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Instrument_LGD
The Instrument_LGD.csv file provides the DRC non-Sec Loss Given Default (LGD). It is loaded into the InstrumentToLGD store.
| Field name |
Description |
| Instrument |
The instrument type |
| LGD |
The LGD for the instrument type |
| Date |
The start date that the parameter takes effect |
| ParameterSet |
The parameter set to which the parameter belongs (default = BCBS) |
File values
| Instrument |
LGD |
Date |
ParameterSet |
| equity |
1 |
2016-01-01 |
|
| junior debt |
1 |
2016-01-01 |
|
| senior debt |
0.75 |
2016-01-01 |
|
| covered bond |
0.25 |
2016-01-01 |
|
| unlinked |
0 |
2016-01-01 |
|