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UK K-DTF requirement calculator

Two coefficients, an order of magnitude apart, applied to a six-month average taken from a nine-month window with the newest three months thrown away. Then, if any of that flow happened during stressed market conditions, a reduced coefficient applied to the whole of it. This works all of that through.

MIFIDPRU 4.15 · 0.1% cash · 0.01% derivatives · stressed-market coefficient 4.15.11R · nothing stored

The other regime

Table 1 of IFR Article 15(2) carries the same 0.1% and 0.01% coefficients. EU K-DTF →

Work out your K-DTF requirement

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Enter the totals for the six-month calculation period, not the nine-month window. The window is nine months long, but the three most recent months are excluded and the average is taken over the remaining six — so a spike three months ago has not reached your requirement yet, and will.

Cash trades

MIFIDPRU 4.15.1R(1) · 0.1%
Total cash trade value over the period MIFIDPRU 4.15.6R(2) The sum of the absolute value of each buy and each sell. For a cash trade the value is the amount paid or received; for an exchange-traded option it is the premium paid.
Of which executed during stressed market conditions — optional MIFIDPRU 4.15.11R Only flow on a trading segment of a venue between the times that venue determined stressed market conditions began and ceased to apply, as defined in article 6 of the Market Making RTS.

Derivatives trades

MIFIDPRU 4.15.1R(2) · 0.01%
Total derivatives trade value over the period MIFIDPRU 4.15.6R(3) and (4) Notional amounts, with interest rate derivatives already adjusted for duration. Use the helper below if you have not applied that adjustment yet.
Of which executed during stressed market conditions — optional MIFIDPRU 4.15.11R Calculated separately from cash trades. The two adjusted coefficients are worked out independently of each other.
What this means: an indicative K-DTF requirement from the figures you enter. It assumes you have already measured DTF correctly, which is the substantive work: converting each day's foreign currency amounts at that day's rate and recording the rate used, excluding orders handled in the course of operating an organised trading facility while including your own-name transactions through someone else's, and applying the duration adjustment to interest rate derivatives. K-DTF is one K-factor among several; your own funds requirement is the highest of the permanent minimum, the fixed overheads requirement and the total K-factor requirement. This is not advice.

K-DTF is recalculated on the first business day of every month. The UK capital module holds the daily flow, rolls the window forward and keeps the K-factor sum current against the FOR and the permanent minimum — with free monitoring to start.

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Duration adjustment helper

Interest rate derivatives only

Interest rate derivative notionals are adjusted before they enter DTF. Nothing else is — and note that the adjustment reaches interest rate derivatives only, not credit derivatives, which is a narrower scope than the equivalent adjustment used for K-TCD exposure.

Add the adjusted figure to your derivatives total above, not the raw notional. The adjustment is applied per contract, so a portfolio needs each contract adjusted on its own maturity rather than on a portfolio average.
Mechanics

Four things that catch people out

The formula is two multiplications. Everything difficult about K-DTF is in the measurement, the timing and the coefficient.

Coefficients

A factor of ten apart

0.1% for cash trades, 0.01% for derivatives. K-DTF is not one K-factor but the sum of two, and misallocating flow between the two buckets changes the requirement tenfold. The same split applies to K-COH, and attribution between COH and DTF is mutually exclusive.

The window

Nine months, minus three

Daily values across the previous nine months, the most recent three excluded, arithmetic mean of the remaining six. Recalculated on the first business day of each month. A trading spike is invisible for three months and then arrives in full.

Duration

Interest rate derivatives only

Notional multiplied by time to maturity in years over ten. A cash bond enters at the amount paid; a bond future enters at a duration-adjusted notional. Firms have raised that asymmetry with the regulators; it remains the rule.

Stress relief

Applied to everything

Where part of the flow occurred during stressed market conditions, the coefficient is reduced in proportion — and the reduced coefficient is then applied to the whole average DTF, not just to the stressed portion. Cash and derivatives are adjusted separately.

