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

 Without prejudic

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