MORNBFI Vol. 1 - Planters Development Bank

APP. Q-4611.12.3128. A CCF of twenty percent (20%)and fifty percent (50%) will be applied toeligible liquidity facilities as defined inparagraph 9 above with original maturityof one year or less and more than one year,respectively. However, if an externalrating of the facility itself is used for riskweighting the facility, a 100% CCF mustbe applied. A zero percent (0%) CCF maybe applied to eligible liquidity facilitiesthat are only available in the event of ageneral market disruption (i.e.,whereupon more than one SPE acrossdifferent transactions are unable to rollover maturing commercial paper, and thatinability is not the result of an impairmentin the SPE’s credit quality or in the creditquality of the underlying exposures). Toqualify for this treatment, the conditionsprovided in paragraph 9 must be satisfied.Additionally, the funds advanced by thebank to pay holders of the capital marketinstruments (e.g., commercial paper)when there is a general market disruptionmust be secured by the underlying assets,and must rank at least pari passu with theclaims of holders of the capital marketinstruments.29. A CCF of zero percent (0%) willbe applied to undrawn amount of eligibleservicer cash advance facilities, as definedin paragraph 10 above, that areunconditionally cancellable without priornotice.30. An originating bank is required tohold capital against the investors’ interest(i.e., against both the drawn and undrawnbalances related to the securitizedexposures) when:a) It sells exposures into a structurethat contains an early amortizationfeature; andb) The exposures sold are of arevolving nature. These involve exposureswhere the borrower is permitted to varythe drawn amount and repayments withinan agreed limit under a line of credit (e.g.,credit card receivables and corporate loancommitments).31. Originating banks, though, are notrequired to calculate a capital requirementfor early amortizations in the followingsituations:a) Replenishment structures wherethe underlying exposures do not revolveand the early amortization ends the abilityof the bank to add new exposures;b) Transactions of revolving assetscontaining early amortization features thatmimic term structures (i.e., where the riskof the underlying facilities does not returnto the originating bank);c) Structures where a banksecuritizes one or more credit line(s) andwhere investors remain fully exposed tofuture draws by borrowers even after anearly amortization event has occurred;andd) The early amortization clause issolely triggered by events not related tothe performance of the securitizedassets or the selling bank, such asmaterial changes in tax laws orregulations.32. As described below, the CCFsdepend upon whether the earlyamortization repays investors through acontrolled or non-controlledmechanism. They also differ accordingto whether the securitized exposuresare uncommitted retail credit lines (e.g.,credit card receivables) or other creditlines (e.g., revolving corporatefacilities). A line is considereduncommitted if it is unconditionallycancelable without prior notice.33. For uncommitted retail credit lines(e.g., credit card receivables) that haveeither controlled or non-controlled earlyamortization features, banks mustQ RegulationsAppendix Q-46 - Page 32Manual of Regulations for Non-Bank Financial Institutions