Credit Conversion Factors Specification¶

CCF application for off-balance sheet exposures under SA and F-IRB.

Regulatory Reference: CRR Articles 111, 166

Test Group: CRR-D (partial)

SA Approach (CRR Art. 111)¶

F-IRB Approach (CRR Art. 166(8)-(9))¶

Basel 3.1 SA Changes (PRA PS1/26 Art. 111 Table A1)¶

Basel 3.1 F-IRB Changes (PRA PS1/26 Art. 166C)¶

Basel 3.1 A-IRB Changes (PRA PS1/26 Art. 166D)¶

• Own CCF estimates only permitted for revolving facilities
• All other off-balance sheet items must use SA CCFs
• The revolving-only restriction is a data classification concern — exposures should carry an is_revolving flag; non-revolving AIRB facilities must use SA CCFs regardless of modelled estimates
• Code enforces the 50% floor: max(ccf_modelled, sa_ccf × 0.5) in ccf.py
• EAD floor: drawn + 50% of off-balance sheet using F-IRB CCF
• Falls back to SA CCFs if not available

EAD Calculation¶

EAD = Drawn Amount + Accrued Interest + (Undrawn Amount × CCF)

Where:

• Drawn Amount: Current outstanding balance
• Accrued Interest: Interest due but not yet paid
• Undrawn Amount: Committed but undrawn facility limit minus drawn amount

Provision-Adjusted EAD (Art. 111(2))¶

When provisions are present (SA only), they are resolved before CCF application using a drawn-first deduction:

provision_on_drawn = min(provision_allocated, max(0, Drawn Amount))
provision_on_nominal = min(provision_allocated - provision_on_drawn, Undrawn Amount)
nominal_after_provision = Undrawn Amount - provision_on_nominal

EAD = (max(0, Drawn Amount) - provision_on_drawn) + Accrued Interest
      + (nominal_after_provision × CCF)

This ensures that provisions reduce the nominal amount before the CCF multiplier is applied, compliant with CRR Art. 111(2). For IRB/Slotting exposures, provisions are tracked but not deducted — the standard EAD formula applies.

Key Scenarios¶