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  • Risk Identification

    • RM-3.1.5

      Investment firm licensees must identify significant concentrations within their asset portfolios. This should be done in relation to:

      (a) Individual counterparties or related groups of counterparties;
      (b) Credit ratings of the assets in its portfolio;
      (c) The proportion of an issue held;
      (d) Instrument types;
      (e) Geographical regions; and
      (f) Economic sectors.
      Adopted: July 2007

    • RM-3.1.6

      Investment firm licensees must identify on and off balance sheet impacts on its liquidity.

      Adopted: July 2007

    • RM-3.1.7

      For the purposes of RM-3.1.6, the licensee should take into account:

      (a) Possible changes in the market's perception of the licensee and the effects that this might have on the licensee's access to the markets, including:
      (i) Where the licensee funds its holdings of assets in one currency with liabilities in another, access to foreign exchange markets, particularly in less frequently traded currencies;
      (ii) Access to secured funding, including by way of repo transactions; and
      (iii) The extent to which the licensee may rely on committed facilities made available to it;
      (b) (If applicable) the possible effect of each scenario analysed on currencies whose exchange rates are currently pegged or fixed; and
      (c) That:
      (i) General market turbulence may trigger a substantial increase in the extent to which persons exercise rights against the licensee under off balance sheet instruments to which the licensee is party;
      (ii) Access to OTC derivative and foreign exchange markets are sensitive to credit-ratings;
      (iii) The scenario may involve the triggering of early amortisation in asset securitisation transactions with which the licensee has a connection; and
      (iv) Its ability to securitise assets may be reduced at certain times.
      Adopted: July 2007