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 § 3.142(e); (iii) C = the current fair value of the collateral; (iv) H (v) H (3) (i) A national bank or Federal savings association must use the collateral type haircuts (H (ii) A national bank or Federal savings association must use a currency mismatch haircut (H (iii) A national bank or Federal savings association 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 national bank or Federal savings association 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 national bank's or Federal savings association's total ECL. (3) (i) (ii) (A) (B) ( (4)

official document · source cfr-2024 · id 12:§ 3.145