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How to calculate K-AUM, K-CMH, K-ASA, K-COH and K-DTF

Factsheet

The details for calculating the K-factor requirements must be entered in tabs I 06.01 to I 06.13. Class 2 investment funds must include these in the IFREP reports on a quarterly basis. Below, we outline the correct calculation and reporting methods and provide a detailed example.

Published: 04 July 2024

This concerns the following tabs in the IFREP report:

You can swipe the table to see more columns.
K-Factor Tabs
K-AUM (assets under management) I 06.01, I 06.02
K-CMH (client money held) I 06.03, I 06.04
K-ASA (assets safeguarded and administered) I 06.05, I 06.06
K-COH (client orders handled) I 06.07, I 06.08
K-DTF (daily trading flow) I 06.12, I 06.13

When calculating the K-factor requirement and completing these tabs, please note the following two points:

  1. The detail tabs (I 06.02, I 06.04, I 06.06, I 06.08 and I 06.13) have a one-month lag. This is because we count back from the first working day of the reporting month.

  2. The tabs in which the moving average is calculated (I 06.01, I 06.03, I 06.05, I 06.07 and I 06.12) must be adjusted for the number of working days in a month.

Below, we include an example K-COH calculation to clarify these points: a Q1 report with reference date 31 March 2024. Please note that the same method applies to the other K-factors.

Example: K-COH calculation for Q1 2024 report

Timeline:

You can swipe the table to see more columns.

Month
t

Month
t-1
Month
t-2
Month
t-3
Month
t-4
Month
t-5
Month
t-6
Month
t-7
March
2024
February
2024
January
2024
December
2023
November
2023
October
2023
September
2024
August
2024
IFRIFD berekenen

This means a Q1 report with reference date 31 March 2024 counts backwards from 1 March 2024, as shown in the diagram above. Therefore the amount that must be entered in I 06.08 at month t-3 is the COH on 1 December 2023, etc. However, the values that must be entered on I 06.07 at month t (March 2024) are the weighted averages, taking into account the number of working days in the months for which the moving average is calculated.

Example calculation with figures

Below is a specific example for the K-COH for March 2024. The following fictitious data are relevant:

  • I 06.08 (COH, on 1 December 2023): €20,000
  • I 06.08 (COH, on 1 November 2023): €30,000
  • I 06.08 (COH, on 2 October 2023): €40,000

These months had the following number of working days:

  • 19 working days in December 2023 (31 calendar days)
  • 22 working days in November 2023 (30 calendar days)
  • 22 working days in October 2023 (31 calendar days)

The weighted moving average for month t (March 2024) is calculated as follows:

IFRIFD berekenen EN 02

Therefore:

IFRIFD berekenen EN 03

This amount must be entered in tab I 06.07 for month t. The same value must be entered in tab I 04.00, column 0010, row 0070 or 0080, depending on whether cash instruments or derivatives are involved. The K-factor requirement is then calculated by multiplying this amount by the corresponding coefficient (0.1% for cash instruments and 0.01% for derivatives) and must be reported in column 0020 in the same tab and line.