X hits on this document

PDF document

Repealed by LN. 2013/198 as from 1.1.2014 - page 54 / 94

247 views

0 shares

0 downloads

0 comments

54 / 94

1989-47

Financial Services (Investment and Fiduciary Services)

Repealed Subsidiary 2007/002

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007

working day 5:

25%

after working day 5:

0%

“Working day zero” shall be the working day on which the investment firm becomes unconditionally committed to accepting a known quantity of securities at an agreed price.

Thirdly, it shall calculate its capital requirements using the reduced underwriting positions.

The Authority shall ensure that the investment firm holds sufficient capital against the risk of loss which exists between the time of the initial commitment and working day 1.

SPECIFIC RISK CAPITAL CHARGES FOR POSITIONS HEDGED BY CREDIT DERIVATIVES

TRADING

BOOK

42.

An allowance shall be given for protection provided

derivatives,

in accordance

with the

principles

set

out

in paragraphs

by credit 43 to 46.

43. Full allowance shall be given when the value of two legs always move in the opposite direction and broadly to the same extent. This will be the case in the following situations

  • (a)

    the two legs consist of completely identical instruments; or

  • (b)

    a long cash position is hedged by a total rate of return swap (or vice versa) and there is an exact match between the reference obligation and the underlying exposure (i.e., the cash position). The maturity of the swap itself may be different from that of the underlying exposure.

In these situations, a specific risk capital charge shall not be applied to either side of the position.

44. An 80 % offset shall be applied when the value of two legs always move in the opposite direction and where there is an exact match in terms of the reference obligation, the maturity of both the reference obligation and the credit derivative, and the currency of the underlying exposure. In addition, key features of the credit derivative contract should not cause the price movement of the credit derivative to materially deviate from the price movements of the cash position. To the extent that the transaction transfers risk, an 80 % specific risk offset shall be applied to the side of the transaction

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

Document info
Document views247
Page views247
Page last viewedFri Dec 09 21:00:09 UTC 2016
Pages94
Paragraphs2606
Words31302

Comments