Financial Sector (Collection of Data) (reporting standard) determination No. 6 of 2007 - MRS 140.0 - Investments - Direct Interest Rate Holdings
ATTACHMENT 1: Counterparty GradesATTACHMENT 1: Counterparty Grades
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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.