Article 11
Consolidated K-factor requirement
1. A Union parent undertaking, or an entity designated as responsible for prudential consolidation in accordance with Article 5, shall calculate the consolidated K-factor requirement on the basis of its consolidated situation by applying the following steps in the following order:
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(a) |
it shall calculate the different amounts referred to in paragraphs 2 and 3 by using the methodology laid down in those paragraphs; |
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(b) |
it shall multiply the amounts referred to in point (a) with the corresponding coefficients for each K-factor, as laid down in Table 1 in Article 15(2) of the Regulation (EU) 2019/2033; |
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(c) |
it shall add up the results of the calculation referred to in point (b). |
2. A Union parent undertaking, or an entity designated as responsible for prudential consolidation in accordance with Article 5, shall calculate the following amounts of the investment firm group as follows:
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(a) |
assets under management (AUM) of the investment firm group shall be equal to the sum of the following amounts:
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(b) |
client money held (CMH) of the investment firm group shall be the sum of the CMH of each relevant entity to be consolidated, including financial institutions other than payment institutions and asset management companies; |
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(c) |
assets safeguarded and administered (ASA) of the investment firm group shall be the sum of:
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(d) |
client orders handled (COH) of the investment firm group shall be the sum of the COH of each relevant entity to be consolidated, including the provision of the service referred to in Article 6(4), point (b)(iii), of Directive 2011/61/EU, but excluding intragroup transactions; |
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(e) |
net position risk (NPR) of the investment firm group as calculated in accordance with Article 22 of Regulation (EU) 2019/2033, including the net position risk of investment firms and financial institutions dealing on own account, providing underwriting of financial instruments, or placing financial instruments on a firm commitment basis, shall be calculated on a consolidated basis; |
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(f) |
clearing margin given (CMG) of the investment firm group shall be the sum of the CMG of each individual relevant entity to be consolidated that is allowed to use K-CMG; |
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(g) |
trading counterparty default (TCD) of the investment firm group as calculated in accordance with Article 26 of Regulation (EU) 2019/2033, including the trading counterparty default of investment firms and financial institutions dealing on own account, providing underwriting of financial instruments, or placing financial instruments on a firm commitment basis, shall be calculated on a consolidated basis; |
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(h) |
daily trading flow (DTF) of the investment firm group shall be the sum of the DTF of each investment firm and each financial institution that executes transactions in its own name, either for itself or on behalf of a client, that provides underwriting of financial instruments, or that places financial instruments on a firm commitment basis after excluding intragroup transactions; |
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(i) |
the concentration risk (CON) of the investment firm group shall be the exposure value of the investment firm group calculated in accordance with Article 36 of Regulation 2019/2033, whereby the limit of the investment firm group with regard to CON and the exposure value excess of the investment firm group shall be obtained by using the methods set out in Article 37(1) and (2) of that Regulation, respectively. |
For the purposes of points (a)(ii)(1) and (a)(ii)(2), AUM shall include only those assets for which those asset management companies provide investment advice on financial instruments as referred to in Annex I to Directive 2014/65/EU to relevant entities consolidated in the same investment firm group.
Where delegation occurs between two relevant entities in the investment firm group, the rules with respect to the calculation of the AUM laid down in Article 17(2) of Regulation (EU) 2019/2033 shall apply.
For the purposes of point (c), ASA shall exclude the individual amount of ASA of the relevant entities providing intragroup services to the consolidated financial institutions, as well as the amount of ASA of asset management companies related to the provision of asset safekeeping and administration in relation to the amount of private equity shares of alternative investment funds (AIFs).
For the purposes of point (d), where a group includes an investment firm which calculates K-AUM and there is another investment firm in the group which handles orders for the former investment firm in the form of reception, transmission, and execution of orders, the Union parent undertaking or the entity designated in accordance with Article 5 shall not calculate K-COH corresponding to those orders passed by the former investment firm and handled by the latter investment firm.
3. A Union parent undertaking or an entity designated as responsible for prudential consolidation in accordance with Article 5 shall calculate the investment firm group consolidated K-factor requirements, including the amounts corresponding to activities of tied agents, where, and to the extent that, those activities are not already included in the investment firm group consolidated K-factor requirements.