Commission Delegated Regulation (EU) 2015/35Show full title

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)

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)

ΔRM_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.