The rating company affirmed the bank’s short-term not prime(cr) counterparty risk assessment, it said on Friday. “The bank’s b2 baseline credit assessment, b1 adjusted baseline credit assessment, B1 long-term deposit ratings and Ba2 long-term counterparty risk ratings as well as its non-prime short-term deposit and counterparty risk ratings remain unaffected by this rating action”.

Moody’s added that after it applied its “advanced loss given failure analysis” to determine the counterparty risk assessment, “the cushion provided to obligations captured by the counterparty risk assessment by more junior liabilities accounts for around 19% of RCB Bank’s tangible assets”.

While this exercise showed that the counterpart risk assessment would be three notches above the bank’s b1 baseline assessment, the rating was ultimately capped at one notch above Cyprus’ sovereign credit rating, Moody’s said.

“Although RCB Bank’s operations in Cyprus are small, the bank is subject to local regulations and its ratings are constrained by the Cypriot sovereign ratings,” Moody’s continued.

Source: Cyprus Mail