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  • (viii) Determination of CCFs for Non-controlled Early Amortisation Features

    • CA-6.4.44

      Early amortisation features that do not satisfy the definition of a controlled early amortisation as specified in paragraph CA-6.2.6 will be considered non-controlled and treated as follows.

      Apr 08

    • Uncommitted Retail Exposures

      • CA-6.4.45

        For uncommitted retail credit lines (e.g. credit card receivables) in securitisations containing non-controlled early amortisation features, banks must make the comparison described in paragraphs CA-6.4.38 and CA-6.4.40.

        Apr 08

      • CA-6.4.46

        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.

        Non-controlled Early Amortisation Features

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

        133.33% or more of trapping point

        0% CCF

        less than 133.33% to 100% of trapping point

        5% CCF

        less than 100% to 75% of trapping point

        15% CCF

        less than 75% to 50% of trapping point

        50% CCF

        less than 50% of trapping point

        100% CCF         		100% CCF
        Non-retail credit lines 100% CCF 100% CCF
        Amended: April 2011
        Apr 08

    • Other Exposures

      • CA-6.4.47

        All other securitised revolving exposures (i.e. those that are committed and all non-retail exposures) with non-controlled early amortisation features will be subject to a CCF of 100% against the off-balance sheet exposures.

        Apr 08

    • Internal Ratings-based Approach for Securitisation Exposures

      • CA-6.4.50

        Where there is no specific IRB treatment for the underlying asset type, originating banks that have received approval to use the IRB approach must calculate capital charges on their securitisation exposures applying the standardised approach in the securitisation framework, and investing banks with approval to use the IRB approach must apply the RBA.

        Apr 08

      • CA-6.4.49

        If the bank is applying the IRB approach for some exposures and the standardised approach for other exposures in the underlying pool, it should generally use the approach corresponding to the predominant share of exposures within the pool. The bank must consult with the CBB on which approach to apply to its securitisation exposures. To ensure appropriate capital levels, there may be instances where the CBB requires a treatment other than this general rule.

        Apr 08

      • CA-6.4.48

        Banks that have received approval from CBB to use the IRB approach for the type of underlying exposures securitised (e.g. for their corporate or retail portfolio) must use the IRB approach for securitisations. Conversely, banks may not use the IRB approach to securitisation unless they receive approval to use the IRB approach for the underlying exposures from CBB.

        Apr 08