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Document Overview
CRE33 IRB approach: supervisory slotting approach for specialised lending (paras. 33.1-33.16) (effective as of 15 December 2019)
This chapter sets out the calculation of risk-weighted assets and expected losses for specialised lending exposures subject to the supervisory slotting approach.
Version effective as of 15 Dec 2019
First version in the format of the consolidated framework.
Introduction
33.1 This chapter sets out the calculation of risk weighted assets and expected losses for specialised lending (SL) exposures subject to the supervisory slotting approach. The method for determining the difference between expected losses and provisions is set out in CRE35.
Risk weights for specialised lending (PF, OF, CF and IPRE)
33.2 For project finance (PF), object finance (OF), commodities finance (CF) and income producing real estate (IPRE) exposures, banks that do not meet the requirements for the estimation of probability of default (PD) under the corporate internal ratings-based (IRB) approach will be required to map their internal grades to five supervisory categories, each of which is associated with a specific risk weight. The slotting criteria on which this mapping must be based are provided in CRE33.13 for PF exposures, CRE33.15 for OF exposures, CRE33.16 for CF exposures and CRE33.14 for IPRE exposures. The risk weights for unexpected losses (UL) associated with each supervisory category are:
Supervisory categories and unexpected loss (UL) risk weights for other SL exposures |
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