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Banking, Insurance, Life Insurance and Health Insurance (prudential standard) determination No. 1 of 2025
Attachment C - Counterparty grades for aAttachment C - Counterparty grades for a general insurer, life company and private health insurer
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Attachment C - Counterparty grades for a general insurer, life company and private health insurer
- Unless otherwise determined by APRA, assets subject to credit risk must be assigned a counterparty grade using one of the following methods:
- for publicly rated assets refer to paragraphs 2 and 3 of this Attachment;
- for non-publicly rated assets secured by a residential mortgage refer to paragraphs 8 to 12 of this Attachment. An asset secured by a residential mortgage comprises an investment held by way of a registered lien, charge or mortgage over residential property. The valuation must have been performed by a qualified valuer. The property cannot be a speculative construction or a property development;
- assets other than those referred to in (a) and (b) may be rated using private external ratings or a general insurer, Level 2 insurance group, a life company or a private health insurer’s own ratings, but only with the prior approval of APRA; or
- assets other than those referred to in (a) and (b) that have not been rated using methods approved by APRA must be assigned a counterparty grade of 5.
- Publicly rated assets are assigned a counterparty grade based on Table 1 and Table 2. The short-term ratings in Table 1 are typically used for assets with original term to maturity of not more than 13 months. For other assets the long-term ratings in Table 2 apply. The credit ratings in Table 1 and Table 2 include structured finance ratings with the (sf) indicator.
Table 1: Short-term ratings
| Grade | S&P Global | Moody’s | AM Best | Fitch |
|---|---|---|---|---|
| 1 | A1+ | AMB-1+ | F1+ | |
| 2 | A1 | P1 | AMB-1 | F1 |
| 3 | A2 | P2 | AMB-2 | F2 |
| 4 | A3 | P3 | AMB-3 | F3 |
| 5 | - | - | - | - |
| 6 | B | NP Vulnerable | AMB-4 | B |
| 7 | C | NP Currently Vulnerable | C |
Table 2: Long-term ratings
<table cellspacing="0" cellpadding="0" style="width:387.65pt; margin-left:27.95pt; margin-bottom:0pt; border:0.75pt solid #000000; border-collapse:collapse"><tbody><tr style="height:13.5pt"><td rowspan="2" style="width:53.95pt; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">Grade</span></p></td><td rowspan="2" style="width:72.15pt; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">S&P Global</span></p></td><td rowspan="2" style="width:70.47pt; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">Moody’s</span></p></td><td colspan="2" style="width:127.22pt; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">AM Best</span></p></td><td rowspan="2" style="width:60.48pt; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">Fitch</span></p></td></tr><tr style="height:13.5pt"><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">Debt</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span style="font-weight:bold">FSR</span><span style="font-family:ZWAdobeF, serif; font-size:1pt">3F</span><a id="_ftnref4"></a><a href="#_ftn4" style="text-decoration:none"><span style="font-size:8pt; font-weight:bold; vertical-align:super; color:#000000">[4]</span></a></p></td></tr><tr style="height:7.5pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>1</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>AAA</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Aaa</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>aaa</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>A++</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>AAA</span></p></td></tr><tr style="height:21pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>2</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>AA+</span><br><span>AA</span><br><span>AA-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Aa1</span><br><span>Aa2</span><br><span>Aa3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>aa+</span><br><span>aa</span><br><span>aa-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><br><span>A+</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>AA+</span><br><span>AA</span><br><span>AA-</span></p></td></tr><tr style="height:21pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>3</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>A+</span><br><span>A</span><br><span>A-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>A1</span><br><span>A2</span><br><span>A3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>a+</span><br><span>a</span><br><span>a-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><br><span>A</span><span></span><br><span>A-</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>A+</span><br><span>A</span><br><span>A-</span></p></td></tr><tr style="height:21pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>4</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>BBB+</span><br><span>BBB</span><br><span>BBB-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Baa1</span><br><span>Baa2</span><br><span>Baa3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>bbb+</span><br><span>bbb</span><br><span>bbb-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><br><span>B++</span><span></span><br><span>B+</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>BBB+</span><br><span>BBB</span><br><span>BBB-</span></p></td></tr><tr style="height:7.5pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>5</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>BB+</span><br><span>BB</span><br><span>BB-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Ba1</span><br><span>Ba2</span><br><span>Ba3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>bb+</span><br><span>bb</span><br><span>bb-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><br><span>B</span><br><span>B-</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>BB+</span><br><span>BB</span><br><span>BB-</span></p></td></tr><tr style="height:7.5pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>6</span></p></td><td style="width:72.15pt; border:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>B+</span><br><span>B</span><br><span>B-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>B1</span><br><span>B2</span><br><span>B3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>b+</span><br><span>b</span><br><span>b-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>C++, C+</span><br><span>C</span><br><span>C-</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>B+</span><br><span>B</span><br><span>B-</span></p></td></tr><tr style="height:7.5pt"><td style="width:53.95pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>7</span></p></td><td style="width:72.15pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; border-left:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Below B-</span></p></td><td style="width:70.47pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Below B3</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Below b-</span></p></td><td style="width:63.42pt; border-top:0.75pt solid #000000; border-right:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Below C-</span></p></td><td style="width:60.48pt; border-top:0.75pt solid #000000; vertical-align:top"><p style="margin-bottom:0pt; text-align:center"><span>Below B-</span></p></td></tr></tbody></table>