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Non-Life Credit and Suretyship Risk

Calculate the Credit and Suretyship Risk Capital instantly.

€
€

Scenario Gross Sum

€6 000 000

Before correlation diversification

−

Correlation Adjustment

€1 757 359

−29.3% of standalone

Capital relief

=

Credit and Suretyship Capital

€4 242 641

After diversification

Credit and suretyship correlation build-up

Waterfall chart showing standalone component charges, correlation adjustment, and diversified result.
StepDeltaRunning
Default Scenario30000003000000
Recession Scenario30000006000000
Gross Sum60000006000000
Correlation Adjustment-1757359.31288071444242640.687119286
Credit and Suretyship Capital4242640.6871192864242640.687119286
Credit and suretyship scenario shares
Credit and suretyship scenario sharesShare of each segment in the total.Default Scenario50.0% · €3.0MRecessionScenario50.0% · €3.0M
ModuleShareAmount
Default Scenario50.0%€3.0M
Recession Scenario50.0%€3.0M

Credit and suretyship correlation matrix

1.000.00
Credit and suretyship correlation matrix
DEFDefault ScenarioRECRecession Scenario
DEFDefault Scenario
1.00
0.00
RECRecession Scenario
0.00
1.00
1Step 1

Aggregate default and recession scenario charges by square-root formula

SCRcredit=Default2+Recession2SCR_{credit}=\sqrt{Default^2+Recession^2}

Understand the Non-Life Credit and Suretyship Risk

Overview

This calculator implements the gross capital requirement for the Credit & Suretyship Catastrophe Risk sub-module within the Solvency II Non-Life Underwriting standard formula.[1] The Credit & Suretyship Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from an extreme, low-frequency 1-in-200 year default event.[2]

Input Terms

  • Loss Given Default (LGD) - Top Exposures: The calculated LGD for the undertaking's largest independent credit and bounding exposures.[1]
  • Specified Concentration Factor: The regulatory factor (e.g., 10% or more) representing the 1-in-200 year default severity for large-scale credit events.

Technical Rationale

The Credit & Suretyship Catastrophe Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. It captures the sensitivity of the undertaking’s basic own funds to a sudden increase in defaults across a concentrated portfolio of credit and suretyship obligations.

The calculation uses a scenario-based approach, summing the LGD for the two largest independent exposures (or more for certain segments). This ensure that the undertaking holds enough capital to absorb the simultaneous default of its most significant credit-driven counterparties. The final result represents the gross credit catastrophe component before diversification in Man-made Catastrophe Risk.

Important Notes

  • Concentration Risk: The requirement is highly sensitive to the undertaking's largest single-item exposures.
  • Gross vs. Net SCR: This calculator determines the standalone Non-Life Credit and Suretyship Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Non-Life Risk, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
  • Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.[3]
  • Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.[4]

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 134 (Credit and suretyship risk sub-module) - EIOPA
  2. Directive 2009/138/EC - Art. 101 (99.5% VaR / 1-in-200 calibration) - EIOPA
  3. Directive 2009/138/EC - Art. 37 (Capital add-on) - EIOPA
  4. 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.