ESMA_QA_1918

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1918

---

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: Duration formula to use in the calculation of net short positions

---

Question

Submission Date: 10 October 2012

The DR (Commission Delegated Regulation regarding definitions, calculation of net short positions, covered sovereign CDS, notification thresholds, liquidity thresholds for suspending restrictions, significant falls in the value of financial instruments and adverse events (DR), adopted by EU Com on 5 July 2012 ) specifies in the Annex II part 2 para. 1 that positions should be calculated in “nominal value duration adjusted”. What duration definition should be used in the calculation?

---

ESMA Answer

Answer Date: 10-10-2012

[ESMA70-145-408 SSR Q&A, Q&A 7.1] The duration formula to use is the Modified Duration. Information about the Modified Duration for a specific debt issue by a sovereign issuer is easily available from data providers. Modified Duration can also be computed from other available “duration” or sensitivity indicators such as the Macaulay duration or PV01.

---

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