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Repealed by LN. 2013/198 as from 1.1.2014 - page 57 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007

    • (e)

      there shall be adequate risk assessment of the CIU, by the investing investment firm.

  • 52.

    Non-EEA CIUs may be eligible if the requirements in paragraphs (a) to

    • (e)

      of paragraph 51 are met, subject to the approval of the Authority.

SPECIFIC METHODS

53. Where the investment firm is aware of the underlying investments of the CIU on a daily basis, the investment firm may look through to those underlying investments in order to calculate the capital requirements for position risk (general and specific) for those positions in accordance with the methods set out in this Schedule or, if permission has been granted, in accordance with the methods set out in Schedule 5. Under this approach, positions in CIUs shall be treated as positions in the underlying investments of the CIU. Netting is permitted between positions in the underlying investments of the CIU and other positions held by the investment firm, as long as the investment firm holds a sufficient quantity of units to allow for redemption/creation in exchange for the underlying investments.

54. Investment firms may calculate the capital requirements for position risk (general and specific) for positions in CIUs in accordance with the methods set out in this Schedule or, if permission has been granted, in accordance with the methods set out in Schedule 5, to assumed positions representing those necessary to replicate the composition and performance of the externally generated index or fixed basket of equities or debt securities referred to in (a), subject to the following conditions

  • (a)

    the purpose of the CIU’s mandate is to replicate the composition and performance of an externally generated index or fixed basket of equities or debt securities; and

  • (b)

    a minimum correlation of 0.9 between daily price movements of the CIU and the index or basket of equities or debt securities it tracks can be clearly established over a minimum period of six months. “Correlation” in this context means the correlation coefficient between daily returns on the CIU and the index or basket of equities or debt securities it tracks.

55. Where the investment firm is not aware of the underlying investments of the CIU on a daily basis, the investment firm may calculate the capital requirements for position risk (general and specific) in accordance with the methods set out in this Schedule, subject to the following conditions

(a)

it will be assumed that the CIU first invests to the maximum extent allowed under its mandate in the asset classes attracting

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

1989-47

Repealed Subsidiary 2007/002

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