GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.


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GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).

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GCD’s library gives access to wide variety of publications on risk related topics. Global Credit Data members work together to analyse the data and discuss methodology issues. GCD has published numerous papers and is actively promoting academic research on the data collected.

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Members not only benefit from exclusive rights and access to credit databases and analytics, but also from knowledge and research facilitation possible via the unique industry association.

Through a variety of forums such as workshops, webinars and surveys, GCD is an active industry participant facilitating the discussion in key strategic areas.

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Global Credit Data collects raw data from its members and distributes it back to them for use in their own analysis and modelling. GCD supports its members by providing a flexible high-end tool on the data pool: the GCD Visual Analyzer. Member banks can create dynamic Reference Data Sets and generate instant views on the data.

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LGD Report Large Corporates 2020


This Loss Given Default (LGD) report covers a reference data set of 11,572 defaulted borrowers and 19,805 facilities from 58 lenders worldwide. The data set is specific to large corporate borrowers, defined by their sales or assets being above €50m. Results confirm that historical bank recoveries average 76%, equivalent to an overall average LGD of 24%. More than 10 years after the global financial crisis of 2008-2009, the data contains the bulk of complete account of crises related losses and demonstrate that LGD is affected by and aligned with macroeconomic conditions during the workout period following default.

The analyses in this study offer an overall insight into LGD data on a global level and confirm the drivers, their direction and their levels shown in the 2019 and 2018 reports.

• Seniority and collateral are again confirmed as LGD drivers. Secured LGD is lower than unsecured LGD, particularly where a strong (primary) collateral is held. For unsecured LGD, seniority is confirmed as a driver – LGD is 26% for senior unsecured vs 38% for subordinated unsecured at obligor level. The total secured LGD is 22% and 20% for primary collateralized borrowers.
• After aggregating country-level data to regions, North America and Europe appear to have similar levels of LGD – 23% and 21% respectively.

The insights gained from these high-level analyses confirm the benefits of detailed and granular collection of post-default cash-flow data – critical for banks using data-driven credit risk modelling to understand and quantify LGD.