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2018 Financial and Social Report

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)

The following table presents the mapping of external ratings of each of the named ECAIs to credit quality grades featured in the unified rating Master Scale. The Group recognizes the following external rating agencies: Fitch, Moody’s, Standard & Poors.

Table 31 Bank's Master Scale vs. ratings used by external rating agencies
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

Table EU CRD – Qualitative disclosure requirements on institution’s use of external credit ratings under the astandardised approach for credit risk

Information in that chapter is disclosed according to the requirements of Table EU EU CRD – Qualitative disclosure requirements on institution’s use of external credit ratings under the astandardised approach for credit risk (EBA/GL/2016/11).