Berekening K-COH en K-DTF

DNB reports in its News section that the EBA has published a Q&A on the calculation of K-COH, relevant to K-DTF. Institutions must correctly report K-COH and K-DTF after calculating them.
For investment firms not qualifying as a ’small and non-interconnected investment firm,‘ their own capital requirement is built on K-factors from the IFR.
According to the recent EBA Q&A that clarified the applicable time period for calculating K-factor COH, also relevant to K-factor DTF, as per Article 20 of the IFR, K-COH’s COH should be calculated as the rolling average of the total daily processed client orders measured over each working day of the six previous months, excluding the three most recent months. K-COH is calculated on the first working day of the respective month. The DNB gives the example, on 30 June in a year, K-COH must consider the calculation as of 1 June, not 1 July.
The correct calculation considers the three most recent months from the first working day of the reference month. For a Q2 2023 report with a reference date of 30 June 2023 (calculating K-COH on 1 June 2023), the following periods are not included:
• 1 May 2023 – 31 May 2023 (monthly COH average calculated on 1 June 2023)
• 1 April 2023 – 30 April 2023 (monthly COH average calculated on 1 May 2023)
• 1 March 2023 – 31 March 2023 (monthly COH average calculated on 1 April 2023)
The following periods are included:
• 1 February 2023 – 28 February 2023 (monthly COH average calculated on 1 March 2023)
• 1 January 2023 – 31 January 2023 (monthly COH average calculated on 1 February 2023)
• 1 December 2022 – 31 December 2022 (monthly COH average calculated on 1 January 2023)
The same explanation regarding Article 20 of the IFR for K-COH applies to Article 33 of the IFR for K-DTF. The methodology for excluding the three most recent months and calculating the daily average of the trading volume of the preceding six months is identical. K-DTF should be calculated over the nine preceding months, excluding the three most recent months.
Institutions are expected to report this correctly on the IFREP tabs I06.07, I06.08, I06.12, and I06.13. The DNB expects accurate reporting for at least the third quarter of 2023.