12 CFR §217.33

1. (a)General.
   1. (1)A Board-regulated institution must calculate the exposure amount of an off-balance sheet exposure using the credit conversion factors (CCFs) in paragraph (b) of this section.
   2. (2)Where a Board-regulated institution commits to provide a commitment, the Board-regulated institution may apply the lower of the two applicable CCFs.
   3. (3)Where a Board-regulated institution provides a commitment structured as a syndication or participation, the Board-regulated institution is only required to calculate the exposure amount for its pro rata share of the commitment.
   4. (4)Where a Board-regulated institution provides a commitment, enters into a repurchase agreement, or provides a credit-enhancing representation and warranty, and such commitment, repurchase agreement, or credit-enhancing representation and warranty is not a securitization exposure, the exposure amount shall be no greater than the maximum contractual amount of the commitment, repurchase agreement, or credit-enhancing representation and warranty, as applicable.
2. (b)Credit conversion factors
   1. (1)Zero percent CCF. A Board-regulated institution must apply a zero percent CCF to the unused portion of a commitment that is unconditionally cancelable by the Board-regulated institution.
   2. (2)20 percent CCF. A Board-regulated institution must apply a 20 percent CCF to the amount of:
      1. (i)Commitments with an original maturity of one year or less that are not unconditionally cancelable by the Board-regulated institution; and
      2. (ii)Self-liquidating, trade-related contingent items that arise from the movement of goods, with an original maturity of one year or less.
   3. (3)50 percent CCF. A Board-regulated institution must apply a 50 percent CCF to the amount of:
      1. (i)Commitments with an original maturity of more than one year that are not unconditionally cancelable by the Board-regulated institution; and
      2. (ii)Transaction-related contingent items, including performance bonds, bid bonds, warranties, and performance standby letters of credit.
   4. (4)100 percent CCF. A Board-regulated institution must apply a 100 percent CCF to the amount of the following off-balance-sheet items and other similar transactions:
      1. (i)Guarantees;
      2. (ii)Repurchase agreements (the off-balance sheet component of which equals the sum of the current fair values of all positions the Board-regulated institution has sold subject to repurchase);
      3. (iii)Credit-enhancing representations and warranties that are not securitization exposures;
      4. (iv)Off-balance sheet securities lending transactions (the off-balance sheet component of which equals the sum of the current fair values of all positions the Board-regulated institution has lent under the transaction);
      5. (v)Off-balance sheet securities borrowing transactions (the off-balance sheet component of which equals the sum of the current fair values of all non-cash positions the Board-regulated institution has posted as collateral under the transaction);
      6. (vi)Financial standby letters of credit; and
      7. (vii)Forward agreements.