| (1) | The content of the relevant return is confidential and not available for inspection by the public. |
| (2) | The purpose of the return is to determine, among other things— |
| (a) | at the reporting date, in respect of specified time buckets— |
| (i) | the contractual mismatch between assets and liabilities; |
| (ii) | the “business-as-usual” mismatch between assets and liabilities; |
| (iii) | the bank-specific stress mismatch; |
| (b) | in respect of a crisis scenario, the quantity and sources of funding available to the reporting bank; |
| (c) | in respect of funding sources, the reporting bank’s potential concentration risk, that is, to identify those sources of funding that are of such significance that the withdrawal thereof may cause liquidity problems; |
| (d) | in respect of significant currencies, the reporting bank’s exposure to foreign exchange; |
| (e) | the bank’s liquidity coverage ratio (LCR); and |
| (f) | the bank’s net stable funding ratio (NSFR). |
[Regulation 26(2) substituted by section 7(a) of Notice No. 724, GG44003, dated 18 December 2020 - effective 1 January 2021]
| (3) | A bank shall retain an audit trail in respect of the underlying data relating to the base models supporting the relevant form BA 300, which audit trail— |
| (a) | shall provide a reconciliation between the total assets and the total liabilities reported on the form BA 300 and the total assets and the total liabilities contained in the reporting bank's general ledger systems, which reconciliation— |
| (i) | shall be made available to the Registrar on request; |
| (ii) | shall not be included in the form BA 300; |
| (b) | shall contain adequate explanations in respect of any reconciliation differences. |
| (4) | Unless specifically otherwise provided, any position reported on the form BA 300 shall be included in the relevant time bucket based on the position's remaining term to contractual maturity. In the case of a product with multiple maturity dates, the reporting bank shall assume that— |
| (a) | cash inflows will occur only at the latest residual contractual maturity date; |
| (b) | cash outflows will occur at the earliest residual contractual maturity date. |
| (5) | Whenever specified or relevant, all amounts reported on the form BA 300 in respect of a specified bucket shall represent the respective total amounts relating to, amongst others— |
| (a) | assets, which total amount of assets shall be gross of any related impairment, allowance or provision for loss; |
| (d) | derivative instruments, which total amount shall be the aggregate present value amount of the relevant cash flow amounts. |
[Regulation 26(5) substituted by section 7(b) of Notice No. 724, GG44003, dated 18 December 2020 - effective 1 January 2021]
| (6) | Whenever relevant, unless specifically otherwise stated, a bank— |
| (a) | shall include any asset or liability item with no maturity profile in the bucket titled "non contractual" or "indeterminate maturity", as the case may be; |
| (b) | shall in accordance with Financial Reporting Standards issued from time to time translate to the reporting currency any asset or liability item denominated in foreign currency; |
| (c) | shall report all inflows and outflows as positive amounts. |
