PET - Plain English Taxonomy

Name: CounterpartyGradeAfterCollateralDimension
Label: Counterparty Grade After Collateral Dimension
TREF ID: DM735
Type: Predefined
Description:
This dimension categorises the long-term and short-term credit rating grades of the counterparty of collateral or guarantee as determined by various rating agencies. Long-term ratings. Rating Grade1: Standard & Poor's AAA; Moody's Aaa; AM Best Debt aaa; AM Best FSR A++; Fitch AAA;Rating Grade2: Standard & Poor's AA+, AA, AA-; Moody's Aa1, Aa2, Aa3; AM Best Debt aa+, aa, aa-; AM Best FSR A+; Fitch AA+, AA, AA-; Rating Grade3: Standard & Poor's A+, A, A-; Moody's A1, A2, A3; AM Best Debt a+, a, a-; AM Best FSR A, A-; Fitch A+, A, A-; Rating Grade4: Standard & Poor's BBB+, BBB, BBB-; Moody's Baa1, Baa2, Baa3; AM Best Debt bbb+, bbb, bbb-; AM Best FSR B++, B+; Fitch BBB+, BBB, BBB-; Rating Grade5: Standard & Poor's BB+, BB, BB- ; Moody's Ba1, Ba2, Ba3; AM Best Debt bb+, bb, bb-; AM Best FSR B, B-; Fitch BB+, BB, BB-; Rating Grade6: Standard & Poor's B+, B, B- ; Moody's B1, B2, B3; AM Best Debt b+, b, b-; AM Best FSR C++, C+, C, C-; Fitch B+, B, B-; Rating Grade7: Standard & Poor's Below B-; Moody's Below B3; AM Best Debt Below b-; AM Best FSR Below C-; Fitch CCC or Below; Short-term ratings. Rating Grade1: Standard & Poor's A+, AM Best AMB-1+; Fitch F1+; Rating Grade2: Standard & Poor's A1; Moody's P1; AM Best AMB-1; Fitch F1; Rating Grade3: Standard & Poor's A2; Moody's P2; AM Best AMB-2; Fitch F2; Rating Grade4: Standard & Poor's A3; Moody's P3; AM Best AMB-3; Fitch F3; Rating Grade6: Standard & Poor's B; Moody's NP Vulnerable; AM Best AMB-4; Fitch B; Rating Grade7: Standard & Poor's C; Moody's NP Currently Vulnerable; Fitch C;
Usage:

Dimension Members
Name Label TREF ID Description
Grade1 Rating Grade 1 DV3945
The counterparty in relation to the reported information has a rating grade of 1.
Grade1or2 Rating Grade 1 or 2 DV4794
The counterparty in relation to the reported information has a rating grade of 1 or 2.
Grade2 Rating Grade 2 DV3944
The counterparty in relation to the reported information has a rating grade of 2.
Grade3 Rating Grade 3 DV4795
The counterparty in relation to the reported information has a rating grade of 3.
Grade4 Rating Grade 4 DV3943
The counterparty in relation to the reported information has a rating grade of 4.
Grade4or5 Rating Grade 4 or 5 DV4798
The counterparty in relation to the reported information has a rating grade of 4 or 5.
Grade4orUnrated Rating Grade 4 or Unrated DV4796
The counterparty in relation to the reported information has a rating grade of 4 or is unrated.
Grade5 Rating Grade 5 DV3942
The counterparty in relation to the reported information has a rating grade of 5.
Grade6 Rating Grade 6 DV6131
The counterparty in relation to the reported information has a rating grade of 6.
Grade7 Rating Grade 7 DV6132
The counterparty in relation to the reported information has a rating grade of 7.
GradeFiveSixOrSeven Grade Five Six Or Seven DV6133
The counterparty in relation to the reported information has a rating grade of 5, 6 or 7.
GradeInvestment Investment DV3941
The counterparty in relation to the reported information has a credit rating of at least "investment grade" by an external credit assessment institution.
Other Other DV5466
Detailed in GPS 114
Unrated Unrated DV4797
The counterparty in relation to the reported information is unrated.