Processing LGD Data as Required for ECL Calculation

The processing table contains the number of buckets as per the cash flow buckets in the Cash flow table, rounded to the nearest multiple of the LGD term structure frequency. For example, if the account has cash flows till the 45th Monthly bucket and the LGD term structure has four yearly periods, the number of periods in the LGD processing table is rounded off to 48.

Note:

Unlike PD; LGD does not start from Zero percentage from the initial period.