Prudential Regulation Authority Rulebook

5.1

A firm must actively manage its intra-day liquidity positions and any related risks so that it is able to meet its payment and settlement obligations on a timely basis.

5.2

For the purposes of 5.1, a firm must ensure that its intra-day liquidity management arrangements enable it:

1. (1) to meet its payment and settlement obligations on a timely basis under both normal financial conditions and under the stresses required by 11.3;
2. (2) to identify and prioritise the most time-critical payment and settlement obligations; and
3. (3) in relation to the markets in which it is active and the currencies in which it has significant positions, to measure, monitor and deal with intra-day liquidity risk. A firm must in particular be able to:
1. (a) measure expected daily gross liquidity inflows and outflows, anticipate the intra-day timing of these flows where possible, and forecast the range of potential net funding shortfalls that might arise at different points during the day; and
2. (b) manage the timing of its liquidity outflows such that priority is given to the firm’s most time-critical payment obligations.