General principles - Specific riskGeneral principles - Specific risk

General principles - Specific risk

1. Where the credit-event payment is defined as the par value of the reference obligation less its recovery value (i.e. the credit derivative is cash settled), an ADI must report for specific risk purposes the par value of the reference obligation. Where the credit-event payment is defined as a fixed amount, the ADI must report the fixed amount. Where there is payment of the par value of an obligation in exchange for its physical delivery, the ADI must report the par value of the obligation. In the latter two cases, the amount reported must reflect a position in the reference entity with maturity equal to the term to maturity of the credit derivative.