Methods for calculating and determining the threshold of liquidity for suspending restrictions on short sales in sovereign debt
Article 22
1. The measure of liquidity of the issued sovereign debt to be used by each competent authority is the turnover, defined as the total nominal value of debt instruments traded, in relation to a basket of benchmarks with different maturities. 2. The temporary suspension of restrictions on uncovered short sales in sovereign debt may be triggered when the turnover of a month falls below the fifth percentile of the monthly volume traded in the previous 12 months. 3. To perform these calculations each competent authority shall use the representative data readily available, from one or more trading venues, from over the counter (OTC) trading or from both, and inform ESMA of the data used thereafter. 4. Before the competent authorities exercise the power to lift the restrictions on short selling related to sovereign debt, they shall ensure that the significant drop in liquidity is not the result of seasonal effects on liquidity.