[F1Article 112b U.K. 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:
SCR def ,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).]
Textual Amendments
F1 Inserted by Commission Delegated Regulation (EU) 2019/981 of 8 March 2019 amending Delegated Regulation (EU) 2015/35 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) (Text with EEA relevance).