Adjustments to the K-DTF coefficients
Article 1
1. The adjustments to the K-DTF coefficients referred to in Table 1 of Article 15(2) of Regulation (EU) 2019/2033 shall in the event that in stressed market condition as referred to in Delegated Regulation (EU) 2017/578 the K-DTF requirements seem overly restrictive and detrimental to financial stability as referred to in point (c) of Article 15(5) of Regulation (EU) 2019/2033, be determined using the following formula: (a) for the coefficient of the K-DTF cash trades: Cadj = C * (DTFexcl/DTFincl) where: Cadj = adjusted coefficient C = coefficient in Table 1 of Article 15(2) of Regulation (EU) 2019/2033 DTFexcl = the DTF of cash trades measured in accordance with Article 33 of Regulation (EU) 2019/2033, excluding the value of any cash trade that occurred during a stressed market condition as referred to in Article 2; and DTFincl = the DTF of cash trades measured in accordance with Article 33 of Regulation (EU) 2019/2033, including the value of any cash trade that occurs during a stressed market condition as referred to in Article 2. (b) for the coefficient of the K-DTF derivatives: Cadj = C * (DTFexcl/DTFincl) where: Cadj = adjusted coefficient C = coefficient in Table 1 of Article 15(2) of Regulation (EU) 2019/2033 DTFexcl = the DTF of derivatives measured in accordance with Article 33 of Regulation (EU) 2019/2033, excluding the value of any derivatives trade that occurred during a stressed market condition as referred to in Article 2; and DTFincl = the DTF of derivatives measured in accordance with Article 33 of Regulation (EU) 2019/2033, including the value of any derivatives trade that occurs during a stressed market condition as referred to in Article 2. The calculation of DTFexcl shall include only the value of daily trading flow that relates to financial instruments or underlyings of financial instruments traded on a trading segment within the relevant trading venue during an event for which a stressed market condition has been deemed to occur by that trading venue.