ESMA_QA_1917

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1917

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Regulatory Context

Regulation : SSR

Level 1 Regulation: Short Selling Regulation (SSR) Regulation (EU) No 236/2012

Level 2 Regulation: No information available

Level 3 Regulation: No information available

Topic: Determination of net short position

Subject Matter: Delta adjusted positions in derivatives

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Question

Submission Date: 29 January 2013

Could the meaning of the following statements included in point 2 of Part I of Annex II of the DR be clarified: a. “a nominal cash short position may not be offset by an equivalent nominal long position taken in derivatives”? b. “Delta-adjusted long positions in derivatives may not compensate identical nominal short positions taken in other financial instruments due to the delta adjustment”?

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ESMA Answer

Answer Date: 29-01-2013

[ESMA70-145-408 SSR Q&A, Q&A 6.12] In ESMA’s view, the two mentioned statements are ways to illustrate that persons taking positions through derivatives need to adjust the nominal/notional value of these positions by the relevant delta in order to calculate net short positions in the underlying.

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This document was automatically extracted from the ESMA EMIR Q&A database.