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 %