BSP CIRCULAR NO. 813, September 27, 2013
AMENDMENT ON MARKET VALUATION OF GOVERNMENT SECURITIES
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:
“x x x
“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.“x x x
“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.“x x x”
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.“x x x”
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