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  • (vii) Determination of CCFs for Controlled Early Amortisation Features

    • CA-6.4.38

      An early amortisation feature is considered controlled when the definition as specified in paragraph CA-6.2.6 is satisfied.

      Apr 08

    • Uncommitted Retail Exposures

      • CA-6.4.39

        For uncommitted retail credit lines (e.g. credit card receivables) in securitisations containing controlled early amortisation features, banks must compare the three-month average excess spread defined in paragraph CA-6.2.8 to the point at which the bank is required to trap excess spread as economically required by the structure (i.e. excess spread trapping point).

        Apr 08

      • CA-6.4.40

        In cases where such a transaction does not require excess spread to be trapped, the trapping point is deemed to be 4.5 percentage points.

        Apr 08

      • CA-6.4.41

        The bank must divide the excess spread level by the transaction's excess spread trapping point to determine the appropriate segments and apply the corresponding conversion factors, as outlined in the following table.

        Controlled Early Amortisation Features

          Uncommitted Committed
        Retail credit lines 3-month average excess spread Credit Conversion Factor (CCF)

        133.33% of trapping point or more

        0% CCF

        less than 133.33% to 100% of trapping point

        1% CCF

        less than 100% to 75% of trapping point

        2% CCF

        less than 75% to 50% of trapping point

        10% CCF

        less than 50% to 25% of trapping point

        20% CCF

        less than 25%

        40% CCF         		90% CCF
        Non-retail credit lines 90% CCF 90% CCF
        Amended: April 2011
        Apr 08

      • CA-6.4.42

        Banks are required to apply the conversion factors set out above for controlled mechanisms to the investors' interest referred to in paragraph CA-6.4.37.

        Apr 08

    • Other Exposures

      • CA-6.4.43

        All other securitised revolving exposures (i.e. those that are committed and all non-retail exposures) with controlled early amortisation features will be subject to a CCF of 90% against the off-balance sheet exposures.

        Apr 08