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Capital Requirements Regulation (CRR)
Article 397

Article 397 — Calculating additional own funds requirements for large exposures in the trading book

  1. The excess referred to in Article 395(5)(b) shall be calculated by selecting those components of the total trading exposure to the client or group of connected clients in question which attract the highest specific-risk requirements in Part Three, Title IV, Chapter 2 and/or requirements in Article 299 and Part Three, Title V, the sum of which equals the amount of the excess referred to in point (a) of Article 395(5).
  2. Where the excess has not persisted for more than 10 days, the additional capital requirement shall be 200 % of the requirements referred to in paragraph 1, on these components.
  3. As from 10 days after the excess has occurred, the components of the excess, selected in accordance with paragraph 1, shall be allocated to the appropriate line in Column 1 of Table 1 in ascending order of specific-risk requirements in Part Three, Title IV, Chapter 2 and/or requirements in Article 299 and Part Three, Title V. The additional own funds requirement shall be equal to the sum of the specific-risk requirements in Part Three, Title IV, Chapter 2 and/or the Article 299 and Part Three, Title V requirements on these components, multiplied by the corresponding factor in Column 2 of Table 1.
    Table 1

    Column 1: Excess over the limits

    (on the basis of a percentage of eligible capital)

    Column 2: Factors
    Up to 40 %200 %
    From 40 % to 60 %300 %
    From 60 % to 80 %400 %
    From 80 % to 100 %500 %
    From 100 % to 250 %600 %
    Over 250 %900 %