4.6.41 Controlled early amortisation and uncommitted retail credit lines (1) For uncommitted retail credit lines (such as credit card receivables) in securitisations that have controlled early amortisation provisions that can be triggered by the excess spread falling to a specified level, a banking business firm must compare the three-month average excess spread to the point at which the bank is required to trap excess spread (the as economically required by the excess spread trapping point) structure. (2) 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. 4.6.42 Credit conversion factors A banking business firm that is the originator or sponsor of a securitisation must divide the excess spread by the securitisation’s excess spread trapping point to determine the securitisation’s appropriate segments and apply the corresponding credit conversion factor for uncommitted credit lines in accordance with table 4.6.42. Table 4.6.42 Credit conversion factors (CCFs) for securitisation involving revolving exposures with controlled early amortisation column 1 column 2 column 3 column 4 item segments CCFs for CCFs for uncommitted committed credit lines credit lines % % Retail credit lines 1 133.33% of trapping point or 0 90 more 2 <133.33% to 100% of trapping 1 90 point
4.6.41 Controlled early amortisation and uncommitted retail credit lines (1) For uncommitted retail credit lines (such as credit card receivables) in securitisations that have controlled early amortisation provisions that can be triggered by the excess spread falling to a specified level, a banking business firm 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. (2) 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. 4.6.42 Credit conversion factors A banking business firm 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 4.6.42. Table 4.6.42 Credit conversion factors (CCFs) for securitisation involving revolving exposures with 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 90 2 <133.33% to 100% of trapping point 1 90