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Answered 2008-09-15 19:27:16

I've never worked bonds, so I am not sure about the context there. However, in the general Basel construct, the CCF is the fraction of off-balance sheet exposures which should be treated as on-balance sheet for regulatory capital purposes.

For example, if I have USD100B in contingent exposures to retail customers (based on credit lines that have not yet been tapped) and statistical analysis shows that 30% of those contingent exposures move to the balance sheet prior to default, then the CCF is 30% and the firm should allocate additional capital equal to having an extra USD30B on their balance sheets.

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