BANK 9.2.2 Liquidity risk management framework — structure and basic content
(1) A banking business firm's liquidity risk management framework must include:
(a) a statement of the firm's liquidity risk tolerance, approved by the firm's governing body;
(b) a statement of the firm's liquidity risk management strategy and policy, approved by the governing body;
(c) a statement of the firm's operating standards (in the form of policies, procedures and controls) for identifying, measuring, monitoring and controlling its liquidity risk in accordance with its liquidity risk tolerance;
(d) a statement of the firm's funding strategy, approved by the governing body; and
(e) a contingency funding plan.
(2) The framework must clearly set out the firm's organisational structure as it relates to liquidity risk management, and must define the responsibilities and roles of senior management involved in managing liquidity risk.
(3) The framework must be formulated to ensure that the firm maintains sufficient liquidity to withstand a range of liquidity stress events (whether specific to the firm, market-wide, or a combination of the two), including the loss or impairment of both unsecured and secured funding sources.
(4) The framework must be well integrated into the firm's overall risk management process.
(5) The liquidity risk management framework must be subject to ongoing effective and comprehensive independent review.
|Inserted by QFCRA RM/2018-1 (as from 1st May 2018).|