Search results
The credit conversion factor (CCF) is a coefficient in the field of credit rating. It is the ratio between the additional amount of a loan used in the future and the amount that could be claimed. [1]
27 mar 2020 · There are two approaches for recognition of credit risk mitigation (CRM) in the form of guarantees and credit derivatives in the IRB approach: a foundation approach for banks using supervisory values of LGD, and an advanced approach for those banks using their own internal estimates of LGD.
15 gru 2019 · for facilities that are not credit risk mitigants, use a credit conversion factor (CCF) of 100%.
It is commonly agreed that CCF parameter (Credit Conversion Factor, as referred to in Article 182 CRR2) used in AIRB approach should not be less than zero. However, there are often revolving facilities with exposure amount decreasing before default event.
For off-balance sheet items, the credit conversion factors (CCFs), which are used to determine the amount of an exposure to be risk-weighted, have been made more risk-sensitive, including the introduction of positive CCFs for unconditionally cancellable commitments (UCCs).
Correct application of credit conversion factors in relation to credit substitutes and shipping guarantees. Question. According to Annex I Classification of off-balance sheet items: a) Paragraph 1. (a) guarantees having the character of credit substitutes are guarantees for the good payment of credit facilities.
The framework takes account of the credit risk on off-balance-sheet exposures by applying credit conversion factors to the different types of off-balance-sheet instrument or transaction. With the exception of foreign exchange and interest rate related contingencies, the credit conversion factors are set out in the table below.
