• Bank asset class

    • PRU 4.12.10 PRU 4.12.10

      Subject to Rules 4.12.11 and 4.12.12, an Authorised Person must risk-weight any CR Exposure in the bank asset class in accordance with the following table:

      CRWs for the bank asset class

      Credit Quality Grade 1 2 3 4 5 6 Unrated
      Risk Weight 20% 50% 50% 100% 100% 150% 50%
      Risk Weight for Short-Term Exposures 20% 20% 20% 50% 50% 150% 20%

      • Guidance

        For the purposes of the above table, short-term Exposures refer to Exposures with an Original Maturity of three months or less and that are not expected to be rolled over.

    • PRU 4.12.11

      An Authorised Person must risk-weight any short-term CR Exposure in the bank asset class with an issue-specific external credit assessment in accordance with the following table.

      CRWs for short-term CR Exposures in the bank asset class with issue-specific external credit assessments

      Short-Term Credit Quality Grade I II III IV
      Risk Weight 20% 50% 100% 150%

    • PRU 4.12.12

      The CRW for any CR Exposure in the bank asset class that does not have an external credit assessment by a recognised external credit rating agency must be the risk weight determined in accordance with the table in Rule 4.12.10 or the risk weight that is applicable to an CR Exposure to the central government of the jurisdiction in which the banking institution is incorporated or established, whichever is higher. If a short-term CR Exposure in the bank asset class with an issue-specific external credit assessment:

      (a) attracts a risk weight of 50% or 100%, then the Authorised Person must apply a risk weight of not lower than 100% to any unrated short-term CR Exposure to the same banking institution; or
      (b) attracts a risk weight of 150%, then the Authorised Person must apply a risk weight of 150% to any unrated CR Exposure (whether long-term or short- term) to the same banking institution.