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

This concerns the following tabs in the IFREP report:

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:

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:

Therefore:

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.