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% |
Apr 08