Any derivative and cash position shall be accounted for on a delta-adjusted basis, with cash position having delta 1. In order to calculate the delta of a derivative, investors shall take into account the current implied volatility of the derivative and the closing price or last price of the underlying instrument. In order to calculate a net short position including equity or cash investments and derivatives, natural or legal persons shall calculate the individual delta-adjusted position of every derivative that is held in the portfolio, adding or subtracting all cash positions as appropriate.

A nominal cash short position may not be offset by an equivalent nominal long position taken in derivatives. Delta-adjusted long positions in derivatives may not compensate identical nominal short positions taken in other financial instruments due to the delta adjustment. Natural or legal persons entering into derivatives contracts giving rise to net short positions that must be notified or published pursuant to Articles 5 to 11 of Regulation (EU) No 236/2012 shall calculate net short position changes in their portfolio arising from changes in the delta.

Any transaction that confers a financial advantage in the event of a change in price or value of the share held as part of a basket, index or exchange-traded fund shall be included when calculating the position in each individual share. Positions on these financial instruments shall be calculated taking into account the weight of that share in the underlying basket, index or fund. Natural or legal persons shall perform calculations in these financial instruments in accordance with Article 3(3) of Regulation (EU) No 236/2012.

The net short position shall be calculated by netting long and short delta-adjusted positions in a given issuer.

For the issued share capital, when issuers have several share classes, the total number of shares issued in each class and shall be taken into account and added up.

The calculation of net short positions shall take into account changes in the share capital of the issuer that may trigger or eliminate notification obligations in accordance with Article 5 of Regulation (EU) No 236/2012.

New shares issued from a capital increase shall be accounted for in the calculation of the total issued share capital from the day they are admitted to trading on a trading venue.

The net short position expressed as a percentage of the company’s issued share capital shall be calculated by dividing the net short position in equivalent shares by the total issued share capital of the company.

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.

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.

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

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.

Calculations for sovereign debt instruments with high correlation shall follow the same methods of calculation of long positions in debt instruments of a sovereign issuer. Long positions in debt instruments of a sovereign issuer the pricing of which is highly correlated to the pricing of the given sovereign debt shall be taken into account for calculation purposes. When these positions no longer meet the test of high correlation then they shall not be taken into account to offset short positions.

Nominal long positions of credit default swaps shall be included in the calculation as short positions. In calculating an investor sovereign credit default swaps position its net positions shall be used. Positions intended to be covered or hedged through the purchase of a credit default swap that are not sovereign bonds will not be taken into account as long positions. Credit default swaps shall be considered to have delta 1.

The net short position shall be calculated by netting nominal delta-adjusted equivalent long and short positions in the issued sovereign debt of a sovereign issuer.

The net short position shall be expressed as a monetary amount in euro.

Calculation of positions shall take into account changes in correlations and in the total sovereign debt of a sovereign issuer.

Only long positions in debt instruments of a sovereign issuer the pricing of which is highly correlated to the pricing of sovereign debt of a sovereign issuer shall be taken into account to offset short positions in the said sovereign debt. A given long position of a highly correlated debt shall only be used once to offset a short position in cases where the investor maintains several short positions of different sovereign issuers. The same long position cannot be applied several times to net off different short positions taken in highly correlated sovereign debt.

Natural or legal persons with multiple allocations of long positions of highly correlated debt across several different sovereign issuers shall have records that show their allocation methods.