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 PIB section A9.3 of App9, the inflows (assets), outflows (liabilities), liquid assets and funding capacity which are to be included in the relevant time bands in the
Maturity Ladder; and