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ID 957. Large exposure (Internal reference 407)
Calculating Incremental Capital Requirements Back

Relevant provisions

Annex VI , Table 1 of Directive 2006/49/EC

Question

With regard to the provisions contained in Annex VI and in particular the "excess over the limits" can you advise what the first band (200% factor) "up to 40%" should mean? Is it effectively 40% of own funds or 15% (i.e. 40% less the 25% limit)? For the avoidance of doubt, I've enclosed an example;

Own funds €100, => LE limit = €25
Total Exposure = €385, (banking book of €20 & trading book of €365)
First €5 of TB covered by LE Limit, => Excess of €360.

1st interpretation of limits:
€40(200%); €20(300%); €20(400%); €20(500%); €150(600%) & €110(900%)

or
2nd interpretation of limits:
€15(200%); €20(300%); €20(400%); €20(500%); €150(600%) & €135(900%)

Answer

no answer yet.

Date

Submitted on 22/09/2010

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Asset management
Capital Requirements Directives (CRD)
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