Exposure Measurement for Off-balance Sheet Items (with the Exception of FX and Interest-rate, Equity, and Commodity-related Derivatives)
CA-5.3.38
For off-balance sheet items, exposure is calculated as the committed but undrawn amount multiplied by a CCF.
Apr 08CA-5.3.39
The types of instruments and the CCFs applied to them are the same as those in the standardised approach, as outlined in paragraphs CA-3.3.1 to CA-3.3.15 with the exception of commitments, Note Issuance Facilities (NIFs) and Revolving Underwriting Facilities (RUFs).
Apr 08CA-5.3.40
A CCF of 75% will be applied to commitments, NIFs and RUFs regardless of the maturity of the underlying facility. This does not apply to those facilities which are uncommitted, that are unconditionally cancellable, or that effectively provide for automatic cancellation, for example due to deterioration in a borrower's creditworthiness, at any time by the bank without prior notice. A CCF of 0% will be applied to these facilities.
Apr 08CA-5.3.41
The amount to which the CCF is applied is the lower of the value of the unused committed credit line, and the value that reflects any possible constraining availability of the facility, such as the existence of a ceiling on the potential lending amount which is related to a borrower's reported cash flow. If the facility is constrained in this way, the bank must have sufficient line monitoring and management procedures to support this contention.
Apr 08CA-5.3.42
In order to apply a 0% CCF for unconditionally and immediately cancellable corporate overdrafts and other facilities, banks must demonstrate that they actively monitor the financial condition of the borrower, and that their internal control systems are such that they could cancel the facility upon evidence of a deterioration in the credit quality of the borrower.
Apr 08CA-5.3.43
Where a commitment is obtained on another off-balance sheet exposure, banks under the foundation approach are to apply the lower of the applicable CCFs.
Apr 08
