Dear Sirs/ Madams,

Maturity and Interest Rate Sensitivity Gap Reporting

Please refer to BSD Circular No. 04 dated February 17, 2006 on the Revised Forms of Annual Financial Statements and OSED Circular Letter No.01 dated January 27, 2009 on reporting of Quarterly Data File Structure (DFS) under Reporting Chart of Accounts (RCOA) through Data Acquisition Gateway (DAG) Portal.

2. It has been observed that some banks/DFIs are not reporting their maturity gaps and interest rate sensitivity gaps as per the existing instructions.

3. It is, therefore, advised that:-

i. While reporting maturities of assets and liabilities under Note 45.4.1 of the revised forms of Annual Financial Statements (BSD Circular No. 04 of 2006) and in Quarterly DFS, assets and liabilities with stated maturities should be reported as per their remaining maturities, whereas, assets and liabilities which do not have any contractual maturities should be reported as per their “expected maturities”.

ii. The “expected maturities” of non-contractual assets and liabilities should be calculated based on an objective and systematic behavioral study. The study should be based on an appropriate methodology i.e. using regression, volatility, maximum withdrawal or any other approach which objectively defines the behavioral maturities of non-contractual assets and liabilities. The adopted approach should fairly commensurate with the size and complexity of the institution. The study should be conducted using a reasonable amount of historical data, which should not be less than three years. The study should be duly documented, approved by the relevant authority/ALCO, reviewed periodically at least on yearly basis and available on record for a review by the State Bank inspection.

iii. While reporting re-pricing period of rate sensitive assets and liabilities under Note 45.3.5 of the revised forms of Annual Financial Statements (BSD Circular No. 04 of 2006) and in Quarterly DFS, assets and liabilities should be reported as per their remaining period to the next repricing time when the bank/DFI will have the option, and can exercise its option, to revise the interest rate on these assets and liabilities.

4. Banks/DFIs should report the maturity gaps and interest rate sensitivity gaps in Annual Financial Statements as well as Quarterly DFS as per Para 3 of this Circular Letter for June 30, 2011 and onwards.

5. All other instructions on the subject shall, however, remain unchanged.

Please acknowledge receipt.