Entire Act

3. Counterparty Grades

3.1. Meaning of Counterparty Grade

(1) In this Schedule:

  1. (a) Counterparty Grade (or Grade) has the meaning given by subrule (2); and
  2. (b) Invested Asset means an asset, right or interest held by an Insurer for the primary purpose of generating revenue or for directly providing funds to meet the Insurer’s cash outflows in the future.

(2) For this Schedule, the Grade of an asset is its Grade according to the rating of its counterparty, in accordance with table A. Table A Grade of assets according to counterparty ratings

Table A Grade of assets according to counterparty ratings

Item

Rating of counterparty by:

Grade of asset

Standard & Poor’s

Moody’s

A. M. Best

Fitch


 

1

AAA

Aaa

A++

AAA

1

 

2

AA+

AA

AA-

Aa1

Aa2

Aa3

A+

AA+ AA

AA-

2

 

3

A+

A

A-

A1

A2

A3

A

A-

A+

A

A-

3

 

4

BBB+

BBB

BBB-

Baa1

Baa2

Baa3

B++

B+

BBB+

BBB-

4

 

5

BB+ or

below

Ba1 or

below

B or below

BB+ or below

5

 

(3) Unrated assets, exposures and counterparties must be classified as Grade 5.

3.2. Using different credit rating agencies

(1) An AIFC-Incorporated Insurer must rely on the ratings issued by the same credit rating agency for determining Counterparty Grades unless the AIFC-Incorporated Insurer has good reason to use a different credit rating agency or agencies.

(2) If a counterparty or debt obligation has been rated by more than 1 rating agency and there are 2 or more ratings that lead to different capital charges, the AIFC-Incorporated Insurer must use the credit rating that results in the highest capital charge.

(3) An AIFC-Incorporated Insurer must not use the rating of an agency that is not in table A unless the AIFC-Incorporated Insurer has the written permission of the AFSA.