art_1__point_39__point_c__text_2

Directive 2009/111/EC of the European Parliament and of the Council of 16 September 2009 amending Directives 2006/48/EC, 2006/49/EC and 2007/64/EC as regards banks affiliated to central institutions, certain own funds items, large exposures, supervisory arrangements, and crisis management (Text with EEA relevance) · European Union

‘15. There is one hedging set for each issuer of a reference debt instrument that underlies a credit default swap. “Nth to default” basket credit default swaps shall be treated as follows: (a) the size of a risk position in a reference debt instrument in a basket underlying an “nth to default” credit default swap is the effective notional value of the reference debt instrument, multiplied by the modified duration of the “nth to default” derivative with respect to a change in the credit spread of the reference debt instrument; (b) there is one hedging set for each reference debt instrument in a basket underlying a given “nth to default” credit default swap; risk positions from different “nth to default” credit default swaps shall not be included in the same hedging set; (c) the CCR multiplier applicable to each hedging set created for one of the reference debt instruments of an “nth to default” derivative is 0,3 % for reference debt instruments that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3 and 0,6 % for other debt instruments.’;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.