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Commission Delegated Regulation (EU) No 918/2012 of 5 July 2012 supplementing Regulation (EU) No 236/2012 of the European Parliament and of the Council on short selling and certain aspects of credit default swaps with regard to definitions, the calculation of net short positions, covered sovereign credit default swaps, notification thresholds, liquidity thresholds for suspending restrictions, significant falls in the value of financial instruments and adverse events (Assimilated Law)RecitalsChapter I General (arts. 1-2)Article 1 Subject matterArticle 2 DefinitionsChapter II Supplementary specification of definitions pursuant to Article 2(2) and Article 3(7)(a) (arts. 3-4)Article 3 Specification of the term 'ownership' and defining a short saleArticle 4 HoldingChapter III Net short positions pursuant to Article 3(7)(b)(arts. 5-11)Article 5 Net short positions in shares - long positionsArticle 6 Net short positions in shares - short positionsArticle 7 Net short positions in shares - generalArticle 8 Net short position in sovereign debt - long positionsArticle 9 Net short positions in sovereign debt - short positionsArticle 10 Method of calculation of net short positions in relation to sharesArticle 11 Calculation of net short positions for sovereign debtChapter IV Net short positions in funds or groups pursuant to Article 3(7)(c)(arts. 12-13)Article 12 Method of calculating positions for management activities related to several funds or managed portfoliosArticle 13 Method of calculating positions for legal entities within a group that have long or short positions in relation to a particular issuerChapter V Covered sovereign credit default swaps pursuant to Article 4(2)(arts. 14-20)Article 14 Cases which are not uncovered sovereign credit default swap positionsArticle 15 Cases which are not uncovered sovereign credit default swap positions where the obligor is established or the asset or liability is located in the United Kingdom and a third countryArticle 16 Justification of uncovered sovereign credit default swap positionsArticle 17 Hedged assets and liabilitiesArticle 18 Correlation testsArticle 19 ProportionalityArticle 20 Method of calculation of an uncovered sovereign credit default swap positionChapter VI Notification thresholds for net short positions in sovereign debt pursuant to Article 7(3)(art. 21)Article 21 Notification thresholds for net short positions relating to the issued sovereign debtChapter VII Parameters and methods for calculating liquidity threshold for suspending restrictions on short sales of sovereign debt pursuant to Article 13(4)(art. 22)Article 22 Methods for calculating and determining the threshold of liquidity for suspending restrictions on short sales in sovereign debtChapter VIII Significant fall in value for financial instruments other than liquid shares pursuant to Article 23(art. 23)Article 23 Significant fall in value for financial instruments other than liquid sharesChapter IX Adverse events or developments pursuant to Article 30(arts. 24-25)Article 24 Criteria and factors to be taken into account in determining when adverse events or developments and threats ariseArticle 25 Entry into forceAnnex IAnnex I, Part 1Annex I, Part 2Annex IIAnnex II, Part 1Annex II, Part 2Done at
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Version status: In force | Document consolidation status: Assimilated law updated to reflect all known changes
This version in force from: 31 December 2020

Annex II, Part 2

The delta-adjusted model for sovereign debt

Article 11

1. Any cash positions shall be taken into account using their nominal value duration adjusted. Options and other derivative instruments shall be adjusted by their delta which shall be calculated in accordance with Part 1. Calculations of net short positions containing both cash investments and derivatives shall be the individual delta-adjusted position of every derivative that is held in the portfolio, adding or subtracting all cash positions and cash positions shall have a delta equal to 1.

2. Nominal positions in bonds issued in currencies other than the euro shall be converted to euro using the last reliable updated spot currency price available. The same principle shall apply to other financial instruments.

3. Other derivatives, such as forward bonds, shall be also adjusted in accordance with paragraphs 1, 2 and 3.

4. Any economic interest or position that creates a financial advantage in sovereign debt held as part of a basket, index or exchange-traded fund shall be included when calculating the position in each individual sovereign debt. Positions on these financial instruments shall be calculated taking into account the weight of that sovereign exposure in the underlying basket, index or fund. Investors shall perform calculations in these financial instruments in accordance with Article 3(3) of Regulation (EU) No 236/2012.

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