Back Custom print Link Text Only Rich Text Print

  • 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