Data Dictionary
Item Number G086
LOSS GIVEN DEFAULT (LGD) AFTER CONSIDERATION OF CREDIT RISK MITIGANTS (PERCENT)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CREDG086 | 2009-12-31 | 9999-12-31 | Yes | FR Y-14Q |
| SNARG086 | 2008-09-30 | 9999-12-31 | Yes | |
| SNPRG086 | 2008-09-30 | 9999-12-31 | Yes |
Data Description:
FFIEC 101 Advanced Risk-Based Capital Standards- Preamble and Final Rule Definition. CORRESPONDS TO AACH J035 ON FFIEC 101
Basel II Advanced IRB parameter estimate: LGD. This is only required for banks that have already entered parallel run. It is optional for all others.
Loss given default (LGD) means:
The greatest of:
(i) Zero;
(ii) The [bank]'s empirically based best estimate of the long-run default-weighted average economic loss, per dollar of EAD, the [bank] would expect to incur if the obligor (or a typical obligor in the loss severity grade assigned by the [bank] to the exposure) were to default within a one-year horizon over a mix of economic conditions, including economic downturn conditions; or
(iii) The [bank]'s empirically based best estimate of the economic loss, per dollar of EAD, the [bank] would expect to incur if the obligor (or a typical obligor in the loss severity grade assigned by the [bank] to the exposure) were to default within a one-year horizon during economic downturn conditions.