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:
90 %
LGDreceivables>3months + 100 %
LGDdefaulted/forborne +
$$90\%$$\sum_{\mathrm{i}} \cdot15 \mathrm{LGD}_{\mathrm{receivables}>3\mathrm{months}} + \sum_{\mathrm{i}} 15\% \cdot\% \mathrm{LGD}_{\mathrm{i}}$$
where:
(a)LGD_{receivables>3months} denotedenotes the total losses-given-default on all receivables from intermediaries which have been due for more than three monthsmonths;
(b)(c) LGD_{i}LGD_{defaulted/forborne} denotes the loss-given-defaulttotal loss given default on theall typedefaulted 2and exposureforborne i.loans;
(c)(b) the sum is taken on all type 2 exposures other than receivables from intermediaries which have been due for more than three months;months, and other than defaulted and forborne loans;
(d)LGDi denotes the loss-given-default on the type 2 exposure i.