Recognition of credit risk mitigants for securitization exposures.

CFR · 2024-01-01 · US · Title 12

(a) (b) (i) SE* = max {0, [SE−C × (1−H (ii) SE = the amount of the securitization exposure calculated under § 217.142(e); (iii) C = the current fair value of the collateral; (iv) H (v) H (3) (i) A Board-regulated institution must use the collateral type haircuts (H (ii) A Board-regulated institution must use a currency mismatch haircut (H (iii) A Board-regulated institution must multiply the supervisory haircuts obtained in paragraphs (b)(3)(i) and (ii) of this section by the square root of 6.5 (which equals 2.549510); and (iv) A Board-regulated institution must adjust the supervisory haircuts upward on the basis of a holding period longer than 65 business days where and as appropriate to take into account the illiquidity of the collateral. (4) (c) (2) (i) Calculate ECL for the protected portion of the exposure using the same risk parameters that it uses for calculating the risk-weighted asset amount of the exposure as described in paragraph (c)(3) of this section; and (ii) Add the exposure's ECL to the Board-regulated institution's total ECL. (3) (i) (ii) (A) (B) ( (4)

official document · source cfr-2024 · id 12:§ 217.145