About Lloyd's Losses on Deeply Discounted Securities
A Deeply Discounted Security has a discount or premium paid on redemption of the bond instead of interest over the life of the bond.
Recognising a deeply discounted security
The discount or premium must be capable of being more than 15% of the redemption price, or if smaller 0.5% of the redemption price for each year of the bond’s life. For example, a 10 year bond with a discount of 5% or more would be a discounted bond.