Expected Loss for Specialized Lending (SL) Exposures Subject to the Supervisory Slotting Criteria
No: 44047144
Date(g): 27/12/2022 | Date(h): 4/6/1444
Status: In-Force
Effective from Jan 01 2023 - Dec 31 2022 To view other versions open the versions tab on the right
13.8
For SL exposures subject to the supervisory slotting criteria, the expected loss (EL) amount is determined by multiplying 8% by the risk-weighted assets produced from the appropriate risk weights, as specified below, multiplied by exposure at default.
13.9
The risk weights for SL, other than HVCRE, are as shown in table 22 below:
Table 22
Strong
Good
Satisfactory
Weak
Default
5%
10%
35%
100%
625%
13.10
Where, SAMA allow banks to assign preferential risk weights to non-HVCRE SL exposures falling into the “strong” and “good” supervisory categories as outlined in paragraph 13.4, the corresponding expected loss (EL) risk weight is 0% for “strong” exposures, and 5% for “good” exposures.
13.11
The risk weights for HVCRE are as shown in table 23 below:
Table 23
Strong
Good
Satisfactory
Weak
Default
5%
5%
35%
100%
625%
13.12
Even where, SAMA allow banks to assign preferential risk weights to HVCRE exposures falling into the “strong” and “good” supervisory categories as outlined in paragraph 13.7, the corresponding EL risk weight will remain at 5% for both “strong” and “good” exposures.
