BANK 4.6.42 Credit conversion factors
A banking business firm that is the originator or sponsor of a securitisation must divide the securitisation's excess spread by the securitisation's excess spread trapping point to determine the appropriate segments and apply the corresponding credit conversion factor for uncommitted credit lines in accordance with table 4.6.42.
Table 4.6.42 Credit conversion factors (CCFs) for securitisation involving revolving exposures with controlled early amortisation
|column 1 item||column 2 segments||column 3 CCFs for uncommitted credit lines %||column 4 CCFs for committed credit lines %|
|Retail credit lines|
|1||133.33% of trapping point or more||0||90|
|7||Non-retail credit lines||90||90|
|Inserted by QFCRA RM/2017-2 (as from 1st April 2017).|