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 +
\sum_{\mathrm{i}} 15 \% \mathrm{LGD}_{\mathrm{i}}
where:
LGDreceivables>3months denotes the total losses-given-default on all receivables from intermediaries which have been due for more than three months;
LGDdefaulted/forborne denotes the total loss given default on all defaulted and forborne loans;
the sum is taken on all type 2 exposures other than receivables from intermediaries which have been due for more than three months, and other than defaulted and forborne loans;
LGDi denotes the loss-given-default on the type 2 exposure i.