1. For pool exposures of type A 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 in accordance with Article 192. For pool exposures of type A 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 calculated in accordance with Article 192 shall be multiplied by the risk-share factor, calculated as follows:
\mathrm{risk\text{-}share\text{-}factor} = \mathrm{e}^{-0.15(\min(\mathrm{SR}, 196\%) - 1)}
where:
;
idenotes all pool members falling within the scope defined in Article 2 of Directive 2009/138/EC andjdenotes all pool members excluded from the scope of Article 2 of that Directive;
;
Pjdenotes the share of the total risk of the pooling arrangement undertaken by pool memberj;
for pool members for which a credit assessment by a nominated ECAI is available,SRiandSRjshall be assigned in accordance with the following table:Credit quality step0123456SRi196 %196 %175 %122 %95 %75 %75 %
for pool members which fall within the scope of Directive 2009/138/EC and for which a credit assessment by a nominated ECAI is not available,SRiandSRjshall be the latest available solvency ratio;
for pool members situated in a third country and for which a credit assessment by a nominated ECAI is not available:(i)SRiandSRjshall be equal to 100 % where the pool member is situated in a country whose solvency regime is deemed equivalent pursuant to Article 172 of Directive 2009/138/EC;(ii)SRiandSRjshall be equal to 75 % where the pool member is situated in a country whose solvency regime is not deemed equivalent pursuant to Article 172 of Directive 2009/138/EC.
SRiandSRjshall be equal to 100 % where the pool member is situated in a country whose solvency regime is deemed equivalent pursuant to Article 172 of Directive 2009/138/EC;
SRiandSRjshall be equal to 75 % where the pool member is situated in a country whose solvency regime is not deemed equivalent pursuant to Article 172 of Directive 2009/138/EC.
Credit quality step | 0 | 1 | 2 | 3 | 4 | 5 | 6 |
SRi | 196 % | 196 % | 175 % | 122 % | 95 % | 75 % | 75 % |
\mathrm{SR} = (1 - \mathrm{P}) \cdot \frac{\sum_{i} \mathrm{EOF}_i}{\sum_{i} (\mathrm{EOF}_i/\mathrm{SR}_i)} + \sum_{j} \mathrm{P}_j \cdot \mathrm{SR}_j
P = \sum_{j} P_{j}
2. Where the undertaking is ceding risk to a pooling arrangement by the intermediary of a central undertaking, the central undertaking shall be considered as part of the pooling arrangement and its share of the risk calculated accordingly.