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Repealed by LN. 2013/198 as from 1.1.2014 - page 52 / 94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Repealed Subsidiary 2007/002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 former which are matched by the latter within each zone shall be the matched duration weighted position for that zone.

The investment firm shall then calculate the unmatched duration-weighted positions for each zone. It shall then follow the procedures laid down for unmatched weighted positions in paragraphs 21 to 24.

32. The investment firm’s capital requirement shall then be calculated as the sum of

  • (a)

    2 % of the matched duration-weighted position for each zone;

  • (b)

    40 % of the matched duration-weighted positions between

zones one and two and between zones two and three;

(c)

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

(d)

100 % of the residual unmatched duration-weighted positions.

EQUITIES

33. The investment firm shall sum all its net long positions and all its net short positions in accordance with paragraph 1. The sum of the two figures shall be its overall gross position. The difference between them shall be its overall net position.

Specific risk.

34. The institution shall sum all its net long positions and all its net short positions in accordance with point 1. It shall multiply its overall gross position by 8 % in order to calculate its capital requirement against specific risk.

35. Deleted

General risk.

36. An investment firm’s capital requirement against general risk shall be its overall net position multiplied by 8 %.

Stock-index futures.

37. Stock-index futures, the delta-weighted equivalents of options in stock- index futures and stock indices collectively referred to hereafter as ‘stock- index futures’, may be broken down into positions in each of their

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

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