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New version applies from 01/01/2020 — introduced by Commission Delegated Regulation (EU) 2019/981, Commission Delegated Regulation (EU) 2019/1865, Commission Delegated Regulation (EU) 2020/442. 98 provisions change. Later versions: 30/07/2020, 15/04/2021, 02/08/2022, 14/11/2024, 30/01/2027. Article 112b changes in this version: compare with the current text.

Article 112b - Simplified calculation of the capital requirement for counterparty default risk on type 1 exposures

Article 112b
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).

Official text · consolidated version 08/07/2019 (no longer in force) Open full page ↗
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