LGD Calculator - Loss Given Default

Your details

Choose whether you know the recovery rate or the loss severity directly. The other will be derived.
The total outstanding amount owed at the time of default, for example the full face value of a loan or bond.
USD
The percentage of the exposure you expect to recover through collateral liquidation, legal proceedings, or restructuring.
%
Turn on to also compute ECL = EAD x PD x LGD, the Basel III expected loss figure used for loan-loss provisioning.
Annual probability that the borrower defaults, typically derived from internal credit rating models or public rating agency tables.
%
Collateral type affects typical recovery rates. This field is informational and updates the reference table but does not change the computed LGD - use your own recovery rate.
LGD (loss severity)Moderate loss severity
40%

Fraction of the exposure expected to be lost on default

LGD Amount400,000USD
Recovery Rate0.6%
Recovery Amount600,000USD
Expected Credit Loss (ECL)20,000USD
ECL as % of Exposure0.02%
40% %
Low<20%Moderate20%-45%High45%-70%Very High70%+
Expected Loss400,000
Recovery600,000

LGD is 40.0%, a moderate loss severity for this exposure.

  • On an exposure of $1,000,000, a 40.0% LGD implies an expected loss of $400,000 and a recovery of $600,000.
  • Unsecured debt typically carries the highest LGD, commonly 45-75% under Basel II Foundation IRB for corporate exposures.
  • Expected Credit Loss at a 5.00% PD is $20,000, the amount a lender would need to provision under IFRS 9 or CECL accounting standards.

Next stepPair LGD with Probability of Default (PD) and Exposure at Default (EAD) to compute the full Expected Credit Loss used in Basel III regulatory capital and IFRS 9 provisioning models.

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