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Repealed by LN. 2013/198 as from 1.1.2014 - page 82 / 94

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1989-47

Financial Services (Investment and Fiduciary Services)

Repealed Subsidiary 2007/002

FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007

An institution shall calculate the capital charge to capture all price risks at least on a weekly basis.

6. Institutions using internal models which are not recognised in accordance with point 5 shall be subject to a separate capital charge for specific risk as calculated in accordance with Schedule 1.

7. For the purposes of points 10b(a) and (b), the results of the institution’s own calculation shall be scaled up by the multiplication factors (mc) and (ms). Those factors shall be at least 3.

8. For the purposes of points 10b(a) and (b), the multiplication factors (mc) and (ms) shall be increased by a plus-factor of between 0 and 1 in accordance with Table 1, depending on the number of overshootings for the most recent 250 business days as evidenced by the institution’s back-testing of the value- at-risk measure as set out in point 10. The competent authority shall require the institutions to calculate overshootings consistently on the basis of back- testing on hypothetical and actual changes in the portfolio’s value. An overshooting is a one-day change in the portfolio’s value that exceeds the related one-day value-at-risk measure generated by the institution’s model. For the purpose of determining the plus-factor the number of overshootings shall be assessed at least quarterly and shall be equal to the higher of the number of overshootings under hypothetical and actual changes in the value of the portfolio.

Table 1

Number of overshootings

Plus-factor

Fewer than 5

0.00

5

0.40

6

0.50

7

0.65

8

0.75

9

0.85

10 or more

1.00

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

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