ESMA · ESMA_QA_1917 Answer Published

Delta adjusted positions in derivatives

Name: Delta adjusted positions in derivatives: ESMA Q&A — EU Financial Regulatory Q&A
Creator: European Securities and Markets Authority
License: https://creativecommons.org/licenses/by/4.0/

Regulation: Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic: Determination of net short position
Submitted: 2013-01-29
Answered: 2013-01-29

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Question

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”?

Answer

[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 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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