Non-market-related off-balance sheet expNon-market-related off-balance sheet exposures

Non-market-related off-balance sheet exposures

1. For the purpose of calculating non-market-related off-balance sheet exposures, an ADI must apply credit conversion factors (CCFs) to the gross notional amounts of off-balance sheet items.[14] An ADI must apply the CCFs set out in Table 17 of Attachment C to APS 112.
2. For any off-balance sheet securitisation exposures, an ADI must apply the relevant CCFs as set out in paragraph 43 of APS 120.
3. Provisions that have decreased Tier 1 Capital may be deducted from the credit exposure equivalent amount (i.e. the exposure amount after the application of the relevant CCF). However, the resulting off-balance sheet equivalent amount for these exposures cannot be less than zero.
4. If the exposure amount relates to an unsettled regular-way financial asset purchase (i.e. the commitment to pay) that is accounted for at settlement date, an ADI must apply a CCF of 100 per cent. An ADI may offset commitments to pay for unsettled purchases and cash to be received for unsettled sales provided the following conditions are met:
   1. the financial assets bought and sold that are associated with the cash payables and receivables are included in the ADI’s income statement at fair value and allocated to the ADI’s trading book in accordance with Attachment A to APS 116; and
   2. the transactions of the financial assets are settled on a delivery-versus-payment basis.