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Application provision

1.1 This Part applies to a CRR firm.

3.1

01/10/2015

As part of the overall liquidity adequacy rule, a firm must have in place robust strategies, policies, processes and systems that enable it to identify, measure, manage and monitor liquidity risk and funding risk over an appropriate set of time horizons, including intra-day, so as to ensure that it maintains adequate levels of liquidity buffers and an appropriate funding profile. These strategies, policies, processes and systems must be tailored to business lines, currencies, branches and legal entities and must include adequate allocation mechanisms of liquidity costs, benefits and risks.

Additional Notes


[Note: Art. 86(1) of the CRD]

3.2

01/10/2015

The strategies, policies, processes and systems referred to in 3.1 must be proportionate to the complexity, risk profile and scope of operation of the firm, and the liquidity risk appetite and funding risk appetite set by the firm’s management body in accordance with 4, and must reflect the firm’s importance in each country in which it carries on business.

Additional Notes


[Note: Art. 86(2) (part) of the CRD]

3.3

01/10/2015

A firm must, taking into account the nature, scale and complexity of its activities, have liquidity risk profiles and funding risk profiles that are consistent with and not in excess of those necessary for a well-functioning and robust system.

Additional Notes


[Note: Art. 86(3) of the CRD]

3.4

01/10/2015

A firm must put in place risk management policies to define its approach to asset encumbrance, as well as procedures and controls that ensure that the risks associated with collateral management and asset encumbrance are adequately identified, monitored and managed.