Financial Services (Investment and Fiduciary Services)
FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT
FIRMS) REGULATIONS 2007 14a. By way of derogation from point 14, an institution may determine the larger of the following amounts as the specific risk capital charge for the correlation trading portfolio:
the total specific risk capital charges that would apply just to the net long positions of the correlation trading portfolio;
the total specific risk capital charges that would apply just to the net short positions of the correlation trading portfolio.
14b. The correlation trading portfolio shall consist of securitisation positions and n-th-to-default credit derivatives that meet the following criteria:
the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche; and
all reference instruments are either single-name instruments, including single-name credit derivatives for which a liquid two- way market exists, or commonly-traded indices based on those reference entities. A two-way market is deemed to exist where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within 1 day and settled at such price within a relatively short time conforming to trade custom.
Positions which reference either of the following shall not be part of
the correlation trading portfolio:
an underlying that is capable of being assigned to the exposure classes referred to in regulation 29 (1)(h) and (i) of the the Financial Services (Capital Adequacy of Credit Institutions) Regulations 2007 in an institution’s non-trading book; or
a claim on a special purpose entity.
An institution may include in the correlation trading portfolio positions which are neither securitisation positions nor n-th-to-default credit derivatives but which hedge other positions of that portfolio, provided that a liquid two-way market as described in point 14b(b) exists for the instrument or its underlyings.
15. For the purposes of paragraph 14 qualifying items shall include
© Government of Gibraltar (www.gibraltarlaws.gov.gi)
Repealed Subsidiary 2007/002