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Recital 10

Recital 10

(10)Regulation (EU) 2019/2033 provides for two different coefficients for the measuring of COH in Table 1 of its Article 15, one for cash trades and a separate one for derivatives. Further clarifications should be provided on how to allocate trades between the two classes of instruments and on the valuation method to be used in each case. In particular, derivatives should be included in the measuring of K-factors based on the notional value and the cash trades at market value because the coefficients of the K-factors are calibrated on that basis.

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