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\% \cdot \mathrm{LGD}_{\mathrm{receivables}>3\mathrm{months}} + \sum_{\mathrm{i}} 15\% \cdot \mathrm{LGD}_{\mathrm{i}}
where:
((a))
LGDreceivables>3months denote the total losses-given-default on all receivables from intermediaries which have been due for more than three months
((b))
the sum is taken on all type 2 exposures other than receivables from intermediaries which have been due for more than three months;
((c))
LGDi denotes the loss-given-default on the type 2 exposure i.