Open on EUR-Lex ↗

Article 202 - Type 2 exposures

Article 202
Type 2 exposures

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.

Official text · consolidated version 02/04/2016 (no longer in force) Open full page ↗
10 queries · page built in 47 msInventory f82bbfa3