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 30. 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).