Supervisory formula approach (SFA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (c) (2) If K (i) F · T (where F is 0.016 for all securitization exposures); or (ii) S[L + T]−S[L]. (3) If K (i) F · (T−(K (ii) S[L + T]−S[K (d) (e) (1) (2) (3) (A) The sum of the risk-based capital requirements for the underlying exposures plus the expected credit losses of the underlying exposures (as determined under this subpart E as if the (B) UE. (ii) The calculation of K (iii) All assets related to the securitization are treated as underlying exposures, including assets in a reserve account (such as a cash collateral account). (4) (A) The amount of all securitization exposures subordinated to the tranche that contains the Board-regulated institution's securitization exposure; to (B) UE. (ii) A Board-regulated institution must determine L before considering the effects of any tranche-specific credit enhancements. (iii) Any gain-on-sale or CEIO associated with the securitization may not be included in L. (iv) Any reserve account funded by accumulated cash flows from the underlying exposures that is subordinated to the tranche that contains the Board-regulated institution's securitization exposure may be included in the numerator and denominator of L to the extent cash has accumulated in the account. Unfunded reserve accounts (that is, reserve accounts that are to be funded from future cash flows from the underlying exposures) may not be included in the calculation of L. (v) In some cases, the purchase price of receivables will reflect a discount that provides cred

official document · source cfr-2024 · id 12:§ 217.143