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Counterparty Type 2 Risk

Calculate the Counterparty Type 2 Risk instantly.

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€
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Counterparty Type 2 Risk

€982 500

Article 202 Factor Shock Impact

Shock charge
Retained value
ModuleShockPre-shockPost-shockCharge
Current Receivables LGD-15%1 750 000 €1 487 500 €262 500 €
Overdue Receivables LGD-90%800 000 €80 000 €720 000 €
1Step 1

Current Receivables Risk Amount

Current Receivables Risk Amount=Current Receivables LGD×Current Receivables Factor\textit{Current Receivables Risk Amount} = \textit{Current Receivables LGD} \times \textit{Current Receivables Factor}
2Step 2

Overdue Receivables Risk Amount

Overdue Receivables Risk Amount=Overdue Receivables LGD×Overdue Receivables Factor\textit{Overdue Receivables Risk Amount} = \textit{Overdue Receivables LGD} \times \textit{Overdue Receivables Factor}
3Step 3

Counterparty Type 2 Risk

Counterparty Type 2 Risk=Current Receivables Risk Amount+Overdue Receivables Risk Amount\textit{Counterparty Type 2 Risk} = \textit{Current Receivables Risk Amount} + \textit{Overdue Receivables Risk Amount}

Understand the Counterparty Type 2 Risk

Overview

This calculator isolates the Article 202 Counterparty Type 2 Risk calculation.[1] It converts prepared current and overdue Type 2 LGD buckets into the final Type 2 counterparty default capital requirement.

Input Terms

  • Current Receivables LGD: Type 2 LGD for balances due for less than three months.[1]
  • Current Receivables Factor: Article 202 factor applied to current Type 2 LGD at the prescribed 15% calibration.[1]
  • Overdue Receivables LGD: Type 2 LGD for balances due for more than three months.[1]
  • Overdue Receivables Factor: Article 202 factor applied to overdue Type 2 LGD at the prescribed 90% calibration.[1]

Technical Rationale

Article 202 treats Type 2 exposures as short-term receivable-style default risk, where aging is a practical indicator of credit deterioration.[1] Current and overdue balances are kept in separate buckets because an amount overdue by more than three months carries a materially different default signal from a current balance.

Article 202 expects loss-given-default amounts after exposure classification, receivable aging, and eligible mitigation have been evidenced. The legal distinction between current and overdue buckets remains visible because it is the driver of the prescribed 15% and 90% factors.

Important Notes

  • Receivable classification and aging validation remain part of the Article 202 evidence base.
  • Individual receivable LGD preparation and current-versus-overdue aggregation should remain traceable before the Article 202 amount is selected.
  • The prepared Type 2 amount supports S.25.01.01 standard-formula reporting where counterparty default risk is disclosed.[[ref: qrt-s2501]]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 202 (Type 2 exposures) - EIOPA
  2. Commission Implementing Regulation (EU) 2023/894 - QRT S.25.01.01 (SCR standard formula) - EUR-Lex

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.