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
Apr 08