18.

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

The CCR multipliers (CCRM) for the different hedging set categories are set out in Table 5 below: Table 5 Hedging set categories CCRM 1. Interest Rates 0,2 % 2. Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1,60 %, or less, applies under Table 1 of Annex I to Directive 2006/49/EC 0,3 % 3. Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1,60 % applies under Table 1 of Annex I to Directive 2006/49/EC 0,6 % 4. Exchange Rates 2,5 % 5. Electric Power 4 % 6. Gold 5 % 7.. Equity 7 % 8. Precious Metals (except gold) 8,5 % 9. Other Commodities (excluding precious metals and electricity power) 10 % 10. Underlying instruments of OTC derivatives that are not in any of the above categories 10 % Underlying instruments of OTC derivatives, as referred to in point 10 of Table 5, shall be assigned to separate individual hedging sets for each category of underlying instrument.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.