BIPRU 12 Annex 1 Mapping of credit assessments of ECAIs to credit quality steps
Credit Quality Step |
Fitch’s assessment |
Moody’s assessments |
S&P’s assessments |
DBRS’ assessments |
1 |
AAA to AA- |
Aaa to Aa3 |
AAA to AA- |
AAA to AAL |
2 |
A+ to A- |
A1 to A3 |
A+ to A- |
AH to AL |
3 |
BBB+ to BBB- |
Baa1 to Baa3 |
BBB+ to BBB- |
BBBH to BBBL |
4 |
BB+ to BB- |
Ba1 to Ba3 |
BB+ to BB- |
BBH to BBL |
5 |
B+ to B- |
B1 to B3 |
B+ to B- |
BH to BL |
6 |
CCC+ and below |
Caa1 and below |
CCC+ and below |
CCCH and below |