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Regulation (EU) 2019/2033 of the European Parliament and of the Council of 27 November 2019 on the prudential requirements of investment firms and amending Regulations (EU) No 1093/2010, (EU) No 575/2013, (EU) No 600/2014 and (EU) No 806/2014 (IFR) (Text with EEA relevance)RecitalsPart One General Provisions (arts. 1-8)Title I Subject matter, scope and definitions (arts. 1-4)Article 1 Subject matter and scopeArticle 2 Supervisory powersArticle 3 Application of stricter requirements by investment firmsArticle 4 DefinitionsTitle II Level of application of requirements (arts. 5-8)Chapter 1 Application of requirements on an individual basis (arts. 5-6)Article 5 General principleArticle 6 ExemptionsChapter 2 Prudential consolidation and exemptions for an investment firm group (arts. 7-8)Article 7 Prudential consolidationArticle 8 The group capital testPart Two Own funds (arts. 9-10)Article 9 Own funds compositionArticle 10 Qualifying holdings outside the financial sectorPart Three Capital requirements (arts. 11-34)Title I General requirements (arts. 11-14)Article 11 Own funds requirementsArticle 12 Small and non-interconnected investment firmsArticle 13 Fixed overheads requirementArticle 14 Permanent minimum capital requirementTitle II K-Factor requirement (arts. 15-34)Chapter 1 General principles (art. 15)Article 15 K-factor requirement and applicable coefficientsChapter 2 RtC K-factors (arts. 16-20)Article 16 RtC K-factor requirementArticle 17 Measuring AUM for the purpose of calculating K-AUMArticle 18 Measuring CMH for the purpose of calculating K-CMHArticle 19 Measuring ASA for the purpose of calculating K-ASAArticle 20 Measuring COH for the purpose of calculating K-COHChapter 3 RtM K-Factors (arts. 21-23)Article 21 RtM K-factor requirementArticle 22 Calculating K-NPRArticle 23 Calculating K-CMGChapter 4 RtF K-factors (arts. 24-33)Article 24 RtF K-factor requirementSection 1 Trading counter party default (arts. 25-32)Article 25 ScopeArticle 26 Calculating K-TCDArticle 27 Calculation of exposure valueArticle 28 Replacement cost (RC)Article 29 Potential future exposureArticle 30 CollateralArticle 31 NettingArticle 32 Credit valuation adjustmentSection 2 Daily trading flow (art. 33)Article 33 Measuring DTF for the purpose of calculating K-DTFChapter 5 Environmental and social objectives (art. 34)Article 34 Prudential treatment of assets exposed to activities associated with environmental or social objectivesPart Four Concentration risk (arts. 35-42)Article 35 Monitoring obligationArticle 36 Calculation of the exposure valueArticle 37 Limits with regard to concentration risk and exposure value excessArticle 38 Obligation to notifyArticle 39 Calculating K-CONArticle 40 Procedures to prevent investment firms from avoiding the K-CON own funds requirementArticle 41 ExclusionsArticle 42 Exemption for commodity and emission allowance dealersPart Five Liquidity (arts. 43-45)Article 43 Liquidity requirementArticle 44 Temporary reduction of the liquidity requirementArticle 45 Client guaranteesPart Six Disclosure by investment firms (arts. 46-53)Article 46 ScopeArticle 46a Accessibility of information on the European single access pointArticle 47 Risk management objectives and policiesArticle 48 GovernanceArticle 49 Own fundsArticle 50 Own funds requirementsArticle 51 Remuneration policy and practicesArticle 52 Investment policyArticle 53 Environmental, social and governance risksPart Seven Reporting by investment firms (arts. 54-55)Article 54 Reporting requirementsArticle 55 Reporting requirements for certain investment firms, including for the purposes of the thresholds referred to in Article 1(2) of this Regulation and in point (1)(b) of Article 4(1) of Regulation (EU) No 575/2013Part Eight Delegated acts (art. 56)Article 56 Exercise of the delegationPart Nine Transitional provisons, reports, reviews and amendments (arts. 57-64)Title I Transitional provisions (arts. 57-59)Article 57 Transitional provisionsArticle 58 Derogation for undertakings referred to in point (1)(b) of Article 4(1) of Regulation (EU) No 575/2013Article 59 Derogation for investment firms referred to in Article 1(2)Title II Reports and reviews (art. 60)Article 60 Review clauseTitle III Amendments to other regulations (arts. 61-64)Article 61 Amendment to Regulation (EU) No 1093/2010Article 62 Amendments to Regulation (EU) No 575/2013Article 63 Amendments to Regulation (EU) No 600/2014Article 64 Amendment to Regulation (EU) No 806/2014Part Ten Final provisions (arts. 65-66)Article 65 References to Regulation (EU) No 575/2013 in other Union legal actsArticle 66 Entry into force and date of applicationDone at
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AI Summary of Article 20 Measuring COH for the purpose of calculating K-COH

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Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 26 June 2021 - onwards
Version 3 of 3

Article 20 Measuring COH for the purpose of calculating K-COH

1. For the purpose of calculating K-COH, COH shall be the rolling average of the value of the total daily client orders handled, measured throughout each business day over the previous six months, excluding the three most recent months.

 COH shall be the arithmetic mean of the daily values from the remaining three months.

 K-COH shall be calculated on the first business day of each month.

2. COH shall be measured as the sum of the absolute value of buys and the absolute value of sells for both cash trades and derivatives in accordance with the following:

(a) for cash trades, the value is the amount paid or received on each trade;

(b) for derivatives, the value of the trade is the notional amount of the contract.

 The notional amount of interest rate derivatives shall be adjusted for the time to maturity (in years) of those contracts. The notional amount shall be multiplied by the duration set out in the following formula:

Duration = time to maturity(in years) / 10

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