Current through September 30, 2024
Section 1240.35 - Off-balance sheet exposures(a)General.(1) An Enterprise must calculate the exposure amount of an off-balance sheet exposure using the credit conversion factors (CCFs) in paragraph (b) of this section.(2) Where an Enterprise commits to provide a commitment, the Enterprise may apply the lower of the two applicable CCFs.(3) Where an Enterprise provides a commitment structured as a syndication or participation, the Enterprise is only required to calculate the exposure amount for its pro rata share of the commitment.(4) Where an Enterprise provides a commitment or enters into a repurchase agreement and such commitment or repurchase agreement, the exposure amount shall be no greater than the maximum contractual amount of the commitment or repurchase agreement, as applicable.(b)Credit conversion factors -(1)Zero percent CCF. An Enterprise must apply a zero percent CCF to the unused portion of a commitment that is unconditionally cancelable by the Enterprise.(2)20 percent CCF. An Enterprise must apply a 20 percent CCF to the amount of commitments with an original maturity of one year or less that are not unconditionally cancelable by the Enterprise.(3)50 percent CCF. An Enterprise must apply a 50 percent CCF to: (i) The amount of commitments with an original maturity of more than one year that are not unconditionally cancelable by the Enterprise; and(ii) Guarantees on exposures to the other Enterprise in commingled securities.(4)100 percent CCF. An Enterprise must apply a 100 percent CCF to the amount of the following off-balance sheet items and other similar transactions: (i) Guarantees, except guarantees included in paragraph (b)(3)(ii) of this section;(ii) Repurchase agreements (the off-balance sheet component of which equals the sum of the current fair values of all positions the Enterprise has sold subject to repurchase);(iii) Off-balance sheet securities lending transactions (the off-balance sheet component of which equals the sum of the current fair values of all positions the Enterprise has lent under the transaction);(iv) Off-balance sheet securities borrowing transactions (the off-balance sheet component of which equals the sum of the current fair values of all non-cash positions the Enterprise has posted as collateral under the transaction); and85 FR 82198, 2/16/2021; 88 FR 83480, 4/1/2024