Past version: effective from 01/01/2015 - 31/12/2017
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Authorised Firm in Category 1 or 5 must use the Maturity Mismatch approach, as set out in this section, to measure liquidity.
(2) When using the
Maturity Mismatch approach, an Authorised Firm must determine the net cumulative Maturity Mismatch position for each time band by:
(a) determining, in accordance with the Rules in sections PIB A9.3 of PIB App9, the inflows (assets) and outflows (liabilities) which are, subject to their falling within one of the time bands, to be included in the
Maturity Ladder and at what maturities;
(b) inserting each inflow (asset) and outflow (liability) into one or more of the following time bands on the
(i) sight — 8 days; or
(ii) sight — 1 month; and
(c) subtracting outflows (liabilities) from inflows (assets) in each time band.