Rules reviewed 21 August 2026 · MIFIDPRU 4.15.1R, 4.15.4R, 4.15.6R, 4.15.8R, 4.15.10R, 4.15.11R · worked example at MIFIDPRU 4.15.13G

Scope

What this calculator does

It applies the coefficients, the averaging and the stressed-market adjustment. It does not measure your flow for you.

It doesApply the rule

  • Splits cash and derivatives and applies each coefficient separately.
  • Derives average DTF from the period total and the business day count.
  • Calculates each adjusted coefficient as C multiplied by DTFexcl over DTFincl, independently for cash and derivatives.
  • Applies the reduced coefficient to the full average DTF, as the rule requires.
  • Computes the duration adjustment for interest rate derivative notionals.
  • Reproduces the FCA's own worked example exactly.

It does notMeasure DTF

  • Convert foreign currency day by day, or record the rates used, as MIFIDPRU 4.15.4R(2) and (3) require.
  • Decide what is a cash trade and what is a derivative, or attribute flow between COH and DTF.
  • Handle the modified calculation for a firm with less than nine months of daily trading flow.
  • Determine whether stressed market conditions applied. That is the venue's determination.
  • Compute your other K-factors, or compare the K-factor sum against the FOR and the permanent minimum.
  • Produce anything you can submit. It is a calculation, not a return.

A new trading activity does not start at zero

A firm with less than nine months of daily trading flow uses a modified calculation, and in month zero must use a best-efforts estimate of expected DTF based on its own projections when starting the activity. The estimate becomes the average DTF. That means a new desk carries a K-DTF requirement from the outset, built on a forecast the firm has to be able to defend.

UK own funds requirement →

Nothing you enter here leaves your browser

Every figure is evaluated on your own machine. Nothing is sent to REGREP, written to a log, saved to a database, or passed to any analytics tool.

That is deliberate. Your trading volumes are not something we want to hold.

Questions

About K-DTF

Why are the two coefficients so far apart?

Cash trades attract 0.1% and derivatives 0.01%, a tenfold difference, because the notional of a derivative is a poor proxy for the risk it carries relative to the cash amount paid or received on a cash trade. The practical consequence is that the classification of a trade matters as much as its size, and that a firm which books derivative flow as cash trades overstates its requirement by an order of magnitude.

Which six months, exactly?

Take the daily values across the previous nine months, exclude the daily values for the most recent three, and take the arithmetic mean of the remainder. The calculation is performed on the first business day of each month, so the window rolls forward monthly and each month's flow eventually enters the average three months after it happened.

How does the duration adjustment work?

For interest rate derivatives only, the notional is multiplied by a duration equal to time to maturity in years divided by ten. A ten-year contract enters at its full notional; a one-year contract enters at a tenth of it. The adjustment does not extend to credit derivatives, even though the comparable adjustment used elsewhere in the regime does.

Does the stressed-market reduction only apply to the stressed trades?

No, and this is the point most easily got wrong. The adjustment reduces the coefficient in proportion to the stressed flow, and the reduced coefficient is then applied to the firm's full average DTF for the period. The relief is proportional but it is delivered through the rate, not by carving the stressed volume out of the base.

What counts towards DTF?

Transactions the firm enters into when dealing on own account or when executing client orders in its own name. Orders handled in the course of operating an organised trading facility are excluded, except for matched principal trading with client consent and dealing on own account in illiquid sovereign debt, both of which must be included. Transactions the firm enters into in its own name through someone else's organised trading facility are included.

What if we have been trading for less than nine months?

A modified calculation applies. In month zero the firm uses a best-efforts estimate of expected DTF based on its projections when beginning the activity, and uses that estimate as its average DTF; from month one it uses observed historical data for the months available. The modified calculation stops applying nine months after the firm first had a daily trading flow. This tool does not model that path.

Recalculated monthly, on a window that rolls.

Create a free account and keep daily flow, the K-factor sum, the FOR and the permanent minimum moving together instead of reconstructing them each month.

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