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:
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,
Cesar Santos, Jr.
19CD, 19F Citi Tower, 8741 Paseo de Roxas, Makati City
1226 Metro Manila, Philippines
Phone: +632 8171511
Advisory to Trading Participants FINAL