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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.

      January 2015

    • 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, conventional bank licensees must make the comparison described in Paragraphs CA-6.4.38 and CA-6.4.40.

        January 2015

      • CA-6.4.46

        The conventional bank licensee 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
        January 2015

    • 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.

        January 2015

    • [Paragraphs CA-6.4.48 to CA-6.4.88 were deleted in January 2015]