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:
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;
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.