Commonwealth legislation

Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2007 - MRS 130.2 - Off Balance Sheet Business - Charges Granted

RepealedCTH

This Act has been repealed and is no longer in force. It is retained for historical reference.

Jurisdiction

Commonwealth

Collection

legislative instrument

Plain English Summary

3/10 complexity

This attachment maps major credit-agency ratings (S&P, Moody’s, AM Best, Fitch) to numerical counterparty grades 1–5 for use in off-balance-sheet reporting of business with charges granted. Grade 1 is highest quality; Grade 5 is speculative; unrated assets default to Grade 4.

It requires institutions (MDOs) to use a single rating agency consistently when multiple ratings exist.

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Current sections

Direct links to the current provisions in Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2007 - MRS 130.2 - Off Balance Sheet Business - Charges Granted.

ATTACHMENT 1: Counterparty Grades

Grade	Standard & Poor’s	Moody’s	AM Best	Fitch
1	AAA	Aaa	A++	AAA
2	AA+AAAA-	Aa1Aa2Aa3	A+	AA+AAAA-
3	A+AA-	A1A2A3	AA-	A+AA-
4	BBB+BBBBBB-	Baa1Baa2Baa3	B++B+	BBB+BBBBBB-
5	BB+ or below	Ba1 or below	B or below	BB+ or below

Unrated assets or exposures should be classified as Grade 4.

MDOs should, in general, use the same rating agency for determining counterparty gradings. Where the MDO has counterparties with multiple ratings from two or more of the rating agencies in the table above, the MDO should consistently choose the ratings of a single agency whenever possible. For example, the MDO may have a number of counterparties that are rated by Standard & Poor’s and AM Best. In this case, the MDO should choose a single agency that will be consistently used whenever the individual ratings conflict.

Source text

Sourced from the Federal Register of Legislation (legislation.gov.au), CC BY 4.0.

ATTACHMENT 1: Counterparty Grades ATTACHMENT 1: Counterparty Grades

ATTACHMENT 1: Counterparty Grades

Grade	Standard & Poor’s	Moody’s	AM Best	Fitch
1	AAA	Aaa	A++	AAA
2	AA+AAAA-	Aa1Aa2Aa3	A+	AA+AAAA-
3	A+AA-	A1A2A3	AA-	A+AA-
4	BBB+BBBBBB-	Baa1Baa2Baa3	B++B+	BBB+BBBBBB-
5	BB+ or below	Ba1 or below	B or below	BB+ or below

Unrated assets or exposures should be classified as Grade 4.