Loss-given-default for pool exposures of type B

1. For pool exposures of type B which the undertaking considers as separate single name exposures in accordance with Article 190(2), where members are each liable up to the full amount of the obligation covered by the pooling arrangement, the loss-given-default shall be calculated as follows:

LGD = max (((1- RRc) * ( Pu/(1- Pc) * BEc+ deltaRMc) - F*Collateral);0)

where:

(a) Pu denotes the undertaking's share of the risk according to the terms of the pooling arrangement;

(b) Pc denotes the counterparty member's share of the risk according to the terms of the pooling arrangement;

(c) RRc is equal to:

(i) 10 % if 60 % or more of the assets of the counterparty member are subject to collateral arrangements;

(ii) 50 % otherwise;

(d) BE c denotes the best estimate of the liability ceded to the counterparty member by the undertaking, net of any amounts reinsured with counterparties external to the pooling arrangement;

(e) delta RMc denotes the counterparty member's contribution to the risk-mitigating effect of the pooling arrangement on the underwriting risk of the undertaking;

(f) Collateral denotes the risk-adjusted value of collateral held by the counterparty member of the pooling arrangement;

(g) 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.

2. For pool exposures of type B which the undertaking considers as separate single name exposures in accordance with Article 190(2), where members are each only liable up to their respective portion of the obligation covered by the pooling arrangement, the loss-given-default shall be calculated as follows:

LGD= max(((1-RRc)*(Pc*BEu + delta RMc) - F* Collateral);0)

where:

(a) P c denotes the counterparty member's share of the risk according to the terms of the pooling arrangement;

(b) RR c is equal to:

(i) 10 % if 60 % or more of the assets of the counterparty member are subject to collateral arrangements;

(ii) 50 % otherwise;

(c) BE u denotes the best estimate of the liability ceded to the pooling arrangement by the undertaking, net of any amounts reinsured with counterparties external to the pooling arrangement;

(d) delta RM c denotes the counterparty member'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.