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Counterparty Type 1 Row LGD

Calculate the Type 1 Row Loss Given Default instantly.

€
€

Type 1 Row LGD

€8 300 000

1Step 1

Recognized Collateral

Recognized Collateral=min⁡(Exposure at Default,Eligible Collateral Value×0.85)\textit{Recognized Collateral} = \min(\textit{Exposure at Default}, \textit{Eligible Collateral Value} \times 0.85)
2Step 2

Type 1 Row LGD

Type 1 Row LGD=max⁡(Exposure at Default−Recognized Collateral,0)\textit{Type 1 Row LGD} = \max(\textit{Exposure at Default} - \textit{Recognized Collateral}, 0)
3Step 3

Collateral Recognition Ratio

Collateral Recognition Ratio={0Eligible Collateral Value≤0100×Recognized CollateralEligible Collateral ValueEligible Collateral Value>0\textit{Collateral Recognition Ratio} = \begin{cases}0 & \textit{Eligible Collateral Value} \le 0 \\ 100 \times \frac{\textit{Recognized Collateral}}{\textit{Eligible Collateral Value}} & \textit{Eligible Collateral Value} > 0\end{cases}

Understand the Counterparty Type 1 Row LGD

Overview

This calculator isolates one Type 1 counterparty row's loss-given-default before the parent Type 1 calculator performs single-name grouping, variance, and Article 200 charge selection.[1][2]

Input Terms

  • Exposure at Default: The gross Type 1 exposure amount for the row.
  • Eligible Collateral Value: The collateral value prepared for the row before the standard 85% recognition factor used in this calculator path.

Technical Rationale

The calculator applies the row-level support step used by the Type 1 standard-formula workflow:

`Recognized Collateral = min(EAD, 85% x Collateral)`

`LGD = max(EAD - Recognized Collateral, 0)`

The result is a prepared row LGD that can be grouped by single-name counterparty before the Article 201 variance calculation.

Important Notes

  • This is an educational atomistic calculator. Evidence over collateral eligibility, legal enforceability, and basis risk remains internal audit scope.
  • Use the collateral/CRM calculator where the collateral recognition path needs more detailed eligibility and haircut controls.
  • The result feeds the Type 1 parent calculator and, downstream, S.25.01.01 standard-formula reporting support where Type 1 counterparty default risk is used.[[ref: qrt-s2501]]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 200 (Type 1 exposures) - EIOPA
  2. Delegated Regulation (EU) 2015/35 - Art. 201 (Variance of the loss distribution of type 1 exposures) - EIOPA
  3. 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.