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Repealed by LN. 2013/198 as from 1.1.2014 - page 44 / 94

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1989-47

Repealed Subsidiary 2007/002

Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 Regulations, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 3 or 4 under the rules for the risk weighting of exposures under regulations 28 to 33 of those Regulations. Exposures for which a credit assessment by a nominated External Credit Assessment Institution is not available.

Debt securities issued or guaranteed by central governments, issued by central banks, international organisations, multilateral development banks or Member States’ regional governments or local authorities or investment firms which would qualify for credit quality step 6 under the rules for the risk weighting of exposures under regulations 28 to 33 of the FSCACI Regulations, and debt securities issued or guaranteed by corporates which would qualify for credit quality step 5 or 6 under the rules for the risk weighting of exposures under regulations 28 to 33 of those Regulations.

12.00 %

For investment firms which apply the rules for the risk weighting of exposures under regulations 34 to 39 of the FSCACI Regulations, to qualify for a credit quality step the obligor of the exposure shall have an internal rating with a probability of default equivalent to or lower than that associated with the appropriate credit quality step under the rules for the risk weighting of exposures to corporates under regulations 28 to 33 of those Regulations.

Instruments issued by a non-qualifying issuer shall receive a specific risk capital charge of 8 % or 12 % according to Table 1. The Authority may require investment firms to apply a higher specific risk charge to such instruments or to disallow offsetting for the purposes of defining the extent of general market risk between such instruments and any other debt instruments.

Securitisation exposures which would be subject to a deduction treatment as set out in regulation 15(2) to (4) of the FSCACI Regulations, or risk- weighted at 1250 % as set out in Part 4 of Schedule 9 of those Regulations, shall be subject to a capital charge that is no less than that set out under those treatments. Unrated liquidity facilities shall be subject to a capital charge that is no less than that set out in Part 4 of Schedule 9 of those Regulations.

© Government of Gibraltar (www.gibraltarlaws.gov.gi)

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