CA-5.3.9

Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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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%
Apr 08