BANK 4.6.46 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 4.6.46.

Table 4.6.46 Credit conversion factors (CCFs) for securitisations involving revolving exposures with non-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 0 100
2 5 100
3 15 100
4 50 100
5 100 100
       
6 Non-retail credit lines 100 100


Inserted by QFCRA RM/2017-2 (as from 1st April 2017).