6.3.1.5 LGD Term Structure Type Variable

To define a LGD Term Structure type of variable:

1. Select the variable sub type as PD Term Structure in the Variable Sub Type drop-down menu.
2. Select one of the value types listed.
   Select one of the following options:

   • Percentage
   • Ratio
3. Import or add a new definition to the variable.

   To import an existing definition click Yes. Else, click No.

   If you select Yes:

   1. Select a PDTS table from the Select PDTS Table drop-down menu.
   2. Select a PDTS ID from the Linked PDTS ID drop-down menu.

      A import success message with the selected transition ID is displayed.

   3. Click OK.

      LGDTS frequency unit, default probability, frequency and type values are prepopulated and displayed as read-only values.

   4. Select a PDTS type hierarchy from the Select PDTS Type Hierarchy drop-down menu.
   5. Provide a value in the PDTS Term Points field.

      The PDTS data source is also displayed as a read-only value.

   If you have selected No in the import definition, create a new definition.

   To create a new definition:

   1. Select a LGDTS table from the Select LGTDS Table drop-down menu.
   2. Select a frequency unit from the LGTDS Frequency Unit drop-down menu.
   3. Select probability type from the LGTDS Default Probability Type drop-down menu.
   4. Provide a frequency in the LGTDS Frequency field.
   5. Select a type from the LGTDS Type drop-down menu.

      The LGTDS type hierarchy value is prepopulated and displayed as a read-only value.

   6. Provide a term point in the LGTDS Term Points field.
   7. Provide a data source name in the LGTDS Data Source field.
   8. Select a logical reference from the Select Reference drop-down menu.