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Repealed by LN. 2013/198 as from 1.1.2014 - page 67 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007

SCHEDULE 4

Regulations 9, 10, 14 and 22

Calculating Capital Requirements for Commodities Risk

1.

Each position in commodities or commodity derivatives shall be

expressed in terms of the standard unit of measurement. The each commodity shall be expressed in the reporting currency.

spot

price

in

2. Positions in gold or gold derivatives shall be considered as being subject to foreign-exchange risk and treated according to Schedule 3 or 5, as appropriate, for the purpose of calculating market risk.

3.

For

the

purposes

of

financing may be excluded

this Schedule, positions which are purely from the commodities risk calculation only.

stock

4.

The interest rate and foreign exchange risks not covered by other

provisions of this Schedule for traded debt instruments

shall be included in the calculation of general risk and in the calculation of foreign exchange risk.

5. When the short position falls due before the long position, investment firms shall also guard against the risk of a shortage of liquidity which may exist in some markets.

6. For the purpose of paragraph 19, the excess of an investment firm’s long (short) positions over its short (long) positions in the same commodity and identical commodity futures, options and warrants shall be its net position in each commodity.

The Authority may allow positions in derivative instruments to be treated, as laid down in paragraphs 8, 9 and 10, as positions in the underlying commodity.

7. The Authority may regard the following positions as positions in the same commodity

  • (a)

    positions in different sub-categories of commodities in cases where the sub-categories are deliverable against each other; and

  • (b)

    positions in similar commodities if they are close substitutes and if a minimum correlation of 0.9 between price movements can be clearly established over a minimum period of one year.

Particular instruments.

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

1989-47

Repealed Subsidiary 2007/002

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