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:

LGD= max(((1-RR CE)* (P u * BE ce + delta RM ce) - F* Collateral);0)

where:

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

(b) RR ce 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) BE ce denotes the best estimate of the liability ceded to the external counterparty by the pooling arrangement as a whole;

(d) delta RM ce 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.