Authorised Firm must comply with the requirements in this Rule in implementing its system and controls referred to in PIB Rule 9.2.1(2) and (3).
Authorised Firm must assess the cash flows for its assets, liabilities and off-balance sheet items under both normal market conditions and stressed conditions resulting from either general market turbulence or firm-specific difficulties.
Authorised Firm must assess the extent to which committed facilities can be relied upon under stressed conditions identified in accordance with PIB Rule 9.2A.3.
Authorised Firm must consider potential liability concentrations when determining the appropriate mix of liabilities.
Authorised Firm must identify the Liquidity Risk across all legal entities, branches and subsidiaries and in all jurisdictions in which it operates.
(6) If an
Authorised Firm has significant, unhedged liquidity mismatches in particular currencies, it must assess:
(a) the volatilities of the exchange rates of the mismatched currencies;
(b) likely access to the foreign exchange markets in normal and stressed conditions; and
(c) the stability of deposits in those currencies with the
Authorised Firm in stressed conditions.