Counterparty Type 2 Receivable Risk

Overview

Article 202 Type 2 default risk requires a receivable-level amount after eligible collateral or guarantees are netted from the gross receivable amount.^[1] The applicable factor depends on the selected current or overdue balance treatment.

Input Terms

• Gross Receivable Amount: The receivable balance before collateral or guarantee offset.^[1]
• Collateral / Guarantee Value: The eligible mitigation amount prepared for the receivable.^[2][3]
• Article 202 Factor: The selected factor, normally 15% for balances due for less than three months or 90% for balances due for more than three months.^[1]

Technical Rationale

Article 202 Type 2 risk is driven by receivable-style exposure after eligible mitigation and by the aging status of the balance.^[1] Receivable-level preparation keeps collateral or guarantee evidence close to the source balance before current and overdue amounts are assessed separately.

The receivable-level view keeps collateral or guarantee recognition visible before Article 202 aging buckets determine the applicable factor.

Important Notes

• Evidence over receivable aging, collateral eligibility, and balance-sheet source remains internal audit scope.
• The prepared receivable amount remains evidence for current and overdue bucket aggregation under Article 202.
• The prepared receivable amount supports Type 2 risk evidence and S.25.01.01 standard-formula reporting where counterparty default risk is disclosed.[[ref: qrt-s2501]]