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]