According to Article 7(2) of the Short Selling Regulation, ESMA has to publish a list of the thresholds applicable to the sovereign issuers for the purpose of the notification to competent authorities of significant net short position in sovereign debt.
The way these notification thresholds are defined is further specified in the Commission Delegated Regulation No 918/2012 (the “DR”). The DR specifies specify that initial threshold categories shall be:
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0.1 per cent applicable where the total amount of outstanding issued sovereign debt is between €0 and €500 billion;
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0.5 per cent applicable where the total amount of outstanding issued sovereign debt is above €500 billion or where there is a liquid futures market for the particular sovereign debt.
The additional incremental levels shall be set at 50 per cent of the initial thresholds. The reporting thresholds shall be monetary amounts fixed by applying the percentage thresholds to the outstanding sovereign debt of the sovereign issuer. They will be revised and updated quarterly to reflect changes in the total amount of outstanding sovereign debt of each sovereign issuer.
The table of thresholds contains the name of the sovereign issuer, the amount of outstanding debt duration adjusted, the initial threshold amount and the relevant percentage, the incremental threshold amount and the relevant percentage
ESMA will publish the definitive thresholds by 1 November, 2012. Those issuers for which there is no figure in the table will be updated as soon as ESMA receives the corresponding information from each relevant competent authority.
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