IFR reporting

Article 20(1) of Regulation (EU) 2019/2033 (IFR) specifies that a firm should calculate the K-COH on the first business day of the month. In accordance with Article 9(1) IFR, the K-factor requirement determined on the first day of a month (month T, in the example March 2022) represents the amount of own funds the investment firm needs to hold 'at all times', i.e. on every single day of the month. One of the main objectives of the reporting of information in accordance with Regulation (EU) 2021/2284 (ITS on disclosures and reporting by investment firms, ITS) is to enable supervisors to monitor an investment firm's compliance with the K-factor requirements as of the reference date. The information provided in template I 06.07 of Annex I to the ITS should reflect the factor amount (COH) that is considered for calculating the K-factor requirement as of the relevant reference date. In the example, column 0010 of I 06.07 should reflect COH as applicable on 31 March (originally determined on 1 March). In accordance with Article 20(1) IFR, the three most recent months shall be excluded from the calculation of COH. Thus, the calculation of COH for the reference date 31 March 2022 (on 1 March 2022)  would exclude the following periods: 1 February 2022 – 28 February 2022 (monthly average of COH calculated on the first business day in March 2022), 1 January 2022 – 31 January 2022 (monthly average of COH calculated on the first business day in February 2022) and 1 December 2021 – 31 December 2021 (monthly average of COH calculated on the first business day in January 2022). In accordance with Article 20(1) IFR, the calculation of COH for the reference date 31 March 2022 (on 1 March 2022)   would consequently  include the following periods: 1 November 2021 – 30 November 2021 (monthly average of COH calculated on the first business day in December 2021);  1 October2021 – 29 October 2021 (monthly average of COH calculated on the first business day in November 2021); and 1 September 2021 – 30 September 2021 (monthly average of COH calculated on the first business day in October 2021).  In order to report information on the K-factor requirement applicable as of 31 March 2022, a firm would use the rolling average of the value of the total daily client orders for the period September 2021, October 2021, and November 2021, which were calculated on the first business days of October 2021, November 2021 and December 2021, respectively. The values reported in template I 06.08 of Annex I to the ITS are the monthly averages of COH as referred to above. In the example, the monthly averages used to determine K-COH as of the 31 March (on 1 March) would be reported in columns 0020 (November), 0030 (October) and 0040 (September) of I 06.08.