A regulatory analyst at a large bank is preparing a report of the bank's credit risk capital for the current year and uses the Basel II IRB approach for making the calculation. As part of this process, the analyst identifies a portfolio of credit exposures of equal size that are held by borrowers with the same probability of default. The analyst has collected the following information about the portfolio:

| Exposure at default | EUR 200 million |

|-----------------------------------------|-----------------|

| 1-year expected loss on the portfolio | EUR 4.2 million |

| Expected recovery rate on a defaulted credit | 30.00% |

| 1-year portfolio default rate at the 95th percentile | 5.66% |

| 1-year portfolio default rate at the 99.9th percentile | 9.87% |

What is the correct estimate of the Basel II credit risk capital that the bank should reserve for this portfolio?