4.2 HKMA Specific Input - Credit Quality Grade
Credit Quality Grade is one of the dimensions used in the LCR Rules and Business Assumptions and is computed per Capital Rules (Cap. 155. sub. leg. L) as issued by the HKMA. The grade is a reclassification of credit quality ratings into a number or a score based on the issuer type, the domicile, the Rating Agency, and so on.
The grade reclassification is done for ratings on Issuer, Guarantor, and Issue (Security).
- For Issuer and Guarantor, only Long term Ratings are considered and reclassified.
- For Security, both Long term and short-term ratings are reclassified. The following table illustrates the logic of reclassification, and displays the credit grade based on long-term ratings.
Table 3-1 Credit Grade Based on Long Term Ratings
| Standard Party Type (of Issuer or Guarantor) | Issuer Domicile | S&P Global Rating | Moody's Investor Service | Fitch Ratings | Rating and Investment Information Inc | Japan Credit Rating Agency Inc | Credit Analysis and Research ltd | CRISIL | ICRA | Credit Quality Grade (Processing) |
|---|---|---|---|---|---|---|---|---|---|---|
| Sovereign | AAA | Aaa | AAA | AAA | AAA | 1 | ||||
| AA+ | Aa1 | AA+ | AA+ | AA+ | ||||||
| AA | Aa2 | AA | AA | AA | ||||||
| AA- | Aa3 | AA- | AA- | AA- | ||||||
| Banks, Financial Institutions, Securities Firms | AAA | Aaa | AAA | AAA | AAA | |||||
| AA+ | Aa1 | AA+ | AA+ | AA+ | ||||||
| AA | Aa2 | AA | AA | AA | ||||||
| AA- | Aa3 | AA- | AA- | AA- | ||||||
| Corporates | Other than India | AAA | Aaa | AAA | AAA | AAA | ||||
| AA+ | Aa1 | AA+ | AA+ | AA+ | ||||||
| AA | Aa2 | AA | AA | AA | ||||||
| AA- | Aa3 | AA- | AA- | AA- | ||||||
| India | CARE AAA | CRISIL AAA | [ICRA] AAA | |||||||
| CARE AAA (Is) | IrAAA | |||||||||
| Sovereign | A+ | A1 | A+ | A+ | A+ | 2 | ||||
| A | A2 | A | A | A | ||||||
| A- | A3 | A- | A- | A- | ||||||
| Banks, Financial Institutions, Securities Firms | A+ | A1 | A+ | A+ | A+ | |||||
| A | A2 | A | A | A | ||||||
| A- | A3 | A- | A- | A- | ||||||
| Corporates | Other than India | A+ | A1 | A+ | A+ | A+ | ||||
| A | A2 | A | A | A | ||||||
| A- | A3 | A- | A- | A- | ||||||
| India | CARE AA+ | CRISIL AA+ | [ICRA]AA+ | |||||||
| CARE AA | CRISIL AA | [ICRA]AA | ||||||||
| CARE AA- | CRISIL AA- | [ICRA]AA- | ||||||||
| CARE AA+(Is) | IrAA+ | |||||||||
| CARE AA(Is) | IrAA | |||||||||
| CARE AA-(Is) | IrAA- | |||||||||
| Sovereign | BBB+ | Baa1 | BBB+ | BBB+ | BBB+ | 3 | ||||
| BBB | Baa2 | BBB | BBB | BBB | ||||||
| BBB- | Baa3 | BBB- | BBB- | BBB- | ||||||
| Banks, Financial Institutions, Securities Firms | BBB+ | Baa1 | BBB+ | BBB+ | BBB+ | |||||
| BBB | Baa2 | BBB | BBB | BBB | ||||||
| BBB- | Baa3 | BBB- | BBB- | BBB- | ||||||
| Corporates | Other than India | BBB+ | Baa1 | BBB+ | BBB+ | BBB+ | ||||
| BBB | Baa2 | BBB | BBB | BBB | ||||||
| BBB- | Baa3 | BBB- | BBB- | BBB- | ||||||
| Corporates | India | CARE A+ | CRISIL A+ | [ICRA]A+ | ||||||
| CARE A | CRISIL A | [ICRA]A | ||||||||
| CARE A- | CRISIL A- | [ICRA]A- | ||||||||
| CARE A+(Is) | IrA+ | |||||||||
| CARE A(Is) | IrA | |||||||||
| CARE A-(Is) | IrA- | |||||||||
| Sovereign | BB+ | Ba1 | BB+ | BB+ | BB+ | 4 | ||||
| BB | Ba2 | BB | BB | BB | ||||||
| BB- | Ba3 | BB- | BB- | BB- | ||||||
| Banks, Financial Institutions, Securities Firms | BB+ | Ba1 | BB+ | BB+ | BB+ | |||||
| BB | Ba2 | BB | BB | BB | ||||||
| BB- | Ba3 | BB- | BB- | BB- | ||||||
| B+ | B1 | B+ | B+ | B+ | ||||||
| B | B2 | B | B | B | ||||||
| B- | B3 | B- | B- | B- | ||||||
