Specific risk capital charge

specific risk capital charge

Specific risk capital charge

Incremental default and migration risk capital charge

INCREMENTAL DEFAULT AND MIGRATION RISK CAPITAL CHARGE

Specific risk own funds requirement

Own funds requirement = – min (0,PC-DE

Own funds requirement for securitisation instruments

Own funds requirement for securitisation instruments

Own funds requirement for the correlation trading portfolio

MPS Group: ECB notifies SREP own funds requirements for 2020

The institution shall multiply its overall gross position by 8 % in order to calculate its own funds requirement against specific risk.

In these situations, a specific risk own funds requirement shall not be applied to either side of the position.

The institution establishes an own funds requirement at the portfolio level that is specific to each scenario.

It shall sum its weighted positions resulting from the application of this Article regardless of whether they are long or short in order to calculate its own funds requirement against specific risk.

The scenario-specific own funds requirement at the portfolio level shall be calculated as a sum of the own funds requirements specific to the risk class for this scenario.

Total Pillar 1 capital requirement

substantially reduced minimum capital requirements;

Each institution must meet a capital requirement expressed as the higher of

Such losses will not be subject to the operational risk charge, as long as they continue to be treated as credit risk for the purposes of calculating minimum capital requirements.

Such losses shall not be subject to the operational risk charge, as long as they continue to be treated as credit risk for the purposes of calculating minimum capital requirements.