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  • Short-Term/Long-Term Assessments

    • CA-3.4.12

      For risk-weighting purposes, short-term assessments are deemed to be issue-specific. They can only be used to derive risk weights for claims arising from the rated facility. They cannot be generalised to other short-term claims, except under the conditions of paragraph CA-3.4.14. In no event can a short-term rating be used to support a risk weight for an unrated long-term claim. Short-term assessments may only be used for short-term claims against banks and corporates. The table below provides a framework for conventional bank licensees' exposures to specific short-term facilities, such as a particular issuance of commercial paper:

      Credit assessment A-1/P-114 A-2/P-2 A-3/P-3 Others15
      Risk weight 20% 50% 100% 150%

      14 The notations follow the methodology used by Standard & Poor's and by Moody's Investors Service. The A-1 rating of Standard & Poor's includes both A-1+ and A-1-.

      15 This category includes all non-prime and B or C ratings.

      January 2015

    • CA-3.4.13

      If a short-term rated facility attracts a 50% risk-weight, unrated short-term claims cannot attract a risk weight lower than 100%. If an issuer has a short-term facility with an assessment that warrants a risk weight of 150%, all unrated claims, whether long-term or short-term, must also receive a 150% risk weight, unless the conventional bank licensee uses recognised credit risk mitigation techniques for such claims.

      January 2015

    • CA-3.4.14

      For short-term claims on conventional bank licensees, the interaction with specific short-term assessments is expected to be the following:

      (a) The general preferential treatment for short-term claims, as defined under paragraphs CA-3.2.11 and CA-3.2.12, applies to all claims on conventional bank licensees of up to three months original maturity when there is no specific short-term claim assessment;
      (b) When there is a short-term assessment and such an assessment maps into a risk weight that is more favourable (i.e. lower) or identical to that derived from the general preferential treatment, the short-term assessment should be used for the specific claim only. Other short-term claims would benefit from the general preferential treatment; and
      (c) When a specific short-term assessment for a short term claim on a conventional bank licensee maps into a less favourable (higher) risk weight, the general short-term preferential treatment for inter-bank claims cannot be used. All unrated short-term claims should receive the same risk weighting as that implied by the specific short-term assessment.
      January 2015

    • CA-3.4.15

      When a short-term assessment is to be used, the institution making the assessment needs to meet all of the eligibility criteria for recognising ECAIs as presented in Paragraph CA-3.4.1 in terms of its short-term assessment.

      January 2015