ESMA · ESMA_QA_1923 Answer Published

Credit Linked Notes

Regulation
Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic
Determination of net short position
Submitted
2013-01-29
Answered
2013-01-29
More Q&As on this regulation →

Question

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

Answer

[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 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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