3E8 Loss-Given-Default for Pool Exposures of Type C
1.
For pool exposures of type C which a firm is permitted to treat as separate single name exposures in accordance with 3E2.2, the firm must calculate the loss-given-default in accordance with the following formula:
where: | ||
(a) | PU denotes the firm's share of the risk according to the terms of the pooling arrangement; |
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(b) | RRCE is equal to: |
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(i) | 10% if 60% or more of the assets of the external counterparty member are subject to collateral arrangements; or | |
(ii) | 50% otherwise; | |
(c) | BECE denotes the best estimate of the liability ceded to 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 firm; |
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(e) | Collateral denotes the risk-adjusted value of collateral provided by way of collateral arrangement held by the counterparty member of the pooling arrangement; and |
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(f) | F denotes the factor to take into account the economic effect of the collateral provided by way of a collateral arrangement held by the counterparty member, calculated in accordance with 3E10. |
- 31/12/2024