Related provisions for BIPRU 4.3.114
41 - 43 of 43 items.
Some further areas to consider in developing the liquidity risk scenario might include:(1) any mismatching between expected asset and liability cash flows;(2) the inability to sell assets quickly;(3) the extent to which a firm's assets have been pledged; and(4) the possible need to reduce large asset positions at different levels of market liquidity and the related potential costs and timing constraints.
(1) For the purposes of calculating interest rate PRR, unless specified otherwise, a firm must derive the value of notional positions as follows:(a) notional positions in actual debt securities must be valued as the nominal amount underlying the contract at the current market price of the debt security; and(b) positions in zero-specific-risk securities must be valued using one of the two methods in (2).(2) A firm must use one of the following two methods for all positions arising
The information which a firm should consider when taking account, for the purposes of MCOB 11.6.26R (2)(b), of the strength of the financial resources of the business will vary according to the characteristics of the business, but may include factors such as the cash flow, assets and liabilities of the business.