DBRS Assesses Applicability of Rating Floors for Critically Important Banks in 9 Countries

DBRS is assessing on a country-by-country basis the applicability of rating floors that are in place for critically important banks (CIBs) in certain countries. This action is underpinned by DBRS’s view that there may now be less certainty in some countries regarding the timing and predictability of government support for banks.

DBRS assigned rating floors to nine countries during 2009. Currently, the ratings of seven CIBs in these countries are supported by the rating floor, reflecting DBRS’s expectation that the governments in these countries would provide support, if necessary, to prevent any CIB from weakening below this rating level.
DBRS considers CIBs to be those banking organizations with extensive involvement in a country’s financial markets, whose ability to perform as a long-term counterparty is essential for the robustness and stability of the domestic financial system as a whole.

DBRS intends to start its assessment with the United Kingdom and to comment on the rating floor in each country within a 90-day period. In assessing the rating floors, DBRS expects to take into account existing or proposed legislation, public statements, and other actions in each country regarding support, as well as any developments in areas such as bail-in and resolution procedures, in order to evaluate the predictability of support for the CIBs.

The rating floors are currently in place in Belgium, Denmark, Finland, Japan, the Netherlands, Norway, Sweden, the United Kingdom, and the United States. The floors are set at A (high) at the operating bank level and A at the holding company level in all countries, apart from Japan where the rating floor at the operating bank level is A.

Floor ratings provide ratings uplift from an issuer's intrinsic assessment level to the floor rating level. There are seven banking organizations in these countries (their banks and bank holding companies are listed below) that benefit by one or more notches of uplift from their intrinsic assessment level due to the application of a rating floor in their country. DBRS notes that a systemically important banking organisation may continue to benefit from some support, even if the rating floor is removed.

Banking organizations with senior debt rating benefiting from floors by country:

1. Belgium:
   Holding Company Senior Debt Rating (if any):

KBC Group N.V. – A

Operating Bank Senior Debt and Deposit Rating:

KBC Bank N.V. – A (high)
Belfius Bank S.A. – A (high)

2. Denmark
   Holding Company Senior Debt Rating (if any):

n.a.

Operating Bank Senior Debt and Deposit Rating:

Danske Bank A/S – A (high)

3. Japan
   Holding Company Senior Debt Rating (if any):

n.a.

Operating Bank Senior Debt and Deposit Rating:

Mizuho Bank Ltd – A

4. United Kingdom
   Holding Company Senior Debt Rating (if any):

Royal Bank of Scotland Group – A

Operating Bank Senior Debt and Deposit Rating:

Royal Bank of Scotland plc – A (high)

5. United States of America
   Holding Company Senior Debt Rating (if any):

Bank of America Corporation – A
Citigroup Inc. – A

Operating Bank Senior Debt and Deposit Rating:

Bank of America N.A. – A (high)
Citibank N.A. – A (high)