Instrument to LGD

File pattern match

The pattern match for the Instrument to LGD file is: **/Instrument_LGD*.csv

For information on the glob patterns used and how to customise them, see Note on glob file pattern matching

Field usage

Field

Field Type

Description

Instrument

Alphanumeric String

Must match the Trade Level file

LGD

Double, between 0 and 1

The represents the percentage of LGD

StartDate

Date ‘YYYY-MM-DD’

Indicates the start date for this property. Subsequent entries with later dates will apply an end to this date range.

ParameterSet

String

Specifies the parameter set to which the DRC non-Sec Default Risk Weight belongs.