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
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| MS risk grades | Fitch | Moody’s | S&P |
|---|---|---|---|
| 1 | AAA | Aaa | AAA |
| 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 |
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