ESMA · ESMA_QA_1912 Answer Published

Interest rate swaps

Regulation
Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic
Determination of net short position
Submitted
2012-10-10
Answered
2012-10-10

Question

Can a short position in sovereign debt be offset against an interest rate swap trade? (For example, Sell 10 year German Bund and receive Fixed (pay floating) 10 year interest rate swap denominated in Euro)

Answer

[ESMA70-145-408 SSR Q&A, Q&A 6.7] No. An interest rate swap is not per se an instrument related to the concerned sovereign debt in the meaning of Article 8(2) of the Regulation unlike derivative instruments on the sovereign debt itself.

This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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