Mapping criteria

18.1 Criteria for mapping exposures to slotting categories are set out in Appendix 1 of the Credit Risk: Internal Ratings Based Approach (CRR) Part. While firms are required to map exposures to slotting categories using these criteria, the PRA expects that the slotting categories should broadly correspond to a range of EL-based credit assessments of BBB- or better (Strong), BB+ or BB (Good), BB- or B+ (Satisfactory) and B to C- (Weak) (or their equivalents). The fifth category covers default.

18.2 For the purpose of assessing whether a firm’s underwriting of an exposure and an exposure’s other characteristics are substantially stronger than required by the ‘Strong’ rating grade in accordance with Articles 153(5)(e)(i) and 153(5)(f) of the Credit Risk: Internal Ratings Based Approach (CRR) Part, the PRA expects that exposures meeting this criterion should broadly correspond to a range of EL-based credit assessments of BBB+ or better.

18.3 When a firm assesses exposures against the ‘stress analysis’ slotting subfactor, the PRA expects that it should assess the obligor’s ability to meet its obligations without the firm refinancing the exposure to extend it beyond its current maturity or the firm otherwise providing any forbearance.

Definition of high volatility commercial real estate (HVCRE)  exposures

18.4 The PRA expects that, in the UK and in other jurisdictions with similar commercial real estate markets and planning systems, the following types of exposures would be classified as HVCRE exposures:

(a) exposures where the real estate is bought for speculative purposes; and