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2018 Pillar 3 Disclosures
Credit and dilution risks
Cecabank uses Moody’s and S&P as credit ratings agencies when determining the risk weights
applicable to its exposures.
These ratings agencies are used consistently and on a long-term basis for all the assets for
which they are available, including securitisation exposure. Given the wholesale nature of the
bank’s activity, these ratings are usually available for assets from the different categories,
except for those related to individuals.
General description of the process of
assignment of public security issue credit
ratings to comparable assets
When there is a credit rating for a particular issue programme or for an exposure to which the
element comprising the risk belongs, this rating is used in order to establish the risk weight
applicable to that element.
In cases in which there is no credit rating directly applicable to a specific exposure, but there is a
general credit rating for the issuer, the latter is used, in accordance with the ratings assignment
criteria described in the Solvency Regulations.
The credit ratings corresponding to the issuers of a particular economic group are not used to
classify the credits of other issuers of the same group.
Short-term credit ratings are applied only to those exposures which may be considered to be
short-term and are not extended in other cases.
In cases in which the external credit rating corresponds to an exposure in the local currency of
a debtor, this will not be used to determine the risk weighting of another exposure of the same
debtor in foreign currency.
Risk-weighted exposure determined by the
risk assessment of external rating agencies
The following table shows all risk-weighted exposures for different categories of credit risk,
separating weighted exposure based on the credit rating awarded by an ECAI, from those whose
credit rating comes from a central administration:
4.8.1
4.8.2
Credit rating agencies used
4 | 4.8