Article 26
Calculating K‐TCD
For the purpose of calculating K‐TCD, the own funds requirement shall be determined by the following formula:
Own funds requirement = α • EV • RF • CVA
where:
α = 1,2;
EV = the exposure value calculated in accordance with Article 27;
RF = the risk factor defined per counterparty type as set out in Table 2; and
CVA = the credit valuation adjustment calculated in accordance with Article 32.
Table 2
|
Counterparty type |
Risk factor |
|
Central governments, central banks and public sector entities |
1,6 % |
|
1,6 % |
|
|
Other counterparties |
8 % |