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.
Counterparty type | Risk factor |
Central governments, central banks and public sector entities | 1,6 % |
Credit institutions and investment firms | 1,6 % |
Other counterparties | 8 % |