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Actuably

Non-Life Credit and Suretyship Net LGD

Calculate the Net Loss-Given-Default instantly.

€
%

Net Loss-Given-Default

€2 000 000

Gross LGD Factor Shock Impact

Shock charge
Retained value
ModuleShockPre-shockPost-shockCharge
Sum Insured-10%20 000 000 €18 000 000 €2 000 000 €
1Step 1

Gross LGD Before Recoverables

Gross LGD Before Recoverables=Sum Insured×LGD Factor\textit{Gross LGD Before Recoverables} = \textit{Sum Insured} \times \textit{LGD Factor}
2Step 2

Net Loss-Given-Default

Net Loss-Given-Default=max⁡(Gross LGD Before Recoverables−(Credit and Suretyship Risk Recognized Reinsurance Recoverables+Credit and Suretyship Risk Recognized SPV Recoverables),0)\textit{Net Loss-Given-Default} = \max(\textit{Gross LGD Before Recoverables} - \left(\textit{Credit and Suretyship Risk Recognized Reinsurance Recoverables} + \textit{Credit and Suretyship Risk Recognized SPV Recoverables}\right), 0)

Understand the Non-Life Credit and Suretyship Net LGD

Overview

This calculator determines the exposure-level net loss-given-default used to rank credit and suretyship exposures under Article 134(3).[1]

Input Terms

  • Sum Insured: gross sum insured for one credit or suretyship exposure.[1]
  • Credit and Suretyship Risk Recognized Reinsurance Recoverables: reinsurance recoverables recognized for the exposure under the Article 134 net loss-given-default basis.[1]
  • Credit and Suretyship Risk Recognized SPV Recoverables: special purpose vehicle recoverables recognized for the exposure under the Article 134 net loss-given-default basis.[1]
  • LGD Factor: prescribed loss-given-default factor applied to the gross sum insured.[1]

Technical Rationale

Article 134 focuses credit and suretyship catastrophe risk on the largest net loss-given-default exposures because the stress is concentration-driven rather than a broad attritional premium shock.[1] Reinsurance and special purpose vehicle recoverables matter at this stage because they determine which single-name exposures remain material after risk transfer.

This exposure-level calculation does not select the two largest exposures. It produces the net loss-given-default value needed to rank repeated credit and suretyship exposures under Article 134.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 134 (Credit and suretyship risk sub-module) - EIOPA

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.