Calculation of the capital requirement for market risk concentration

1. The capital requirement for market risk concentration shall be equal to the following:

SCR conc= sqrt(sum i Conc^2 i)

where:

(a) the sum covers all single name exposures i;

(b) Conc i denotes the capital requirement for market risk concentration on a single name exposure i.

2. For each single name exposure i, the capital requirement for market risk concentration Conci shall be equal to the loss in the basic own funds that would result from an instantaneous decrease in the value of the assets corresponding to the single name exposure i equal to the following:

XS i * g i

where:

(a) XS i is the excess exposure referred to in Article 184;

(b) g i is the risk factor for market risk concentration referred to in Articles 186 and 187;