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Repealed by LN. 2013/198 as from 1.1.2014 - page 63 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 Where investment firms are using the internal models approach defined in that Schedule, they may also apply this approach in the trading book.

10. For the purposes of paragraph 6, in relation to the recognition of master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions netting across positions in the trading book and the non-trading book shall only be recognised when the netted transactions fulfil the following conditions:

  • (a)

    all transactions are marked to market daily; and

  • (b)

    any items borrowed, purchased or received under the transactions may be recognised as eligible financial collateral under regulations 40 to 43 of the FSCACI Regulations without the application of paragraph 9 of this Schedule.

11.

Where a credit derivative included in the trading book forms part of

an internal hedge and the credit protection is recognised under the FSCACI Regulations, no counterparty risk shall be deemed to arise from the position in the credit derivative. Alternatively, an investment firm may consistently include for the purposes of calculating capital requirements for counterparty credit risk all credit derivatives included in the trading book forming part of internal hedges or purchased as protection against a CCR exposure where

the credit protection is recognised under those Regulations.

12. The capital requirement shall be 8 % of the total risk-weighted exposure amounts.

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

1989-47

Repealed Subsidiary 2007/002

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