Counterparty Type 1 Charge Selector

Overview

This calculator isolates the Article 200 Type 1 charge selector.^[1] It converts prepared Type 1 variance and total loss-given-default into the final Type 1 counterparty default capital charge.

Input Terms

• Type 1 Loss Variance: The prepared variance of the Type 1 loss distribution after Article 201 grouping and variance terms.
• Total Type 1 LGD: The prepared total loss-given-default across included Type 1 counterparties.

Technical Rationale

The calculator derives sigma as the square root of variance, compares sigma to total LGD, and applies the Article 200 banded charge logic:

`SCRdef,1 = 3 x sigma` when sigma is at or below 7% of total LGD.

`SCRdef,1 = 5 x sigma` when sigma is above 7% and at or below 20% of total LGD.

`SCRdef,1 = total LGD` when sigma is above 20% of total LGD.

Important Notes

• This is an atomistic selector, not the full Type 1 workflow. The variance and total LGD inputs must be traceable to Type 1 grouping and variance evidence.
• The parent Type 1 calculator remains the place where row inputs, grouping, variance, and charge selection are shown together.
• The result feeds Type 1 counterparty default risk and the counterparty risk aggregation calculator.[[ref: qrt-s2501]]