DMD Circular Letter No. 11: Mark-to-Market (MTM) Revaluation of Floating Rate Treasury Bond (FRTB) held under HFT category by banks

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

Debt Management Department

DMD Circular Letter No: 11 Date: 29 Ashvin 1431 14 October 2024

Managing Director/Chief Executive Officer All Scheduled Banks operating in Bangladesh.

Dear Sir,

Regarding Mark-to-Market (MTM) based revaluation of Treasury Bonds held under Held for Trading (HFT) category by bank companies.

Your attention is drawn to DMD Circular Letter No. 06/2024 dated 04/06/2024 regarding the above subject.

2. Through the aforementioned circular letter, you were instructed to use the secondary market yield published on the Bangladesh Bank website instead of the primary yield for the Mark-to-Market (MTM) based revaluation of Treasury Bonds held in your own portfolio.

3. Now, for the MTM based revaluation of your held Floating Rate Treasury Bonds (FRTB), you are instructed to consider the sum of the 91 Days BCR (Bangladesh Compounded Rate) on the revaluation date and the spread determined by the Bangladesh Bank's Auction Committee for the respective FRTB as the market yield for that FRTB on that day, for the purpose of FRTB revaluation.

4. This instruction will be effective immediately.

Yours faithfully,

(Intekhab Hossain) Director (DMD) Phone: 9530131

Phone: 88-02-9550448, 9554899, IP: 88-02-5565001-6, Fax: 88-02-9530479, www.bb.org.bd