Entire Section

  • Allocation of liquidity costs, benefits and risks

    • PIB 9.2.9

      An Authorised Firm must ensure that the system referred to in PIB Rule 9.2.1(3)(e):

      (a) incorporates liquidity costs, benefits and risks in internal pricing, performance measurement, and new product approval processes for all significant business activities both on- and off-balance sheet;
      (b) assigns appropriate liquidity charges to positions, portfolios and transactions. The liquidity charge must incorporate factors relating to the holding period of assets and liabilities, market liquidity characteristics, stability of the funding source and any other relevant factor;
      (c) provides quantification and attribution of Liquidity Risk that is explicit, transparent and takes into account liquidity under stressed conditions; and
      (d) is reviewed periodically to reflect changing business and market conditions.
      Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]