1. For the purposes of point (c) of Article 11(1), the K-factor requirement shall amount to at least the sum of the following:
(a) Risk-to-Client (RtC) K-factors calculated in accordance with Chapter 2;
(b) Risk-to-Market (RtM) K-factors calculated in accordance with Chapter 3;
(c) Risk-to-Firm (RtF) K-factors calculated in accordance with Chapter 4.
2. The following coefficients shall apply to the corresponding K-factors:
Table 1
|
K-FACTORS |
COEFFICIENT |
|
|---|---|---|
|
Assets under management under both discretionary portfolio management and non-discretionary advisory arrangements of an ongoing nature |
K-AUM |
0,02 % |
|
Client money held
|
K-CMH (on segregated accounts) K-CMH (on non-segregated accounts) |
0,4 % 0,5 % |
|
Assets safeguarded and administered |
K-ASA |
0,04 % |
|
Client orders handled
|
K-COH cash trades |
0,1 % |
|
K-COH derivatives |
0,01 % |
|
|
Daily trading flow |
K-DTF cash trades |
0,1 % |
|
K-DTF derivatives |
0,01 % |
|
3. Investment firms shall monitor the value
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