The standardized method set out in the New Basel Accord requires the different evaluation of
similar counterparties belonging to groups with a different rating. Based on the “criteria” adopted
by the rating agencies, there are no independent estimates of group ratings, with respect to the rating
of the individual group entities, and, in many cases, the agencies choose not to notify the market of
their judgement of the group.
This paper examines the ratings of groups and individual group entities, with a view to assessing the
effects of change to the group structure on the rating.
The analysis focuses on the financial sector and is limited to the Italian market, which has been
characterized in recent years by a strong trend towards concentration. The results achieved by
analysing the rating processes by the principal international agencies (Fitch, Moody’s and Standard
and Poor’s) show that the ratings of the groups, or of the individual group entities, adjusted on the
basis of their characteristics, are not at all affected by the occurrence of significant corporate events
regarding the group’s structure