| Corporates | Other than India | BB+ | Ba1 | BB+ | BB+ | BB+ | ||||
| BB | Ba2 | BB | BB | BB | ||||||
| BB- | Ba3 | BB- | BB- | BB- | ||||||
| Corporates | India | CARE BBB+ | CRISIL BBB+ | [ICRA]BBB+ | ||||||
| CARE BBB | CRISIL BBB | [ICRA]BBB | ||||||||
| CARE BBB- | CRISIL BBB- | [ICRA]BBB- | ||||||||
| CARE BBB+(Is) | IrBBB+ | |||||||||
| CARE BBB(Is) | IrBBB | |||||||||
| CARE BBB-(Is) | IrBBB- | |||||||||
| Sovereign | B+ | B1 | B+ | B+ | B+ | 5 | ||||
| B | B2 | B | B | B | ||||||
| B- | B3 | B- | B- | B- | ||||||
| Banks, Financial Institutions, Securities Firms | CCC+ | Caa1 | CCC | CCC+ | CCC | |||||
| CCC | Caa2 | CC | CCC | CC | ||||||
| CCC- | Caa3 | C | CCC- | C | ||||||
| CC | Ca | D | CC | D | ||||||
| C | C | C | ||||||||
| D | D | |||||||||
| Corporates | Other than India | B+ | B1 | B+ | B+ | B+ | ||||
| B | B2 | B | B | B | ||||||
| B- | B3 | B- | B- | B- | ||||||
| CCC+ | Caa1 | CCC | CCC+ | CCC | ||||||
| CCC | Caa2 | CC | CCC | CC | ||||||
| CCC- | Caa3 | C | CCC- | C | ||||||
| CC | Ca | D | CC | D | ||||||
| C | C | C | ||||||||
| D | D | |||||||||
| Corporates | India | CARE BB+ | CRISIL BB+ | [ICRA] BB+ | ||||||
| CARE BB | CRISIL BB | [ICRA] BB | ||||||||
| CARE BB- | CRISIL BB- | [ICRA] BB- | ||||||||
| CARE B+ | CRISIL B+ | [ICRA] B+ | ||||||||
| CARE B | CRISIL B | [ICRA] B | ||||||||
| CARE B- | CRISIL B- | [ICRA] B- | ||||||||
| CARE C+ | CRISIL C+ | [ICRA] C+ | ||||||||
| CARE C | CRISIL C | [ICRA] C- | ||||||||
| CARE C- | CRISIL C- | [ICRA] D | ||||||||
| CARE D | CRISIL D | IrBB+ | ||||||||
| CARE BB+(Is) | IrBB | |||||||||
| CARE BB(Is) | IrBB- | |||||||||
| CARE BB-(Is) | IrB+ | |||||||||
| CARE B+ (Is) | IrB | |||||||||
| CARE B (Is) | IrB- | |||||||||
| CARE B-(Is) | IrC+ | |||||||||
| CARE C+ (Is) | IrC | |||||||||
| CARE C(Is) | IrC- | |||||||||
| CARE C-(Is) | ||||||||||
| CARE D (Is) | ||||||||||
| Sovereign | CCC+ | Caa1 | CCC | CCC+ | CCC | 6 | ||||
| CCC | Caa2 | CC | CCC | CC | ||||||
| CCC- | Caa3 | C | CCC- | C | ||||||
| CC | Ca | D | CC | D | ||||||
| C | C | C | ||||||||
| D | D |
Table 3-2 Credit Grade Based on Short Term Ratings
| Standard Party Type (of Issuer or Guarantor) | Issuer Domicile | S&P Global Rating | Moody's Investor Service | Fitch Ratings | Rating and Investment Information Inc | Japan Credit Rating Agency Inc | Credit Analysis and Research ltd | CRISIL | ICRA | Credit Quality Grade (Processing) |
|---|---|---|---|---|---|---|---|---|---|---|
| Banks, Financial Institutions, Securities Firms, Corporates | Other than India | A-1+ | P-1 | F-1+ | a-1+ | J-1+ | 1s | |||
| A-1 | F-1 | a-1 | J-1 | |||||||
| India | CARE A1+ | CRISIL A1+ | [ICRA]A1+ | |||||||
| Banks, Financial Institutions, Securities Firms, Corporates | Other than India | A-2 | P-2 | F2 | a-2 | J-2 | 2s | |||
| India | CARE A1 | CRISIL A1 | [ICRA]A1 | |||||||
| Banks, Financial Institutions, Securities Firms, Corporates | Other than India | A-3 | P-3 | F3 | a-3 | J-3 | 3s | |||
| India | CARE A2+ | CRISIL A2+ | [ICRA]A2+ | |||||||
| CARE A2 | CRISIL A2 | [ICRA]A2 | ||||||||
| Banks, Financial Institutions, Securities Firms, Corporates | Other than India | B | NP | B | b | NJ | 4s | |||
| B-1 | C | c | D | |||||||
| B-2 | D | |||||||||
| B-3 | ||||||||||
| C | ||||||||||
| D | ||||||||||
| India | CARE A3+ | CRISIL A3+ | [ICRA]A3+ | |||||||
| CARE A3 | CRISIL A3 | [ICRA]A3 | ||||||||
| Banks, Financial Institutions, Securities Firms, Corporates | India | CARE A4+ | CRISIL A4+ | [ICRA]A4+ | 5s | |||||
| CARE A4 | CRISIL A4 | [ICRA]A4 | ||||||||
| CARE D | CRISIL D | [ICRA]D |