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Bank Credit Risk Indicators
Fitch Solutions ofers the most comprehensive suite of bank
credit risk indicators available in the market to help you
monitor your exposure to bank credit and counterparty risk,
as well as validate and benchmark your own assessments.
Bank Credit Risk Indicators
The following exhibits illustrate the wide range of Fitch bank credit information available to market participants.
Sample Bank
The sample report below demonstrates the wide range of bank credit risk indicators available from Fitch Solutions on a single
counterparty. It includes traditional bank credit ratings, CDS implied ratings and spreads, fundamental fnancial data, as well as
a suite of market-based indicators. This comprehensive intelligence provides market participants with multiple perspectives of
credit risk for in-depth bank analysis.
All Fitch bank credit risk indicators are delivered as a standardized data feed that the user can export into quantitative models,
internal reports or a proprietary interface to best meet their specifc needs. The sample is representative of a report that can be
created using the data feed and also includes related Fitch Ratings research reports, which provide additional, valuable market
commentary and are accessible only with a Fitch Research subscription.


Financials Year End Q3 End
12/2011 09/2011
Min EUR Min EUR
Total Deposits 525,636.0 507,000.0
Total Interest Bearing Liabilities 1,354,815.0 1,317,500.0
Net Interest Revenue 16,682.0 16,238.0
Net Income -1,198.0 1,868.0
Total Assets 1,723,608.0 1,740,000.0
Total Common Equity 49,292.0 52,800.0
Total Net Loans 399,379.0 401,200.0

Ratio Analysis Year End Q3 End
12/2011 09/2011
Regulatory total Capital Ratio 13.2 13.0
Regulatory Tier 1 Ratio 11.1 11.0
Cost / Income 65.5 65.2
Equity / Assets 2.5 2.7
Net Interest Margin 1.0 1.0
ROAA -0.1 0.2
ROAE 2.3 4.7
3 Month* 6 Month 1 Year
CDS Implied Rating: BBB- BBB- BBB- BBB
5-Year CDS Spread: 227 -6.0% -22.0% 69.5%
CDS Liquidity Percentile Ranking: 15 Reg. Percentile +1 +3 +12
Market-Based Indicators
3 Month* 6 Month 1 Year
Financial Implied Rating: C N/A N/A B/C
Implied 5-Year CDS Spread: 248 4.20% 15.3% 54.8%
Bank Credit Model
Traditional Credit Ratings
Long Term Issuer Default Rating: A
Short Term Issuer Default Rating: F1
Viability Rating: a
Support Rating: 1
Support Rating Floor: A
Sovereign Rating: A
Related Research
22-Mar-12 EU Rating Endorsement
22-Mar-12 U.S. Money Fund Exposure and European Banks: A Partial Disengagement
20-Mar-12 Criteria for Interest Rate Stresses in Structured Finance Transactions
20-Mar-12 Fitchs Interest Rate Stress Assumptions for Structured Finance
16-Mar-12 Fitch Ratings Global Corporate Finance 2011 Transition and Default Study
*Historical changes to CDS and Implied CDS spreads over the specifed time horizons.
Sample Portfolio of Global Banks
The sample report below demonstrates the wide range of bank credit risk indicators available from Fitch Solutions on a portfolio
of banks across the U.S., Europe, and Asia-Pacifc.
Highlighted Credit Risk Indicators
Using the same portfolio of global banks in each example, we highlight the diferent bank credit risk indicators ofered by
Fitch Solutionsranging from traditional bank credit ratings and fundamental fnancials to market-based indicators.
Fitch Fundamental Financial Data
As the industrys leading provider of bank
fundamental fnancial data, Fitch Solutions
ofers annual and interim fnancial data on
over 11,000 U.S. banks and 19,400 global
banks in a standardized format for in-depth
research and cross-border analysis.
Fitch Credit Ratings
Leveraging Fitch Ratings position
as the global leader in bank ratings
coverage, Fitch Solutions delivers credit
ratings, watches and outlooks on 3,500
banks, plus 35 years of historical rating
actions on 9,500 banks. This section
of the chart highlights viability ratings,
which measure the stand-alone fnancial
strength of a bank, as well as long-term
issuer default ratings.
Fitch Traditional Ratings
Fundamental Financials
CDS Pricing and CDS based Quantitative Analytics Bank Credit Model Fundamental Financials Fitch Traditional Ratings
Fitch CDS Pricing
A wide range of proprietary, consensus
CDS pricing from top market makers
on 250 banks daily. All content goes
through a stringent data cleaning process,
ensuring the composite published prices
are of the highest quality.
Fitch CDS Indices
A set of independent and purely
data-driven bank and sovereign indices
that provide objective, transparent and
unique data to easily identify credit
derivative trends and conduct market
analysis over time.
CDS Implied Ratings
Daily market-based indicators of
credit quality covering the consensus
CDS universe, Implied Ratings consider
quotes, term structure, and credit
information to determine spread
ranges for each rating category.
CDS Pricing and CDS based Quantitative Analytics
CDS Implied Ratings
Highlighted Credit Risk Indicators continued
CDS Liquidity Scores
Derived from a proprietary statistical
model and utilizing a broad set of CDS
market data, each asset is given a score
and corresponding percentile ranking
representing the most and least liquid
entities across the global CDS universe.
Fitch Solutions also issues bi-weekly CDS
Liquidity Commentaries covering the fve
most-liquid CDS corporate names in
Europe, North America and Asia Pacifc,
as well as the fve most-liquid global
sovereigns.
Bank Credit Model Outputs:
Financial Implied Ratings and
Implied CDS Spreads
The Fitch Bank Credit Model is a statistical
model that produces a Financial Implied
Rating a measure of a banks one-year
forward, stand-alone fnancial strength
rating and daily Implied CDS Spread for
over 9,500 banks globally. Together, these
outputs provide market participants with
a valuable input into their bank credit
decision-making process.
Bank Credit Model
Highlighted Credit Risk Indicators continued
CDS Liquidity Scores
www.ftchsolutions.com
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For more information
Fitch Solutions Bank Credit Risk Indicators can be customized by data felds and integrated into a variety of standardized data feed
packages. For more information, please visit the Risk & Performance Analytics section of the www.ftchsolutions.com website.
Sample Analysis
Using our comprehensive CDS Pricing Content as an example, the following charts illustrate how quickly and easily a user can
conduct Relative Value Analysis by plotting CDS for banks in their portfolio against regional and sector level benchmarks.
About Fitch Solutions
Fitch Solutions is committed to delivering value beyond the rating by providing a range of fxed-income products and professional development services to
the global fnancial community. In addition to ofering proprietary content, the frm also distributes the ratings, research, fnancial data and analytical tools
of Fitch Ratings through a variety of platforms. With innovation and experience behind every product and service we bring to market, our fexible oferings
are designed to meet the diverse needs of the credit markets.
Drawing upon a wealth of expertise, skills, and market insight, we provide fnancial professionals worldwide with the intelligence they need to make more
informed risk management and investment decisions.
Fitch Solutions is part of the Fitch Group, a jointly owned subsidiary of Fimalac, S. A. and Hearst Corporation. For additional information, please visit
www.ftchsolutions.com.
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Identify new trading patterns
by monitoring bank CDS pricing
relative to broader market.