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%*LGD receivables>3months + sum i (15%*LGD 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) LGD i denotes the loss-given-default on the type 2 exposure i.