ESMA_QA_1923

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1923

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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: Credit Linked Notes

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Question

Submission Date: 29 January 2013

Would the issuance of a Credit Linked Note be subject to the duration adjustment or to the delta adjustment?

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ESMA Answer

Answer Date: 29-01-2013

[ESMA70-145-408 SSR Q&A, Q&A 7.6] Unless a Credit Linked Note is issued directly by a sovereign issuer, it should be treated as any other derivative on a sovereign debt (see Q&A1922).

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