ESMA_QA_1922
29/01/2013
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Subject Matter
Calculation of net short positions held through derivatives on sovereign debt
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?
ESMA Answer
29-01-2013

[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.

Status: Answer Published

Additional Information

Level 1 Regulation
Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic
Determination of net short position