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- TITLE I > CHAPTER V > SECTION 6 > SUBSECTION 2
Article number: 200
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:
SCR def,1 = 3* sigma
where sigma 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:
SCR def,1= 5* sigma
where sigma 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:
sigma= sqrt(V)
where V denotes the variance of the loss distribution of type 1 exposures.
Metadata
RULEBOOK TOPIC: SUBSECTION 2 - Type 1 exposures
RULEBOOK CATEGORY: DELEGATED REGULATION (EU) 2015/35
Last update on: 09 Apr 2024