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Reinsurance Recoverables

Calculate the Net Reinsurance Recoverables instantly.

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€
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€
€
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€

Gross Recoverables

€38 500 000

=

Gross Best Estimate Claims

€110 000 000

×

Ceded Share

35.00%

Net Recoverables

€36 036 000

=

Gross Recoverables

€38 500 000

×

After Dispute Haircut

96.00%

×

After Default Haircut

97.50%

Net TP After Reinsurance

€113 964 000

=

Gross TP Before Reinsurance

€150 000 000

−

Net Recoverables

€36 036 000

Governance-Adjusted Recoverables

€36 036 000

=

Net Recoverables

€36 036 000

×

Governance Gate

Pass

Treaty Recoverable After Reinstatement

€27 000 000

Governance-Adjusted Net Recoverables

€36 036 000

DiagnosticValueStatusBasis
Treaty vs Share-Based Gap-€11 500 000amberTreaty recoverable after reinstatement compared with ceded-share recoverables.
Dispute-Adjusted Recoverables€36 960 000neutralShare-based recoverables after dispute haircut.
Expected Default Loss€924 000amberCounterparty default haircut applied to dispute-adjusted recoverables.
Recoverables to TP Ratio24.02%neutralNet recoverables divided by gross technical provisions before reinsurance.
BEL Consistency Gap€132 898 291amberGross technical provisions before reinsurance compared with the BEL reference.
Treaty Evidence FreshnessYesgreenTreaty evidence age must be within the configured maximum.
BEL Snapshot FreshnessYesgreenBEL reference snapshot age must be within the configured maximum.
Governance GateYesgreenRecoverables are recognized only when treaty and BEL evidence are both fresh.
1Step 1

Calculate gross share-based reinsurance recoverables

Recoverablesgross=GrossClaimsBE×CededShare\mathrm{Recoverables}_{gross} = \mathrm{GrossClaims}_{BE} \times \mathrm{CededShare}
2Step 2

Calculate treaty layer recoverable after reinstatement haircut

TreatyRecoverable=min⁡(max⁡(0,  Loss−Attachment),  Limit)×(1−hreinstatement)\mathrm{TreatyRecoverable} = \min(\max(0,\;Loss - Attachment),\;Limit) \times (1 - h_{reinstatement})
3Step 3

Apply dispute and counterparty default haircuts

NetRecoverables=Recoverablesgross(1−hdispute)(1−hdefault)\mathrm{NetRecoverables} = \mathrm{Recoverables}_{gross}(1-h_{dispute})(1-h_{default})
4Step 4

Recognize recoverables only when treaty and BEL evidence are current

Recoverablesgov=NetRecoverables×Gateevidence\mathrm{Recoverables}_{gov} = \mathrm{NetRecoverables} \times Gate_{evidence}

Understand the Reinsurance Recoverables

Overview

This calculator implements the Reinsurance Recoverables Calculator within the Solvency II valuation framework.[1] Reinsurance Recoverables are defined as the part of technical provisions that is expected to be recovered from insurance and reinsurance undertakings, net of the adjustment for counterparty default risk (LGD).

Input Terms

  • Gross Technical Provisions: The total value of insurance and reinsurance obligations before accounting for reinsurance.[1]
  • Ceded Share: The proportion of technical provisions transferred to reinsurers according to the treaty structure.
  • Default Adjustment (LGD): The prescribed deduction to recoverables based on the reinsurer's credit-default risk.

Technical Rationale

The Reinsurance Recoverables Calculator is a fundamental component of the undertaking’s technical provision valuation. It ensures that the undertaking’s Net Technical Provisions are representative of its true economic exposure after accounting for risk-mitigation.

The calculation multiplies the gross provisions by the ceded percentage and then subtracts the loss-given-default adjustment factors derived from the reinsurers' credit quality. This ensures that the undertaking can quantify the net liquidity and capital benefit provided by its reinsurance program. The results feed the Technical Provisions and Basic Own Funds views.

Important Notes

  • Default Correlation: The calculator assumes a diversified pool of reinsurers. For concentrated programs, additional Counterparty Default Risk capital should be held.
  • Reporting: The displayed result is intended to support the valuation and recoverables components feeding the S.02.01.01/S.02.01.02 balance-sheet templates and S.12.01.01/S.12.01.02 or S.17.01.01/S.17.01.02 technical-provision reporting views.[2][3][4]

Sources

  1. Directive 2009/138/EC - Art. 81 (Recoverables from reinsurance contracts and special purpose vehicles) - EIOPA
  2. Commission Implementing Regulation (EU) 2023/894 - QRT S.02.01.01/S.02.01.02 (Balance sheet) - EUR-Lex
  3. Commission Implementing Regulation (EU) 2023/894 - QRT S.12.01.01/S.12.01.02 (Life and Health SLT technical provisions) - EUR-Lex
  4. Commission Implementing Regulation (EU) 2023/894 - QRT S.17.01.01/S.17.01.02 (Non-life technical provisions) - 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.