PIB 9.2.5

(1) An Authorised Firm must ensure that the method referred to in PIB Rule 9.2.1(3)(b) for measuring Liquidity Risk is capable of:
(a) measuring the extent of the Liquidity Risk it is incurring
(b) tracking early warning indicators to aid the Liquidity Risk management processes;
(c) dealing with the dynamic aspects of the Authorised Firm's liquidity profile;
(d) where appropriate, measuring the Authorised Firm's Exposure to Foreign Currency Liquidity Risk; and
(e) where appropriate, measuring the Authorised Firm's Exposure to PSIA and Islamic Contract Liquidity Risk.
(2) An Authorised Firm must establish and maintain a system of management reporting which provides relevant, accurate, comprehensive, timely, forward looking and reliable Liquidity Risk reports to relevant functions within the Authorised Firm.
(3) The method for measuring Liquidity Risk under (1)(a) must enable the Authorised Firm to forecast prospective cash flows for assets, liabilities, off-balance sheet commitments and contingent liabilities over a variety of time horizons, under both normal conditions and a range of stress scenarios, including scenarios of severe stress.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]
[Amended] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]