ESMA_QA_1923
29/01/2013
Subject Matter
Credit Linked Notes
Original question
Would the issuance of a Credit Linked Note be subject to the duration adjustment or to the delta adjustment?
ESMA Answer
29-01-2013
Original language
[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).
Status: Answer Published
Additional Information
Level 1 Regulation
Short Selling Regulation (SSR) Regulation (EU) No 236/2012
Topic
Determination of net short position