Entire Section

  • PIB A4.6.18 PIB A4.6.18

    In cases where a Credit Derivative provides protection in relation to "nth to default" amongst a number of underlying obligations, an Authorised Firm must apply a percentage in accordance with PIB Rule A4.6.16 applicable to the obligation with the nth lowest credit quality determined by whether it is one that if incurred by the Authorised Firm would be a qualifying reference obligation for the purposes of PIB Rule A4.6.16(1)(a).

    Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB A4.6.18 Guidance

      Where the Credit Derivative is a first to default transaction, the appropriate percentage for the PFCE will be determined by the lowest credit quality of the underlying obligations in the basket. If there are nonqualifying items in the basket, the percentage applicable to the non-qualifying reference obligations should be used. For second and any subsequent default transactions, underlying assets should continue to be allocated according to credit quality: i.e. for a second to default transaction, the applicable percentage figure is the percentage applicable to the second lowest credit quality.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]