Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 8 July 2019 - onwards
Article 112b Simplified calculation of the capital requirement for counterparty default risk on type 1 exposures
Where Article 88 is complied with and the standard deviation of the loss distribution of type 1 exposures, as determined in accordance with Article 200(4), is lower than or equal to 20 % of the total losses-given default on all type 1 exposures, insurance and reinsurance undertakings may calculate the capital requirement for counterparty default risk referred to in Article 200(1) as follows:
SCRdef,1 = 5 · σ
where σ denotes the standard deviation of the loss distribution of type 1 exposures as determined in accordance with Article 200(4).