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:
for the coefficient of the K-DTF cash trades:Cadj = C * (DTFexcl/DTFincl)where:Cadj=adjusted coefficientC=coefficient in Table 1 of Article 15(2) of Regulation (EU) 2019/2033DTFexcl=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; andDTFincl=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.
for the coefficient of the K-DTF derivatives:Cadj = C * (DTFexcl/DTFincl)where:Cadj=adjusted coefficientC=coefficient in Table 1 of Article 15(2) of Regulation (EU) 2019/2033DTFexcl=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; andDTFincl=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.
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. |
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.