The operator shall identify, measure, manage and monitor its liquidity risk through the use of appropriate procedures and tools.
The operator shall have sufficient liquid resources to effect its payment obligations in all currencies when due, under a wide range of stress scenarios. As regards these liquid resources, the operator shall apply haircuts which are also appropriate under extreme but plausible market conditions.
When selecting stress scenarios, the operator shall, in particular, take into account the following stress events under extreme but plausible market conditions:
the default of the participant or group of participants which would generate the largest aggregate payment obligation for the financial market infrastructure;
additionally, for a central counterparty, the default of the two participants or two groups of participants which would generate the largest aggregate payment obligation for the central counterparty;
the default of the largest liquidity provider in each of the five currencies in which the financial market infrastructure has the largest payment obligations.
Liquid resources in a currency, as specified in paragraph 2, comprise cash, credit lines and collateral in accordance with Article 50 paragraph 1 and Article 58 paragraph 1 of the Financial Market Infrastructure Ordinance of 25 November 20151(FinMIO).2
The operator shall diversify its liquidity providers and avoid concentration risk for collateral and assets in accordance with Article 50 paragraph 1 letters d and e FinMIO as well as Article 58 paragraph 1 letters d and e FinMIO.3
The operator shall assess:
by means of daily stress tests, whether the requirement specified in paragraph 2 is met;
at least on a quarterly basis, the creditworthiness of the liquidity providers and their ability to meet their obligations.