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Repealed by LN. 2013/198 as from 1.1.2014 - page 71 / 94

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Financial Services (Investment and Fiduciary Services)

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT

FIRMS) REGULATIONS 2007 17. The investment firm’s capital requirement for each commodity shall be calculated on the basis of the relevant maturity ladder as the sum of the following

  • (a)

    the sum of the matched long and short positions, multiplied by the appropriate spread rate as indicated in the second column of Table 1 to paragraph 13 for each maturity band and by the spot price for the commodity;

  • (b)

    the matched position between two maturity bands for each maturity band into which an unmatched position is carried forward, multiplied by 0.6 % (carry rate) and by the spot price for the commodity; and

    • (c)

      the residual unmatched positions, multiplied by 15 % (outright rate) and by the spot price for the commodity.

  • 18.

    The investment firm’s overall capital requirement for commodities risk

shall be calculated as the sum of the capital requirements calculated for each commodity according to paragraph 17.

  • (b)

    Simplified approach

    • 19.

      An investment firm’s capital requirement for each commodity shall be

calculated as the sum of

  • (a)

    15 % of the net position, long or short, multiplied by the spot price for the commodity; and

  • (b)

    3 % of the gross position, long plus short, multiplied by the spot price for the commodity.

20. The investment firm’s overall capital requirement for commodities risk shall be calculated as the sum of the capital requirements calculated for each commodity according to paragraph 19.

(a)

undertake significant commodities business;

(b)

have a diversified commodities portfolio; and

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

(c) Extended Maturity ladder approach

provided

that

the

minimum (Table 2)

18

spread,

carry

and

outright

rates

set

out

in

the

following

table

instead of those indicated in paragraphs 13, 14, 17 investment firms, in the opinion of the Authority

and

21.

The Authority may authorise investment firms to use the

1989-47

Repealed Subsidiary 2007/002

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