CTHRepealedLegislation
Life Insurance (prudential standard) determination No. 2 of 2018
Counterparty gradesCounterparty grades
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Counterparty grades
Assets subject to credit risk must be assigned a counterparty grade using one of the following methods:
(a) for publicly rated assets refer to paragraphs 2 and 3 of this Attachment;
(b) for non-publicly rated assets secured by a residential mortgage refer to paragraphs 7 to 11 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;
(c) assets other than those referred to in (a) and (b) may be rated using private external ratings or a life company’s own ratings, but only with the prior approval of APRA; or
(d) 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.
2. Publicly rated assets are assigned a counterparty grade based on the following tables. 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 | Standard & Poor’s | 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:390.85pt; margin-left:33.75pt; border:1pt solid #000000; border-collapse:collapse"><tbody><tr style="height:13.9pt"><td rowspan="2" style="width:38.85pt; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">Grade</span></p></td><td rowspan="2" style="width:57.25pt; border-right:1pt solid #000000; border-left:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">Standard & Poor’s</span></p></td><td rowspan="2" style="width:57.25pt; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">Moody’s</span></p></td><td colspan="2" style="width:57.25pt; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">AM Best</span></p></td><td rowspan="2" style="width:57.25pt; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">Fitch</span></p></td></tr><tr style="height:13.85pt"><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">Debt</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif; font-weight:bold">FSR</span><a id="_ftnref1"></a><a href="#_ftn1" style="text-decoration:none"><span class="FootnoteReference" style="font-family:'Times New Roman', serif; font-size:8pt; color:#000000">[1]</span></a></p></td></tr><tr style="height:7.85pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">1</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AAA</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Aaa</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">aaa</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A++</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AAA</span></p></td></tr><tr style="height:21.65pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">2</span></p></td><td style="width:57.25pt; border-top:0.75pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AA+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AA</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AA-</span></p></td><td style="width:57.25pt; border-top:0.75pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Aa1</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Aa2</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Aa3</span></p></td><td style="width:57.25pt; border-top:0.75pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">aa+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">aa</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">aa-</span></p></td><td style="width:57.25pt; border-top:0.75pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif"></span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A+</span></p></td><td style="width:57.25pt; border-top:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">AA+</span><br><span style="font-family:'Times New Roman', serif">AA</span><br><span style="font-family:'Times New Roman', serif">AA-</span></p></td></tr><tr style="height:21.65pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A1</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A2</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">a+</span><br><span style="font-family:'Times New Roman', serif">a</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">a-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif"></span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">A+</span><br><span style="font-family:'Times New Roman', serif">A</span><br><span style="font-family:'Times New Roman', serif">A-</span></p></td></tr><tr style="height:21.65pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">4</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BBB+</span><br><span style="font-family:'Times New Roman', serif">BBB</span><br><span style="font-family:'Times New Roman', serif">BBB-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Baa1</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Baa2</span><br><span style="font-family:'Times New Roman', serif">Baa3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">bbb+</span><br><span style="font-family:'Times New Roman', serif">bbb</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">bbb-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif"></span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B++</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B+</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BBB+</span><br><span style="font-family:'Times New Roman', serif">BBB</span><br><span style="font-family:'Times New Roman', serif">BBB-</span></p></td></tr><tr style="height:7.85pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">5</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Ba1</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Ba2</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Ba3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">bb+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">bb</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">bb-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif"></span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">BB-</span></p></td></tr><tr style="height:7.85pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">6</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B1</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B2</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">b+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">b</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">b-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">C++, C+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">C</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">C-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-bottom:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B+</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B</span></p><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">B-</span></p></td></tr><tr style="height:7.85pt"><td style="width:38.85pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:4.9pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">7</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; border-left:0.75pt solid #000000; padding-right:4.9pt; padding-left:5.03pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Below B-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Below B3</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Below b-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; border-right:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Below C-</span></p></td><td style="width:57.25pt; border-top:1pt solid #000000; padding-right:4.9pt; padding-left:5.4pt; vertical-align:top"><p style="text-align:center; font-size:12pt"><span style="font-family:'Times New Roman', serif">Below B-</span></p></td></tr></tbody></table>