| (8) | Matters relating to a bank's contractual balance sheet position |
| (a) | In order to determine, among other things, the extent to which a bank makes use of maturity transformation in terms of its current contracts, and to identify the gaps between the contractual inflows and contractual outflows of liquidity within specified time bands, a bank shall complete the section of the form BA 300 that relates to its contractual balance sheet on a static gap basis with all relevant cash flows being reported strictly on the basis of an item's residual or remaining contractual term to maturity, provided that— |
| (i) | for purposes of this subregulation (8), in respect of— |
| (A) | any existing liability, the bank shall assume that no rollover of such liability shall occur; |
| (B) | any existing asset, the bank shall assume that it does not enter into any new or further contracts; |
| (ii) | the bank shall include accounts such as current accounts, savings accounts and transmission accounts in the next day bucket; |
| (iii) | the bank shall classify any marketable instrument tradable in a secondary market into an appropriate time bucket based on the said instrument's remaining contractual maturity; |
| (iv) | the bank shall report the relevant required information without applying any behavioural or other assumption to the relevant required contractual inflows and contractual outflows; |
| (v) | in order to monitor securities movements that mirror corresponding cash flows as well as the contractual maturity of collateral swaps and any uncollateralised stock lending or borrowing where stock movements occur without any corresponding cash flows, a bank shall separately record all relevant required information related to securities flows; |
| (vi) | in order to monitor the extent to which the bank may generate mismatches in the borrowing and lending of customer collateral, a bank shall separately record the relevant required details related to collateral received from customers that the bank is permitted to rehypothecate, and the relevant amount of such collateral that is rehypothecated at each relevant reporting date. |
[Regulation 26(8) substituted by regulation 2(a) of Notice No. R. 309 dated 10 April 2015]
