art_39__para_2

2. The own funds requirement of the excess referred to in paragraph 1 shall be calculated in accordance with the following formula: where: OFRE = own funds requirement for the excess; OFR = own funds requirement of exposures to an individual client or groups of connected clients, calculated by adding together the own funds requirements of the exposures to the individual clients within the group, which shall be treated as a single exposure; EV = exposure value calculated in the manner laid down in Article 36; EVE = exposure value excess calculated in the manner laid down in Article 37(2). For the purpose of calculating K‐CON, the own funds requirements of exposures arising from the positive excess of an investment firm’s long positions over its short positions in all the trading book financial instruments issued by the client in question, the net position of each instrument calculated in accordance with the provisions referred to in points (a), (b) and (c) of Article 22 shall only include specific‐risk requirements. An investment firm that, for the purposes of the RtM K‐factor requirement, calculates own funds requirements for trading book positions in accordance with the approach specified in Article 23 shall calculate the own funds requirement of the exposure for the purposes of the concentration risk of those positions in accordance with the provisions referred to in point (a) of Article 22. Table 6 Column 1: Exposure value excess as a percentage of own funds | Column 2: Factors Up to 40 % | 200 % From 40 % to 60 % | 300 % From 60 % to 80 % | 400 % From 80 % to 100 % | 500 % From 100 % to 250 % | 600 % Over 250 % | 900 %

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.