PIB 9.3.11
(1) An
Authorised Firm in
Category 1 or 5 must determine a net cumulative
Maturity Mismatch position for each time band in respect of each of the following means of funding used by the
Authorised Firm:
(a) PSIAus; and
(b) deposits.
(2) An
Authorised Firm in
Category 1 or 5 must calculate its liquidity by using the net cumulative
Maturity Mismatch position separately for each means of funding used by the
Authorised Firm as a percentage of the means of funding in each time band as follows:
(a)
PSIAu net cumulative
Maturity Mismatch % =
Net cumulative Maturity Mismatch x 100
Total PSIAus
(b) Total deposit liabilities net cumulative
Maturity Mismatch % =
Net cumulative Maturity Mismatch x 100
Total deposits
(3) An Authorised Firm must ensure that its net cumulative Maturity Mismatch position for each means of funding used by the Authorised Firm in the sight - 8 days time band does not exceed negative 15%
(4) An Authorised Firm must notify the DFSA in writing immediately if it exceeds or is likely to exceed the net cumulative Maturity Mismatch limits referred to in (3).
