ESMA_QA_1917
29/01/2013
Subject Matter
Delta adjusted positions in derivatives
Original 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”?
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”?
ESMA Answer
29-01-2013
Original language
[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.
Status: Answer Published
Additional Information
Level 1 Regulation
Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic
Determination of net short position