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6.2 Expected Loss for SL Exposures Subject to the Supervisory Slotting Criteria
Effective from Jun 12 2006 - Jun 11 2006 To view other versions open the versions tab on the right
For SL exposures subject to the supervisory slotting criteria, the EL amount is determined by multiplying by 8% the risk-weighted assets produced from the appropriate risk weights, as specified in the following paragraph, multiplied by EAD.
The risk weights for SL are as follows:
•
Strong
5%
•
Good
10%
•
Satisfactory
35%
•
Weak
100%
•
Default
625%
SAMA may allow banks to assign preferential risk weights to other SL exposures falling into the “strong” and “good” supervisory categories as outlined in paragraph 4.1.8 above. The corresponding EL risk weight is 0% for “strong” exposures, and 5% for “good” exposures.
Supervisory categories and the risk weights for HVCRE:
The risk weights for HVCRE are as follows:
Strong
Good
Satisfactory
Weak
Default
5%
50%
35%
100%
625%
Even where, at national discretion, supervisors allow banks to assign preferential risk weights to HVCRE exposures falling into the “strong” and “good” supervisory categories as outlined in paragraph 282, the corresponding EL risk weight will remain at 5% for both “strong” and “good” exposures.
(Refer para 379, International Convergence of Capital Measurement and Capital Standards – June 2006)
