HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"L 274/16
EN
Official Journal of the European Union
9.10.2012
COMMISSION DELEGATED REGULATION (EU) No 919/2012
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 regulatory technical
standards for the method of calculation of the fall in value for liquid shares and other financial
instruments
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
(4) Since
Regulation
(EU)
No
236/2012
recognised
that
binding technical standards should be adopted before
that Regulation can be usefully applied, and as it is
essential to specify before 1 November 2012 the
Having regard to the Treaty on the Functioning of the European
required non-essential elements to facilitate compliance
Union,
by market participants with that Regulation and
enforcement by competent authorities, it is necessary
that this Regulation should enter into force on the day
following its publication.
Having regard to Regulation (EU) No 236/2012 of the European
Parliament and of the Council of 14 March 2012 on short
selling and certain aspects of credit default swaps ( 1 ), and in
particular Article 23(8) thereof,
(5)
This Regulation is based on the draft regulatory technical
standards submitted by the European Securities and
Markets Authority (ESMA) to the Commission.
Whereas:
(6) ESMA
has
conducted
open
public
consultations
on
the
(1)
The method of calculation of the significant fall in value
draft regulatory technical standards on which this Regu
of financial instruments contained in Section C of Annex
lation is based, analysed the potential related costs and
I to Directive 2004/39/EC of the European Parliament
benefits and requested the opinion of the Securities and
and Council of 21 April 2004 on markets in financial
Markets Stakeholder Group established in accordance
instruments ( 2 ) should be adapted to the various ways in
with Article 37 of Regulation (EU) No 1095/2010 of
which that fall is reflected depending on the type of
the European Parliament and of the Council of
financial instrument concerned. That method can take
24 November 2010 establishing a European Supervisory
the form of an actual fall in price of the financial
Authority (European Securities and Markets Auth
instrument, of an increase in the yield of a debt
ority) ( 4 ),
instrument issued by a corporate issuer or an increase
in the yield across the yield curve for debt instruments
issued by sovereign issuers.
HAS ADOPTED THIS REGULATION:
(2) This
Regulation
should
be
read
in
conjunction
with
Commission Delegated Regulation (EU) No 918/2012 ( 3 ),
Article 1
which defines thresholds for the significant fall in value
of illiquid shares, debt instruments issued by sovereign
Subject matter
and corporate issuers, exchange-traded funds, money
1. This Regulation specifies the method of calculation of the
market instruments and derivatives whose sole
10 % fall in value for liquid shares traded on a trading venue as
underlying financial instrument is traded on a trading
set out in Article 23(5) of Regulation (EU) No 236/2012.
venue. This Regulation should therefore restrict itself to
specifying the method of calculation of the significant fall
in value of these instruments.
2. This
Regulation
also
specifies
the
method
of
calculation
of
the fall in value for the following financial instruments traded
(3)
In order to ensure consistency and legal certainty for
on a trading venue as specified in Delegated Regulation (EU)
market participants and competent authorities, the date
No 918/2012 adopted pursuant to Article 23(7) of Regulation
of application of this Regulation should be the same as
(EU) No 236/2012:
that of Regulation (EU) No 236/2012 and Delegated
Regulation (EU) No 918/2012.
(a) illiquid shares;
( 1 ) OJ L 86, 24.3.2012, p. 1.
( 2 ) OJ L 145, 30.4.2004, p. 1.
( 3 ) See page 1 of this Official Journal.
( 4 ) OJ L 331, 15.12.2010, p. 84.

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EN
9.10.2012 Official
Journal
of
the
European
Union L
274/17
(b) the following non-derivative financial instruments:
relevant trading venue, that fall shall be calculated from the
official closing price at the relevant trading venue defined
according to the applicable rules of that trading venue.
(i) debt instruments issued by sovereign and corporate
issuers;
3. For
a
financial
debt
instrument
issued
by
a
sovereign
(ii) exchange-traded funds;
issuer for which the significant fall in value referred to in
Article 23(7) of Regulation (EU) No 236/2012 is measured in
relation to a yield curve, that fall shall be calculated as an
(iii) money market instruments;
increase across the yield curve in comparison with the yield
curve of the sovereign issuer at the close of trading of the
previous trading day, as calculated based on data available for
(c) derivatives whose sole underlying is a financial instrument
the issuer on that trading venue.
traded on a trading venue.
4. For
a
financial
instrument
for
which
the
significant
fall
in
Article 2
value referred to in Article 23(7) of Regulation (EU)
Method of calculation of a significant fall in value for liquid
No 236/2012 is measured in relation to a variation of the
and illiquid shares
yield, that fall shall be calculated as an increase of the current
yield as compared to the yield of that instrument at the close of
1. For a share traded on a trading venue, the fall in value
trading of the previous trading day, as calculated based on data
shall be calculated from the official closing price of the previous
available for that instrument on that trading venue.
trading day at that trading venue defined according to the
applicable rules of that trading venue.
Article 4
2. That
method
of
calculation
shall
exclude
any
downward Method of calculation of a significant fall in value for
movement of a price resulting exclusively from a split or any
derivatives
corporate action or similar measures adopted by the issuer on
A significant fall in value for financial instruments falling under
its issued share capital which can result in an adjustment of the
the categories of derivatives listed in points (4) to (10) of
price by the relevant trading venue.
Section C of Annex I to Directive 2004/39/EC and which
have a sole underlying financial instrument that is traded on
Article 3
a trading venue and for which a significant fall in value has
been specified in accordance with Article 2 or Article 3, shall be
Method of calculation of a significant fall in value for other
calculated by reference to the significant fall in value of the
non-derivative financial instruments
underlying financial instrument.
1. A
significant
fall
in
value
for
financial
instruments
other
than shares and not falling into the categories of derivatives
listed in points (4) to (10) of Section C of Annex I to
Article 5
Directive 2004/39/EC shall be calculated according to the
Entry into force
method in paragraphs 2, 3 and 4.
This Regulation shall enter into force on the day following that
of its publication in the Official Journal of the European Union.
2. For
a
financial
instrument
for
which
the
significant
fall in value referred to in Article 23(7) of Regulation
(EU) No 236/2012 is measured in relation to a price on the
It shall apply from 1 November 2012.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 5 July 2012.
For the Commission
The President
José Manuel BARROSO

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