Document ID: chunk:federal_register_of_legislation:F2024L01073:front:0:p26
Version: federal_register_of_legislation:F2024L01073
Segment Type: other
Provision Reference: 
Character Range: 70382–71510

multiple credit rating grades, an ADI must apply the following requirements:
         1.           where there are two ratings that correspond to different credit rating grades, the credit rating grade that corresponds to the higher risk weight must be used; or
         2.           where there are three or more ratings that correspond to different credit rating grades, the credit rating grades corresponding to the two lowest risk weights must be referred to and the higher of those two risk weights must be used.

Domestic and foreign currency exposures
 1.              An ADI must not use an ECAI rating that refers to an exposure denominated in a particular currency to derive the credit rating grade for another exposure to the same counterparty if that exposure is denominated in another currency.

Mapping of credit rating grades
 1.              Where the ECAI is S&P Global Ratings, Moody's or Fitch Ratings, ratings must be mapped in accordance with Table 21 and Table 22.

 1.         Recognised long-term ratings and equivalent credit rating grades
Credit rating grade  S&P Global Ratings  Moody's  Fitch Ratings