Commission Delegated Regulation (EU) 2015/35Show full title

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) (Text with EEA relevance)

Article 200U.K.Type 1 exposures

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:

where σ 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:

where σ 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:

where V denotes the variance of the loss distribution of type 1 exposures.