ECCB 2022-2023 Annual Report and Financial Statements

Eastern Caribbean Central Bank Notes to the Financial Statements For the year ended 31 March 2023 (Expressed in Eastern Caribbean dollars)

3. Financial risk management ( continued)

Credit risk ( continued)

b)

(i) Credit quality of financial assets

The credit quality of financial assets is managed by the Bank through external credit ratings used in ECL calculations. The table below shows internal and external grades used in ECL calculation.

Moody’s

S&P

Fitch Grade Description

Aaa Aa1 Aa2 Aa3

AAA AA+

AAA AA+

AA

AA

Investment Grade

AA-

AA-

A1 A2 A3

A+

A+

A

A

A-

A-

Baa1 Baa2 Baa3

BBB+ BBB+

BBB BBB-

BBB BBB-

Ba1 Ba2 Ba3

BB+

BB+

Standard Grade

BB

BB

BB-

BB-

B1 B2 B3

B+

B+

B

B

B-

B-

Caa1 Caa2 Caa3

CCC+ CCC CCC-

CCC

Low Grade

Ca

CC

CC

C

C

Default

C

D

D

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