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Repealed by LN. 2013/198 as from 1.1.2014 - page 50 / 94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Repealed Subsidiary 2007/002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 matched weighted position between zones one and two. The same calculation shall then be undertaken with regard to that part of the unmatched weighted position in zone two which is left over and the unmatched weighted position in zone three in order to calculate the matched weighted position between zones two and three.

22. The investment firm may, if it wishes, reverse the order in paragraph 21 so as to calculate the matched weighted position between zones two and three before calculating that position between zones one and two.

23. The remainder of the unmatched weighted position in zone one shall then be matched with what remains of that for zone three after the latter’s matching with zone two in order to derive the matched weighted position between zones one and three.

24. Residual positions, following the three separate matching calculations in paragraphs 21, 22 and 23, shall be summed.

25. The investment firm’s capital requirement shall be calculated as the sum of:

(a)

10 % of the sum of the matched weighted positions in all maturity bands;

  • (b)

    40 % of the matched weighted position in zone one;

  • (c)

    30 % of the matched weighted position in zone two;

  • (d)

    30 % of the matched weighted position in zone three;

  • (e)

    40 % of the matched weighted position between zones one and

two and between zones two and three (see paragraph 21);

(f)

150 % of the matched weighted position between zones one and three; and

  • (g)

    100 % of the residual unmatched weighted positions.

  • (b)

    Duration-based

    • 26.

      The Authority may allow investment firms in general or on an individual

basis to use a system for calculating the capital requirement for the general risk on traded debt instruments which reflects duration, instead of the system set out in paragraphs 17 to 25, provided that the investment firm does so on a consistent basis.

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

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