ESMA · ESMA_QA_1922 Answer Published

Calculation of net short positions held through derivatives on sovereign debt

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

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?

Answer

[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 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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