Short positions are not excluded from PAI indicators. They must be treated using the net short position methodology under Regulation 236/2012. Long and short exposures should be netted at the level of each investee, but never below zero. Publishing shorts separately is discouraged because it reduces clarity.
Do the ESAs have a view on how to incorporate short positions within the PAI indicators – should they be excluded, by being deducted from the PAI indicator calculations where the shorts relate to a brown asset, or should they be added for each of the PAI indicators?
The rules do not specify separately any particular instruction for the disclosure of short positions with regard to the principal adverse impact disclosures in Annex I of the Delegated Regulation. The ESAs are of the view that publishing short positions separately from the main calculation would not help the comprehensibility of the PAI disclosures. The calculations for short positions should apply the methodology used to calculate net short positions laid down in Article 3(4) and (5) of Regulation (EU) No 236/2012 of the European Parliament and of the Council. The principal adverse impacts of long and short positions should also be netted accordingly at the level of the individual counterpart (investee undertaking, sovereign, supranational, real estate asset), but without going below zero.
European Supervisory Authorities (ESAs)
