step up
Ciao,
non seguo piu' ma tra i documenti scaricati negli anni scorsi ho ritrovato questa vecchia definizione di step up.
Non ha nulla a che vedere con Basilea 3 ma e' probabilmente la regola in base alla quale sono stati considerati stup up o non step up i Tier 1 emessi da tempo.
Ci sono anche alcuni esempi a pagina 53
http://www.fsa.gov.uk/pubs/hb-releases/rel67/rel67genpru.pdf
Step-ups : limits on the amount of step ups on tier one and two capital
2.2.147 (1) A firm may not include in its tier one capital resources a tier
one instrument that is or may be subject to a step-up that does
not meet the definition of moderate in the press release of the
Basle Committee on Banking Supervision of 27th October 1998
called "Instruments eligible for inclusion in Tier 1 capital"
The effect of ■ GENPRU 2.2.147 R is that for inclusion in tier one capital resources, step-ups in instruments should be moderate.
A moderate step-up for these purposes is one which results in an increase over the initial rate that is no greater than the higher of the following two amounts:
(1) 100 basis points, less the swap spread between the initial index basis and the
stepped-up index basis; or
(2) 50% of the initial credit spread, less the swap spread between the initial index basis and the stepped-up index basis.