Should all short-term wholesale exposures between three and 12 months default to a one-year maturity?
Yes, short-term wholesale exposures between three and 12 months should be assigned a maturity of one year. As explained in paragraph 92 of the QIS-4 instructions, exceptions on the lower bound of one year apply to transactions that (a) are not part of an institution’s ongoing financing of a borrower and (b) have an original maturity of less than three months – including repo-style transactions, money market transactions, trade finance-related transactions, and exposures arising from payment and settlement processes. When these conditions are satisfied, M may be set as low as five days for repo-style transactions and OTC derivatives exposures subject to a qualifying master netting agreement, and as low as one day for other wholesale transactions.
