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:

$\mathrm{LGD}=\max \left(\left(\left(1-{\mathrm{RR}}_{\mathrm{CE}}\right)\times \left(P_U\times {\mathrm{BE}}_{\mathrm{CE}}+\Delta {\mathrm{RM}}_{\mathrm{CE}}\right)-F\times \mathrm{Collateral}\right)\mathrm{;0}\right)$

where:

1. (a)

   P_U denotes the undertaking's share of the risk according to the terms of the pooling arrangement;

2. (b)

   RR_CE is equal to:

   1. (i)

      10 % if 60 % or more of the assets of the external counterparty are subject to collateral arrangements;

   2. (ii)

      50 % otherwise;

3. (c)

   BE_CE denotes the best estimate of the liability ceded to the external counterparty by the pooling arrangement as a whole;

4. (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;

5. (e)

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

6. (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.