CA-5.3.9

Banks that do not meet the requirements for estimation of PD, must 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 the same as those for IPRE, as provided in Appendix CA-7. The risk weights associated with each category are:

Supervisory Categories and UL Risk Weights for High-volatility Commercial Real Estate

Strong Good Satisfactory Weak Default
95% 120% 140% 250% 0%
Amended: April 2011
Apr 08