ESMA_QA_1922

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1922

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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: Calculation of net short positions held through derivatives on sovereign debt

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Question

Submission Date: 29 January 2013

For the purpose of calculating the net short position in the sovereign debt of a sovereign issuer, is a duration adjustment required to be applied to derivative positions referenced in that sovereign debt?

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ESMA Answer

Answer Date: 29-01-2013

[ESMA70-145-408 SSR Q&A, Q&A 7.5] For the purpose of calculating the net short position in a sovereign debt, ESMA considers that the text of Part 2 of Annex II of the DR only suggests that the positions held through derivative instruments in the sovereign debt of a sovereign issuer (e.g. options, futures, CDS…) should be delta adjusted.

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