ITFA Releases Data-Driven Report Supporting Recalibration of LGD for Insured Exposures

In April 2024, at ITFA’s request, GCD had published a report on observed LGD on credit risk insured exposures as well as observed LGD on direct exposures to insurers. ITFA has now published in June 2025 a new report (the “ITFA Additional Report”) addressing EBA concerns and additional analysis to answer article 506 requirements. It is based on the GCD datasets and follows all EBA recommended guidelines.

The report demonstrates through two different methods that the own fund requirements for insured exposures under CRR3 are more than twice what the data tells us that they should be. This report is shared with European regulators and lawmakers.

We believe that the ITFA Additional Report provides the required data evidence to anchor a re-calibration of the LGD applicable to insured exposures. Based on this report, we believe that the prescribed LGD for insured exposures, when using Solvency II regulated insurers with a minimum external rating of A-, should be halved.

Click here to access the report.