Use of external ratings

When calculating requirements for own funds for entities other than financial institutions or government entities, the Group does not use ratings awarded by eligible credit assessment institutions (ECAIs). This is justified by the immaterial number of borrowers and counterparties who have a rating awarded by an ECAI. (Art. 444)

Bank’s Master Scale vs. ratings used by external rating agencies
MS risk grades Fitch Moody’s S&P
1 AA+ Aa1 AA+
2 AA Aa2 AA
2 AA- Aa3 AA-
3 A+ A1 A+
3 A A2 A
4 A- A3 A-
5 BBB+ Baa1 BBB+
6 BBB Baa2 BBB
7 BBB- Baa3 BBB-
8 BB+ Ba1 BB+
9 BB Ba2 BB
10 BB- Ba3 BB-
11 B+ B1 B+
12 B or lower B2 or lower B or lower
Previous page Credit risk adjustments (impairment and impairment charges)
Next page Encumbered assets