Back Custom print Link Text Only Rich Text Print

  • CA-3.3 CA-3.3 Risk weighting – Off-balance-sheet items

    • CA-3.3.1

      The framework takes account of the credit risk on off-balance-sheet exposures by applying credit conversion factors to the different types of off-balance-sheet instruments or transactions.

      October 07

    • CA-3.3.2

      The conversion factors are derived from the estimated size and likely occurrence of the credit exposure, as well as the relative degree of credit risk as identified in the Basel Committee's paper on 'The management of banks' off-balance-sheet exposures: a supervisory perspective' (see www.bis.org/publ/bcbsc134.pdf) issued in March 1986.

      October 07

    • CA-3.3.3

      The credit conversion factors applicable to the off-balance-sheet items are set out in the table below:

      Credit Conversion factors Off-balance-sheet items
      100% Direct credit substitutes
      50% Transaction-related contingent
      20% Trade-related contingencies
      100% Sale and repurchase agreements
      100% Forward asset purchases
      50% Underwriting commitments
      50% Commitments with an original maturity of over 1 year, not unconditionally cancellable at anytime
      0% Commitments with an original maturity of less than 1 year, unconditionally cancellable at anytime
      October 07

    • CA-3.3.4

      The applicable credit conversion factors should be multiplied by the weights applicable to the Category of the counterparty as set out below:

      Risk weights Counterparty
      0% Type (a)
       
      •  The Government of Bahrain.
      •  Bahrain public sector entities.
      •  Government-owned (non-banking) GCC companies incorporated in Bahrain.
      •  Central government and central banks of GCC and OECD member countries.
      20% Type (b)
       
      •  Banks incorporated in Bahrain or GCC and OECD countries and securities firms.
      •  Banks incorporated in classified countries (if the commitment has a residual life of 1 year or less).
      •  Public sector entities in GCC and OECD countries.
      •  Government-owned (non-banking) GCC companies incorporated outside Bahrain.
      100% Type (c)
       
      •  Banks incorporated in classified countries (if the commitment has a residual life of more than 1 year).
      •  Central governments, central banks and public sector entities in classified countries.
      •  Government-owned companies incorporated in non-GCC countries.
      •  Private sector persons and entities in Bahrain and abroad.
      October 07