Back Custom print Link Text Only Rich Text Print

  • Second-to-default Credit Derivatives

    • CA-4.7.4

      In the case where the second default among the assets within the basket triggers the credit protection, the conventional bank licensee obtaining credit protection through such a product will only be able to recognise any capital relief if first-default-protection has also be obtained or when one of the assets within the basket has already defaulted.

      January 2015

    • CA-4.7.5

      For conventional bank licensees providing credit protection through such a product, the capital treatment is the same as in Paragraph CA-4.7.3 above with one exception. The exception is that, in aggregating the risk weights, the asset with the lowest risk weighted amount can be excluded from the calculation.

      January 2015