Recognition of credit risk mitigants for securitization exposures.

CFR · 2024-01-01 · US · Title 12

(a) (b) (i) SE* equals max {0, [SE − C × (1− H (ii) SE equals the amount of the securitization exposure calculated under § 324.142(e); (iii) C equals the current fair value of the collateral; (iv) H (v) H (3) (i) An FDIC-supervised institution must use the collateral type haircuts (H (ii) An FDIC-supervised institution must use a currency mismatch haircut (H (iii) An FDIC-supervised 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) An FDIC-supervised 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 (ii) Add the exposure's ECL to the FDIC-supervised institution's total ECL. (3) (i) (ii) (A) (B) ( (4)

official document · source cfr-2024 · id 12:§ 324.145