Risk Weights for PF, OF, CF, and IPRE
CA-5.3.6
Banks that do not meet the requirements for the estimation of PD under the corporate IRB approach will be required to map their internal grades to five supervisory categories, each of which is associated with a specific risk weight. The slotting criteria on which this mapping must be based are provided in Appendix CA-7. The risk weights for unexpected losses associated with each supervisory category are:
Supervisory Categories and UL Risk Weights for other SL Exposures
Strong Good Satisfactory Weak Default 70% 90% 115% 250% 0% Amended: April 2011
Apr 08CA-5.3.7
Although banks are expected to map their internal ratings to the supervisory categories for specialised lending using the slotting criteria provided in Appendix CA-7, each supervisory category broadly corresponds to a range of external credit assessments as outlined below.
Strong Good Satisfactory Weak Default BBB- or better BB+ or BB BB- or B+ B to C- Not applicable Apr 08CA-5.3.8
Banks that meet the requirements for the estimation of PD will be able to use the general foundation approach for the corporate asset class to derive risk weights for SL sub- classes.
Apr 08
