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TITLE IU.K. [X1VALUATION AND RISK-BASED CAPITAL REQUIREMENTS (PILLAR I), ENHANCED GOVERNANCE (PILLAR II) AND INCREASED TRANSPARENCY (PILLAR III)]
CHAPTER VU.K. SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA
SECTION 6 U.K. Counterparty default risk module
Subsection 3 U.K. Type 2 exposures
Article 202U.K.Type 2 exposures
The capital requirement for counterparty default risk on type 2 exposures shall be equal to the loss in the basic own funds that would result from an instantaneous decrease in value of type 2 exposures by the following amount:
where:
LGDreceivables>3months denote the total losses-given-default on all receivables from intermediaries which have been due for more than three months
the sum is taken on all type 2 exposures other than receivables from intermediaries which have been due for more than three months;
LGDi denotes the loss-given-default on the type 2 exposure i.
Editorial Information
X1 Substituted by Corrigendum to Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 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) (Official Journal of the European Union L 12 of 17 January 2015).