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BAP Advisory to Trading Participants: Inclusion of Done Deals in the calculation of PHP BVAL Reference Rates

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BANKERS ASSOCIATION OF THE PHILIPPINES

BAP Advisory to Trading Participants

Inclusion of Done Deals in the calculation of PHP BVAL Reference Rates

We are pleased to announce that commencing today, November 9, 2018, PHP BVAL Reference Rates calculations already include rates from done deals for transactions with notional amounts equal to or greater than PHP 50 Million.  This transaction cut-off of PHP50 Million is consistent with the previous transaction cut-off set for the calculation of PDST rates for individual trades.  The delay in the deployment of this calculation methodology was due to the Quality Control process which was required by Bloomberg to ensure the BVAL rates produced and published are of high quality.

 

Bankers Association of the Philippines
Benchmark Administrator for Philippine Government Securities

Advisory to Trading Participants (2018-02) Inclusion of Done Deals on the PHP BVAL Reference Rates

Advisory from the BAP to Trading Participants

Advisory to Trading Participants

1.    Published BVAL rates:

Please be advised that the BAP’s PHP BVAL Reference Rates (for Benchmark Tenors and for Government Securities) are now available on the terminals of Bloomberg, the Calculation Agent, and the website of PDEx, the Publication Agent.

       a. On the Bloomberg terminals:

i. For the PHP BVAL Reference Rates for Government Securities, there are 3 PHP BVAL values displayed/published: 

  • BVAL Bid – is calculated from outstanding bids posted by market participants on the Bloomberg fixed income platform AND from done deals traded on the platform.
  • BVAL Ask – is calculated from outstanding asks/offers posted by market participants on the Bloomberg fixed income platform AND from done deals traded on the platform.
  • BVAL Mid – is the midpoint between the BVAL Bid and BVAL Ask.

ii. For the PHP BVAL Reference Rates for Benchmark Tenors, referred to as the “BVAL Curve”, the rates displayed/published for each benchmark tenor use the rates derived from the BVAL Bid Rates.

      b. On the PDEx website:

Only the PHP BVAL Bid Rates from the Bloomberg feed are published as the PHP BVAL Rates for Government Securities and the BVAL Curve from the same feed are published as the PHP BVAL Reference Rates for Benchmark Tenors.

2.    Issue on BVAL Calculations:

It has come to our attention that the BVAL reference rates which have been published from Oct. 29 to Oct. 31st, 2018 were not including the rates from dealt transactions during this period.  As a consequence, the BVAL rates are based solely from market bids and offers and do not include done deals.

To address this issue, a program fix will be implemented by Bloomberg to include dealt transactions.  However, previously published BVAL reference rates will not be amended or changed.  We will issue an advisory on when this program fix has been implemented.

For your reference, data on the done deals in the market per security can be obtained from the PDEx website below:

http://www.pds.com.ph/index.html%3Fpage_id=3591.html

Market participants are hereby advised to exercise their discretion in adjusting BVAL reference rates (for mark-to-market purposes) should they find that the BVAL reference rate for a particular security is out of line with done deals in the market.

For the Benchmark Administrator,

BSP-logo

 

 

 

Cesar Santos, Jr.

19CD, 19F Citi Tower, 8741 Paseo de Roxas, Makati City
1226 Metro Manila, Philippines
Phone: +632 8171511
Email: cesar.santos@bapcb.com

Advisory to Trading Participants FINAL

Launch of the New BAP PhP BVAL Reference Rates

Please be advised that effective Monday, October 29, 2018, the Bankers Association of the Philippines (BAP) will launch its new set of reference rates, the PHP BVAL Reference Rates to replace the current set of PDST Reference Rates (PDST-R1 & PDST-R2).

With the retirement of the PDST Reference Rates, PDEx shall cease to perform the daily calculation and publication of these rates after the last sets are published at the end of day of Friday, October 26, 2018.  Please note that while the daily calculation and publication will cease, for parties interested in the historical data, the pages for the previously published rates will remain accessible in the PDS MarketPage as well as the PDS website.

For its new set of Reference Rates, the BAP, as the Benchmark Administrator, has engaged Bloomberg to be the Benchmark Calculation Agent and use its BVAL Evaluated Pricing Service to calculate the PHP BVAL Reference Rates every day.  The BAP has also engaged PDEx to be its Benchmark Publication Agent, and in this role, starting on Monday, October 29, 2018, PDEx will receive the set of PHP BVAL Reference Rates from Bloomberg which shall include the PHP BVAL Reference Rates – Benchmark Tenors, PHP BVAL Rates Government Securities (Bills) and PHP BVAL Rates Government Securities (Bonds) and publish the same once daily at 5:00 PM on the PDS MarketPage and the PDS website.

To access the PHP BVAL Reference Rates, please refer to the following links:

PDS Website (www.pds.com.ph)

  • PDS Website Homepage > PHP BVAL Reference Rates
  • Home>Market Data>Government Securities> PHP BVAL Reference Rates
  • Home>Market Data>Government Securities> PHP BVAL Rates Government Securities

MarketPage

  • Government Securities Tab>BVAL Rates
    • PHP BVAL Reference Rates
    • PHP BVAL Rates for Government Securities

Bloomberg terminal

  • Type “PDEX” <Go>

Should you have any queries regarding the publication of the new benchmarks, please do not hesitate to call PDS Client Services at 884-5063/884-5017/884-4408/884-5022 or email us at clientservices@pds.com.ph.  Queries regarding the new methodology will be responded to by the BAP and/or Bloomberg. You may also access the BVAL methodology document from the PDS Group website (www.pds.com.ph) at the following locations:

  • Home > Press Room Tab > Publications > BVAL Methodology
  • Home>Market Data>Government Securities> PHP BVAL Reference Rates
  • Home>Market Data>Government Securities> PHP BVAL Rates Government Securities

For your guidance and information

Recalculation of PDST-R1 Reference Rates for 21 June 2018

Please be advised that PDST-R1 Reference Rates have been amended to reflect the increase in BSP overnight reverse repurchase (RRP) rate from 3.25% to 3.50%.

From To
TBILL 06.27.18 I   3.2407  I   3.4595
TBILL 07.04.18 I   3.2246  I   3.3886
TBILL 07.11.18 I   3.2084  I   3.3177

PDS data platforms have been updated to reflect these changes.

For your guidance and information.