Amendment on Market Valuation of Government Securities

September 27, 2013 BSP CIRCULAR NO. 813-13 SUBJECT : Amendment on Market Valuation of Government Securities Pursuant to Monetary Board Resolution No. 1504 dated 13 September 2013, to further define benchmarks and establish a robust pricing and valuation standard for debt securities, the market valuation of government securities are hereby amended as follows: SECTION 1. Appendix 33a of the Manual of Regulations for Banks (MORB) and Appendix Q-20a of the Manual of Regulations for Non-Bank Financial Institutions (MORNBFI) on market valuation of government securities are hereby amended to read as follows: "xxx xxx xxx "D. Peso-Denominated Government Securities "The benchmark or reference prices shall be based on the weighted average of done or executed deals in a trading market registered with the SEC. In the absence of done deals, the simple average of all firm bids per benchmark tenor shall be used in calculating the benchmark; Provided, That the simple average of all firm offer per benchmark tenor shall likewise be included as soon as permissible under securities laws and regulations. "xxx xxx xxx " Other Guidelines "The basis for the market valuation of non-benchmark securities shall be the same as those used in Peso-Denominated Government Securities in Section D above. In the absence of both done and bid rates, interpolated yields derived from the benchmark or reference rates in accordance with the BSP-approved guidelines for computation of reference rates in Section D above shall be used. "xxx xxx xxx" SECTION 2. Subsections X410.10 of the MORB and 4410Q.10 and 4910N.10 of the MORNBFI on "Other Related Guidelines on Valuation of Allowable Investments" are hereby amended to read as follows: "a. In pricing debt securities, the provision of Appendix 33a/Appendix Q-20a under the "Other Guidelines" section shall apply for non-benchmark securities. ETHSAI "xxx xxx xxx" This Circular shall take effect fifteen (15) calendar days following its publication either in the Official Gazette or any newspaper of general circulation. FOR THE MONETARY BOARD: (SGD.) AMANDO M. TETANGCO, JR. Governor