ECCB 2023-2024 Annual Report

Eastern Caribbean Central Bank Notes to the Financial Statements For the year ended 31 March 2024 (Expressed in Eastern Caribbean dollars) 3. Financial risk management ( continued) b) Credit risk ( continued) (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 AAA AA+ AA AA-

Fitch Grade Description

Aaa Aa1 Aa2 Aa3

AAA AA+ AA AA-

Investment Grade

A1 A2 A3

A+

A+

A

A

A-

A-

Baa1 Baa2 Baa3 Ba1 Ba2 Ba3

BBB+ BBB+

BBB BBB- BB+

BBB BBB- 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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