CHAPTER VI

NOTIFICATION THRESHOLDS FOR NET SHORT POSITIONS IN SOVEREIGN DEBT PURSUANT TO ARTICLE 7(3)

Notification thresholds for net short positions relating to the issued sovereign debt
Article 21
1
The relevant measure for the threshold that triggers notification to the FCA of net short positions in the issued sovereign debt of a sovereign issuer shall be a percentage of the total amount of outstanding issued sovereign debt for each sovereign issuer.
2
The reporting threshold shall be a monetary amount. This monetary amount shall be fixed by applying the percentage threshold to the outstanding sovereign debt of the sovereign issuer and rounding up to the nearest million euro.
3
The monetary amount implied by the percentage threshold shall be revised and updated quarterly in order to reflect changes in the total amount of outstanding issued sovereign debt of each sovereign issuer.
4
The monetary amount implied by the percentage threshold and the total amount of outstanding issued sovereign debt shall be calculated in accordance with the method of calculation for net short positions in sovereign debt.
5
The initial amounts and additional incremental levels for sovereign issuers shall be determined on the basis of the following factors:
a
the thresholds shall not require notifications of net short positions of minimal value in any sovereign issuers;
b
the total amount of outstanding sovereign debt for a sovereign issuer and average size of positions held by market participants relating to the sovereign debt of that sovereign issuer;
c
the liquidity of the sovereign debt market of each sovereign issuer, including, where appropriate, the liquidity of the futures market for that sovereign debt.
6
Taking into account the factors in paragraph 5, the relevant notification thresholds for the initial amount to be considered for each sovereign issuer is a percentage that equals 0,1 % or 0,5 % of the total amount of outstanding issued sovereign debt. The relevant percentage to be applied for each issuer shall be determined in application of the criteria described in paragraph 5, so that each sovereign issuer is assigned one of the two percentage thresholds used to calculate the monetary amounts that will be relevant for notification.
7
The two initial threshold categories at the date of entry into force of this Regulation shall be:
a
an initial threshold of 0,1 % applicable where the total amount of the outstanding issued sovereign debt is between 0 and 500 billion euro;
b
a threshold of 0,5 % applicable where the total amount of the outstanding issued sovereign debt is above 500 billion euro or where there is a liquid futures market for the particular sovereign debt.
8
The additional incremental levels shall be set at 50 % of the initial thresholds and shall be:
a
each 0,05 % above the initial notification threshold of 0,1 % starting at 0,15 %;
b
each 0,25 % above the initial threshold of 0,5 % starting at 0,75 %.
9
The sovereign issuer shall move to the appropriate threshold group where there has been a change in the sovereign debt market of the sovereign issuer and, applying the factors specified in paragraph 5, that change has subsisted for at least one calendar year.
Word in Art. 21(1) substituted (31.12.2020) by The Short Selling (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1321), regs. 1(2), 15(11) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)