Capital charges for Securitisation involving revolving exposures with non-controlled early amortisation

120. A Bank that is an originator or sponsor of a securitisation involving revolving exposures that has a non-controlled early amortisation provision must calculate a capital charge for the investors’ interest (that is, against both drawn and undrawn balances related to the securitised exposures). The capital charge is the product of:

(a) the investors’ interest;

(b) the appropriate credit conversion factor in accordance with table H1 in this section, depending on whether the securitised exposures are uncommitted retail credit lines or not; and

(c) the risk weight for the kind of underlying exposures (as if those exposures had not been securitised).

121. For uncommitted retail credit lines (such as credit card receivables) in securitisations that have non- controlled early amortisation provisions that can be triggered by the excess spread falling to a specified level, a Bank must compare the three-month average excess spread to the point at which the bank is required to trap excess spread (the excess spread trapping point) as economically required by the structure. If a securitisation does not require the trapping of excess spread, the excess spread trapping point for the securitisation is 4.5 percentage points more than the excess spread at which early amortisation is triggered.

122. A Bank that is the originator or sponsor of a securitisation must divide the securitisation’s excess spread by the securitisation’s excess spread trapping point to determine the appropriate segments and apply the corresponding credit conversion factor for uncommitted credit lines in accordance with table H2.

Table H2 Credit conversion factors (CCFs) for securitisations involving revolving exposures with non-controlled early amortisation

Column 1 Item	Column 2 Segments	Column 3 CCFs for uncommitted credit lines %	Column 4 CCFs for committed credit lines %
	Retail credit lines
1	133.33% of trapping point or more	0	100
2	<133.33% to 100% of trapping point	5	100
3	<100% to 75% of trapping point	15	100
4	<75% to 50% trapping point	50	100
5	<50% of trapping point	100	100
6	Non-retail credit lines	100	100

1.The capital charge to be applied under this subdivision is the higher of the capital requirement for retained securitisation exposures in the securitisation and the capitalrequirement that would apply if the exposures had not been securitised. The Bank must also deduct from its CET1 the amount of any gain-on- sale and credit-enhancing interest-only strips arising from the securitisation.