CA-3.3 CA-3.3 Off-balance Sheet Items
CA-3.3.1
Off-balance-sheet items must be converted into credit exposure equivalents applying credit conversion factors (CCFs). Counterparty risk weightings for OTC derivative transactions will not be subject to any specific ceiling.
Apr 08CA-3.3.2
Commitments with an original maturity of up to one year and commitments with an original maturity of over one year will receive a CCF of 20% and 50%, respectively.
Apr 08CA-3.3.3
Any commitments that are unconditionally cancellable at any time by the bank without prior notice, or that are subject to automatic cancellation due to deterioration in a borrowers' creditworthiness, will receive a 0% CCF.
Apr 08CA-3.3.4
Direct credit substitutes, e.g. general guarantees of indebtedness (including standby letters of credit serving as financial guarantees for loans and securities) and acceptances (including endorsements with the character of acceptances) must receive a CCF of 100%.
Apr 08CA-3.3.5
Sale and repurchase agreements and asset sales with recourse, where the credit risk remains with the bank, must receive a CCF of 100%.
Apr 08CA-3.3.6
A CCF of 100% must be applied to the lending of banks' securities or the posting of securities as collateral by banks, including instances where these arise out of repo-style transactions (i.e. repurchase/reverse repurchase and securities lending/securities borrowing transactions). See Section CA-4.3 for the calculation of risk-weighted assets where the credit converted exposure is secured by eligible collateral.
Apr 08CA-3.3.7
Forward asset purchases, forward deposits and partly-paid shares and securities, which represent commitments with certain drawdown must receive a CCF of 100%.
Apr 08CA-3.3.8
Certain transaction-related contingent items (e.g. performance bonds, bid bonds, warranties and standby letters of credit related to particular transactions) must receive CCF of 50%.
Apr 08CA-3.3.9
Note issuance facilities and revolving underwriting facilities must receive a CCF of 50%.
Apr 08CA-3.3.10
For short-term self-liquidating trade letters of credit arising from the movement of goods, a 20% CCF must be applied to both issuing and confirming banks.
Apr 08CA-3.3.11
Where there is an undertaking to provide a commitment on an off-balance sheet item, banks are to apply the lower of the two applicable CCF's.
Apr 08CA-3.3.12
Credit equivalent amount of OTC derivatives and SFTs that expose a bank to counterparty credit risk must be calculated as per Appendix CA-2.
Apr 08CA-3.3.13
Banks must closely monitor securities, commodities, and foreign exchange transactions that have failed, starting the first day they fail. A capital charge to failed transactions must be calculated in accordance with CBB guidelines set forth in Appendix CA-4.
Apr 08CA-3.3.14
With regard to unsettled securities, commodities, and foreign exchange transactions, banks are encouraged to develop, implement and improve systems for tracking and monitoring the credit risk exposure arising from unsettled transactions as appropriate for producing management information that facilitates action on a timely basis.
Apr 08CA-3.3.15
Furthermore, when such transactions are not processed through a delivery-versus-payment (DvP) or payment-versus-payment (PvP) mechanism, banks must calculate a capital charge as set forth in Appendix CA-4.
Apr 08
