Instrument_LGD

The Instrument_LGD.csv file provides the DRC non-Sec Loss Given Default (LGD). It is loaded into the InstrumentToLGD store.

File format

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
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