Article 282 › 2

There shall be one hedging set for each issuer of a reference debt instrument that underlies a credit default swap. N-th 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 n-th to default credit default swap shall be the effective notional value of the reference debt instrument, multiplied by the modified duration of the n-th to default derivative with respect to a change in the credit spread of the reference debt instrument; (b) there shall be one hedging set for each reference debt instrument in a basket underlying a given ‧nth to default‧ credit default swap. Risk positions from different n-th 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 n-th to default derivative shall be as follows: (i) 0,3 % for reference debt instruments that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3; (ii) 0,6 % for other debt instruments.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04