• PRU 9.2.4 PRU 9.2.4

    (1) An Authorised Person must assess the repayment profiles of its assets under both normal market conditions and stressed conditions resulting from either general market turbulence or firm-specific difficulties.
    (2) An Authorised Person must assess the extent to which committed facilities can be relied upon under stressed conditions identified in accordance with Rule 9.2.9.
    (3) An Authorised Person must consider potential liability concentrations when determining the appropriate mix of liabilities.
    (4) An Authorised Person must consider how its off-balance sheet activities affect its cash flows and Liquidity Risk profile under both normal and stressed conditions.
    (5) If an Authorised Person 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 Person in stressed conditions.

    • Guidance

      1. As part of the assessment for the purposes of Rule 9.2.4(1), an Authorised Person should identify significant concentrations within its asset portfolio.
      2. For the purposes of Rule 9.2.4(3), an Authorised Person should consider factors including:
      a. the term structure of its liabilities;
      b. the credit-sensitivity of its liabilities;
      c. the mix of secured and unsecured funding;
      d. concentrations among its liability providers or related Groups of liability providers;
      e. reliance on particular instruments or products;
      f. the geographical location of liability providers; and
      g. reliance on intra-Group funding.
      3. As appropriate, an Authorised Person would be expected to consider the amount of funding required by:
      a. commitments given;
      b. standby facilities given;
      c. wholesale overdraft facilities given;
      d. proprietary Derivatives positions; and
      e. liquidity facilities given for securitisation transactions.