Operational criteria for recognizing the transfer of risk.

CFR · 2024-01-01 · US · Title 12

(a) (1) The exposures are not reported on the national bank's or Federal savings association's consolidated balance sheet under GAAP; (2) The national bank or Federal savings association has transferred to one or more third parties credit risk associated with the underlying exposures; (3) Any clean-up calls relating to the securitization are eligible clean-up calls; and (4) The securitization does not: (i) Include one or more underlying exposures in which the borrower is permitted to vary the drawn amount within an agreed limit under a line of credit; and (ii) Contain an early amortization provision. (b) (1) The credit risk mitigant is: (i) Financial collateral; or (ii) A guarantee that meets all of the requirements of an eligible guarantee in § 3.2 except for paragraph (3) of the definition; or (iii) A credit derivative that meets all of the requirements of an eligible credit derivative except for paragraph (3) of the definition of eligible guarantee in § 3.2. (2) The national bank or Federal savings association transfers credit risk associated with the underlying exposures to third parties, and the terms and conditions in the credit risk mitigants employed do not include provisions that: (i) Allow for the termination of the credit protection due to deterioration in the credit quality of the underlying exposures; (ii) Require the national bank or Federal savings association to alter or replace the underlying exposures to improve the credit quality of the underlying exposures

official document · source cfr-2024 · id 12:§ 3.141