X hits on this document

PDF document

Repealed by LN. 2013/198 as from 1.1.2014 - page 47 / 94

236 views

0 shares

0 downloads

0 comments

47 / 94

Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 investment firm if it considers that the instruments concerned are subject to too high a degree of specific risk to be qualifying items.

16. The Authority shall require an investment firm to apply the maximum weighting shown in Table 1 to paragraph 14 to instruments that show a particular risk because of the insufficient solvency of the issuer.

16a. For instruments in the trading book that are securitisation positions, the institution shall weight with the following its net positions as calculated in accordance with point 1:

  • (a)

    for securitisation positions that would be subject to the Standardised Approach for credit risk in the same institution’s non-trading book, 8 % of the risk weight under the Standardised Approach as set out in Part 4 of Schedule 9 of the the Financial Services (Capital Adequacy of Credit Institutions) Regulations 2007;

  • (b)

    for securitisation positions that would be subject to the Internal Ratings Based Approach in the same institution’s non-trading book, 8 % of the risk weight under the Internal Ratings Based Approach as set out in Part 4 of Schedule 9 of the the Financial Services (Capital Adequacy of Credit Institutions) Regulations

2007.

For the purpose of points (a) and (b), the Supervisory Formula Method may be used only with supervisory approval by institutions other than an originator institution that may apply it for the same securitisation position in its non-trading book. Where relevant, estimates of PD and LGD as inputs to the Supervisory Formula Method shall be determined in accordance with regulations 34 to 39 of the the Financial Services (Capital Adequacy of Credit Institutions) Regulations 2007 or alternatively and subject to separate supervisory approval, based on estimates that are derived from an approach set out in point 5a of Schedule 5 of these Regulations and that are in line with the quantitative standards for the Internal Ratings Based Approach. The Committee of European Banking Supervisors shall establish guidelines in order to ensure a convergent use of estimates of PD and LGD as inputs when those estimates are based on the approach set out in point 5a of Schedule 5 of these Regulations.

Notwithstanding points (a) and (b), for securitisation positions that would be subject to a risk weight in accordance with regulation 78A of the the Financial Services (Capital Adequacy of Credit Institutions) Regulations 2007 if they were in the same institutions’ non-trading book, 8 % of the risk weight in accordance with that regulation shall be applied.

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

1989-47

Repealed Subsidiary 2007/002

Document info
Document views236
Page views236
Page last viewedThu Dec 08 10:47:53 UTC 2016
Pages94
Paragraphs2606
Words31302

Comments