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Payment Commitment Nominal Estimator

Calculate the Payment Commitment Loss Given Default instantly.

€
€
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Payment Commitment Loss Given Default

€15 000 000

1Step 1

Selected Nominal Value

Selected Nominal Value=Explicit Nominal Value×Explicit Nominal Available (0/1)+Estimated Maximum Credit-Event Payment×1−Explicit Nominal Available (0/1)\textit{Selected Nominal Value} = \textit{Explicit Nominal Value} \times \textit{Explicit Nominal Available (0/1)} + \textit{Estimated Maximum Credit-Event Payment} \times 1 - \textit{Explicit Nominal Available (0/1)}
2Step 2

LGD Nominal Value

LGD Nominal Value=Selected Nominal Value×Legally Binding Commitment (0/1)\textit{LGD Nominal Value} = \textit{Selected Nominal Value} \times \textit{Legally Binding Commitment (0/1)}
3Step 3

Payment Commitment Loss Given Default

Payment Commitment Loss Given Default=LGD Nominal Value×LGD Factor\textit{Payment Commitment Loss Given Default} = \textit{LGD Nominal Value} \times \textit{LGD Factor}
4Step 4

Estimation Used Flag (0/1)

Estimation Used Flag (0/1)=Legally Binding Commitment (0/1)×1−Explicit Nominal Available (0/1)\textit{Estimation Used Flag (0/1)} = \textit{Legally Binding Commitment (0/1)} \times 1 - \textit{Explicit Nominal Available (0/1)}
5Step 5

Payment Commitment Governance Gate Flag (0/1)

Payment Commitment Governance Gate Flag (0/1)=min⁡(Legally Binding Commitment (0/1),Credit-Event Estimate Evidence Available (0/1))\textit{Payment Commitment Governance Gate Flag (0/1)} = \min(\textit{Legally Binding Commitment (0/1)}, \textit{Credit-Event Estimate Evidence Available (0/1)})
6Step 6

Payment Commitment Governance Breach Flag (0/1)

Payment Commitment Governance Breach Flag (0/1)=1−Payment Commitment Governance Gate Flag (0/1)\textit{Payment Commitment Governance Breach Flag (0/1)} = 1 - \textit{Payment Commitment Governance Gate Flag (0/1)}

Understand the Payment Commitment Nominal Estimator

Overview

This calculator implements the EIOPA 2026 counterparty preprocessing control for legally binding commitments that may create payment obligations but do not state an explicit nominal value.[1] It derives the nominal loss-given-default base from the maximum expected payment in case of a counterparty credit event.

Input Terms

  • Legally Binding Commitment Flag: Identifies whether the commitment can create a payment obligation.
  • Explicit Nominal Available Flag / Value: Uses the stated nominal amount where available.
  • Estimated Maximum Credit-Event Payment: Fallback nominal basis where the commitment has no explicit nominal amount.
  • LGD Factor: Scenario parameter used to convert the selected nominal value into a loss-given-default amount.

Technical Rationale

EIOPA Guideline 5 requires undertakings to determine the loss-given-default for legally binding commitments without an explicit nominal value using an estimated nominal value. The estimated nominal value is the maximum amount expected to be paid in case of a counterparty credit event. This calculator prepares that LGD base for the counterparty default risk module.

Important Notes

  • Latest EIOPA update: This page reflects the revised EIOPA Guidelines on market and counterparty risk exposures published on 13 February 2026.
  • Atomistic output: The primary output is the payment-commitment LGD, not the full Type 1 or Type 2 counterparty SCR.
  • No zero-by-omission: A missing explicit nominal does not justify a zero exposure when the commitment is legally binding.
  • Downstream handoff: Feed the LGD output into the appropriate counterparty default exposure path.

Sources

  1. EIOPA 2026 Guidelines on market and counterparty risk exposures - 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.