DMD Circular Letter No. 06/2024: Mark to Market Revaluation of Treasury Bills and Bonds

50119

Bangladesh Bank
(Central Bank of Bangladesh)
Head Office
Motijheel, Dhaka-1000
Bangladesh.

Data Management Department

DMD Circular Letter No.: 06/2024
Date: 21 Jyestha 1431
04 June 2024

Managing Director / Chief Executive Officer
All Scheduled Banks Operating in Bangladesh

Dear Sir,

Regarding the Mark-to-Market (MTM) based revaluation of Treasury Bonds held by Bank Companies in the Held for Trading (HFT) category.

Reference is drawn to Circular Letter No. DMD-01/2019 dated 02 January 2019.

2. Through the aforementioned Circular Letter, instructions were provided to publish the cut-off yield of the primary auction as the standard tenor yield by converting it to full maturity, for the purpose of Mark-to-Market based revaluation of Treasury Bonds held by Bank Companies, and to calculate the value of the held Treasury Bonds based on said standard tenor yield.

3. To ensure that the valuation of Treasury Bonds is consistent with market-based and international best practices, and to build an active secondary market in the country, a secondary market yield curve has been prepared based on actual transactions on the over-the-counter (OTC) and anonymous order matching platforms, and on the two-way price quotes submitted daily by Primary Dealer banks. The prepared yield curve and the methodology for its preparation have been posted on the website of Bangladesh Bank.

4. Accordingly, you are hereby instructed to use the secondary market yield instead of the primary market yield for the Mark-to-Market based revaluation of Treasury Bonds held in the HFT category. However, the current practice of using the primary market yield for the Mark-to-Market based revaluation of Treasury Bills will remain in effect.

5. This instruction will take effect immediately.

Yours faithfully,

(Intekhum Hossain)
Director (DMD)
Phone: 9530131

Phone: 88-02-9550448, 955489, IP: 88-02-55662001-6, Fax: 88-02-9530479, www.bb.org.bd