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Repealed by LN. 2013/198 as from 1.1.2014 - page 59 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007

SCHEDULE 2

Regulations 9, 13, 14, 24, 25 and 35

Calculating Capital Requirements for Settlement and Counter Party Credit Risk

SETTLEMENT/DELIVERY RISK

1. In the case of transactions in which debt instruments, equities, foreign currencies and commodities (excluding repurchase and reverse repurchase agreements and securities or commodities lending and securities or commodities borrowing) are unsettled after their due delivery dates, an investment firm shall calculate the price difference to which it is exposed. This is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the investment firm. It shall multiply this difference by the appropriate factor in column A of Table 1 in order to calculate its capital requirement.

Number of working days after due settlement date

(%)

5 15

8

16 30

50

31 45

75

46 or more

100

Table 1

FREE DELIVERIES

2. An investment firm shall be required to hold own funds, as set out in Table 2, if

(a)

it has paid for securities, foreign currencies or commodities before receiving them or it has delivered securities, foreign currencies or commodities before receiving payment for them; and

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

1989-47

Repealed Subsidiary 2007/002

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