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