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Repealed by LN. 2013/198 as from 1.1.2014 - page 61 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 counter party to settle a trade shall not be deemed a default for purposes of credit risk.

COUNTERPARTY CREDIT RISK (CCR)

5. An investment firm shall be required to hold capital against the CCR arising from exposures due to the following

  • (a)

    OTC derivative instruments and credit derivatives;

  • (b)

    repurchase agreements, reverse repurchase agreements, securities or commodities lending or borrowing transactions based on securities or commodities included in the trading book;

(c)

margin lending transactions based on securities or commodities; and

  • (d)

    long settlement transactions.

    • 6.

      Subject to the provisions of paragraphs 7 to 10, exposure values and

risk-weighted exposure amounts for such exposures shall be calculated in accordance with the provisions of Part V of the FSCACI Regulations with references to “credit institutions” in that Part interpreted as references to “investment firms”, references to “parent credit institutions” interpreted as references to “parent investment firms”, and with concomitant terms interpreted accordingly.

7. For the purposes of paragraph 6

Schedule 4 of the FSCACI Regulations shall be considered to be amended to include point 8 of Section C of Schedule 1 to Directive 2004/39/EC;

Schedule 3 of the FSCACI Regulations shall be considered to be amended to include, after the footnotes of Table 1, the following text

“To obtain a figure for potential future credit exposure in the case of total return swap credit derivatives and credit default swap credit derivatives, the nominal amount of the instrument shall be multiplied by the following percentages

  • where the reference obligation is one that if it gave rise to a direct

exposure of the investment firm it would be a qualifying item for the purposes of Schedule 1: 5 %; and

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

1989-47

Repealed Subsidiary 2007/002

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