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 08