+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. Panoramica

,
Titolo Regolamentazione

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

Requisiti
Fonte Requisito

3. Standard correlati

Standard
Fonte Requisito