333. In evaluating the impact of severe, but plausible conditions on the investment firm’s …

In evaluating the impact of severe, but plausible conditions on the investment firm’s liquidity needs, competent authorities should assess all material sources of liquidity risk, including risk to clients, risk to market and risk to the investment firm as well as liquid resources needed for the potential investment firm’s orderly wind-down. In particular, competent authorities should assess all of the following:

• a. if the investment firm holds clients’ assets or money and its ability to return such assets in a timely manner under severe but plausible scenarios;
• b. if the investment firm assesses its liquidity needs for its other off-balance sheet activities taking into account that the contingent nature of off-balance-sheet instruments adds complexity to the management of related cash flows;
• c. other potential sources of cash outflows including swaps, written or sold over the counter (OTC) options, other interest rate contracts, forward foreign exchange rate contracts, margin calls, and early termination agreements;
• d. if there are difficulties in accessing certain markets;
• e. if the foreign currency markets may lack liquidity;
• f. if the foreign exchange rate may depreciate sharply when the investment firm conducts transactions in foreign exchange at significant scale; and
• g. if the investment firm which leverages its positions is exposed to liquidity risk because of the risk of decrease in the market value of a position that would trigger the need for additional collateral or margin that would require to quickly liquidate its positions.

Evaluation of intraday liquidity risk

1. Ülevaade

1.1 Viited

1.2 Tuvastatud nõuded

1.3 Seotud standardid

2. Tuvastatud nõuded

3. Seotud standardid

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