1. European
  2. Legislation (EU)
  3. EU Regulations
  4. 2015
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  1. Regulation 2015/35/EU - Solvency II Delegated Regulation
  2. Title I Valuation and risk-based capital requirements (pillar I), enhanced governance (pillar II) and increased transparency (pillar III) (arts. 1-327)
  3. Chapter V Solvency Capital Requirement Standard Formula (arts. 83-221)
  4. Section 6 Counterparty default risk module (arts. 189-202)
  5. Subsection 2 Type 1 exposures (arts. 199-201)
  6. Article 200 Type 1 exposures
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Version status: Entered into force | Document consolidation status: Updated to reflect all known changes
Version date: 18 January 2015 - onwards
  Version 2 of 2    

Article 200 Type 1 exposures

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 typ

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