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Repealed by LN. 2013/198 as from 1.1.2014 - page 48 / 94

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1989-47

Financial Services (Investment and Fiduciary Services)

Repealed Subsidiary 2007/002

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 The institution shall sum its weighted positions resulting from the application of this point (regardless of whether they are long or short) in order to calculate its capital requirement against specific risk.

By way of derogation from the fourth paragraph, for a transitional period ending 31 December 2013, the institution shall sum separately its weighted net long positions and its weighted net short positions. The larger of those sums shall constitute the specific risk capital requirement. The institution shall, however, report to the home Member State competent authority the total sum of its weighted net long and net short positions, broken down by types of underlying assets.

General risk.

  • (a)

    Maturity-based

    • 17.

      The procedure for calculating capital requirements against general risk

involves two basic steps. First, all positions shall be weighted according to maturity (as explained in paragraph 18), in order to compute the amount of capital required against them. Second, allowance shall be made for this requirement to be reduced when a weighted position is held alongside an opposite weighted position within the same maturity band. A reduction in the requirement shall also be allowed when the opposite weighted positions fall into different maturity bands, with the size of this reduction depending both on whether the two positions fall into the same zone, or not, and on the particular zones they fall into. There are three zones (groups of maturity bands) altogether.

18.

An

investment

firm

shall

assign

its

net

positions

to

the

appropriate

maturity bands in column 2 or 3, as appropriate, in Table 2 in paragraph 20.

It shall do instruments the case of maturity. It

so on the basis of residual maturity in the case of fixed-rate and on the basis of the period until the interest rate is next set in instruments on which the interest rate is variable before final shall also distinguish between debt instruments with a coupon of

3 % or more and those with a coupon of less than 3 % and them to column 2 or column 3 in Table 2. It shall then multiply by the weighing for the maturity band in question in column 4 in

thus allocate each of them Table 2.

19. The investment firm shall then work out the sum of the weighted long positions and the sum of the weighted short positions in each maturity band. The amount of the former which are matched by the latter in a given maturity band shall be the matched weighted position in that band, while the residual long or short position shall be the unmatched weighted position for the same band. The total of the matched weighted positions in all bands shall then be calculated.

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

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