervised 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 FDIC-supervised institution; and

    (ii) Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit.

    (4) 100 percent CCF. An FDIC-supervised 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 FDIC-supervised 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 FDIC-supervised 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 FDIC-supervised institution has posted as collateral under the transaction);

    (vi) Financial standby letters of credit; and

    (vii) Forward agreements.