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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