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New version applies from 18/01/2015. 360 provisions change. Later versions: 02/04/2016, 15/09/2017, 01/01/2019, 08/07/2019, 01/01/2020, 30/07/2020, 15/04/2021, 02/08/2022, 14/11/2024, 30/01/2027. Article 195 changes in this version: compare with the current text.

Article 195 - Loss-given-default for pool exposures of type C

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:

\mathrm{LGD} = \max (((1 - \mathrm{RR}_{\mathrm{CE}}) \cdot (\mathrm{P}_{\mathrm{U}} \cdot \mathrm{BE}_{\mathrm{CE}} + \Delta\mathrm{RM}_{\mathrm{CE}}) - \mathrm{F} \cdot \mathrm{Collateral}) ;0)

where:

(a)

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

(b)

RRCE 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)

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

(d)

ΔRMCE 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.

Official text · consolidated version 17/01/2015 (no longer in force) Open full page ↗
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