Article 195
Loss-given-default for pool exposures of type C
For pool exposures of type C which the undertaking considers as separate single name exposures in accordance with Article 190(2), the loss-given-default shall be calculated as follows:
where:
(a)
PU denotes the undertaking's share of the risk according to the terms of the pooling arrangement;
(b)
RRCE is equal to:
(i)
10 % if 60 % or more of the assets of the external counterparty are subject to collateral arrangements;
(ii)
50 % otherwise;
(c)
BECE denotes the best estimate of the liability ceded to the external counterparty by the pooling arrangement as a whole;
(d)
ΔRMCE denotes the external counterparty's contribution to the risk-mitigating effect of the pooling arrangement on the underwriting risk of the undertaking;
(e)
Collateral denotes the risk-adjusted value of collateral held by the counterparty member of the pooling arrangement;
(f)
F denotes the factor to take into account the economic effect of the collateral held by the counterparty member, calculated in accordance with Article 197.