(i) Corporate, Sovereign, and Bank Exposures
CA-5.2.31
For corporate, sovereign and bank exposures only the foundation approach is allowed under which banks must provide their own estimates of PD associated with each of their borrower grades, but must use CBB's estimates for the other relevant risk components. The other risk components are LGD, EAD and M.35
35 As noted in section CA-5.3.45, CBB may require/allow banks using the foundation approach to calculate M using the definition provided in section CA-5.3.46 to CA-5.3.50.
Apr 08CA-5.2.32
There is an exception to this general rule for the five sub-classes of assets identified as SL.
Apr 08The SL Categories: PF, OF, CF, IPRE, and HVCRE
CA-5.2.33
Banks that do not meet the requirements for the estimation of PD under the corporate foundation approach for their SL assets are required to map their internal risk grades to five supervisory categories, each of which is associated with a specific risk weight. This version is termed the 'supervisory slotting criteria approach'.
Apr 08CA-5.2.34
Banks that meet the requirements for the estimation of PD are able to use the foundation approach to corporate exposures to derive risk weights for all classes of SL exposures except HVCRE. Subject to CBB's discretion, on a case by case basis, banks meeting the requirements for HVCRE exposure are able to use a foundation approach that is similar in all respects to the corporate approach, with the exception of a separate risk-weight function as described in paragraph CA-5.3.11.
Apr 08
