+Article 26 Calculating K‐TCD

Article 26 Calculating K‐TCD

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 %

Credit institutions and investment firms

1,6 %

Other counterparties

8 %

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards