A bank extended a line of credit of 165 USD to company Z. The company has drawn 79 USD. The company is assumed to have a usage given default rate of 0.547 (in percent). Further, companies with similar credit ratings are known to have a probability of default of 0.311 (in percent). The recovery rate, in case of corporate default, is estimated at 0.623 (in percent) of total asset value. The variances observed in the values of the loss given default is 0.282 (in percent) and in the value of the probability of default is 0.123 (in percent), respectively. How much capital reserve must the bank have to cover any unexpected loss? (use 4 decimal points).

EAD = L_drawn + L_undrawn * UGD, LGD = 1 - RR, UL = EAD * SQRT (PD*_LDG² + LGD²* _PD²).