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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:
PU denotes the undertaking's share of the risk according to the terms of the pooling arrangement;
RRCE is equal to:
10 % if 60 % or more of the assets of the external counterparty are subject to collateral arrangements;
50 % otherwise;
BECE denotes the best estimate of the liability ceded to the external counterparty by the pooling arrangement as a whole;
ΔRMCE denotes the external counterparty's contribution to the risk-mitigating effect of the pooling arrangement on the underwriting risk of the undertaking;
Collateral denotes the risk-adjusted value of collateral held by the counterparty member of the pooling arrangement;
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.
Editorial Information
X1 Substituted by Corrigendum to Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Official Journal of the European Union L 12 of 17 January 2015).