Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)
Article 200 Type 1 exposures
Geldend
1.
Where the standard deviation of the loss distribution of type 1 exposures is lower than or equal to 7 % of the total losses-given-default on all type 1 exposures, the capital requirement for counterparty default risk on type 1 exposures shall be equal to the following:
SCRdef,1 = 3 · σ
where σ denotes the standard deviation of the loss distribution of type 1 exposures, as defined in paragraph 4.
2.
Where the standard deviation of the loss distribution of type 1 exposures is higher than 7 % of the total losses-given-default on all type 1 exposures and lower or equal to 20 % of the total losses-given-default on all type 1 exposures, the capital requirement for counterparty default risk on type 1 exposures shall be equal to the following:
SCRdef,1 = 5 · σ
where σ denotes the standard deviation of the loss distribution of type 1 exposures.
3.
Where the standard deviation of the loss distribution of type 1 exposures is higher than 20 % of the total losses-given-default on all type 1 exposures, the capital requirement for counterparty default risk on type 1 exposures shall be equal to the total losses-given-default on all type 1 exposures.
4.
The standard deviation of the loss distribution of type 1 exposures shall be equal to the following:
where V denotes the variance of the loss distribution of type 1 exposures.