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Counterparty Type 2 Aggregation

Calculate the Type 2 Capital Charge instantly.

€
€

Type 2 Capital Charge

€982 500

1Step 1

Current Receivables Charge

Current Receivables Charge=Current Receivables LGD×0.15\textit{Current Receivables Charge} = \textit{Current Receivables LGD} \times 0.15
2Step 2

Overdue Receivables Charge

Overdue Receivables Charge=Overdue Receivables LGD×0.9\textit{Overdue Receivables Charge} = \textit{Overdue Receivables LGD} \times 0.9
3Step 3

Aggregate LGD

Aggregate LGD=Current Receivables LGD+Overdue Receivables LGD\textit{Aggregate LGD} = \textit{Current Receivables LGD} + \textit{Overdue Receivables LGD}
4Step 4

Overdue LGD Share

Overdue LGD Share={0Aggregate LGD≤0100×Overdue Receivables LGDAggregate LGDAggregate LGD>0\textit{Overdue LGD Share} = \begin{cases}0 & \textit{Aggregate LGD} \le 0 \\ 100 \times \frac{\textit{Overdue Receivables LGD}}{\textit{Aggregate LGD}} & \textit{Aggregate LGD} > 0\end{cases}
5Step 5

Type 2 Capital Charge

Type 2 Capital Charge=Current Receivables Charge+Overdue Receivables Charge\textit{Type 2 Capital Charge} = \textit{Current Receivables Charge} + \textit{Overdue Receivables Charge}

Understand the Counterparty Type 2 Aggregation

Overview

This calculator isolates the Article 202 Type 2 aggregation step.[1] It converts prepared current and overdue Type 2 LGD buckets into the final Type 2 counterparty default capital charge.

Input Terms

  • Current Receivables LGD: Type 2 LGD for balances due for less than three months.
  • Overdue Receivables LGD: Type 2 LGD for balances due for more than three months.

Technical Rationale

The calculator applies the Article 202 factors to the two prepared buckets:

`Current Charge = 15% x Current LGD`

`Overdue Charge = 90% x Overdue LGD`

`SCRdef,2 = Current Charge + Overdue Charge`

Important Notes

  • This is an atomistic aggregation calculator. It does not classify receivable rows or validate receivable aging.
  • Use the Type 2 row charge calculator for single-row support and the parent Type 2 calculator for the full multi-row workflow.
  • The result feeds the counterparty risk aggregation calculator and S.25.01.01 standard-formula reporting support.[[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.