Article 202U.K.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:
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.