Please refer to the BSD Circular Letter No. 03 dated February 22, 2011 titled ‘Maturity and Interest Rate Sensitivity Gap Reporting’ wherein banks/DFIs were advised to report maturity gaps between their ‘non-contractual maturity’ assets and liabilities based on ‘expected maturities’.
2. To further enhance disclosures on liquidity risk, it has been decided that:
i- banks/DFIs should report the maturity gaps of all assets and liabilities based on ‘contractual maturities’, in addition to the reporting based on ‘expected maturities’ as required in the aforesaid circular letter; and
ii- while reporting gaps based on ‘expected maturities’, banks/DFIs should disclose the methodology used to determine behavioral maturity of ‘non-contractual maturity’ assets and liabilities.
3. The banks should report both of the above disclosures under Note 45.4.1 of the revised form of Annual Financial Statements issued vide BSD Circular No. 04 dated February 17, 2006. These instructions shall become effective from December 31, 2012.
4. The banks shall continue to report their maturity gaps only on ‘expected maturity’ basis in quarterly Data File Structure under Reporting Chart of Accounts as envisaged in the above mentioned Circular letter.
5. All other instructions on the subject shall remain unchanged.