Slotting Approach Specification¶
Specialised lending slotting categories for project finance, object finance, commodities finance, and IPRE.
Regulatory Reference: CRR Articles 147(8), 153(5)
Test Group: CRR-E
Requirements Status¶
| ID | Requirement | Priority | Status |
|---|---|---|---|
| FR-1.6 | Specialised lending slotting with maturity band risk weights | P0 | Done |
| FR-1.7 | Equity risk weights: SA (Art. 133) and IRB Simple (Art. 155) | P1 | Done |
Overview¶
The slotting approach assigns risk weights based on qualitative category assessment rather than PD/LGD modelling. It applies to specialised lending exposures where banks cannot estimate PD using standard IRB models.
Specialised Lending Types¶
| Type | Abbreviation | Description |
|---|---|---|
| Project Finance | PF | Long-term financing of infrastructure/industrial projects |
| Object Finance | OF | Financing of physical assets (ships, aircraft, etc.) |
| Commodities Finance | CF | Structured financing of commodity inventories |
| Income-Producing RE | IPRE | Commercial real estate where repayment depends on rental income |
| High Volatility CRE | HVCRE | CRE with higher risk characteristics |
CRR Slotting Risk Weights¶
Under CRR Art. 153(5), risk weights are differentiated by HVCRE status and remaining maturity.
Non-HVCRE (Table 1)¶
| Category | Remaining Maturity >= 2.5yr | Remaining Maturity < 2.5yr |
|---|---|---|
| Strong | 70% | 50% |
| Good | 90% | 70% |
| Satisfactory | 115% | 115% |
| Weak | 250% | 250% |
| Default | 0% | 0% |
HVCRE (Table 2)¶
| Category | Remaining Maturity >= 2.5yr | Remaining Maturity < 2.5yr |
|---|---|---|
| Strong | 95% | 70% |
| Good | 120% | 95% |
| Satisfactory | 140% | 140% |
| Weak | 250% | 250% |
| Default | 0% | 0% |
Basel 3.1 Slotting Risk Weights¶
Under Basel 3.1 (BCBS CRE33), slotting risk weights are split into three distinct tables differentiating Non-HVCRE operational, Project Finance pre-operational, and HVCRE exposures.
Non-HVCRE Operational (OF, CF, IPRE, PF Operational)¶
| Category | Risk Weight |
|---|---|
| Strong | 70% |
| Good | 90% |
| Satisfactory | 115% |
| Weak | 250% |
| Default | 0% (EL) |
Project Finance Pre-Operational¶
| Category | Risk Weight |
|---|---|
| Strong | 80% |
| Good | 100% |
| Satisfactory | 120% |
| Weak | 350% |
| Default | 0% (EL) |
HVCRE¶
| Category | Risk Weight |
|---|---|
| Strong | 95% |
| Good | 120% |
| Satisfactory | 140% |
| Weak | 250% |
| Default | 0% (EL) |
See Framework Differences for full Basel 3.1 detail.
Equity¶
SA (CRR Art. 133)¶
Risk weights by equity type (listed, unlisted, strategic holdings).
IRB Simple (CRR Art. 155)¶
- Exchange-traded / listed equity: 290%
- Private equity (diversified): 190%
- All other equity (unlisted, speculative, etc.): 370%
Basel 3.1¶
Removal of equity IRB — all equity falls to SA treatment.
Key Scenarios¶
| Scenario ID | Description |
|---|---|
| CRR-E | Project finance, Strong category (70%) |
| CRR-E | Object finance, Satisfactory category (115%) |
| CRR-E | HVCRE exposure, Weak category (250%) |
| CRR-E | Defaulted specialised lending (0%, fully provisioned) |
Acceptance Tests¶
| Group | Scenarios | Tests | Pass Rate |
|---|---|---|---|
| CRR-E: Specialised Lending | E1–E4 | 9 | 100% |