Authorised Firm may recognise the effects of Credit Risk mitigation of a Credit Derivative only if it is provided by any of the following entities:
(a) central government or
(c) International Organisations referred to in PIB Rule 4.12.9;
(e) banks and securities firms which qualify for inclusion in bank asset class; or
(f) any other entity that has a
Credit Quality Grade "3" or better.
Authorised Firm may recognise the effects of Credit Risk mitigation of only the following types of Credit Derivatives:
(a) credit default swaps;
(b) total return swaps;
credit linked notes which are cash funded; and
(d) instruments that are composed of, or are similar in economic substance, to one or more of the
Credit Derivatives in (a) to (c).
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]